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® Fund
(Exact name of registrant as specified in charter)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Address of principal executive offices) (Zip code)
W. Scott Jardine, Esq.
First Trust Portfolios L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Name and address of agent for service)
Registrant's telephone number, including area code: 630-765-8000
Date of fiscal year end: July 31
Date of reporting period: January 31, 2021
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Report to Stockholders.
(a) | The Report to Shareholders is attached herewith. |
-------------------------------------------------------------------------------- FIRST TRUST FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND Semi-Annual Report January 31, 2021 -------------------------------------------------------------------------------- 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. -------------------------------------------------------------------------------- <PAGE> -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS SEMI-ANNUAL REPORT JANUARY 31, 2021 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 Additional Information....................................................... 64 <PAGE> -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 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 certain 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 <PAGE> -------------------------------------------------------------------------------- SHAREHOLDER LETTER -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO JANUARY 31, 2021 Dear Shareholders: First Trust is pleased to provide you with the semi-annual report for the Sector Funds of the First Trust Exchange-Traded AlphaDEX(R) Fund (the "Funds"), which contains detailed information about the Funds for the six months ended January 31, 2021. There is so much to talk about, yet so little space. Rather than drill down on politics or belabor the coronavirus ("COVID-19") pandemic, I would like to take this opportunity to convey a brief message on the current economic/business/investment climate in the U.S. The one thing I feel compelled to point out, however, is that unlike the Trump Administration's approach of delegating the lion's share of the responsibility of executing the medical ground assault against COVID-19 to the states, the Biden Administration has communicated its intention to play more of an integral role at the federal level. The distribution of the FDA-approved vaccines, of which there are currently three, and the push for a huge bump up in the next round of fiscal stimulus to help millions of Americans cope with the economic fallout stemming from the pandemic are just two examples. While he was hoping to make it a bipartisan effort, President Joe Biden was prepared to utilize a tactic in Congress, particularly in the Senate, known as reconciliation to pass his $1.9 trillion stimulus bill. Reconciliation would only require a simple majority of Senate votes to pass the bill. In the end, Congress did just that and the Senate passed the bill with a 50-49 count. President Biden signed the "American Rescue Plan Act" into law on March 11, 2021. Not one Republican in Congress voted for the bill. The current climate strikes me as one where "Cash is King." A recent survey by Money and Morning Consult found that 68% of adults said they need another stimulus check from the government to get by, and 39% of those polled claimed they need the additional financial support "a lot," according to their own release. Overall, respondents said that the $600 checks sent out this past December were not enough. Seventy-seven percent of adults say they need the checks to exceed $1,000 and 36% say they need more than $2,000 to make ends meet. President Joe Biden's American Rescue Plan will make payments of up to $1,400 to those who are eligible. Suffice it to say, cash tends to be an urgent priority for those who do not have it. While most investors are likely hunting for opportunities to generate higher returns on their capital, many Americans are sitting on their cash. Brian Wesbury, Chief Economist at First Trust, recently noted that, as of the third quarter of 2020, the amount of capital held by Americans in checking accounts, savings accounts, time deposits and money market funds stood $2.8 trillion higher than their combined total in the third quarter of 2019. If you have listened to what Federal Reserve Chairman Jerome Powell has said about keeping short-term interest rates low for two or three more years if need be to significantly lower unemployment and generate inflationary pressure beyond the Federal Reserve's 2.0% target, it makes the thought of harboring such an extraordinary volume of capital in these low-paying, interest-bearing accounts even harder to fathom, in my opinion. The state of the U.S. economy is on the mend, but likely won't make a full recovery for at least a couple more years, according to Wesbury. In our opinion, most of the weakness in the economy is stemming from some key service-oriented sectors, such as hotels and airlines, that remain sheltered or lightly used. Wesbury believes that a full recovery requires the reopening of the entire U.S. economy. The speed of the vaccine rollout in the weeks ahead could help determine when the economy is ready to fully reopen. We believe investors should take solace in how upbeat our top executives are about the near future. The Conference Board's Measure of CEO ConfidenceTM rose to a 17-year high in the first quarter of 2021, according to Fox Business. The measure currently stands at 73. A reading above 50 points reflects more positive than negative responses from CEOs. Its quarterly survey revealed that 82% of CEOs expect economic conditions to improve over the next six months, up from 63% in the prior survey. Forty-five percent of them expect to increase capital spending, up from 25% in the prior survey. The good news is that Corporate America's largest companies have the cash to fund projects. In the third quarter of 2020 (most recent data), S&P 500 Industrials (Old) cash and equivalents, which excludes cash held by Financials, Utilities and Transportation companies, stood at a near-record high of $1.88 trillion, according to S&P Dow Jones Indices. The all-time high was $1.89 trillion, set in the second quarter of 2020. It seems the economy is on the cusp of another major cash injection from the government. We encourage investors to 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 <PAGE> -------------------------------------------------------------------------------- MARKET OVERVIEW -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SEMI-ANNUAL REPORT JANUARY 31, 2021 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 more than 30 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 While 2020 has come and gone, the coronavirus ("COVID-19") pandemic remains the number one battleground for the U.S. and many foreign nations in 2021. The quick approval in late 2020 of two new vaccines by the Food and Drug Administration has lifted the spirits of Americans and investors, but the initial rollout of the vaccines has been much slower than expected. The federal government's "Operation Warp Speed" initiative called for 20 million vaccinations to be performed in the U.S. by the end of 2020, but it came in at a little more than three million, according to Axios. These statistics suggest that clearing the COVID-19 hurdle may extend a bit further into 2021 than initially thought. Remember, these two vaccines, and any others that may gain approval, are likely the best chance we have for fully reopening the U.S. economy. The global growth forecast from the International Monetary Fund ("IMF") released in January 2021 sees real gross domestic product growth rising by 5.5% worldwide in 2021, a strong rebound from its -3.5% projection for 2020. The IMF is calling for a 5.1% growth rate for the U.S. in 2021, up from its -3.4% estimate for 2020. As has been the case for many years, Emerging Market and Developing Economies are expected to grow faster than Advanced Economies in 2021. Their 2021 growth rate estimate is 6.3%, up from -2.4% in 2020. The Biden Administration is negotiating with the Republicans in Congress to see if they can secure bipartisan support for their $1.9 trillion COVID-19 stimulus proposal. GOP lawmakers have countered with their own scaled-down package that would appropriate $618 billion, about one-third what President Joe Biden is asking for. If the negotiations fall through, meaning President Biden can't lock up 60 votes in the Senate, it is believed that he would likely seek to use reconciliation to lower the voting threshold to a 51-50 majority, with Vice President Kamala Harris casting the final tie-breaking vote. Regardless of the final dollar value of the package, bond investors are anticipating that the U.S. government will need to issue more Treasury securities over time to finance the Democrats' economic agenda, and that could, in turn, push bond yields higher moving forward, according to Bloomberg. There is also a chance for higher inflation from the additional stimulus. SECTOR/EQUITY INVESTING For the six-month period ended January 31, 2021, all 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 14.47% over the same period. Six of the 11 sectors outperformed the broader index. Those six sectors were Financials (+21.96%), Industrials (+19.33%), Materials (+18.25%), Information Technology (+17.43%), Communication Services (+14.60%) and Consumer Discretionary (+14.51%), according to Bloomberg. The sector that posted the lowest total return for the period was Real Estate, up 3.39%. The Index closed at 3,756.07 on January 29, 2021, 3.66% below its all-time high, according to Bloomberg. A Bloomberg survey of 22 equity strategists found that their average 2021 year-end price target for the Index was 4,074 as of January 20, 2021, according to its own release. The highest and lowest estimates were 4,400 and 3,800, respectively. Brian Wesbury, Chief Economist at First Trust, has a year-end price target of 4,200. The Index earnings look encouraging beyond 2020. As of January 29, 2021, Bloomberg's consensus year-over-year earnings growth rate estimates for the Index for 2021 and 2022 stood at 23.53% and 16.07%, respectively, a healthy rebound from its -13.89% projection for 2020. 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 $8.06 trillion in January 2021, up from $6.37 trillion a year ago, according to its own release. Total assets of U.S. listed ETFs/ETPs stood at an all-time high of $5.52 trillion, up from $4.44 trillion a year ago. Page 3 <PAGE> -------------------------------------------------------------------------------- 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. <TABLE> <CAPTION> ----------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/21 1/31/21 1/31/21 1/31/21 to 1/31/21 1/31/21 1/31/21 to 1/31/21 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 32.56% 21.56% 11.28% 11.35% 8.13% 70.66% 193.02% 192.57% Market Price 32.46% 21.54% 11.27% 11.33% 8.13% 70.56% 192.55% 192.39% INDEX PERFORMANCE StrataQuant(R) Consumer Discretionary Index 33.02% 22.19% 11.97% 12.09% 8.89% 76.04% 213.18% 221.96% Russell 1000(R) Index 16.61% 19.84% 16.69% 13.64% 9.26% 116.35% 259.32% 237.30% S&P 500(R) Consumer Discretionary Index 14.51% 33.00% 18.86% 17.81% 12.72% 137.26% 414.99% 417.60% Russell 1000(R) Consumer Discretionary Index(1) 23.73% 41.04% 20.61% 18.09% N/A 155.21% 427.61% N/A ----------------------------------------------------------------------------------------------------------------------------------- </TABLE> (See Notes to Fund Performance Overview on page 22.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Consumer Discretionary 73.76% Communication Services 14.74 Industrials 5.92 Information Technology 2.95 Consumer Staples 2.63 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Discovery, Inc., Class A 1.92% General Motors Co. 1.70 Toll Brothers, Inc. 1.64 Qurate Retail, Inc., Series A 1.60 Tesla, Inc. 1.57 Etsy, Inc. 1.56 D.R. Horton, Inc. 1.56 Lennar Corp., Class A 1.52 Carvana Co. 1.52 Foot Locker, Inc. 1.51 ------- Total 16.10% ======= ----------------------------- (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 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) (CONTINUED) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2010 - JANUARY 31, 2021 First Trust Consumer Discretionary StrataQuant(R) Consumer Russell 1000(R) S&P 500(R) Consumer Russell 1000(R) Consumer AlphaDEX(R) Fund Discretionary Index Index Discretionary Index Discretionary Index <S> <C> <C> <C> <C> <C> 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 1/31/21 36,081 38,702 42,675 61,551 63,661 </TABLE> 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 Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 5 <PAGE> -------------------------------------------------------------------------------- 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. <TABLE> <CAPTION> ----------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/21 1/31/21 1/31/21 1/31/21 to 1/31/21 1/31/21 1/31/21 to 1/31/21 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 8.00% 11.29% 5.53% 11.26% 8.80% 30.91% 190.59% 218.42% Market Price 7.99% 11.30% 5.53% 11.24% 8.79% 30.89% 190.15% 218.23% INDEX PERFORMANCE StrataQuant(R) Consumer Staples Index 8.31% 12.01% 6.25% 12.06% 9.59% 35.38% 212.28% 251.72% Russell 1000(R) Index 16.61% 19.84% 16.69% 13.64% 9.26% 116.35% 259.32% 237.30% S&P 500(R) Consumer Staples Index 4.08% 4.65% 7.85% 11.38% 9.50% 45.90% 193.72% 247.77% Russell 1000(R) Consumer Staples Index(1) 4.23% 2.91% 5.90% 10.75% N/A 33.21% 177.50% N/A ----------------------------------------------------------------------------------------------------------------------------------- </TABLE> (See Notes to Fund Performance Overview on page 22.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Consumer Staples 89.77% Health Care 7.68 Materials 2.55 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Sprouts Farmers Market, Inc. 4.65% Molson Coors Beverage Co., Class B 4.58 Kroger (The) Co. 4.48 CVS Health Corp. 4.32 J.M. Smucker (The) Co. 4.15 Tyson Foods, Inc., Class A 4.11 Albertsons Cos., Inc., Class A 4.07 Ingredion, Inc. 3.95 Nu Skin Enterprises, Inc., Class A 3.49 Casey's General Stores, Inc. 3.46 ------- Total 41.26% ======= ----------------------------- (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 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG) (CONTINUED) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2010 - JANUARY 31, 2021 Russell 1000(R) First Trust Consumer Staples StrataQuant(R) Consumer Russell 1000(R) S&P 500(R) Consumer Consumer Staples AlphaDEX(R) Fund Staples Index Index Staples Index Index <S> <C> <C> <C> <C> <C> 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 1/31/21 32,528 35,113 42,675 32,006 30,214 </TABLE> 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 Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 7 <PAGE> -------------------------------------------------------------------------------- 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. <TABLE> <CAPTION> ----------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/21 1/31/21 1/31/21 1/31/21 to 1/31/21 1/31/21 1/31/21 to 1/31/21 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 34.50% 0.68% -6.23% -7.86% -4.87% -27.49% -55.88% -49.61% Market Price 34.35% 0.57% -6.25% -7.88% -4.88% -27.56% -55.97% -49.66% INDEX PERFORMANCE StrataQuant(R) Energy Index 35.25% 1.09% -5.67% -7.33% -4.29% -25.30% -53.28% -45.26% Russell 1000(R) Index 16.61% 19.84% 16.69% 13.64% 9.26% 116.35% 259.32% 237.30% S&P 500(R) Energy Index 12.20% -22.60% -3.90% -2.99% -1.05% -18.05% -26.20% -13.53% Russell 1000(R) Energy Index(1) 15.61% -19.25% -3.55% -3.22% N/A -16.52% -27.94% N/A ----------------------------------------------------------------------------------------------------------------------------------- </TABLE> (See Notes to Fund Performance Overview on page 22.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Energy 88.39% Information Technology 11.61 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Continental Resources, Inc. 5.51% Cabot Oil & Gas Corp. 5.14 Exxon Mobil Corp. 4.96 Marathon Oil Corp. 4.95 Enphase Energy, Inc. 4.74 Valero Energy Corp. 4.55 ConocoPhillips 4.44 SolarEdge Technologies, Inc. 4.12 Pioneer Natural Resources Co. 3.87 Cheniere Energy, Inc. 3.85 ------- Total 46.13% ======= ----------------------------- (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. 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 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN) (CONTINUED) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2010 - JANUARY 31, 2021 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 <S> <C> <C> <C> <C> <C> 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 1/31/21 6,208 6,594 42,675 10,055 9,847 </TABLE> 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 Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 9 <PAGE> -------------------------------------------------------------------------------- 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. <TABLE> <CAPTION> ----------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/21 1/31/21 1/31/21 1/31/21 to 1/31/21 1/31/21 1/31/21 to 1/31/21 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 37.47% 9.79% 12.81% 11.06% 6.10% 82.71% 185.42% 125.41% Market Price 37.39% 9.73% 12.81% 11.04% 6.09% 82.70% 184.88% 125.26% INDEX PERFORMANCE StrataQuant(R) Financials Index 37.94% 10.59% 13.60% 11.86% 6.95% 89.17% 206.76% 151.50% Russell 1000(R) Index 16.61% 19.84% 16.69% 13.64% 9.26% 116.35% 259.32% 237.30% S&P 500(R) Financials Index 21.96% -0.77% 12.83% 10.29% 1.76% 82.85% 166.40% 27.13% Russell 1000(R) Financials Index(1) 21.20% 5.84% 14.88% 11.91% N/A 100.08% 208.11% N/A ----------------------------------------------------------------------------------------------------------------------------------- </TABLE> (See Notes to Fund Performance Overview on page 22.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 99.71% Information Technology 0.29 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Invesco Ltd. 1.95% Assured Guaranty Ltd. 1.87 SLM Corp. 1.85 Virtu Financial, Inc., Class A 1.82 Rocket Cos., Inc., Class A 1.74 Associated Banc-Corp. 1.74 Franklin Resources, Inc. 1.74 MetLife, Inc. 1.69 White Mountains Insurance Group Ltd. 1.68 Aflac, Inc. 1.68 ------- Total 17.76% ======= ----------------------------- (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000(R) Financials 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. On September 18, 2020, the name of the Russell 1000(R) Financial Services Index was changed to Russell 1000(R) Financials Index. 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 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) (CONTINUED) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2010 - JANUARY 31, 2021 First Trust Financials StrataQuant(R) Russell 1000(R) S&P 500(R) Russell 1000(R) AlphaDEX(R) Fund Financials Index Index Financials Index Financials Index <S> <C> <C> <C> <C> <C> 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 1/31/21 32,880 35,494 42,675 29,895 34,633 </TABLE> 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 Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 11 <PAGE> -------------------------------------------------------------------------------- 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. <TABLE> <CAPTION> ----------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/21 1/31/21 1/31/21 1/31/21 to 1/31/21 1/31/21 1/31/21 to 1/31/21 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 13.90% 31.24% 15.14% 15.27% 13.16% 102.39% 314.12% 446.23% Market Price 13.86% 31.25% 15.14% 15.26% 13.16% 102.41% 313.85% 446.07% INDEX PERFORMANCE StrataQuant(R) Health Care Index 14.25% 32.12% 15.91% 16.05% 13.97% 109.22% 343.00% 502.56% Russell 1000(R) Index 16.61% 19.84% 16.69% 13.64% 9.26% 116.35% 259.32% 237.30% S&P 500(R) Health Care Index 10.06% 18.27% 13.73% 15.99% 10.82% 90.27% 340.62% 310.00% Russell 1000(R) Health Care Index(1) 11.26% 22.11% 14.81% 16.60% N/A 99.52% 364.31% N/A ----------------------------------------------------------------------------------------------------------------------------------- </TABLE> (See Notes to Fund Performance Overview on page 22.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Health Care 100.00% ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Moderna, Inc. 3.21% Biogen, Inc. 2.23 Quest Diagnostics, Inc. 2.10 United Therapeutics Corp. 2.09 Avantor, Inc. 2.03 Cigna Corp. 2.02 DaVita, Inc. 1.93 HCA Healthcare, Inc. 1.91 Boston Scientific Corp. 1.91 Bio-Rad Laboratories, Inc., Class A 1.90 ------- Total 21.33% ======= ----------------------------- (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 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH) (CONTINUED) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2010 - JANUARY 31, 2021 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 <S> <C> <C> <C> <C> <C> 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 1/31/21 50,671 54,439 42,675 49,294 52,588 </TABLE> 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 Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 13 <PAGE> -------------------------------------------------------------------------------- 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. <TABLE> <CAPTION> ----------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/21 1/31/21 1/31/21 1/31/21 to 1/31/21 1/31/21 1/31/21 to 1/31/21 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 26.57% 13.79% 16.23% 11.07% 7.68% 112.12% 185.66% 176.40% Market Price 26.58% 13.82% 16.22% 11.05% 7.68% 112.07% 185.15% 176.35% INDEX PERFORMANCE StrataQuant(R) Industrials Index 26.97% 14.54% 17.04% 11.85% 8.46% 119.60% 206.32% 204.90% Russell 1000(R) Index 16.61% 19.84% 16.69% 13.64% 9.26% 116.35% 259.32% 237.30% S&P 500(R) Industrials Index 19.33% 6.77% 12.72% 11.00% 7.88% 81.96% 183.96% 183.44% Russell 1000(R) Industrials Index(1) 19.67% 7.45% 13.69% 11.53% N/A 89.96% 197.91% N/A ----------------------------------------------------------------------------------------------------------------------------------- </TABLE> (See Notes to Fund Performance Overview on page 22.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Industrials 65.72% Information Technology 15.69 Materials 13.22 Consumer Discretionary 1.54 Utilities 1.35 Financials 1.34 Health Care 1.14 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Brunswick Corp. 1.54% Generac Holdings, Inc. 1.47 Axon Enterprise, Inc. 1.45 Oshkosh Corp. 1.44 Snap-on, Inc. 1.42 MKS Instruments, Inc. 1.42 United Rentals, Inc. 1.42 Schneider National, Inc., Class B 1.38 Zebra Technologies Corp., Class A 1.37 MDU Resources Group, Inc. 1.35 ------- Total 14.26% ======= ----------------------------- (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) Industrials 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. On September 18, 2020, the name of the Russell 1000(R) Producer Durables Index was changed to Russell 1000(R) Industrials Index. 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 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) (CONTINUED) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2010 - JANUARY 31, 2021 First Trust Industrials/ Producer Durables StrataQuant(R) Russell 1000(R) S&P 500(R) Russell 1000(R) AlphaDEX(R) Fund Industrials Index Index Industrials Index Industrials Index <S> <C> <C> <C> <C> <C> 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 1/31/21 35,188 37,884 42,675 34,302 36,359 </TABLE> 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 Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 15 <PAGE> -------------------------------------------------------------------------------- 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. <TABLE> <CAPTION> ----------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/21 1/31/21 1/31/21 1/31/21 to 1/31/21 1/31/21 1/31/21 to 1/31/21 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 33.93% 31.23% 14.43% 8.51% 8.02% 96.20% 126.40% 188.33% Market Price 33.93% 31.30% 14.43% 8.51% 8.02% 96.20% 126.40% 188.33% INDEX PERFORMANCE StrataQuant(R) Materials Index 34.45% 32.20% 15.26% 9.32% 8.82% 103.41% 143.84% 219.19% Russell 1000(R) Index 16.61% 19.84% 16.69% 13.64% 9.26% 116.35% 259.32% 237.30% S&P 500(R) Materials Index 18.25% 25.61% 15.14% 8.74% 6.70% 102.36% 131.15% 143.70% Russell 1000(R) Basic Materials Index(1) 15.44% 21.48% 14.62% 9.05% N/A 97.83% 137.85% N/A ----------------------------------------------------------------------------------------------------------------------------------- </TABLE> (See Notes to Fund Performance Overview on page 22.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Materials 85.18% Industrials 14.82 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Scotts Miracle-Gro (The) Co. 5.37% Royal Gold, Inc. 4.86 Newmont Corp. 4.81 Timken (The) Co. 4.73 Reliance Steel & Aluminum Co. 4.69 Westlake Chemical Corp. 4.53 Steel Dynamics, Inc. 4.49 CF Industries Holdings, Inc. 4.13 Huntsman Corp. 4.06 NewMarket Corp. 3.81 ------- Total 45.48% ======= ----------------------------- (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000(R) Basic Materials 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. On September 18, 2020, the name of the Russell 1000(R) Materials and Processing Index was changed to Russell 1000(R) Basic Materials Index. 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 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) (CONTINUED) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2010 - JANUARY 31, 2021 First Trust Materials StrataQuant(R) Russell 1000(R) S&P 500(R) Russell 1000(R) AlphaDEX(R) Fund Materials Index Index Materials Index Basic Materials Index <S> <C> <C> <C> <C> <C> 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 1/31/21 27,802 30,061 42,675 28,844 29,800 </TABLE> 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 Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 17 <PAGE> -------------------------------------------------------------------------------- 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. <TABLE> <CAPTION> ----------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/21 1/31/21 1/31/21 1/31/21 to 1/31/21 1/31/21 1/31/21 to 1/31/21 <S> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 24.39% 51.72% 30.34% 17.18% 13.64% 276.18% 388.12% 479.31% Market Price 24.38% 51.72% 30.34% 17.17% 13.64% 276.20% 387.58% 479.15% INDEX PERFORMANCE StrataQuant(R) Technology Index 24.86% 52.81% 31.05% 17.94% 14.46% 286.50% 420.74% 539.16% Russell 1000(R) Index 16.61% 19.84% 16.69% 13.64% 9.26% 116.35% 259.32% 237.30% S&P 500(R) Information Technology Index 17.43% 37.14% 28.83% 20.07% 15.39% 254.84% 522.57% 613.80% Russell 1000(R) Technology Index(1) 19.55% 41.88% 29.07% 19.39% N/A 258.24% 488.37% N/A ----------------------------------------------------------------------------------------------------------------------------------- </TABLE> (See Notes to Fund Performance Overview on page 22.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Information Technology 96.40% Communication Services 2.70 Industrials 0.58 Consumer Discretionary 0.32 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- PagerDuty, Inc. 1.95% Applied Materials, Inc. 1.87 Intel Corp. 1.86 PTC, Inc. 1.85 Twilio, Inc., Class A 1.77 Inphi Corp. 1.75 Elastic N.V. 1.74 Pinterest, Inc., Class A 1.74 MongoDB, Inc. 1.72 Lam Research Corp. 1.71 ------- Total 17.96% ======= ----------------------------- (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 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) (CONTINUED) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2010 - JANUARY 31, 2021 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 <S> <C> <C> <C> <C> <C> 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 51,416 54,859 36,596 63,521 59,361 1/31/21 63,957 68,497 42,675 74,593 70,966 </TABLE> 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 Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 19 <PAGE> -------------------------------------------------------------------------------- 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. <TABLE> <CAPTION> ----------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/21 1/31/21 1/31/21 1/31/21 to 1/31/21 1/31/21 1/31/21 to 1/31/21 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 2.79% -2.35% 7.23% 8.33% 5.68% 41.79% 122.55% 113.58% Market Price 2.75% -2.38% 7.23% 8.32% 5.68% 41.80% 122.34% 113.48% INDEX PERFORMANCE StrataQuant(R) Utilities Index 3.19% -1.82% 7.92% 9.14% 6.51% 46.36% 139.89% 137.74% Russell 1000(R) Index 16.61% 19.84% 16.69% 13.64% 9.26% 116.35% 259.32% 237.30% S&P 500(R) Utilities Index 3.92% -6.65% 10.22% 11.04% 6.85% 62.70% 184.84% 148.54% Russell 1000(R) Utilities Index(1) 5.66% -4.59% 8.52% 9.74% N/A 50.48% 153.34% N/A ----------------------------------------------------------------------------------------------------------------------------------- </TABLE> (See Notes to Fund Performance Overview on page 22.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Utilities 94.19% Industrials 5.81 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- NRG Energy, Inc. 4.70% UGI Corp. 4.38 Avangrid, Inc. 4.33 Vistra Corp. 4.33 Exelon Corp. 4.19 PPL Corp. 4.18 Consolidated Edison, Inc. 4.17 Pinnacle West Capital Corp. 4.01 DTE Energy Co. 3.33 Public Service Enterprise Group, Inc. 3.30 ------- Total 40.92% ======= ----------------------------- (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 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU) (CONTINUED) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2010 - JANUARY 31, 2021 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 <S> <C> <C> <C> <C> <C> 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 1/31/21 24,789 26,828 42,675 30,423 28,141 </TABLE> 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 Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 21 <PAGE> -------------------------------------------------------------------------------- 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 of the national best bid and offer price ("NBBO") as of the time that the Fund's NAV is calculated. Under SEC rules, the NBBO consists of the highest displayed buy and lowest sell prices among the various exchanges trading the Fund at the time the Fund's NAV is calculated. Prior to January 1, 2019, the price used was the midpoint between the highest bid and the lowest offer on the stock exchange on which shares of the Fund were listed for trading as of the time that the Fund's NAV was 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 <PAGE> FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS UNDERSTANDING YOUR FUND EXPENSES JANUARY 31, 2021 (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 January 31, 2021. 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. <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH AUGUST 1, 2020 JANUARY 31, 2021 PERIOD PERIOD (a) ------------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) Actual $1,000.00 $1,325.60 0.61% $3.58 Hypothetical (5% return before expenses) $1,000.00 $1,022.13 0.61% $3.11 FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG) Actual $1,000.00 $1,080.00 0.64% $3.36 Hypothetical (5% return before expenses) $1,000.00 $1,021.98 0.64% $3.26 FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN) Actual $1,000.00 $1,345.00 0.63% $3.72 Hypothetical (5% return before expenses) $1,000.00 $1,022.03 0.63% $3.21 FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) Actual $1,000.00 $1,374.70 0.64% $3.83 Hypothetical (5% return before expenses) $1,000.00 $1,021.98 0.64% $3.26 FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH) Actual $1,000.00 $1,139.00 0.61% $3.29 Hypothetical (5% return before expenses) $1,000.00 $1,022.13 0.61% $3.11 </TABLE> Page 23 <PAGE> FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS UNDERSTANDING YOUR FUND EXPENSES (CONTINUED) JANUARY 31, 2021 (UNAUDITED) <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH AUGUST 1, 2020 JANUARY 31, 2021 PERIOD PERIOD (a) ------------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) Actual $1,000.00 $1,265.70 0.63% $3.60 Hypothetical (5% return before expenses) $1,000.00 $1,022.03 0.63% $3.21 FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) Actual $1,000.00 $1,339.30 0.65% $3.83 Hypothetical (5% return before expenses) $1,000.00 $1,021.93 0.65% $3.31 FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) Actual $1,000.00 $1,243.90 0.61% $3.45 Hypothetical (5% return before expenses) $1,000.00 $1,022.13 0.61% $3.11 FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU) Actual $1,000.00 $1,027.90 0.67% $3.42 Hypothetical (5% return before expenses) $1,000.00 $1,021.83 0.67% $3.41 </TABLE> (a) Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (August 1, 2020 through January 31, 2021), multiplied by 184/365 (to reflect the six-month period). Page 24 <PAGE> FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) PORTFOLIO OF INVESTMENTS JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 100.0% AUTO COMPONENTS -- 3.7% 120,818 Aptiv PLC $ 16,141,285 407,399 BorgWarner, Inc. 17,106,684 347,962 Gentex Corp. 11,500,144 49,490 Lear Corp. 7,461,112 --------------- 52,209,225 --------------- AUTOMOBILES -- 6.4% 1,790,888 Ford Motor Co. (a) 18,858,051 472,564 General Motors Co. 23,949,543 107,233 Harley-Davidson, Inc. 4,298,971 27,884 Tesla, Inc. (a) 22,126,790 169,288 Thor Industries, Inc. 20,485,541 --------------- 89,718,896 --------------- BUILDING PRODUCTS -- 0.8% 137,733 Fortune Brands Home & Security, Inc. 11,879,471 --------------- COMMERCIAL SERVICES & SUPPLIES -- 2.2% 92,781 Copart, Inc. (a) 10,182,715 181,694 IAA, Inc. (a) 10,381,995 302,190 Rollins, Inc. 10,884,884 --------------- 31,449,594 --------------- DISTRIBUTORS -- 2.2% 446,702 LKQ Corp. (a) 15,674,773 42,262 Pool Corp. 14,968,355 --------------- 30,643,128 --------------- DIVERSIFIED CONSUMER SERVICES -- 5.4% 22,745 Bright Horizons Family Solutions, Inc. (a) 3,456,558 174,270 Chegg, Inc. (a) 16,600,960 156,756 frontdoor, Inc. (a) 8,627,850 36,894 Graham Holdings Co., Class B 20,959,851 169,063 Grand Canyon Education, Inc. (a) 14,360,211 248,140 H&R Block, Inc. 4,275,452 160,304 Service Corp. International 8,084,131 --------------- 76,365,013 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.8% 121,555 Dolby Laboratories, Inc., Class A 10,700,487 --------------- ENTERTAINMENT -- 6.2% 84,769 Activision Blizzard, Inc. 7,713,979 54,809 Electronic Arts, Inc. 7,848,649 692,262 Lions Gate Entertainment Corp., Class A (a) (b) 9,684,745 107,119 Live Nation Entertainment, Inc. (a) 7,118,058 37,467 Madison Square Garden Entertainment Corp. (a) 3,325,196 14,554 Netflix, Inc. (a) 7,748,404 50,025 Spotify Technology S.A. (a) 15,757,875 SHARES DESCRIPTION VALUE --------------------------------------------------------------- ENTERTAINMENT (CONTINUED) 75,755 Take-Two Interactive Software, Inc. (a) $ 15,185,090 81,906 World Wrestling Entertainment, Inc., Class A 4,613,765 797,465 Zynga, Inc., Class A (a) 7,902,878 --------------- 86,898,639 --------------- FOOD & STAPLES RETAILING -- 2.1% 41,781 Costco Wholesale Corp. 14,724,878 109,208 Walmart, Inc. 15,342,632 --------------- 30,067,510 --------------- HOTELS, RESTAURANTS & LEISURE -- 6.2% 8,515 Chipotle Mexican Grill, Inc. (a) 12,602,200 10,262 Domino's Pizza, Inc. 3,804,739 816,486 Extended Stay America, Inc. 11,986,015 53,004 Hyatt Hotels Corp., Class A 3,480,243 18,338 McDonald's Corp. 3,811,370 624,481 MGM Resorts International 17,835,177 73,571 Starbucks Corp. 7,122,409 28,219 Vail Resorts, Inc. 7,505,125 34,879 Wynn Resorts Ltd. 3,471,507 206,806 Yum China Holdings, Inc. 11,727,968 36,256 Yum! Brands, Inc. 3,679,621 --------------- 87,026,374 --------------- HOUSEHOLD DURABLES -- 13.2% 285,514 D.R. Horton, Inc. 21,927,475 98,665 Garmin Ltd. 11,332,662 266,508 Leggett & Platt, Inc. 10,926,828 258,137 Lennar Corp., Class A 21,464,092 139,600 Mohawk Industries, Inc. (a) 20,046,560 185,375 Newell Brands, Inc. 4,452,708 3,857 NVR, Inc. (a) 17,150,073 456,336 PulteGroup, Inc. 19,850,616 728,796 Tempur Sealy International, Inc. (a) 19,240,214 452,671 Toll Brothers, Inc. 23,131,488 87,221 Whirlpool Corp. 16,143,735 --------------- 185,666,451 --------------- INTERNET & DIRECT MARKETING RETAIL -- 7.2% 3,628 Amazon.com, Inc. (a) 11,632,094 1,764 Booking Holdings, Inc. (a) 3,429,798 234,950 eBay, Inc. 13,277,024 110,599 Etsy, Inc. (a) 22,019,155 118,899 Expedia Group, Inc. 14,755,366 1,793,752 Qurate Retail, Inc., Series A 22,601,275 52,290 Wayfair, Inc., Class A (a) 14,239,613 --------------- 101,954,325 --------------- LEISURE PRODUCTS -- 3.4% 42,067 Hasbro, Inc. 3,946,726 1,127,647 Mattel, Inc. (a) 20,432,964 129,696 Peloton Interactive, Inc., Class A (a) 18,952,476 41,304 Polaris, Inc. 4,818,938 --------------- 48,151,104 --------------- See Notes to Financial Statements Page 25 <PAGE> FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) MEDIA -- 8.6% 653,951 Discovery, Inc., Class A (a) $ 27,086,650 675,738 Fox Corp., Class A 21,069,511 501,980 Interpublic Group of (The) Cos., Inc. 12,082,659 76,021 New York Times (The) Co., Class A 3,769,881 180,210 Nexstar Media Group, Inc., Class A 20,484,471 189,295 Omnicom Group, Inc. 11,808,222 617,819 Sirius XM Holdings, Inc. (b) 3,867,547 422,486 ViacomCBS, Inc., Class B 20,490,571 --------------- 120,659,512 --------------- MULTILINE RETAIL -- 4.1% 37,429 Dollar General Corp. 7,284,058 109,280 Dollar Tree, Inc. (a) 11,109,405 290,152 Kohl's Corp. 12,784,097 144,382 Ollie's Bargain Outlet Holdings, Inc. (a) 13,677,307 66,883 Target Corp. 12,117,193 --------------- 56,972,060 --------------- PERSONAL PRODUCTS -- 0.5% 29,567 Estee Lauder (The) Cos., Inc., Class A 6,997,030 --------------- PROFESSIONAL SERVICES -- 0.3% 188,573 Nielsen Holdings PLC 4,210,835 --------------- ROAD & RAIL -- 2.5% 43,348 AMERCO 20,045,849 308,667 Uber Technologies, Inc. (a) 15,720,410 --------------- 35,766,259 --------------- SOFTWARE -- 2.2% 295,092 2U, Inc. (a) 12,069,263 24,568 Trade Desk (The), Inc., Class A (a) 18,818,842 --------------- 30,888,105 --------------- SPECIALTY RETAIL -- 18.2% 74,959 Advance Auto Parts, Inc. 11,179,385 225,563 AutoNation, Inc. (a) 16,078,131 6,636 AutoZone, Inc. (a) 7,421,503 157,747 Best Buy Co., Inc. 17,166,029 15,046 Burlington Stores, Inc. (a) 3,744,949 83,321 CarMax, Inc. (a) 9,813,547 82,144 Carvana Co. (a) 21,455,191 280,050 Dick's Sporting Goods, Inc. 18,766,151 89,966 Five Below, Inc. (a) 15,809,725 211,923 Floor & Decor Holdings, Inc., Class A (a) 19,511,751 486,585 Foot Locker, Inc. 21,322,155 29,629 Home Depot (The), Inc. 8,024,126 73,553 Lowe's Cos., Inc. 12,272,318 8,693 O'Reilly Automotive, Inc. (a) 3,698,611 331,324 Penske Automotive Group, Inc. 19,826,428 64,096 Ross Stores, Inc. 7,133,244 115,258 TJX (The) Cos., Inc. 7,381,122 SHARES DESCRIPTION VALUE --------------------------------------------------------------- SPECIALTY RETAIL (CONTINUED) 55,984 Tractor Supply Co. $ 7,935,172 27,408 Ulta Beauty, Inc. (a) 7,667,662 154,571 Williams-Sonoma, Inc. 19,927,293 --------------- 256,134,493 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 3.8% 83,670 Carter's, Inc. 7,366,307 45,038 Columbia Sportswear Co. 3,939,023 1,079,689 Hanesbrands, Inc. 16,508,445 11,307 Lululemon Athletica, Inc. (a) 3,716,385 55,639 NIKE, Inc., Class B 7,432,814 37,939 Ralph Lauren Corp. 3,833,736 219,007 Skechers U.S.A., Inc., Class A (a) 7,551,361 46,078 VF Corp. 3,542,016 --------------- 53,890,087 --------------- TOTAL COMMON STOCKS -- 100.0% 1,408,248,598 (Cost $1,148,718,403) --------------- MONEY MARKET FUNDS -- 0.4% 4,896,792 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.03% (c) (d) 4,896,792 894,876 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (c) 894,876 --------------- TOTAL MONEY MARKET FUNDS -- 0.4% 5,791,668 (Cost $5,791,668) --------------- TOTAL INVESTMENTS -- 100.4% 1,414,040,266 (Cost $1,154,510,071) (e) NET OTHER ASSETS AND LIABILITIES -- (0.4)% (5,688,142) --------------- NET ASSETS -- 100.0% $ 1,408,352,124 =============== (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 $4,700,658 and the total value of the collateral held by the Fund is $4,896,792. (c) Rate shown reflects yield as of January 31, 2021. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $265,812,469 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $6,282,274. The net unrealized appreciation was $259,530,195. Page 26 See Notes to Financial Statements <PAGE> FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2021 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* $1,408,248,598 $ -- $ -- Money Market Funds 5,791,668 -- -- --------------------------------------------- Total Investments $1,414,040,266 $ -- $ -- ============================================= * See Portfolio of Investments for industry breakout. --------------------------------- OFFSETTING ASSETS AND LIABILITIES --------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT --------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 4,700,658 Non-cash Collateral(2) (4,700,658) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At January 31, 2021, 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 <PAGE> FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG) PORTFOLIO OF INVESTMENTS JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.7% BEVERAGES -- 10.8% 7,614 Boston Beer (The) Co., Inc., Class A (a) $ 6,981,200 118,266 Keurig Dr Pepper, Inc. 3,760,859 209,368 Molson Coors Beverage Co., Class B 10,501,899 40,923 Monster Beverage Corp. (a) 3,553,344 --------------- 24,797,302 --------------- CHEMICALS -- 2.5% 146,611 Corteva, Inc. 5,843,915 --------------- FOOD & STAPLES RETAILING -- 20.4% 538,183 Albertsons Cos., Inc., Class A (b) 9,348,239 42,371 Casey's General Stores, Inc. 7,943,715 48,209 Grocery Outlet Holding Corp. (a) 2,058,042 297,902 Kroger (The) Co. 10,277,619 470,711 Sprouts Farmers Market, Inc. (a) 10,661,604 25,478 Sysco Corp. 1,821,932 94,901 Walgreens Boots Alliance, Inc. 4,768,775 --------------- 46,879,926 --------------- FOOD PRODUCTS -- 42.8% 150,152 Archer-Daniels-Midland Co. 7,509,102 115,413 Bunge Ltd. 7,552,627 117,412 Campbell Soup Co. 5,648,691 208,744 Conagra Brands, Inc. 7,222,543 83,619 Flowers Foods, Inc. 1,919,892 128,723 General Mills, Inc. 7,478,806 12,424 Hershey (The) Co. 1,806,947 121,793 Hormel Foods Corp. 5,707,220 120,262 Ingredion, Inc. 9,076,173 81,846 J.M. Smucker (The) Co. 9,527,693 91,219 Kellogg Co. 5,376,448 97,091 Mondelez International, Inc., Class A 5,382,725 385,979 Pilgrim's Pride Corp. (a) 7,480,273 18,732 Post Holdings, Inc. (a) 1,776,730 133,605 TreeHouse Foods, Inc. (a) 5,642,139 146,827 Tyson Foods, Inc., Class A 9,442,444 --------------- 98,550,453 --------------- HEALTH CARE PROVIDERS & SERVICES -- 7.7% 19,356 AmerisourceBergen Corp. 2,016,895 138,527 CVS Health Corp. 9,925,460 32,639 McKesson Corp. 5,694,526 --------------- 17,636,881 --------------- HOUSEHOLD PRODUCTS -- 9.6% 18,743 Clorox (The) Co. 3,925,909 22,133 Colgate-Palmolive Co. 1,726,374 28,069 Kimberly-Clark Corp. 3,707,915 27,200 Procter & Gamble (The) Co. 3,487,312 188,978 Reynolds Consumer Products, Inc. 5,669,340 47,918 Spectrum Brands Holdings, Inc. 3,621,163 --------------- 22,138,013 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- PERSONAL PRODUCTS -- 4.3% 39,382 Herbalife Nutrition Ltd. (a) $ 2,006,907 138,555 Nu Skin Enterprises, Inc., Class A 8,018,178 --------------- 10,025,085 --------------- TOBACCO -- 1.6% 45,716 Philip Morris International, Inc. 3,641,279 --------------- TOTAL COMMON STOCKS -- 99.7% 229,512,854 (Cost $214,050,533) --------------- MONEY MARKET FUNDS -- 3.7% 8,179,103 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.03% (c) (d) 8,179,103 426,464 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (c) 426,464 --------------- TOTAL MONEY MARKET FUNDS -- 3.7% 8,605,567 (Cost $8,605,567) --------------- TOTAL INVESTMENTS -- 103.4% 238,118,421 (Cost $222,656,100) (e) NET OTHER ASSETS AND LIABILITIES -- (3.4)% (7,900,825) --------------- NET ASSETS -- 100.0% $ 230,217,596 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $7,914,971 and the total value of the collateral held by the Fund is $8,179,103. (c) Rate shown reflects yield as of January 31, 2021. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $23,148,612 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $7,686,291. The net unrealized appreciation was $15,462,321. Page 28 See Notes to Financial Statements <PAGE> FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2021 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* $ 229,512,854 $ -- $ -- Money Market Funds 8,605,567 -- -- --------------------------------------------- Total Investments $ 238,118,421 $ -- $ -- ============================================= * 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) $ 7,914,971 Non-cash Collateral(2) (7,914,971) --------------- 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 January 31, 2021, 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 <PAGE> FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN) PORTFOLIO OF INVESTMENTS JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.8% ENERGY EQUIPMENT & SERVICES -- 7.8% 147,973 Baker Hughes Co. $ 2,972,778 71,418 Halliburton Co. 1,259,099 199,824 Helmerich & Payne, Inc. 4,851,727 224,708 NOV, Inc. 2,781,885 61,834 Schlumberger N.V. 1,373,333 --------------- 13,238,822 --------------- OIL, GAS & CONSUMABLE FUELS -- 80.4% 400,173 Antero Midstream Corp. 3,241,401 95,121 Apache Corp. 1,358,328 473,793 Cabot Oil & Gas Corp. 8,684,626 102,790 Cheniere Energy, Inc. (a) 6,509,691 73,067 Chevron Corp. 6,225,308 35,985 Cimarex Energy Co. 1,517,847 187,495 ConocoPhillips 7,505,425 473,210 Continental Resources, Inc. (b) 9,317,505 85,381 Devon Energy Corp. 1,405,371 63,743 Diamondback Energy, Inc. 3,613,591 123,738 EOG Resources, Inc. 6,305,688 364,119 EQT Corp. 5,938,781 767,489 Equitrans Midstream Corp. 5,103,802 187,125 Exxon Mobil Corp. 8,390,685 25,572 Hess Corp. 1,380,376 179,030 HollyFrontier Corp. 5,095,194 451,404 Kinder Morgan, Inc. 6,355,768 1,156,419 Marathon Oil Corp. 8,372,473 74,598 Marathon Petroleum Corp. 3,219,650 382,481 Murphy Oil Corp. 4,731,290 178,237 Occidental Petroleum Corp. 3,575,434 120,584 ONEOK, Inc. 4,802,861 44,114 Phillips 66 2,990,929 54,182 Pioneer Natural Resources Co. 6,550,604 51,172 Targa Resources Corp. 1,400,578 136,353 Valero Energy Corp. 7,694,400 230,821 Williams (The) Cos., Inc. 4,900,330 --------------- 136,187,936 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 11.6% 43,958 Enphase Energy, Inc. (a) 8,015,741 46,785 First Solar, Inc. (a) 4,638,733 24,170 SolarEdge Technologies, Inc. (a) 6,968,936 --------------- 19,623,410 --------------- TOTAL COMMON STOCKS -- 99.8% 169,050,168 (Cost $161,581,759) --------------- MONEY MARKET FUNDS -- 4.7% 7,757,080 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.03% (c) (d) 7,757,080 SHARES DESCRIPTION VALUE --------------------------------------------------------------- MONEY MARKET FUNDS (CONTINUED) 151,459 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (c) $ 151,459 --------------- TOTAL MONEY MARKET FUNDS -- 4.7% 7,908,539 (Cost $7,908,539) --------------- TOTAL INVESTMENTS -- 104.5% 176,958,707 (Cost $169,490,298) (e) NET OTHER ASSETS AND LIABILITIES -- (4.5)% (7,599,925) --------------- NET ASSETS -- 100.0% $ 169,358,782 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $7,204,571 and the total value of the collateral held by the Fund is $7,757,080. (c) Rate shown reflects yield as of January 31, 2021. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $14,769,569 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $7,301,160. The net unrealized appreciation was $7,468,409. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2021 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* $ 169,050,168 $ -- $ -- Money Market Funds 7,908,539 -- -- --------------------------------------------- Total Investments $ 176,958,707 $ -- $ -- ============================================= * See Portfolio of Investments for industry breakout. Page 30 See Notes to Financial Statements <PAGE> FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN) PORTFOLIO OF INVESTMENTS JANUARY 31, 2021 (UNAUDITED) --------------------------------- OFFSETTING ASSETS AND LIABILITIES --------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT --------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 7,204,571 Non-cash Collateral(2) (7,204,571) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At January 31, 2021, 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 <PAGE> FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) PORTFOLIO OF INVESTMENTS JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.8% BANKS -- 31.9% 713,227 Associated Banc-Corp. $ 12,795,292 152,836 Bank of America Corp. 4,531,587 30,241 Bank of Hawaii Corp. 2,364,544 222,233 Bank OZK 8,258,178 135,308 BOK Financial Corp. 9,993,849 150,261 Citigroup, Inc. 8,713,635 129,548 Citizens Financial Group, Inc. 4,720,729 124,404 Comerica, Inc. 7,115,909 53,112 Cullen/Frost Bankers, Inc. 4,899,051 137,040 East West Bancorp, Inc. 8,214,178 975,282 F.N.B. Corp. 9,616,281 252,039 Fifth Third Bancorp 7,291,488 12,109 First Citizens BancShares, Inc., Class A 7,216,843 196,475 First Hawaiian, Inc. 4,568,044 726,123 First Horizon Corp. 10,085,848 550,196 Huntington Bancshares, Inc. 7,276,342 36,447 JPMorgan Chase & Co. 4,689,635 282,304 KeyCorp 4,759,645 72,770 M&T Bank Corp. 9,639,842 716,566 People's United Financial, Inc. 9,788,292 71,923 Pinnacle Financial Partners, Inc. 4,928,883 31,100 PNC Financial Services Group (The), Inc. 4,463,472 164,514 Popular, Inc. 9,336,170 100,175 Prosperity Bancshares, Inc. 6,755,802 143,678 Regions Financial Corp. 2,443,963 34,238 Signature Bank 5,655,775 386,484 Sterling Bancorp 7,134,495 5,968 SVB Financial Group (a) 2,612,671 143,111 Synovus Financial Corp. 5,323,729 187,712 TCF Financial Corp. 7,294,488 144,992 Truist Financial Corp. 6,956,716 99,443 U.S. Bancorp 4,261,133 109,896 Webster Financial Corp. 5,137,638 76,753 Wells Fargo & Co. 2,293,380 77,271 Western Alliance Bancorp 5,268,337 75,840 Wintrust Financial Corp. 4,564,810 106,651 Zions Bancorp N.A. 4,707,575 --------------- 235,678,249 --------------- CAPITAL MARKETS -- 21.4% 22,776 Affiliated Managers Group, Inc. 2,509,687 11,913 Ameriprise Financial, Inc. 2,357,225 286,536 Bank of New York Mellon (The) Corp. 11,412,729 74,627 Cboe Global Markets, Inc. 6,845,535 42,250 Evercore, Inc., Class A 4,609,475 486,615 Franklin Resources, Inc. 12,793,108 26,339 Goldman Sachs Group (The), Inc. 7,142,347 20,101 Intercontinental Exchange, Inc. 2,218,145 697,674 Invesco Ltd. 14,365,108 57,218 KKR & Co., Inc. 2,228,641 54,765 Lazard Ltd., Class A 2,256,318 88,909 LPL Financial Holdings, Inc. 9,632,401 4,069 MarketAxess Holdings, Inc. 2,200,352 SHARES DESCRIPTION VALUE --------------------------------------------------------------- CAPITAL MARKETS (CONTINUED) 135,190 Morgan Stanley $ 9,064,490 52,502 Morningstar, Inc. 12,069,685 10,385 MSCI, Inc. 4,105,191 17,441 Nasdaq, Inc. 2,359,244 49,742 Northern Trust Corp. 4,436,489 48,429 Raymond James Financial, Inc. 4,839,510 161,217 SEI Investments Co. 8,520,318 127,313 State Street Corp. 8,911,910 61,200 T. Rowe Price Group, Inc. 9,576,576 483,141 Virtu Financial, Inc., Class A 13,416,826 --------------- 157,871,310 --------------- CONSUMER FINANCE -- 6.7% 259,829 Ally Financial, Inc. 9,831,930 20,087 Credit Acceptance Corp. (a) (b) 7,748,962 192,387 OneMain Holdings, Inc. 8,957,539 420,762 Santander Consumer USA Holdings, Inc. 9,298,840 981,489 SLM Corp. 13,623,067 --------------- 49,460,338 --------------- DIVERSIFIED FINANCIAL SERVICES -- 3.2% 52,438 Berkshire Hathaway, Inc., Class B (a) 11,949,047 494,322 Jefferies Financial Group, Inc. 11,542,419 --------------- 23,491,466 --------------- INSURANCE -- 31.5% 273,456 Aflac, Inc. 12,354,742 110,618 Allstate (The) Corp. 11,856,037 26,445 American Financial Group, Inc. 2,489,532 256,876 Arch Capital Group Ltd. (a) 8,068,475 18,714 Arthur J. Gallagher & Co. 2,159,783 16,996 Assurant, Inc. 2,302,448 386,170 Assured Guaranty Ltd. 13,805,578 214,772 Athene Holding Ltd., Class A (a) 8,782,027 48,863 Brown & Brown, Inc. 2,105,507 15,058 Chubb Ltd. 2,193,499 79,522 Cincinnati Financial Corp. 6,687,005 9,422 Erie Indemnity Co., Class A 2,290,488 39,585 Everest Re Group Ltd. 8,355,602 237,031 Fidelity National Financial, Inc. 8,604,225 235,530 First American Financial Corp. 12,315,864 73,166 Globe Life, Inc. 6,613,475 59,437 Hanover Insurance Group (The), Inc. 6,684,879 248,268 Hartford Financial Services Group (The), Inc. 11,921,829 158,277 Kemper Corp. 11,134,787 184,152 Lincoln National Corp. 8,377,074 2,234 Markel Corp. (a) 2,165,818 259,017 MetLife, Inc. 12,471,669 247,607 Old Republic International Corp. 4,481,687 17,295 Primerica, Inc. 2,409,366 140,073 Principal Financial Group, Inc. 6,901,397 98,179 Progressive (The) Corp. 8,560,227 Page 32 See Notes to Financial Statements <PAGE> FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 59,954 Reinsurance Group of America, Inc. $ 6,298,168 41,898 RenaissanceRe Holdings Ltd. 6,303,135 49,496 Travelers (The) Cos., Inc. 6,746,305 530,099 Unum Group 12,314,200 12,158 White Mountains Insurance Group Ltd. 12,401,160 10,993 Willis Towers Watson PLC 2,230,919 --------------- 232,386,907 --------------- IT SERVICES -- 0.3% 15,124 Broadridge Financial Solutions, Inc. 2,137,172 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 0.6% 240,037 Starwood Property Trust, Inc. 4,503,094 --------------- THRIFTS & MORTGAGE FINANCE -- 4.2% 968,967 MGIC Investment Corp. 11,356,293 658,669 New York Community Bancorp, Inc. 6,889,678 601,410 Rocket Cos., Inc., Class A (a) (b) 12,846,117 --------------- 31,092,088 --------------- TOTAL COMMON STOCKS -- 99.8% 736,620,624 (Cost $654,293,505) --------------- MONEY MARKET FUNDS -- 2.3% 15,563,858 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.03% (c) (d) 15,563,858 1,178,611 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (c) 1,178,611 --------------- TOTAL MONEY MARKET FUNDS -- 2.3% 16,742,469 (Cost $16,742,469) --------------- TOTAL INVESTMENTS -- 102.1% 753,363,093 (Cost $671,035,974) (e) NET OTHER ASSETS AND LIABILITIES -- (2.1)% (15,358,438) --------------- NET ASSETS -- 100.0% $ 738,004,655 =============== (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 $15,426,219 and the total value of the collateral held by the Fund is $15,563,858. (c) Rate shown reflects yield as of January 31, 2021. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $93,920,127 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $11,593,008. The net unrealized appreciation was $82,327,119. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2021 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* $ 736,620,624 $ -- $ -- Money Market Funds 16,742,469 -- -- --------------------------------------------- Total Investments $ 753,363,093 $ -- $ -- ============================================= * 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) $ 15,426,219 Non-cash Collateral(2) (15,426,219) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At January 31, 2021, 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 <PAGE> FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH) PORTFOLIO OF INVESTMENTS JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 100% BIOTECHNOLOGY -- 17.9% 146,579 AbbVie, Inc. $ 15,021,416 207,380 ACADIA Pharmaceuticals, Inc. (a) 9,964,609 122,760 Acceleron Pharma, Inc. (a) 14,182,463 177,396 Alexion Pharmaceuticals, Inc. (a) 27,200,129 113,193 Biogen, Inc. (a) 31,989,474 252,857 BioMarin Pharmaceutical, Inc. (a) 20,931,502 167,356 Exact Sciences Corp. (a) 22,954,549 552,394 Exelixis, Inc. (a) 12,268,671 265,304 Moderna, Inc. (a) 45,940,040 256,306 Sage Therapeutics, Inc. (a) 20,671,079 65,028 Sarepta Therapeutics, Inc. (a) 5,813,503 182,596 United Therapeutics Corp. (a) 29,912,877 --------------- 256,850,312 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 21.5% 47,816 Abbott Laboratories 5,909,580 34,196 ABIOMED, Inc. (a) 11,908,757 41,493 Align Technology, Inc. (a) 21,799,592 65,246 Baxter International, Inc. 5,012,850 20,923 Becton, Dickinson and Co. 5,477,432 770,970 Boston Scientific Corp. (a) 27,323,177 14,409 Cooper (The) Cos., Inc. 5,245,452 23,568 Danaher Corp. 5,605,413 57,386 Edwards Lifesciences Corp. (a) 4,738,936 80,272 Globus Medical, Inc., Class A (a) 4,951,980 44,087 Haemonetics Corp. (a) 5,038,703 160,314 Hill-Rom Holdings, Inc. 15,396,557 304,450 Hologic, Inc. (a) 24,273,799 51,687 ICU Medical, Inc. (a) 10,568,958 44,358 IDEXX Laboratories, Inc. (a) 21,233,287 61,440 Insulet Corp. (a) 16,415,539 13,552 Intuitive Surgical, Inc. (a) 10,132,017 41,310 Masimo Corp. (a) 10,572,055 94,644 Medtronic PLC 10,536,717 160,173 Novocure Ltd. (a) 25,781,446 29,142 Quidel Corp. (a) 7,313,768 52,157 ResMed, Inc. 10,513,287 58,492 STERIS PLC 10,944,438 45,244 Stryker Corp. 9,999,376 12,721 Teleflex, Inc. 4,803,831 29,914 Varian Medical Systems, Inc. (a) 5,252,001 39,133 West Pharmaceutical Services, Inc. 11,719,942 --------------- 308,468,890 --------------- HEALTH CARE PROVIDERS & SERVICES -- 29.3% 312,493 Acadia Healthcare Co., Inc. (a) 15,837,145 75,591 Amedisys, Inc. (a) 21,718,050 69,056 Anthem, Inc. 20,508,251 206,993 Cardinal Health, Inc. 11,121,734 369,367 Centene Corp. (a) 22,272,830 SHARES DESCRIPTION VALUE --------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 20,815 Chemed Corp. $ 10,780,089 133,137 Cigna Corp. 28,897,386 236,085 DaVita, Inc. (a) 27,709,296 268,147 Encompass Health Corp. 21,559,019 172,044 Guardant Health, Inc. (a) 26,752,842 168,530 HCA Healthcare, Inc. 27,382,754 331,635 Henry Schein, Inc. (a) 21,838,165 67,556 Humana, Inc. 25,881,379 77,160 Laboratory Corp. of America Holdings (a) 17,662,696 104,256 Molina Healthcare, Inc. (a) 22,270,124 789,640 Premier, Inc., Class A 26,745,107 232,579 Quest Diagnostics, Inc. 30,037,578 44,787 UnitedHealth Group, Inc. 14,940,047 201,573 Universal Health Services, Inc., Class B 25,132,122 --------------- 419,046,614 --------------- HEALTH CARE TECHNOLOGY -- 0.9% 26,182 Teladoc Health, Inc. (a) 6,907,597 19,230 Veeva Systems, Inc., Class A (a) 5,315,941 --------------- 12,223,538 --------------- LIFE SCIENCES TOOLS & SERVICES -- 18.4% 110,918 10X Genomics, Inc., Class A (a) 18,983,616 265,617 Adaptive Biotechnologies Corp. (a) 14,733,775 132,551 Agilent Technologies, Inc. 15,928,654 984,595 Avantor, Inc. (a) 29,035,707 47,546 Bio-Rad Laboratories, Inc., Class A (a) 27,280,468 34,913 Bio-Techne Corp. 11,343,583 290,152 Bruker Corp. 16,796,899 88,742 Charles River Laboratories International, Inc. (a) 22,988,615 61,878 IQVIA Holdings, Inc. (a) 11,001,908 154,517 PerkinElmer, Inc. 22,724,815 125,207 PRA Health Sciences, Inc. (a) 15,430,511 99,060 QIAGEN N.V. (a) 5,364,099 115,708 Repligen Corp. (a) 23,141,600 230,529 Syneos Health, Inc. (a) 17,139,831 23,802 Thermo Fisher Scientific, Inc. 12,131,879 --------------- 264,025,960 --------------- PHARMACEUTICALS -- 12.0% 84,399 Bristol-Myers Squibb Co. 5,184,631 50,305 Catalent, Inc. (a) 5,787,590 31,008 Eli Lilly and Co. 6,448,734 303,118 Horizon Therapeutics PLC (a) 21,969,993 95,159 Jazz Pharmaceuticals PLC (a) 14,797,225 99,796 Johnson & Johnson 16,279,721 192,004 Merck & Co., Inc. 14,797,748 351,207 Perrigo Co. PLC 14,996,539 426,676 Pfizer, Inc. 15,317,668 553,773 Royalty Pharma PLC, Class A 26,032,869 1,478,995 Viatris, Inc. (a) 25,128,125 Page 34 See Notes to Financial Statements <PAGE> FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) PHARMACEUTICALS (CONTINUED) 31,633 Zoetis, Inc. $ 4,879,390 --------------- 171,620,233 --------------- TOTAL COMMON STOCKS -- 100% 1,432,235,547 (Cost $1,185,699,895) --------------- MONEY MARKET FUNDS -- 0.0% 814,056 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (b) 814,056 (Cost $814,056) --------------- TOTAL INVESTMENTS -- 100.0% 1,433,049,603 (Cost $1,186,513,951) (c) NET OTHER ASSETS AND LIABILITIES -- (0.0)% (566,661) --------------- NET ASSETS -- 100.0% $ 1,432,482,942 =============== (a) Non-income producing security. (b) Rate shown reflects yield as of January 31, 2021. (c) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $261,131,359 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $14,595,707. The net unrealized appreciation was $246,535,652. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS --------------------------------------------- Common Stocks* $1,432,235,547 $ -- $ -- Money Market Funds 814,056 -- -- --------------------------------------------- Total Investments $1,433,049,603 $ -- $ -- ============================================= * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 35 <PAGE> FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) PORTFOLIO OF INVESTMENTS JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 8.4% 99,413 Axon Enterprise, Inc. (a) $ 16,319,638 101,176 BWX Technologies, Inc. 5,455,410 104,826 Curtiss-Wright Corp. 10,879,890 102,201 General Dynamics Corp. 14,990,843 213,413 Howmet Aerospace, Inc. 5,245,691 89,360 Huntington Ingalls Industries, Inc. 14,059,009 34,634 Mercury Systems, Inc. (a) 2,461,092 30,062 Northrop Grumman Corp. 8,616,070 7,757 Teledyne Technologies, Inc. (a) 2,769,327 189,182 Textron, Inc. 8,562,377 9,974 TransDigm Group, Inc. (a) 5,518,415 --------------- 94,877,762 --------------- AIR FREIGHT & LOGISTICS -- 4.7% 64,794 C.H. Robinson Worldwide, Inc. 5,543,775 96,170 Expeditors International of Washington, Inc. 8,609,138 46,955 FedEx Corp. 11,050,390 90,330 United Parcel Service, Inc., Class B 14,001,150 127,702 XPO Logistics, Inc. (a) 14,099,578 --------------- 53,304,031 --------------- BUILDING PRODUCTS -- 3.4% 166,827 A.O. Smith Corp. 9,058,706 161,442 Carrier Global Corp. 6,215,517 65,257 Johnson Controls International PLC 3,251,104 110,833 Masco Corp. 6,019,340 145,479 Trex Co., Inc. (a) 13,350,608 --------------- 37,895,275 --------------- CHEMICALS -- 0.8% 21,019 PPG Industries, Inc. 2,831,469 33,685 RPM International, Inc. 2,778,002 4,116 Sherwin-Williams (The) Co. 2,847,449 --------------- 8,456,920 --------------- COMMERCIAL SERVICES & SUPPLIES -- 1.2% 1,163,780 ADT, Inc. 10,508,933 8,649 Cintas Corp. 2,751,420 --------------- 13,260,353 --------------- CONSTRUCTION & ENGINEERING -- 2.8% 61,127 AECOM (a) 3,062,462 27,857 Jacobs Engineering Group, Inc. 2,812,443 211,540 Quanta Services, Inc. 14,907,224 52,376 Valmont Industries, Inc. 10,104,378 --------------- 30,886,507 --------------- CONSTRUCTION MATERIALS -- 2.8% 90,246 Eagle Materials, Inc. 9,929,768 42,875 Martin Marietta Materials, Inc. 12,322,704 61,574 Vulcan Materials Co. 9,183,146 --------------- 31,435,618 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- CONSUMER FINANCE -- 1.3% 30,948 Capital One Financial Corp. $ 3,226,639 351,076 Synchrony Financial 11,813,707 --------------- 15,040,346 --------------- CONTAINERS & PACKAGING -- 9.7% 776,165 Amcor PLC 8,491,245 22,315 AptarGroup, Inc. 2,967,226 98,045 Ball Corp. 8,629,921 270,910 Berry Global Group, Inc. (a) 13,374,827 151,889 Crown Holdings, Inc. (a) 13,692,793 719,124 Graphic Packaging Holding Co. 11,261,482 88,425 Packaging Corp. of America 11,889,626 133,113 Sealed Air Corp. 5,626,687 410,801 Silgan Holdings, Inc. 14,965,480 205,642 Sonoco Products Co. 11,908,728 139,973 WestRock Co. 5,799,081 --------------- 108,607,096 --------------- ELECTRICAL EQUIPMENT -- 6.8% 125,826 Acuity Brands, Inc. 15,129,318 50,225 AMETEK, Inc. 5,688,483 50,642 Eaton Corp. PLC 5,960,563 113,588 Emerson Electric Co. 9,013,208 67,011 Generac Holdings, Inc. (a) 16,512,851 77,576 Hubbell, Inc. 12,070,826 99,344 Regal Beloit Corp. 12,465,685 --------------- 76,840,934 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 3.4% 75,751 Cognex Corp. 6,221,430 69,367 FLIR Systems, Inc. 3,610,552 69,269 Keysight Technologies, Inc. (a) 9,807,798 45,604 Trimble, Inc. (a) 3,005,760 39,657 Zebra Technologies Corp., Class A (a) 15,380,174 --------------- 38,025,714 --------------- INDUSTRIAL CONGLOMERATES -- 3.1% 52,389 3M Co. 9,202,652 77,984 Carlisle Cos., Inc. 11,302,221 1,128,102 General Electric Co. 12,048,129 14,192 Honeywell International, Inc. 2,772,691 --------------- 35,325,693 --------------- IT SERVICES -- 7.2% 11,796 Accenture PLC, Class A 2,853,688 164,551 Alliance Data Systems Corp. 11,131,875 69,799 Booz Allen Hamilton Holding Corp. 5,944,781 26,857 Fiserv, Inc. (a) 2,757,946 220,768 Genpact Ltd. 8,450,999 18,728 Jack Henry & Associates, Inc. 2,711,627 51,994 PayPal Holdings, Inc. (a) 12,182,714 69,831 Square, Inc., Class A (a) 15,080,703 181,479 StoneCo., Ltd., Class A (a) 13,048,340 277,681 Western Union (The) Co. 6,183,956 --------------- 80,346,629 --------------- Page 36 See Notes to Financial Statements <PAGE> FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) LEISURE PRODUCTS -- 1.5% 199,731 Brunswick Corp. $ 17,268,742 --------------- LIFE SCIENCES TOOLS & SERVICES -- 1.1% 8,150 Mettler-Toledo International, Inc. (a) 9,520,015 12,311 Waters Corp. (a) 3,258,352 --------------- 12,778,367 --------------- MACHINERY -- 17.8% 59,221 AGCO Corp. 6,567,609 282,324 Allison Transmission Holdings, Inc. 11,490,587 16,829 Caterpillar, Inc. 3,077,014 238,940 Colfax Corp. (a) 8,869,453 53,758 Cummins, Inc. 12,601,950 163,644 Donaldson Co., Inc. 9,726,999 48,309 Dover Corp. 5,627,515 82,570 Flowserve Corp. 2,936,189 42,907 Fortive Corp. 2,835,295 84,308 Graco, Inc. 5,812,194 15,438 IDEX Corp. 2,874,401 39,633 ITT, Inc. 2,960,981 78,484 Lincoln Electric Holdings, Inc. 8,986,418 70,740 Middleby (The) Corp. (a) 9,600,833 176,927 Oshkosh Corp. 16,204,744 141,310 PACCAR, Inc. 12,890,298 22,349 Parker-Hannifin Corp. 5,913,769 171,971 Pentair PLC 9,365,541 88,938 Snap-on, Inc. 16,007,951 34,173 Stanley Black & Decker, Inc. 5,928,674 128,549 Toro (The) Co. 12,115,743 346,141 Trinity Industries, Inc. 9,626,181 166,435 Westinghouse Air Brake Technologies Corp. 12,351,141 50,148 Woodward, Inc. 5,614,069 --------------- 199,985,549 --------------- MULTI-UTILITIES -- 1.4% 578,186 MDU Resources Group, Inc. 15,200,510 --------------- PROFESSIONAL SERVICES -- 4.0% 118,123 CoreLogic, Inc. 8,893,481 47,411 Equifax, Inc. 8,396,962 109,002 FTI Consulting, Inc. (a) 11,986,950 195,111 Robert Half International, Inc. 13,169,992 14,616 Verisk Analytics, Inc. 2,682,036 --------------- 45,129,421 --------------- ROAD & RAIL -- 8.3% 100,747 CSX Corp. 8,639,559 89,307 J.B. Hunt Transport Services, Inc. 12,026,081 29,701 Kansas City Southern 6,019,502 364,279 Knight-Swift Transportation Holdings, Inc. 14,571,160 46,013 Landstar System, Inc. 6,414,212 25,566 Norfolk Southern Corp. 6,049,427 31,069 Old Dominion Freight Line, Inc. 6,027,386 SHARES DESCRIPTION VALUE --------------------------------------------------------------- ROAD & RAIL (CONTINUED) 197,388 Ryder System, Inc. $ 12,354,515 735,568 Schneider National, Inc., Class B 15,446,928 29,205 Union Pacific Corp. 5,767,111 --------------- 93,315,881 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.4% 101,227 MKS Instruments, Inc. 16,000,952 --------------- SOFTWARE -- 3.7% 111,671 Bill.com Holdings, Inc. (a) 13,610,461 11,875 Fair Isaac Corp. (a) 5,345,056 73,897 Paylocity Holding Corp. (a) 13,852,732 435,931 Pluralsight, Inc., Class A (a) 9,067,365 --------------- 41,875,614 --------------- TRADING COMPANIES & DISTRIBUTORS -- 5.1% 342,883 Air Lease Corp. 13,588,453 180,537 MSC Industrial Direct Co., Inc., Class A 14,004,255 65,664 United Rentals, Inc. (a) 15,957,009 29,699 W.W. Grainger, Inc. 10,822,019 13,293 Watsco, Inc. 3,170,247 --------------- 57,541,983 --------------- TOTAL COMMON STOCKS -- 99.9% 1,123,399,897 (Cost $1,151,185,505) --------------- MONEY MARKET FUNDS -- 0.2% 1,824,603 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (b) 1,824,603 (Cost $1,824,603) --------------- TOTAL INVESTMENTS -- 100.1% 1,125,224,500 (Cost $1,153,010,108) (c) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (1,513,433) --------------- Net Assets -- 100.0% $ 1,123,711,067 =============== (a) Non-income producing security. (b) Rate shown reflects yield as of January 31, 2021. (c) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $8,883,407 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $36,669,015. The net unrealized depreciation was $27,785,608. See Notes to Financial Statements Page 37 <PAGE> FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2021 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* $1,123,399,897 $ -- $ -- Money Market Funds 1,824,603 -- -- --------------------------------------------- Total Investments $1,125,224,500 $ -- $ -- ============================================= * See Portfolio of Investments for industry breakout. Page 38 See Notes to Financial Statements <PAGE> FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) PORTFOLIO OF INVESTMENTS JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 2.3% 108,129 Hexcel Corp. $ 4,720,912 --------------- CHEMICALS -- 53.6% 19,193 Air Products and Chemicals, Inc. 5,119,925 27,077 Albemarle Corp. 4,404,345 22,070 Ashland Global Holdings, Inc. 1,765,379 38,945 Cabot Corp. 1,710,075 40,352 Celanese Corp. 4,928,997 206,391 CF Industries Holdings, Inc. 8,540,460 70,498 Chemours (The) Co. 1,856,917 31,490 Dow, Inc. 1,634,331 79,674 Eastman Chemical Co. 7,835,938 18,462 Ecolab, Inc. 3,775,664 295,719 Element Solutions, Inc. 5,036,095 34,762 FMC Corp. 3,764,377 317,801 Huntsman Corp. 8,396,302 48,175 International Flavors & Fragrances, Inc. (a) 5,413,906 15,158 Linde PLC 3,719,773 57,198 LyondellBasell Industries N.V., Class A 4,905,300 75,954 Mosaic (The) Co. 1,971,766 20,063 NewMarket Corp. 7,868,508 71,161 Olin Corp. 1,701,459 50,146 Scotts Miracle-Gro (The) Co. 11,102,826 172,632 Valvoline, Inc. 4,098,284 31,877 W.R. Grace & Co. 1,849,504 122,390 Westlake Chemical Corp. 9,357,939 --------------- 110,758,070 --------------- CONTAINERS & PACKAGING -- 6.3% 51,508 Avery Dennison Corp. 7,771,012 105,452 International Paper Co. 5,305,290 --------------- 13,076,302 --------------- ELECTRICAL EQUIPMENT -- 3.5% 749,486 GrafTech International Ltd. 7,270,014 --------------- MACHINERY -- 4.7% 129,097 Timken (The) Co. 9,767,479 --------------- METALS & MINING -- 25.2% 67,167 Freeport-McMoRan, Inc. (b) 1,807,464 166,756 Newmont Corp. 9,938,657 150,211 Nucor Corp. 7,319,782 83,401 Reliance Steel & Aluminum Co. 9,681,188 93,895 Royal Gold, Inc. 10,035,498 61,344 Southern Copper Corp. 4,073,855 270,864 Steel Dynamics, Inc. 9,282,509 --------------- 52,138,953 --------------- TRADING COMPANIES & DISTRIBUTORS -- 4.3% 81,807 Fastenal Co. 3,729,581 SHARES DESCRIPTION VALUE --------------------------------------------------------------- TRADING COMPANIES & DISTRIBUTORS (CONTINUED) 275,806 Univar Solutions, Inc. (b) $ 5,127,234 --------------- 8,856,815 --------------- TOTAL COMMON STOCKS -- 99.9% 206,588,545 (Cost $178,995,470) --------------- MONEY MARKET FUNDS -- 1.3% 2,368,670 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.03% (c) (d) 2,368,670 222,423 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (c) 222,423 --------------- TOTAL MONEY MARKET FUNDS -- 1.3% 2,591,093 (Cost $2,591,093) --------------- TOTAL INVESTMENTS -- 101.2% 209,179,638 (Cost $181,586,563) (e) NET OTHER ASSETS AND LIABILITIES -- (1.2)% (2,450,741) --------------- NET ASSETS -- 100.0% $ 206,728,897 =============== (a) 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 $2,266,369 and the total value of the collateral held by the Fund is $2,368,670. (b) Non-income producing security. (c) Rate shown reflects yield as of January 31, 2021. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $29,031,249 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $1,438,174. The net unrealized appreciation was $27,593,075. See Notes to Financial Statements Page 39 <PAGE> FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2021 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* $ 206,588,545 $ -- $ -- Money Market Funds 2,591,093 -- -- --------------------------------------------- Total Investments $ 209,179,638 $ -- $ -- ============================================= * See Portfolio of Investments for industry breakout. --------------------------------- OFFSETTING ASSETS AND LIABILITIES --------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT --------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 2,266,369 Non-cash Collateral(2) (2,266,369) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At January 31, 2021, 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 <PAGE> FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) PORTFOLIO OF INVESTMENTS JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 100.0% COMMUNICATIONS EQUIPMENT -- 1.1% 55,013 Arista Networks, Inc. (a) $ 16,919,798 45,436 F5 Networks, Inc. (a) 8,903,184 --------------- 25,822,982 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 6.0% 122,250 Amphenol Corp., Class A 15,266,580 328,591 Arrow Electronics, Inc. (a) 32,080,340 222,030 Corning, Inc. 7,964,216 35,717 IPG Photonics Corp. (a) 7,980,249 751,753 Jabil, Inc. 31,100,022 363,813 National Instruments Corp. 15,061,858 515,265 SYNNEX Corp. 42,055,929 --------------- 151,509,194 --------------- INDUSTRIAL CONGLOMERATES -- 0.6% 37,083 Roper Technologies, Inc. 14,570,282 --------------- INTERACTIVE MEDIA & SERVICES -- 2.7% 9,124 Alphabet, Inc., Class A (a) 16,672,833 29,258 Facebook, Inc., Class A (a) 7,558,219 636,781 Pinterest, Inc., Class A (a) 43,625,866 --------------- 67,856,918 --------------- INTERNET & DIRECT MARKETING RETAIL -- 0.3% 107,622 GrubHub, Inc. (a) 8,100,708 --------------- IT SERVICES -- 14.5% 152,260 Akamai Technologies, Inc. (a) 16,905,428 450,756 Amdocs Ltd. 31,832,389 128,228 CACI International, Inc., Class A (a) 30,931,158 307,232 Cognizant Technology Solutions Corp., Class A 23,948,735 70,266 EPAM Systems, Inc. (a) 24,201,718 99,791 Gartner, Inc. (a) 15,159,251 146,924 Globant S.A. (a) 28,209,408 96,361 GoDaddy, Inc., Class A (a) 7,572,047 200,021 International Business Machines Corp. 23,824,501 152,079 Leidos Holdings, Inc. 16,129,499 116,871 MongoDB, Inc. (a) 43,196,690 99,025 Okta, Inc. (a) 25,648,465 337,832 Science Applications International Corp. 32,442,007 123,972 Twilio, Inc., Class A (a) 44,559,256 --------------- 364,560,552 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 25.1% 348,624 Advanced Micro Devices, Inc. (a) 29,856,159 54,102 Analog Devices, Inc. 7,970,848 486,245 Applied Materials, Inc. 47,010,167 57,506 Broadcom, Inc. 25,906,453 194,480 Cirrus Logic, Inc. (a) 18,220,831 SHARES DESCRIPTION VALUE --------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 332,696 Entegris, Inc. $ 32,733,959 261,508 Inphi Corp. (a) 44,092,864 842,302 Intel Corp. 46,756,184 123,490 KLA Corp. 34,585,844 88,849 Lam Research Corp. 42,998,474 672,526 Marvell Technology Group Ltd. 34,608,188 284,019 Maxim Integrated Products, Inc. 24,911,307 115,749 Microchip Technology, Inc. 15,754,596 425,271 Micron Technology, Inc. (a) 33,285,961 87,302 Monolithic Power Systems, Inc. 31,017,528 30,609 NVIDIA Corp. 15,904,130 244,213 ON Semiconductor Corp. (a) 8,422,906 48,076 Qorvo, Inc. (a) 8,215,227 209,876 QUALCOMM, Inc. 32,799,421 104,569 Skyworks Solutions, Inc. 17,698,303 350,018 Teradyne, Inc. 39,720,043 48,696 Texas Instruments, Inc. 8,068,440 69,563 Universal Display Corp. 16,056,532 112,766 Xilinx, Inc. 14,723,857 --------------- 631,318,222 --------------- SOFTWARE -- 40.5% 350,426 Anaplan, Inc. (a) 23,373,414 21,966 ANSYS, Inc. (a) 7,784,091 107,660 Atlassian Corp. PLC, Class A (a) 24,883,456 82,464 Autodesk, Inc. (a) 22,877,988 152,693 Avalara, Inc. (a) 22,903,950 184,552 Cadence Design Systems, Inc. (a) 24,063,735 236,276 Ceridian HCM Holding, Inc. (a) 21,952,403 61,436 Citrix Systems, Inc. 8,190,033 552,228 Cloudflare, Inc., Class A (a) 42,333,798 74,295 Coupa Software, Inc. (a) 23,021,792 198,111 Crowdstrike Holdings, Inc., Class A (a) 42,752,354 35,951 DocuSign, Inc. (a) 8,372,628 360,206 Dropbox, Inc., Class A (a) 8,151,462 287,168 Elastic N.V. (a) 43,638,049 53,615 Everbridge, Inc. (a) 7,127,042 1,819,752 FireEye, Inc. (a) 38,214,792 183,324 Five9, Inc. (a) 30,477,615 53,814 Fortinet, Inc. (a) 7,789,577 62,096 Guidewire Software, Inc. (a) 7,124,895 105,852 HubSpot, Inc. (a) 39,398,114 42,086 Intuit, Inc. 15,202,726 240,612 Medallia, Inc. (a) 9,985,398 790,029 Nutanix, Inc., Class A (a) 24,111,685 123,563 Oracle Corp. 7,466,912 1,006,316 PagerDuty, Inc. (a) 49,037,779 118,079 Palo Alto Networks, Inc. (a) 41,416,209 70,700 Paycom Software, Inc. (a) 26,847,618 119,965 Pegasystems, Inc. 15,289,539 117,194 Proofpoint, Inc. (a) 15,127,402 350,836 PTC, Inc. (a) 46,629,613 84,361 RingCentral, Inc., Class A (a) 31,459,904 45,744 ServiceNow, Inc. (a) 24,846,311 See Notes to Financial Statements Page 41 <PAGE> FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 756,919 Slack Technologies, Inc., Class A (a) $ 31,919,274 461,421 Smartsheet, Inc., Class A (a) 32,179,501 219,740 SS&C Technologies Holdings, Inc. 13,817,251 97,120 Synopsys, Inc. (a) 24,809,304 1,120,525 Teradata Corp. (a) 30,142,123 36,621 Tyler Technologies, Inc. (a) 15,482,993 66,712 Workday, Inc., Class A (a) 15,178,981 293,199 Zendesk, Inc. (a) 42,291,024 23,701 Zoom Video Communications, Inc., Class A (a) 8,818,431 210,119 Zscaler, Inc. (a) 41,960,764 --------------- 1,018,451,930 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 9.2% 189,747 Apple, Inc. 25,039,014 343,539 Dell Technologies, Inc., Class C (a) 25,040,558 2,698,070 Hewlett Packard Enterprise Co. 33,294,184 325,052 HP, Inc. 7,911,766 851,006 NCR Corp. (a) 28,389,560 380,100 NetApp, Inc. 25,253,844 1,414,068 Pure Storage, Inc., Class A (a) 32,707,393 288,614 Western Digital Corp. 16,286,488 1,809,544 Xerox Holdings Corp. 38,054,710 --------------- 231,977,517 --------------- TOTAL COMMON STOCKS -- 100.0% 2,514,168,305 (Cost $1,967,491,755) --------------- MONEY MARKET FUNDS -- 0.1% 2,424,894 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (b) 2,424,894 (Cost $2,424,894) --------------- TOTAL INVESTMENTS -- 100.1% 2,516,593,199 (Cost $1,969,916,649) (c) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (1,851,044) --------------- NET ASSETS -- 100.0% $ 2,514,742,155 =============== (a) Non-income producing security. (b) Rate shown reflects yield as of January 31, 2021. (c) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $556,010,127 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $9,333,577. The net unrealized appreciation was $546,676,550. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2021 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* $2,514,168,305 $ -- $ -- Money Market Funds 2,424,894 -- -- --------------------------------------------- Total Investments $2,516,593,199 $ -- $ -- ============================================= * See Portfolio of Investments for industry breakout. Page 42 See Notes to Financial Statements <PAGE> FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU) PORTFOLIO OF INVESTMENTS JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.7% COMMERCIAL SERVICES & SUPPLIES -- 5.8% 58,188 Clean Harbors, Inc. (a) $ 4,507,243 30,658 Republic Services, Inc. 2,775,162 25,036 Waste Management, Inc. 2,787,008 --------------- 10,069,413 --------------- ELECTRIC UTILITIES -- 56.5% 114,574 Alliant Energy Corp. 5,574,025 53,184 American Electric Power Co., Inc. 4,303,117 162,384 Avangrid, Inc. 7,513,508 48,363 Duke Energy Corp. 4,546,122 70,489 Edison International 4,099,640 59,138 Entergy Corp. 5,637,626 106,363 Evergy, Inc. 5,714,884 34,125 Eversource Energy 2,985,937 174,809 Exelon Corp. 7,265,062 96,438 FirstEnergy Corp. 2,966,433 166,830 Hawaiian Electric Industries, Inc. 5,515,400 61,482 IDACORP, Inc. 5,428,861 38,266 NextEra Energy, Inc. 3,094,571 196,549 NRG Energy, Inc. 8,139,094 46,325 OGE Energy Corp. 1,413,839 118,461 PG&E Corp. (a) 1,354,009 92,313 Pinnacle West Capital Corp. 6,946,553 261,709 PPL Corp. 7,241,488 72,081 Southern (The) Co. 4,247,013 66,424 Xcel Energy, Inc. 4,250,472 --------------- 98,237,654 --------------- GAS UTILITIES -- 8.4% 61,869 Atmos Energy Corp. 5,506,341 35,889 National Fuel Gas Co. 1,444,891 211,106 UGI Corp. 7,597,705 --------------- 14,548,937 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 5.2% 62,813 AES (The) Corp. 1,532,009 375,399 Vistra Corp. 7,496,718 --------------- 9,028,727 --------------- MULTI-UTILITIES -- 22.1% 56,726 Ameren Corp. 4,125,115 68,206 CenterPoint Energy, Inc. 1,438,464 48,389 CMS Energy Corp. 2,752,366 102,121 Consolidated Edison, Inc. 7,228,124 39,258 Dominion Energy, Inc. 2,861,516 48,631 DTE Energy Co. 5,773,472 64,342 NiSource, Inc. 1,425,175 101,276 Public Service Enterprise Group, Inc. 5,715,005 34,756 Sempra Energy 4,301,403 32,073 WEC Energy Group, Inc. 2,851,290 --------------- 38,471,930 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- WATER UTILITIES -- 1.7% 9,617 American Water Works Co., Inc. $ 1,529,295 31,209 Essential Utilities, Inc. 1,444,977 --------------- 2,974,272 --------------- TOTAL COMMON STOCKS -- 99.7% 173,330,933 (Cost $186,654,862) --------------- MONEY MARKET FUNDS -- 0.3% 432,817 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (b) 432,817 (Cost $432,817) --------------- TOTAL INVESTMENTS -- 100.0% 173,763,750 (Cost $187,087,679) (c) NET OTHER ASSETS AND LIABILITIES -- 0.0% 67,406 --------------- NET ASSETS -- 100.0% $ 173,831,156 =============== (a) Non-income producing security. (b) Rate shown reflects yield as of January 31, 2021. (c) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax ses. As of January 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $5,206,116 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $18,530,045. The net unrealized depreciation was $13,323,929. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2021 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* $ 173,330,933 $ -- $ -- Money Market Funds 432,817 -- -- --------------------------------------------- Total Investments $ 173,763,750 $ -- $ -- ============================================= * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 43 <PAGE> FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS STATEMENTS OF ASSETS AND LIABILITIES JANUARY 31, 2021 (UNAUDITED) <TABLE> <CAPTION> FIRST TRUST FIRST TRUST CONSUMER CONSUMER FIRST TRUST DISCRETIONARY STAPLES ENERGY ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FXD) (FXG) (FXN) -------------------- -------------------- -------------------- ASSETS: <S> <C> <C> <C> Investments, at value............................................... $1,414,040,266 $ 238,118,421 $ 176,958,707 Receivables: Capital shares sold.............................................. -- -- 3,337,119 Investment securities sold....................................... -- 10,430,096 1,249,349 Dividends........................................................ 188,482 412,451 282,490 Securities lending income........................................ 3,929 118,639 964 Prepaid expenses.................................................... 10,236 1,454 6,637 -------------- -------------- -------------- Total Assets..................................................... 1,414,242,913 249,081,061 181,835,266 -------------- -------------- -------------- LIABILITIES: Payables: Investment securities purchased.................................. -- -- 3,331,598 Capital shares redeemed.......................................... -- 10,464,329 1,251,420 Collateral for securities on loan................................ 4,896,792 8,179,103 7,757,080 Investment advisory fees......................................... 599,390 105,297 73,041 Licensing fees................................................... 171,043 34,220 18,500 Audit and tax fees............................................... 14,241 14,357 14,348 Shareholder reporting fees....................................... 7,955 18,841 1,906 Trustees' fees................................................... 627 730 742 Other liabilities................................................... 200,741 46,588 27,849 -------------- -------------- -------------- Total Liabilities................................................ 5,890,789 18,863,465 12,476,484 -------------- -------------- -------------- NET ASSETS.......................................................... $1,408,352,124 $ 230,217,596 $ 169,358,782 ============== ============== ============== NET ASSETS CONSIST OF: Paid-in capital..................................................... $1,532,818,146 $ 468,608,823 $ 726,324,134 Par value........................................................... 268,000 44,000 203,000 Accumulated distributable earnings (loss)........................... (124,734,022) (238,435,227) (557,168,352) -------------- -------------- -------------- NET ASSETS.......................................................... $1,408,352,124 $ 230,217,596 $ 169,358,782 ============== ============== ============== NET ASSET VALUE, per share.......................................... $ 52.55 $ 52.32 $ 8.34 ============== ============== ============== Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)........................... 26,800,002 4,400,002 20,300,002 ============== ============== ============== Investments, at cost................................................ $1,154,510,071 $ 222,656,100 $ 169,490,298 ============== ============== ============== Securities on loan, at value........................................ $ 4,700,658 $ 7,914,971 $ 7,204,571 ============== ============== ============== </TABLE> Page 44 See Notes to Financial Statements <PAGE> <TABLE> <CAPTION> 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) -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- <S> <C> <C> <C> <C> <C> $ 753,363,093 $1,433,049,603 $1,125,224,500 $ 209,179,638 $2,516,593,199 $ 173,763,750 -- -- 22,679,930 -- -- -- -- -- 52,907,656 -- 11,304,009 1,386,563 738,238 616,831 137,733 64,787 76,336 295,740 86,599 -- -- 19,308 -- -- -- 9,673 -- 587 15,427 -- -------------- -------------- -------------- -------------- -------------- -------------- 754,187,930 1,433,676,107 1,200,949,819 209,264,320 2,527,988,971 175,446,053 -------------- -------------- -------------- -------------- -------------- -------------- -- -- 22,674,710 -- -- -- -- -- 52,919,837 -- 11,307,867 1,390,649 15,563,858 -- -- 2,368,670 -- -- 313,659 620,687 239,185 88,276 1,131,029 77,891 84,185 281,000 44,959 21,755 335,723 27,972 14,206 14,268 14,225 14,317 14,306 14,373 85,438 38,858 17,550 9,936 80,204 53,149 1,175 661 729 697 967 991 120,754 237,691 1,327,557 31,772 376,720 49,872 -------------- -------------- -------------- -------------- -------------- -------------- 16,183,275 1,193,165 77,238,752 2,535,423 13,246,816 1,614,897 -------------- -------------- -------------- -------------- -------------- -------------- $ 738,004,655 $1,432,482,942 $1,123,711,067 $ 206,728,897 $2,514,742,155 $ 173,831,156 ============== ============== ============== ============== ============== ============== $ 909,039,358 $1,812,766,875 $1,321,101,428 $ 318,234,989 $2,000,837,820 $ 381,229,995 211,000 132,000 228,000 43,500 226,050 62,500 (171,245,703) (380,415,933) (197,618,361) (111,549,592) 513,678,285 (207,461,339) -------------- -------------- -------------- -------------- -------------- -------------- $ 738,004,655 $1,432,482,942 $1,123,711,067 $ 206,728,897 $2,514,742,155 $ 173,831,156 ============== ============== ============== ============== ============== ============== $ 34.98 $ 108.52 $ 49.29 $ 47.52 $ 111.25 $ 27.81 ============== ============== ============== ============== ============== ============== 21,100,002 13,200,002 22,800,002 4,350,002 22,605,000 6,250,002 ============== ============== ============== ============== ============== ============== $ 671,035,974 $1,186,513,951 $1,153,010,108 $ 181,586,563 $1,969,916,649 $ 187,087,679 ============== ============== ============== ============== ============== ============== $ 15,426,219 $ -- $ -- $ 2,266,369 $ -- $ -- ============== ============== ============== ============== ============== ============== </TABLE> See Notes to Financial Statements Page 45 <PAGE> FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED JANUARY 31, 2021 (UNAUDITED) <TABLE> <CAPTION> 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: <S> <C> <C> <C> Dividends........................................................... $ 5,366,129 $ 2,474,072 $ 5,520,046 Securities lending income (net of fees)............................. 20,955 190,089 23,105 Foreign withholding tax............................................. -- -- -- -------------- -------------- -------------- Total investment income.......................................... 5,387,084 2,664,161 5,543,151 -------------- -------------- -------------- EXPENSES: Investment advisory fees............................................ 3,009,488 640,989 642,418 Accounting and administration fees.................................. 293,152 64,961 65,705 Licensing fees...................................................... 240,759 51,279 51,393 Custodian fees...................................................... 46,700 10,350 11,972 Transfer agent fees................................................. 27,765 6,430 6,504 Shareholder reporting fees.......................................... 27,231 17,675 10,621 Audit and tax fees.................................................. 11,184 11,184 11,184 Legal fees.......................................................... 7,767 3,341 1,827 Listing fees........................................................ 4,443 4,443 4,443 Trustees' fees and expenses......................................... 3,671 3,436 3,532 Other expenses...................................................... 5,377 4,173 3,611 -------------- -------------- -------------- Total expenses................................................... 3,677,537 818,261 813,210 -------------- -------------- -------------- NET INVESTMENT INCOME (LOSS)........................................ 1,709,547 1,845,900 4,729,941 -------------- -------------- -------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments...................................................... 55,024,389 12,545,102 (7,388,526) In-kind redemptions.............................................. 43,588,249 8,629,007 (65,642,930) -------------- -------------- -------------- Net realized gain (loss)............................................ 98,612,638 21,174,109 (73,031,456) -------------- -------------- -------------- Net change in unrealized appreciation (depreciation) on investments...................................................... 227,072,469 (3,798,155) 53,857,281 -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS)............................. 325,685,107 17,375,954 (19,174,175) -------------- -------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................................................. $ 327,394,654 $ 19,221,854 $ (14,444,234) ============== ============== ============== </TABLE> Page 46 See Notes to Financial Statements <PAGE> <TABLE> <CAPTION> 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) -------------------- -------------------- -------------------- -------------------- -------------------- -------------------- <S> <C> <C> <C> <C> <C> $ 10,225,391 $ 3,863,869 $ 2,140,576 $ 1,684,530 $ 6,216,615 $ 3,542,516 90,547 13,019 162 28,342 9,415 -- (17,187) -- -- -- -- -- -------------- -------------- -------------- -------------- -------------- -------------- 10,298,751 3,876,888 2,140,738 1,712,872 6,226,030 3,542,516 -------------- -------------- -------------- -------------- -------------- -------------- 1,468,847 3,451,924 756,994 357,355 5,955,088 516,302 148,440 327,456 76,473 36,528 527,244 52,199 117,508 276,156 60,560 28,588 476,407 41,304 24,940 51,896 13,335 5,170 86,997 9,178 14,755 29,894 7,519 3,584 42,501 5,151 52,851 51,115 15,229 10,316 80,811 31,800 11,184 11,184 11,184 11,184 11,184 11,184 8,234 19,322 1,612 1,125 26,230 7,411 7,373 4,443 4,443 4,443 5,419 5,419 3,608 3,927 3,408 3,364 4,263 3,516 13,356 13,026 5,525 2,364 21,553 9,392 -------------- -------------- -------------- -------------- -------------- -------------- 1,871,096 4,240,343 956,282 464,021 7,237,697 692,856 -------------- -------------- -------------- -------------- -------------- -------------- 8,427,655 (363,455) 1,184,456 1,248,851 (1,011,667) 2,849,660 -------------- -------------- -------------- -------------- -------------- -------------- 2,823,685 35,670,997 11,597,706 5,326,136 (24,046,340) (1,040,834) 13,556,635 33,022,409 32,747,497 572,963 502,070,023 557,504 -------------- -------------- -------------- -------------- -------------- -------------- 16,380,320 68,693,406 44,345,203 5,899,099 478,023,683 (483,330) -------------- -------------- -------------- -------------- -------------- -------------- 151,495,153 109,536,930 (35,232,669) 28,884,832 39,498,731 3,480,768 -------------- -------------- -------------- -------------- -------------- -------------- 167,875,473 178,230,336 9,112,534 34,783,931 517,522,414 2,997,438 -------------- -------------- -------------- -------------- -------------- -------------- $ 176,303,128 $ 177,866,881 $ 10,296,990 $ 36,032,782 $ 516,510,747 $ 5,847,098 ============== ============== ============== ============== ============== ============== </TABLE> See Notes to Financial Statements Page 47 <PAGE> FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS STATEMENTS OF CHANGES IN NET ASSETS <TABLE> <CAPTION> FIRST TRUST FIRST TRUST CONSUMER DISCRETIONARY CONSUMER STAPLES ALPHADEX(R) FUND ALPHADEX(R) FUND (FXD) (FXG) ---------------------------------- ---------------------------------- Six Months Ended Six Months Ended 1/31/2021 Year Ended 1/31/2021 Year Ended (Unaudited) 7/31/2020 (Unaudited) 7/31/2020 ---------------- ---------------- ---------------- ---------------- <S> <C> <C> <C> <C> OPERATIONS: Net investment income (loss).............................. $ 1,709,547 $ 2,809,312 $ 1,845,900 $ 5,158,384 Net realized gain (loss).................................. 98,612,638 (32,492,782) 21,174,109 (5,762,995) Net change in unrealized appreciation (depreciation)...... 227,072,469 15,417,991 (3,798,155) 23,646,253 -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from operations........................................ 327,394,654 (14,265,479) 19,221,854 23,041,642 -------------- -------------- -------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations..................................... (1,835,925) (3,533,221) (1,659,160) (5,348,032) -------------- -------------- -------------- -------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold................................. 288,252,638 938,313,476 7,582,313 104,301,401 Cost of shares redeemed................................... (154,407,246) (355,683,320) (53,356,273) (193,358,328) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from shareholder transactions.......................... 133,845,392 582,630,156 (45,773,960) (89,056,927) -------------- -------------- -------------- -------------- Total increase (decrease) in net assets................... 459,404,121 564,831,456 (28,211,266) (71,363,317) NET ASSETS: Beginning of period....................................... 948,948,003 384,116,547 258,428,862 329,792,179 -------------- -------------- -------------- -------------- End of period............................................. $1,408,352,124 $ 948,948,003 $ 230,217,596 $ 258,428,862 ============== ============== ============== ============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period................... 23,900,002 8,850,002 5,300,002 7,200,002 Shares sold............................................... 6,000,000 24,300,000 150,000 2,200,000 Shares redeemed........................................... (3,100,000) (9,250,000) (1,050,000) (4,100,000) -------------- -------------- -------------- -------------- Shares outstanding, end of period......................... 26,800,002 23,900,002 4,400,002 5,300,002 ============== ============== ============== ============== </TABLE> Page 48 See Notes to Financial Statements <PAGE> <TABLE> <CAPTION> FIRST TRUST FIRST TRUST FIRST TRUST ENERGY FINANCIALS HEALTH CARE ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FXN) (FXO) (FXH) ---------------------------------- ---------------------------------- ---------------------------------- Six Months Ended Six Months Ended Six Months Ended 1/31/2021 Year Ended 1/31/2021 Year Ended 1/31/2021 Year Ended (Unaudited) 7/31/2020 (Unaudited) 7/31/2020 (Unaudited) 7/31/2020 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- <S> <C> <C> <C> <C> <C> $ 4,729,941 $ 3,636,765 $ 8,427,655 $ 29,800,849 $ (363,455) $ 150,451 (73,031,456) (91,359,352) 16,380,320 (316,737,823) 68,693,406 220,856,461 53,857,281 (11,197,032) 151,495,153 (148,910,367) 109,536,930 116,645,310 -------------- -------------- -------------- -------------- -------------- -------------- (14,444,234) (98,919,619) 176,303,128 (435,847,341) 177,866,881 337,652,222 -------------- -------------- -------------- -------------- -------------- -------------- (6,300,781) (2,332,625) (9,221,026) (34,034,992) -- -- -------------- -------------- -------------- -------------- -------------- -------------- 117,653,460 750,311,311 113,988,273 1,178,265,404 69,531,816 1,479,716,526 (543,344,710) (155,637,525) (81,237,749) (1,158,563,694) (163,224,508) (1,652,799,967) -------------- -------------- -------------- -------------- -------------- -------------- (425,691,250) 594,673,786 32,750,524 19,701,710 (93,692,692) (173,083,441) -------------- -------------- -------------- -------------- -------------- -------------- (446,436,265) 493,421,542 199,832,626 (450,180,623) 84,174,189 164,568,781 615,795,047 122,373,505 538,172,029 988,352,652 1,348,308,753 1,183,739,972 -------------- -------------- -------------- -------------- -------------- -------------- $ 169,358,782 $ 615,795,047 $ 738,004,655 $ 538,172,029 $1,432,482,942 $1,348,308,753 ============== ============== ============== ============== ============== ============== 94,150,002 11,250,002 20,800,002 30,550,002 14,150,002 15,250,002 16,250,000 104,100,000 3,350,000 36,650,000 700,000 18,650,000 (90,100,000) (21,200,000) (3,050,000) (46,400,000) (1,650,000) (19,750,000) -------------- -------------- -------------- -------------- -------------- -------------- 20,300,002 94,150,002 21,100,002 20,800,002 13,200,002 14,150,002 ============== ============== ============== ============== ============== ============== </TABLE> See Notes to Financial Statements Page 49 <PAGE> FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) <TABLE> <CAPTION> FIRST TRUST FIRST TRUST INDUSTRIALS/PRODUCER DURABLES MATERIALS ALPHADEX(R) FUND ALPHADEX(R) FUND (FXR) (FXZ) ---------------------------------- ---------------------------------- Six Months Ended Six Months Ended 1/31/2021 Year Ended 1/31/2021 Year Ended (Unaudited) 7/31/2020 (Unaudited) 7/31/2020 ---------------- ---------------- ---------------- ---------------- <S> <C> <C> <C> <C> OPERATIONS: Net investment income (loss).............................. $ 1,184,456 $ 3,504,078 $ 1,248,851 $ 2,093,036 Net realized gain (loss).................................. 44,345,203 (36,167,020) 5,899,099 (21,284,118) Net change in unrealized appreciation (depreciation)...... (35,232,669) (2,899,601) 28,884,832 10,549,321 -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from operations........................................ 10,296,990 (35,562,543) 36,032,782 (8,641,761) -------------- -------------- -------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations..................................... (1,324,201) (4,258,336) (1,397,641) (2,392,541) -------------- -------------- -------------- -------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold................................. 1,057,900,743 68,228,226 77,209,219 55,372,219 Cost of shares redeemed................................... (123,141,582) (226,600,830) (1,910,197) (114,912,380) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from shareholder transactions.......................... 934,759,161 (158,372,604) 75,299,022 (59,540,161) -------------- -------------- -------------- -------------- Total increase (decrease) in net assets................... 943,731,950 (198,193,483) 109,934,163 (70,574,463) NET ASSETS: Beginning of period....................................... 179,979,117 378,172,600 96,794,734 167,369,197 -------------- -------------- -------------- -------------- End of period............................................. $1,123,711,067 $ 179,979,117 $ 206,728,897 $ 96,794,734 ============== ============== ============== ============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period................... 4,600,002 8,900,002 2,700,002 4,350,002 Shares sold............................................... 20,650,000 1,650,000 1,700,000 1,500,000 Shares redeemed........................................... (2,450,000) (5,950,000) (50,000) (3,150,000) -------------- -------------- -------------- -------------- Shares outstanding, end of period......................... 22,800,002 4,600,002 4,350,002 2,700,002 ============== ============== ============== ============== </TABLE> Page 50 See Notes to Financial Statements <PAGE> <TABLE> <CAPTION> FIRST TRUST FIRST TRUST TECHNOLOGY UTILITIES ALPHADEX(R) FUND ALPHADEX(R) FUND (FXL) (FXU) ---------------------------------- ---------------------------------- Six Months Ended Six Months Ended 1/31/2021 Year Ended 1/31/2021 Year Ended (Unaudited) 7/31/2020 (Unaudited) 7/31/2020 ---------------- ---------------- ---------------- ---------------- <S> <C> <C> <C> $ (1,011,667) $ 3,502,665 $ 2,849,660 $ 24,861,547 478,023,683 191,825,093 (483,330) (60,613,146) 39,498,731 215,549,299 3,480,768 (34,693,552) -------------- -------------- -------------- -------------- 516,510,747 410,877,057 5,847,098 (70,445,151) -------------- -------------- -------------- -------------- -- (4,987,541) (3,566,311) (30,455,522) -------------- -------------- -------------- -------------- 1,363,703,382 1,227,962,041 -- 1,502,286,878 (1,570,581,429) (1,824,089,056) (58,437,720) (2,520,939,542) -------------- -------------- -------------- -------------- (206,878,047) (596,127,015) (58,437,720) (1,018,652,664) -------------- -------------- -------------- -------------- 309,632,700 (190,237,499) (56,156,933) (1,119,553,337) 2,205,109,455 2,395,346,954 229,988,089 1,349,541,426 -------------- -------------- -------------- -------------- $2,514,742,155 $2,205,109,455 $ 173,831,156 $ 229,988,089 ============== ============== ============== ============== 24,655,000 34,555,000 8,350,002 46,750,002 13,300,000 15,700,000 -- 55,350,000 (15,350,000) (25,600,000) (2,100,000) (93,750,000) -------------- -------------- -------------- -------------- 22,605,000 24,655,000 6,250,002 8,350,002 ============== ============== ============== ============== </TABLE> See Notes to Financial Statements Page 51 <PAGE> 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) <TABLE> <CAPTION> SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2021 -------------------------------------------------------------- (UNAUDITED) 2020 2019 2018 2017 2016 ---------------- ---------- ---------- ---------- ---------- ---------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 39.70 $ 43.40 $ 42.42 $ 37.53 $ 36.06 $ 37.29 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.06 0.36 0.37 0.43 0.34 0.53 Net realized and unrealized gain (loss) 12.86 (3.61) 0.93 4.88 1.48 (1.43) ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 12.92 (3.25) 1.30 5.31 1.82 (0.90) ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.07) (0.45) (0.32) (0.42) (0.35) (0.33) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 52.55 $ 39.70 $ 43.40 $ 42.42 $ 37.53 $ 36.06 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 32.56% (7.39)% 3.13% 14.17% 5.10% (2.34)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,408,352 $ 948,948 $ 384,117 $ 409,343 $ 407,197 $1,766,902 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.61% (b) 0.63% 0.64% 0.64% 0.63% 0.61% Ratio of net expenses to average net assets 0.61% (b) 0.63% 0.64% 0.64% 0.63% 0.61% Ratio of net investment income (loss) to average net assets 0.28% (b) 0.77% 0.90% 1.03% 0.79% 1.39% Portfolio turnover rate (c) 45% 115% 97% 101% 93% 103% </TABLE> FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG) <TABLE> <CAPTION> SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2021 -------------------------------------------------------------- (UNAUDITED) 2020 2019 2018 2017 2016 ---------------- ---------- ---------- ---------- ---------- ---------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 48.76 $ 45.80 $ 46.50 $ 46.84 $ 49.06 $ 45.69 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.38 0.84 0.70 1.00 0.56 0.76 Net realized and unrealized gain (loss) 3.51 2.98 (0.32) (0.74) (2.20) 3.38 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 3.89 3.82 0.38 0.26 (1.64) 4.14 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.33) (0.86) (1.08) (0.60) (0.58) (0.77) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 52.32 $ 48.76 $ 45.80 $ 46.50 $ 46.84 $ 49.06 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 8.00% 8.46% 0.83% 0.53% (3.31)% 9.19% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 230,218 $ 258,429 $ 329,792 $ 369,643 $ 461,376 $2,558,300 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.64% (b) 0.63% 0.64% 0.64% 0.62% 0.61% Ratio of net expenses to average net assets 0.64% (b) 0.63% 0.64% 0.64% 0.62% 0.61% Ratio of net investment income (loss) to average net assets 1.44% (b) 1.72% 1.51% 2.09% 0.94% 1.60% Portfolio turnover rate (c) 51% 113% 90% 107% 100% 102% </TABLE> (a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (b) Annualized. (c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 52 See Notes to Financial Statements <PAGE> 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) <TABLE> <CAPTION> SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2021 -------------------------------------------------------------- (UNAUDITED) 2020 2019 2018 2017 2016 ---------------- ---------- ---------- ---------- ---------- ---------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 6.54 $ 10.88 $ 17.10 $ 13.66 $ 14.54 $ 16.93 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.31 0.16 0.16 0.12 0.14 0.22 Net realized and unrealized gain (loss) 1.81 (4.31) (6.25) 3.47 (0.85) (2.37) ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 2.12 (4.15) (6.09) 3.59 (0.71) (2.15) ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.32) (0.19) (0.13) (0.15) (0.17) (0.24) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 8.34 $ 6.54 $ 10.88 $ 17.10 $ 13.66 $ 14.54 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 34.50% (38.32)% (35.77)% 26.45% (4.99)% (12.67)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 169,359 $ 615,795 $ 122,374 $ 437,773 $ 249,296 $1,458,077 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.63% (b) 0.64% 0.65% 0.63% 0.63% 0.62% Ratio of net expenses to average net assets 0.63% (b) 0.64% 0.65% 0.63% 0.63% 0.62% Ratio of net investment income (loss) to average net assets 3.68% (b) 2.39% 1.17% 0.68% 1.03% 1.40% Portfolio turnover rate (c) 20% 165% 99% 108% 55% 112% </TABLE> FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) <TABLE> <CAPTION> SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2021 -------------------------------------------------------------- (UNAUDITED) 2020 2019 2018 2017 2016 ---------------- ---------- ---------- ---------- ---------- ---------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 25.87 $ 32.35 $ 32.04 $ 29.39 $ 24.09 $ 24.43 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.44 0.72 0.65 0.62 0.44 0.39 Net realized and unrealized gain (loss) 9.15 (6.37) 0.25 2.61 5.30 (0.36) ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 9.59 (5.65) 0.90 3.23 5.74 0.03 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.48) (0.83) (0.59) (0.58) (0.44) (0.37) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 34.98 $ 25.87 $ 32.35 $ 32.04 $ 29.39 $ 24.09 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 37.47% (17.56)% 3.03% 11.06% 24.00% 0.22% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 738,005 $ 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 0.64% (b) 0.62% 0.63% 0.63% 0.63% 0.64% Ratio of net expenses to average net assets 0.64% (b) 0.62% 0.63% 0.63% 0.63% 0.64% Ratio of net investment income (loss) to average net assets 2.87% (b) 2.36% 2.06% 1.99% 1.72% 1.72% Portfolio turnover rate (c) 46% 90% 81% 70% 80% 75% </TABLE> (a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (b) Annualized. (c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. See Notes to Financial Statements Page 53 <PAGE> 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) <TABLE> <CAPTION> SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2021 -------------------------------------------------------------- (UNAUDITED) 2020 2019 2018 2017 2016 ---------------- ---------- ---------- ---------- ---------- ---------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 95.29 $ 77.62 $ 76.80 $ 66.92 $ 61.55 $ 69.63 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) (0.03) 0.01 (0.11) (0.02) (0.03) 0.00 (a) (b) Net realized and unrealized gain (loss) 13.26 17.66 0.93 9.90 5.40 (8.08) ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 13.23 17.67 0.82 9.88 5.37 (8.08) ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income -- -- -- -- -- -- ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 108.52 $ 95.29 $ 77.62 $ 76.80 $ 66.92 $ 61.55 ========== ========== ========== ========== ========== ========== TOTAL RETURN (c) 13.90% 22.75% 1.07% 14.76% 8.72% (11.60)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,432,483 $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% (d) 0.61% 0.62% 0.63% 0.62% 0.61% Ratio of net expenses to average net assets 0.61% (d) 0.61% 0.62% 0.63% 0.62% 0.61% Ratio of net investment income (loss) to average net assets (0.05)% (d) 0.01% (0.11)% (0.03)% (0.05)% 0.01% Portfolio turnover rate (e) 55% 107% 123% 107% 112% 118% </TABLE> FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) <TABLE> <CAPTION> SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2021 -------------------------------------------------------------- (UNAUDITED) 2020 2019 2018 2017 2016 ---------------- ---------- ---------- ---------- ---------- ---------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 39.13 $ 42.49 $ 41.28 $ 35.36 $ 28.94 $ 29.46 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.19 0.58 0.30 0.28 0.17 0.24 Net realized and unrealized gain (loss) 10.18 (3.29) 1.17 5.92 6.42 (0.51) ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 10.37 (2.71) 1.47 6.20 6.59 (0.27) ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.21) (0.65) (0.26) (0.28) (0.17) (0.25) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 49.29 $ 39.13 $ 42.49 $ 41.28 $ 35.36 $ 28.94 ========== ========== ========== ========== ========== ========== TOTAL RETURN (c) 26.57% (6.30)% 3.67% 17.57% 22.81% (0.82)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,123,711 $ 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 0.63% (d) 0.64% 0.63% 0.62% 0.63% 0.66% Ratio of net expenses to average net assets 0.63% (d) 0.64% 0.63% 0.62% 0.63% 0.66% Ratio of net investment income (loss) to average net assets 0.78% (d) 1.30% 0.71% 0.70% 0.53% 0.93% Portfolio turnover rate (e) 34% 97% 79% 91% 101% 103% </TABLE> (a) Based on average shares outstanding. (b) Amount is less than $0.01. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (d) Annualized. (e) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 54 See Notes to Financial Statements <PAGE> 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) <TABLE> <CAPTION> SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2021 -------------------------------------------------------------- (UNAUDITED) 2020 2019 2018 2017 2016 ---------------- ---------- ---------- ---------- ---------- ---------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 35.85 $ 38.48 $ 43.31 $ 38.63 $ 34.32 $ 30.68 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.38 0.71 0.50 0.40 0.48 0.41 Net realized and unrealized gain (loss) 11.72 (2.57) (4.88) 4.69 4.30 3.65 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 12.10 (1.86) (4.38) 5.09 4.78 4.06 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.43) (0.77) (0.45) (0.41) (0.47) (0.42) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 47.52 $ 35.85 $ 38.48 $ 43.31 $ 38.63 $ 34.32 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 33.93% (4.78)% (10.08)% 13.20% 14.01% 13.48% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 206,729 $ 96,795 $ 167,369 $ 314,026 $ 260,726 $ 250,558 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.65% (b) 0.67% 0.65% 0.64% 0.65% 0.66% Ratio of net expenses to average net assets 0.65% (b) 0.67% 0.65% 0.64% 0.65% 0.66% Ratio of net investment income (loss) to average net assets 1.75% (b) 1.95% 1.27% 0.92% 1.40% 1.26% Portfolio turnover rate (c) 34% 84% 82% 92% 84% 113% </TABLE> FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) <TABLE> <CAPTION> SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2021 -------------------------------------------------------------- (UNAUDITED) 2020 2019 2018 2017 2016 ---------------- ---------- ---------- ---------- ---------- ---------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 89.44 $ 69.32 $ 56.54 $ 45.12 $ 34.84 $ 34.98 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) (0.04) 0.11 0.31 0.09 0.32 0.27 Net realized and unrealized gain (loss) 21.85 20.17 12.75 11.43 10.32 (0.14) ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 21.81 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 $ 111.25 $ 89.44 $ 69.32 $ 56.54 $ 45.12 $ 34.84 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 24.39% 29.33% 23.20% 25.55% 30.72% 0.42% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $2,514,742 $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% (b) 0.61% 0.61% 0.63% 0.63% 0.63% Ratio of net expenses to average net assets 0.61% (b) 0.61% 0.61% 0.63% 0.63% 0.63% Ratio of net investment income (loss) to average net assets (0.08)% (b) 0.16% 0.50% 0.17% 0.82% 0.82% Portfolio turnover rate (c) 45% 110% 91% 127% 115% 109% </TABLE> (a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (b) Annualized. (c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. See Notes to Financial Statements Page 55 <PAGE> 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) <TABLE> <CAPTION> SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2021 -------------------------------------------------------------- (UNAUDITED) 2020 2019 2018 2017 2016 ---------------- ---------- ---------- ---------- ---------- ---------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 27.54 $ 28.87 $ 26.37 $ 27.64 $ 27.46 $ 23.06 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.41 1.05 0.63 0.98 0.76 0.73 Net realized and unrealized gain (loss) 0.35 (1.29) 2.43 (1.30) 0.19 4.38 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 0.76 (0.24) 3.06 (0.32) 0.95 5.11 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.49) (1.09) (0.56) (0.95) (0.77) (0.71) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 27.81 $ 27.54 $ 28.87 $ 26.37 $ 27.64 $ 27.46 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 2.79% (0.70)% 11.71% (1.09)% 3.57% 22.66% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 173,831 $ 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 0.67% (b) 0.62% 0.63% 0.63% 0.62% 0.62% Ratio of net expenses to average net assets 0.67% (b) 0.62% 0.63% 0.63% 0.62% 0.62% Ratio of net investment income (loss) to average net assets 2.76% (b) 2.42% 2.23% 2.67% 2.74% 2.79% Portfolio turnover rate (c) 17% 64% 60% 76% 57% 71% </TABLE> (a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (b) Annualized. (c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 56 See Notes to Financial Statements <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2021 (UNAUDITED) 1. ORGANIZATION First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") is an open-end management investment company organized as a Massachusetts business trust on December 6, 2006, and is registered with the Securities and Exchange Commission under the Investment Company Act of 1940, as amended (the "1940 Act"). The Trust currently consists of twenty exchange-traded funds considered either a Sector Fund or a Style Fund. This report covers the nine Sector Funds (each a "Fund" and collectively, the "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. Unlike conventional mutual funds, each Fund issues and redeems shares on a continuous basis, at net asset value ("NAV"), only in large blocks of shares known as "Creation Units". 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: <TABLE> <CAPTION> FUND INDEX <S> <C> 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) </TABLE> (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' Page 57 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2021 (UNAUDITED) investment advisor, First Trust Advisors L.P. ("First Trust" or the "Advisor"), in accordance with valuation procedures adopted by the Trust's Board of Trustees, and in accordance with provisions of the 1940 Act. Investments valued by the Advisor's Pricing Committee, if any, are footnoted as such in the footnotes to the Portfolio of Investments. Each Fund's investments are valued as follows: Common stocks and other equity securities listed on any national or foreign exchange (excluding The Nasdaq Stock Market LLC ("Nasdaq") and the London Stock Exchange Alternative Investment Market ("AIM")) are valued at the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the securities exchange representing the principal market for such securities. Shares of open-end funds are valued at fair value which is based on NAV per share. Securities traded in an over-the-counter market are fair valued at the mean of their most recent bid and asked price, if available, and otherwise at their closing bid price. Overnight repurchase agreements are valued at amortized cost when it represents the best estimate of fair value. Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Trust's Board of Trustees or its delegate, the Advisor's Pricing Committee, at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a third-party pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market or fair value price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund's NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the third-party pricing service, does not reflect the security's fair value. As a general principle, the current fair value of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. When fair value prices are used, generally they will differ from market quotations or official closing prices on the applicable exchanges. A variety of factors may be considered in determining the fair value of such securities, including, but not limited to, the following: 1) the type of security; 2) the size of the holding; 3) the initial cost of the security; 4) transactions in comparable securities; 5) price quotes from dealers and/or third-party pricing services; 6) relationships among various securities; 7) information obtained by contacting the issuer, analysts, or the appropriate stock exchange; 8) an analysis of the issuer's financial statements; and 9) the existence of merger proposals or tender offers that might affect the value of the security. In addition, differences between the prices used to calculate a Fund's NAV and the prices used by such Fund's corresponding index could result in a difference between a Fund's performance and the performance of its underlying index. The Funds are subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows: o Level 1 - Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. o Level 2 - Level 2 inputs are observable inputs, either directly or indirectly, and include the following: o Quoted prices for similar investments in active markets. o Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. o Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). o Inputs that are derived principally from or corroborated by observable market data by correlation or other means. o Level 3 - Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity's own assumptions about the assumptions that market participants would use in pricing the investment. Page 58 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2021 (UNAUDITED) The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value each Fund's investments as of January 31, 2021, is included with each Fund's Portfolio of Investments. B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, if any, is recorded on the accrual basis. Withholding taxes and tax reclaims on foreign dividends have been provided for in accordance with each Fund's understanding of the applicable country's tax rules and rates. Distributions received from a Fund's investments in real estate investment trusts ("REITs") may be comprised of return of capital, capital gains and income. The actual character of the amounts received during the year is not known until after the REITs' fiscal year end. A Fund records the character of distributions received from the REITs during the year based on estimates available. The characterization of distributions received by a Fund may be subsequently revised based on information received from the REITs after their tax reporting periods conclude. C. OFFSETTING ON THE STATEMENTS OF ASSETS AND LIABILITIES Offsetting Assets and Liabilities require entities to disclose both gross and net information about instruments and transactions eligible for offset on the Statements of Assets and Liabilities, and disclose instruments and transactions subject to master netting or similar agreements. These disclosure requirements are intended to help investors and other financial statement users better assess the effect or potential effect of offsetting arrangements on a fund's financial position. The transactions subject to offsetting disclosures are derivative instruments, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions. This disclosure, if applicable, is included within each Fund's Portfolio of Investments under the heading "Offsetting Assets and Liabilities." For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting arrangements ("MNAs") or similar agreements on the Statements of Assets and Liabilities. MNAs provide the right, in the event of default (including bankruptcy and insolvency), for the non-defaulting counterparty to liquidate the collateral and calculate the net exposure to the defaulting party or request additional collateral. D. SECURITIES LENDING The Funds may lend securities representing up to 33 1/3% of the value of their total assets to broker-dealers, banks and other institutions to generate additional income. When a Fund loans its portfolio securities, it will receive, at the inception of each loan, collateral equal to at least 102% (for domestic securities) or 105% (for international securities) of the market value of the loaned securities. The collateral amount is valued at the beginning of each business day and is compared to the market value of the loaned securities from the prior business day to determine if additional collateral is required. If additional collateral is required, a request is sent to the borrower. Securities lending involves the risk that the Fund may lose money because the borrower of the Fund's loaned securities fails to return the securities in a timely manner or at all. The Fund could also lose money in the event of (i) a decline in the value of the collateral provided for the loaned securities, (ii) a decline in the value of any investments made with cash collateral or (iii) an increase in the value of the loaned securities if the borrower does not increase the collateral accordingly and the borrower fails to return the securities. These events could also trigger adverse tax consequences for the Funds. Under the Funds' Securities Lending Agency Agreement, the securities lending agent will generally bear the risk that a borrower may default on its obligation to return loaned securities. Brown Brothers Harriman & Co. ("BBH") acts as the Funds' securities lending agent and is responsible for executing the lending of the portfolio securities to creditworthy borrowers. The Funds, however, will be responsible for the risks associated with the investment of cash collateral. A Fund may lose money on its investment of cash collateral, which may affect its ability to repay the collateral to the borrower without the use of other Fund assets. Each Fund that engages in securities lending receives compensation (net of any rebate and securities lending agent fees) for lending its securities. Compensation can be in the form of fees received from the securities lending agent or dividends or interest earned from the investment of cash collateral. The fees received from the securities lending agent are accrued daily. The dividend and interest earned on the securities loaned is accounted for in the same manner as other dividend and interest income. At January 31, 2021, all the Funds except FXH, FXR, FXL and FXU had securities in the securities lending program. During the six months ended January 31, 2021, all the Funds except FXU 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 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2021 (UNAUDITED) E. REPURCHASE AGREEMENTS Repurchase agreements involve the purchase of securities subject to the seller's agreement to repurchase the securities at a mutually agreed upon date and price, under the terms of a Master Repurchase Agreement ("MRA"). During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of a Fund, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. The underlying securities for all repurchase agreements are held at the Funds' custodian or designated sub-custodians under tri-party repurchase agreements. MRAs govern transactions between a Fund and select counterparties. The MRAs maintain provisions for, among other things, initiation, income payments, events of default, and maintenance of collateral for repurchase agreements. Repurchase agreements received for lending securities are collateralized by U.S. Treasury securities. The U.S. Treasury securities are held in a joint custody account at BBH on behalf of the Funds participating in the securities lending program. In the event the counterparty defaults on the repurchase agreement, the U.S. Treasury securities can either be maintained as part of a Fund's portfolio or sold for cash. A Fund could suffer a loss to the extent that the proceeds from the sale of the underlying collateral held by the Fund are less than the repurchase price and the Fund's costs associated with the delay and enforcement of the MRA. While the Funds may invest in repurchase agreements, any repurchase agreements held by the Funds during the six months ended January 31, 2021, were received as collateral for lending securities. There were no repurchase agreements held by the Funds as of January 31, 2021. 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: <TABLE> <CAPTION> Distributions paid from Distributions paid from Distributions paid from Ordinary Income Capital Gains Return of Capital ----------------------- ----------------------- ----------------------- <S> <C> <C> <C> 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 -- -- </TABLE> As of July 31, 2020, the components of distributable earnings on a tax basis for each Fund were as follows: <TABLE> <CAPTION> Accumulated Undistributed Capital and Net Unrealized Ordinary Other Appreciation Income Gain (Loss) (Depreciation) ----------------------- ----------------------- ----------------------- <S> <C> <C> <C> 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) </TABLE> Page 60 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2021 (UNAUDITED) G. INCOME TAXES Each Fund intends to continue to qualify as a regulated investment company by complying with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended, which includes distributing substantially all of its net investment income and net realized gains to shareholders. Accordingly, no provision has been made for federal and state income taxes. However, due to the timing and amount of distributions, each Fund may be subject to an excise tax of 4% of the amount by which approximately 98% of each Fund's taxable income exceeds the distributions from such taxable income for the calendar year. The Funds are subject to accounting standards that establish a minimum threshold for recognizing, and a system for measuring, the benefits of a tax position taken or expected to be taken in a tax return. Taxable years ending 2017, 2018, 2019, and 2020 remain open to federal and state audit. As of January 31, 2021, 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. <TABLE> <CAPTION> Non-Expiring Capital Loss Carryforwards ----------------------- <S> <C> 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 </TABLE> 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: <TABLE> <CAPTION> Qualified Late Year Losses --------------------------------- Ordinary Losses Capital Losses --------------- --------------- <S> <C> <C> First Trust Health Care AlphaDEX(R) Fund $ 30,924 $ -- </TABLE> 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 Page 61 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2021 (UNAUDITED) 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's expenses 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 six months ended January 31, 2021, there were no fees waived or expenses reimbursed by First Trust for the Funds. As of January 31, 2021, none of the Funds had previously waived fees or expenses reimbursed that are subject to recovery. The Trust has multiple service agreements with The Bank of New York Mellon ("BNYM"). Under the service agreements, BNYM performs custodial, fund accounting, certain administrative services, and transfer agency services for each Fund. As custodian, BNYM is responsible for custody of each Fund's assets. As fund accountant and administrator, BNYM is responsible for maintaining the books and records of each Fund's securities and cash. As transfer agent, BNYM is responsible for maintaining shareholder records for each Fund. BNYM is a subsidiary of The Bank of New York Mellon Corporation, a financial holding company. Each Trustee who is not an officer or employee of First Trust, any sub-advisor or any of their affiliates ("Independent Trustees") is paid a fixed annual retainer that is allocated equally among each fund in the First Trust Fund Complex. Each Independent Trustee is also paid an annual per fund fee that varies based on whether the fund is a closed-end or other actively managed fund, 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 six months ended January 31, 2021, the cost of purchases and proceeds from sales of investments for each Fund, excluding short-term investments and in-kind transactions, were as follows: <TABLE> <CAPTION> Purchases Sales --------------- --------------- <S> <C> <C> First Trust Consumer Discretionary AlphaDEX(R) Fund $ 530,394,460 $ 530,121,905 First Trust Consumer Staples AlphaDEX(R) Fund 128,289,253 128,424,857 First Trust Energy AlphaDEX(R) Fund 53,840,234 55,122,646 First Trust Financials AlphaDEX(R) Fund 262,310,343 262,953,264 First Trust Health Care AlphaDEX(R) Fund 752,469,907 753,051,279 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 127,161,390 127,211,959 First Trust Materials AlphaDEX(R) Fund 46,620,933 46,636,199 First Trust Technology AlphaDEX(R) Fund 1,053,794,602 1,057,350,116 First Trust Utilities AlphaDEX(R) Fund 34,318,924 35,416,136 </TABLE> For the six months ended January 31, 2021, the cost of in-kind purchases and proceeds from in-kind sales for each Fund were as follows: <TABLE> <CAPTION> Purchases Sales --------------- --------------- <S> <C> <C> First Trust Consumer Discretionary AlphaDEX(R) Fund $ 288,162,200 $ 154,356,872 First Trust Consumer Staples AlphaDEX(R) Fund 7,455,707 53,140,054 First Trust Energy AlphaDEX(R) Fund 117,250,912 542,108,777 First Trust Financials AlphaDEX(R) Fund 113,488,946 81,036,072 First Trust Health Care AlphaDEX(R) Fund 69,410,902 163,075,164 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 1,057,510,818 123,097,126 First Trust Materials AlphaDEX(R) Fund 77,039,078 1,905,069 First Trust Technology AlphaDEX(R) Fund 1,363,161,316 1,566,888,975 First Trust Utilities AlphaDEX(R) Fund -- 58,275,099 </TABLE> Page 62 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2021 (UNAUDITED) 5. CREATIONS, REDEMPTIONS AND TRANSACTION FEES Each Fund generally issues and redeems its shares in primary market transactions through a creation and redemption mechanism and does not sell or redeem individual shares. Instead, financial entities known as "Authorized Participants" have contractual arrangements with a Fund or one of the Fund's service providers to purchase and redeem Fund shares directly with the Fund in large blocks of shares known as "Creation Units." Prior to the start of trading on every business day, a Fund publishes through the National Securities Clearing Corporation ("NSCC") the "basket" of securities, cash or other assets that it will accept in exchange for a Creation Unit of the Fund's shares. An Authorized Participant that wishes to effectuate a creation of a Fund's shares deposits with the Fund the "basket" of securities, cash or other assets identified by the Fund that day, and then receives the Creation Unit of the Fund's shares in return for those assets. After purchasing a Creation Unit, the Authorized Participant may continue to hold the Fund's shares or sell them in the secondary market. The redemption process is the reverse of the purchase process: the authorized participant redeems a Creation Unit of a Fund's shares for a basket of securities, cash or other assets. The combination of the creation and redemption process with secondary market trading in a Fund's shares and underlying securities provides arbitrage opportunities that are designed to help keep the market price of a Fund's shares at or close to the NAV per share of the Fund. Each Fund imposes fees in connection with the purchase of Creation Units. These fees may vary based upon various fact-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price for each Creation Unit will equal the daily NAV per share of a Fund times the number of shares in a Creation Unit, plus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees, stamp taxes and part or all of the spread between the expected bid and offer side of the market related to the securities comprising the creation basket. Each Fund also imposes fees in connection with the redemption of Creation Units. These fees may vary based upon various fact-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price received for each Creation Unit will equal the daily NAV per share of a Fund times the number of shares in a Creation Unit, minus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees, stamp taxes and part or all of the spread between the expected bid and offer side of the market related to the securities comprising the redemption basket. Investors who use the services of a broker or other such intermediary in addition to an Authorized Participant to effect a redemption of a Creation Unit may also be assessed an amount to cover the cost of such services. The redemption fee charged by a Fund will comply with Rule 22c-2 of the 1940 Act which limits redemption fees to no more than 2% of the value of the shares redeemed. 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 63 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2021 (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. RISK CONSIDERATIONS RISKS ARE INHERENT IN ALL INVESTING. CERTAIN GENERAL RISKS THAT MAY BE APPLICABLE TO A FUND ARE IDENTIFIED BELOW, BUT NOT ALL OF THE MATERIAL RISKS RELEVANT TO EACH FUND ARE INCLUDED IN THIS REPORT AND NOT ALL OF THE RISKS BELOW APPLY TO EACH FUND. THE MATERIAL RISKS OF INVESTING IN EACH FUND ARE SPELLED OUT IN ITS PROSPECTUS, STATEMENT OF ADDITIONAL INFORMATION AND OTHER REGULATORY FILINGS. BEFORE INVESTING, YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE, RISKS, CHARGES AND EXPENSES, AND READ EACH FUND'S PROSPECTUS AND STATEMENT OF ADDITIONAL INFORMATION CAREFULLY. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND. CONCENTRATION RISK. To the extent that a fund is able to invest a large percentage of its assets in a single asset class or the securities of issuers within the same country, state, region, industry or sector, an adverse economic, business or political development may affect the value of the fund's investments more than if the fund were more broadly diversified. A fund that tracks an index will be concentrated to the extent the fund's corresponding index is concentrated. A concentration makes a fund more susceptible to any single occurrence and may subject the fund to greater market risk than a fund that is not concentrated. CREDIT RISK. Credit risk is the risk that an issuer of a security will be unable or unwilling to make dividend, interest and/or principal payments when due and the related risk that the value of a security may decline because of concerns about the issuer's ability to make such payments. CYBER SECURITY RISK. The funds are susceptible to potential operational risks through breaches in cyber security. A breach in cyber security refers to both intentional and unintentional events that may cause a fund to lose proprietary information, suffer data corruption or lose operational capacity. Such events could cause a fund to incur regulatory penalties, reputational damage, additional compliance costs associated with corrective measures and/or financial loss. In addition, cyber security breaches of a fund's third-party service providers, such as its administrator, transfer agent, custodian, or sub-advisor, as applicable, or issuers in which the fund invests, can also subject a fund to many of the same risks associated with direct cyber security breaches. DERIVATIVES RISK. To the extent a fund uses derivative instruments such as futures contracts, options contracts and swaps, the fund may experience losses because of adverse movements in the price or value of the underlying asset, index or rate, which may be magnified by certain features of the derivative. These risks are heightened when a fund's portfolio managers use derivatives to enhance the fund's return or as a substitute for a position or security, rather than solely to hedge (or offset) the risk of a position or security held by the fund. EQUITY SECURITIES RISK. To the extent a fund invests in equity securities, the value of the fund's shares will fluctuate with changes in the value of the equity securities. Equity securities prices fluctuate for several reasons, including changes in investors' perceptions of the financial condition of an issuer or the general condition of the relevant stock market, such as market volatility, or when political or economic events affecting the issuers occur. In addition, common stock prices may be particularly sensitive to rising interest Page 64 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2021 (UNAUDITED) rates, as the cost of capital rises and borrowing costs increase. Equity securities may decline significantly in price over short or extended periods of time, and such declines may occur in the equity market as a whole, or they may occur in only a particular country, company, industry or sector of the market. ETF RISK. The shares of an ETF trade like common stock and represent an interest in a portfolio of securities. The risks of owning an ETF generally reflect the risks of owning the underlying securities, although lack of liquidity in an ETF could result in it being more volatile and ETFs have management fees that increase their costs. Shares of an ETF trade on an exchange at market prices rather than net asset value, which may cause the shares to trade at a price greater than net asset value (premium) or less than net asset value (discount). In times of market stress, decisions by market makers to reduce or step away from their role of providing a market for an ETF's shares, or decisions by an ETF's authorized participants that they are unable or unwilling to proceed with creation and/or redemption orders of an ETF's shares, could result in shares of the ETF trading at a discount to net asset value and in greater than normal intraday bid-ask spreads. FIXED INCOME SECURITIES RISK. To the extent a fund invests in fixed income securities, the fund will be subject to credit risk, income risk, interest rate risk, liquidity risk and prepayment risk. Income risk is the risk that income from a fund's fixed income investments could decline during periods of falling interest rates. Interest rate risk is the risk that the value of a fund's fixed income securities will decline because of rising interest rates. Liquidity risk is the risk that a security cannot be purchased or sold at the time desired, or cannot be purchased or sold without adversely affecting the price. Prepayment risk is the risk that the securities will be redeemed or prepaid by the issuer, resulting in lower interest payments received by the fund. In addition to these risks, high yield securities, or "junk" bonds, are subject to greater market fluctuations and risk of loss than securities with higher ratings, and the market for high yield securities is generally smaller and less liquid than that for investment grade securities. INDEX CONSTITUENT RISK. Certain funds may be a constituent of one or more indices. As a result, such a fund may be included in one or more index-tracking exchange-traded funds or mutual funds. Being a component security of such a vehicle could greatly affect the trading activity involving a fund, the size of the fund and the market volatility of the fund. Inclusion in an index could significantly increase demand for the fund and removal from an index could result in outsized selling activity in a relatively short period of time. As a result, a fund's net asset value could be negatively impacted and the fund's market price may be significantly below its net asset value during certain periods. INDEX PROVIDER RISK. To the extent a fund seeks to track an index, it is subject to Index Provider Risk. There is no assurance that the Index Provider will compile the Index accurately, or that the Index will be determined, maintained, constructed, reconstituted, rebalanced, composed, calculated or disseminated accurately. To correct any such error, the Index Provider may carry out an unscheduled rebalance or other modification of the Index constituents or weightings, which may increase the fund's costs. The Index Provider does not provide any representation or warranty in relation to the quality, accuracy or completeness of data in the Index, and it does not guarantee that the Index will be calculated in accordance with its stated methodology. Losses or costs associated with any Index Provider errors generally will be borne by the fund and its shareholders. INVESTMENT COMPANIES RISK. To the extent a fund invests in the securities of other investment vehicles, the fund will incur additional fees and expenses that would not be present in a direct investment in those investment vehicles. Furthermore, the fund's investment performance and risks are directly related to the investment performance and risks of the investment vehicles in which the fund invests. 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. The United Kingdom's Financial Conduct Authority, which regulates LIBOR, will cease making LIBOR available as a reference rate over a phase-out period that will begin immediately after December 31, 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, and they 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. Page 65 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS JANUARY 31, 2021 (UNAUDITED) 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. Operational Risk. Each fund is subject to risks arising from various operational factors, including, but not limited to, human error, processing and communication errors, errors of a fund's service providers, counterparties or other third-parties, failed or inadequate processes and technology or systems failures. Although the funds and the Advisor seek to reduce these operational risks through controls and procedures, there is no way to completely protect against such risks. 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 66 <PAGE> This page is intentionally left blank. <PAGE> This page is intentionally left blank. <PAGE> -------------------------------------------------------------------------------- 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 <PAGE> [BLANK BACK COVER] <PAGE>
-------------------------------------------------------------------------------- FIRST TRUST FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND Semi-Annual Report January 31, 2021 -------------------------------------------------------------------------------- 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) AlphaDEX(R) FAMILY OF ETFs AlphaDEX(R) is a registered trademark of First Trust Portfolios L.P. -------------------------------------------------------------------------------- <PAGE> -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS SEMI-ANNUAL REPORT JANUARY 31, 2021 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 Notes to Fund Performance Overview......................................... 26 Understanding Your Fund Expenses........................................... 27 Portfolio of Investments First Trust Large Cap Core AlphaDEX(R) Fund (FEX).................... 29 First Trust Mid Cap Core AlphaDEX(R) Fund (FNX)...................... 35 First Trust Small Cap Core AlphaDEX(R) Fund (FYX).................... 42 First Trust Large Cap Value AlphaDEX(R) Fund (FTA)................... 50 First Trust Large Cap Growth AlphaDEX(R) Fund (FTC).................. 54 First Trust Multi Cap Value AlphaDEX(R) Fund (FAB)................... 58 First Trust Multi Cap Growth AlphaDEX(R) Fund (FAD).................. 67 First Trust Mid Cap Value AlphaDEX(R) Fund (FNK)..................... 76 First Trust Mid Cap Growth AlphaDEX(R) Fund (FNY).................... 80 First Trust Small Cap Value AlphaDEX(R) Fund (FYT)................... 84 First Trust Small Cap Growth AlphaDEX(R) Fund (FYC).................. 89 Statements of Assets and Liabilities....................................... 94 Statements of Operations................................................... 97 Statements of Changes in Net Assets........................................ 100 Financial Highlights....................................................... 104 Notes to Financial Statements.............................................. 110 Additional Information..................................................... 118 <PAGE> -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 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 certain 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 <PAGE> -------------------------------------------------------------------------------- SHAREHOLDER LETTER -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO JANUARY 31, 2021 Dear Shareholders: First Trust is pleased to provide you with the semi-annual report for the Style Funds of the First Trust Exchange-Traded AlphaDEX(R) Fund (the "Funds"), which contains detailed information about the Funds for the six months ended January 31, 2021. There is so much to talk about, yet so little space. Rather than drill down on politics or belabor the coronavirus ("COVID-19") pandemic, I would like to take this opportunity to convey a brief message on the current economic/business/investment climate in the U.S. The one thing I feel compelled to point out, however, is that unlike the Trump Administration's approach of delegating the lion's share of the responsibility of executing the medical ground assault against COVID-19 to the states, the Biden Administration has communicated its intention to play more of an integral role at the federal level. The distribution of the FDA-approved vaccines, of which there are currently three, and the push for a huge bump up in the next round of fiscal stimulus to help millions of Americans cope with the economic fallout stemming from the pandemic are just two examples. While he was hoping to make it a bipartisan effort, President Joe Biden was prepared to utilize a tactic in Congress, particularly in the Senate, known as reconciliation to pass his $1.9 trillion stimulus bill. Reconciliation would only require a simple majority of Senate votes to pass the bill. In the end, Congress did just that and the Senate passed the bill with a 50-49 count. President Biden signed the "American Rescue Plan Act" into law on March 11, 2021. Not one Republican in Congress voted for the bill. The current climate strikes me as one where "Cash is King." A recent survey by Money and Morning Consult found that 68% of adults said they need another stimulus check from the government to get by, and 39% of those polled claimed they need the additional financial support "a lot," according to their own release. Overall, respondents said that the $600 checks sent out this past December were not enough. Seventy-seven percent of adults say they need the checks to exceed $1,000 and 36% say they need more than $2,000 to make ends meet. President Joe Biden's American Rescue Plan will make payments of up to $1,400 to those who are eligible. Suffice it to say, cash tends to be an urgent priority for those who do not have it. While most investors are likely hunting for opportunities to generate higher returns on their capital, many Americans are sitting on their cash. Brian Wesbury, Chief Economist at First Trust, recently noted that, as of the third quarter of 2020, the amount of capital held by Americans in checking accounts, savings accounts, time deposits and money market funds stood $2.8 trillion higher than their combined total in the third quarter of 2019. If you have listened to what Federal Reserve Chairman Jerome Powell has said about keeping short-term interest rates low for two or three more years if need be to significantly lower unemployment and generate inflationary pressure beyond the Federal Reserve's 2.0% target, it makes the thought of harboring such an extraordinary volume of capital in these low-paying, interest-bearing accounts even harder to fathom, in my opinion. The state of the U.S. economy is on the mend, but likely won't make a full recovery for at least a couple more years, according to Wesbury. In our opinion, most of the weakness in the economy is stemming from some key service-oriented sectors, such as hotels and airlines, that remain sheltered or lightly used. Wesbury believes that a full recovery requires the reopening of the entire U.S. economy. The speed of the vaccine rollout in the weeks ahead could help determine when the economy is ready to fully reopen. We believe investors should take solace in how upbeat our top executives are about the near future. The Conference Board's Measure of CEO Confidence(TM) rose to a 17-year high in the first quarter of 2021, according to Fox Business. The measure currently stands at 73. A reading above 50 points reflects more positive than negative responses from CEOs. Its quarterly survey revealed that 82% of CEOs expect economic conditions to improve over the next six months, up from 63% in the prior survey. Forty-five percent of them expect to increase capital spending, up from 25% in the prior survey. The good news is that Corporate America's largest companies have the cash to fund projects. In the third quarter of 2020 (most recent data), S&P 500(R) Industrials (Old) cash and equivalents, which excludes cash held by Financials, Utilities and Transportation companies, stood at a near-record high of $1.88 trillion, according to S&P Dow Jones Indices. The all-time high was $1.89 trillion, set in the second quarter of 2020. It seems the economy is on the cusp of another major cash injection from the government. We encourage investors to 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 <PAGE> -------------------------------------------------------------------------------- MARKET OVERVIEW -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SEMI-ANNUAL REPORT JANUARY 31, 2021 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 more than 30 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 While 2020 has come and gone, the coronavirus ("COVID-19") pandemic remains the number one battleground for the U.S. and many foreign nations in 2021. The quick approval in late 2020 of two new vaccines by the Food and Drug Administration has lifted the spirits of Americans and investors, but the initial rollout of the vaccines has been much slower than expected. The federal government's "Operation Warp Speed" initiative called for 20 million vaccinations to be performed in the U.S. by the end of 2020, but it came in at a little more than three million, according to Axios. These statistics suggest that clearing the COVID-19 hurdle may extend a bit further into 2021 than initially thought. Remember, these two vaccines, and any others that may gain approval, are likely the best chance we have for fully reopening the U.S. economy. The global growth forecast from the International Monetary Fund ("IMF") released in January 2021 sees real gross domestic product growth rising by 5.5% worldwide in 2021, a strong rebound from its -3.5% projection for 2020. The IMF is calling for a 5.1% growth rate for the U.S. in 2021, up from its -3.4% estimate for 2020. As has been the case for many years, Emerging Market and Developing Economies are expected to grow faster than Advanced Economies in 2021. Their 2021 growth rate estimate is 6.3%, up from -2.4% in 2020. The Biden Administration is negotiating with the Republicans in Congress to see if they can secure bipartisan support for their $1.9 trillion COVID-19 stimulus proposal. GOP lawmakers have countered with their own scaled-down package that would appropriate $618 billion, about one-third what President Joe Biden is asking for. If the negotiations fall through, meaning President Biden can't lock up 60 votes in the Senate, it is believed that he would likely seek to use reconciliation to lower the voting threshold to a 51-50 majority, with Vice President Kamala Harris casting the final tie-breaking vote. Regardless of the final dollar value of the package, bond investors are anticipating that the U.S. government will need to issue more Treasury securities over time to finance the Democrats' economic agenda, and that could, in turn, push bond yields higher moving forward, according to Bloomberg. There is also a chance for higher inflation from the additional stimulus. STYLE/EQUITY INVESTING For the six-month period ended January 31, 2021, the S&P 500(R) Index (the "Index") posted a total return of 14.47%, according to Bloomberg. Large-Capitalization (cap) growth stocks outperformed large-cap value stocks in the same period. The S&P 500(R) Growth Index posted a total return of 15.00%, compared to 13.92% for the S&P 500(R) Value Index, for the same period. The S&P MidCap 400(R) Index posted a total return of 26.44% for the same period. Mid-Cap value stocks outperformed mid-cap growth stocks in the period. The S&P MidCap 400(R) Growth Index posted a total return of 24.32%, compared to 29.26% for the S&P MidCap 400(R) Value Index, for the same period. The S&P SmallCap 600(R) Index posted a total return of 38.31% in the period. Small-Cap value stocks outperformed small-cap growth stocks in the period. The S&P SmallCap 600(R) Growth Index posted a total return of 36.18%, compared to 40.81% for the S&P SmallCap 600(R) Value Index, in the same period. The Index closed at 3,756.07 on January 29, 2021, 3.66% below its all-time high, according to Bloomberg. A Bloomberg survey of 22 equity strategists found that their average 2021 year-end price target for the Index was 4,074 as of January 20, 2021, according to its own release. The highest and lowest estimates were 4,400 and 3,800, respectively. Brian Wesbury, Chief Economist at First Trust, has a year-end price target of 4,200. The Index earnings look encouraging beyond 2020. As of January 29, 2021, Bloomberg's consensus year-over-year earnings growth rate estimates for the index for 2021 and 2022 stood at 23.53% and 16.07%, respectively, a healthy rebound from its -13.89% projection for 2020. 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 $8.06 trillion in January 2021, up from $6.37 trillion a year ago, according to its own release. Total assets of U.S. listed ETFs/ETPs stood at an all-time high of $5.52 trillion, up from $4.44 trillion a year ago. Page 3 <PAGE> -------------------------------------------------------------------------------- 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. <TABLE> <CAPTION> ----------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/21 1/31/21 1/31/21 1/31/21 to 1/31/21 1/31/21 1/31/21 to 1/31/21 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 19.25% 16.92% 14.07% 11.55% 8.10% 93.15% 198.44% 191.42% Market Price 19.27% 16.98% 14.07% 11.54% 8.10% 93.12% 198.08% 191.43% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Large Cap Core Index(1) 19.66% 17.66% 14.69% N/A N/A 98.47% N/A N/A Nasdaq US 500 Large Cap Index(1) 15.64% 19.92% 16.83% N/A N/A 117.69% N/A N/A S&P 500(R) Index 14.47% 17.25% 16.16% 13.50% 9.05% 111.48% 254.88% 228.51% ----------------------------------------------------------------------------------------------------------------------------------- </TABLE> (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 26.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Information Technology 22.66% Financials 14.31 Health Care 13.45 Industrials 10.48 Consumer Discretionary 10.40 Utilities 7.67 Communication Services 7.09 Consumer Staples 5.29 Energy 3.52 Materials 3.04 Real Estate 2.09 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Moderna, Inc. 0.74% Lumen Technologies, Inc. 0.56 General Motors Co. 0.54 Roku, Inc. 0.52 Tesla, Inc. 0.50 Applied Materials, Inc. 0.50 Etsy, Inc. 0.50 D.R. Horton, Inc. 0.49 Catalent, Inc. 0.49 Lennar Corp., Class A 0.48 ------- Total 5.32% ======= ----------------------------- 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 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) (CONTINUED) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2010 - JANUARY 31, 2021 First Trust Large Cap Core S&P 500(R) AlphaDEX(R) Fund Index <S> <C> <C> 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 29,786 36,558 1/21 35,517 41,851 </TABLE> 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 Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 5 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- 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. <TABLE> <CAPTION> ----------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/21 1/31/21 1/31/21 1/31/21 to 1/31/21 1/31/21 1/31/21 to 1/31/21 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 32.00% 22.14% 14.64% 10.89% 8.81% 97.97% 181.15% 218.82% Market Price 32.04% 22.16% 14.63% 10.88% 8.81% 97.93% 180.98% 218.83% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Mid Cap Core Index(1) 32.44% 22.96% 15.33% N/A N/A 104.08% N/A N/A Nasdaq US 600 Mid Cap Index(1) 29.68% 22.68% 15.95% N/A N/A 109.57% N/A N/A S&P MidCap 400(R) Index 26.44% 18.46% 14.01% 11.46% 8.94% 92.66% 195.80% 224.32% ----------------------------------------------------------------------------------------------------------------------------------- </TABLE> (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 26.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 18.37% Information Technology 17.27 Consumer Discretionary 14.68 Industrials 13.73 Health Care 11.43 Materials 6.23 Consumer Staples 5.43 Utilities 5.32 Real Estate 4.36 Communication Services 2.32 Energy 0.86 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Overstock.com, Inc. 0.59% National Beverage Corp. 0.52 Discovery, Inc., Class A 0.50 KB Home 0.45 Dick's Sporting Goods, Inc. 0.43 Tenet Healthcare Corp. 0.43 Invesco Ltd. 0.43 Toll Brothers, Inc. 0.43 Qurate Retail, Inc., Series A 0.42 Chewy, Inc., Class A 0.41 ------- Total 4.61% ======= ----------------------------- 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 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) (CONTINUED) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2010 - JANUARY 31, 2021 First Trust Mid Cap S&P MidCap Core AlphaDEX(R) Fund 400(R) Index <S> <C> <C> 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 1/21 34,517 36,233 </TABLE> 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 Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 7 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- 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. <TABLE> <CAPTION> ----------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/21 1/31/21 1/31/21 1/31/21 to 1/31/21 1/31/21 1/31/21 to 1/31/21 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 45.27% 32.40% 15.56% 11.32% 8.21% 106.07% 192.27% 195.37% Market Price 45.31% 32.46% 15.62% 11.29% 8.21% 106.65% 191.53% 195.42% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Small Cap Core Index(1) 45.89% 33.46% 16.81% N/A N/A 117.51% N/A N/A Nasdaq US 700 Small Cap Index(1) 45.83% 34.30% 17.91% N/A N/A 127.91% N/A N/A S&P SmallCap 600(R) Index 38.31% 23.18% 15.21% 12.59% 9.10% 102.99% 227.39% 230.58% ----------------------------------------------------------------------------------------------------------------------------------- </TABLE> (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 26.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 21.96% Industrials 16.39 Information Technology 13.30 Health Care 12.94 Consumer Discretionary 11.88 Real Estate 7.53 Materials 4.69 Consumer Staples 4.17 Communication Services 3.35 Energy 2.76 Utilities 1.03 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Plug Power, Inc. 0.56% eXp World Holdings, Inc. 0.51 Stitch Fix, Inc., Class A 0.49 At Home Group, Inc. 0.48 Macerich (The) Co. 0.45 AMC Networks, Inc., Class A 0.42 Appian Corp. 0.41 Rite Aid Corp. 0.40 Sleep Number Corp. 0.40 Renewable Energy Group, Inc. 0.38 ------- Total 4.50% ======= ----------------------------- 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 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) (CONTINUED) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2010 - JANUARY 31, 2021 First Trust Small Cap S&P SmallCap Core AlphaDEX(R) Fund 600(R) Index <S> <C> <C> 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 1/21 35,075 39,290 </TABLE> 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 Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 9 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- 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. <TABLE> <CAPTION> ----------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/21 1/31/21 1/31/21 1/31/21 to 1/31/21 1/31/21 1/31/21 to 1/31/21 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 21.34% 5.45% 11.12% 9.39% 6.51% 69.42% 145.38% 137.74% Market Price 21.34% 5.51% 11.12% 9.38% 6.51% 69.41% 145.10% 137.73% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Large Cap Value Index(1) 21.80% 6.11% 11.55% N/A N/A 72.70% N/A N/A Nasdaq US 500 Large Cap Value Index(1) 17.04% 7.11% 12.42% N/A N/A 79.53% N/A N/A S&P 500(R) Index 14.47% 17.25% 16.16% 13.50% 9.05% 111.48% 254.88% 228.51% S&P 500(R) Value Index 13.92% 2.46% 11.28% 10.21% 5.89% 70.61% 164.45% 119.34% ----------------------------------------------------------------------------------------------------------------------------------- </TABLE> (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 26.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 23.43% Utilities 14.54 Industrials 11.51 Consumer Discretionary 9.48 Consumer Staples 8.10 Health Care 7.58 Information Technology 6.81 Communication Services 6.45 Energy 5.13 Materials 4.15 Real Estate 2.82 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Lumen Technologies, Inc. 1.14% General Motors Co. 1.09 D.R. Horton, Inc. 1.00 Lennar Corp., Class A 0.98 Exxon Mobil Corp. 0.98 Kroger (The) Co. 0.97 Quest Diagnostics, Inc. 0.97 Fox Corp., Class A 0.96 Franklin Resources, Inc. 0.94 CVS Health Corp. 0.94 ------- Total 9.97% ======= ----------------------------- 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 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) (CONTINUED) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2010 - JANUARY 31, 2021 First Trust Large Cap S&P 500(R) S&P 500(R) Value AlphaDEX(R) Fund Index Value Index <S> <C> <C> <C> 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 23,807 36,554 27,200 1/21 28,892 41,851 30,986 </TABLE> 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 Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 11 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- 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. <TABLE> <CAPTION> ----------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/21 1/31/21 1/31/21 1/31/21 to 1/31/21 1/31/21 1/31/21 to 1/31/21 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 17.60% 30.70% 16.83% 13.59% 9.55% 117.69% 257.51% 249.97% Market Price 17.56% 30.69% 16.84% 13.58% 9.55% 117.72% 257.20% 249.78% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Large Cap Growth Index(1) 17.96% 31.55% 17.67% N/A N/A 125.58% N/A N/A Nasdaq US 500 Large Cap Growth Index(1) 14.87% 29.87% 20.17% N/A N/A 150.64% N/A N/A S&P 500(R) Index 14.47% 17.25% 16.16% 13.50% 9.05% 111.48% 254.88% 228.51% S&P 500(R) Growth Index 15.00% 29.84% 20.09% 16.25% 11.81% 149.77% 350.93% 363.22% ----------------------------------------------------------------------------------------------------------------------------------- </TABLE> (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 26.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Information Technology 40.45% Health Care 20.99 Consumer Discretionary 12.41 Communication Services 8.57 Industrials 6.96 Financials 5.34 Consumer Staples 1.67 Energy 1.36 Materials 1.02 Real Estate 0.70 Utilities 0.53 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Moderna, Inc. 1.49% Roku, Inc. 1.06 Tesla, Inc. 1.01 Applied Materials, Inc. 1.01 Etsy, Inc. 1.01 Catalent, Inc. 1.00 KLA Corp. 0.98 Twilio, Inc., Class A 0.96 Snap, Inc., Class A 0.95 Chegg, Inc. 0.95 ------- Total 10.42% ======= ----------------------------- 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 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) (CONTINUED) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2010 - JANUARY 31, 2021 First Trust Large Cap S&P 500(R) S&P 500(R) Growth AlphaDEX(R) Fund Index Growth Index <S> <C> <C> <C> 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 1/21 43,261 41,851 53,544 </TABLE> 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 Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 13 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- 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. <TABLE> <CAPTION> ----------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/21 1/31/21 1/31/21 1/31/21 to 1/31/21 1/31/21 1/31/21 to 1/31/21 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 28.28% 10.19% 11.05% 9.00% 6.69% 68.85% 136.67% 143.27% Market Price 28.16% 10.18% 11.04% 8.98% 6.68% 68.83% 136.35% 143.10% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Multi Cap Value Index(1) 28.78% 11.04% 11.83% N/A N/A 74.93% N/A N/A Nasdaq US Multi Cap Value Index(1) 19.15% 7.93% 12.43% N/A N/A 79.64% N/A N/A S&P Composite 1500(R) Index 15.69% 17.48% 16.01% 13.34% 9.07% 110.12% 249.82% 229.35% S&P Composite 1500(R) Value Index 15.53% 3.31% 11.38% 10.24% 6.07% 71.42% 164.99% 124.69% ----------------------------------------------------------------------------------------------------------------------------------- </TABLE> (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 26.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 27.43% Industrials 13.76 Consumer Discretionary 11.36 Utilities 10.33 Information Technology 6.83 Consumer Staples 6.36 Real Estate 5.24 Health Care 5.15 Communication Services 5.10 Materials 4.94 Energy 3.50 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Lumen Technologies, Inc. 0.57% General Motors Co. 0.54 D.R. Horton, Inc. 0.50 Lennar Corp., Class A 0.49 Exxon Mobil Corp. 0.49 Kroger (The) Co. 0.48 Quest Diagnostics, Inc. 0.48 Fox Corp., Class A 0.48 Franklin Resources, Inc. 0.47 CVS Health Corp. 0.47 ------- Total 4.97% ======= ----------------------------- 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 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) (CONTINUED) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2010 - JANUARY 31, 2021 First Trust Multi Cap S&P Composite S&P Composite 1500(R) Value AlphaDEX(R) Fund 1500(R) Index Value Index <S> <C> <C> <C> 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 1/21 28,251 41,412 31,131 </TABLE> 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 Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 15 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- 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. <TABLE> <CAPTION> ----------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/21 1/31/21 1/31/21 1/31/21 to 1/31/21 1/31/21 1/31/21 to 1/31/21 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 28.36% 37.18% 18.44% 13.85% 10.08% 133.12% 265.73% 273.83% Market Price 28.22% 37.18% 18.46% 13.83% 10.07% 133.26% 265.19% 273.64% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Multi Cap Growth Index(1) 28.85% 38.19% 19.40% N/A N/A 142.64% N/A N/A Nasdaq US Multi Cap Growth Index(1) 16.74% 30.70% 20.18% N/A N/A 150.71% N/A N/A S&P Composite 1500(R) Index 15.69% 17.48% 16.01% 13.34% 9.07% 110.12% 249.82% 229.35% S&P Composite 1500(R) Growth Index 15.94% 29.62% 19.75% 15.95% 11.70% 146.24% 339.20% 357.34% ----------------------------------------------------------------------------------------------------------------------------------- </TABLE> (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 26.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Information Technology 33.54% Health Care 22.40 Consumer Discretionary 12.97 Industrials 9.55 Financials 6.11 Communication Services 5.12 Consumer Staples 3.38 Materials 2.74 Real Estate 2.06 Energy 1.50 Utilities 0.63 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Moderna, Inc. 0.73% Roku, Inc. 0.51 Tesla, Inc. 0.49 Applied Materials, Inc. 0.49 Etsy, Inc. 0.49 Catalent, Inc. 0.49 KLA Corp. 0.48 Twilio, Inc., Class A 0.47 Snap, Inc., Class A 0.46 Chegg, Inc. 0.46 ------- Total 5.07% ======= ----------------------------- 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 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) (CONTINUED) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2010 - JANUARY 31, 2021 First Trust Multi Cap S&P Composite S&P Composite 1500(R) Growth AlphaDEX(R) Fund 1500(R) Index Growth Index <S> <C> <C> <C> 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 1/21 44,509 41,412 52,414 </TABLE> 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 Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 17 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- 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. <TABLE> <CAPTION> ----------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months 1 Year 5 Years Inception 5 Years Inception Ended Ended Ended (4/19/11) Ended (4/19/11) 1/31/21 1/31/21 1/31/21 to 1/31/21 1/31/21 to 1/31/21 <S> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 32.34% 8.48% 9.55% 7.69% 57.77% 106.55% Market Price 32.32% 8.46% 9.54% 7.69% 57.69% 106.43% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Mid Cap Value Index(1) 32.89% 9.31% 10.39% N/A 63.96% N/A Nasdaq US 600 Mid Cap Value Index(1) 27.57% 4.77% 10.80% N/A 67.03% N/A S&P MidCap 400(R) Value Index 29.26% 9.45% 11.90% 9.91% 75.42% 152.21% ----------------------------------------------------------------------------------------------------------------------------------- </TABLE> (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 26.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 30.42% Consumer Discretionary 15.56 Industrials 14.87 Utilities 9.55 Real Estate 6.28 Information Technology 6.07 Materials 5.47 Consumer Staples 4.86 Communication Services 3.21 Health Care 2.72 Energy 0.99 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Discovery, Inc., Class A 1.01% KB Home 0.91 Dick's Sporting Goods, Inc. 0.87 Invesco Ltd. 0.87 Toll Brothers, Inc. 0.86 Qurate Retail, Inc., Series A 0.84 SL Green Realty Corp. 0.82 Molson Coors Beverage Co., Class B 0.81 NRG Energy, Inc. 0.81 Kimco Realty Corp. 0.81 ------- Total 8.61% ======= ----------------------------- 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 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) (CONTINUED) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT APRIL 19, 2011 - JANUARY 31, 2021 First Trust Mid Cap S&P MidCap 400(R) Value AlphaDEX(R) Fund Value Index <S> <C> <C> 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 1/21 20,655 25,221 </TABLE> 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 Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 19 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- 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. <TABLE> <CAPTION> ----------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months 1 Year 5 Years Inception 5 Years Inception Ended Ended Ended (4/19/11) Ended (4/19/11) 1/31/21 1/31/21 1/31/21 to 1/31/21 1/31/21 to 1/31/21 <S> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 32.71% 41.04% 20.32% 13.54% 152.16% 246.52% Market Price 32.71% 41.01% 20.32% 13.54% 152.16% 246.52% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Mid Cap Growth Index(1) 33.21% 42.09% 21.10% N/A 160.48% N/A Nasdaq US 600 Mid Cap Growth Index(1) 31.39% 39.67% 20.49% N/A 153.97% N/A S&P MidCap 400(R) Growth Index 24.32% 26.57% 15.66% 12.06% 106.94% 204.72% ----------------------------------------------------------------------------------------------------------------------------------- </TABLE> (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 26.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Information Technology 32.26% Health Care 21.92 Consumer Discretionary 12.83 Industrials 10.95 Consumer Staples 5.98 Materials 5.66 Financials 5.01 Real Estate 2.01 Communication Services 1.73 Energy 1.23 Utilities 0.42 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Overstock.com, Inc. 1.16% National Beverage Corp. 1.02 Novavax, Inc. 0.85 Tenet Healthcare Corp. 0.85 Chewy, Inc., Class A 0.81 Scotts Miracle-Gro (The) Co. 0.80 PTC, Inc. 0.80 II-VI, Inc. 0.79 Albemarle Corp. 0.79 OPKO Health, Inc. 0.79 ------- Total 8.66% ======= ----------------------------- 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 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) (CONTINUED) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT APRIL 19, 2011 - JANUARY 31, 2021 First Trust Mid Cap S&P MidCap 400(R) Growth AlphaDEX(R) Fund Growth Index <S> <C> <C> 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 1/21 34,652 30,472 </TABLE> 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 Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 21 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- 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. <TABLE> <CAPTION> ----------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months 1 Year 5 Years Inception 5 Years Inception Ended Ended Ended (4/19/11) Ended (4/19/11) 1/31/21 1/31/21 1/31/21 to 1/31/21 1/31/21 to 1/31/21 <S> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 39.38% 23.52% 12.61% 9.22% 81.06% 136.98% Market Price 39.42% 23.17% 12.63% 9.22% 81.21% 136.99% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Small Cap Value Index(1) 39.92% 24.53% 14.02% N/A 92.67% N/A Nasdaq US 700 Small Cap Value Index(1) 42.94% 20.20% 13.86% N/A 91.38% N/A S&P SmallCap 600(R) Value Index 40.81% 16.46% 13.03% 10.94% 84.47% 176.21% ----------------------------------------------------------------------------------------------------------------------------------- </TABLE> (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 26.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 32.87% Industrials 17.62 Consumer Discretionary 9.79 Real Estate 9.62 Information Technology 7.99 Materials 6.06 Communication Services 4.60 Consumer Staples 4.27 Energy 3.24 Health Care 2.77 Utilities 1.17 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Macerich (The) Co. 0.92% Renewable Energy Group, Inc. 0.79 Stride, Inc. 0.76 Tri Pointe Homes, Inc. 0.73 TEGNA, Inc. 0.72 Prestige Consumer Healthcare, Inc. 0.72 Navient Corp. 0.72 Simmons First National Corp., Class A 0.72 Adtalem Global Education, Inc. 0.71 Assured Guaranty Ltd. 0.71 ------- Total 7.50% ======= ----------------------------- 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 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) (CONTINUED) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT APRIL 19, 2011 - JANUARY 31, 2021 First Trust Small Cap S&P SmallCap 600(R) Value AlphaDEX(R) Fund Value Index <S> <C> <C> 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 18,859 23,442 1/20 19,185 23,717 7/20 17,003 19,617 1/21 23,698 27,621 </TABLE> 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 Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 23 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- 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. <TABLE> <CAPTION> ----------------------------------------------------------------------------------------------------------------------------------- PERFORMANCE ----------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 6 Months 1 Year 5 Years Inception 5 Years Inception Ended Ended Ended (4/19/11) Ended (4/19/11) 1/31/21 1/31/21 1/31/21 to 1/31/21 1/31/21 to 1/31/21 <S> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 50.26% 44.73% 18.97% 13.26% 138.34% 238.14% Market Price 50.15% 44.65% 18.96% 13.25% 138.25% 237.89% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Small Cap Growth Index(1) 51.00% 46.05% 20.35% N/A 152.44% N/A Nasdaq US 700 Small Cap Growth Index(1) 48.38% 48.44% 21.83% N/A 168.35% N/A S&P SmallCap 600(R) Growth Index 36.18% 29.19% 17.23% 13.60% 121.40% 248.44% ----------------------------------------------------------------------------------------------------------------------------------- </TABLE> (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 26.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Health Care 26.35% Information Technology 19.38 Consumer Discretionary 14.47 Industrials 13.52 Financials 9.49 Real Estate 5.29 Consumer Staples 3.58 Materials 2.52 Energy 2.20 Communication Services 2.03 Utilities 1.17 ------- Total 100.00% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Plug Power, Inc. 1.11% eXp World Holdings, Inc. 1.00 Stitch Fix, Inc., Class A 0.97 At Home Group, Inc. 0.94 Appian Corp. 0.80 Rite Aid Corp. 0.79 Sleep Number Corp. 0.78 Vista Outdoor, Inc. 0.73 Upwork, Inc. 0.71 Michaels (The) Cos., Inc. 0.71 ------- Total 8.54% ======= ----------------------------- 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 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) (CONTINUED) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT APRIL 19, 2011 - JANUARY 31, 2021 First Trust Small Cap S&P SmallCap 600(R) Growth AlphaDEX(R) Fund Growth Index <S> <C> <C> 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 1/21 33,814 34,844 </TABLE> 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 Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 25 <PAGE> -------------------------------------------------------------------------------- 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 of the national best bid and offer price ("NBBO") as of the time that the Fund's NAV is calculated. Under SEC rules, the NBBO consists of the highest displayed buy and lowest sell prices among the various exchanges trading the Fund at the time the Fund's NAV is calculated. Prior to January 1, 2019, the price used was the midpoint between the highest bid and the lowest offer on the stock exchange on which shares of the Fund were listed for trading as of the time that the Fund's NAV was 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 26 <PAGE> FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS UNDERSTANDING YOUR FUND EXPENSES JANUARY 31, 2021 (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 or First Trust Small Cap Growth 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 January 31, 2021. 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. <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH AUGUST 1, 2020 JANUARY 31, 2021 PERIOD (a) PERIOD (b) ------------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) Actual $1,000.00 $1,192.50 0.60% $3.32 Hypothetical (5% return before expenses) $1,000.00 $1,022.18 0.60% $3.06 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) Actual $1,000.00 $1,320.00 0.60% $3.51 Hypothetical (5% return before expenses) $1,000.00 $1,022.18 0.60% $3.06 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) Actual $1,000.00 $1,452.70 0.60% $3.71 Hypothetical (5% return before expenses) $1,000.00 $1,022.18 0.60% $3.06 FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) Actual $1,000.00 $1,213.40 0.60% $3.35 Hypothetical (5% return before expenses) $1,000.00 $1,022.18 0.60% $3.06 FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) Actual $1,000.00 $1,176.00 0.59% $3.24 Hypothetical (5% return before expenses) $1,000.00 $1,022.23 0.59% $3.01 </TABLE> Page 27 <PAGE> FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS UNDERSTANDING YOUR FUND EXPENSES (CONTINUED) JANUARY 31, 2021 (UNAUDITED) <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH AUGUST 1, 2020 JANUARY 31, 2021 PERIOD (a) PERIOD (b) ------------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) Actual $1,000.00 $1,282.80 0.70% $4.03 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) Actual $1,000.00 $1,283.60 0.63% $3.63 Hypothetical (5% return before expenses) $1,000.00 $1,022.03 0.63% $3.21 FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) Actual $1,000.00 $1,323.40 0.70% $4.10 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57 FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) Actual $1,000.00 $1,327.10 0.70% $4.11 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57 FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) Actual $1,000.00 $1,393.80 0.70% $4.22 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57 FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) Actual $1,000.00 $1,502.60 0.70% $4.42 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57 </TABLE> (a) These expense ratios reflect expense caps for certain Funds. See Note 3 in Notes to Financial Statements. (b) Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (August 1, 2020 through January 31, 2021), multiplied by 184/365 (to reflect the six-month period). Page 28 <PAGE> FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 1.2% 30,028 General Dynamics Corp. $ 4,404,507 6,750 HEICO Corp. 794,745 4,729 L3Harris Technologies, Inc. 811,071 8,799 Northrop Grumman Corp. 2,521,881 4,559 Teledyne Technologies, Inc. (a) 1,627,608 2,888 TransDigm Group, Inc. (a) 1,597,873 --------------- 11,757,685 --------------- AIR FREIGHT & LOGISTICS -- 0.7% 19,042 C.H. Robinson Worldwide, Inc. 1,629,234 28,191 Expeditors International of Washington, Inc. 2,523,658 10,327 FedEx Corp. 2,430,356 5,308 United Parcel Service, Inc., Class B 822,740 --------------- 7,405,988 --------------- AUTO COMPONENTS -- 0.4% 27,438 Aptiv PLC 3,665,717 --------------- AUTOMOBILES -- 1.5% 406,701 Ford Motor Co. (a) 4,282,562 107,316 General Motors Co. 5,438,775 6,333 Tesla, Inc. (a) 5,025,425 --------------- 14,746,762 --------------- BANKS -- 4.7% 117,944 Bank of America Corp. 3,497,039 57,979 Citigroup, Inc. 3,362,202 99,969 Citizens Financial Group, Inc. 3,642,870 129,667 Fifth Third Bancorp 3,751,266 24,331 First Republic Bank 3,527,752 21,101 JPMorgan Chase & Co. 2,715,066 217,849 KeyCorp 3,672,934 28,083 M&T Bank Corp. 3,720,155 29,990 PNC Financial Services Group (The), Inc. 4,304,165 221,769 Regions Financial Corp. 3,772,291 4,609 SVB Financial Group (a) 2,017,728 74,586 Truist Financial Corp. 3,578,636 57,548 U.S. Bancorp 2,465,932 118,453 Wells Fargo & Co. 3,539,376 --------------- 47,567,412 --------------- BEVERAGES -- 0.6% 4,080 Constellation Brands, Inc., Class A 860,595 55,858 Keurig Dr Pepper, Inc. 1,776,285 28,992 Monster Beverage Corp. (a) 2,517,375 6,027 PepsiCo, Inc. 823,107 --------------- 5,977,362 --------------- BIOTECHNOLOGY -- 1.6% 16,681 AbbVie, Inc. 1,709,469 33,728 Exact Sciences Corp. (a) 4,626,132 15,340 Gilead Sciences, Inc. 1,006,304 42,774 Moderna, Inc. (a) 7,406,746 10,485 Sarepta Therapeutics, Inc. (a) 937,359 5,102 Seagen, Inc. (a) 838,106 --------------- 16,524,116 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- BUILDING PRODUCTS -- 1.0% 71,081 Carrier Global Corp. $ 2,736,619 31,277 Fortune Brands Home & Security, Inc. 2,697,641 38,365 Johnson Controls International PLC 1,911,344 3,262 Lennox International, Inc. 898,648 16,269 Masco Corp. 883,569 6,156 Trane Technologies PLC 882,463 --------------- 10,010,284 --------------- CAPITAL MARKETS -- 4.1% 9,197 Ameriprise Financial, Inc. 1,819,810 18,246 Apollo Global Management, Inc. 838,221 105,292 Bank of New York Mellon (The) Corp. 4,193,780 6,193 BlackRock, Inc. 4,342,903 4,910 CME Group, Inc. 892,344 178,817 Franklin Resources, Inc. 4,701,099 13,556 Goldman Sachs Group (The), Inc. 3,675,981 15,504 Intercontinental Exchange, Inc. 1,710,867 44,145 KKR & Co., Inc. 1,719,448 3,134 MarketAxess Holdings, Inc. 1,694,742 52,166 Morgan Stanley 3,497,730 8,007 MSCI, Inc. 3,165,167 13,467 Nasdaq, Inc. 1,821,681 9,596 Northern Trust Corp. 855,867 49,119 State Street Corp. 3,438,330 17,711 T. Rowe Price Group, Inc. 2,771,417 --------------- 41,139,387 --------------- CHEMICALS -- 1.7% 13,757 Celanese Corp. 1,680,418 69,245 Corteva, Inc. 2,760,106 26,737 Eastman Chemical Co. 2,629,584 7,777 FMC Corp. 842,171 24,635 International Flavors & Fragrances, Inc. (b) 2,768,481 29,252 LyondellBasell Industries N.V., Class A 2,508,652 12,395 PPG Industries, Inc. 1,669,730 9,845 RPM International, Inc. 811,917 2,432 Sherwin-Williams (The) Co. 1,682,458 --------------- 17,353,517 --------------- COMMERCIAL SERVICES & SUPPLIES -- 1.0% 2,529 Cintas Corp. 804,525 28,093 Copart, Inc. (a) 3,083,207 27,842 Republic Services, Inc. 2,520,258 68,626 Rollins, Inc. 2,471,909 15,156 Waste Management, Inc. 1,687,166 --------------- 10,567,065 --------------- COMMUNICATIONS EQUIPMENT -- 0.7% 9,227 Arista Networks, Inc. (a) 2,837,856 79,886 Cisco Systems, Inc. 3,561,318 5,256 Motorola Solutions, Inc. 880,643 --------------- 7,279,817 --------------- See Notes to Financial Statements Page 29 <PAGE> FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) CONSTRUCTION & ENGINEERING -- 0.2% 16,405 Jacobs Engineering Group, Inc. $ 1,656,249 --------------- CONSTRUCTION MATERIALS -- 0.6% 12,589 Martin Marietta Materials, Inc. 3,618,204 18,078 Vulcan Materials Co. 2,696,153 --------------- 6,314,357 --------------- CONSUMER FINANCE -- 0.8% 7,392 American Express Co. 859,394 36,166 Capital One Financial Corp. 3,770,667 9,873 Discover Financial Services 824,791 77,245 Synchrony Financial 2,599,294 --------------- 8,054,146 --------------- CONTAINERS & PACKAGING -- 0.3% 53,925 International Paper Co. 2,712,967 --------------- DISTRIBUTORS -- 0.4% 11,996 Pool Corp. 4,248,743 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.5% 49,470 Chegg, Inc. (a) 4,712,512 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.4% 19,272 Berkshire Hathaway, Inc., Class B (a) 4,391,511 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.4% 155,377 AT&T, Inc. 4,448,443 458,320 Lumen Technologies, Inc. 5,674,002 76,061 Verizon Communications, Inc. 4,164,340 --------------- 14,286,785 --------------- ELECTRIC UTILITIES -- 4.4% 69,376 Alliant Energy Corp. 3,375,143 42,932 American Electric Power Co., Inc. 3,473,628 39,044 Duke Energy Corp. 3,670,136 42,681 Edison International 2,482,327 44,758 Entergy Corp. 4,266,780 80,501 Evergy, Inc. 4,325,319 30,992 Eversource Energy 2,711,800 105,841 Exelon Corp. 4,398,752 87,591 FirstEnergy Corp. 2,694,299 23,168 NextEra Energy, Inc. 1,873,596 158,463 PPL Corp. 4,384,671 58,195 Southern (The) Co. 3,428,849 53,622 Xcel Energy, Inc. 3,431,272 --------------- 44,516,572 --------------- ELECTRICAL EQUIPMENT -- 0.7% 14,780 AMETEK, Inc. 1,673,983 14,879 Eaton Corp. PLC 1,751,258 33,361 Emerson Electric Co. 2,647,195 3,563 Rockwell Automation, Inc. 885,513 --------------- 6,957,949 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.9% 20,503 Amphenol Corp., Class A $ 2,560,415 13,562 CDW Corp. 1,785,573 22,263 Cognex Corp. 1,828,460 49,652 Corning, Inc. 1,781,017 20,299 Keysight Technologies, Inc. (a) 2,874,135 53,541 Trimble, Inc. (a) 3,528,887 11,626 Zebra Technologies Corp., Class A (a) 4,508,912 --------------- 18,867,399 --------------- ENTERTAINMENT -- 1.6% 28,876 Activision Blizzard, Inc. 2,627,716 6,223 Electronic Arts, Inc. 891,133 3,306 Netflix, Inc. (a) 1,760,081 13,459 Roku, Inc. (a) 5,235,955 17,204 Take-Two Interactive Software, Inc. (a) 3,448,542 181,100 Zynga, Inc., Class A (a) 1,794,701 --------------- 15,758,128 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 1.7% 16,713 AvalonBay Communities, Inc. 2,735,417 47,272 Boston Properties, Inc. 4,314,516 7,714 Extra Space Storage, Inc. 877,776 82,032 Medical Properties Trust, Inc. 1,731,696 14,109 Mid-America Apartment Communities, Inc. 1,872,970 10,480 Simon Property Group, Inc. 973,906 54,673 Ventas, Inc. 2,518,785 35,048 VICI Properties, Inc. 886,013 13,830 Welltower, Inc. 838,098 26,654 Weyerhaeuser Co. 831,338 --------------- 17,580,515 --------------- FOOD & STAPLES RETAILING -- 1.1% 2,371 Costco Wholesale Corp. 835,612 140,700 Kroger (The) Co. 4,854,150 44,821 Walgreens Boots Alliance, Inc. 2,252,255 24,800 Walmart, Inc. 3,484,152 --------------- 11,426,169 --------------- FOOD PRODUCTS -- 3.2% 88,645 Archer-Daniels-Midland Co. 4,433,136 55,453 Campbell Soup Co. 2,667,844 98,591 Conagra Brands, Inc. 3,411,248 60,797 General Mills, Inc. 3,532,306 11,734 Hershey (The) Co. 1,706,593 57,523 Hormel Foods Corp. 2,695,528 38,655 J.M. Smucker (The) Co. 4,499,828 43,085 Kellogg Co. 2,539,430 25,786 Kraft Heinz (The) Co. 864,089 30,570 Mondelez International, Inc., Class A 1,694,801 69,345 Tyson Foods, Inc., Class A 4,459,577 --------------- 32,504,380 --------------- GAS UTILITIES -- 0.4% 46,826 Atmos Energy Corp. 4,167,514 --------------- Page 30 See Notes to Financial Statements <PAGE> FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE EQUIPMENT & SUPPLIES -- 3.3% 8,162 Abbott Laboratories $ 1,008,742 5,514 ABIOMED, Inc. (a) 1,920,251 8,362 Align Technology, Inc. (a) 4,393,228 11,138 Baxter International, Inc. 855,733 3,571 Becton, Dickinson and Co. 934,852 4,022 Danaher Corp. 956,592 19,593 Edwards Lifesciences Corp. (a) 1,617,990 49,085 Hologic, Inc. (a) 3,913,547 8,939 IDEXX Laboratories, Inc. (a) 4,278,921 6,991 Insulet Corp. (a) 1,867,855 2,185 Intuitive Surgical, Inc. (a) 1,633,593 6,661 Masimo Corp. (a) 1,704,683 15,259 Medtronic PLC 1,698,784 4,975 Quidel Corp. (a) 1,248,576 4,206 ResMed, Inc. 847,803 4,716 STERIS PLC 882,411 7,294 Stryker Corp. 1,612,047 6,309 West Pharmaceutical Services, Inc. 1,889,482 --------------- 33,265,090 --------------- HEALTH CARE PROVIDERS & SERVICES -- 4.1% 11,133 Anthem, Inc. 3,306,278 74,439 Centene Corp. (a) 4,488,672 17,172 Cigna Corp. 3,727,182 65,425 CVS Health Corp. 4,687,701 38,064 DaVita, Inc. (a) 4,467,572 10,868 HCA Healthcare, Inc. 1,765,833 4,356 Humana, Inc. 1,668,827 17,564 Laboratory Corp. of America Holdings (a) 4,020,575 15,417 McKesson Corp. 2,689,804 16,808 Molina Healthcare, Inc. (a) 3,590,357 37,499 Quest Diagnostics, Inc. 4,842,996 7,645 UnitedHealth Group, Inc. 2,550,219 --------------- 41,806,016 --------------- HEALTH CARE TECHNOLOGY -- 0.6% 45,551 Cerner Corp. 3,649,091 4,470 Teladoc Health, Inc. (a) 1,179,320 3,283 Veeva Systems, Inc., Class A (a) 907,552 --------------- 5,735,963 --------------- HOTELS, RESTAURANTS & LEISURE -- 0.5% 1,934 Chipotle Mexican Grill, Inc. (a) 2,862,320 2,330 Domino's Pizza, Inc. 863,871 8,233 Yum! Brands, Inc. 835,567 --------------- 4,561,758 --------------- HOUSEHOLD DURABLES -- 2.4% 64,838 D.R. Horton, Inc. 4,979,558 22,406 Garmin Ltd. 2,573,553 58,620 Lennar Corp., Class A 4,874,253 876 NVR, Inc. (a) 3,895,117 103,632 PulteGroup, Inc. 4,507,992 SHARES DESCRIPTION VALUE --------------------------------------------------------------- HOUSEHOLD DURABLES (CONTINUED) 19,805 Whirlpool Corp. $ 3,665,707 --------------- 24,496,180 --------------- HOUSEHOLD PRODUCTS -- 0.3% 10,245 Church & Dwight Co., Inc. 864,985 20,902 Colgate-Palmolive Co. 1,630,356 6,422 Procter & Gamble (The) Co. 823,365 --------------- 3,318,706 --------------- INDUSTRIAL CONGLOMERATES -- 0.8% 15,339 3M Co. 2,694,449 248,259 General Electric Co. 2,651,406 12,606 Honeywell International, Inc. 2,462,834 --------------- 7,808,689 --------------- INSURANCE -- 4.3% 100,487 Aflac, Inc. 4,540,003 40,650 Allstate (The) Corp. 4,356,867 123,887 Arch Capital Group Ltd. (a) 3,891,291 14,449 Arthur J. Gallagher & Co. 1,667,559 18,851 Brown & Brown, Inc. 812,290 11,612 Chubb Ltd. 1,691,520 40,916 Cincinnati Financial Corp. 3,440,626 91,234 Hartford Financial Services Group (The), Inc. 4,381,057 1,730 Markel Corp. (a) 1,677,200 95,177 MetLife, Inc. 4,582,773 72,060 Principal Financial Group, Inc. 3,550,396 45,192 Progressive (The) Corp. 3,940,290 25,468 Travelers (The) Cos., Inc. 3,471,288 13,456 W.R. Berkley Corp. 836,156 --------------- 42,839,316 --------------- INTERACTIVE MEDIA & SERVICES -- 1.8% 1,529 Alphabet, Inc., Class A (a) 2,794,034 6,543 Facebook, Inc., Class A (a) 1,690,253 67,810 Pinterest, Inc., Class A (a) 4,645,663 89,248 Snap, Inc., Class A (a) 4,724,789 34,428 Zillow Group, Inc., Class C (a) 4,491,477 --------------- 18,346,216 --------------- INTERNET & DIRECT MARKETING RETAIL -- 1.3% 823 Amazon.com, Inc. (a) 2,638,703 17,786 eBay, Inc. 1,005,087 25,117 Etsy, Inc. (a) 5,000,543 15,832 Wayfair, Inc., Class A (a) 4,311,370 --------------- 12,955,703 --------------- IT SERVICES -- 5.0% 6,843 Accenture PLC, Class A 1,655,459 5,072 Automatic Data Processing, Inc. 837,489 20,503 Booz Allen Hamilton Holding Corp. 1,746,240 5,834 Broadridge Financial Solutions, Inc. 824,402 32,717 Cognizant Technology Solutions Corp., Class A 2,550,290 9,975 EPAM Systems, Inc. (a) 3,435,689 See Notes to Financial Statements Page 31 <PAGE> FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) IT SERVICES (CONTINUED) 6,318 Fidelity National Information Services, Inc. $ 780,020 15,698 Fiserv, Inc. (a) 1,612,028 16,738 Gartner, Inc. (a) 2,542,670 16,594 Global Payments, Inc. 2,929,173 21,549 GoDaddy, Inc., Class A (a) 1,693,320 28,400 International Business Machines Corp. 3,382,724 25,507 Leidos Holdings, Inc. 2,705,272 12,446 MongoDB, Inc. (a) 4,600,166 14,060 Okta, Inc. (a) 3,641,681 9,591 Paychex, Inc. 837,486 15,264 PayPal Holdings, Inc. (a) 3,576,508 20,533 Square, Inc., Class A (a) 4,434,307 13,202 Twilio, Inc., Class A (a) 4,745,195 81,471 Western Union (The) Co. 1,814,359 --------------- 50,344,478 --------------- LEISURE PRODUCTS -- 0.6% 19,109 Hasbro, Inc. 1,792,806 29,453 Peloton Interactive, Inc., Class A (a) 4,303,967 --------------- 6,096,773 --------------- LIFE SCIENCES TOOLS & SERVICES -- 2.5% 22,627 Agilent Technologies, Inc. 2,719,087 158,744 Avantor, Inc. (a) 4,681,360 4,600 Bio-Rad Laboratories, Inc., Class A (a) 2,639,342 8,444 Bio-Techne Corp. 2,743,540 2,352 Mettler-Toledo International, Inc. (a) 2,747,371 31,141 PerkinElmer, Inc. 4,579,907 5,756 Thermo Fisher Scientific, Inc. 2,933,833 7,225 Waters Corp. (a) 1,912,241 --------------- 24,956,681 --------------- MACHINERY -- 2.1% 9,820 Caterpillar, Inc. 1,795,489 15,741 Cummins, Inc. 3,690,005 3,322 Deere & Co. 959,394 14,157 Dover Corp. 1,649,149 25,241 Fortive Corp. 1,667,925 4,487 IDEX Corp. 835,434 41,433 PACCAR, Inc. 3,779,518 6,562 Parker-Hannifin Corp. 1,736,371 10,010 Stanley Black & Decker, Inc. 1,736,635 48,837 Westinghouse Air Brake Technologies Corp. 3,624,194 --------------- 21,474,114 --------------- MEDIA -- 2.0% 1,204 Cable One, Inc. 2,408,000 2,701 Charter Communications, Inc., Class A (a) 1,641,020 68,223 Comcast Corp., Class A 3,381,814 153,456 Fox Corp., Class A 4,784,758 SHARES DESCRIPTION VALUE --------------------------------------------------------------- MEDIA (CONTINUED) 42,990 Omnicom Group, Inc. $ 2,681,716 140,302 Sirius XM Holdings, Inc. (b) 878,290 95,946 ViacomCBS, Inc., Class B 4,653,381 --------------- 20,428,979 --------------- METALS & MINING -- 0.4% 14,922 Newmont Corp. 889,351 67,210 Nucor Corp. 3,275,143 --------------- 4,164,494 --------------- MULTILINE RETAIL -- 0.8% 12,748 Dollar General Corp. 2,480,888 24,816 Dollar Tree, Inc. (a) 2,522,795 15,187 Target Corp. 2,751,429 --------------- 7,755,112 --------------- MULTI-UTILITIES -- 2.7% 45,796 Ameren Corp. 3,330,285 43,947 CMS Energy Corp. 2,499,705 61,834 Consolidated Edison, Inc. 4,376,611 11,883 Dominion Energy, Inc. 866,152 36,806 DTE Energy Co. 4,369,608 76,648 Public Service Enterprise Group, Inc. 4,325,247 35,074 Sempra Energy 4,340,758 29,133 WEC Energy Group, Inc. 2,589,924 --------------- 26,698,290 --------------- OIL, GAS & CONSUMABLE FUELS -- 3.5% 59,553 Cheniere Energy, Inc. (a) 3,771,492 42,331 Chevron Corp. 3,606,601 67,045 ConocoPhillips 2,683,811 71,683 EOG Resources, Inc. 3,652,966 108,410 Exxon Mobil Corp. 4,861,104 196,137 Kinder Morgan, Inc. 2,761,609 103,261 Occidental Petroleum Corp. 2,071,416 69,859 ONEOK, Inc. 2,782,484 31,389 Pioneer Natural Resources Co. 3,794,930 63,195 Valero Energy Corp. 3,566,094 89,149 Williams (The) Cos., Inc. 1,892,633 --------------- 35,445,140 --------------- PHARMACEUTICALS -- 1.3% 14,408 Bristol-Myers Squibb Co. 885,084 42,939 Catalent, Inc. (a) 4,940,132 5,294 Eli Lilly and Co. 1,100,993 36,654 Horizon Therapeutics PLC (a) 2,656,682 72,838 Pfizer, Inc. 2,614,884 5,400 Zoetis, Inc. 832,950 --------------- 13,030,725 --------------- PROFESSIONAL SERVICES -- 0.7% 1,934 CoStar Group, Inc. (a) 1,740,039 13,903 Equifax, Inc. 2,462,361 9,008 TransUnion 784,056 8,610 Verisk Analytics, Inc. 1,579,935 --------------- 6,566,391 --------------- Page 32 See Notes to Financial Statements <PAGE> FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.3% 56,997 CBRE Group, Inc., Class A (a) $ 3,475,677 --------------- ROAD & RAIL -- 1.5% 19,697 CSX Corp. 1,689,116 26,160 J.B. Hunt Transport Services, Inc. 3,522,706 8,757 Kansas City Southern 1,774,781 7,522 Norfolk Southern Corp. 1,779,856 4,578 Old Dominion Freight Line, Inc. 888,132 70,096 Uber Technologies, Inc. (a) 3,569,989 8,585 Union Pacific Corp. 1,695,280 --------------- 14,919,860 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 5.1% 48,727 Advanced Micro Devices, Inc. (a) 4,172,980 6,050 Analog Devices, Inc. 891,346 51,780 Applied Materials, Inc. 5,006,090 2,042 Broadcom, Inc. 919,921 13,807 KLA Corp. 3,866,926 9,462 Lam Research Corp. 4,579,135 75,199 Marvell Technology Group Ltd. 3,869,741 12,943 Microchip Technology, Inc. 1,761,672 59,438 Micron Technology, Inc. (a) 4,652,212 12,201 Monolithic Power Systems, Inc. 4,334,893 5,134 NVIDIA Corp. 2,667,575 26,876 Qorvo, Inc. (a) 4,592,571 23,467 QUALCOMM, Inc. 3,667,423 5,846 Skyworks Solutions, Inc. 989,436 37,272 Teradyne, Inc. 4,229,627 5,445 Texas Instruments, Inc. 902,182 --------------- 51,103,730 --------------- SOFTWARE -- 8.5% 1,786 Adobe, Inc. (a) 819,363 2,456 ANSYS, Inc. (a) 870,333 11,708 Autodesk, Inc. (a) 3,248,150 21,681 Avalara, Inc. (a) 3,252,150 26,203 Cadence Design Systems, Inc. (a) 3,416,609 25,162 Ceridian HCM Holding, Inc. (a) 2,337,801 10,547 Coupa Software, Inc. (a) 3,268,199 21,097 Crowdstrike Holdings, Inc., Class A (a) 4,552,733 9,080 Datadog, Inc., Class A (a) 932,970 12,062 DocuSign, Inc. (a) 2,809,119 20,654 Dynatrace, Inc. (a) 857,348 3,498 Fair Isaac Corp. (a) 1,574,485 18,052 Fortinet, Inc. (a) 2,613,027 11,273 HubSpot, Inc. (a) 4,195,811 7,058 Intuit, Inc. 2,549,561 172,037 NortonLifeLock, Inc. 3,624,820 27,631 Oracle Corp. 1,669,741 12,574 Palo Alto Networks, Inc. (a) 4,410,330 9,881 Paycom Software, Inc. (a) 3,752,211 11,792 RingCentral, Inc., Class A (a) 4,397,473 SHARES DESCRIPTION VALUE --------------------------------------------------------------- SOFTWARE (CONTINUED) 4,015 salesforce.com, Inc. (a) $ 905,623 6,495 ServiceNow, Inc. (a) 3,527,824 36,854 SS&C Technologies Holdings, Inc. 2,317,380 13,789 Synopsys, Inc. (a) 3,522,400 5,580 Trade Desk (The), Inc., Class A (a) 4,274,224 6,143 Tyler Technologies, Inc. (a) 2,597,199 11,190 Workday, Inc., Class A (a) 2,546,061 31,224 Zendesk, Inc. (a) 4,503,750 5,299 Zoom Video Communications, Inc., Class A (a) 1,971,599 22,375 Zscaler, Inc. (a) 4,468,287 --------------- 85,786,581 --------------- SPECIALTY RETAIL -- 2.0% 17,023 Advance Auto Parts, Inc. 2,538,810 754 AutoZone, Inc. (a) 843,251 35,824 Best Buy Co., Inc. 3,898,368 18,923 CarMax, Inc. (a) 2,228,751 11,193 Carvana Co. (a) 2,923,500 3,365 Home Depot (The), Inc. 911,310 16,705 Lowe's Cos., Inc. 2,787,229 1,975 O'Reilly Automotive, Inc. (a) 840,303 19,072 Tractor Supply Co. 2,703,265 --------------- 19,674,787 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.5% 26,941 Apple, Inc. 3,555,134 12,193 Dell Technologies, Inc., Class C (a) 888,748 301,680 Hewlett Packard Enterprise Co. 3,722,731 72,691 HP, Inc. 1,769,299 43,133 Seagate Technology PLC 2,851,954 32,271 Western Digital Corp. 1,821,053 --------------- 14,608,919 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.2% 12,635 NIKE, Inc., Class B 1,687,910 --------------- TRADING COMPANIES & DISTRIBUTORS -- 0.6% 18,303 Fastenal Co. 834,434 19,268 United Rentals, Inc. (a) 4,682,316 2,189 W.W. Grainger, Inc. 797,650 --------------- 6,314,400 --------------- WATER UTILITIES -- 0.2% 5,824 American Water Works Co., Inc. 926,132 18,900 Essential Utilities, Inc. 875,070 --------------- 1,801,202 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.2% 19,882 T-Mobile US, Inc. (a) 2,506,723 --------------- TOTAL COMMON STOCKS -- 99.9% 1,006,125,611 (Cost $851,761,473) --------------- See Notes to Financial Statements Page 33 <PAGE> FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- MONEY MARKET FUNDS -- 0.3% 2,138,350 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.03% (c) (d) $ 2,138,350 1,180,551 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (c) 1,180,551 --------------- TOTAL MONEY MARKET FUNDS -- 0.3% 3,318,901 (Cost $3,318,901) --------------- TOTAL INVESTMENTS -- 100.2% 1,009,444,512 (Cost $855,080,374) (e) NET OTHER ASSETS AND LIABILITIES -- (0.2)% (2,078,414) --------------- NET ASSETS -- 100.0% $ 1,007,366,098 =============== (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 $2,045,393 and the total value of the collateral held by the Fund is $2,138,350. (c) Rate shown reflects yield as of January 31, 2021. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $169,786,703 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $15,422,565. The net unrealized appreciation was $154,364,138. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2021 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* $1,006,125,611 $ -- $ -- Money Market Funds 3,318,901 -- -- --------------------------------------------- Total Investments $1,009,444,512 $ -- $ -- ============================================= * See Portfolio of Investments for industry breakout. --------------------------------- OFFSETTING ASSETS AND LIABILITIES --------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT --------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 2,045,393 Non-cash Collateral(2) (2,045,393) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At January 31, 2021, 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 34 See Notes to Financial Statements <PAGE> FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 1.5% 14,293 Axon Enterprise, Inc. (a) $ 2,346,339 9,684 BWX Technologies, Inc. 522,161 20,071 Curtiss-Wright Corp. 2,083,169 36,119 Hexcel Corp. 1,576,956 40,911 Howmet Aerospace, Inc. 1,005,592 13,697 Huntington Ingalls Industries, Inc. 2,154,949 6,630 Mercury Systems, Inc. (a) 471,128 32,068 Parsons Corp. (a) 1,143,545 24,159 Textron, Inc. 1,093,436 --------------- 12,397,275 --------------- AIR FREIGHT & LOGISTICS -- 0.1% 4,898 XPO Logistics, Inc. (a) 540,788 --------------- AIRLINES -- 0.1% 37,020 American Airlines Group, Inc. 635,633 --------------- AUTO COMPONENTS -- 1.4% 60,435 BorgWarner, Inc. 2,537,666 20,174 Dorman Products, Inc. (a) 1,832,404 16,568 Fox Factory Holding Corp. (a) 1,982,195 51,618 Gentex Corp. 1,705,975 13,505 LCI Industries 1,747,277 7,342 Lear Corp. 1,106,880 --------------- 10,912,397 --------------- AUTOMOBILES -- 0.2% 15,908 Harley-Davidson, Inc. 637,752 6,278 Thor Industries, Inc. 759,701 --------------- 1,397,453 --------------- BANKS -- 6.0% 74,679 Bank OZK 2,775,072 34,101 BOK Financial Corp. 2,518,700 31,354 Comerica, Inc. 1,793,449 17,772 Commerce Bancshares, Inc. 1,188,058 18,739 Community Bank System, Inc. 1,215,224 20,078 Cullen/Frost Bankers, Inc. 1,851,995 46,050 East West Bancorp, Inc. 2,760,237 3,050 First Citizens BancShares, Inc., Class A 1,817,769 32,276 First Financial Bankshares, Inc. 1,222,615 183,010 First Horizon Corp. 2,542,009 38,066 Glacier Bancorp, Inc. 1,775,779 89,908 Home BancShares, Inc. 1,906,050 138,670 Huntington Bancshares, Inc. 1,833,911 180,604 People's United Financial, Inc. 2,467,051 27,197 Pinnacle Financial Partners, Inc. 1,863,810 41,463 Popular, Inc. 2,353,025 33,669 Prosperity Bancshares, Inc. 2,270,637 12,946 Signature Bank 2,138,550 8,075 South State Corp. 563,150 72,141 Synovus Financial Corp. 2,683,645 54,055 United Bankshares, Inc. 1,711,381 239,509 Valley National Bancorp 2,445,387 29,214 Western Alliance Bancorp 1,991,811 53,757 Zions Bancorp N.A. 2,372,834 --------------- 48,062,149 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- BEVERAGES -- 1.2% 2,348 Boston Beer (The) Co., Inc., Class A (a) $ 2,152,858 64,594 Molson Coors Beverage Co., Class B 3,240,035 27,505 National Beverage Corp. (b) 4,168,107 --------------- 9,561,000 --------------- BIOTECHNOLOGY -- 4.7% 21,840 ACADIA Pharmaceuticals, Inc. (a) 1,049,412 13,689 Acceleron Pharma, Inc. (a) 1,581,490 29,264 Alkermes PLC (a) 614,251 126,419 Amicus Therapeutics, Inc. (a) 2,390,583 15,217 Arrowhead Pharmaceuticals, Inc. (a) 1,174,296 20,823 Blueprint Medicines Corp. (a) 2,014,625 9,429 ChemoCentryx, Inc. (a) 537,547 11,439 CRISPR Therapeutics AG (a) 1,895,442 13,031 Emergent BioSolutions, Inc. (a) 1,392,362 32,102 Fate Therapeutics, Inc. (a) 2,909,404 68,345 Halozyme Therapeutics, Inc. (a) 3,252,539 17,537 Insmed, Inc. (a) 659,216 13,964 Invitae Corp. (a) 691,497 13,290 Mirati Therapeutics, Inc. (a) 2,728,836 23,465 Natera, Inc. (a) 2,502,308 10,471 Novavax, Inc. (a) 2,313,463 443,394 OPKO Health, Inc. (a) (b) 2,398,762 19,132 PTC Therapeutics, Inc. (a) 1,106,212 21,086 Ultragenyx Pharmaceutical, Inc. (a) 2,922,309 19,231 United Therapeutics Corp. (a) 3,150,423 --------------- 37,284,977 --------------- BUILDING PRODUCTS -- 1.5% 21,298 A.O. Smith Corp. 1,156,482 17,524 AAON, Inc. 1,296,776 34,924 Advanced Drainage Systems, Inc. 2,880,532 42,917 Builders FirstSource, Inc. (a) 1,641,575 6,248 Simpson Manufacturing Co., Inc. 574,816 13,947 Trex Co., Inc. (a) 1,279,916 52,547 UFP Industries, Inc. 2,834,385 --------------- 11,664,482 --------------- CAPITAL MARKETS -- 3.1% 17,222 Affiliated Managers Group, Inc. 1,897,692 25,077 Cboe Global Markets, Inc. 2,300,313 7,857 Cohen & Steers, Inc. 514,634 101,039 Federated Hermes, Inc. 2,728,053 8,684 Houlihan Lokey, Inc. 563,157 167,470 Invesco Ltd. 3,448,207 27,603 Lazard Ltd., Class A 1,137,244 22,406 LPL Financial Holdings, Inc. 2,427,466 12,606 Morningstar, Inc. 2,897,993 18,307 Raymond James Financial, Inc. 1,829,419 46,278 Stifel Financial Corp. 2,398,126 92,778 Virtu Financial, Inc., Class A 2,576,445 --------------- 24,718,749 --------------- See Notes to Financial Statements Page 35 <PAGE> FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) CHEMICALS -- 2.6% 15,830 Albemarle Corp. $ 2,574,908 20,448 Axalta Coating Systems Ltd. (a) 551,892 5,067 Balchem Corp. 542,321 45,244 CF Industries Holdings, Inc. 1,872,197 98,783 Element Solutions, Inc. 1,682,275 46,444 Huntsman Corp. 1,227,050 25,372 Mosaic (The) Co. 658,657 4,397 NewMarket Corp. 1,724,459 11,520 Quaker Chemical Corp. 3,019,738 14,657 Scotts Miracle-Gro (The) Co. 3,245,206 50,458 Valvoline, Inc. 1,197,873 28,618 Westlake Chemical Corp. 2,188,132 --------------- 20,484,708 --------------- COMMERCIAL SERVICES & SUPPLIES -- 0.9% 9,424 Casella Waste Systems, Inc., Class A (a) 539,430 23,015 Clean Harbors, Inc. (a) 1,782,742 26,953 IAA, Inc. (a) 1,540,094 3,908 MSA Safety, Inc. 610,117 5,043 Tetra Tech, Inc. 613,077 11,031 UniFirst Corp. 2,347,397 --------------- 7,432,857 --------------- COMMUNICATIONS EQUIPMENT -- 0.9% 22,093 Ciena Corp. (a) 1,179,546 9,955 F5 Networks, Inc. (a) 1,950,682 103,741 Juniper Networks, Inc. 2,533,355 12,316 Lumentum Holdings, Inc. (a) 1,155,241 38,985 Viavi Solutions, Inc. (a) 602,318 --------------- 7,421,142 --------------- CONSTRUCTION & ENGINEERING -- 1.2% 12,766 EMCOR Group, Inc. 1,127,238 42,813 MasTec, Inc. (a) 3,303,023 24,318 Quanta Services, Inc. 1,713,689 10,012 Valmont Industries, Inc. 1,931,515 75,589 WillScot Mobile Mini Holdings Corp. (a) 1,792,215 --------------- 9,867,680 --------------- CONSTRUCTION MATERIALS -- 0.2% 17,280 Eagle Materials, Inc. 1,901,318 --------------- CONSUMER FINANCE -- 0.9% 65,485 Ally Financial, Inc. 2,477,953 10,462 Green Dot Corp., Class A (a) 525,506 48,488 OneMain Holdings, Inc. 2,257,601 79,537 Santander Consumer USA Holdings, Inc. 1,757,768 --------------- 7,018,828 --------------- CONTAINERS & PACKAGING -- 2.1% 8,529 AptarGroup, Inc. 1,134,101 7,528 Avery Dennison Corp. 1,135,749 41,559 Berry Global Group, Inc. (a) 2,051,768 23,305 Crown Holdings, Inc. (a) 2,100,946 SHARES DESCRIPTION VALUE --------------------------------------------------------------- CONTAINERS & PACKAGING (CONTINUED) 103,389 Graphic Packaging Holding Co. $ 1,619,072 12,700 Packaging Corp. of America 1,707,642 38,249 Sealed Air Corp. 1,616,785 62,978 Silgan Holdings, Inc. 2,294,288 29,560 Sonoco Products Co. 1,711,820 40,234 WestRock Co. 1,666,895 --------------- 17,039,066 --------------- DISTRIBUTORS -- 0.3% 66,266 LKQ Corp. (a) 2,325,274 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.8% 23,255 frontdoor, Inc. (a) 1,279,955 25,080 Grand Canyon Education, Inc. (a) 2,130,295 73,620 H&R Block, Inc. 1,268,473 23,781 Service Corp. International 1,199,276 11,444 Terminix Global Holdings, Inc. (a) 545,650 --------------- 6,423,649 --------------- DIVERSIFIED FINANCIAL SERVICES -- 1.0% 65,937 Cannae Holdings, Inc. (a) 2,504,946 91,255 Equitable Holdings, Inc. 2,261,299 118,660 Jefferies Financial Group, Inc. 2,770,711 9,926 Voya Financial, Inc. 550,496 --------------- 8,087,452 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.5% 3,799 Bandwidth, Inc., Class A (a) 676,754 59,383 Iridium Communications, Inc. (a) 2,925,800 --------------- 3,602,554 --------------- ELECTRIC UTILITIES -- 2.0% 47,127 ALLETE, Inc. 2,961,461 65,985 Hawaiian Electric Industries, Inc. 2,181,464 24,317 IDACORP, Inc. 2,147,191 77,736 NRG Energy, Inc. 3,219,048 18,324 OGE Energy Corp. 559,248 36,511 Pinnacle West Capital Corp. 2,747,453 54,599 Portland General Electric Co. 2,308,992 --------------- 16,124,857 --------------- ELECTRICAL EQUIPMENT -- 1.1% 19,285 Acuity Brands, Inc. 2,318,828 14,057 EnerSys 1,155,907 10,268 Generac Holdings, Inc. (a) 2,530,241 3,723 Hubbell, Inc. 579,299 14,261 Regal Beloit Corp. 1,789,470 8,414 Sunrun, Inc. (a) 582,838 --------------- 8,956,583 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.9% 24,001 Arrow Electronics, Inc. (a) 2,343,218 Page 36 See Notes to Financial Statements <PAGE> FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS (CONTINUED) 33,256 Avnet, Inc. $ 1,174,269 18,032 Dolby Laboratories, Inc., Class A 1,587,357 26,640 FLIR Systems, Inc. 1,386,612 38,429 II-VI, Inc. (a) 3,230,726 2,609 IPG Photonics Corp. (a) 582,929 41,180 Jabil, Inc. 1,703,617 2,293 Littelfuse, Inc. 558,047 35,842 SYNNEX Corp. 2,925,424 --------------- 15,492,199 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 3.5% 27,299 American Campus Communities, Inc. 1,123,627 105,825 Brixmor Property Group, Inc. 1,791,617 107,002 Equity Commonwealth 3,050,627 21,199 Healthcare Trust of America, Inc., Class A 598,872 39,905 Host Hotels & Resorts, Inc. 540,713 72,914 Hudson Pacific Properties, Inc. 1,709,104 37,339 JBG SMITH Properties 1,114,942 194,471 Kimco Realty Corp. 3,210,716 7,335 Life Storage, Inc. 598,389 42,801 National Retail Properties, Inc. 1,669,239 23,343 PotlatchDeltic Corp. 1,114,862 39,742 Rayonier, Inc. 1,222,066 25,611 Regency Centers Corp. 1,208,327 134,439 Sabra Health Care REIT, Inc. 2,257,231 48,782 SL Green Realty Corp. 3,291,809 29,066 Spirit Realty Capital, Inc. 1,120,785 17,181 STORE Capital Corp. 532,955 61,794 VEREIT, Inc. 2,177,003 --------------- 28,332,884 --------------- FOOD & STAPLES RETAILING -- 0.8% 46,980 BJ's Wholesale Club Holdings, Inc. (a) 1,976,449 13,074 Casey's General Stores, Inc. 2,451,113 14,874 Grocery Outlet Holding Corp. (a) 634,971 29,045 Sprouts Farmers Market, Inc. (a) 657,869 17,527 US Foods Holding Corp. (a) 543,162 --------------- 6,263,564 --------------- FOOD PRODUCTS -- 2.6% 4,671 Beyond Meat, Inc. (a) 831,812 35,609 Bunge Ltd. 2,330,253 50,607 Darling Ingredients, Inc. (a) 3,138,140 51,595 Flowers Foods, Inc. 1,184,621 16,446 Freshpet, Inc. (a) 2,291,092 29,082 Hain Celestial Group (The), Inc. (a) 1,209,375 37,105 Ingredion, Inc. 2,800,315 7,414 Lamb Weston Holdings, Inc. 553,826 3,178 Lancaster Colony Corp. 554,815 119,082 Pilgrim's Pride Corp. (a) 2,307,809 SHARES DESCRIPTION VALUE --------------------------------------------------------------- FOOD PRODUCTS (CONTINUED) 5,780 Post Holdings, Inc. (a) $ 548,233 963 Seaboard Corp. 3,029,800 --------------- 20,780,091 --------------- GAS UTILITIES -- 1.6% 14,194 National Fuel Gas Co. 571,451 65,688 New Jersey Resources Corp. 2,299,737 30,418 ONE Gas, Inc. 2,224,468 48,050 Southwest Gas Holdings, Inc. 2,881,078 27,349 Spire, Inc. 1,673,485 83,496 UGI Corp. 3,005,021 --------------- 12,655,240 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.5% 11,150 DENTSPLY SIRONA, Inc. 596,413 17,903 Globus Medical, Inc., Class A (a) 1,104,436 4,916 Haemonetics Corp. (a) 561,850 5,444 ICU Medical, Inc. (a) 1,113,189 8,992 Integra LifeSciences Holdings Corp. (a) 593,832 7,383 iRhythm Technologies, Inc. (a) 1,243,445 3,373 Nevro Corp. (a) 545,718 16,869 Novocure Ltd. (a) 2,715,234 10,364 NuVasive, Inc. (a) 556,961 22,108 STAAR Surgical Co. (a) 2,267,839 6,102 Tandem Diabetes Care, Inc. (a) 565,350 --------------- 11,864,267 --------------- HEALTH CARE PROVIDERS & SERVICES -- 2.2% 34,847 Acadia Healthcare Co., Inc. (a) 1,766,046 7,961 Amedisys, Inc. (a) 2,287,275 1,097 Chemed Corp. 568,136 14,121 Encompass Health Corp. 1,135,328 13,590 Guardant Health, Inc. (a) 2,113,245 16,749 HealthEquity, Inc. (a) 1,399,379 26,195 Henry Schein, Inc. (a) 1,724,941 2,736 LHC Group, Inc. (a) 545,066 73,103 Tenet Healthcare Corp. (a) 3,455,579 21,229 Universal Health Services, Inc., Class B 2,646,832 --------------- 17,641,827 --------------- HEALTH CARE TECHNOLOGY -- 0.7% 15,519 Inspire Medical Systems, Inc. (a) 3,127,233 24,321 Omnicell, Inc. (a) 2,865,014 --------------- 5,992,247 --------------- HOTELS, RESTAURANTS & LEISURE -- 1.1% 2,997 Churchill Downs, Inc. 561,788 8,851 Cracker Barrel Old Country Store, Inc. 1,197,629 92,638 MGM Resorts International 2,645,741 13,761 Papa John's International, Inc. 1,407,475 20,278 Penn National Gaming, Inc. (a) 2,103,234 See Notes to Financial Statements Page 37 <PAGE> FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE (CONTINUED) 7,469 Texas Roadhouse, Inc. $ 569,212 --------------- 8,485,079 --------------- HOUSEHOLD DURABLES -- 3.6% 5,256 Helen of Troy Ltd. (a) 1,283,778 87,083 KB Home 3,626,136 26,357 Leggett & Platt, Inc. 1,080,637 16,546 LGI Homes, Inc. (a) 1,765,624 60,062 M.D.C. Holdings, Inc. 3,124,425 35,245 Meritage Homes Corp. (a) 2,828,764 20,709 Mohawk Industries, Inc. (a) 2,973,812 27,499 Newell Brands, Inc. 660,526 91,042 Taylor Morrison Home Corp. (a) 2,365,271 108,112 Tempur Sealy International, Inc. (a) 2,854,157 67,150 Toll Brothers, Inc. 3,431,365 12,686 TopBuild Corp. (a) 2,536,566 --------------- 28,531,061 --------------- HOUSEHOLD PRODUCTS -- 0.5% 13,840 Energizer Holdings, Inc. 606,746 58,302 Reynolds Consumer Products, Inc. 1,749,060 4,394 WD-40 Co. 1,337,577 --------------- 3,693,383 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.7% 54,852 Clearway Energy, Inc., Class C 1,699,315 6,466 Ormat Technologies, Inc. 738,158 148,475 Vistra Corp. 2,965,046 --------------- 5,402,519 --------------- INDUSTRIAL CONGLOMERATES -- 0.2% 11,214 Carlisle Cos., Inc. 1,625,245 --------------- INSURANCE -- 5.3% 967 Alleghany Corp. 548,144 19,989 American Financial Group, Inc. 1,881,764 12,857 Assurant, Inc. 1,741,738 54,131 Athene Holding Ltd., Class A (a) 2,213,417 11,585 Axis Capital Holdings Ltd. 531,751 16,125 Brighthouse Financial, Inc. (a) 570,180 14,247 Enstar Group Ltd. (a) 2,852,392 4,754 Erie Indemnity Co., Class A 1,155,697 9,976 Everest Re Group Ltd. 2,105,734 74,674 Fidelity National Financial, Inc. 2,710,666 56,537 First American Financial Corp. 2,956,320 24,592 Globe Life, Inc. 2,222,871 19,972 Hanover Insurance Group (The), Inc. 2,246,251 37,993 Kemper Corp. 2,672,807 5,835 Kinsale Capital Group, Inc. 1,094,413 34,813 Lincoln National Corp. 1,583,643 88,859 Old Republic International Corp. 1,608,348 13,077 Primerica, Inc. 1,821,757 SHARES DESCRIPTION VALUE --------------------------------------------------------------- INSURANCE (CONTINUED) 15,112 Reinsurance Group of America, Inc. $ 1,587,516 11,210 RLI Corp. 1,084,904 26,148 Selective Insurance Group, Inc. 1,699,097 127,246 Unum Group 2,955,925 2,916 White Mountains Insurance Group Ltd. 2,974,320 --------------- 42,819,655 --------------- INTERACTIVE MEDIA & SERVICES -- 0.1% 18,399 Cargurus, Inc. (a) 538,171 --------------- INTERNET & DIRECT MARKETING RETAIL -- 1.5% 32,473 Chewy, Inc., Class A (a) 3,306,401 60,851 Overstock.com, Inc. (a) 4,722,038 266,090 Qurate Retail, Inc., Series A 3,352,734 2,976 Stamps.com, Inc. (a) 679,450 --------------- 12,060,623 --------------- IT SERVICES -- 1.1% 9,366 CACI International, Inc., Class A (a) 2,259,266 6,682 Fastly, Inc., Class A (a) 730,677 14,116 Genpact Ltd. 540,360 18,875 KBR, Inc. 548,319 31,906 MAXIMUS, Inc. 2,394,864 24,245 Perspecta, Inc. 701,893 12,337 Science Applications International Corp. 1,184,722 2,868 WEX, Inc. (a) 540,905 --------------- 8,901,006 --------------- LEISURE PRODUCTS -- 1.3% 28,801 Acushnet Holdings Corp. 1,175,657 30,630 Brunswick Corp. 2,648,270 167,279 Mattel, Inc. (a) 3,031,095 6,127 Polaris, Inc. 714,837 42,632 YETI Holdings, Inc. (a) 2,806,038 --------------- 10,375,897 --------------- LIFE SCIENCES TOOLS & SERVICES -- 1.9% 8,246 10X Genomics, Inc., Class A (a) 1,411,303 29,619 Adaptive Biotechnologies Corp. (a) 1,642,966 21,571 Bruker Corp. 1,248,745 7,010 Charles River Laboratories International, Inc. (a) 1,815,941 16,777 Medpace Holdings, Inc. (a) 2,227,818 43,373 NeoGenomics, Inc. (a) 2,299,636 9,308 PRA Health Sciences, Inc. (a) 1,147,118 12,186 Repligen Corp. (a) 2,437,200 17,137 Syneos Health, Inc. (a) 1,274,136 --------------- 15,504,863 --------------- MACHINERY -- 3.0% 11,326 AGCO Corp. 1,256,053 40,607 Allison Transmission Holdings, Inc. 1,652,705 Page 38 See Notes to Financial Statements <PAGE> FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 30,534 Colfax Corp. (a) $ 1,133,422 7,518 Crane Co. 568,962 31,685 Flowserve Corp. 1,126,718 16,138 Graco, Inc. 1,112,554 15,160 ITT, Inc. 1,132,604 10,253 John Bean Technologies Corp. 1,188,118 5,022 Lincoln Electric Holdings, Inc. 575,019 9,057 Middleby (The) Corp. (a) 1,229,216 27,131 Oshkosh Corp. 2,484,928 3,806 Proto Labs, Inc. (a) 806,111 6,521 RBC Bearings, Inc. (a) 1,091,159 29,567 Rexnord Corp. 1,119,407 13,645 Snap-on, Inc. 2,455,963 30,186 Timken (The) Co. 2,283,873 18,467 Toro (The) Co. 1,740,515 9,608 Woodward, Inc. 1,075,616 --------------- 24,032,943 --------------- MARINE -- 0.1% 11,264 Kirby Corp. (a) 571,761 --------------- MEDIA -- 1.8% 97,010 Discovery, Inc., Class A (a) 4,018,154 90,261 DISH Network Corp., Class A (a) 2,619,374 74,464 Interpublic Group of (The) Cos., Inc. 1,792,349 22,554 New York Times (The) Co., Class A 1,118,453 97,463 News Corp., Class A 1,890,782 26,733 Nexstar Media Group, Inc., Class A 3,038,740 --------------- 14,477,852 --------------- METALS & MINING -- 1.0% 450,465 Hecla Mining Co. 2,563,146 24,376 Reliance Steel & Aluminum Co. 2,829,566 79,170 Steel Dynamics, Inc. 2,713,156 --------------- 8,105,868 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 0.4% 42,412 Blackstone Mortgage Trust, Inc., Class A 1,130,704 58,732 New Residential Investment Corp. 551,493 90,746 Starwood Property Trust, Inc. 1,702,395 --------------- 3,384,592 --------------- MULTILINE RETAIL -- 0.3% 43,042 Kohl's Corp. 1,896,431 7,140 Ollie's Bargain Outlet Holdings, Inc. (a) 676,372 --------------- 2,572,803 --------------- MULTI-UTILITIES -- 1.1% 38,002 Black Hills Corp. 2,246,678 110,820 MDU Resources Group, Inc. 2,913,458 50,899 NiSource, Inc. 1,127,413 SHARES DESCRIPTION VALUE --------------------------------------------------------------- MULTI-UTILITIES (CONTINUED) 40,048 NorthWestern Corp. $ 2,181,414 --------------- 8,468,963 --------------- OIL, GAS & CONSUMABLE FUELS -- 0.9% 302,880 Antero Midstream Corp. 2,453,328 41,142 Apache Corp. 587,508 12,063 Diamondback Energy, Inc. 683,851 22,584 HollyFrontier Corp. 642,741 350,107 Marathon Oil Corp. 2,534,775 --------------- 6,902,203 --------------- PAPER & FOREST PRODUCTS -- 0.3% 62,826 Louisiana-Pacific Corp. 2,388,016 --------------- PERSONAL PRODUCTS -- 0.4% 415,814 Coty, Inc., Class A 2,648,735 12,150 Herbalife Nutrition Ltd. (a) 619,164 --------------- 3,267,899 --------------- PHARMACEUTICALS -- 0.4% 19,035 Elanco Animal Health, Inc. (a) 552,586 7,074 Jazz Pharmaceuticals PLC (a) 1,100,007 39,164 Perrigo Co. PLC 1,672,303 --------------- 3,324,896 --------------- PROFESSIONAL SERVICES -- 1.1% 20,968 ASGN, Inc. (a) 1,738,457 15,101 CoreLogic, Inc. 1,136,954 6,485 Exponent, Inc. 535,532 5,226 FTI Consulting, Inc. (a) 574,703 14,341 Insperity, Inc. 1,125,625 6,474 ManpowerGroup, Inc. 572,561 28,032 Robert Half International, Inc. 1,892,160 21,730 TriNet Group, Inc. (a) 1,610,410 --------------- 9,186,402 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.8% 14,793 Howard Hughes (The) Corp. (a) 1,274,713 15,739 Jones Lang LaSalle, Inc. (a) 2,301,199 42,533 Redfin Corp. (a) 3,028,775 --------------- 6,604,687 --------------- ROAD & RAIL -- 1.6% 5,144 AMERCO 2,378,791 69,800 Knight-Swift Transportation Holdings, Inc. 2,792,000 8,671 Landstar System, Inc. 1,208,737 23,765 Lyft, Inc., Class A (a) 1,056,592 16,145 Saia, Inc. (a) 2,853,629 74,427 Werner Enterprises, Inc. 2,920,516 --------------- 13,210,265 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 4.2% 30,102 Advanced Energy Industries, Inc. (a) 3,087,863 193,569 Amkor Technology, Inc. 3,004,191 8,604 Brooks Automation, Inc. 651,839 14,205 Cirrus Logic, Inc. (a) 1,330,866 3,858 CMC Materials, Inc. 568,322 See Notes to Financial Statements Page 39 <PAGE> FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 16,538 Cree, Inc. (a) $ 1,671,661 16,561 Diodes, Inc. (a) 1,172,188 16,635 Enphase Energy, Inc. (a) 3,033,392 24,299 Entegris, Inc. 2,390,779 11,804 First Solar, Inc. (a) 1,170,367 50,965 Lattice Semiconductor Corp. (a) 2,044,206 53,034 MACOM Technology Solutions Holdings, Inc. (a) 3,015,513 15,522 MKS Instruments, Inc. 2,453,563 35,674 ON Semiconductor Corp. (a) 1,230,396 28,527 Power Integrations, Inc. 2,297,850 24,295 Semtech Corp. (a) 1,723,730 18,168 Synaptics, Inc. (a) 1,802,629 5,081 Universal Display Corp. 1,172,796 --------------- 33,822,151 --------------- SOFTWARE -- 8.2% 29,183 2U, Inc. (a) 1,193,585 60,765 ACI Worldwide, Inc. (a) 2,332,768 28,217 Alarm.com Holdings, Inc. (a) 2,621,924 24,376 Anaplan, Inc. (a) 1,625,879 17,108 Bill.com Holdings, Inc. (a) 2,085,123 21,885 Blackline, Inc. (a) 2,836,734 11,264 CDK Global, Inc. 562,074 83,940 Cloudera, Inc. (a) 1,281,764 38,413 Cloudflare, Inc., Class A (a) 2,944,741 26,310 Dropbox, Inc., Class A (a) 595,395 19,975 Elastic N.V. (a) 3,035,401 7,094 Envestnet, Inc. (a) 544,323 7,832 Everbridge, Inc. (a) 1,041,108 126,583 FireEye, Inc. (a) 2,658,243 13,390 Five9, Inc. (a) 2,226,087 4,535 Guidewire Software, Inc. (a) 520,346 23,904 J2 Global, Inc. (a) 2,453,507 28,145 LivePerson, Inc. (a) 1,783,267 17,574 Medallia, Inc. (a) 729,321 30,813 Mimecast Ltd. (a) 1,326,808 39,724 Nuance Communications, Inc. (a) 1,809,031 36,636 Nutanix, Inc., Class A (a) 1,118,131 8,506 Paylocity Holding Corp. (a) 1,594,535 8,761 Pegasystems, Inc. 1,116,589 12,840 Proofpoint, Inc. (a) 1,657,387 24,405 PTC, Inc. (a) 3,243,669 18,455 Q2 Holdings, Inc. (a) 2,362,055 9,581 Qualys, Inc. (a) 1,326,681 32,376 Rapid7, Inc. (a) 2,810,884 54,828 Sailpoint Technologies Holdings, Inc. (a) 3,032,537 33,702 Smartsheet, Inc., Class A (a) 2,350,377 21,505 SPS Commerce, Inc. (a) 2,126,629 22,850 SVMK, Inc. (a) 576,048 55,856 Tenable Holdings, Inc. (a) 2,764,313 10,705 Varonis Systems, Inc. (a) 1,892,323 26,071 Verint Systems, Inc. (a) 1,924,822 --------------- 66,104,409 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- SPECIALTY RETAIL -- 3.1% 33,461 AutoNation, Inc. (a) $ 2,385,100 51,930 Dick's Sporting Goods, Inc. 3,479,829 13,345 Five Below, Inc. (a) 2,345,117 25,150 Floor & Decor Holdings, Inc., Class A (a) 2,315,561 72,181 Foot Locker, Inc. 3,162,971 3,989 Lithia Motors, Inc., Class A 1,271,215 22,305 Murphy USA, Inc. 2,778,534 49,150 Penske Automotive Group, Inc. 2,941,136 3,914 RH (a) 1,860,559 17,198 Williams-Sonoma, Inc. 2,217,166 --------------- 24,757,188 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.8% 35,254 NetApp, Inc. 2,342,276 77,462 Pure Storage, Inc., Class A (a) 1,791,696 125,874 Xerox Holdings Corp. 2,647,130 --------------- 6,781,102 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.2% 12,413 Carter's, Inc. 1,092,841 13,362 Columbia Sportswear Co. 1,168,641 8,143 Deckers Outdoor Corp. (a) 2,377,593 40,041 Hanesbrands, Inc. 612,227 5,628 Ralph Lauren Corp. 568,709 32,488 Skechers U.S.A., Inc., Class A (a) 1,120,186 93,920 Tapestry, Inc. 2,969,750 --------------- 9,909,947 --------------- THRIFTS & MORTGAGE FINANCE -- 1.6% 67,570 Essent Group Ltd. 2,826,453 232,591 MGIC Investment Corp. 2,725,967 221,348 New York Community Bancorp, Inc. 2,315,300 44,484 PennyMac Financial Services, Inc. 2,580,072 144,149 Radian Group, Inc. 2,767,661 --------------- 13,215,453 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.3% 65,714 Air Lease Corp. 2,604,246 27,671 MSC Industrial Direct Co., Inc., Class A 2,146,440 14,721 SiteOne Landscape Supply, Inc. (a) 2,321,207 92,131 Univar Solutions, Inc. (a) 1,712,715 5,153 Watsco, Inc. 1,228,939 --------------- 10,013,547 --------------- TOTAL COMMON STOCKS -- 100.0% 801,923,639 (Cost $656,839,831) --------------- Page 40 See Notes to Financial Statements <PAGE> FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- MONEY MARKET FUNDS -- 0.9% 6,159,476 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.03% (c) (d) $ 6,159,476 1,421,442 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (c) 1,421,442 --------------- TOTAL MONEY MARKET FUNDS -- 0.9% 7,580,918 (Cost $7,580,918) --------------- TOTAL INVESTMENTS -- 100.9% 809,504,557 (Cost $664,420,749) (e) NET OTHER ASSETS AND LIABILITIES -- (0.9)% (7,225,172) --------------- NET ASSETS -- 100.0% $ 802,279,385 =============== (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 $5,908,256 and the total value of the collateral held by the Fund is $6,159,476. (c) Rate shown reflects yield as of January 31, 2021. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $152,596,017 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $7,512,209. The net unrealized appreciation was $145,083,808. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2021 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* $ 801,923,639 $ -- $ -- Money Market Funds 7,580,918 -- -- --------------------------------------------- Total Investments $ 809,504,557 $ -- $ -- ============================================= * 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) $ 5,908,256 Non-cash Collateral(2) (5,908,256) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At January 31, 2021, 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 41 <PAGE> FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 0.8% 15,429 AeroVironment, Inc. (a) $ 1,770,786 7,201 Cubic Corp. 440,557 7,829 Kaman Corp. 394,269 48,893 Kratos Defense & Security Solutions, Inc. (a) 1,297,620 46,337 Maxar Technologies, Inc. 1,940,130 5,641 Moog, Inc., Class A 416,701 --------------- 6,260,063 --------------- AIR FREIGHT & LOGISTICS -- 0.8% 57,063 Air Transport Services Group, Inc. (a) 1,449,971 32,786 Atlas Air Worldwide Holdings, Inc. (a) 1,698,971 11,642 Forward Air Corp. 834,615 31,367 Hub Group, Inc., Class A (a) 1,650,845 --------------- 5,634,402 --------------- AIRLINES -- 0.4% 55,454 SkyWest, Inc. 2,162,151 36,572 Spirit Airlines, Inc. (a) 948,678 --------------- 3,110,829 --------------- AUTO COMPONENTS -- 1.2% 53,607 American Axle & Manufacturing Holdings, Inc. (a) 472,278 55,198 Cooper Tire & Rubber Co. 2,028,526 68,703 Dana, Inc. 1,330,090 6,848 Gentherm, Inc. (a) 419,508 40,979 Goodyear Tire & Rubber (The) Co. (a) 432,328 13,075 Patrick Industries, Inc. 902,960 55,250 Standard Motor Products, Inc. 2,167,458 22,608 Workhorse Group, Inc. (a) (b) 775,907 --------------- 8,529,055 --------------- AUTOMOBILES -- 0.1% 14,923 Winnebago Industries, Inc. 1,030,582 --------------- BANKS -- 11.9% 44,367 1st Source Corp. 1,745,841 46,978 Ameris Bancorp 1,837,310 131,099 Associated Banc-Corp. 2,351,916 40,709 Atlantic Union Bankshares Corp. 1,336,884 15,229 BancFirst Corp. 877,647 65,168 BancorpSouth Bank 1,801,895 11,673 Bank of Hawaii Corp. 912,712 38,566 BankUnited, Inc. 1,336,312 38,387 Banner Corp. 1,697,857 27,230 Cadence BanCorp 487,962 55,559 Cathay General Bancorp 1,879,005 37,357 Columbia Banking System, Inc. 1,438,992 68,782 CVB Financial Corp. 1,336,434 43,304 Eagle Bancorp, Inc. 1,839,987 235,301 F.N.B. Corp. 2,320,068 25,750 FB Financial Corp. 962,020 145,468 First BanCorp 1,323,759 82,976 First Busey Corp. 1,715,114 127,516 First Financial Bancorp 2,336,093 SHARES DESCRIPTION VALUE --------------------------------------------------------------- BANKS (CONTINUED) 56,882 First Hawaiian, Inc. $ 1,322,506 32,900 First Interstate BancSystem, Inc., Class A 1,271,914 47,799 First Merchants Corp. 1,800,588 112,331 First Midwest Bancorp, Inc. 1,856,831 140,584 Fulton Financial Corp. 1,883,826 26,288 Hancock Whitney Corp. 897,472 55,376 Heartland Financial USA, Inc. 2,362,340 81,255 Hilltop Holdings, Inc. 2,440,900 204,893 Hope Bancorp, Inc. 2,290,704 6,115 Independent Bank Corp. 459,114 28,599 Independent Bank Group, Inc. 1,756,551 47,763 International Bancshares Corp. 1,805,919 169,338 Investors Bancorp, Inc. 1,949,080 8,350 Lakeland Financial Corp. 490,145 13,653 National Bank Holdings Corp., Class A 454,235 41,777 NBT Bancorp, Inc. 1,379,059 71,986 OceanFirst Financial Corp. 1,307,266 107,986 Old National Bancorp 1,813,085 28,540 Pacific Premier Bancorp, Inc. 948,955 17,599 PacWest Bancorp 531,314 12,775 Park National Corp. 1,379,828 39,828 Renasant Corp. 1,409,911 36,000 S&T Bancorp, Inc. 914,400 41,669 Sandy Spring Bancorp, Inc. 1,384,661 30,363 Seacoast Banking Corp. of Florida (a) 924,553 11,102 ServisFirst Bancshares, Inc. 456,070 103,539 Simmons First National Corp., Class A 2,557,413 43,220 Southside Bancshares, Inc. 1,355,811 99,452 Sterling Bancorp 1,835,884 15,026 Texas Capital Bancshares, Inc. (a) 904,866 19,000 Tompkins Financial Corp. 1,270,530 76,159 TowneBank 1,766,889 38,020 TriCo Bancshares 1,418,146 65,483 Trustmark Corp. 1,798,818 19,437 UMB Financial Corp. 1,379,444 88,586 Umpqua Holdings Corp. 1,285,383 47,163 United Community Banks, Inc. 1,406,872 52,273 Veritex Holdings, Inc. 1,336,098 31,821 Webster Financial Corp. 1,487,632 44,772 WesBanco, Inc. 1,298,388 29,273 Wintrust Financial Corp. 1,761,942 --------------- 87,893,151 --------------- BEVERAGES -- 0.1% 3,353 Coca-Cola Consolidated, Inc. 894,782 --------------- BIOTECHNOLOGY -- 3.5% 51,660 Arcus Biosciences, Inc. (a) 1,794,152 30,859 CareDx, Inc. (a) 2,358,553 25,728 Coherus Biosciences, Inc. (a) 483,686 21,520 Cytokinetics, Inc. (a) 423,298 16,006 Denali Therapeutics, Inc. (a) 1,096,411 20,295 Dicerna Pharmaceuticals, Inc. (a) 456,029 31,880 Editas Medicine, Inc. (a) 1,955,838 Page 42 See Notes to Financial Statements <PAGE> FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) BIOTECHNOLOGY (CONTINUED) 41,096 Intellia Therapeutics, Inc. (a) $ 2,573,432 16,803 Mersana Therapeutics, Inc. (a) 320,265 134,153 NantKwest, Inc. (a) (b) 2,532,138 29,573 REGENXBIO, Inc. (a) 1,222,252 143,247 Sangamo Therapeutics, Inc. (a) 1,956,754 34,379 TG Therapeutics, Inc. (a) 1,659,474 72,776 Translate Bio, Inc. (a) 1,737,891 49,211 Travere Therapeutics, Inc. (a) 1,242,578 15,815 Twist Bioscience Corp. (a) 2,602,200 27,408 Veracyte, Inc. (a) 1,554,034 --------------- 25,968,985 --------------- BUILDING PRODUCTS -- 1.1% 19,053 American Woodmark Corp. (a) 1,648,275 15,975 CSW Industrials, Inc. 1,861,407 18,645 Gibraltar Industries, Inc. (a) 1,671,151 21,938 Griffon Corp. 492,728 35,263 JELD-WEN Holding, Inc. (a) 916,485 65,935 PGT Innovations, Inc. (a) 1,365,514 21,030 Resideo Technologies, Inc. (a) 485,793 --------------- 8,441,353 --------------- CAPITAL MARKETS -- 2.0% 26,649 Artisan Partners Asset Management, Inc., Class A 1,289,812 335,296 BGC Partners, Inc., Class A 1,190,301 115,946 Brightsphere Investment Group, Inc. 2,125,290 12,235 Evercore, Inc., Class A 1,334,839 41,115 Focus Financial Partners, Inc., Class A (a) 1,956,252 5,724 Hamilton Lane, Inc., Class A 431,418 19,115 Moelis & Co., Class A 950,207 8,856 Piper Sandler Cos. 808,818 23,766 PJT Partners, Inc., Class A 1,639,616 23,170 StoneX Group, Inc. (a) 1,240,058 8,241 Virtus Investment Partners, Inc. 1,730,610 --------------- 14,697,221 --------------- CHEMICALS -- 1.8% 217,199 Amyris, Inc. (a) (b) 2,041,671 22,194 Avient Corp. 852,915 30,559 Ferro Corp. (a) 421,409 18,900 GCP Applied Technologies, Inc. (a) 468,531 25,848 H.B. Fuller Co. 1,315,405 17,713 Ingevity Corp. (a) 1,163,567 9,857 Innospec, Inc. 865,346 28,783 Minerals Technologies, Inc. 1,773,896 125,401 PQ Group Holdings, Inc. 1,728,026 12,118 Sensient Technologies Corp. 854,682 11,234 Stepan Co. 1,265,847 8,734 Trinseo S.A. 443,949 --------------- 13,195,244 --------------- COMMERCIAL SERVICES & SUPPLIES -- 2.3% 11,821 ABM Industries, Inc. 434,304 8,460 Brady Corp., Class A 388,399 SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES (CONTINUED) 59,134 BrightView Holdings, Inc. (a) $ 838,520 24,841 Brink's (The) Co. 1,692,417 341,274 CoreCivic, Inc. 2,426,458 34,048 Covanta Holding Corp. 481,779 45,932 Deluxe Corp. 1,556,635 49,733 Harsco Corp. (a) 827,060 31,821 Healthcare Services Group, Inc. 1,031,637 13,223 Herman Miller, Inc. 452,888 51,899 HNI Corp. 1,674,262 72,072 KAR Auction Services, Inc. 1,330,449 33,313 McGrath RentCorp 2,324,914 131,973 Steelcase, Inc., Class A 1,706,411 --------------- 17,166,133 --------------- COMMUNICATIONS EQUIPMENT -- 2.4% 75,106 Calix, Inc. (a) 2,268,201 166,822 CommScope Holding Co., Inc. (a) 2,450,615 105,484 EchoStar Corp., Class A (a) 2,208,835 213,301 Infinera Corp. (a) 2,101,015 115,599 Inseego Corp. (a) (b) 2,122,398 22,003 NETGEAR, Inc. (a) 910,704 48,909 NetScout Systems, Inc. (a) 1,429,855 66,164 Plantronics, Inc. 2,098,722 54,767 Viasat, Inc. (a) 2,384,555 --------------- 17,974,900 --------------- CONSTRUCTION & ENGINEERING -- 0.9% 42,793 Ameresco, Inc., Class A (a) 2,400,259 32,557 Arcosa, Inc. 1,816,355 25,467 Comfort Systems USA, Inc. 1,411,636 11,844 Dycom Industries, Inc. (a) 961,022 --------------- 6,589,272 --------------- CONSTRUCTION MATERIALS -- 0.6% 129,994 Forterra, Inc. (a) 2,378,890 111,317 Summit Materials, Inc., Class A (a) 2,285,338 --------------- 4,664,228 --------------- CONSUMER FINANCE -- 1.2% 57,395 Encore Capital Group, Inc. (a) 1,704,631 19,154 FirstCash, Inc. 1,127,788 227,632 Navient Corp. 2,561,998 25,100 Nelnet, Inc., Class A 1,726,629 11,278 PRA Group, Inc. (a) 371,836 108,255 SLM Corp. 1,502,579 --------------- 8,995,461 --------------- CONTAINERS & PACKAGING -- 0.4% 38,139 Greif, Inc., Class A 1,722,357 75,142 O-I Glass, Inc. 949,795 --------------- 2,672,152 --------------- DISTRIBUTORS -- 0.2% 45,671 Core-Mark Holding Co., Inc. 1,400,730 --------------- See Notes to Financial Statements Page 43 <PAGE> FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) DIVERSIFIED CONSUMER SERVICES -- 1.3% 65,845 Adtalem Global Education, Inc. (a) $ 2,540,959 4,192 Graham Holdings Co., Class B 2,381,517 176,984 Perdoceo Education Corp. (a) 2,093,721 105,287 Stride, Inc. (a) 2,711,140 --------------- 9,727,337 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.4% 42,822 ATN International, Inc. 1,849,054 120,940 Liberty Latin America Ltd., Class C (a) 1,196,097 --------------- 3,045,151 --------------- ELECTRIC UTILITIES -- 0.2% 41,964 Otter Tail Corp. 1,665,551 --------------- ELECTRICAL EQUIPMENT -- 1.9% 32,621 Atkore International Group, Inc. (a) 1,447,068 18,848 AZZ, Inc. 896,976 62,396 Bloom Energy Corp., Class A (a) 2,178,244 29,520 Encore Wire Corp. 1,704,780 83,873 GrafTech International Ltd. 813,568 65,916 Plug Power, Inc. (a) 4,163,914 42,346 TPI Composites, Inc. (a) 2,536,949 4,841 Vicor Corp. (a) 418,940 --------------- 14,160,439 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.6% 14,260 Badger Meter, Inc. 1,307,785 20,331 ePlus, Inc. (a) 1,708,617 6,335 FARO Technologies, Inc. (a) 447,061 23,496 Insight Enterprises, Inc. (a) 1,788,046 48,514 Knowles Corp. (a) 935,835 58,393 Methode Electronics, Inc. 2,204,336 54,767 nLight, Inc. (a) 1,735,018 9,586 OSI Systems, Inc. (a) 862,932 38,064 PC Connection, Inc. 1,868,562 11,426 Plexus Corp. (a) 878,888 2,883 Rogers Corp. (a) 449,950 70,095 Sanmina Corp. (a) 2,179,954 64,813 TTM Technologies, Inc. (a) 869,142 86,350 Vishay Intertechnology, Inc. 1,860,842 --------------- 19,096,968 --------------- ENERGY EQUIPMENT & SERVICES -- 1.0% 154,869 Archrock, Inc. 1,373,688 34,292 Cactus, Inc., Class A 898,450 58,435 ChampionX Corp. (a) 893,471 30,187 Dril-Quip, Inc. (a) 909,233 19,297 Helmerich & Payne, Inc. 468,531 774,137 Transocean Ltd. (a) (b) 2,601,100 --------------- 7,144,473 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- ENTERTAINMENT -- 0.3% 99,234 Glu Mobile, Inc. (a) $ 874,252 12,772 Madison Square Garden Entertainment Corp. (a) 1,133,515 --------------- 2,007,767 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 5.8% 157,531 Acadia Realty Trust 2,284,200 52,040 Alexander & Baldwin, Inc. 786,845 300,852 American Finance Trust, Inc. 2,190,203 69,253 Apple Hospitality REIT, Inc. 864,277 187,690 Brandywine Realty Trust 2,064,590 40,309 CareTrust REIT, Inc. 905,340 93,528 Columbia Property Trust, Inc. 1,271,981 108,377 DiamondRock Hospitality Co. (a) 888,691 325,535 Diversified Healthcare Trust 1,308,651 143,901 Empire State Realty Trust, Inc., Class A 1,418,864 27,507 EPR Properties 1,090,377 252,299 GEO Group (The), Inc. (b) 2,255,553 19,197 Industrial Logistics Properties Trust 407,168 12,210 Innovative Industrial Properties, Inc. 2,284,735 119,534 Kite Realty Group Trust 1,905,372 209,499 Macerich (The) Co. (b) 3,289,134 35,879 Mack-Cali Realty Corp. 456,740 25,811 Monmouth Real Estate Investment Corp. 447,305 22,858 Outfront Media, Inc. 416,701 148,366 Paramount Group, Inc. 1,318,974 26,062 Park Hotels & Resorts, Inc. 434,714 47,562 Pebblebrook Hotel Trust 874,190 100,160 Retail Opportunity Investments Corp. 1,411,254 208,915 Retail Properties of America, Inc., Class A 1,924,107 31,600 RLJ Lodging Trust 407,956 12,329 Safehold, Inc. 907,168 155,630 Service Properties Trust 1,651,234 220,882 SITE Centers Corp. 2,449,581 38,109 Uniti Group, Inc. 469,122 138,195 Urban Edge Properties 1,905,709 103,157 Weingarten Realty Investors 2,322,064 29,416 Xenia Hotels & Resorts, Inc. 425,650 --------------- 43,038,450 --------------- FOOD & STAPLES RETAILING -- 1.0% 9,821 PriceSmart, Inc. 921,996 112,963 Rite Aid Corp. (a) 2,969,797 55,989 United Natural Foods, Inc. (a) 1,516,182 46,747 Weis Markets, Inc. 2,303,692 --------------- 7,711,667 --------------- FOOD PRODUCTS -- 1.3% 48,363 B&G Foods, Inc. (b) 1,841,663 35,724 Cal-Maine Foods, Inc. (a) 1,369,658 92,861 Fresh Del Monte Produce, Inc. 2,272,309 Page 44 See Notes to Financial Statements <PAGE> FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) FOOD PRODUCTS (CONTINUED) 91,617 Hostess Brands, Inc. (a) $ 1,406,321 2,882 J & J Snack Foods Corp. 439,966 6,764 Sanderson Farms, Inc. 921,189 14,257 Simply Good Foods (The) Co. (a) 406,895 31,558 TreeHouse Foods, Inc. (a) 1,332,694 --------------- 9,990,695 --------------- GAS UTILITIES -- 0.1% 8,261 Chesapeake Utilities Corp. 837,913 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.2% 8,032 AtriCure, Inc. (a) 467,703 9,741 Avanos Medical, Inc. (a) 441,267 17,913 Axonics Modulation Technologies, Inc. (a) 926,102 5,669 Cantel Medical Corp. (a) 447,681 64,605 Cerus Corp. (a) 425,747 20,372 CryoPort, Inc. (a) 1,389,370 61,246 GenMark Diagnostics, Inc. (a) 845,807 11,882 Glaukos Corp. (a) 1,053,815 12,277 Heska Corp. (a) 2,054,679 11,010 Integer Holdings Corp. (a) 812,538 33,139 Lantheus Holdings, Inc. (a) 539,172 47,834 Meridian Bioscience, Inc. (a) 1,057,131 16,107 Merit Medical Systems, Inc. (a) 872,194 1,566 Mesa Laboratories, Inc. 434,001 21,555 Shockwave Medical, Inc. (a) 2,501,242 14,203 Silk Road Medical, Inc. (a) 774,490 37,448 SmileDirectClub, Inc. (a) 497,310 16,645 Vapotherm, Inc. (a) 575,085 --------------- 16,115,334 --------------- HEALTH CARE PROVIDERS & SERVICES -- 3.6% 11,460 Addus HomeCare Corp. (a) 1,289,823 13,107 AMN Healthcare Services, Inc. (a) 945,277 8,434 CorVel Corp. (a) 833,448 62,222 Covetrus, Inc. (a) 2,119,904 24,523 Ensign Group (The), Inc. 1,919,660 26,977 Magellan Health, Inc. (a) 2,535,299 54,659 MEDNAX, Inc. (a) 1,490,551 3,230 ModivCare, Inc. (a) 512,181 19,763 National HealthCare Corp. 1,265,820 85,759 Option Care Health, Inc. (a) 1,584,826 66,106 Owens & Minor, Inc. 1,922,363 60,356 Patterson Cos., Inc. 1,912,078 34,887 PetIQ, Inc. (a) 1,209,183 42,192 Progyny, Inc. (a) 1,973,320 93,067 R1 RCM, Inc. (a) 2,348,080 45,694 RadNet, Inc. (a) 818,380 48,489 Select Medical Holdings Corp. (a) 1,246,167 7,441 US Physical Therapy, Inc. 895,450 --------------- 26,821,810 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- HEALTH CARE TECHNOLOGY -- 1.5% 61,916 Allscripts Healthcare Solutions, Inc. (a) $ 1,021,614 139,447 Evolent Health, Inc., Class A (a) 2,380,360 20,537 Health Catalyst, Inc. (a) 1,020,278 98,044 NextGen Healthcare, Inc. (a) 1,939,311 32,956 Phreesia, Inc. (a) 2,151,697 6,217 Simulations Plus, Inc. 492,014 43,056 Vocera Communications, Inc. (a) 1,892,311 --------------- 10,897,585 --------------- HOTELS, RESTAURANTS & LEISURE -- 0.9% 7,901 Brinker International, Inc. 465,211 14,262 Hilton Grand Vacations, Inc. (a) 423,867 6,022 Hyatt Hotels Corp., Class A 395,404 14,453 Jack in the Box, Inc. 1,360,605 32,331 Scientific Games Corp. (a) 1,268,022 10,552 Shake Shack, Inc., Class A (a) 1,196,808 13,115 Six Flags Entertainment Corp. 448,533 19,933 Wyndham Destinations, Inc. 881,836 --------------- 6,440,286 --------------- HOUSEHOLD DURABLES -- 2.0% 51,059 Century Communities, Inc. (a) 2,396,709 13,159 Installed Building Products, Inc. (a) 1,380,774 11,139 iRobot Corp. (a) 1,337,794 33,665 La-Z-Boy, Inc. 1,303,509 50,474 M/I Homes, Inc. (a) 2,491,901 14,450 Skyline Champion Corp. (a) 485,953 95,565 Sonos, Inc. (a) 2,499,025 129,583 Tri Pointe Homes, Inc. (a) 2,617,577 --------------- 14,513,242 --------------- HOUSEHOLD PRODUCTS -- 0.2% 24,605 Central Garden & Pet Co., Class A (a) 959,595 11,323 Spectrum Brands Holdings, Inc. 855,679 --------------- 1,815,274 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.3% 49,536 Sunnova Energy International, Inc. (a) 2,172,154 --------------- INSURANCE -- 3.6% 80,819 American Equity Investment Life Holding Co. 2,359,107 23,254 American National Group, Inc. 2,055,189 10,232 Argo Group International Holdings Ltd. 412,861 70,987 Assured Guaranty Ltd. 2,537,785 100,548 CNO Financial Group, Inc. 2,132,623 69,436 Employers Holdings, Inc. 2,117,798 25,548 FBL Financial Group, Inc., Class A 1,431,710 14,329 Goosehead Insurance, Inc., Class A 1,914,354 42,531 Horace Mann Educators Corp. 1,665,939 See Notes to Financial Statements Page 45 <PAGE> FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 18,186 James River Group Holdings Ltd. $ 808,913 42,815 Mercury General Corp. 2,269,623 5,025 Palomar Holdings, Inc. (a) 500,440 25,126 ProAssurance Corp. 460,560 28,698 Safety Insurance Group, Inc. 2,107,581 46,228 Stewart Information Services Corp. 2,144,055 18,672 Trupanion, Inc. (a) 2,094,998 --------------- 27,013,536 --------------- INTERACTIVE MEDIA & SERVICES -- 0.2% 67,759 ANGI Homeservices, Inc., Class A (a) 947,271 13,687 Yelp, Inc. (a) 446,059 --------------- 1,393,330 --------------- INTERNET & DIRECT MARKETING RETAIL -- 1.2% 68,782 1-800-Flowers.com, Inc., Class A (a) 2,113,671 68,638 RealReal (The), Inc. (a) 1,625,348 24,937 Shutterstock, Inc. 1,620,656 38,067 Stitch Fix, Inc., Class A (a) 3,633,114 --------------- 8,992,789 --------------- IT SERVICES -- 1.6% 18,101 Alliance Data Systems Corp. 1,224,533 22,736 EVERTEC, Inc. 788,939 10,497 ExlService Holdings, Inc. (a) 804,910 15,074 ManTech International Corp., Class A 1,351,987 34,614 NIC, Inc. 931,809 18,770 Perficient, Inc. (a) 1,025,030 32,808 Repay Holdings Corp. (a) 726,697 37,190 Sabre Corp. 400,908 47,466 Sykes Enterprises, Inc. (a) 1,831,713 30,643 TTEC Holdings, Inc. 2,315,998 33,313 Verra Mobility Corp. (a) 426,406 --------------- 11,828,930 --------------- LEISURE PRODUCTS -- 1.0% 55,857 Callaway Golf Co. 1,557,852 14,316 Malibu Boats, Inc., Class A (a) 1,003,695 100,753 Smith & Wesson Brands, Inc. 1,668,469 6,877 Sturm Ruger & Co., Inc. 435,727 94,078 Vista Outdoor, Inc. (a) 2,744,255 --------------- 7,409,998 --------------- LIFE SCIENCES TOOLS & SERVICES -- 0.6% 26,737 NanoString Technologies, Inc. (a) 1,872,392 38,455 Quanterix Corp. (a) 2,489,577 --------------- 4,361,969 --------------- MACHINERY -- 3.5% 9,721 Alamo Group, Inc. 1,356,954 SHARES DESCRIPTION VALUE --------------------------------------------------------------- MACHINERY (CONTINUED) 18,270 Albany International Corp., Class A $ 1,270,130 32,258 Altra Industrial Motion Corp. 1,658,384 15,442 Astec Industries, Inc. 918,336 26,465 Barnes Group, Inc. 1,272,173 3,799 Chart Industries, Inc. (a) 456,298 19,772 Enerpac Tool Group Corp. 400,778 5,915 EnPro Industries, Inc. 427,004 4,336 ESCO Technologies, Inc. 412,267 49,716 Evoqua Water Technologies Corp. (a) 1,354,761 13,483 Federal Signal Corp. 440,759 12,925 Franklin Electric Co., Inc. 897,253 27,559 Gorman-Rupp (The) Co. 868,109 61,447 Greenbrier (The) Cos., Inc. 2,223,152 16,783 Helios Technologies, Inc. 915,513 11,228 Hillenbrand, Inc. 461,471 6,347 Kadant, Inc. 907,304 12,331 Kennametal, Inc. 467,098 10,440 Lindsay Corp. 1,459,825 64,071 Meritor, Inc. (a) 1,653,673 50,929 Mueller Industries, Inc. 1,739,225 72,228 Mueller Water Products, Inc., Class A 866,014 16,400 SPX Corp. (a) 848,044 12,813 Terex Corp. 458,193 33,879 Trinity Industries, Inc. 942,175 7,345 Watts Water Technologies, Inc., Class A 881,914 --------------- 25,556,807 --------------- MARINE -- 0.3% 31,395 Matson, Inc. 1,877,421 --------------- MEDIA -- 1.9% 62,485 AMC Networks, Inc., Class A (a) (b) 3,088,009 12,520 Cardlytics, Inc. (a) 1,530,820 116,955 E.W. Scripps (The) Co., Class A 1,732,104 124,951 Gray Television, Inc. (a) 2,130,415 9,784 John Wiley & Sons, Inc., Class A 446,248 30,249 TechTarget, Inc. (a) 2,259,600 160,243 TEGNA, Inc. 2,568,695 --------------- 13,755,891 --------------- METALS & MINING -- 1.4% 19,396 Alcoa Corp. (a) 349,128 26,664 Allegheny Technologies, Inc. (a) 453,555 60,010 Arconic Corp. (a) 1,512,252 15,354 Carpenter Technology Corp. 479,659 172,778 Coeur Mining, Inc. (a) 1,563,641 7,249 Compass Minerals International, Inc. 422,327 4,525 Kaiser Aluminum Corp. 392,317 14,036 Materion Corp. 957,115 83,873 Warrior Met Coal, Inc. 1,930,756 43,541 Worthington Industries, Inc. 2,278,936 --------------- 10,339,686 --------------- Page 46 See Notes to Financial Statements <PAGE> FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 1.2% 120,070 Apollo Commercial Real Estate Finance, Inc. $ 1,342,383 94,586 Arbor Realty Trust, Inc. 1,348,796 175,320 Broadmark Realty Capital, Inc. 1,804,043 87,236 Chimera Investment Corp. 881,084 28,192 Hannon Armstrong Sustainable Infrastructure Capital, Inc. 1,667,557 137,132 Ladder Capital Corp. 1,348,007 114,927 MFA Financial, Inc. 418,334 --------------- 8,810,204 --------------- MULTILINE RETAIL -- 0.3% 31,246 Big Lots, Inc. 1,864,761 --------------- MULTI-UTILITIES -- 0.3% 55,684 Avista Corp. 2,087,036 --------------- OIL, GAS & CONSUMABLE FUELS -- 1.8% 82,027 Antero Resources Corp. (a) 569,267 11,917 Cimarex Energy Co. 502,659 41,392 CNX Resources Corp. (a) 524,437 60,010 CVR Energy, Inc. 1,026,171 27,820 Delek US Holdings, Inc. 521,903 37,075 Matador Resources Co. (a) 566,506 73,899 Murphy Oil Corp. 914,131 62,966 PBF Energy, Inc., Class A 533,322 87,106 PDC Energy, Inc. (a) 1,891,071 66,731 Range Resources Corp. (a) 614,593 31,557 Renewable Energy Group, Inc. (a) 2,827,507 150,025 Southwestern Energy Co. (a) 565,594 71,737 World Fuel Services Corp. 2,194,435 --------------- 13,251,596 --------------- PAPER & FOREST PRODUCTS -- 0.5% 56,505 Domtar Corp. 1,693,455 55,595 Schweitzer-Mauduit International, Inc. 2,064,798 --------------- 3,758,253 --------------- PERSONAL PRODUCTS -- 1.1% 51,719 Edgewell Personal Care Co. 1,727,415 53,244 elf Beauty, Inc. (a) 1,158,590 7,385 Inter Parfums, Inc. 459,199 9,111 Medifast, Inc. 2,138,078 32,736 Nu Skin Enterprises, Inc., Class A 1,894,432 5,803 USANA Health Sciences, Inc. (a) 480,256 --------------- 7,857,970 --------------- PHARMACEUTICALS -- 1.5% 15,787 Arvinas, Inc. (a) 1,190,971 85,449 Corcept Therapeutics, Inc. (a) 2,414,789 311,324 Endo International PLC (a) 2,266,439 44,273 NGM Biopharmaceuticals, Inc. (a) 1,136,045 SHARES DESCRIPTION VALUE --------------------------------------------------------------- PHARMACEUTICALS (CONTINUED) 64,101 Prestige Consumer Healthcare, Inc. (a) $ 2,564,040 31,544 Revance Therapeutics, Inc. (a) 802,479 35,535 Supernus Pharmaceuticals, Inc. (a) 1,044,374 --------------- 11,419,137 --------------- PROFESSIONAL SERVICES -- 0.9% 50,397 CBIZ, Inc. (a) 1,305,786 7,577 Huron Consulting Group, Inc. (a) 401,278 24,052 ICF International, Inc. 1,855,131 10,275 Korn Ferry 468,540 64,757 Upwork, Inc. (a) 2,684,178 --------------- 6,714,913 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 1.7% 35,420 eXp World Holdings, Inc. (a) 3,775,418 88,612 Forestar Group, Inc. (a) 1,904,272 74,973 Kennedy-Wilson Holdings, Inc. 1,288,786 24,013 Marcus & Millichap, Inc. (a) 857,984 170,376 Realogy Holdings Corp. (a) 2,419,339 52,662 St Joe (The) Co. 2,343,459 --------------- 12,589,258 --------------- ROAD & RAIL -- 1.3% 47,943 Avis Budget Group, Inc. (a) 1,981,964 123,501 Heartland Express, Inc. 2,318,114 129,736 Marten Transport Ltd. 2,056,315 21,721 Ryder System, Inc. 1,359,517 107,986 Schneider National, Inc., Class B 2,267,706 --------------- 9,983,616 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.2% 16,504 ACM Research, Inc., Class A (a) 1,485,360 19,470 Ambarella, Inc. (a) 1,837,189 46,062 Axcelis Technologies, Inc. (a) 1,577,163 19,646 CEVA, Inc. (a) 1,154,988 51,962 FormFactor, Inc. (a) 2,123,687 46,827 MaxLinear, Inc. (a) 1,469,900 28,204 Onto Innovation, Inc. (a) 1,524,426 25,606 Rambus, Inc. (a) 486,386 15,972 SiTime Corp. (a) 1,949,383 17,432 SunPower Corp. (a) (b) 941,502 43,052 Ultra Clean Holdings, Inc. (a) 1,661,807 --------------- 16,211,791 --------------- SOFTWARE -- 4.0% 64,844 8x8, Inc. (a) 2,285,751 23,053 Altair Engineering, Inc., Class A (a) 1,289,354 4,964 Appfolio, Inc., Class A (a) 758,549 13,785 Appian Corp. (a) (b) 3,011,471 116,730 Avaya Holdings Corp. (a) 2,596,075 22,252 Cerence, Inc. (a) 2,490,221 16,145 CommVault Systems, Inc. (a) 1,013,583 39,522 Digital Turbine, Inc. (a) 2,261,054 See Notes to Financial Statements Page 47 <PAGE> FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 35,058 Domo, Inc., Class B (a) $ 2,222,327 22,106 InterDigital, Inc. 1,419,426 42,880 PagerDuty, Inc. (a) 2,089,543 9,892 Progress Software Corp. 397,461 8,804 PROS Holdings, Inc. (a) 371,001 29,530 Sprout Social, Inc., Class A (a) 1,948,980 39,786 Teradata Corp. (a) 1,070,243 19,477 Upland Software, Inc. (a) 928,858 24,394 Workiva, Inc. (a) 2,377,683 42,785 Xperi Holding Corp. 824,039 32,088 Zuora, Inc., Class A (a) 473,298 --------------- 29,828,917 --------------- SPECIALTY RETAIL -- 3.4% 9,199 Asbury Automotive Group, Inc. (a) 1,311,869 144,587 At Home Group, Inc. (a) 3,523,585 50,344 Bed Bath & Beyond, Inc. (b) 1,778,654 61,246 Buckle (The), Inc. 2,408,193 17,165 Camping World Holdings, Inc., Class A 586,356 17,044 Group 1 Automotive, Inc. 2,345,595 171,818 Michaels (The) Cos., Inc. (a) 2,663,179 16,780 Monro, Inc. 981,127 19,744 National Vision Holdings, Inc. (a) 915,529 15,253 ODP (The) Corp. 651,151 46,701 Rent-A-Center, Inc. 2,022,153 68,573 Sally Beauty Holdings, Inc. (a) 1,035,452 27,304 Sleep Number Corp. (a) 2,941,733 11,587 Sonic Automotive, Inc., Class A 474,256 52,387 Urban Outfitters, Inc. (a) 1,436,976 --------------- 25,075,808 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.5% 47,597 NCR Corp. (a) 1,587,836 56,488 Super Micro Computer, Inc. (a) 1,751,128 --------------- 3,338,964 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.4% 28,540 Crocs, Inc. (a) 1,998,371 11,019 Kontoor Brands, Inc. 398,006 14,303 Wolverine World Wide, Inc. 409,638 --------------- 2,806,015 --------------- THRIFTS & MORTGAGE FINANCE -- 2.0% 35,733 Axos Financial, Inc. (a) 1,391,800 71,532 Capitol Federal Financial, Inc. 888,427 57,463 Columbia Financial, Inc. (a) 886,079 43,877 Flagstar Bancorp, Inc. 1,880,129 72,042 Mr. Cooper Group, Inc. (a) 1,961,704 19,740 NMI Holdings, Inc., Class A (a) 418,685 70,189 Northwest Bancshares, Inc. 894,910 74,676 Provident Financial Services, Inc. 1,383,000 SHARES DESCRIPTION VALUE --------------------------------------------------------------- THRIFTS & MORTGAGE FINANCE (CONTINUED) 19,431 Walker & Dunlop, Inc. $ 1,599,560 86,848 Washington Federal, Inc. 2,273,681 29,880 WSFS Financial Corp. 1,283,944 --------------- 14,861,919 --------------- TOBACCO -- 0.3% 45,981 Universal Corp. 2,109,149 38,379 Vector Group Ltd. 450,569 --------------- 2,559,718 --------------- TRADING COMPANIES & DISTRIBUTORS -- 2.1% 11,470 Applied Industrial Technologies, Inc. 807,373 22,254 Beacon Roofing Supply, Inc. (a) 885,042 46,770 Boise Cascade Co. 2,227,655 26,875 GATX Corp. 2,494,000 43,996 GMS, Inc. (a) 1,275,444 26,925 Herc Holdings, Inc. (a) 1,722,662 43,175 Rush Enterprises, Inc., Class A 1,812,918 24,911 Systemax, Inc. 957,330 46,083 Triton International Ltd. 2,135,486 17,080 WESCO International, Inc. (a) 1,299,959 --------------- 15,617,869 --------------- WATER UTILITIES -- 0.1% 8,271 California Water Service Group 451,928 6,443 SJW Group 426,333 --------------- 878,261 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.6% 120,376 Telephone and Data Systems, Inc. 2,257,050 72,836 United States Cellular Corp. (a) 2,271,026 --------------- 4,528,076 --------------- TOTAL COMMON STOCKS -- 99.8% 738,895,078 (Cost $588,112,440) --------------- MONEY MARKET FUNDS -- 2.6% 17,729,005 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.03% (c) (d) 17,729,005 1,560,979 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (c) 1,560,979 --------------- TOTAL MONEY MARKET FUNDS -- 2.6% 19,289,984 (Cost $19,289,984) --------------- TOTAL INVESTMENTS -- 102.4% 758,185,062 (Cost $607,402,424) (e) NET OTHER ASSETS AND LIABILITIES -- (2.4)% (17,911,118) --------------- NET ASSETS -- 100.0% $ 740,273,944 =============== Page 48 See Notes to Financial Statements <PAGE> FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) (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 $16,508,369 and the total value of the collateral held by the Fund is $17,729,005. (c) Rate shown reflects yield as of January 31, 2021. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $157,428,088 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $6,645,450. The net unrealized appreciation was $150,782,638. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2021 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* $ 738,895,078 $ -- $ -- Money Market Funds 19,289,984 -- -- --------------------------------------------- Total Investments $ 758,185,062 $ -- $ -- ============================================= * 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) $ 16,508,369 Non-cash Collateral(2) (16,508,369) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At January 31, 2021, 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 49 <PAGE> FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 1.0% 37,364 General Dynamics Corp. $ 5,480,552 9,125 Northrop Grumman Corp. 2,615,316 --------------- 8,095,868 --------------- AIR FREIGHT & LOGISTICS -- 1.1% 14,421 C.H. Robinson Worldwide, Inc. 1,233,861 29,233 Expeditors International of Washington, Inc. 2,616,938 15,641 FedEx Corp. 3,680,953 8,039 United Parcel Service, Inc., Class B 1,246,045 --------------- 8,777,797 --------------- AUTO COMPONENTS -- 0.5% 31,168 Aptiv PLC 4,164,045 --------------- AUTOMOBILES -- 1.9% 632,592 Ford Motor Co. (a) 6,661,194 166,920 General Motors Co. 8,459,505 --------------- 15,120,699 --------------- BANKS -- 8.6% 133,969 Bank of America Corp. 3,972,181 112,725 Citigroup, Inc. 6,536,923 155,493 Citizens Financial Group, Inc. 5,666,165 201,687 Fifth Third Bancorp 5,834,805 31,958 JPMorgan Chase & Co. 4,112,036 338,850 KeyCorp 5,713,011 43,682 M&T Bank Corp. 5,786,554 46,647 PNC Financial Services Group (The), Inc. 6,694,777 344,942 Regions Financial Corp. 5,867,463 3,493 SVB Financial Group (a) 1,529,166 116,013 Truist Financial Corp. 5,566,304 87,155 U.S. Bancorp 3,734,592 184,242 Wells Fargo & Co. 5,505,151 --------------- 66,519,128 --------------- BEVERAGES -- 0.3% 6,178 Constellation Brands, Inc., Class A 1,303,126 42,300 Keurig Dr Pepper, Inc. 1,345,140 --------------- 2,648,266 --------------- BUILDING PRODUCTS -- 1.3% 73,707 Carrier Global Corp. 2,837,719 32,433 Fortune Brands Home & Security, Inc. 2,797,346 29,052 Johnson Controls International PLC 1,447,371 4,942 Lennox International, Inc. 1,361,472 24,640 Masco Corp. 1,338,198 --------------- 9,782,106 --------------- CAPITAL MARKETS -- 4.6% 6,965 Ameriprise Financial, Inc. 1,378,165 163,775 Bank of New York Mellon (The) Corp. 6,523,158 7,437 CME Group, Inc. 1,351,600 278,137 Franklin Resources, Inc. 7,312,222 SHARES DESCRIPTION VALUE --------------------------------------------------------------- CAPITAL MARKETS (CONTINUED) 21,088 Goldman Sachs Group (The), Inc. $ 5,718,433 33,430 KKR & Co., Inc. 1,302,098 81,141 Morgan Stanley 5,440,504 95,500 State Street Corp. 6,685,000 --------------- 35,711,180 --------------- CHEMICALS -- 2.4% 21,398 Celanese Corp. 2,613,766 104,872 Corteva, Inc. 4,180,198 40,492 Eastman Chemical Co. 3,982,388 25,546 International Flavors & Fragrances, Inc. (b) 2,870,859 30,334 LyondellBasell Industries N.V., Class A 2,601,444 9,387 PPG Industries, Inc. 1,264,523 14,908 RPM International, Inc. 1,229,463 --------------- 18,742,641 --------------- COMMERCIAL SERVICES & SUPPLIES -- 0.5% 28,869 Republic Services, Inc. 2,613,222 11,477 Waste Management, Inc. 1,277,620 --------------- 3,890,842 --------------- COMMUNICATIONS EQUIPMENT -- 0.5% 90,739 Cisco Systems, Inc. 4,045,145 --------------- CONSTRUCTION & ENGINEERING -- 0.2% 12,425 Jacobs Engineering Group, Inc. 1,254,428 --------------- CONSTRUCTION MATERIALS -- 0.9% 14,298 Martin Marietta Materials, Inc. 4,109,388 18,745 Vulcan Materials Co. 2,795,629 --------------- 6,905,017 --------------- CONSUMER FINANCE -- 1.3% 56,254 Capital One Financial Corp. 5,865,042 116,985 Synchrony Financial 3,936,545 --------------- 9,801,587 --------------- CONTAINERS & PACKAGING -- 0.4% 55,916 International Paper Co. 2,813,134 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.9% 29,974 Berkshire Hathaway, Inc., Class B (a) 6,830,175 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 2.9% 241,676 AT&T, Inc. 6,919,184 712,883 Lumen Technologies, Inc. 8,825,491 118,308 Verizon Communications, Inc. 6,477,363 --------------- 22,222,038 --------------- ELECTRIC UTILITIES -- 8.7% 107,909 Alliant Energy Corp. 5,249,773 66,775 American Electric Power Co., Inc. 5,402,765 60,732 Duke Energy Corp. 5,708,808 Page 50 See Notes to Financial Statements <PAGE> FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRIC UTILITIES (CONTINUED) 64,641 Edison International $ 3,759,520 69,620 Entergy Corp. 6,636,875 125,215 Evergy, Inc. 6,727,802 46,937 Eversource Energy 4,106,987 164,628 Exelon Corp. 6,841,940 132,654 FirstEnergy Corp. 4,080,437 17,545 NextEra Energy, Inc. 1,418,864 246,473 PPL Corp. 6,819,908 90,515 Southern (The) Co. 5,333,144 83,404 Xcel Energy, Inc. 5,337,022 --------------- 67,423,845 --------------- ELECTRICAL EQUIPMENT -- 0.7% 11,191 AMETEK, Inc. 1,267,493 11,265 Eaton Corp. PLC 1,325,890 34,593 Emerson Electric Co. 2,744,955 --------------- 5,338,338 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.5% 21,098 CDW Corp. 2,777,763 37,600 Corning, Inc. 1,348,712 --------------- 4,126,475 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 2.1% 17,329 AvalonBay Communities, Inc. 2,836,237 58,824 Boston Properties, Inc. 5,368,867 21,947 Mid-America Apartment Communities, Inc. 2,913,464 15,872 Simon Property Group, Inc. 1,474,985 56,692 Ventas, Inc. 2,611,801 40,370 Weyerhaeuser Co. 1,259,140 --------------- 16,464,494 --------------- FOOD & STAPLES RETAILING -- 1.9% 218,846 Kroger (The) Co. 7,550,187 69,716 Walgreens Boots Alliance, Inc. 3,503,229 28,170 Walmart, Inc. 3,957,603 --------------- 15,011,019 --------------- FOOD PRODUCTS -- 5.8% 137,881 Archer-Daniels-Midland Co. 6,895,429 57,502 Campbell Soup Co. 2,766,421 153,353 Conagra Brands, Inc. 5,306,014 94,567 General Mills, Inc. 5,494,343 8,886 Hershey (The) Co. 1,292,380 59,650 Hormel Foods Corp. 2,795,199 60,129 J.M. Smucker (The) Co. 6,999,617 44,676 Kellogg Co. 2,633,203 39,052 Kraft Heinz (The) Co. 1,308,632 47,548 Mondelez International, Inc., Class A 2,636,061 107,864 Tyson Foods, Inc., Class A 6,936,734 --------------- 45,064,033 --------------- GAS UTILITIES -- 0.7% 58,268 Atmos Energy Corp. 5,185,852 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 0.3% 16,866 Baxter International, Inc. $ 1,295,815 11,553 Medtronic PLC 1,286,195 --------------- 2,582,010 --------------- HEALTH CARE PROVIDERS & SERVICES -- 6.2% 17,317 Anthem, Inc. 5,142,803 115,786 Centene Corp. (a) 6,981,896 101,767 CVS Health Corp. 7,291,606 24,688 HCA Healthcare, Inc. 4,011,306 27,318 Laboratory Corp. of America Holdings (a) 6,253,363 23,349 McKesson Corp. 4,073,700 19,091 Molina Healthcare, Inc. (a) 4,078,028 58,325 Quest Diagnostics, Inc. 7,532,674 7,926 UnitedHealth Group, Inc. 2,643,955 --------------- 48,009,331 --------------- HEALTH CARE TECHNOLOGY -- 0.5% 51,739 Cerner Corp. 4,144,811 --------------- HOUSEHOLD DURABLES -- 4.2% 100,848 D.R. Horton, Inc. 7,745,126 91,181 Lennar Corp., Class A 7,581,700 997 NVR, Inc. (a) 4,433,141 161,194 PulteGroup, Inc. 7,011,939 30,805 Whirlpool Corp. 5,701,698 --------------- 32,473,604 --------------- INDUSTRIAL CONGLOMERATES -- 0.9% 15,906 3M Co. 2,794,048 375,985 General Electric Co. 4,015,520 --------------- 6,809,568 --------------- INSURANCE -- 8.1% 156,298 Aflac, Inc. 7,061,544 63,229 Allstate (The) Corp. 6,776,884 192,700 Arch Capital Group Ltd. (a) 6,052,707 10,940 Arthur J. Gallagher & Co. 1,262,586 8,796 Chubb Ltd. 1,281,313 46,478 Cincinnati Financial Corp. 3,908,335 141,909 Hartford Financial Services Group (The), Inc. 6,814,470 2,692 Markel Corp. (a) 2,609,840 148,045 MetLife, Inc. 7,128,367 112,085 Principal Financial Group, Inc. 5,522,428 70,294 Progressive (The) Corp. 6,128,934 17,337 Prudential Financial, Inc. 1,357,140 39,613 Travelers (The) Cos., Inc. 5,399,252 20,379 W.R. Berkley Corp. 1,266,351 --------------- 62,570,151 --------------- IT SERVICES -- 1.9% 33,928 Cognizant Technology Solutions Corp., Class A 2,644,687 44,172 International Business Machines Corp. 5,261,327 26,449 Leidos Holdings, Inc. 2,805,181 185,077 Western Union (The) Co. 4,121,665 --------------- 14,832,860 --------------- See Notes to Financial Statements Page 51 <PAGE> FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) LEISURE PRODUCTS -- 0.4% 29,725 Hasbro, Inc. $ 2,788,800 --------------- MACHINERY -- 3.2% 7,438 Caterpillar, Inc. 1,359,964 17,880 Cummins, Inc. 4,191,430 10,719 Dover Corp. 1,248,656 19,115 Fortive Corp. 1,263,119 6,793 IDEX Corp. 1,264,789 64,447 PACCAR, Inc. 5,878,855 10,209 Parker-Hannifin Corp. 2,701,403 15,571 Stanley Black & Decker, Inc. 2,701,413 55,474 Westinghouse Air Brake Technologies Corp. 4,116,726 --------------- 24,726,355 --------------- MEDIA -- 3.1% 2,044 Charter Communications, Inc., Class A (a) 1,241,853 106,114 Comcast Corp., Class A 5,260,071 238,691 Fox Corp., Class A 7,442,385 44,578 Omnicom Group, Inc. 2,780,776 149,235 ViacomCBS, Inc., Class B 7,237,897 --------------- 23,962,982 --------------- METALS & MINING -- 0.5% 76,344 Nucor Corp. 3,720,243 --------------- MULTILINE RETAIL -- 0.7% 25,732 Dollar Tree, Inc. (a) 2,615,915 15,748 Target Corp. 2,853,065 --------------- 5,468,980 --------------- MULTI-UTILITIES -- 5.2% 71,232 Ameren Corp. 5,179,991 66,559 CMS Energy Corp. 3,785,876 96,177 Consolidated Edison, Inc. 6,807,408 57,248 DTE Energy Co. 6,796,482 119,220 Public Service Enterprise Group, Inc. 6,727,585 54,556 Sempra Energy 6,751,851 44,122 WEC Energy Group, Inc. 3,922,446 --------------- 39,971,639 --------------- OIL, GAS & CONSUMABLE FUELS -- 5.1% 48,082 Chevron Corp. 4,096,586 101,541 ConocoPhillips 4,064,686 81,425 EOG Resources, Inc. 4,149,418 168,620 Exxon Mobil Corp. 7,560,921 297,048 Kinder Morgan, Inc. 4,182,436 72,442 ONEOK, Inc. 2,885,365 35,655 Pioneer Natural Resources Co. 4,310,689 98,292 Valero Energy Corp. 5,546,618 138,666 Williams (The) Cos., Inc. 2,943,879 --------------- 39,740,598 --------------- PHARMACEUTICALS -- 0.5% 110,311 Pfizer, Inc. 3,960,165 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.7% 88,657 CBRE Group, Inc., Class A (a) $ 5,406,304 --------------- ROAD & RAIL -- 1.7% 30,637 CSX Corp. 2,627,276 29,718 J.B. Hunt Transport Services, Inc. 4,001,826 13,621 Kansas City Southern 2,760,568 11,701 Norfolk Southern Corp. 2,768,691 6,499 Union Pacific Corp. 1,283,357 --------------- 13,441,718 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 0.9% 92,452 Micron Technology, Inc. (a) 7,236,218 --------------- SOFTWARE -- 0.7% 267,588 NortonLifeLock, Inc. 5,638,079 --------------- SPECIALTY RETAIL -- 1.7% 25,778 Advance Auto Parts, Inc. 3,844,531 55,724 Best Buy Co., Inc. 6,063,886 29,431 CarMax, Inc. (a) 3,466,383 --------------- 13,374,800 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 2.2% 18,468 Dell Technologies, Inc., Class C (a) 1,346,132 469,241 Hewlett Packard Enterprise Co. 5,790,434 165,134 HP, Inc. 4,019,362 65,325 Seagate Technology PLC 4,319,289 24,438 Western Digital Corp. 1,379,036 --------------- 16,854,253 --------------- TRADING COMPANIES & DISTRIBUTORS -- 0.9% 23,978 United Rentals, Inc. (a) 5,826,894 3,315 W.W. Grainger, Inc. 1,207,953 --------------- 7,034,847 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.5% 30,113 T-Mobile US, Inc. (a) 3,796,647 --------------- TOTAL COMMON STOCKS -- 99.8% 774,483,115 (Cost $701,483,903) --------------- MONEY MARKET FUNDS -- 0.4% 1,974,538 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.03% (c) (d) 1,974,538 922,917 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (c) 922,917 --------------- TOTAL MONEY MARKET FUNDS -- 0.4% 2,897,455 (Cost $2,897,455) --------------- Page 52 See Notes to Financial Statements <PAGE> FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) DESCRIPTION VALUE --------------------------------------------------------------- TOTAL INVESTMENTS -- 100.2% $ 777,380,570 (Cost $704,381,358) (e) NET OTHER ASSETS AND LIABILITIES -- (0.2)% (1,552,812) --------------- NET ASSETS -- 100.0% $ 775,827,758 =============== (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 $1,890,794 and the total value of the collateral held by the Fund is $1,974,538. (c) Rate shown reflects yield as of January 31, 2021. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $89,769,616 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $16,770,404. The net unrealized appreciation was $72,999,212. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2021 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* $ 774,483,115 $ -- $ -- Money Market Funds 2,897,455 -- -- --------------------------------------------- Total Investments $ 777,380,570 $ -- $ -- ============================================= * 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) $ 1,890,794 Non-cash Collateral(2) (1,890,794) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At January 31, 2021, 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 53 <PAGE> FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 1.6% 28,334 HEICO Corp. $ 3,336,045 19,845 L3Harris Technologies, Inc. 3,403,616 13,975 Teledyne Technologies, Inc. (a) 4,989,215 8,853 TransDigm Group, Inc. (a) 4,898,188 --------------- 16,627,064 --------------- AUTOMOBILES -- 1.0% 13,286 Tesla, Inc. (a) 10,542,840 --------------- BANKS -- 0.7% 51,064 First Republic Bank 7,403,769 --------------- BEVERAGES -- 0.6% 59,244 Monster Beverage Corp. (a) 5,144,156 12,315 PepsiCo, Inc. 1,681,860 --------------- 6,826,016 --------------- BIOTECHNOLOGY -- 3.3% 35,009 AbbVie, Inc. 3,587,722 20,830 BioMarin Pharmaceutical, Inc. (a) 1,724,308 70,781 Exact Sciences Corp. (a) 9,708,322 89,764 Moderna, Inc. (a) 15,543,534 22,002 Sarepta Therapeutics, Inc. (a) 1,966,979 10,429 Seagen, Inc. (a) 1,713,172 --------------- 34,244,037 --------------- CAPITAL MARKETS -- 4.1% 37,282 Apollo Global Management, Inc. 1,712,735 12,999 BlackRock, Inc. 9,115,679 47,521 Intercontinental Exchange, Inc. 5,243,942 9,607 MarketAxess Holdings, Inc. 5,195,081 16,799 MSCI, Inc. 6,640,645 41,275 Nasdaq, Inc. 5,583,269 19,606 Northern Trust Corp. 1,748,659 49,560 T. Rowe Price Group, Inc. 7,755,149 --------------- 42,995,159 --------------- CHEMICALS -- 0.7% 15,887 FMC Corp. 1,720,403 7,452 Sherwin-Williams (The) Co. 5,155,294 --------------- 6,875,697 --------------- COMMERCIAL SERVICES & SUPPLIES -- 1.4% 10,614 Cintas Corp. 3,376,526 43,058 Copart, Inc. (a) 4,725,615 192,025 Rollins, Inc. 6,916,741 --------------- 15,018,882 --------------- COMMUNICATIONS EQUIPMENT -- 0.7% 18,857 Arista Networks, Inc. (a) 5,799,659 10,736 Motorola Solutions, Inc. 1,798,817 --------------- 7,598,476 --------------- DISTRIBUTORS -- 0.8% 25,172 Pool Corp. 8,915,419 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.9% 103,816 Chegg, Inc. (a) 9,889,512 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- ELECTRICAL EQUIPMENT -- 0.4% 14,958 Rockwell Automation, Inc. $ 3,717,512 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 3.4% 41,895 Amphenol Corp., Class A 5,231,848 46,726 Cognex Corp. 3,837,606 56,798 Keysight Technologies, Inc. (a) 8,042,029 140,455 Trimble, Inc. (a) 9,257,389 24,401 Zebra Technologies Corp., Class A (a) 9,463,440 --------------- 35,832,312 --------------- ENTERTAINMENT -- 3.8% 59,008 Activision Blizzard, Inc. 5,369,728 26,122 Electronic Arts, Inc. 3,740,671 10,131 Netflix, Inc. (a) 5,393,643 28,244 Roku, Inc. (a) 10,987,763 45,131 Take-Two Interactive Software, Inc. (a) 9,046,509 555,089 Zynga, Inc., Class A (a) 5,500,932 --------------- 40,039,246 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 0.7% 60,410 Healthpeak Properties, Inc. 1,791,156 172,153 Medical Properties Trust, Inc. 3,634,150 71,614 VICI Properties, Inc. 1,810,402 --------------- 7,235,708 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 7.3% 16,681 Abbott Laboratories 2,061,605 11,567 ABIOMED, Inc. (a) 4,028,208 14,039 Align Technology, Inc. (a) 7,375,810 5,029 Cooper (The) Cos., Inc. 1,830,757 16,888 Danaher Corp. 4,016,642 4,938 DexCom, Inc. (a) 1,851,009 41,121 Edwards Lifesciences Corp. (a) 3,395,772 103,012 Hologic, Inc. (a) 8,213,147 15,012 IDEXX Laboratories, Inc. (a) 7,185,944 21,434 Insulet Corp. (a) 5,726,736 4,587 Intuitive Surgical, Inc. (a) 3,429,425 20,412 Masimo Corp. (a) 5,223,839 20,878 Quidel Corp. (a) 5,239,752 8,590 ResMed, Inc. 1,731,486 19,788 STERIS PLC 3,702,533 15,307 Stryker Corp. 3,383,000 4,434 Teleflex, Inc. 1,674,411 19,334 West Pharmaceutical Services, Inc. 5,790,340 --------------- 75,860,416 --------------- HEALTH CARE PROVIDERS & SERVICES -- 2.0% 36,037 Cigna Corp. 7,821,831 79,880 DaVita, Inc. (a) 9,375,515 9,145 Humana, Inc. 3,503,541 --------------- 20,700,887 --------------- Page 54 See Notes to Financial Statements <PAGE> FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE TECHNOLOGY -- 0.6% 9,136 Teladoc Health, Inc. (a) $ 2,410,351 13,776 Veeva Systems, Inc., Class A (a) 3,808,237 --------------- 6,218,588 --------------- HOTELS, RESTAURANTS & LEISURE -- 1.3% 5,410 Chipotle Mexican Grill, Inc. (a) 8,006,800 4,763 Domino's Pizza, Inc. 1,765,930 34,554 Yum! Brands, Inc. 3,506,885 --------------- 13,279,615 --------------- HOUSEHOLD DURABLES -- 0.7% 62,700 Garmin Ltd. 7,201,722 --------------- HOUSEHOLD PRODUCTS -- 0.8% 20,935 Church & Dwight Co., Inc. 1,767,542 9,044 Clorox (The) Co. 1,894,356 43,869 Colgate-Palmolive Co. 3,421,782 13,124 Procter & Gamble (The) Co. 1,682,628 --------------- 8,766,308 --------------- INDUSTRIAL CONGLOMERATES -- 0.7% 35,274 Honeywell International, Inc. 6,891,481 --------------- INSURANCE -- 0.5% 79,125 Brown & Brown, Inc. 3,409,496 15,611 Marsh & McLennan Cos., Inc. 1,715,805 --------------- 5,125,301 --------------- INTERACTIVE MEDIA & SERVICES -- 3.9% 4,279 Alphabet, Inc., Class A (a) 7,819,273 13,729 Facebook, Inc., Class A (a) 3,546,613 142,305 Pinterest, Inc., Class A (a) 9,749,316 187,299 Snap, Inc., Class A (a) 9,915,609 72,252 Zillow Group, Inc., Class C (a) 9,425,996 --------------- 40,456,807 --------------- INTERNET & DIRECT MARKETING RETAIL -- 3.0% 2,301 Amazon.com, Inc. (a) 7,377,466 74,648 eBay, Inc. 4,218,359 52,712 Etsy, Inc. (a) 10,494,432 33,223 Wayfair, Inc., Class A (a) 9,047,287 --------------- 31,137,544 --------------- IT SERVICES -- 8.5% 20,975 Accenture PLC, Class A 5,074,272 10,365 Automatic Data Processing, Inc. 1,711,469 43,030 Booz Allen Hamilton Holding Corp. 3,664,865 24,488 Broadridge Financial Solutions, Inc. 3,460,399 20,935 EPAM Systems, Inc. (a) 7,210,642 48,117 Fiserv, Inc. (a) 4,941,135 34,205 Gartner, Inc. (a) 5,196,082 34,829 Global Payments, Inc. 6,148,015 66,047 GoDaddy, Inc., Class A (a) 5,189,973 26,119 MongoDB, Inc. (a) 9,653,844 29,504 Okta, Inc. (a) 7,641,831 19,597 Paychex, Inc. 1,711,210 SHARES DESCRIPTION VALUE --------------------------------------------------------------- IT SERVICES (CONTINUED) 32,037 PayPal Holdings, Inc. (a) $ 7,506,589 43,092 Square, Inc., Class A (a) 9,306,148 27,707 Twilio, Inc., Class A (a) 9,958,727 --------------- 88,375,201 --------------- LEISURE PRODUCTS -- 0.9% 61,813 Peloton Interactive, Inc., Class A (a) 9,032,734 --------------- LIFE SCIENCES TOOLS & SERVICES -- 5.5% 63,317 Agilent Technologies, Inc. 7,608,804 333,148 Avantor, Inc. (a) 9,824,535 9,396 Bio-Rad Laboratories, Inc., Class A (a) 5,391,143 17,252 Bio-Techne Corp. 5,605,347 4,809 Mettler-Toledo International, Inc. (a) 5,617,393 65,349 PerkinElmer, Inc. 9,610,877 16,103 Thermo Fisher Scientific, Inc. 8,207,699 22,140 Waters Corp. (a) 5,859,794 --------------- 57,725,592 --------------- MEDIA -- 0.8% 2,463 Cable One, Inc. 4,926,000 588,890 Sirius XM Holdings, Inc. (b) 3,686,451 --------------- 8,612,451 --------------- METALS & MINING -- 0.4% 62,634 Newmont Corp. 3,732,986 --------------- MULTILINE RETAIL -- 0.5% 26,049 Dollar General Corp. 5,069,396 --------------- OIL, GAS & CONSUMABLE FUELS -- 1.4% 124,975 Cheniere Energy, Inc. (a) 7,914,667 34,596 Hess Corp. 1,867,492 216,709 Occidental Petroleum Corp. 4,347,182 --------------- 14,129,341 --------------- PHARMACEUTICALS -- 2.3% 29,444 Bristol-Myers Squibb Co. 1,808,745 90,114 Catalent, Inc. (a) 10,367,616 10,817 Eli Lilly and Co. 2,249,611 102,560 Horizon Therapeutics PLC (a) 7,433,549 11,036 Zoetis, Inc. 1,702,303 --------------- 23,561,824 --------------- PROFESSIONAL SERVICES -- 1.5% 4,057 CoStar Group, Inc. (a) 3,650,123 38,906 Equifax, Inc. 6,890,642 18,408 TransUnion 1,602,232 18,067 Verisk Analytics, Inc. 3,315,295 --------------- 15,458,292 --------------- ROAD & RAIL -- 1.1% 19,219 Old Dominion Freight Line, Inc. 3,728,486 147,107 Uber Technologies, Inc. (a) 7,492,160 --------------- 11,220,646 --------------- See Notes to Financial Statements Page 55 <PAGE> FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 9.7% 102,261 Advanced Micro Devices, Inc. (a) $ 8,757,632 12,364 Analog Devices, Inc. 1,821,588 108,669 Applied Materials, Inc. 10,506,119 36,219 KLA Corp. 10,143,855 19,857 Lam Research Corp. 9,609,795 157,810 Marvell Technology Group Ltd. 8,120,903 39,666 Microchip Technology, Inc. 5,398,939 25,603 Monolithic Power Systems, Inc. 9,096,490 14,364 NVIDIA Corp. 7,463,391 56,403 Qorvo, Inc. (a) 9,638,145 49,248 QUALCOMM, Inc. 7,696,477 11,949 Skyworks Solutions, Inc. 2,022,368 78,223 Teradyne, Inc. 8,876,746 11,124 Texas Instruments, Inc. 1,843,136 --------------- 100,995,584 --------------- SOFTWARE -- 17.3% 3,651 Adobe, Inc. (a) 1,674,969 5,021 ANSYS, Inc. (a) 1,779,292 24,569 Autodesk, Inc. (a) 6,816,178 45,497 Avalara, Inc. (a) 6,824,550 54,988 Cadence Design Systems, Inc. (a) 7,169,885 51,414 Ceridian HCM Holding, Inc. (a) 4,776,875 14,037 Citrix Systems, Inc. 1,871,272 22,140 Coupa Software, Inc. (a) 6,860,522 44,273 Crowdstrike Holdings, Inc., Class A (a) 9,554,113 38,110 Datadog, Inc., Class A (a) 3,915,802 24,647 DocuSign, Inc. (a) 5,740,040 86,696 Dynatrace, Inc. (a) 3,598,751 10,718 Fair Isaac Corp. (a) 4,824,279 36,885 Fortinet, Inc. (a) 5,339,104 23,652 HubSpot, Inc. (a) 8,803,274 14,422 Intuit, Inc. 5,209,659 57,991 Oracle Corp. 3,504,396 26,390 Palo Alto Networks, Inc. (a) 9,256,293 20,736 Paycom Software, Inc. (a) 7,874,289 24,742 RingCentral, Inc., Class A (a) 9,226,787 8,207 salesforce.com, Inc. (a) 1,851,171 13,631 ServiceNow, Inc. (a) 7,403,814 75,307 SS&C Technologies Holdings, Inc. 4,735,304 28,940 Synopsys, Inc. (a) 7,392,723 11,709 Trade Desk (The), Inc., Class A (a) 8,968,977 12,552 Tyler Technologies, Inc. (a) 5,306,860 22,865 Workday, Inc., Class A (a) 5,202,473 65,528 Zendesk, Inc. (a) 9,451,759 16,244 Zoom Video Communications, Inc., Class A (a) 6,043,905 46,961 Zscaler, Inc. (a) 9,378,112 --------------- 180,355,428 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- SPECIALTY RETAIL -- 2.8% 1,542 AutoZone, Inc. (a) $ 1,724,527 31,320 Carvana Co. (a) 8,180,471 14,126 Home Depot (The), Inc. 3,825,603 46,744 Lowe's Cos., Inc. 7,799,236 4,032 O'Reilly Automotive, Inc. (a) 1,715,495 38,976 Tractor Supply Co. 5,524,458 --------------- 28,769,790 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.7% 56,539 Apple, Inc. 7,460,886 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.5% 38,729 NIKE, Inc., Class B 5,173,807 --------------- TOBACCO -- 0.2% 22,060 Philip Morris International, Inc. 1,757,079 --------------- TRADING COMPANIES & DISTRIBUTORS -- 0.3% 76,819 Fastenal Co. 3,502,178 --------------- WATER UTILITIES -- 0.5% 11,900 American Water Works Co., Inc. 1,892,338 79,325 Essential Utilities, Inc. 3,672,748 --------------- 5,565,086 --------------- TOTAL COMMON STOCKS -- 99.8% $1,039,898,619 (Cost $835,946,231) --------------- MONEY MARKET FUNDS -- 0.5% 2,335,850 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.03% (c) (d) 2,335,850 2,608,167 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (c) 2,608,167 --------------- TOTAL MONEY MARKET FUNDS -- 0.5% 4,944,017 (Cost $4,944,017) --------------- TOTAL INVESTMENTS -- 100.3% 1,044,842,636 (Cost $840,890,248) (e) NET OTHER ASSETS AND LIABILITIES -- (0.3)% (2,857,850) --------------- NET ASSETS -- 100.0% $ 1,041,984,786 =============== (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 $2,232,316 and the total value of the collateral held by the Fund is $2,335,850. (c) Rate shown reflects yield as of January 31, 2021. (d) This security serves as collateral for securities on loan. Page 56 See Notes to Financial Statements <PAGE> FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $215,266,150 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $11,313,762. The net unrealized appreciation was $203,952,388. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2021 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* $1,039,898,619 $ -- $ -- Money Market Funds 4,944,017 -- -- --------------------------------------------- Total Investments $1,044,842,636 $ -- $ -- ============================================= * See Portfolio of Investments for industry breakout. --------------------------------- OFFSETTING ASSETS AND LIABILITIES --------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT --------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 2,232,316 Non-cash Collateral(2) (2,232,316) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At January 31, 2021, 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 57 <PAGE> FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 1.1% 807 Curtiss-Wright Corp. $ 83,759 1,706 General Dynamics Corp. 250,236 1,291 Hexcel Corp. 56,365 1,097 Howmet Aerospace, Inc. 26,964 734 Huntington Ingalls Industries, Inc. 115,480 417 Northrop Grumman Corp. 119,516 1,719 Parsons Corp. (a) 61,300 1,295 Textron, Inc. 58,612 --------------- 772,232 --------------- AIR FREIGHT & LOGISTICS -- 0.7% 659 C.H. Robinson Worldwide, Inc. 56,384 1,334 Expeditors International of Washington, Inc. 119,419 714 FedEx Corp. 168,033 230 Forward Air Corp. 16,489 1,267 Hub Group, Inc., Class A (a) 66,682 367 United Parcel Service, Inc., Class B 56,885 --------------- 483,892 --------------- AIRLINES -- 0.1% 2,240 SkyWest, Inc. 87,338 725 Spirit Airlines, Inc. (a) 18,806 --------------- 106,144 --------------- AUTO COMPONENTS -- 1.0% 1,423 Aptiv PLC 190,113 2,431 BorgWarner, Inc. 102,078 2,229 Cooper Tire & Rubber Co. 81,916 1,850 Dana, Inc. 35,816 721 Dorman Products, Inc. (a) 65,488 1,845 Gentex Corp. 60,977 272 Gentherm, Inc. (a) 16,663 483 LCI Industries 62,490 197 Lear Corp. 29,700 1,786 Standard Motor Products, Inc. 70,065 --------------- 715,306 --------------- AUTOMOBILES -- 1.0% 28,874 Ford Motor Co. (a) 304,043 7,619 General Motors Co. 386,131 --------------- 690,174 --------------- BANKS -- 11.4% 1,792 1st Source Corp. 70,515 1,898 Ameris Bancorp 74,231 5,296 Associated Banc-Corp. 95,010 1,614 Atlantic Union Bankshares Corp. 53,004 301 BancFirst Corp. 17,347 2,632 BancorpSouth Bank 72,775 6,115 Bank of America Corp. 181,310 231 Bank of Hawaii Corp. 18,062 3,003 Bank OZK 111,591 1,528 BankUnited, Inc. 52,945 1,140 Banner Corp. 50,422 1,829 BOK Financial Corp. 135,090 2,244 Cathay General Bancorp 75,892 SHARES DESCRIPTION VALUE --------------------------------------------------------------- BANKS (CONTINUED) 5,146 Citigroup, Inc. $ 298,417 7,097 Citizens Financial Group, Inc. 258,615 1,006 Columbia Banking System, Inc. 38,751 1,681 Comerica, Inc. 96,153 476 Commerce Bancshares, Inc. 31,821 1,005 Community Bank System, Inc. 65,174 1,076 Cullen/Frost Bankers, Inc. 99,250 2,725 CVB Financial Corp. 52,947 1,749 Eagle Bancorp, Inc. 74,315 1,852 East West Bancorp, Inc. 111,009 9,505 F.N.B. Corp. 93,719 510 FB Financial Corp. 19,054 9,205 Fifth Third Bancorp 266,301 3,918 First BanCorp 35,654 3,352 First Busey Corp. 69,286 163 First Citizens BancShares, Inc., Class A 97,146 5,151 First Financial Bancorp 94,366 2,254 First Hawaiian, Inc. 52,406 9,812 First Horizon Corp. 136,289 1,304 First Interstate BancSystem, Inc., Class A 50,413 1,421 First Merchants Corp. 53,529 4,538 First Midwest Bancorp, Inc. 75,013 5,679 Fulton Financial Corp. 76,099 521 Hancock Whitney Corp. 17,787 2,237 Heartland Financial USA, Inc. 95,430 3,282 Hilltop Holdings, Inc. 98,591 4,821 Home BancShares, Inc. 102,205 6,621 Hope Bancorp, Inc. 74,023 7,435 Huntington Bancshares, Inc. 98,328 851 Independent Bank Group, Inc. 52,268 1,930 International Bancshares Corp. 72,973 5,033 Investors Bancorp, Inc. 57,930 1,458 JPMorgan Chase & Co. 187,601 15,467 KeyCorp 260,774 1,994 M&T Bank Corp. 264,145 1,656 NBT Bancorp, Inc. 54,665 2,853 OceanFirst Financial Corp. 51,810 4,362 Old National Bancorp 73,238 565 Pacific Premier Bancorp, Inc. 18,786 344 Park National Corp. 37,155 9,684 People's United Financial, Inc. 132,283 1,458 Pinnacle Financial Partners, Inc. 99,917 2,129 PNC Financial Services Group (The), Inc. 305,554 2,223 Popular, Inc. 126,155 1,805 Prosperity Bancshares, Inc. 121,729 15,745 Regions Financial Corp. 267,822 1,072 Renasant Corp. 37,949 713 S&T Bancorp, Inc. 18,110 1,122 Sandy Spring Bancorp, Inc. 37,284 1,226 Seacoast Banking Corp. of Florida (a) 37,332 463 Signature Bank 76,483 4,183 Simmons First National Corp., Class A 103,320 433 South State Corp. 30,197 Page 58 See Notes to Financial Statements <PAGE> FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) BANKS (CONTINUED) 1,713 Southside Bancshares, Inc. $ 53,737 4,018 Sterling Bancorp 74,172 159 SVB Financial Group (a) 69,607 2,901 Synovus Financial Corp. 107,917 298 Texas Capital Bancshares, Inc. (a) 17,946 512 Tompkins Financial Corp. 34,237 3,077 TowneBank 71,386 1,506 TriCo Bancshares 56,174 5,295 Truist Financial Corp. 254,054 2,645 Trustmark Corp. 72,658 3,978 U.S. Bancorp 170,457 523 UMB Financial Corp. 37,117 2,898 United Bankshares, Inc. 91,751 1,270 United Community Banks, Inc. 37,884 12,842 Valley National Bancorp 131,117 857 Webster Financial Corp. 40,065 8,410 Wells Fargo & Co. 251,291 1,774 WesBanco, Inc. 51,446 1,044 Western Alliance Bancorp 71,180 1,183 Wintrust Financial Corp. 71,205 2,162 Zions Bancorp N.A. 95,431 --------------- 8,126,597 --------------- BEVERAGES -- 0.5% 135 Coca-Cola Consolidated, Inc. 36,026 282 Constellation Brands, Inc., Class A 59,482 1,931 Keurig Dr Pepper, Inc. 61,406 3,464 Molson Coors Beverage Co., Class B 173,754 --------------- 330,668 --------------- BIOTECHNOLOGY -- 0.2% 825 United Therapeutics Corp. (a) 135,152 --------------- BUILDING PRODUCTS -- 1.0% 571 A.O. Smith Corp. 31,005 770 American Woodmark Corp. (a) 66,613 1,534 Builders FirstSource, Inc. (a) 58,675 3,364 Carrier Global Corp. 129,514 1,480 Fortune Brands Home & Security, Inc. 127,650 699 JELD-WEN Holding, Inc. (a) 18,167 1,326 Johnson Controls International PLC 66,061 226 Lennox International, Inc. 62,261 1,125 Masco Corp. 61,099 2,254 UFP Industries, Inc. 121,581 --------------- 742,626 --------------- CAPITAL MARKETS -- 3.6% 615 Affiliated Managers Group, Inc. 67,767 318 Ameriprise Financial, Inc. 62,923 7,476 Bank of New York Mellon (The) Corp. 297,769 9,030 BGC Partners, Inc., Class A 32,056 1,008 Cboe Global Markets, Inc. 92,464 339 CME Group, Inc. 61,610 SHARES DESCRIPTION VALUE --------------------------------------------------------------- CAPITAL MARKETS (CONTINUED) 329 Evercore, Inc., Class A $ 35,894 5,417 Federated Hermes, Inc. 146,259 12,695 Franklin Resources, Inc. 333,751 963 Goldman Sachs Group (The), Inc. 261,137 8,980 Invesco Ltd. 184,898 1,525 KKR & Co., Inc. 59,399 740 Lazard Ltd., Class A 30,488 3,704 Morgan Stanley 248,353 176 Piper Sandler Cos. 16,074 655 Raymond James Financial, Inc. 65,454 4,359 State Street Corp. 305,130 1,861 Stifel Financial Corp. 96,437 4,975 Virtu Financial, Inc., Class A 138,156 --------------- 2,536,019 --------------- CHEMICALS -- 2.1% 440 Avient Corp. 16,909 976 Celanese Corp. 119,218 2,426 CF Industries Holdings, Inc. 100,388 4,787 Corteva, Inc. 190,810 1,848 Eastman Chemical Co. 181,751 3,531 Element Solutions, Inc. 60,133 1,024 H.B. Fuller Co. 52,111 1,245 Huntsman Corp. 32,893 477 Ingevity Corp. (a) 31,334 195 Innospec, Inc. 17,119 1,166 International Flavors & Fragrances, Inc. (b) 131,035 1,384 LyondellBasell Industries N.V., Class A 118,692 1,163 Minerals Technologies, Inc. 71,676 157 NewMarket Corp. 61,574 428 PPG Industries, Inc. 57,656 5,066 PQ Group Holdings, Inc. 69,810 681 RPM International, Inc. 56,162 240 Sensient Technologies Corp. 16,927 445 Stepan Co. 50,143 1,151 Westlake Chemical Corp. 88,005 --------------- 1,524,346 --------------- COMMERCIAL SERVICES & SUPPLIES -- 1.2% 1,172 BrightView Holdings, Inc. (a) 16,619 823 Clean Harbors, Inc. (a) 63,750 13,786 CoreCivic, Inc. 98,018 1,350 Covanta Holding Corp. 19,103 1,820 Deluxe Corp. 61,680 986 Harsco Corp. (a) 16,397 1,285 Healthcare Services Group, Inc. 41,660 1,543 HNI Corp. 49,777 1,941 KAR Auction Services, Inc. 35,831 1,076 McGrath RentCorp 75,094 1,318 Republic Services, Inc. 119,305 5,331 Steelcase, Inc., Class A 68,930 271 Tetra Tech, Inc. 32,945 444 UniFirst Corp. 94,483 524 Waste Management, Inc. 58,332 --------------- 851,924 --------------- See Notes to Financial Statements Page 59 <PAGE> FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMUNICATIONS EQUIPMENT -- 0.8% 4,141 Cisco Systems, Inc. $ 184,606 4,261 EchoStar Corp., Class A (a) 89,225 5,562 Juniper Networks, Inc. 135,824 436 NETGEAR, Inc. (a) 18,046 1,938 NetScout Systems, Inc. (a) 56,658 2,213 Viasat, Inc. (a) 96,354 --------------- 580,713 --------------- CONSTRUCTION & ENGINEERING -- 0.7% 1,315 Arcosa, Inc. 73,364 478 Dycom Industries, Inc. (a) 38,785 342 EMCOR Group, Inc. 30,199 567 Jacobs Engineering Group, Inc. 57,244 1,836 MasTec, Inc. (a) 141,647 869 Quanta Services, Inc. 61,239 358 Valmont Industries, Inc. 69,065 --------------- 471,543 --------------- CONSTRUCTION MATERIALS -- 0.7% 617 Eagle Materials, Inc. 67,888 653 Martin Marietta Materials, Inc. 187,679 4,497 Summit Materials, Inc., Class A (a) 92,323 855 Vulcan Materials Co. 127,515 --------------- 475,405 --------------- CONSUMER FINANCE -- 1.6% 3,512 Ally Financial, Inc. 132,894 2,568 Capital One Financial Corp. 267,740 2,318 Encore Capital Group, Inc. (a) 68,845 516 FirstCash, Inc. 30,382 561 Green Dot Corp., Class A (a) 28,179 9,195 Navient Corp. 103,490 746 Nelnet, Inc., Class A 51,317 2,600 OneMain Holdings, Inc. 121,056 4,264 Santander Consumer USA Holdings, Inc. 94,234 4,290 SLM Corp. 59,545 5,340 Synchrony Financial 179,691 --------------- 1,137,373 --------------- CONTAINERS & PACKAGING -- 0.8% 228 AptarGroup, Inc. 30,317 3,696 Graphic Packaging Holding Co. 57,879 1,541 Greif, Inc., Class A 69,592 2,553 International Paper Co. 128,442 454 Packaging Corp. of America 61,045 2,532 Silgan Holdings, Inc. 92,241 1,585 Sonoco Products Co. 91,787 1,438 WestRock Co. 59,576 --------------- 590,879 --------------- DISTRIBUTORS -- 0.3% 1,810 Core-Mark Holding Co., Inc. 55,513 3,553 LKQ Corp. (a) 124,675 --------------- 180,188 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- DIVERSIFIED CONSUMER SERVICES -- 0.9% 2,659 Adtalem Global Education, Inc. (a) $ 102,611 169 Graham Holdings Co., Class B 96,010 1,009 Grand Canyon Education, Inc. (a) 85,704 5,921 H&R Block, Inc. 102,019 7,149 Perdoceo Education Corp. (a) 84,573 1,275 Service Corp. International 64,298 4,253 Stride, Inc. (a) 109,515 --------------- 644,730 --------------- DIVERSIFIED FINANCIAL SERVICES -- 1.0% 1,368 Berkshire Hathaway, Inc., Class B (a) 311,726 3,536 Cannae Holdings, Inc. (a) 134,333 4,893 Equitable Holdings, Inc. 121,248 6,362 Jefferies Financial Group, Inc. 148,553 532 Voya Financial, Inc. 29,505 --------------- 745,365 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.6% 11,031 AT&T, Inc. 315,818 1,730 ATN International, Inc. 74,701 3,257 Liberty Latin America Ltd., Class C (a) 32,212 32,538 Lumen Technologies, Inc. 402,820 5,400 Verizon Communications, Inc. 295,650 --------------- 1,121,201 --------------- ELECTRIC UTILITIES -- 5.5% 2,527 ALLETE, Inc. 158,797 4,926 Alliant Energy Corp. 239,650 3,048 American Electric Power Co., Inc. 246,614 2,772 Duke Energy Corp. 260,568 2,950 Edison International 171,572 3,178 Entergy Corp. 302,959 5,715 Evergy, Inc. 307,067 2,143 Eversource Energy 187,512 7,514 Exelon Corp. 312,282 6,055 FirstEnergy Corp. 186,252 3,538 Hawaiian Electric Industries, Inc. 116,966 978 IDACORP, Inc. 86,357 801 NextEra Energy, Inc. 64,777 4,168 NRG Energy, Inc. 172,597 1,695 Otter Tail Corp. 67,275 1,957 Pinnacle West Capital Corp. 147,264 2,927 Portland General Electric Co. 123,783 11,250 PPL Corp. 311,287 4,132 Southern (The) Co. 243,457 3,806 Xcel Energy, Inc. 243,546 --------------- 3,950,582 --------------- ELECTRICAL EQUIPMENT -- 0.9% 1,034 Acuity Brands, Inc. 124,328 511 AMETEK, Inc. 57,876 Page 60 See Notes to Financial Statements <PAGE> FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRICAL EQUIPMENT (CONTINUED) 1,757 Atkore International Group, Inc. (a) $ 77,941 373 AZZ, Inc. 17,751 515 Eaton Corp. PLC 60,615 1,579 Emerson Electric Co. 125,294 1,192 Encore Wire Corp. 68,838 377 EnerSys 31,001 765 Regal Beloit Corp. 95,992 --------------- 659,636 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.6% 1,286 Arrow Electronics, Inc. (a) 125,552 1,783 Avnet, Inc. 62,958 963 CDW Corp. 126,788 1,716 Corning, Inc. 61,553 605 ePlus, Inc. (a) 50,844 714 FLIR Systems, Inc. 37,164 699 Insight Enterprises, Inc. (a) 53,194 2,208 Jabil, Inc. 91,345 961 Knowles Corp. (a) 18,538 2,359 Methode Electronics, Inc. 89,052 388 OSI Systems, Inc. (a) 34,928 1,132 PC Connection, Inc. 55,570 2,831 Sanmina Corp. (a) 88,044 1,922 SYNNEX Corp. 156,874 1,284 TTM Technologies, Inc. (a) 17,218 2,567 Vishay Intertechnology, Inc. 55,319 --------------- 1,124,941 --------------- ENERGY EQUIPMENT & SERVICES -- 0.2% 6,138 Archrock, Inc. 54,444 680 Cactus, Inc., Class A 17,816 598 Dril-Quip, Inc. (a) 18,012 765 Helmerich & Payne, Inc. 18,574 --------------- 108,846 --------------- ENTERTAINMENT -- 0.0% 344 Madison Square Garden Entertainment Corp. (a) 30,530 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 4.4% 5,091 Acadia Realty Trust 73,819 1,031 Alexander & Baldwin, Inc. 15,589 732 American Campus Communities, Inc. 30,129 12,153 American Finance Trust, Inc. 88,474 1,373 Apple Hospitality REIT, Inc. 17,135 791 AvalonBay Communities, Inc. 129,463 2,685 Boston Properties, Inc. 245,060 7,581 Brandywine Realty Trust 83,391 5,675 Brixmor Property Group, Inc. 96,078 2,519 Columbia Property Trust, Inc. 34,258 2,148 DiamondRock Hospitality Co. (a) 17,614 12,901 Diversified Healthcare Trust 51,862 SHARES DESCRIPTION VALUE --------------------------------------------------------------- EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 5,703 Empire State Realty Trust, Inc., Class A $ 56,232 545 EPR Properties 21,604 5,737 Equity Commonwealth 163,562 10,191 GEO Group (The), Inc. (b) 91,108 3,909 Hudson Pacific Properties, Inc. 91,627 1,001 JBG SMITH Properties 29,890 10,428 Kimco Realty Corp. 172,166 3,553 Kite Realty Group Trust 56,635 8,462 Macerich (The) Co. (b) 132,853 1,422 Mack-Cali Realty Corp. 18,102 1,001 Mid-America Apartment Communities, Inc. 132,883 1,530 National Retail Properties, Inc. 59,670 5,880 Paramount Group, Inc. 52,273 943 Pebblebrook Hotel Trust 17,332 626 PotlatchDeltic Corp. 29,898 1,066 Rayonier, Inc. 32,780 686 Regency Centers Corp. 32,365 2,698 Retail Opportunity Investments Corp. 38,015 6,209 Retail Properties of America, Inc., Class A 57,185 7,209 Sabra Health Care REIT, Inc. 121,039 6,287 Service Properties Trust 66,705 725 Simon Property Group, Inc. 67,374 7,138 SITE Centers Corp. 79,160 2,628 SL Green Realty Corp. 177,337 780 Spirit Realty Capital, Inc. 30,077 5,582 Urban Edge Properties 76,976 2,587 Ventas, Inc. 119,183 3,313 VEREIT, Inc. 116,717 3,333 Weingarten Realty Investors 75,026 1,842 Weyerhaeuser Co. 57,452 --------------- 3,156,098 --------------- FOOD & STAPLES RETAILING -- 1.3% 526 Casey's General Stores, Inc. 98,614 9,989 Kroger (The) Co. 344,620 195 PriceSmart, Inc. 18,307 3,182 Walgreens Boots Alliance, Inc. 159,895 1,285 Walmart, Inc. 180,530 1,888 Weis Markets, Inc. 93,041 --------------- 895,007 --------------- FOOD PRODUCTS -- 4.0% 6,294 Archer-Daniels-Midland Co. 314,763 1,432 Bunge Ltd. 93,710 962 Cal-Maine Foods, Inc. (a) 36,883 2,625 Campbell Soup Co. 126,289 6,999 Conagra Brands, Inc. 242,165 1,383 Flowers Foods, Inc. 31,754 3,001 Fresh Del Monte Produce, Inc. 73,434 4,316 General Mills, Inc. 250,760 406 Hershey (The) Co. 59,049 2,723 Hormel Foods Corp. 127,600 3,631 Hostess Brands, Inc. (a) 55,736 1,989 Ingredion, Inc. 150,110 See Notes to Financial Statements Page 61 <PAGE> FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) FOOD PRODUCTS (CONTINUED) 2,745 J.M. Smucker (The) Co. $ 319,545 2,039 Kellogg Co. 120,179 1,783 Kraft Heinz (The) Co. 59,748 2,171 Mondelez International, Inc., Class A 120,360 6,385 Pilgrim's Pride Corp. (a) 123,741 134 Sanderson Farms, Inc. 18,249 52 Seaboard Corp. 163,603 850 TreeHouse Foods, Inc. (a) 35,896 4,923 Tyson Foods, Inc., Class A 316,598 --------------- 2,840,172 --------------- GAS UTILITIES -- 1.3% 2,659 Atmos Energy Corp. 236,651 334 Chesapeake Utilities Corp. 33,878 3,522 New Jersey Resources Corp. 123,305 1,631 ONE Gas, Inc. 119,275 2,577 Southwest Gas Holdings, Inc. 154,517 1,466 Spire, Inc. 89,705 4,476 UGI Corp. 161,091 --------------- 918,422 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 0.3% 386 Avanos Medical, Inc. (a) 17,486 770 Baxter International, Inc. 59,159 146 ICU Medical, Inc. (a) 29,854 444 Integer Holdings Corp. (a) 32,767 527 Medtronic PLC 58,671 --------------- 197,937 --------------- HEALTH CARE PROVIDERS & SERVICES -- 3.8% 1,246 Acadia Healthcare Co., Inc. (a) 63,147 259 AMN Healthcare Services, Inc. (a) 18,679 790 Anthem, Inc. 234,614 5,285 Centene Corp. (a) 318,686 4,645 CVS Health Corp. 332,814 378 Encompass Health Corp. 30,391 1,127 HCA Healthcare, Inc. 183,115 936 Henry Schein, Inc. (a) 61,636 1,247 Laboratory Corp. of America Holdings (a) 285,451 1,090 Magellan Health, Inc. (a) 102,438 1,066 McKesson Corp. 185,985 128 ModivCare, Inc. (a) 20,297 872 Molina Healthcare, Inc. (a) 186,268 801 National HealthCare Corp. 51,304 2,662 Quest Diagnostics, Inc. 343,797 1,306 Select Medical Holdings Corp. (a) 33,564 362 UnitedHealth Group, Inc. 120,756 1,139 Universal Health Services, Inc., Class B 142,011 --------------- 2,714,953 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- HEALTH CARE TECHNOLOGY -- 0.3% 1,227 Allscripts Healthcare Solutions, Inc. (a) $ 20,245 2,362 Cerner Corp. 189,220 --------------- 209,465 --------------- HOTELS, RESTAURANTS & LEISURE -- 0.3% 313 Brinker International, Inc. 18,429 474 Cracker Barrel Old Country Store, Inc. 64,137 3,973 MGM Resorts International 113,469 --------------- 196,035 --------------- HOUSEHOLD DURABLES -- 4.0% 2,062 Century Communities, Inc. (a) 96,790 4,603 D.R. Horton, Inc. 353,510 4,669 KB Home 194,417 906 La-Z-Boy, Inc. 35,080 1,413 Leggett & Platt, Inc. 57,933 4,162 Lennar Corp., Class A 346,070 3,221 M.D.C. Holdings, Inc. 167,556 2,039 M/I Homes, Inc. (a) 100,666 1,890 Meritage Homes Corp. (a) 151,691 1,111 Mohawk Industries, Inc. (a) 159,540 45 NVR, Inc. (a) 200,092 7,357 PulteGroup, Inc. 320,030 4,882 Taylor Morrison Home Corp. (a) 126,834 3,600 Toll Brothers, Inc. 183,960 5,235 Tri Pointe Homes, Inc. (a) 105,747 1,406 Whirlpool Corp. 260,237 --------------- 2,860,153 --------------- HOUSEHOLD PRODUCTS -- 0.1% 2,084 Reynolds Consumer Products, Inc. 62,520 225 Spectrum Brands Holdings, Inc. 17,003 --------------- 79,523 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.2% 7,961 Vistra Corp. 158,981 --------------- INDUSTRIAL CONGLOMERATES -- 0.5% 726 3M Co. 127,529 401 Carlisle Cos., Inc. 58,117 17,161 General Electric Co. 183,280 --------------- 368,926 --------------- INSURANCE -- 7.9% 7,134 Aflac, Inc. 322,314 52 Alleghany Corp. 29,476 2,886 Allstate (The) Corp. 309,322 3,264 American Equity Investment Life Holding Co. 95,276 1,071 American Financial Group, Inc. 100,824 940 American National Group, Inc. 83,077 8,796 Arch Capital Group Ltd. (a) 276,282 405 Argo Group International Holdings Ltd. 16,342 499 Arthur J. Gallagher & Co. 57,590 460 Assurant, Inc. 62,316 Page 62 See Notes to Financial Statements <PAGE> FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 2,868 Assured Guaranty Ltd. $ 102,531 2,902 Athene Holding Ltd., Class A (a) 118,663 621 Axis Capital Holdings Ltd. 28,504 865 Brighthouse Financial, Inc. (a) 30,586 401 Chubb Ltd. 58,414 2,122 Cincinnati Financial Corp. 178,439 4,062 CNO Financial Group, Inc. 86,155 2,805 Employers Holdings, Inc. 85,553 764 Enstar Group Ltd. (a) 152,960 535 Everest Re Group Ltd. 112,928 1,012 FBL Financial Group, Inc., Class A 56,713 3,204 Fidelity National Financial, Inc. 116,305 3,032 First American Financial Corp. 158,543 1,318 Globe Life, Inc. 119,134 804 Hanover Insurance Group (The), Inc. 90,426 6,477 Hartford Financial Services Group (The), Inc. 311,026 1,264 Horace Mann Educators Corp. 49,511 360 James River Group Holdings Ltd. 16,013 2,037 Kemper Corp. 143,303 1,866 Lincoln National Corp. 84,884 123 Markel Corp. (a) 119,246 1,383 Mercury General Corp. 73,313 6,757 MetLife, Inc. 325,350 4,764 Old Republic International Corp. 86,228 468 Primerica, Inc. 65,197 5,116 Principal Financial Group, Inc. 252,065 3,208 Progressive (The) Corp. 279,706 791 Prudential Financial, Inc. 61,919 810 Reinsurance Group of America, Inc. 85,091 1,159 Safety Insurance Group, Inc. 85,117 935 Selective Insurance Group, Inc. 60,756 1,494 Stewart Information Services Corp. 69,292 1,808 Travelers (The) Cos., Inc. 246,430 6,823 Unum Group 158,498 930 W.R. Berkley Corp. 57,790 156 White Mountains Insurance Group Ltd. 159,120 --------------- 5,638,528 --------------- INTERNET & DIRECT MARKETING RETAIL -- 0.3% 14,268 Qurate Retail, Inc., Series A 179,777 --------------- IT SERVICES -- 1.5% 488 Alliance Data Systems Corp. 33,013 502 CACI International, Inc., Class A (a) 121,092 1,548 Cognizant Technology Solutions Corp., Class A 120,667 2,016 International Business Machines Corp. 240,126 1,207 Leidos Holdings, Inc. 128,014 SHARES DESCRIPTION VALUE --------------------------------------------------------------- IT SERVICES (CONTINUED) 406 ManTech International Corp., Class A $ 36,414 1,283 MAXIMUS, Inc. 96,302 331 Science Applications International Corp. 31,786 1,411 Sykes Enterprises, Inc. (a) 54,451 8,448 Western Union (The) Co. 188,137 --------------- 1,050,002 --------------- LEISURE PRODUCTS -- 0.4% 772 Acushnet Holdings Corp. 31,513 1,232 Brunswick Corp. 106,519 1,356 Hasbro, Inc. 127,220 --------------- 265,252 --------------- MACHINERY -- 3.3% 303 AGCO Corp. 33,603 262 Alamo Group, Inc. 36,572 492 Albany International Corp., Class A 34,204 2,177 Allison Transmission Holdings, Inc. 88,604 712 Barnes Group, Inc. 34,226 340 Caterpillar, Inc. 62,166 151 Chart Industries, Inc. (a) 18,137 819 Colfax Corp. (a) 30,401 816 Cummins, Inc. 191,287 490 Dover Corp. 57,080 850 Flowserve Corp. 30,226 873 Fortive Corp. 57,688 1,113 Gorman-Rupp (The) Co. 35,059 2,482 Greenbrier (The) Cos., Inc. 89,799 310 IDEX Corp. 57,719 406 ITT, Inc. 30,332 275 John Bean Technologies Corp. 31,867 269 Lincoln Electric Holdings, Inc. 30,800 2,588 Meritor, Inc. (a) 66,796 486 Middleby (The) Corp. (a) 65,960 1,514 Mueller Industries, Inc. 51,703 2,917 Mueller Water Products, Inc., Class A 34,975 1,091 Oshkosh Corp. 99,925 2,941 PACCAR, Inc. 268,278 466 Parker-Hannifin Corp. 123,308 732 Snap-on, Inc. 131,753 324 SPX Corp. (a) 16,754 710 Stanley Black & Decker, Inc. 123,178 1,619 Timken (The) Co. 122,493 1,369 Trinity Industries, Inc. 38,072 2,532 Westinghouse Air Brake Technologies Corp. 187,900 516 Woodward, Inc. 57,766 --------------- 2,338,631 --------------- MARINE -- 0.1% 1,268 Matson, Inc. 75,826 --------------- MEDIA -- 3.0% 2,020 AMC Networks, Inc., Class A (a) (b) 99,828 See Notes to Financial Statements Page 63 <PAGE> FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) MEDIA (CONTINUED) 93 Charter Communications, Inc., Class A (a) $ 56,503 4,843 Comcast Corp., Class A 240,068 5,201 Discovery, Inc., Class A (a) 215,426 4,839 DISH Network Corp., Class A (a) 140,428 3,476 E.W. Scripps (The) Co., Class A 51,480 10,895 Fox Corp., Class A 339,706 5,048 Gray Television, Inc. (a) 86,068 2,662 Interpublic Group of (The) Cos., Inc. 64,074 5,226 News Corp., Class A 101,384 1,433 Nexstar Media Group, Inc., Class A 162,889 2,034 Omnicom Group, Inc. 126,881 6,472 TEGNA, Inc. 103,746 6,811 ViacomCBS, Inc., Class B 330,334 --------------- 2,118,815 --------------- METALS & MINING -- 1.0% 2,424 Arconic Corp. (a) 61,085 278 Materion Corp. 18,957 3,485 Nucor Corp. 169,824 1,045 Reliance Steel & Aluminum Co. 121,303 4,245 Steel Dynamics, Inc. 145,476 3,388 Warrior Met Coal, Inc. 77,992 1,759 Worthington Industries, Inc. 92,066 --------------- 686,703 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 0.5% 3,233 Apollo Commercial Real Estate Finance, Inc. 36,145 2,547 Arbor Realty Trust, Inc. 36,320 2,274 Blackstone Mortgage Trust, Inc., Class A 60,625 7,082 Broadmark Realty Capital, Inc. 72,874 3,524 Chimera Investment Corp. 35,593 5,435 Ladder Capital Corp. 53,426 4,865 Starwood Property Trust, Inc. 91,267 --------------- 386,250 --------------- MULTILINE RETAIL -- 0.5% 1,175 Dollar Tree, Inc. (a) 119,451 2,308 Kohl's Corp. 101,690 719 Target Corp. 130,261 --------------- 351,402 --------------- MULTI-UTILITIES -- 3.3% 3,252 Ameren Corp. 236,486 1,800 Avista Corp. 67,464 2,037 Black Hills Corp. 120,427 3,038 CMS Energy Corp. 172,801 4,390 Consolidated Edison, Inc. 310,724 2,613 DTE Energy Co. 310,215 5,942 MDU Resources Group, Inc. 156,215 1,364 NiSource, Inc. 30,213 2,148 NorthWestern Corp. 117,002 SHARES DESCRIPTION VALUE --------------------------------------------------------------- MULTI-UTILITIES (CONTINUED) 5,441 Public Service Enterprise Group, Inc. $ 307,036 2,490 Sempra Energy 308,162 2,014 WEC Energy Group, Inc. 179,045 --------------- 2,315,790 --------------- OIL, GAS & CONSUMABLE FUELS -- 3.3% 2,195 Chevron Corp. 187,014 4,635 ConocoPhillips 185,539 1,189 CVR Energy, Inc. 20,332 1,103 Delek US Holdings, Inc. 20,692 3,716 EOG Resources, Inc. 189,367 2,462 EQT Corp. 40,155 7,696 Exxon Mobil Corp. 345,089 1,211 HollyFrontier Corp. 34,465 13,558 Kinder Morgan, Inc. 190,897 18,772 Marathon Oil Corp. 135,909 2,985 Murphy Oil Corp. 36,924 3,306 ONEOK, Inc. 131,678 3,518 PDC Energy, Inc. (a) 76,376 1,627 Pioneer Natural Resources Co. 196,704 1,275 Renewable Energy Group, Inc. (a) 114,240 4,486 Valero Energy Corp. 253,145 6,329 Williams (The) Cos., Inc. 134,365 2,898 World Fuel Services Corp. 88,650 --------------- 2,381,541 --------------- PAPER & FOREST PRODUCTS -- 0.3% 1,679 Domtar Corp. 50,320 2,527 Louisiana-Pacific Corp. 96,051 2,245 Schweitzer-Mauduit International, Inc. 83,379 --------------- 229,750 --------------- PERSONAL PRODUCTS -- 0.4% 22,295 Coty, Inc., Class A 142,019 2,089 Edgewell Personal Care Co. 69,773 293 Inter Parfums, Inc. 18,219 973 Nu Skin Enterprises, Inc., Class A 56,307 --------------- 286,318 --------------- PHARMACEUTICALS -- 0.6% 379 Jazz Pharmaceuticals PLC (a) 58,935 1,400 Perrigo Co. PLC 59,780 5,035 Pfizer, Inc. 180,756 2,589 Prestige Consumer Healthcare, Inc. (a) 103,560 --------------- 403,031 --------------- PROFESSIONAL SERVICES -- 0.5% 750 ASGN, Inc. (a) 62,183 1,998 CBIZ, Inc. (a) 51,768 715 ICF International, Inc. 55,148 769 Insperity, Inc. 60,359 1,002 Robert Half International, Inc. 67,635 777 TriNet Group, Inc. (a) 57,583 --------------- 354,676 --------------- Page 64 See Notes to Financial Statements <PAGE> FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.8% 4,046 CBRE Group, Inc., Class A (a) $ 246,725 3,580 Forestar Group, Inc. (a) 76,934 396 Howard Hughes (The) Corp. (a) 34,123 844 Jones Lang LaSalle, Inc. (a) 123,401 2,971 Kennedy-Wilson Holdings, Inc. 51,072 971 Marcus & Millichap, Inc. (a) 34,694 --------------- 566,949 --------------- ROAD & RAIL -- 1.9% 276 AMERCO 127,633 1,399 CSX Corp. 119,971 4,989 Heartland Express, Inc. 93,643 1,356 J.B. Hunt Transport Services, Inc. 182,599 622 Kansas City Southern 126,061 3,742 Knight-Swift Transportation Holdings, Inc. 149,680 232 Landstar System, Inc. 32,341 4,192 Marten Transport Ltd. 66,443 534 Norfolk Southern Corp. 126,355 861 Ryder System, Inc. 53,890 4,362 Schneider National, Inc., Class B 91,602 297 Union Pacific Corp. 58,649 3,991 Werner Enterprises, Inc. 156,607 --------------- 1,385,474 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.0% 10,379 Amkor Technology, Inc. 161,082 1,240 Axcelis Technologies, Inc. (a) 42,458 462 Brooks Automation, Inc. 35,001 633 First Solar, Inc. (a) 62,762 4,220 Micron Technology, Inc. (a) 330,299 956 ON Semiconductor Corp. (a) 32,973 1,160 Ultra Clean Holdings, Inc. (a) 44,776 --------------- 709,351 --------------- SOFTWARE -- 0.5% 595 InterDigital, Inc. 38,205 12,214 NortonLifeLock, Inc. 257,349 1,607 Teradata Corp. (a) 43,228 --------------- 338,782 --------------- SPECIALTY RETAIL -- 2.5% 1,177 Advance Auto Parts, Inc. 175,538 365 Asbury Automotive Group, Inc. (a) 52,053 1,794 AutoNation, Inc. (a) 127,876 997 Bed Bath & Beyond, Inc. (b) 35,224 2,543 Best Buy Co., Inc. 276,729 1,820 Buckle (The), Inc. 71,562 1,343 CarMax, Inc. (a) 158,179 2,784 Dick's Sporting Goods, Inc. 186,556 3,870 Foot Locker, Inc. 169,583 688 Group 1 Automotive, Inc. 94,683 107 Lithia Motors, Inc., Class A 34,099 332 Monro, Inc. 19,412 SHARES DESCRIPTION VALUE --------------------------------------------------------------- SPECIALTY RETAIL (CONTINUED) 957 Murphy USA, Inc. $ 119,213 605 ODP (The) Corp. 25,827 2,108 Penske Automotive Group, Inc. 126,143 4,076 Sally Beauty Holdings, Inc. (a) 61,548 1,411 Urban Outfitters, Inc. (a) 38,704 --------------- 1,772,929 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.5% 843 Dell Technologies, Inc., Class C (a) 61,446 21,418 Hewlett Packard Enterprise Co. 264,298 7,537 HP, Inc. 183,451 1,923 NCR Corp. (a) 64,151 2,982 Seagate Technology PLC 197,170 2,282 Super Micro Computer, Inc. (a) 70,742 1,116 Western Digital Corp. 62,976 6,749 Xerox Holdings Corp. 141,931 --------------- 1,046,165 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.3% 333 Carter's, Inc. 29,317 358 Columbia Sportswear Co. 31,311 871 Skechers U.S.A., Inc., Class A (a) 30,032 4,028 Tapestry, Inc. 127,365 --------------- 218,025 --------------- THRIFTS & MORTGAGE FINANCE -- 1.3% 1,416 Axos Financial, Inc. (a) 55,153 1,418 Capitol Federal Financial, Inc. 17,612 3,623 Essent Group Ltd. 151,550 12,471 MGIC Investment Corp. 146,160 11,868 New York Community Bancorp, Inc. 124,139 2,835 Northwest Bancshares, Inc. 36,146 2,960 Provident Financial Services, Inc. 54,819 7,729 Radian Group, Inc. 148,397 785 Walker & Dunlop, Inc. 64,621 3,508 Washington Federal, Inc. 91,840 804 WSFS Financial Corp. 34,548 --------------- 924,985 --------------- TOBACCO -- 0.1% 1,858 Universal Corp. 85,227 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.6% 3,523 Air Lease Corp. 139,616 463 Applied Industrial Technologies, Inc. 32,591 441 Beacon Roofing Supply, Inc. (a) 17,539 1,889 Boise Cascade Co. 89,973 1,086 GATX Corp. 100,781 1,744 GMS, Inc. (a) 50,558 801 Herc Holdings, Inc. (a) 51,248 1,113 MSC Industrial Direct Co., Inc., Class A 86,335 See Notes to Financial Statements Page 65 <PAGE> FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) TRADING COMPANIES & DISTRIBUTORS (CONTINUED) 1,744 Rush Enterprises, Inc., Class A $ 73,230 493 Systemax, Inc. 18,946 1,861 Triton International Ltd. 86,239 1,094 United Rentals, Inc. (a) 265,853 3,293 Univar Solutions, Inc. (a) 61,217 152 W.W. Grainger, Inc. 55,387 460 WESCO International, Inc. (a) 35,011 --------------- 1,164,524 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.5% 4,862 Telephone and Data Systems, Inc. 91,162 1,375 T-Mobile US, Inc. (a) 173,360 2,942 United States Cellular Corp. (a) 91,732 --------------- 356,254 --------------- TOTAL COMMON STOCKS -- 99.9% 71,063,641 (Cost $62,594,874) --------------- MONEY MARKET FUNDS -- 0.7% 372,254 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.03% (c) (d) 372,254 165,369 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (c) 165,369 --------------- TOTAL MONEY MARKET FUNDS -- 0.7% 537,623 (Cost $537,623) --------------- TOTAL INVESTMENTS -- 100.6% 71,601,264 (Cost $63,132,497) (e) NET OTHER ASSETS AND LIABILITIES -- (0.6)% (441,461) --------------- NET ASSETS -- 100.0% $ 71,159,803 =============== (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 $338,069 and the total value of the collateral held by the Fund is $372,254. (c) Rate shown reflects yield as of January 31, 2021. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $9,724,358 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $1,255,591. The net unrealized appreciation was $8,468,767. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2021 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* $ 71,063,641 $ -- $ -- Money Market Funds 537,623 -- -- --------------------------------------------- Total Investments $ 71,601,264 $ -- $ -- ============================================= * 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) $ 338,069 Non-cash Collateral(2) (338,069) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At January 31, 2021, 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 66 See Notes to Financial Statements <PAGE> FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 1.4% 1,759 AeroVironment, Inc. (a) $ 201,880 2,939 Axon Enterprise, Inc. (a) 482,466 1,493 BWX Technologies, Inc. 80,503 2,757 HEICO Corp. 324,609 5,573 Kratos Defense & Security Solutions, Inc. (a) 147,907 1,931 L3Harris Technologies, Inc. 331,186 6,730 Maxar Technologies, Inc. 281,785 2,045 Mercury Systems, Inc. (a) 145,318 1,360 Teledyne Technologies, Inc. (a) 485,534 861 TransDigm Group, Inc. (a) 476,374 --------------- 2,957,562 --------------- AIR FREIGHT & LOGISTICS -- 0.2% 6,629 Air Transport Services Group, Inc. (a) 168,443 3,809 Atlas Air Worldwide Holdings, Inc. (a) 197,382 --------------- 365,825 --------------- AIRLINES -- 0.1% 5,709 American Airlines Group, Inc. 98,024 --------------- AUTO COMPONENTS -- 0.4% 12,455 American Axle & Manufacturing Holdings, Inc. (a) 109,729 3,406 Fox Factory Holding Corp. (a) 407,494 2,237 Patrick Industries, Inc. 154,487 2,576 Workhorse Group, Inc. (a) (b) 88,408 --------------- 760,118 --------------- AUTOMOBILES -- 0.6% 1,293 Tesla, Inc. (a) 1,026,034 968 Thor Industries, Inc. 117,138 2,550 Winnebago Industries, Inc. 176,103 --------------- 1,319,275 --------------- BANKS -- 0.9% 733 City Holding Co. 50,614 4,977 First Financial Bankshares, Inc. 188,529 4,968 First Republic Bank 720,310 5,870 Glacier Bancorp, Inc. 273,835 1,422 Independent Bank Corp. 106,764 951 Lakeland Financial Corp. 55,824 3,171 National Bank Holdings Corp., Class A 105,499 1,265 ServisFirst Bancshares, Inc. 51,966 1,259 Stock Yards Bancorp, Inc. 56,907 10,098 Umpqua Holdings Corp. 146,522 8,096 Veritex Holdings, Inc. 206,934 --------------- 1,963,704 --------------- BEVERAGES -- 0.8% 453 Boston Beer (The) Co., Inc., Class A (a) 415,351 5,764 Monster Beverage Corp. (a) 500,488 4,242 National Beverage Corp. (b) 642,833 1,198 PepsiCo, Inc. 163,611 --------------- 1,722,283 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- BIOTECHNOLOGY -- 6.3% 3,406 AbbVie, Inc. $ 349,047 3,368 ACADIA Pharmaceuticals, Inc. (a) 161,832 2,815 Acceleron Pharma, Inc. (a) 325,217 2,078 Agios Pharmaceuticals, Inc. (a) 97,604 9,025 Alkermes PLC (a) 189,435 19,495 Amicus Therapeutics, Inc. (a) 368,650 8,003 Arcus Biosciences, Inc. (a) 277,944 2,347 Arrowhead Pharmaceuticals, Inc. (a) 181,118 2,026 BioMarin Pharmaceutical, Inc. (a) 167,712 3,211 Blueprint Medicines Corp. (a) 310,664 3,585 CareDx, Inc. (a) 274,002 2,908 ChemoCentryx, Inc. (a) 165,785 5,977 Coherus Biosciences, Inc. (a) 112,368 2,352 CRISPR Therapeutics AG (a) 389,726 2,452 Cytokinetics, Inc. (a) 48,231 2,480 Denali Therapeutics, Inc. (a) 169,880 2,313 Dicerna Pharmaceuticals, Inc. (a) 51,973 3,704 Editas Medicine, Inc. (a) 227,240 3,014 Emergent BioSolutions, Inc. (a) 322,046 6,887 Exact Sciences Corp. (a) 944,621 4,950 Fate Therapeutics, Inc. (a) 448,619 8,431 Halozyme Therapeutics, Inc. (a) 401,231 2,408 Heron Therapeutics, Inc. (a) 41,803 5,409 Insmed, Inc. (a) 203,324 4,774 Intellia Therapeutics, Inc. (a) 298,948 2,153 Invitae Corp. (a) 106,617 1,592 Ionis Pharmaceuticals, Inc. (a) 95,631 4,474 Ironwood Pharmaceuticals, Inc. (a) 45,724 2,229 MacroGenics, Inc. (a) 45,561 3,904 Mersana Therapeutics, Inc. (a) 74,410 2,050 Mirati Therapeutics, Inc. (a) 420,927 8,734 Moderna, Inc. (a) 1,512,379 15,586 NantKwest, Inc. (a) (b) 294,186 3,619 Natera, Inc. (a) 385,930 2,422 Novavax, Inc. (a) 535,117 91,167 OPKO Health, Inc. (a) (b) 493,214 4,425 PTC Therapeutics, Inc. (a) 255,854 4,580 REGENXBIO, Inc. (a) 189,291 16,642 Sangamo Therapeutics, Inc. (a) 227,330 2,141 Sarepta Therapeutics, Inc. (a) 191,405 1,015 Seagen, Inc. (a) 166,734 3,994 TG Therapeutics, Inc. (a) 192,790 11,273 Translate Bio, Inc. (a) 269,199 5,609 Travere Therapeutics, Inc. (a) 141,627 1,838 Twist Bioscience Corp. (a) 302,425 3,252 Ultragenyx Pharmaceutical, Inc. (a) 450,695 3,124 Veracyte, Inc. (a) 177,131 --------------- 13,103,197 --------------- BUILDING PRODUCTS -- 0.9% 2,702 AAON, Inc. 199,948 5,386 Advanced Drainage Systems, Inc. 444,237 See Notes to Financial Statements Page 67 <PAGE> FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) BUILDING PRODUCTS (CONTINUED) 774 Allegion PLC $ 82,826 1,856 CSW Industrials, Inc. 216,261 2,888 Gibraltar Industries, Inc. (a) 258,852 2,500 Griffon Corp. 56,150 10,214 PGT Innovations, Inc. (a) 211,532 1,927 Simpson Manufacturing Co., Inc. 177,284 3,226 Trex Co., Inc. (a) 296,050 --------------- 1,943,140 --------------- CAPITAL MARKETS -- 3.4% 3,628 Apollo Global Management, Inc. 166,670 4,127 Artisan Partners Asset Management, Inc., Class A 199,747 2,106 Assetmark Financial Holdings, Inc. (a) 48,480 1,265 BlackRock, Inc. 887,094 13,470 Brightsphere Investment Group, Inc. 246,905 2,863 Carlyle Group (The), Inc. 92,389 2,423 Cohen & Steers, Inc. 158,706 4,776 Focus Financial Partners, Inc., Class A (a) 227,242 653 Hamilton Lane, Inc., Class A 49,217 2,678 Houlihan Lokey, Inc. 173,668 4,624 Intercontinental Exchange, Inc. 510,258 3,455 LPL Financial Holdings, Inc. 374,315 934 MarketAxess Holdings, Inc. 505,070 3,269 Moelis & Co., Class A 162,502 1,944 Morningstar, Inc. 446,906 1,635 MSCI, Inc. 646,316 4,016 Nasdaq, Inc. 543,244 1,908 Northern Trust Corp. 170,175 3,451 PJT Partners, Inc., Class A 238,084 1,567 SEI Investments Co. 82,816 3,588 StoneX Group, Inc. (a) 192,030 4,822 T. Rowe Price Group, Inc. 754,547 1,197 Virtus Investment Partners, Inc. 251,370 --------------- 7,127,751 --------------- CHEMICALS -- 1.5% 3,051 Albemarle Corp. 496,276 24,757 Amyris, Inc. (a) (b) 232,716 1,563 Balchem Corp. 167,288 1,546 FMC Corp. 167,416 4,392 GCP Applied Technologies, Inc. (a) 108,878 1,776 Quaker Chemical Corp. 465,543 2,260 Scotts Miracle-Gro (The) Co. 500,386 725 Sherwin-Williams (The) Co. 501,555 11,672 Valvoline, Inc. 277,093 1,642 W.R. Grace & Co. 95,269 --------------- 3,012,420 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES -- 1.2% 1,967 Brady Corp., Class A $ 90,305 2,886 Brink's (The) Co. 196,623 2,906 Casella Waste Systems, Inc., Class A (a) 166,339 1,026 Cimpress PLC (a) 93,766 1,033 Cintas Corp. 328,618 4,189 Copart, Inc. (a) 459,743 4,156 IAA, Inc. (a) 237,474 1,205 MSA Safety, Inc. 188,125 18,683 Rollins, Inc. 672,962 2,859 US Ecology, Inc. (a) 94,347 --------------- 2,528,302 --------------- COMMUNICATIONS EQUIPMENT -- 1.5% 1,835 Arista Networks, Inc. (a) 564,372 8,726 Calix, Inc. (a) 263,525 3,407 Ciena Corp. (a) 181,900 19,380 CommScope Holding Co., Inc. (a) 284,692 2,047 F5 Networks, Inc. (a) 401,110 24,780 Infinera Corp. (a) 244,083 13,430 Inseego Corp. (a) (b) 246,575 2,849 Lumentum Holdings, Inc. (a) 267,236 1,045 Motorola Solutions, Inc. 175,090 7,686 Plantronics, Inc. 243,800 12,024 Viavi Solutions, Inc. (a) 185,771 --------------- 3,058,154 --------------- CONSTRUCTION & ENGINEERING -- 0.4% 4,971 Ameresco, Inc., Class A (a) 278,823 2,903 Comfort Systems USA, Inc. 160,913 15,542 WillScot Mobile Mini Holdings Corp. (a) 368,501 --------------- 808,237 --------------- CONSTRUCTION MATERIALS -- 0.1% 15,103 Forterra, Inc. (a) 276,385 --------------- CONSUMER FINANCE -- 0.1% 260 Credit Acceptance Corp. (a) (b) 100,300 1,285 PRA Group, Inc. (a) 42,367 --------------- 142,667 --------------- CONTAINERS & PACKAGING -- 0.6% 1,741 Avery Dennison Corp. 262,665 6,409 Berry Global Group, Inc. (a) 316,412 3,594 Crown Holdings, Inc. (a) 323,999 8,729 O-I Glass, Inc. 110,335 5,898 Sealed Air Corp. 249,308 --------------- 1,262,719 --------------- DISTRIBUTORS -- 0.4% 2,450 Pool Corp. 867,741 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.6% 10,101 Chegg, Inc. (a) 962,221 5,379 frontdoor, Inc. (a) 296,060 Page 68 See Notes to Financial Statements <PAGE> FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) DIVERSIFIED CONSUMER SERVICES (CONTINUED) 2,088 WW International, Inc. (a) $ 55,458 --------------- 1,313,739 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.3% 1,172 Bandwidth, Inc., Class A (a) 208,780 9,157 Iridium Communications, Inc. (a) 451,165 --------------- 659,945 --------------- ELECTRICAL EQUIPMENT -- 1.1% 7,249 Bloom Energy Corp., Class A (a) 253,062 1,584 Generac Holdings, Inc. (a) 390,329 14,341 GrafTech International Ltd. 139,108 1,148 Hubbell, Inc. 178,629 7,658 Plug Power, Inc. (a) 483,756 1,455 Rockwell Automation, Inc. 361,611 2,595 Sunrun, Inc. (a) 179,756 4,920 TPI Composites, Inc. (a) 294,757 1,126 Vicor Corp. (a) 97,444 --------------- 2,378,452 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.3% 4,076 Amphenol Corp., Class A 509,011 1,625 Badger Meter, Inc. 149,029 4,546 Cognex Corp. 373,363 2,781 Dolby Laboratories, Inc., Class A 244,811 1,471 FARO Technologies, Inc. (a) 103,808 5,926 II-VI, Inc. (a) 498,199 5,526 Keysight Technologies, Inc. (a) 782,426 2,049 National Instruments Corp. 84,829 6,363 nLight, Inc. (a) 201,580 1,328 Plexus Corp. (a) 102,150 13,665 Trimble, Inc. (a) 900,660 2,374 Zebra Technologies Corp., Class A (a) 920,708 --------------- 4,870,574 --------------- ENERGY EQUIPMENT & SERVICES -- 0.2% 9,992 ChampionX Corp. (a) 152,777 89,938 Transocean Ltd. (a) (b) 302,192 --------------- 454,969 --------------- ENTERTAINMENT -- 2.0% 5,741 Activision Blizzard, Inc. 522,431 2,542 Electronic Arts, Inc. 364,014 11,529 Glu Mobile, Inc. (a) 101,571 986 Netflix, Inc. (a) 524,937 2,748 Roku, Inc. (a) 1,069,054 4,391 Take-Two Interactive Software, Inc. (a) 880,176 2,162 World Wrestling Entertainment, Inc., Class A 121,786 54,008 Zynga, Inc., Class A (a) 535,219 --------------- 4,119,188 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 1.4% 1,765 American Assets Trust, Inc. $ 48,767 2,412 Americold Realty Trust 84,203 17,051 Apartment Investment and Management Co., Class A 78,264 4,683 CareTrust REIT, Inc. 105,180 1,082 Community Healthcare Trust, Inc. 48,387 2,687 Cousins Properties, Inc. 84,748 2,679 CubeSmart 93,337 2,404 Essential Properties Realty Trust, Inc. 50,051 1,712 Four Corners Property Trust, Inc. 45,128 2,973 Global Net Lease, Inc. 47,895 5,878 Healthpeak Properties, Inc. 174,283 3,794 Independence Realty Trust, Inc. 50,384 4,460 Industrial Logistics Properties Trust 94,597 1,418 Innovative Industrial Properties, Inc. 265,336 3,054 Iron Mountain, Inc. 102,828 3,432 iStar, Inc. 52,098 1,082 Lamar Advertising Co., Class A 87,404 1,131 Life Storage, Inc. 92,267 16,750 Medical Properties Trust, Inc. 353,593 5,998 Monmouth Real Estate Investment Corp. 103,945 1,414 National Storage Affiliates Trust 51,668 1,204 NexPoint Residential Trust, Inc. 47,522 3,140 Piedmont Office Realty Trust, Inc., Class A 48,293 1,833 Rexford Industrial Realty, Inc. 89,707 2,109 Safehold, Inc. 155,180 2,650 STORE Capital Corp. 82,203 8,856 Uniti Group, Inc. 109,017 6,968 VICI Properties, Inc. 176,151 --------------- 2,822,436 --------------- FOOD & STAPLES RETAILING -- 0.6% 7,245 BJ's Wholesale Club Holdings, Inc. (a) 304,797 4,587 Grocery Outlet Holding Corp. (a) 195,819 13,124 Rite Aid Corp. (a) 345,030 4,479 Sprouts Farmers Market, Inc. (a) 101,449 9,573 United Natural Foods, Inc. (a) 259,237 --------------- 1,206,332 --------------- FOOD PRODUCTS -- 0.8% 5,513 B&G Foods, Inc. (b) 209,935 720 Beyond Meat, Inc. (a) 128,218 7,804 Darling Ingredients, Inc. (a) 483,926 2,536 Freshpet, Inc. (a) 353,290 6,727 Hain Celestial Group (The), Inc. (a) 279,742 1,143 Lamb Weston Holdings, Inc. 85,382 980 Lancaster Colony Corp. 171,089 --------------- 1,711,582 --------------- See Notes to Financial Statements Page 69 <PAGE> FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE EQUIPMENT & SUPPLIES -- 5.5% 1,623 Abbott Laboratories $ 200,587 1,126 ABIOMED, Inc. (a) 392,129 1,366 Align Technology, Inc. (a) 717,669 1,866 AtriCure, Inc. (a) 108,657 3,063 Axonics Modulation Technologies, Inc. (a) 158,357 1,165 Cardiovascular Systems, Inc. (a) 52,413 7,364 Cerus Corp. (a) 48,529 489 Cooper (The) Cos., Inc. 178,016 3,484 CryoPort, Inc. (a) 237,609 1,643 Danaher Corp. 390,771 481 DexCom, Inc. (a) 180,303 4,001 Edwards Lifesciences Corp. (a) 330,403 10,471 GenMark Diagnostics, Inc. (a) 144,604 2,031 Glaukos Corp. (a) 180,129 2,761 Globus Medical, Inc., Class A (a) 170,326 1,516 Haemonetics Corp. (a) 173,264 1,426 Heska Corp. (a) 238,655 919 Hill-Rom Holdings, Inc. 88,261 10,023 Hologic, Inc. (a) 799,134 1,460 IDEXX Laboratories, Inc. (a) 698,873 2,085 Insulet Corp. (a) 557,070 446 Intuitive Surgical, Inc. (a) 333,447 1,139 iRhythm Technologies, Inc. (a) 191,830 1,986 Masimo Corp. (a) 508,257 8,180 Meridian Bioscience, Inc. (a) 180,778 2,754 Merit Medical Systems, Inc. (a) 149,129 362 Mesa Laboratories, Inc. 100,325 1,040 Nevro Corp. (a) 168,262 2,601 Novocure Ltd. (a) 418,657 2,032 Quidel Corp. (a) 509,971 836 ResMed, Inc. 168,512 2,504 Shockwave Medical, Inc. (a) 290,564 1,649 Silk Road Medical, Inc. (a) 89,920 4,268 SmileDirectClub, Inc. (a) 56,679 4,546 STAAR Surgical Co. (a) 466,329 1,926 STERIS PLC 360,374 1,489 Stryker Corp. 329,084 941 Tandem Diabetes Care, Inc. (a) 87,184 432 Teleflex, Inc. 163,136 3,867 Vapotherm, Inc. (a) 133,605 1,882 West Pharmaceutical Services, Inc. 563,640 --------------- 11,315,442 --------------- HEALTH CARE PROVIDERS & SERVICES -- 3.2% 1,774 Addus HomeCare Corp. (a) 199,664 1,228 Amedisys, Inc. (a) 352,817 338 Chemed Corp. 175,050 3,506 Cigna Corp. 760,977 1,442 CorVel Corp. (a) 142,498 7,229 Covetrus, Inc. (a) 246,292 7,772 DaVita, Inc. (a) 912,200 3,561 Ensign Group (The), Inc. 278,755 2,096 Guardant Health, Inc. (a) 325,928 SHARES DESCRIPTION VALUE --------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 3,874 HealthEquity, Inc. (a) $ 323,673 890 Humana, Inc. 340,968 844 LHC Group, Inc. (a) 168,142 6,230 MEDNAX, Inc. (a) 169,892 13,284 Option Care Health, Inc. (a) 245,488 9,601 Owens & Minor, Inc. 279,197 7,012 Patterson Cos., Inc. 222,140 3,976 PetIQ, Inc. (a) 137,808 6,126 Progyny, Inc. (a) 286,513 10,812 R1 RCM, Inc. (a) 272,787 5,308 RadNet, Inc. (a) 95,066 11,273 Tenet Healthcare Corp. (a) 532,875 1,271 US Physical Therapy, Inc. 152,952 --------------- 6,621,682 --------------- HEALTH CARE TECHNOLOGY -- 1.4% 16,201 Evolent Health, Inc., Class A (a) 276,551 3,512 Health Catalyst, Inc. (a) 174,476 2,393 Inspire Medical Systems, Inc. (a) 482,214 11,390 NextGen Healthcare, Inc. (a) 225,294 3,750 Omnicell, Inc. (a) 441,750 3,829 Phreesia, Inc. (a) 249,996 1,444 Simulations Plus, Inc. 114,278 889 Teladoc Health, Inc. (a) 234,545 1,341 Veeva Systems, Inc., Class A (a) 370,706 6,253 Vocera Communications, Inc. (a) 274,819 --------------- 2,844,629 --------------- HOTELS, RESTAURANTS & LEISURE -- 1.6% 526 Chipotle Mexican Grill, Inc. (a) 778,480 843 Choice Hotels International, Inc. 84,839 924 Churchill Downs, Inc. 173,204 463 Domino's Pizza, Inc. 171,662 1,647 Jack in the Box, Inc. 155,049 2,122 Papa John's International, Inc. 217,038 4,169 Penn National Gaming, Inc. (a) 432,409 1,160 Planet Fitness, Inc., Class A (a) 83,520 5,007 Scientific Games Corp. (a) 196,375 1,803 Shake Shack, Inc., Class A (a) 204,496 3,046 Six Flags Entertainment Corp. 104,173 4,107 Wendy's (The) Co. 83,783 679 Wingstop, Inc. 101,884 3,408 Wyndham Destinations, Inc. 150,770 3,362 Yum! Brands, Inc. 341,209 --------------- 3,278,891 --------------- HOUSEHOLD DURABLES -- 1.4% 290 Cavco Industries, Inc. (a) 54,711 6,100 Garmin Ltd. 700,646 1,216 Helen of Troy Ltd. (a) 297,008 1,500 Installed Building Products, Inc. (a) 157,395 1,294 iRobot Corp. (a) 155,409 2,551 LGI Homes, Inc. (a) 272,217 3,357 Skyline Champion Corp. (a) 112,896 11,103 Sonos, Inc. (a) 290,344 Page 70 See Notes to Financial Statements <PAGE> FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) HOUSEHOLD DURABLES (CONTINUED) 16,672 Tempur Sealy International, Inc. (a) $ 440,141 1,956 TopBuild Corp. (a) 391,102 --------------- 2,871,869 --------------- HOUSEHOLD PRODUCTS -- 0.7% 4,208 Central Garden & Pet Co., Class A (a) 164,112 2,037 Church & Dwight Co., Inc. 171,984 880 Clorox (The) Co. 184,325 4,268 Colgate-Palmolive Co. 332,904 2,134 Energizer Holdings, Inc. 93,554 1,277 Procter & Gamble (The) Co. 163,724 1,017 WD-40 Co. 309,585 --------------- 1,420,188 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.3% 8,459 Clearway Energy, Inc., Class C 262,060 5,754 Sunnova Energy International, Inc. (a) 252,313 --------------- 514,373 --------------- INDUSTRIAL CONGLOMERATES -- 0.3% 3,432 Honeywell International, Inc. 670,510 --------------- INSURANCE -- 1.0% 7,698 Brown & Brown, Inc. 331,707 722 eHealth, Inc. (a) 34,548 1,100 Erie Indemnity Co., Class A 267,410 2,082 Goosehead Insurance, Inc., Class A 278,155 1,349 Kinsale Capital Group, Inc. 253,018 1,519 Marsh & McLennan Cos., Inc. 166,953 574 Palomar Holdings, Inc. (a) 57,165 543 RenaissanceRe Holdings Ltd. 81,689 2,593 RLI Corp. 250,950 2,169 Trupanion, Inc. (a) 243,362 --------------- 1,964,957 --------------- INTERACTIVE MEDIA & SERVICES -- 2.1% 416 Alphabet, Inc., Class A (a) 760,182 11,586 ANGI Homeservices, Inc., Class A (a) 161,972 5,675 Cargurus, Inc. (a) 165,994 1,364 EverQuote, Inc., Class A (a) 61,462 1,336 Facebook, Inc., Class A (a) 345,129 13,846 Pinterest, Inc., Class A (a) 948,589 18,223 Snap, Inc., Class A (a) 964,725 7,030 Zillow Group, Inc., Class C (a) 917,134 --------------- 4,325,187 --------------- INTERNET & DIRECT MARKETING RETAIL -- 2.7% 7,991 1-800-Flowers.com, Inc., Class A (a) 245,563 224 Amazon.com, Inc. (a) 718,189 5,008 Chewy, Inc., Class A (a) 509,914 7,263 eBay, Inc. 410,432 SHARES DESCRIPTION VALUE --------------------------------------------------------------- INTERNET & DIRECT MARKETING RETAIL (CONTINUED) 5,129 Etsy, Inc. (a) $ 1,021,133 9,384 Overstock.com, Inc. (a) 728,198 10,632 RealReal (The), Inc. (a) 251,766 2,898 Shutterstock, Inc. 188,341 918 Stamps.com, Inc. (a) 209,589 4,423 Stitch Fix, Inc., Class A (a) 422,131 3,233 Wayfair, Inc., Class A (a) 880,411 --------------- 5,585,667 --------------- IT SERVICES -- 5.0% 2,041 Accenture PLC, Class A 493,759 1,008 Automatic Data Processing, Inc. 166,441 4,187 Booz Allen Hamilton Holding Corp. 356,607 2,382 Broadridge Financial Solutions, Inc. 336,600 1,131 CSG Systems International, Inc. 48,735 2,037 EPAM Systems, Inc. (a) 701,604 2,642 EVERTEC, Inc. 91,677 1,796 ExlService Holdings, Inc. (a) 137,717 2,061 Fastly, Inc., Class A (a) 225,370 4,682 Fiserv, Inc. (a) 480,795 3,328 Gartner, Inc. (a) 505,557 4,353 Genpact Ltd. 166,633 3,388 Global Payments, Inc. 598,050 6,426 GoDaddy, Inc., Class A (a) 504,955 2,541 MongoDB, Inc. (a) 939,179 5,919 NIC, Inc. 159,339 2,871 Okta, Inc. (a) 743,618 1,907 Paychex, Inc. 166,519 3,117 PayPal Holdings, Inc. (a) 730,344 2,180 Perficient, Inc. (a) 119,050 7,477 Perspecta, Inc. 216,459 5,610 Repay Holdings Corp. (a) 124,262 12,718 Sabre Corp. 137,100 4,192 Square, Inc., Class A (a) 905,304 3,561 TTEC Holdings, Inc. 269,140 2,695 Twilio, Inc., Class A (a) 968,664 7,741 Verra Mobility Corp. (a) 99,085 --------------- 10,392,563 --------------- LEISURE PRODUCTS -- 1.3% 6,367 Callaway Golf Co. 177,576 2,448 Malibu Boats, Inc., Class A (a) 171,629 25,796 Mattel, Inc. (a) 467,423 6,014 Peloton Interactive, Inc., Class A (a) 878,826 11,705 Smith & Wesson Brands, Inc. 193,835 1,596 Sturm Ruger & Co., Inc. 101,122 10,930 Vista Outdoor, Inc. (a) 318,828 6,574 YETI Holdings, Inc. (a) 432,701 --------------- 2,741,940 --------------- LIFE SCIENCES TOOLS & SERVICES -- 4.4% 1,907 10X Genomics, Inc., Class A (a) 326,383 4,568 Adaptive Biotechnologies Corp. (a) 253,387 See Notes to Financial Statements Page 71 <PAGE> FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) LIFE SCIENCES TOOLS & SERVICES (CONTINUED) 6,161 Agilent Technologies, Inc. $ 740,367 32,414 Avantor, Inc. (a) 955,889 914 Bio-Rad Laboratories, Inc., Class A (a) 524,426 1,679 Bio-Techne Corp. 545,524 4,990 Bruker Corp. 288,871 1,441 Charles River Laboratories International, Inc. (a) 373,291 2,204 Luminex Corp. 61,910 2,587 Medpace Holdings, Inc. (a) 343,528 468 Mettler-Toledo International, Inc. (a) 546,671 3,106 NanoString Technologies, Inc. (a) 217,513 6,689 NeoGenomics, Inc. (a) 354,651 6,358 PerkinElmer, Inc. 935,071 2,153 PRA Health Sciences, Inc. (a) 265,336 4,468 Quanterix Corp. (a) 289,258 1,879 Repligen Corp. (a) 375,800 3,964 Syneos Health, Inc. (a) 294,723 1,567 Thermo Fisher Scientific, Inc. 798,700 2,154 Waters Corp. (a) 570,099 --------------- 9,061,398 --------------- MACHINERY -- 1.3% 3,748 Altra Industrial Motion Corp. 192,685 1,795 Astec Industries, Inc. 106,749 1,611 Donaldson Co., Inc. 95,758 1,191 Douglas Dynamics, Inc. 48,593 1,006 ESCO Technologies, Inc. 95,650 5,666 Evoqua Water Technologies Corp. (a) 154,398 3,132 Federal Signal Corp. 102,385 1,501 Franklin Electric Co., Inc. 104,199 2,489 Graco, Inc. 171,592 2,869 Helios Technologies, Inc. 156,504 1,084 Kadant, Inc. 154,958 1,617 Lindsay Corp. 226,105 1,174 Proto Labs, Inc. (a) 248,653 1,006 RBC Bearings, Inc. (a) 168,334 6,839 Rexnord Corp. 258,925 726 Tennant Co. 49,186 2,848 Toro (The) Co. 268,424 1,256 Watts Water Technologies, Inc., Class A 150,808 --------------- 2,753,906 --------------- MEDIA -- 0.7% 239 Cable One, Inc. 478,000 1,455 Cardlytics, Inc. (a) 177,903 5,217 New York Times (The) Co., Class A 258,711 57,296 Sirius XM Holdings, Inc. 358,673 3,515 TechTarget, Inc. (a) 262,570 --------------- 1,535,857 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- METALS & MINING -- 0.5% 25,091 Coeur Mining, Inc. (a) $ 227,074 2,481 Commercial Metals Co. 48,851 1,683 Compass Minerals International, Inc. 98,052 69,466 Hecla Mining Co. 395,261 6,094 Newmont Corp. 363,202 --------------- 1,132,440 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 0.2% 6,795 Colony Credit Real Estate, Inc. 53,681 3,275 Hannon Armstrong Sustainable Infrastructure Capital, Inc. 193,716 2,844 KKR Real Estate Finance Trust, Inc. 48,689 13,810 New York Mortgage Trust, Inc. 51,511 5,804 Redwood Trust, Inc. 49,799 --------------- 397,396 --------------- MULTILINE RETAIL -- 0.4% 3,561 Big Lots, Inc. 212,521 2,535 Dollar General Corp. 493,336 1,101 Ollie's Bargain Outlet Holdings, Inc. (a) 104,298 --------------- 810,155 --------------- OIL, GAS & CONSUMABLE FUELS -- 1.3% 58,384 Antero Midstream Corp. 472,910 6,344 Apache Corp. 90,592 12,160 Cheniere Energy, Inc. (a) 770,093 2,769 Cimarex Energy Co. 116,796 11,661 Comstock Resources, Inc. (a) 53,058 3,720 Diamondback Energy, Inc. 210,887 3,366 Hess Corp. 181,697 7,218 Magnolia Oil & Gas Corp., Class A (a) 61,136 21,085 Occidental Petroleum Corp. 422,965 15,504 Range Resources Corp. (a) 142,792 34,858 Southwestern Energy Co. (a) 131,415 --------------- 2,654,341 --------------- PERSONAL PRODUCTS -- 0.3% 8,248 elf Beauty, Inc. (a) 179,477 3,747 Herbalife Nutrition Ltd. (a) 190,947 1,058 Medifast, Inc. 248,281 661 USANA Health Sciences, Inc. (a) 54,704 --------------- 673,409 --------------- PHARMACEUTICALS -- 1.7% 2,534 Amphastar Pharmaceuticals, Inc. (a) 46,068 2,446 Arvinas, Inc. (a) 184,526 2,864 Bristol-Myers Squibb Co. 175,936 8,768 Catalent, Inc. (a) 1,008,758 9,927 Corcept Therapeutics, Inc. (a) 280,537 1,052 Eli Lilly and Co. 218,785 36,169 Endo International PLC (a) 263,310 9,979 Horizon Therapeutics PLC (a) 723,278 Page 72 See Notes to Financial Statements <PAGE> FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) PHARMACEUTICALS (CONTINUED) 4,113 Innoviva, Inc. (a) $ 49,397 5,046 NGM Biopharmaceuticals, Inc. (a) 129,480 852 Pacira BioSciences, Inc. (a) 56,300 3,665 Revance Therapeutics, Inc. (a) 93,238 4,129 Supernus Pharmaceuticals, Inc. (a) 121,351 2,868 Theravance Biopharma, Inc. (a) 53,460 1,074 Zoetis, Inc. 165,665 --------------- 3,570,089 --------------- PROFESSIONAL SERVICES -- 1.1% 3,493 CoreLogic, Inc. 262,988 395 CoStar Group, Inc. (a) 355,386 3,785 Equifax, Inc. 670,361 1,000 Exponent, Inc. 82,580 806 FTI Consulting, Inc. (a) 88,636 1,791 TransUnion 155,889 7,523 Upwork, Inc. (a) 311,828 1,758 Verisk Analytics, Inc. 322,593 --------------- 2,250,261 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.7% 4,114 eXp World Holdings, Inc. (a) 438,511 19,794 Realogy Holdings Corp. (a) 281,075 6,559 Redfin Corp. (a) 467,066 6,118 St Joe (The) Co. 272,251 --------------- 1,458,903 --------------- ROAD & RAIL -- 1.0% 5,570 Avis Budget Group, Inc. (a) 230,264 5,497 Lyft, Inc., Class A (a) 244,397 1,870 Old Dominion Freight Line, Inc. 362,780 2,490 Saia, Inc. (a) 440,107 14,313 Uber Technologies, Inc. (a) 728,961 --------------- 2,006,509 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 7.8% 2,557 ACM Research, Inc., Class A (a) 230,130 4,642 Advanced Energy Industries, Inc. (a) 476,176 9,949 Advanced Micro Devices, Inc. (a) 852,032 2,263 Ambarella, Inc. (a) 213,537 1,203 Analog Devices, Inc. 177,238 10,573 Applied Materials, Inc. 1,022,198 3,360 CEVA, Inc. (a) 197,534 3,286 Cirrus Logic, Inc. (a) 307,865 595 CMC Materials, Inc. 87,649 3,400 Cree, Inc. (a) 343,672 3,831 Diodes, Inc. (a) 271,158 2,565 Enphase Energy, Inc. (a) 467,728 4,684 Entegris, Inc. 460,859 6,037 FormFactor, Inc. (a) 246,732 3,524 KLA Corp. 986,967 1,932 Lam Research Corp. 934,991 SHARES DESCRIPTION VALUE --------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 7,859 Lattice Semiconductor Corp. (a) $ 315,224 8,178 MACOM Technology Solutions Holdings, Inc. (a) 465,001 15,355 Marvell Technology Group Ltd. 790,168 5,440 MaxLinear, Inc. (a) 170,762 3,860 Microchip Technology, Inc. 525,385 2,393 MKS Instruments, Inc. 378,262 2,492 Monolithic Power Systems, Inc. 885,383 1,398 NVIDIA Corp. 726,387 3,215 Onto Innovation, Inc. (a) 173,771 2,359 PDF Solutions, Inc. (a) 45,576 4,399 Power Integrations, Inc. 354,339 5,488 Qorvo, Inc. (a) 937,789 4,792 QUALCOMM, Inc. 748,894 5,949 Rambus, Inc. (a) 113,001 3,746 Semtech Corp. (a) 265,779 1,856 SiTime Corp. (a) 226,525 1,162 Skyworks Solutions, Inc. 196,669 3,736 Synaptics, Inc. (a) 370,686 7,611 Teradyne, Inc. 863,696 1,083 Texas Instruments, Inc. 179,442 784 Universal Display Corp. 180,963 --------------- 16,190,168 --------------- SOFTWARE -- 16.2% 9,000 2U, Inc. (a) 368,100 7,534 8x8, Inc. (a) 265,574 9,371 ACI Worldwide, Inc. (a) 359,753 355 Adobe, Inc. (a) 162,863 4,351 Alarm.com Holdings, Inc. (a) 404,295 2,628 Altair Engineering, Inc., Class A (a) 146,984 739 Alteryx, Inc., Class A (a) 93,151 3,759 Anaplan, Inc. (a) 250,725 488 ANSYS, Inc. (a) 172,933 849 Appfolio, Inc., Class A (a) 129,736 1,602 Appian Corp. (a) (b) 349,973 2,391 Autodesk, Inc. (a) 663,335 4,427 Avalara, Inc. (a) 664,050 13,561 Avaya Holdings Corp. (a) 301,597 3,298 Bill.com Holdings, Inc. (a) 401,960 3,375 Blackline, Inc. (a) 437,468 966 Bottomline Technologies DE, Inc. (a) 46,156 4,988 Box, Inc., Class A (a) 86,492 5,350 Cadence Design Systems, Inc. (a) 697,587 3,474 CDK Global, Inc. 173,353 2,584 Cerence, Inc. (a) 289,175 5,002 Ceridian HCM Holding, Inc. (a) 464,736 1,366 Citrix Systems, Inc. 182,101 19,416 Cloudera, Inc. (a) 296,482 5,924 Cloudflare, Inc., Class A (a) 454,134 2,761 CommVault Systems, Inc. (a) 173,336 2,359 Cornerstone OnDemand, Inc. (a) 96,483 2,154 Coupa Software, Inc. (a) 667,460 4,308 Crowdstrike Holdings, Inc., Class A (a) 929,666 See Notes to Financial Statements Page 73 <PAGE> FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 3,708 Datadog, Inc., Class A (a) $ 380,997 4,591 Digital Turbine, Inc. (a) 262,651 2,398 DocuSign, Inc. (a) 558,470 4,072 Domo, Inc., Class B (a) 258,124 8,114 Dropbox, Inc., Class A (a) 183,620 8,435 Dynatrace, Inc. (a) 350,137 3,080 Elastic N.V. (a) 468,037 2,188 Envestnet, Inc. (a) 167,885 1,812 Everbridge, Inc. (a) 240,869 1,043 Fair Isaac Corp. (a) 469,465 19,520 FireEye, Inc. (a) 409,920 2,581 Five9, Inc. (a) 429,091 3,589 Fortinet, Inc. (a) 519,508 699 Guidewire Software, Inc. (a) 80,203 2,302 HubSpot, Inc. (a) 856,804 1,403 Intuit, Inc. 506,806 4,608 J2 Global, Inc. (a) 472,965 5,787 LivePerson, Inc. (a) 366,664 856 Manhattan Associates, Inc. (a) 96,925 5,420 Medallia, Inc. (a) 224,930 4,752 Mimecast Ltd. (a) 204,621 1,428 Model N, Inc. (a) 48,523 1,377 New Relic, Inc. (a) 103,523 8,168 Nuance Communications, Inc. (a) 371,971 8,475 Nutanix, Inc., Class A (a) 258,657 5,642 Oracle Corp. 340,946 4,982 PagerDuty, Inc. (a) 242,773 2,567 Palo Alto Networks, Inc. (a) 900,375 2,018 Paycom Software, Inc. (a) 766,315 1,749 Paylocity Holding Corp. (a) 327,868 2,027 Pegasystems, Inc. 258,341 2,299 Progress Software Corp. 92,374 1,980 Proofpoint, Inc. (a) 255,578 2,046 PROS Holdings, Inc. (a) 86,218 3,763 PTC, Inc. (a) 500,140 2,846 Q2 Holdings, Inc. (a) 364,260 1,477 Qualys, Inc. (a) 204,520 4,993 Rapid7, Inc. (a) 433,492 2,408 RingCentral, Inc., Class A (a) 897,991 8,455 Sailpoint Technologies Holdings, Inc. (a) 467,646 799 salesforce.com, Inc. (a) 180,222 1,326 ServiceNow, Inc. (a) 720,230 5,197 Smartsheet, Inc., Class A (a) 362,439 4,575 Sprout Social, Inc., Class A (a) 301,950 3,316 SPS Commerce, Inc. (a) 327,919 7,327 SS&C Technologies Holdings, Inc. 460,722 7,047 SVMK, Inc. (a) 177,655 2,816 Synopsys, Inc. (a) 719,347 8,613 Tenable Holdings, Inc. (a) 426,257 1,139 Trade Desk (The), Inc., Class A (a) 872,463 1,221 Tyler Technologies, Inc. (a) 516,227 3,331 Upland Software, Inc. (a) 158,855 SHARES DESCRIPTION VALUE --------------------------------------------------------------- SOFTWARE (CONTINUED) 2,201 Varonis Systems, Inc. (a) $ 389,071 5,360 Verint Systems, Inc. (a) 395,729 2,225 Workday, Inc., Class A (a) 506,254 2,834 Workiva, Inc. (a) 276,230 7,315 Xperi Holding Corp. 140,887 3,242 Yext, Inc. (a) 54,693 6,375 Zendesk, Inc. (a) 919,530 1,580 Zoom Video Communications, Inc., Class A (a) 587,871 4,569 Zscaler, Inc. (a) 912,429 7,457 Zuora, Inc., Class A (a) 109,991 --------------- 33,676,832 --------------- SPECIALTY RETAIL -- 2.9% 16,798 At Home Group, Inc. (a) 409,367 150 AutoZone, Inc. (a) 167,755 3,988 Camping World Holdings, Inc., Class A 136,230 3,047 Carvana Co. (a) 795,846 2,058 Five Below, Inc. (a) 361,652 4,848 Floor & Decor Holdings, Inc., Class A (a) 446,355 1,374 Home Depot (The), Inc. 372,107 4,548 Lowe's Cos., Inc. 758,834 19,961 Michaels (The) Cos., Inc. (a) 309,396 3,376 National Vision Holdings, Inc. (a) 156,545 393 O'Reilly Automotive, Inc. (a) 167,210 5,426 Rent-A-Center, Inc. 234,946 805 RH (a) 382,665 3,173 Sleep Number Corp. (a) 341,859 3,792 Tractor Supply Co. 537,478 3,536 Williams-Sonoma, Inc. 455,861 --------------- 6,034,106 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.7% 5,501 Apple, Inc. 725,912 5,436 NetApp, Inc. 361,168 15,927 Pure Storage, Inc., Class A (a) 368,391 --------------- 1,455,471 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.7% 4,144 Crocs, Inc. (a) 290,163 1,570 Deckers Outdoor Corp. (a) 458,408 6,175 Hanesbrands, Inc. 94,416 3,768 NIKE, Inc., Class B 503,367 --------------- 1,346,354 --------------- THRIFTS & MORTGAGE FINANCE -- 0.5% 6,676 Columbia Financial, Inc. (a) 102,944 6,371 Flagstar Bancorp, Inc. 272,997 8,369 Mr. Cooper Group, Inc. (a) 227,888 4,586 NMI Holdings, Inc., Class A (a) 97,269 6,860 PennyMac Financial Services, Inc. 397,880 --------------- 1,098,978 --------------- Page 74 See Notes to Financial Statements <PAGE> FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) TOBACCO -- 0.1% 2,146 Philip Morris International, Inc. $ 170,929 8,917 Vector Group Ltd. 104,685 --------------- 275,614 --------------- TRADING COMPANIES & DISTRIBUTORS -- 0.5% 7,474 Fastenal Co. 340,740 2,838 SiteOne Landscape Supply, Inc. (a) 447,496 1,192 Watsco, Inc. 284,280 --------------- 1,072,516 --------------- WATER UTILITIES -- 0.4% 1,158 American Water Works Co., Inc. 184,145 1,923 California Water Service Group 105,073 7,718 Essential Utilities, Inc. 357,343 703 Middlesex Water Co. 55,959 1,498 SJW Group 99,123 --------------- 801,643 --------------- TOTAL COMMON STOCKS -- 100.0% 207,658,965 (Cost $153,859,027) --------------- MONEY MARKET FUNDS -- 1.2% 2,332,567 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.03% (c) (d) 2,332,567 186,231 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (c) 186,231 --------------- TOTAL MONEY MARKET FUNDS -- 1.2% 2,518,798 (Cost $2,518,798) --------------- TOTAL INVESTMENTS -- 101.2% 210,177,763 (Cost $156,377,825) (e) NET OTHER ASSETS AND LIABILITIES -- (1.2)% (2,461,936) --------------- NET ASSETS -- 100.0% $ 207,715,827 =============== (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 $2,259,979 and the total value of the collateral held by the Fund is $2,332,567. (c) Rate shown reflects yield as of January 31, 2021. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $55,323,803 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $1,523,865. The net unrealized appreciation was $53,799,938. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2021 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* $ 207,658,965 $ -- $ -- Money Market Funds 2,518,798 -- -- --------------------------------------------- Total Investments $ 210,177,763 $ -- $ -- ============================================= * See Portfolio of Investments for industry breakout. --------------------------------- OFFSETTING ASSETS AND LIABILITIES --------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT --------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 2,259,979 Non-cash Collateral(2) (2,259,979) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At January 31, 2021, 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 75 <PAGE> FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 1.9% 2,053 Curtiss-Wright Corp. $ 213,081 3,289 Hexcel Corp. 143,598 2,792 Howmet Aerospace, Inc. 68,627 1,868 Huntington Ingalls Industries, Inc. 293,892 4,378 Parsons Corp. (a) 156,120 3,298 Textron, Inc. 149,267 --------------- 1,024,585 --------------- AUTO COMPONENTS -- 1.5% 6,187 BorgWarner, Inc. 259,792 1,835 Dorman Products, Inc. (a) 166,673 4,700 Gentex Corp. 155,335 1,229 LCI Industries 159,008 503 Lear Corp. 75,832 --------------- 816,640 --------------- BANKS -- 10.2% 7,647 Bank OZK 284,163 4,655 BOK Financial Corp. 343,818 4,282 Comerica, Inc. 244,930 1,211 Commerce Bancshares, Inc. 80,955 2,557 Community Bank System, Inc. 165,821 2,739 Cullen/Frost Bankers, Inc. 252,645 4,714 East West Bancorp, Inc. 282,557 417 First Citizens BancShares, Inc., Class A 248,528 24,985 First Horizon Corp. 347,042 12,274 Home BancShares, Inc. 260,209 18,931 Huntington Bancshares, Inc. 250,362 24,657 People's United Financial, Inc. 336,815 3,714 Pinnacle Financial Partners, Inc. 254,520 5,662 Popular, Inc. 321,319 4,595 Prosperity Bancshares, Inc. 309,887 1,177 Signature Bank 194,429 1,104 South State Corp. 76,993 7,385 Synovus Financial Corp. 274,722 7,380 United Bankshares, Inc. 233,651 32,698 Valley National Bancorp 333,847 2,661 Western Alliance Bancorp 181,427 5,502 Zions Bancorp N.A. 242,858 --------------- 5,521,498 --------------- BEVERAGES -- 0.8% 8,819 Molson Coors Beverage Co., Class B 442,361 --------------- BIOTECHNOLOGY -- 0.6% 2,100 United Therapeutics Corp. (a) 344,022 --------------- BUILDING PRODUCTS -- 1.0% 1,452 A.O. Smith Corp. 78,844 3,905 Builders FirstSource, Inc. (a) 149,366 5,738 UFP Industries, Inc. 309,508 --------------- 537,718 --------------- CAPITAL MARKETS -- 3.8% 1,566 Affiliated Managers Group, Inc. 172,558 2,570 Cboe Global Markets, Inc. 235,746 13,795 Federated Hermes, Inc. 372,465 SHARES DESCRIPTION VALUE --------------------------------------------------------------- CAPITAL MARKETS (CONTINUED) 22,863 Invesco Ltd. $ 470,749 1,885 Lazard Ltd., Class A 77,662 1,668 Raymond James Financial, Inc. 166,683 4,739 Stifel Financial Corp. 245,575 12,665 Virtu Financial, Inc., Class A 351,707 --------------- 2,093,145 --------------- CHEMICALS -- 1.6% 6,177 CF Industries Holdings, Inc. 255,604 8,992 Element Solutions, Inc. 153,134 3,172 Huntsman Corp. 83,804 399 NewMarket Corp. 156,484 2,932 Westlake Chemical Corp. 224,181 --------------- 873,207 --------------- COMMERCIAL SERVICES & SUPPLIES -- 0.9% 2,096 Clean Harbors, Inc. (a) 162,356 689 Tetra Tech, Inc. 83,762 1,131 UniFirst Corp. 240,677 --------------- 486,795 --------------- COMMUNICATIONS EQUIPMENT -- 0.6% 14,162 Juniper Networks, Inc. 345,836 --------------- CONSTRUCTION & ENGINEERING -- 1.4% 871 EMCOR Group, Inc. 76,909 4,677 MasTec, Inc. (a) 360,831 2,214 Quanta Services, Inc. 156,021 909 Valmont Industries, Inc. 175,364 --------------- 769,125 --------------- CONSTRUCTION MATERIALS -- 0.3% 1,571 Eagle Materials, Inc. 172,857 --------------- CONSUMER FINANCE -- 1.8% 8,940 Ally Financial, Inc. 338,289 1,430 Green Dot Corp., Class A (a) 71,829 6,621 OneMain Holdings, Inc. 308,274 10,859 Santander Consumer USA Holdings, Inc. 239,984 --------------- 958,376 --------------- CONTAINERS & PACKAGING -- 1.8% 580 AptarGroup, Inc. 77,122 9,411 Graphic Packaging Holding Co. 147,376 1,158 Packaging Corp. of America 155,705 6,449 Silgan Holdings, Inc. 234,937 4,033 Sonoco Products Co. 233,551 3,662 WestRock Co. 151,717 --------------- 1,000,408 --------------- DISTRIBUTORS -- 0.6% 9,044 LKQ Corp. (a) 317,354 --------------- DIVERSIFIED CONSUMER SERVICES -- 1.2% 2,570 Grand Canyon Education, Inc. (a) 218,296 15,073 H&R Block, Inc. 259,708 Page 76 See Notes to Financial Statements <PAGE> FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) DIVERSIFIED CONSUMER SERVICES (CONTINUED) 3,245 Service Corp. International $ 163,645 --------------- 641,649 --------------- DIVERSIFIED FINANCIAL SERVICES -- 2.0% 9,001 Cannae Holdings, Inc. (a) 341,948 12,457 Equitable Holdings, Inc. 308,684 16,199 Jefferies Financial Group, Inc. 378,247 1,354 Voya Financial, Inc. 75,093 --------------- 1,103,972 --------------- ELECTRIC UTILITIES -- 3.8% 6,431 ALLETE, Inc. 404,124 9,007 Hawaiian Electric Industries, Inc. 297,771 2,490 IDACORP, Inc. 219,867 10,614 NRG Energy, Inc. 439,526 4,984 Pinnacle West Capital Corp. 375,046 7,452 Portland General Electric Co. 315,145 --------------- 2,051,479 --------------- ELECTRICAL EQUIPMENT -- 1.2% 2,634 Acuity Brands, Inc. 316,712 960 EnerSys 78,941 1,947 Regal Beloit Corp. 244,309 --------------- 639,962 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.2% 3,275 Arrow Electronics, Inc. (a) 319,738 4,538 Avnet, Inc. 160,237 1,820 FLIR Systems, Inc. 94,731 5,620 Jabil, Inc. 232,499 4,893 SYNNEX Corp. 399,367 --------------- 1,206,572 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 5.5% 1,863 American Campus Communities, Inc. 76,681 14,444 Brixmor Property Group, Inc. 244,537 14,608 Equity Commonwealth 416,474 9,955 Hudson Pacific Properties, Inc. 233,345 2,549 JBG SMITH Properties 76,113 26,549 Kimco Realty Corp. 438,324 3,896 National Retail Properties, Inc. 151,944 1,593 PotlatchDeltic Corp. 76,082 2,711 Rayonier, Inc. 83,363 1,747 Regency Centers Corp. 82,424 18,355 Sabra Health Care REIT, Inc. 308,180 6,619 SL Green Realty Corp. 446,650 1,983 Spirit Realty Capital, Inc. 76,465 8,435 VEREIT, Inc. 297,165 --------------- 3,007,747 --------------- FOOD & STAPLES RETAILING -- 0.5% 1,340 Casey's General Stores, Inc. 251,223 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- FOOD PRODUCTS -- 2.6% 3,643 Bunge Ltd. $ 238,398 3,520 Flowers Foods, Inc. 80,819 5,066 Ingredion, Inc. 382,331 16,258 Pilgrim's Pride Corp. (a) 315,080 130 Seaboard Corp. 409,007 --------------- 1,425,635 --------------- GAS UTILITIES -- 3.0% 8,968 New Jersey Resources Corp. 313,970 4,151 ONE Gas, Inc. 303,563 6,561 Southwest Gas Holdings, Inc. 393,397 3,731 Spire, Inc. 228,300 11,399 UGI Corp. 410,250 --------------- 1,649,480 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 0.1% 370 ICU Medical, Inc. (a) 75,658 --------------- HEALTH CARE PROVIDERS & SERVICES -- 1.4% 3,173 Acadia Healthcare Co., Inc. (a) 160,808 963 Encompass Health Corp. 77,425 2,382 Henry Schein, Inc. (a) 156,855 2,900 Universal Health Services, Inc., Class B 361,572 --------------- 756,660 --------------- HOTELS, RESTAURANTS & LEISURE -- 0.8% 1,207 Cracker Barrel Old Country Store, Inc. 163,319 10,116 MGM Resorts International 288,913 --------------- 452,232 --------------- HOUSEHOLD DURABLES -- 4.9% 11,887 KB Home 494,975 3,599 Leggett & Platt, Inc. 147,559 8,198 M.D.C. Holdings, Inc. 426,460 4,810 Meritage Homes Corp. (a) 386,051 2,826 Mohawk Industries, Inc. (a) 405,814 12,427 Taylor Morrison Home Corp. (a) 322,853 9,164 Toll Brothers, Inc. 468,280 --------------- 2,651,992 --------------- HOUSEHOLD PRODUCTS -- 0.3% 5,307 Reynolds Consumer Products, Inc. 159,210 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.7% 20,267 Vistra Corp. 404,732 --------------- INDUSTRIAL CONGLOMERATES -- 0.3% 1,021 Carlisle Cos., Inc. 147,974 --------------- INSURANCE -- 9.2% 130 Alleghany Corp. 73,690 2,729 American Financial Group, Inc. 256,908 1,170 Assurant, Inc. 158,500 7,388 Athene Holding Ltd., Class A (a) 302,095 1,583 Axis Capital Holdings Ltd. 72,660 See Notes to Financial Statements Page 77 <PAGE> FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 2,199 Brighthouse Financial, Inc. (a) $ 77,757 1,946 Enstar Group Ltd. (a) 389,609 1,360 Everest Re Group Ltd. 287,069 8,156 Fidelity National Financial, Inc. 296,063 7,717 First American Financial Corp. 403,522 3,358 Globe Life, Inc. 303,530 2,044 Hanover Insurance Group (The), Inc. 229,889 5,187 Kemper Corp. 364,905 4,750 Lincoln National Corp. 216,077 12,129 Old Republic International Corp. 219,535 1,192 Primerica, Inc. 166,058 2,064 Reinsurance Group of America, Inc. 216,823 2,378 Selective Insurance Group, Inc. 154,522 17,371 Unum Group 403,528 397 White Mountains Insurance Group Ltd. 404,940 --------------- 4,997,680 --------------- INTERNET & DIRECT MARKETING RETAIL -- 0.8% 36,323 Qurate Retail, Inc., Series A 457,670 --------------- IT SERVICES -- 1.2% 1,281 CACI International, Inc., Class A (a) 309,003 3,267 MAXIMUS, Inc. 245,221 842 Science Applications International Corp. 80,857 --------------- 635,081 --------------- LEISURE PRODUCTS -- 0.6% 1,968 Acushnet Holdings Corp. 80,334 3,138 Brunswick Corp. 271,311 --------------- 351,645 --------------- MACHINERY -- 3.5% 774 AGCO Corp. 85,837 5,545 Allison Transmission Holdings, Inc. 225,681 2,082 Colfax Corp. (a) 77,284 2,162 Flowserve Corp. 76,881 1,032 ITT, Inc. 77,101 698 John Bean Technologies Corp. 80,884 686 Lincoln Electric Holdings, Inc. 78,547 1,235 Middleby (The) Corp. (a) 167,614 2,780 Oshkosh Corp. 254,620 1,862 Snap-on, Inc. 335,141 4,119 Timken (The) Co. 311,644 1,313 Woodward, Inc. 146,990 --------------- 1,918,224 --------------- MEDIA -- 3.2% 13,241 Discovery, Inc., Class A (a) 548,442 12,324 DISH Network Corp., Class A (a) 357,643 6,778 Interpublic Group of (The) Cos., Inc. 163,147 SHARES DESCRIPTION VALUE --------------------------------------------------------------- MEDIA (CONTINUED) 13,303 News Corp., Class A $ 258,078 3,651 Nexstar Media Group, Inc., Class A 415,009 --------------- 1,742,319 --------------- METALS & MINING -- 1.3% 2,664 Reliance Steel & Aluminum Co. 309,237 10,807 Steel Dynamics, Inc. 370,356 --------------- 679,593 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 0.7% 5,790 Blackstone Mortgage Trust, Inc., Class A 154,361 12,389 Starwood Property Trust, Inc. 232,418 --------------- 386,779 --------------- MULTILINE RETAIL -- 0.5% 5,877 Kohl's Corp. 258,941 --------------- MULTI-UTILITIES -- 2.0% 5,188 Black Hills Corp. 306,715 15,128 MDU Resources Group, Inc. 397,715 3,475 NiSource, Inc. 76,971 5,466 NorthWestern Corp. 297,733 --------------- 1,079,134 --------------- OIL, GAS & CONSUMABLE FUELS -- 1.0% 6,271 EQT Corp. 102,280 3,084 HollyFrontier Corp. 87,770 47,795 Marathon Oil Corp. 346,036 --------------- 536,086 --------------- PAPER & FOREST PRODUCTS -- 0.4% 6,431 Louisiana-Pacific Corp. 244,442 --------------- PERSONAL PRODUCTS -- 0.7% 56,766 Coty, Inc., Class A 361,599 --------------- PHARMACEUTICALS -- 0.6% 965 Jazz Pharmaceuticals PLC (a) 150,057 3,565 Perrigo Co. PLC 152,226 --------------- 302,283 --------------- PROFESSIONAL SERVICES -- 1.2% 1,910 ASGN, Inc. (a) 158,358 1,956 Insperity, Inc. 153,526 2,551 Robert Half International, Inc. 172,193 1,978 TriNet Group, Inc. (a) 146,590 --------------- 630,667 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.7% 1,011 Howard Hughes (The) Corp. (a) 87,118 2,151 Jones Lang LaSalle, Inc. (a) 314,498 --------------- 401,616 --------------- ROAD & RAIL -- 2.2% 700 AMERCO 323,708 9,531 Knight-Swift Transportation Holdings, Inc. 381,240 593 Landstar System, Inc. 82,664 Page 78 See Notes to Financial Statements <PAGE> FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) ROAD & RAIL (CONTINUED) 10,162 Werner Enterprises, Inc. $ 398,757 --------------- 1,186,369 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.4% 26,427 Amkor Technology, Inc. 410,147 1,174 Brooks Automation, Inc. 88,942 1,613 First Solar, Inc. (a) 159,929 2,434 ON Semiconductor Corp. (a) 83,949 --------------- 742,967 --------------- SPECIALTY RETAIL -- 3.6% 4,567 AutoNation, Inc. (a) 325,536 7,088 Dick's Sporting Goods, Inc. 474,967 9,852 Foot Locker, Inc. 431,714 272 Lithia Motors, Inc., Class A 86,681 2,435 Murphy USA, Inc. 303,328 5,368 Penske Automotive Group, Inc. 321,221 --------------- 1,943,447 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.7% 17,185 Xerox Holdings Corp. 361,401 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.0% 846 Carter's, Inc. 74,482 910 Columbia Sportswear Co. 79,588 2,218 Skechers U.S.A., Inc., Class A (a) 76,477 10,258 Tapestry, Inc. 324,358 --------------- 554,905 --------------- THRIFTS & MORTGAGE FINANCE -- 2.7% 9,222 Essent Group Ltd. 385,756 31,751 MGIC Investment Corp. 372,122 30,217 New York Community Bancorp, Inc. 316,070 19,679 Radian Group, Inc. 377,837 --------------- 1,451,785 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.3% 8,971 Air Lease Corp. 355,521 2,831 MSC Industrial Direct Co., Inc., Class A 219,600 8,383 Univar Solutions, Inc. (a) 155,840 --------------- 730,961 --------------- TOTAL INVESTMENTS -- 99.8% 54,285,698 (Cost $49,762,943) (b) NET OTHER ASSETS AND LIABILITIES -- 0.2% 106,086 --------------- NET ASSETS -- 100.0% $ 54,391,784 =============== (a) Non-income producing security. (b) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $5,233,033 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $710,278. The net unrealized appreciation was $4,522,755. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2021 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* $ 54,285,698 $ -- $ -- ============================================= * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 79 <PAGE> FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 1.1% 22,848 Axon Enterprise, Inc. (a) $ 3,750,728 11,611 BWX Technologies, Inc. 626,065 15,894 Mercury Systems, Inc. (a) 1,129,427 --------------- 5,506,220 --------------- AIRLINES -- 0.2% 44,379 American Airlines Group, Inc. 761,987 --------------- AUTO COMPONENTS -- 0.6% 26,483 Fox Factory Holding Corp. (a) 3,168,426 --------------- AUTOMOBILES -- 0.2% 7,526 Thor Industries, Inc. 910,721 --------------- BANKS -- 0.7% 38,694 First Financial Bankshares, Inc. 1,465,729 45,634 Glacier Bancorp, Inc. 2,128,826 --------------- 3,594,555 --------------- BEVERAGES -- 1.7% 3,519 Boston Beer (The) Co., Inc., Class A (a) 3,226,536 32,974 National Beverage Corp. (b) 4,996,880 --------------- 8,223,416 --------------- BIOTECHNOLOGY -- 10.0% 26,183 ACADIA Pharmaceuticals, Inc. (a) 1,258,093 21,881 Acceleron Pharma, Inc. (a) 2,527,912 16,152 Agios Pharmaceuticals, Inc. (a) 758,659 70,161 Alkermes PLC (a) 1,472,679 151,550 Amicus Therapeutics, Inc. (a) 2,865,811 18,243 Arrowhead Pharmaceuticals, Inc. (a) 1,407,812 24,961 Blueprint Medicines Corp. (a) 2,414,977 22,605 ChemoCentryx, Inc. (a) 1,288,711 18,284 CRISPR Therapeutics AG (a) 3,029,659 23,433 Emergent BioSolutions, Inc. (a) 2,503,816 38,483 Fate Therapeutics, Inc. (a) 3,487,714 65,546 Halozyme Therapeutics, Inc. (a) 3,119,334 42,047 Insmed, Inc. (a) 1,580,547 16,739 Invitae Corp. (a) 828,915 12,378 Ionis Pharmaceuticals, Inc. (a) 743,547 15,933 Mirati Therapeutics, Inc. (a) 3,271,523 28,129 Natera, Inc. (a) 2,999,677 18,829 Novavax, Inc. (a) 4,160,079 708,723 OPKO Health, Inc. (a) (b) 3,834,191 34,403 PTC Therapeutics, Inc. (a) 1,989,182 25,280 Ultragenyx Pharmaceutical, Inc. (a) 3,503,555 --------------- 49,046,393 --------------- BUILDING PRODUCTS -- 1.9% 21,008 AAON, Inc. 1,554,592 41,869 Advanced Drainage Systems, Inc. 3,453,355 6,014 Allegion PLC 643,558 14,978 Simpson Manufacturing Co., Inc. 1,377,976 25,078 Trex Co., Inc. (a) 2,301,408 --------------- 9,330,889 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- CAPITAL MARKETS -- 2.1% 22,261 Carlyle Group (The), Inc. $ 718,362 18,839 Cohen & Steers, Inc. 1,233,955 20,821 Houlihan Lokey, Inc. 1,350,242 26,862 LPL Financial Holdings, Inc. 2,910,229 15,112 Morningstar, Inc. 3,474,098 12,179 SEI Investments Co. 643,660 --------------- 10,330,546 --------------- CHEMICALS -- 3.2% 23,722 Albemarle Corp. 3,858,621 12,148 Balchem Corp. 1,300,200 13,810 Quaker Chemical Corp. 3,620,015 17,572 Scotts Miracle-Gro (The) Co. 3,890,617 90,735 Valvoline, Inc. 2,154,049 12,767 W.R. Grace & Co. 740,741 --------------- 15,564,243 --------------- COMMERCIAL SERVICES & SUPPLIES -- 1.1% 22,595 Casella Waste Systems, Inc., Class A (a) 1,293,338 7,976 Cimpress PLC (a) 728,927 32,310 IAA, Inc. (a) 1,846,193 9,370 MSA Safety, Inc. 1,462,844 --------------- 5,331,302 --------------- COMMUNICATIONS EQUIPMENT -- 1.6% 26,485 Ciena Corp. (a) 1,414,034 15,910 F5 Networks, Inc. (a) 3,117,565 22,148 Lumentum Holdings, Inc. (a) 2,077,482 93,471 Viavi Solutions, Inc. (a) 1,444,127 --------------- 8,053,208 --------------- CONSTRUCTION & ENGINEERING -- 0.6% 120,823 WillScot Mobile Mini Holdings Corp. (a) 2,864,713 --------------- CONSUMER FINANCE -- 0.2% 2,022 Credit Acceptance Corp. (a) (b) 780,027 --------------- CONTAINERS & PACKAGING -- 1.8% 13,536 Avery Dennison Corp. 2,042,176 49,821 Berry Global Group, Inc. (a) 2,459,663 27,939 Crown Holdings, Inc. (a) 2,518,701 45,851 Sealed Air Corp. 1,938,122 --------------- 8,958,662 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.5% 41,814 frontdoor, Inc. (a) 2,301,443 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.0% 9,108 Bandwidth, Inc., Class A (a) 1,622,499 71,186 Iridium Communications, Inc. (a) 3,507,334 --------------- 5,129,833 --------------- ELECTRICAL EQUIPMENT -- 1.2% 12,308 Generac Holdings, Inc. (a) 3,032,937 8,928 Hubbell, Inc. 1,389,197 Page 80 See Notes to Financial Statements <PAGE> FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRICAL EQUIPMENT (CONTINUED) 20,175 Sunrun, Inc. (a) $ 1,397,522 --------------- 5,819,656 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.3% 21,616 Dolby Laboratories, Inc., Class A 1,902,856 46,068 II-VI, Inc. (a) 3,872,937 15,929 National Instruments Corp. 659,461 --------------- 6,435,254 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 1.3% 18,748 Americold Realty Trust 654,493 132,549 Apartment Investment and Management Co., Class A 608,400 20,891 Cousins Properties, Inc. 658,902 20,824 CubeSmart 725,508 23,741 Iron Mountain, Inc. 799,359 8,409 Lamar Advertising Co., Class A 679,279 8,794 Life Storage, Inc. 717,374 14,251 Rexford Industrial Realty, Inc. 697,444 20,597 STORE Capital Corp. 638,919 --------------- 6,179,678 --------------- FOOD & STAPLES RETAILING -- 1.0% 56,320 BJ's Wholesale Club Holdings, Inc. (a) 2,369,382 35,663 Grocery Outlet Holding Corp. (a) 1,522,454 34,820 Sprouts Farmers Market, Inc. (a) 788,673 --------------- 4,680,509 --------------- FOOD PRODUCTS -- 2.4% 5,599 Beyond Meat, Inc. (a) 997,070 60,666 Darling Ingredients, Inc. (a) 3,761,899 19,716 Freshpet, Inc. (a) 2,746,636 52,294 Hain Celestial Group (The), Inc. (a) 2,174,646 8,889 Lamb Weston Holdings, Inc. 664,008 7,619 Lancaster Colony Corp. 1,330,125 --------------- 11,674,384 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.8% 21,461 Globus Medical, Inc., Class A (a) 1,323,929 11,787 Haemonetics Corp. (a) 1,347,136 7,145 Hill-Rom Holdings, Inc. 686,206 8,850 iRhythm Technologies, Inc. (a) 1,490,517 8,086 Nevro Corp. (a) 1,308,234 20,221 Novocure Ltd. (a) 3,254,772 35,336 STAAR Surgical Co. (a) 3,624,767 7,315 Tandem Diabetes Care, Inc. (a) 677,735 --------------- 13,713,296 --------------- HEALTH CARE PROVIDERS & SERVICES -- 3.0% 9,543 Amedisys, Inc. (a) 2,741,799 2,628 Chemed Corp. 1,361,041 16,291 Guardant Health, Inc. (a) 2,533,251 SHARES DESCRIPTION VALUE --------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 30,119 HealthEquity, Inc. (a) $ 2,516,443 6,563 LHC Group, Inc. (a) 1,307,481 87,638 Tenet Healthcare Corp. (a) 4,142,648 --------------- 14,602,663 --------------- HEALTH CARE TECHNOLOGY -- 1.5% 18,604 Inspire Medical Systems, Inc. (a) 3,748,892 29,154 Omnicell, Inc. (a) 3,434,341 --------------- 7,183,233 --------------- HOTELS, RESTAURANTS & LEISURE -- 1.9% 6,558 Choice Hotels International, Inc. 659,997 7,186 Churchill Downs, Inc. 1,347,016 16,497 Papa John's International, Inc. 1,687,313 32,412 Penn National Gaming, Inc. (a) 3,361,773 9,016 Planet Fitness, Inc., Class A (a) 649,152 31,929 Wendy's (The) Co. 651,351 5,281 Wingstop, Inc. 792,414 --------------- 9,149,016 --------------- HOUSEHOLD DURABLES -- 2.2% 9,450 Helen of Troy Ltd. (a) 2,308,162 19,836 LGI Homes, Inc. (a) 2,116,700 129,604 Tempur Sealy International, Inc. (a) 3,421,546 15,209 TopBuild Corp. (a) 3,041,039 --------------- 10,887,447 --------------- HOUSEHOLD PRODUCTS -- 0.6% 16,592 Energizer Holdings, Inc. 727,394 7,903 WD-40 Co. 2,405,752 --------------- 3,133,146 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.4% 65,757 Clearway Energy, Inc., Class C 2,037,152 --------------- INSURANCE -- 1.4% 8,548 Erie Indemnity Co., Class A 2,078,019 10,492 Kinsale Capital Group, Inc. 1,967,879 4,220 RenaissanceRe Holdings Ltd. 634,857 20,159 RLI Corp. 1,950,988 --------------- 6,631,743 --------------- INTERACTIVE MEDIA & SERVICES -- 0.3% 44,112 Cargurus, Inc. (a) 1,290,276 --------------- INTERNET & DIRECT MARKETING RETAIL -- 2.3% 38,928 Chewy, Inc., Class A (a) 3,963,649 72,949 Overstock.com, Inc. (a) 5,660,843 7,136 Stamps.com, Inc. (a) 1,629,220 --------------- 11,253,712 --------------- IT SERVICES -- 1.0% 16,020 Fastly, Inc., Class A (a) 1,751,787 33,842 Genpact Ltd. 1,295,472 58,129 Perspecta, Inc. 1,682,834 --------------- 4,730,093 --------------- See Notes to Financial Statements Page 81 <PAGE> FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) LEISURE PRODUCTS -- 1.4% 200,535 Mattel, Inc. (a) $ 3,633,694 51,108 YETI Holdings, Inc. (a) 3,363,929 --------------- 6,997,623 --------------- LIFE SCIENCES TOOLS & SERVICES -- 4.6% 14,828 10X Genomics, Inc., Class A (a) 2,537,812 35,509 Adaptive Biotechnologies Corp. (a) 1,969,684 38,786 Bruker Corp. 2,245,322 11,205 Charles River Laboratories International, Inc. (a) 2,902,655 20,112 Medpace Holdings, Inc. (a) 2,670,673 51,996 NeoGenomics, Inc. (a) 2,756,828 16,737 PRA Health Sciences, Inc. (a) 2,062,668 14,607 Repligen Corp. (a) 2,921,400 30,818 Syneos Health, Inc. (a) 2,291,318 --------------- 22,358,360 --------------- MACHINERY -- 1.9% 12,525 Donaldson Co., Inc. 744,486 19,346 Graco, Inc. 1,333,713 9,124 Proto Labs, Inc. (a) 1,932,463 7,817 RBC Bearings, Inc. (a) 1,308,018 53,167 Rexnord Corp. 2,012,903 22,139 Toro (The) Co. 2,086,601 --------------- 9,418,184 --------------- MEDIA -- 0.4% 40,557 New York Times (The) Co., Class A 2,011,222 --------------- METALS & MINING -- 0.6% 540,018 Hecla Mining Co. 3,072,702 --------------- MULTILINE RETAIL -- 0.2% 8,558 Ollie's Bargain Outlet Holdings, Inc. (a) 810,699 --------------- OIL, GAS & CONSUMABLE FUELS -- 1.2% 453,867 Antero Midstream Corp. 3,676,323 49,322 Apache Corp. 704,318 28,920 Diamondback Energy, Inc. 1,639,475 --------------- 6,020,116 --------------- PERSONAL PRODUCTS -- 0.3% 29,130 Herbalife Nutrition Ltd. (a) 1,484,465 --------------- PROFESSIONAL SERVICES -- 0.7% 27,155 CoreLogic, Inc. 2,044,500 7,774 Exponent, Inc. 641,977 6,266 FTI Consulting, Inc. (a) 689,072 --------------- 3,375,549 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.7% 50,988 Redfin Corp. (a) 3,630,855 --------------- ROAD & RAIL -- 1.1% 42,736 Lyft, Inc., Class A (a) 1,900,043 19,354 Saia, Inc. (a) 3,420,819 --------------- 5,320,862 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 7.6% 36,088 Advanced Energy Industries, Inc. (a) $ 3,701,907 25,542 Cirrus Logic, Inc. (a) 2,393,030 4,626 CMC Materials, Inc. 681,456 26,436 Cree, Inc. (a) 2,672,151 29,782 Diodes, Inc. (a) 2,107,970 19,941 Enphase Energy, Inc. (a) 3,636,241 36,414 Entegris, Inc. 3,582,773 61,096 Lattice Semiconductor Corp. (a) 2,450,561 63,579 MACOM Technology Solutions Holdings, Inc. (a) 3,615,102 18,607 MKS Instruments, Inc. 2,941,208 34,196 Power Integrations, Inc. 2,754,488 29,124 Semtech Corp. (a) 2,066,348 29,041 Synaptics, Inc. (a) 2,881,448 6,091 Universal Display Corp. 1,405,925 --------------- 36,890,608 --------------- SOFTWARE -- 19.6% 69,969 2U, Inc. (a) 2,861,732 72,846 ACI Worldwide, Inc. (a) 2,796,558 33,827 Alarm.com Holdings, Inc. (a) 3,143,205 5,747 Alteryx, Inc., Class A (a) 724,409 29,222 Anaplan, Inc. (a) 1,949,107 25,636 Bill.com Holdings, Inc. (a) 3,124,516 26,235 Blackline, Inc. (a) 3,400,581 38,773 Box, Inc., Class A (a) 672,324 27,007 CDK Global, Inc. 1,347,649 150,940 Cloudera, Inc. (a) 2,304,854 46,050 Cloudflare, Inc., Class A (a) 3,530,193 63,079 Dropbox, Inc., Class A (a) 1,427,478 23,946 Elastic N.V. (a) 3,638,834 17,009 Envestnet, Inc. (a) 1,305,101 14,085 Everbridge, Inc. (a) 1,872,319 151,749 FireEye, Inc. (a) 3,186,729 20,064 Five9, Inc. (a) 3,335,640 5,437 Guidewire Software, Inc. (a) 623,841 35,821 J2 Global, Inc. (a) 3,676,668 44,984 LivePerson, Inc. (a) 2,850,186 6,653 Manhattan Associates, Inc. (a) 753,319 42,136 Medallia, Inc. (a) 1,748,644 36,940 Mimecast Ltd. (a) 1,590,636 10,701 New Relic, Inc. (a) 804,501 63,494 Nuance Communications, Inc. (a) 2,891,517 65,878 Nutanix, Inc., Class A (a) 2,010,597 13,595 Paylocity Holding Corp. (a) 2,548,519 15,755 Pegasystems, Inc. 2,007,975 15,392 Proofpoint, Inc. (a) 1,986,799 29,256 PTC, Inc. (a) 3,888,415 22,126 Q2 Holdings, Inc. (a) 2,831,907 11,486 Qualys, Inc. (a) 1,590,466 38,813 Rapid7, Inc. (a) 3,369,745 65,725 Sailpoint Technologies Holdings, Inc. (a) 3,635,250 40,403 Smartsheet, Inc., Class A (a) 2,817,705 25,780 SPS Commerce, Inc. (a) 2,549,384 54,782 SVMK, Inc. (a) 1,381,054 66,960 Tenable Holdings, Inc. (a) 3,313,850 Page 82 See Notes to Financial Statements <PAGE> FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 17,111 Varonis Systems, Inc. (a) $ 3,024,712 41,669 Verint Systems, Inc. (a) 3,076,422 --------------- 95,593,341 --------------- SPECIALTY RETAIL -- 2.6% 15,998 Five Below, Inc. (a) 2,811,328 37,688 Floor & Decor Holdings, Inc., Class A (a) 3,469,934 6,255 RH (a) 2,973,377 27,489 Williams-Sonoma, Inc. 3,543,882 --------------- 12,798,521 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.2% 42,260 NetApp, Inc. 2,807,755 123,816 Pure Storage, Inc., Class A (a) 2,863,864 --------------- 5,671,619 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.9% 12,203 Deckers Outdoor Corp. (a) 3,563,032 48,000 Hanesbrands, Inc. 733,920 --------------- 4,296,952 --------------- THRIFTS & MORTGAGE FINANCE -- 0.6% 53,325 PennyMac Financial Services, Inc. 3,092,850 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.2% 22,059 SiteOne Landscape Supply, Inc. (a) 3,478,263 9,267 Watsco, Inc. 2,210,087 --------------- 5,688,350 --------------- TOTAL COMMON STOCKS -- 99.9% 487,790,720 (Cost $384,258,841) --------------- MONEY MARKET FUNDS -- 1.8% 8,680,412 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.03% (c) (d) 8,680,412 (Cost $8,680,412) --------------- TOTAL INVESTMENTS -- 101.7% 496,471,132 (Cost $392,939,253) (e) NET OTHER ASSETS AND LIABILITIES -- (1.7)% (8,335,115) --------------- NET ASSETS -- 100.0% $ 488,136,017 =============== (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 $8,378,358 and the total value of the collateral held by the Fund is $8,680,412. (c) Rate shown reflects yield as of January 31, 2021. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $108,128,443 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $4,596,564. The net unrealized appreciation was $103,531,879. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2021 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* $ 487,790,720 $ -- $ -- Money Market Funds 8,680,412 -- -- --------------------------------------------- Total Investments $ 496,471,132 $ -- $ -- ============================================= * 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) $ 8,378,358 Non-cash Collateral(2) (8,378,358) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At January 31, 2021, 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 <PAGE> FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.9% AIR FREIGHT & LOGISTICS -- 0.6% 2,455 Forward Air Corp. $ 175,999 13,495 Hub Group, Inc., Class A (a) 710,242 --------------- 886,241 --------------- AIRLINES -- 0.7% 23,857 SkyWest, Inc. 930,184 7,717 Spirit Airlines, Inc. (a) 200,179 --------------- 1,130,363 --------------- AUTO COMPONENTS -- 1.4% 23,749 Cooper Tire & Rubber Co. 872,776 19,709 Dana, Inc. 381,566 2,892 Gentherm, Inc. (a) 177,164 19,016 Standard Motor Products, Inc. 745,998 --------------- 2,177,504 --------------- BANKS -- 20.3% 19,091 1st Source Corp. 751,231 20,212 Ameris Bancorp 790,491 56,406 Associated Banc-Corp. 1,011,924 17,189 Atlantic Union Bankshares Corp. 564,487 3,218 BancFirst Corp. 185,453 28,037 BancorpSouth Bank 775,223 2,462 Bank of Hawaii Corp. 192,504 16,278 BankUnited, Inc. 564,033 12,154 Banner Corp. 537,571 23,903 Cathay General Bancorp 808,399 10,717 Columbia Banking System, Inc. 412,819 29,033 CVB Financial Corp. 564,111 18,632 Eagle Bancorp, Inc. 791,674 101,237 F.N.B. Corp. 998,197 5,431 FB Financial Corp. 202,902 41,728 First BanCorp 379,725 35,704 First Busey Corp. 738,002 54,863 First Financial Bancorp 1,005,090 24,007 First Hawaiian, Inc. 558,163 13,888 First Interstate BancSystem, Inc., Class A 536,910 15,133 First Merchants Corp. 570,060 48,328 First Midwest Bancorp, Inc. 798,862 60,487 Fulton Financial Corp. 810,526 5,547 Hancock Whitney Corp. 189,374 23,825 Heartland Financial USA, Inc. 1,016,374 34,963 Hilltop Holdings, Inc. 1,050,288 70,521 Hope Bancorp, Inc. 788,425 9,057 Independent Bank Group, Inc. 556,281 20,548 International Bancshares Corp. 776,920 53,616 Investors Bancorp, Inc. 617,120 17,638 NBT Bancorp, Inc. 582,230 30,390 OceanFirst Financial Corp. 551,882 46,460 Old National Bancorp 780,063 6,026 Pacific Premier Bancorp, Inc. 200,364 3,664 Park National Corp. 395,749 11,424 Renasant Corp. 404,410 7,600 S&T Bancorp, Inc. 193,040 11,951 Sandy Spring Bancorp, Inc. 397,132 13,060 Seacoast Banking Corp. of Florida (a) 397,677 SHARES DESCRIPTION VALUE --------------------------------------------------------------- BANKS (CONTINUED) 44,548 Simmons First National Corp., Class A $ 1,100,336 18,243 Southside Bancshares, Inc. 572,283 42,791 Sterling Bancorp 789,922 3,172 Texas Capital Bancshares, Inc. (a) 191,018 5,451 Tompkins Financial Corp. 364,508 32,768 TowneBank 760,218 16,049 TriCo Bancshares 598,628 28,171 Trustmark Corp. 773,857 5,573 UMB Financial Corp. 395,516 13,528 United Community Banks, Inc. 403,540 9,129 Webster Financial Corp. 426,781 18,894 WesBanco, Inc. 547,926 12,595 Wintrust Financial Corp. 758,093 --------------- 31,128,312 --------------- BEVERAGES -- 0.3% 1,444 Coca-Cola Consolidated, Inc. 385,346 --------------- BUILDING PRODUCTS -- 0.6% 8,199 American Woodmark Corp. (a) 709,295 7,439 JELD-WEN Holding, Inc. (a) 193,340 --------------- 902,635 --------------- CAPITAL MARKETS -- 0.6% 96,178 BGC Partners, Inc., Class A 341,432 3,511 Evercore, Inc., Class A 383,050 1,871 Piper Sandler Cos. 170,878 --------------- 895,360 --------------- CHEMICALS -- 2.3% 4,685 Avient Corp. 180,045 10,915 H.B. Fuller Co. 555,464 5,082 Ingevity Corp. (a) 333,837 2,081 Innospec, Inc. 182,691 12,386 Minerals Technologies, Inc. 763,349 53,954 PQ Group Holdings, Inc. 743,486 2,561 Sensient Technologies Corp. 180,627 4,746 Stepan Co. 534,779 --------------- 3,474,278 --------------- COMMERCIAL SERVICES & SUPPLIES -- 3.4% 12,479 BrightView Holdings, Inc. (a) 176,952 146,831 CoreCivic, Inc. 1,043,968 14,375 Covanta Holding Corp. 203,406 19,387 Deluxe Corp. 657,026 10,498 Harsco Corp. (a) 174,582 13,690 Healthcare Services Group, Inc . 443,830 16,429 HNI Corp. 530,000 20,671 KAR Auction Services, Inc. 381,587 11,465 McGrath RentCorp 800,142 56,785 Steelcase, Inc., Class A 734,230 --------------- 5,145,723 --------------- COMMUNICATIONS EQUIPMENT -- 1.8% 45,385 EchoStar Corp., Class A (a) 950,362 4,641 NETGEAR, Inc. (a) 192,091 20,650 NetScout Systems, Inc. (a) 603,703 Page 84 See Notes to Financial Statements <PAGE> FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMUNICATIONS EQUIPMENT (CONTINUED) 23,564 Viasat, Inc. (a) $ 1,025,976 --------------- 2,772,132 --------------- CONSTRUCTION & ENGINEERING -- 0.8% 14,009 Arcosa, Inc. 781,562 5,096 Dycom Industries, Inc. (a) 413,490 --------------- 1,195,052 --------------- CONSTRUCTION MATERIALS -- 0.6% 47,895 Summit Materials, Inc., Class A (a) 983,284 --------------- CONSUMER FINANCE -- 2.2% 24,693 Encore Capital Group, Inc. (a) 733,382 5,491 FirstCash, Inc. 323,310 97,937 Navient Corp. 1,102,281 7,945 Nelnet, Inc., Class A 546,537 45,697 SLM Corp. 634,274 --------------- 3,339,784 --------------- CONTAINERS & PACKAGING -- 0.5% 16,413 Greif, Inc., Class A 741,211 --------------- DISTRIBUTORS -- 0.4% 19,278 Core-Mark Holding Co., Inc. 591,256 --------------- DIVERSIFIED CONSUMER SERVICES -- 2.7% 28,326 Adtalem Global Education, Inc. (a) 1,093,101 1,803 Graham Holdings Co., Class B 1,024,302 76,151 Perdoceo Education Corp. (a) 900,866 45,301 Stride, Inc. (a) 1,166,501 --------------- 4,184,770 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.7% 18,425 ATN International, Inc. 795,592 34,690 Liberty Latin America Ltd., Class C (a) 343,084 --------------- 1,138,676 --------------- ELECTRIC UTILITIES -- 0.5% 18,059 Otter Tail Corp. 716,762 --------------- ELECTRICAL EQUIPMENT -- 1.1% 18,716 Atkore International Group, Inc. (a) 830,242 3,976 AZZ, Inc. 189,218 12,700 Encore Wire Corp. 733,425 --------------- 1,752,885 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 3.2% 6,435 ePlus, Inc. (a) 540,797 7,438 Insight Enterprises, Inc. (a) 566,032 10,239 Knowles Corp. (a) 197,510 25,125 Methode Electronics, Inc. 948,469 4,125 OSI Systems, Inc. (a) 371,333 12,049 PC Connection, Inc. 591,485 SHARES DESCRIPTION VALUE --------------------------------------------------------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS (CONTINUED) 30,159 Sanmina Corp. (a) $ 937,945 13,681 TTM Technologies, Inc. (a) 183,462 27,339 Vishay Intertechnology, Inc. 589,156 --------------- 4,926,189 --------------- ENERGY EQUIPMENT & SERVICES -- 0.8% 65,377 Archrock, Inc. 579,894 7,241 Cactus, Inc., Class A 189,714 6,368 Dril-Quip, Inc. (a) 191,804 8,148 Helmerich & Payne, Inc. 197,834 --------------- 1,159,246 --------------- ENTERTAINMENT -- 0.2% 3,663 Madison Square Garden Entertainment Corp. (a) 325,091 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 8.5% 54,221 Acadia Realty Trust 786,205 10,987 Alexander & Baldwin, Inc. 166,123 129,444 American Finance Trust, Inc. 942,352 14,618 Apple Hospitality REIT, Inc. 182,433 80,755 Brandywine Realty Trust 888,305 26,829 Columbia Property Trust, Inc. 364,874 22,877 DiamondRock Hospitality Co. (a) 187,591 137,422 Diversified Healthcare Trust 552,436 60,749 Empire State Realty Trust, Inc., Class A 598,985 5,809 EPR Properties 230,269 108,552 GEO Group (The), Inc. (b) 970,455 37,847 Kite Realty Group Trust 603,281 90,138 Macerich (The) Co. (b) 1,415,167 15,144 Mack-Cali Realty Corp. 192,783 62,630 Paramount Group, Inc. 556,781 10,036 Pebblebrook Hotel Trust 184,462 28,731 Retail Opportunity Investments Corp. 404,820 66,143 Retail Properties of America, Inc., Class A 609,177 66,963 Service Properties Trust 710,477 76,029 SITE Centers Corp. 843,162 59,460 Urban Edge Properties 819,953 35,505 Weingarten Realty Investors 799,218 --------------- 13,009,309 --------------- FOOD & STAPLES RETAILING -- 0.8% 2,073 PriceSmart, Inc. 194,613 20,114 Weis Markets, Inc. 991,218 --------------- 1,185,831 --------------- FOOD PRODUCTS -- 1.5% 10,246 Cal-Maine Foods, Inc. (a) 392,832 31,966 Fresh Del Monte Produce, Inc. 782,208 38,672 Hostess Brands, Inc. (a) 593,615 1,429 Sanderson Farms, Inc. 194,615 9,056 TreeHouse Foods, Inc. (a) 382,435 --------------- 2,345,705 --------------- See Notes to Financial Statements Page 85 <PAGE> FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) GAS UTILITIES -- 0.2% 3,553 Chesapeake Utilities Corp. $ 360,381 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 0.3% 4,112 Avanos Medical, Inc. (a) 186,274 4,740 Integer Holdings Corp. (a) 349,812 --------------- 536,086 --------------- HEALTH CARE PROVIDERS & SERVICES -- 1.6% 2,762 AMN Healthcare Services, Inc. (a) 199,196 11,608 Magellan Health, Inc. (a) 1,090,920 1,362 ModivCare, Inc. (a) 215,972 8,202 National HealthCare Corp. 525,338 13,907 Select Medical Holdings Corp. (a) 357,410 --------------- 2,388,836 --------------- HEALTH CARE TECHNOLOGY -- 0.1% 13,072 Allscripts Healthcare Solutions, Inc. (a) 215,688 --------------- HOTELS, RESTAURANTS & LEISURE -- 0.1% 3,334 Brinker International, Inc. 196,306 --------------- HOUSEHOLD DURABLES -- 2.3% 21,968 Century Communities, Inc. (a) 1,031,178 9,656 La-Z-Boy, Inc. 373,880 21,717 M/I Homes, Inc. (a) 1,072,168 55,752 Tri Pointe Homes, Inc. (a) 1,126,191 --------------- 3,603,417 --------------- HOUSEHOLD PRODUCTS -- 0.1% 2,388 Spectrum Brands Holdings, Inc. 180,461 --------------- INSURANCE -- 5.7% 34,771 American Equity Investment Life Holding Co. 1,014,966 10,006 American National Group, Inc. 884,330 4,319 Argo Group International Holdings Ltd. 174,272 30,541 Assured Guaranty Ltd. 1,091,841 43,264 CNO Financial Group, Inc. 917,629 29,878 Employers Holdings, Inc. 911,279 10,784 FBL Financial Group, Inc., Class A 604,335 13,467 Horace Mann Educators Corp. 527,502 3,837 James River Group Holdings Ltd. 170,670 14,738 Mercury General Corp. 781,261 12,343 Safety Insurance Group, Inc. 906,470 15,910 Stewart Information Services Corp. 737,906 --------------- 8,722,461 --------------- IT SERVICES -- 0.9% 5,191 Alliance Data Systems Corp. 351,171 4,325 ManTech International Corp., Class A 387,909 SHARES DESCRIPTION VALUE --------------------------------------------------------------- IT SERVICES (CONTINUED) 15,032 Sykes Enterprises, Inc. (a) $ 580,085 --------------- 1,319,165 --------------- MACHINERY -- 3.2% 2,791 Alamo Group, Inc. 389,596 5,241 Albany International Corp., Class A 364,354 7,587 Barnes Group, Inc. 364,707 1,600 Chart Industries, Inc. (a) 192,176 11,858 Gorman-Rupp (The) Co. 373,527 26,436 Greenbrier (The) Cos., Inc. 956,454 27,569 Meritor, Inc. (a) 711,556 16,126 Mueller Industries, Inc. 550,703 31,077 Mueller Water Products, Inc., Class A 372,613 3,460 SPX Corp. (a) 178,917 14,575 Trinity Industries, Inc. 405,331 --------------- 4,859,934 --------------- MARINE -- 0.5% 13,508 Matson, Inc. 807,778 --------------- MEDIA -- 2.4% 21,511 AMC Networks, Inc., Class A (a) (b) 1,063,074 37,027 E.W. Scripps (The) Co., Class A 548,370 53,762 Gray Television, Inc. (a) 916,642 68,946 TEGNA, Inc. 1,105,204 --------------- 3,633,290 --------------- METALS & MINING -- 1.7% 25,821 Arconic Corp. (a) 650,689 2,961 Materion Corp. 201,910 36,087 Warrior Met Coal, Inc. 830,723 18,732 Worthington Industries, Inc. 980,433 --------------- 2,663,755 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 1.6% 34,439 Apollo Commercial Real Estate Finance, Inc. 385,028 27,131 Arbor Realty Trust, Inc. 386,888 75,434 Broadmark Realty Capital, Inc. 776,216 37,531 Chimera Investment Corp. 379,063 57,890 Ladder Capital Corp. 569,059 --------------- 2,496,254 --------------- MULTI-UTILITIES -- 0.5% 19,167 Avista Corp. 718,379 --------------- OIL, GAS & CONSUMABLE FUELS -- 2.5% 12,667 CVR Energy, Inc. 216,606 11,743 Delek US Holdings, Inc. 220,299 31,796 Murphy Oil Corp. 393,316 37,480 PDC Energy, Inc. (a) 813,691 13,582 Renewable Energy Group, Inc. (a) 1,216,947 30,867 World Fuel Services Corp. 944,221 --------------- 3,805,080 --------------- Page 86 See Notes to Financial Statements <PAGE> FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) PAPER & FOREST PRODUCTS -- 0.9% 17,886 Domtar Corp. $ 536,044 23,917 Schweitzer-Mauduit International, Inc. 888,277 --------------- 1,424,321 --------------- PERSONAL PRODUCTS -- 1.0% 22,250 Edgewell Personal Care Co. 743,150 3,118 Inter Parfums, Inc. 193,877 10,364 Nu Skin Enterprises, Inc., Class A 599,765 --------------- 1,536,792 --------------- PHARMACEUTICALS -- 0.7% 27,581 Prestige Consumer Healthcare, Inc. (a) 1,103,240 --------------- PROFESSIONAL SERVICES -- 0.7% 21,273 CBIZ, Inc. (a) 551,183 7,619 ICF International, Inc. 587,654 --------------- 1,138,837 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 1.1% 38,130 Forestar Group, Inc. (a) 819,414 31,650 Kennedy-Wilson Holdings, Inc. 544,064 10,336 Marcus & Millichap, Inc. (a) 369,305 --------------- 1,732,783 --------------- ROAD & RAIL -- 2.1% 53,136 Heartland Express, Inc. 997,363 44,654 Marten Transport Ltd. 707,766 9,165 Ryder System, Inc. 573,637 46,460 Schneider National, Inc., Class B 975,660 --------------- 3,254,426 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 0.6% 13,208 Axcelis Technologies, Inc. (a) 452,242 12,353 Ultra Clean Holdings, Inc. (a) 476,826 --------------- 929,068 --------------- SOFTWARE -- 0.6% 6,340 InterDigital, Inc. 407,091 17,122 Teradata Corp. (a) 460,582 --------------- 867,673 --------------- SPECIALTY RETAIL -- 2.8% 3,885 Asbury Automotive Group, Inc. (a) 554,040 10,628 Bed Bath & Beyond, Inc. (b) 375,487 19,387 Buckle (The), Inc. 762,297 7,335 Group 1 Automotive, Inc. 1,009,442 3,540 Monro, Inc. 206,984 6,438 ODP (The) Corp. 274,838 43,417 Sally Beauty Holdings, Inc. (a) 655,597 15,030 Urban Outfitters, Inc. (a) 412,273 --------------- 4,250,958 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.9% 20,476 NCR Corp. (a) $ 683,079 24,305 Super Micro Computer, Inc. (a) 753,455 --------------- 1,436,534 --------------- THRIFTS & MORTGAGE FINANCE -- 2.5% 15,088 Axos Financial, Inc. (a) 587,678 15,099 Capitol Federal Financial, Inc. 187,530 30,194 Northwest Bancshares, Inc. 384,973 31,524 Provident Financial Services, Inc. 583,824 8,360 Walker & Dunlop, Inc. 688,195 37,364 Washington Federal, Inc. 978,190 8,572 WSFS Financial Corp. 368,339 --------------- 3,778,729 --------------- TOBACCO -- 0.6% 19,787 Universal Corp. 907,630 --------------- TRADING COMPANIES & DISTRIBUTORS -- 3.9% 4,929 Applied Industrial Technologies, Inc. 346,952 4,694 Beacon Roofing Supply, Inc. (a) 186,681 20,118 Boise Cascade Co. 958,220 11,564 GATX Corp. 1,073,139 18,575 GMS, Inc. (a) 538,489 8,523 Herc Holdings, Inc. (a) 545,302 18,576 Rush Enterprises, Inc., Class A 780,006 5,258 Systemax, Inc. 202,065 19,824 Triton International Ltd. 918,644 4,900 WESCO International, Inc. (a) 372,939 --------------- 5,922,437 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 1.3% 51,789 Telephone and Data Systems, Inc. 971,044 31,336 United States Cellular Corp. (a) 977,056 --------------- 1,948,100 --------------- TOTAL COMMON STOCKS -- 99.9% 153,231,744 (Cost $138,774,469) --------------- MONEY MARKET FUNDS -- 1.9% 2,877,834 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.03% (c) (d) 2,877,834 (Cost $2,877,834) --------------- TOTAL INVESTMENTS -- 101.8% 156,109,578 (Cost $141,652,303) (e) NET OTHER ASSETS AND LIABILITIES -- (1.8)% (2,742,901) --------------- NET ASSETS -- 100.0% $ 153,366,677 =============== See Notes to Financial Statements Page 87 <PAGE> FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) (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 $2,589,604 and the total value of the collateral held by the Fund is $2,877,834. (c) Rate shown reflects yield as of January 31, 2021. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $16,175,218 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $1,717,943. The net unrealized appreciation was $14,457,275. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2021 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* $ 153,231,744 $ -- $ -- Money Market Funds 2,877,834 -- -- --------------------------------------------- Total Investments $ 156,109,578 $ -- $ -- ============================================= * See Portfolio of Investments for industry breakout. --------------------------------- OFFSETTING ASSETS AND LIABILITIES --------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT --------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 2,589,604 Non-cash Collateral(2) (2,589,604) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At January 31, 2021, 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 <PAGE> FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 1.4% 13,548 AeroVironment, Inc. (a) $ 1,554,904 42,925 Kratos Defense & Security Solutions, Inc. (a) 1,139,229 51,833 Maxar Technologies, Inc. 2,170,248 --------------- 4,864,381 --------------- AIR FREIGHT & LOGISTICS -- 0.8% 51,060 Air Transport Services Group, Inc. (a) 1,297,435 29,338 Atlas Air Worldwide Holdings, Inc. (a) 1,520,295 --------------- 2,817,730 --------------- AUTO COMPONENTS -- 0.8% 95,935 American Axle & Manufacturing Holdings, Inc. (a) 845,187 17,230 Patrick Industries, Inc. 1,189,904 19,843 Workhorse Group, Inc. (a) (b) 681,012 --------------- 2,716,103 --------------- AUTOMOBILES -- 0.4% 19,648 Winnebago Industries, Inc. 1,356,891 --------------- BANKS -- 1.8% 5,644 City Holding Co. 389,718 10,954 Independent Bank Corp. 822,426 7,329 Lakeland Financial Corp. 430,212 24,423 National Bank Holdings Corp., Class A 812,553 9,742 ServisFirst Bancshares, Inc. 400,202 9,696 Stock Yards Bancorp, Inc. 438,259 77,774 Umpqua Holdings Corp. 1,128,501 62,358 Veritex Holdings, Inc. 1,593,871 --------------- 6,015,742 --------------- BIOTECHNOLOGY -- 7.9% 61,639 Arcus Biosciences, Inc. (a) 2,140,723 27,608 CareDx, Inc. (a) 2,110,079 46,035 Coherus Biosciences, Inc. (a) 865,458 18,887 Cytokinetics, Inc. (a) 371,507 19,102 Denali Therapeutics, Inc. (a) 1,308,487 17,817 Dicerna Pharmaceuticals, Inc. (a) 400,348 28,529 Editas Medicine, Inc. (a) 1,750,254 18,547 Heron Therapeutics, Inc. (a) 321,976 36,767 Intellia Therapeutics, Inc. (a) 2,302,350 34,457 Ironwood Pharmaceuticals, Inc. (a) 352,151 17,169 MacroGenics, Inc. (a) 350,934 30,068 Mersana Therapeutics, Inc. (a) 573,096 120,046 NantKwest, Inc. (a) (b) 2,265,868 35,278 REGENXBIO, Inc. (a) 1,458,040 128,176 Sangamo Therapeutics, Inc. (a) 1,750,884 30,763 TG Therapeutics, Inc. (a) 1,484,930 86,823 Translate Bio, Inc. (a) 2,073,333 43,203 Travere Therapeutics, Inc. (a) 1,090,876 14,155 Twist Bioscience Corp. (a) 2,329,064 24,057 Veracyte, Inc. (a) 1,364,032 --------------- 26,664,390 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- BUILDING PRODUCTS -- 1.7% 14,301 CSW Industrials, Inc. $ 1,666,352 22,240 Gibraltar Industries, Inc. (a) 1,993,371 19,260 Griffon Corp. 432,580 78,672 PGT Innovations, Inc. (a) 1,629,297 --------------- 5,721,600 --------------- CAPITAL MARKETS -- 3.7% 31,788 Artisan Partners Asset Management, Inc., Class A 1,538,539 16,222 Assetmark Financial Holdings, Inc. (a) 373,431 103,744 Brightsphere Investment Group, Inc. 1,901,628 36,786 Focus Financial Partners, Inc., Class A (a) 1,750,278 5,030 Hamilton Lane, Inc., Class A 379,111 25,182 Moelis & Co., Class A 1,251,797 26,578 PJT Partners, Inc., Class A 1,833,616 27,639 StoneX Group, Inc. (a) 1,479,239 9,215 Virtus Investment Partners, Inc. 1,935,150 --------------- 12,442,789 --------------- CHEMICALS -- 0.8% 190,686 Amyris, Inc. (a) (b) 1,792,448 33,829 GCP Applied Technologies, Inc. (a) 838,621 --------------- 2,631,069 --------------- COMMERCIAL SERVICES & SUPPLIES -- 0.9% 15,147 Brady Corp., Class A 695,399 22,223 Brink's (The) Co. 1,514,053 22,021 US Ecology, Inc. (a) 726,693 --------------- 2,936,145 --------------- COMMUNICATIONS EQUIPMENT -- 2.9% 67,209 Calix, Inc. (a) 2,029,712 149,268 CommScope Holding Co., Inc. (a) 2,192,747 190,859 Infinera Corp. (a) 1,879,961 103,436 Inseego Corp. (a) (b) 1,899,085 59,200 Plantronics, Inc. 1,877,824 --------------- 9,879,329 --------------- CONSTRUCTION & ENGINEERING -- 1.0% 38,287 Ameresco, Inc., Class A (a) 2,147,518 22,360 Comfort Systems USA, Inc. 1,239,415 --------------- 3,386,933 --------------- CONSTRUCTION MATERIALS -- 0.6% 116,327 Forterra, Inc. (a) 2,128,784 --------------- CONSUMER FINANCE -- 0.1% 9,896 PRA Group, Inc. (a) 326,271 --------------- CONTAINERS & PACKAGING -- 0.3% 67,234 O-I Glass, Inc. 849,838 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.1% 16,083 WW International, Inc. (a) 427,165 --------------- See Notes to Financial Statements Page 89 <PAGE> FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRICAL EQUIPMENT -- 2.9% 55,832 Bloom Energy Corp., Class A (a) $ 1,949,095 110,460 GrafTech International Ltd. 1,071,462 58,987 Plug Power, Inc. (a) 3,726,209 37,898 TPI Composites, Inc. (a) 2,270,469 8,676 Vicor Corp. (a) 750,821 --------------- 9,768,056 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.3% 12,518 Badger Meter, Inc. 1,148,025 11,326 FARO Technologies, Inc. (a) 799,276 49,010 nLight, Inc. (a) 1,552,637 10,227 Plexus Corp. (a) 786,661 --------------- 4,286,599 --------------- ENERGY EQUIPMENT & SERVICES -- 1.0% 76,961 ChampionX Corp. (a) 1,176,734 692,713 Transocean Ltd. (a) (b) 2,327,515 --------------- 3,504,249 --------------- ENTERTAINMENT -- 0.5% 88,798 Glu Mobile, Inc. (a) 782,310 16,651 World Wrestling Entertainment, Inc., Class A 937,951 --------------- 1,720,261 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 3.0% 13,594 American Assets Trust, Inc. 375,602 36,070 CareTrust REIT, Inc. 810,132 8,335 Community Healthcare Trust, Inc. 372,741 18,511 Essential Properties Realty Trust, Inc. 385,399 13,187 Four Corners Property Trust, Inc. 347,609 22,900 Global Net Lease, Inc. 368,919 29,225 Independence Realty Trust, Inc. 388,108 34,351 Industrial Logistics Properties Trust 728,585 10,921 Innovative Industrial Properties, Inc. 2,043,537 26,432 iStar, Inc. 401,238 46,193 Monmouth Real Estate Investment Corp. 800,525 10,894 National Storage Affiliates Trust 398,067 9,278 NexPoint Residential Trust, Inc. 366,203 24,183 Piedmont Office Realty Trust, Inc., Class A 371,935 16,244 Safehold, Inc. 1,195,233 68,207 Uniti Group, Inc. 839,628 --------------- 10,193,461 --------------- FOOD & STAPLES RETAILING -- 1.4% 101,086 Rite Aid Corp. (a) 2,657,551 73,732 United Natural Foods, Inc. (a) 1,996,663 --------------- 4,654,214 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- FOOD PRODUCTS -- 0.5% 42,461 B&G Foods, Inc. (b) $ 1,616,915 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 5.0% 14,369 AtriCure, Inc. (a) 836,707 23,590 Axonics Modulation Technologies, Inc. (a) 1,219,603 8,971 Cardiovascular Systems, Inc. (a) 403,605 56,720 Cerus Corp. (a) 373,785 26,836 CryoPort, Inc. (a) 1,830,215 80,646 GenMark Diagnostics, Inc. (a) 1,113,721 15,646 Glaukos Corp. (a) 1,387,644 10,988 Heska Corp. (a) 1,838,952 63,000 Meridian Bioscience, Inc. (a) 1,392,300 21,211 Merit Medical Systems, Inc. (a) 1,148,575 2,794 Mesa Laboratories, Inc. 774,329 19,284 Shockwave Medical, Inc. (a) 2,237,715 12,705 Silk Road Medical, Inc. (a) 692,804 32,871 SmileDirectClub, Inc. (a) 436,527 29,787 Vapotherm, Inc. (a) 1,029,141 --------------- 16,715,623 --------------- HEALTH CARE PROVIDERS & SERVICES -- 6.2% 13,663 Addus HomeCare Corp. (a) 1,537,771 11,108 CorVel Corp. (a) 1,097,693 55,677 Covetrus, Inc. (a) 1,896,915 27,432 Ensign Group (The), Inc. 2,147,377 47,984 MEDNAX, Inc. (a) 1,308,524 102,312 Option Care Health, Inc. (a) 1,890,726 73,945 Owens & Minor, Inc. 2,150,321 54,005 Patterson Cos., Inc. 1,710,878 30,621 PetIQ, Inc. (a) 1,061,324 47,187 Progyny, Inc. (a) 2,206,936 83,270 R1 RCM, Inc. (a) 2,100,902 40,883 RadNet, Inc. (a) 732,214 9,792 US Physical Therapy, Inc. 1,178,369 --------------- 21,019,950 --------------- HEALTH CARE TECHNOLOGY -- 3.0% 124,779 Evolent Health, Inc., Class A (a) 2,129,978 27,050 Health Catalyst, Inc. (a) 1,343,844 87,728 NextGen Healthcare, Inc. (a) 1,735,260 29,490 Phreesia, Inc. (a) 1,925,402 11,123 Simulations Plus, Inc. 880,274 48,162 Vocera Communications, Inc. (a) 2,116,720 --------------- 10,131,478 --------------- HOTELS, RESTAURANTS & LEISURE -- 1.9% 12,691 Jack in the Box, Inc. 1,194,731 38,567 Scientific Games Corp. (a) 1,512,598 13,892 Shake Shack, Inc., Class A (a) 1,575,630 23,464 Six Flags Entertainment Corp. 802,469 26,248 Wyndham Destinations, Inc. 1,161,211 --------------- 6,246,639 --------------- Page 90 See Notes to Financial Statements <PAGE> FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) HOUSEHOLD DURABLES -- 1.8% 2,236 Cavco Industries, Inc. (a) $ 421,844 11,548 Installed Building Products, Inc. (a) 1,211,732 9,967 iRobot Corp. (a) 1,197,037 25,858 Skyline Champion Corp. (a) 869,604 85,515 Sonos, Inc. (a) 2,236,217 --------------- 5,936,434 --------------- HOUSEHOLD PRODUCTS -- 0.4% 32,410 Central Garden & Pet Co., Class A (a) 1,263,990 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.6% 44,321 Sunnova Energy International, Inc. (a) 1,943,476 --------------- INSURANCE -- 1.4% 5,558 eHealth, Inc. (a) 265,950 16,034 Goosehead Insurance, Inc., Class A 2,142,142 4,420 Palomar Holdings, Inc. (a) 440,188 16,709 Trupanion, Inc. (a) 1,874,750 --------------- 4,723,030 --------------- INTERACTIVE MEDIA & SERVICES -- 0.5% 89,237 ANGI Homeservices, Inc., Class A (a) 1,247,533 10,508 EverQuote, Inc., Class A (a) 473,491 --------------- 1,721,024 --------------- INTERNET & DIRECT MARKETING RETAIL -- 2.5% 61,544 1-800-Flowers.com, Inc., Class A (a) 1,891,247 81,894 RealReal (The), Inc. (a) 1,939,250 22,317 Shutterstock, Inc. 1,450,382 34,064 Stitch Fix, Inc., Class A (a) 3,251,068 --------------- 8,531,947 --------------- IT SERVICES -- 2.7% 8,706 CSG Systems International, Inc. 375,142 20,347 EVERTEC, Inc. 706,041 13,831 ExlService Holdings, Inc. (a) 1,060,561 45,585 NIC, Inc. 1,227,148 16,788 Perficient, Inc. (a) 916,793 43,210 Repay Holdings Corp. (a) 957,101 97,961 Sabre Corp. 1,056,020 27,429 TTEC Holdings, Inc. 2,073,084 59,618 Verra Mobility Corp. (a) 763,110 --------------- 9,135,000 --------------- LEISURE PRODUCTS -- 2.2% 49,043 Callaway Golf Co. 1,367,809 18,859 Malibu Boats, Inc., Class A (a) 1,322,205 90,150 Smith & Wesson Brands, Inc. 1,492,884 12,297 Sturm Ruger & Co., Inc. 779,138 84,181 Vista Outdoor, Inc. (a) 2,455,560 --------------- 7,417,596 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- LIFE SCIENCES TOOLS & SERVICES -- 1.3% 16,975 Luminex Corp. $ 476,828 23,926 NanoString Technologies, Inc. (a) 1,675,538 34,413 Quanterix Corp. (a) 2,227,897 --------------- 4,380,263 --------------- MACHINERY -- 3.5% 28,869 Altra Industrial Motion Corp. 1,484,155 13,824 Astec Industries, Inc. 822,113 9,178 Douglas Dynamics, Inc. 374,463 7,753 ESCO Technologies, Inc. 737,155 43,644 Evoqua Water Technologies Corp. (a) 1,189,299 24,121 Federal Signal Corp. 788,516 11,560 Franklin Electric Co., Inc. 802,495 22,097 Helios Technologies, Inc. 1,205,391 8,354 Kadant, Inc. 1,194,204 12,453 Lindsay Corp. 1,741,303 5,590 Tennant Co. 378,723 9,676 Watts Water Technologies, Inc., Class A 1,161,797 --------------- 11,879,614 --------------- MEDIA -- 1.0% 11,208 Cardlytics, Inc. (a) 1,370,402 27,070 TechTarget, Inc. (a) 2,022,129 --------------- 3,392,531 --------------- METALS & MINING -- 0.9% 193,254 Coeur Mining, Inc. (a) 1,748,949 19,107 Commercial Metals Co. 376,217 12,960 Compass Minerals International, Inc. 755,049 --------------- 2,880,215 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 0.9% 52,333 Colony Credit Real Estate, Inc. 413,431 25,228 Hannon Armstrong Sustainable Infrastructure Capital, Inc. 1,492,236 21,903 KKR Real Estate Finance Trust, Inc. 374,980 106,366 New York Mortgage Trust, Inc. 396,745 44,704 Redwood Trust, Inc. 383,560 --------------- 3,060,952 --------------- MULTILINE RETAIL -- 0.5% 27,430 Big Lots, Inc. 1,637,022 --------------- OIL, GAS & CONSUMABLE FUELS -- 1.2% 21,328 Cimarex Energy Co. 899,615 89,814 Comstock Resources, Inc. (a) 408,654 55,592 Magnolia Oil & Gas Corp., Class A (a) 470,864 119,412 Range Resources Corp. (a) 1,099,784 268,484 Southwestern Energy Co. (a) 1,012,185 --------------- 3,891,102 --------------- See Notes to Financial Statements Page 91 <PAGE> FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) PERSONAL PRODUCTS -- 1.1% 63,526 elf Beauty, Inc. (a) $ 1,382,326 8,152 Medifast, Inc. 1,913,030 5,087 USANA Health Sciences, Inc. (a) 421,000 --------------- 3,716,356 --------------- PHARMACEUTICALS -- 2.9% 19,515 Amphastar Pharmaceuticals, Inc. (a) 354,783 18,844 Arvinas, Inc. (a) 1,421,591 76,461 Corcept Therapeutics, Inc. (a) 2,160,788 278,580 Endo International PLC (a) 2,028,062 31,680 Innoviva, Inc. (a) 380,477 38,867 NGM Biopharmaceuticals, Inc. (a) 997,327 6,559 Pacira BioSciences, Inc. (a) 433,419 28,234 Revance Therapeutics, Inc. (a) 718,273 31,800 Supernus Pharmaceuticals, Inc. (a) 934,602 22,089 Theravance Biopharma, Inc. (a) 411,739 --------------- 9,841,061 --------------- PROFESSIONAL SERVICES -- 0.7% 57,944 Upwork, Inc. (a) 2,401,779 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 2.3% 31,690 eXp World Holdings, Inc. (a) 3,377,837 152,453 Realogy Holdings Corp. (a) 2,164,833 47,121 St Joe (The) Co. 2,096,884 --------------- 7,639,554 --------------- ROAD & RAIL -- 0.5% 42,900 Avis Budget Group, Inc. (a) 1,773,486 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.7% 19,694 ACM Research, Inc., Class A (a) 1,772,460 17,430 Ambarella, Inc. (a) 1,644,695 25,876 CEVA, Inc. (a) 1,521,250 46,494 FormFactor, Inc. (a) 1,900,210 41,900 MaxLinear, Inc. (a) 1,315,241 24,761 Onto Innovation, Inc. (a) 1,338,332 18,171 PDF Solutions, Inc. (a) 351,063 45,824 Rambus, Inc. (a) 870,427 14,299 SiTime Corp. (a) 1,745,193 --------------- 12,458,871 --------------- SOFTWARE -- 8.8% 58,029 8x8, Inc. (a) 2,045,522 20,239 Altair Engineering, Inc., Class A (a) 1,131,967 6,542 Appfolio, Inc., Class A (a) 999,683 12,338 Appian Corp. (a) (b) 2,695,359 104,448 Avaya Holdings Corp. (a) 2,322,924 7,444 Bottomline Technologies DE, Inc. (a) 355,674 19,905 Cerence, Inc. (a) 2,227,569 21,268 CommVault Systems, Inc. (a) 1,335,205 18,167 Cornerstone OnDemand, Inc. (a) 743,030 SHARES DESCRIPTION VALUE --------------------------------------------------------------- SOFTWARE (CONTINUED) 35,362 Digital Turbine, Inc. (a) $ 2,023,060 31,368 Domo, Inc., Class B (a) 1,988,418 11,001 Model N, Inc. (a) 373,814 38,372 PagerDuty, Inc. (a) 1,869,868 17,702 Progress Software Corp. 711,266 15,758 PROS Holdings, Inc. (a) 664,042 35,238 Sprout Social, Inc., Class A (a) 2,325,708 25,657 Upland Software, Inc. (a) 1,223,582 21,830 Workiva, Inc. (a) 2,127,770 56,338 Xperi Holding Corp. 1,085,070 24,965 Yext, Inc. (a) 421,160 57,436 Zuora, Inc., Class A (a) 847,181 --------------- 29,517,872 --------------- SPECIALTY RETAIL -- 3.6% 129,379 At Home Group, Inc. (a) 3,152,966 30,711 Camping World Holdings, Inc., Class A 1,049,088 153,744 Michaels (The) Cos., Inc. (a) 2,383,032 25,998 National Vision Holdings, Inc. (a) 1,205,527 41,791 Rent-A-Center, Inc. 1,809,551 24,434 Sleep Number Corp. (a) 2,632,519 --------------- 12,232,683 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.7% 31,920 Crocs, Inc. (a) 2,235,038 --------------- THRIFTS & MORTGAGE FINANCE -- 1.6% 51,420 Columbia Financial, Inc. (a) 792,896 49,072 Flagstar Bancorp, Inc. 2,102,735 64,460 Mr. Cooper Group, Inc. (a) 1,755,246 35,324 NMI Holdings, Inc., Class A (a) 749,222 --------------- 5,400,099 --------------- TOBACCO -- 0.2% 68,678 Vector Group Ltd. 806,280 --------------- WATER UTILITIES -- 0.6% 14,811 California Water Service Group 809,273 5,419 Middlesex Water Co. 431,352 11,533 SJW Group 763,139 --------------- 2,003,764 --------------- TOTAL COMMON STOCKS -- 100.0% 336,843,644 (Cost $262,062,334) --------------- MONEY MARKET FUNDS -- 2.9% 9,913,408 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.03% (c) (d) 9,913,408 (Cost $9,913,408) --------------- TOTAL INVESTMENTS -- 102.9% 346,757,052 (Cost $271,975,742) (e) NET OTHER ASSETS AND LIABILITIES -- (2.9)% (9,854,896) --------------- NET ASSETS -- 100.0% $ 336,902,156 =============== Page 92 See Notes to Financial Statements <PAGE> FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2021 (UNAUDITED) (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The aggregate value of such securities is $9,737,580 and the total value of the collateral held by the Fund is $9,913,408. (c) Rate shown reflects yield as of January 31, 2021. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $77,637,341 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $2,856,031. The net unrealized appreciation was $74,781,310. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2021 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* $ 336,843,644 $ -- $ -- Money Market Funds 9,913,408 -- -- --------------------------------------------- Total Investments $ 346,757,052 $ -- $ -- ============================================= * 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) $ 9,737,580 Non-cash Collateral(2) (9,737,580) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value", is not offset and is shown on a gross basis. (2) At January 31, 2021, 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 <PAGE> FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF ASSETS AND LIABILITIES JANUARY 31, 2021 (UNAUDITED) <TABLE> <CAPTION> 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) ---------------- ---------------- ---------------- <S> <C> <C> <C> ASSETS: Investments, at value............................................... $ 1,009,444,512 $ 809,504,557 $ 758,185,062 Cash................................................................ -- -- -- Receivables: Capital shares sold........................................... -- -- 8,282,174 Investment securities sold.................................... -- -- -- Dividends..................................................... 781,217 240,438 242,167 Securities lending income..................................... 9,966 2,661 37,244 Prepaid expenses.................................................... 4,812 3,226 2,238 ---------------- ---------------- ---------------- Total Assets.................................................. 1,010,240,507 809,750,882 766,748,885 ---------------- ---------------- ---------------- LIABILITIES: Payables: Capital shares redeemed....................................... -- -- -- Investment securities purchased............................... -- -- 8,266,341 Collateral for securities on loan............................. 2,138,350 6,159,476 17,729,005 Investment advisory fees...................................... 446,949 340,033 303,719 Shareholder reporting fees.................................... 56,878 46,318 31,670 Licensing fees................................................ 34,823 24,917 20,507 Audit and tax fees............................................ 14,098 14,044 14,109 Trustees' fees................................................ 900 815 753 Other liabilities................................................... 182,411 885,894 108,837 ---------------- ---------------- ---------------- Total Liabilities............................................. 2,874,409 7,471,497 26,474,941 ---------------- ---------------- ---------------- NET ASSETS.......................................................... $ 1,007,366,098 $ 802,279,385 $ 740,273,944 ================ ================ ================ NET ASSETS CONSIST OF: Paid-in capital..................................................... $ 1,099,987,752 $ 852,471,332 $ 819,652,662 Par value........................................................... 136,500 94,500 91,500 Accumulated distributable earnings (loss)........................... (92,758,154) (50,286,447) (79,470,218) ---------------- ---------------- ---------------- NET ASSETS.......................................................... $ 1,007,366,098 $ 802,279,385 $ 740,273,944 ================ ================ ================ NET ASSET VALUE, per share.......................................... $ 73.80 $ 84.90 $ 80.90 ================ ================ ================ Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)........................... 13,650,002 9,450,002 9,150,002 ================ ================ ================ Investments, at cost................................................ $ 855,080,374 $ 664,420,749 $ 607,402,424 ================ ================ ================ Securities on loan, at value........................................ $ 2,045,393 $ 5,908,256 $ 16,508,369 ================ ================ ================ </TABLE> Page 94 See Notes to Financial Statements <PAGE> <TABLE> <CAPTION> 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) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- <S> <C> <C> <C> <C> <C> $ 777,380,570 $ 1,044,842,636 $ 71,601,264 $ 210,177,763 $ 54,285,698 $ 496,471,132 -- -- -- -- 196,252 606,517 -- -- -- -- -- 6,779,544 -- 4,814,780 -- -- -- -- 974,627 231,676 13,500 33,887 27,366 22,007 8,549 165 1,421 2,482 51 4,507 2,667 7,073 255 1,223 -- -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 778,366,413 1,049,896,330 71,616,440 210,215,355 54,509,367 503,883,707 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- -- 4,824,003 -- -- -- -- -- -- -- -- -- 6,772,954 1,974,538 2,335,850 372,254 2,332,567 -- 8,680,412 333,109 473,108 31,845 91,241 30,486 294,324 54,502 39,906 8,693 12,162 -- -- 26,299 37,611 2,848 7,638 -- -- 14,188 14,291 13,859 14,048 -- -- 861 804 706 714 -- -- 135,158 185,971 26,432 41,158 87,097 -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 2,538,655 7,911,544 456,637 2,499,528 117,583 15,747,690 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 775,827,758 $ 1,041,984,786 $ 71,159,803 $ 207,715,827 $ 54,391,784 $ 488,136,017 ================ ================ ================ ================ ================ ================ $ 996,787,467 $ 832,590,754 $ 102,163,467 $ 163,095,790 $ 77,553,212 $ 375,381,294 139,500 108,000 12,000 19,500 15,000 72,000 (221,099,209) 209,286,032 (31,015,664) 44,600,537 (23,176,428) 112,682,723 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 775,827,758 $ 1,041,984,786 $ 71,159,803 $ 207,715,827 $ 54,391,784 $ 488,136,017 ================ ================ ================ ================ ================ ================ $ 55.61 $ 96.48 $ 59.30 $ 106.52 $ 36.26 $ 67.80 ================ ================ ================ ================ ================ ================ 13,950,002 10,800,002 1,200,002 1,950,002 1,500,002 7,200,002 ================ ================ ================ ================ ================ ================ $ 704,381,358 $ 840,890,248 $ 63,132,497 $ 156,377,825 $ 49,762,943 $ 392,939,253 ================ ================ ================ ================ ================ ================ $ 1,890,794 $ 2,232,316 $ 338,069 $ 2,259,979 $ -- $ 8,378,358 ================ ================ ================ ================ ================ ================ </TABLE> See Notes to Financial Statements Page 95 <PAGE> FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED) JANUARY 31, 2021 (UNAUDITED) <TABLE> <CAPTION> FIRST TRUST FIRST TRUST SMALL CAP VALUE SMALL CAP GROWTH ALPHADEX(R) FUND ALPHADEX(R) FUND (FYT) (FYC) ---------------- ---------------- <S> <C> <C> ASSETS: Investments, at value............................................... $ 156,109,578 $ 346,757,052 Cash................................................................ 136,426 175,995 Receivables: Capital shares sold........................................... -- -- Investment securities sold.................................... -- -- Dividends..................................................... 78,874 56,264 Securities lending income..................................... 9,133 12,794 Prepaid expenses.................................................... -- -- ---------------- ---------------- Total Assets.................................................. 156,334,011 347,002,105 ---------------- ---------------- LIABILITIES: Payables: Capital shares redeemed....................................... -- -- Investment securities purchased............................... -- -- Collateral for securities on loan............................. 2,877,834 9,913,408 Investment advisory fees...................................... 89,500 186,541 Shareholder reporting fees.................................... -- -- Licensing fees................................................ -- -- Audit and tax fees............................................ -- -- Trustees' fees................................................ -- -- Other liabilities................................................... -- -- ---------------- ---------------- Total Liabilities............................................. 2,967,334 10,099,949 ---------------- ---------------- NET ASSETS.......................................................... $ 153,366,677 $ 336,902,156 ================ ================ NET ASSETS CONSIST OF: Paid-in capital..................................................... $ 168,188,546 $ 348,560,820 Par value........................................................... 36,000 50,500 Accumulated distributable earnings (loss)........................... (14,857,869) (11,709,164) ---------------- ---------------- NET ASSETS.......................................................... $ 153,366,677 $ 336,902,156 ================ ================ NET ASSET VALUE, per share.......................................... $ 42.60 $ 66.71 ================ ================ Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)........................... 3,600,002 5,050,002 ================ ================ Investments, at cost................................................ $ 141,652,303 $ 271,975,742 ================ ================ Securities on loan, at value........................................ $ 2,589,604 $ 9,737,580 ================ ================ </TABLE> Page 96 See Notes to Financial Statements <PAGE> FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED JANUARY 31, 2021 (UNAUDITED) <TABLE> <CAPTION> 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) ---------------- ---------------- ---------------- <S> <C> <C> <C> INVESTMENT INCOME: Dividends........................................................... $ 8,320,512 $ 5,573,429 $ 3,885,758 Securities lending income (net of fees)............................. 23,275 38,566 224,162 Foreign withholding tax............................................. (376) (4,595) (4,565) ---------------- ---------------- ---------------- Total investment income....................................... 8,343,411 5,607,400 4,105,355 ---------------- ---------------- ---------------- EXPENSES: Investment advisory fees............................................ 2,435,488 1,676,679 1,301,625 Accounting and administration fees.................................. 244,860 169,569 132,475 Licensing fees...................................................... 52,491 37,315 29,814 Shareholder reporting fees.......................................... 52,154 40,917 29,522 Custodian fees...................................................... 45,385 30,260 31,505 Transfer agent fees................................................. 24,288 16,816 13,052 Legal fees.......................................................... 12,693 7,930 5,216 Audit and tax fees.................................................. 11,184 11,184 11,184 Trustees' fees and expenses......................................... 3,740 3,590 3,502 Listing fees........................................................ 2,835 2,595 1,996 Other expenses...................................................... 13,227 8,798 6,532 ---------------- ---------------- ---------------- Total expenses................................................ 2,898,345 2,005,653 1,566,423 Less fees waived and expenses reimbursed by the investment advisor ................................................... -- -- -- ---------------- ---------------- ---------------- Net expenses.................................................. 2,898,345 2,005,653 1,566,423 ---------------- ---------------- ---------------- NET INVESTMENT INCOME (LOSS)........................................ 5,445,066 3,601,747 2,538,932 ---------------- ---------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments................................................... 12,504,099 9,341,854 17,556,914 In-kind redemptions........................................... 76,864,990 65,645,237 49,775,165 ---------------- ---------------- ---------------- Net realized gain (loss)............................................ 89,369,089 74,987,091 67,332,079 ---------------- ---------------- ---------------- Net change in unrealized appreciation (depreciation) on investments. 74,169,726 105,040,167 121,464,972 ---------------- ---------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS)............................. 163,538,815 180,027,258 188,797,051 ---------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................................................. $ 168,983,881 $ 183,629,005 $ 191,335,983 ================ ================ ================ </TABLE> See Notes to Financial Statements Page 97 <PAGE> FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF OPERATIONS (CONTINUED) FOR THE SIX MONTHS ENDED JANUARY 31, 2021 (UNAUDITED) <TABLE> <CAPTION> 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) ---------------- ---------------- ---------------- <S> <C> <C> <C> INVESTMENT INCOME: Dividends........................................................... $ 9,555,645 $ 3,079,977 $ 778,525 Securities lending income (net of fees)............................. 26,444 3,362 7,013 Foreign withholding tax............................................. -- -- (446) ---------------- ---------------- ---------------- Total investment income....................................... 9,582,089 3,083,339 785,092 ---------------- ---------------- ---------------- EXPENSES: Investment advisory fees............................................ 1,750,740 2,644,839 152,681 Accounting and administration fees.................................. 176,475 263,537 17,209 Licensing fees...................................................... 38,796 56,678 6,835 Shareholder reporting fees.......................................... 44,868 46,775 8,674 Custodian fees...................................................... 30,259 43,311 16,298 Transfer agent fees................................................. 17,559 25,884 1,531 Legal fees.......................................................... 8,862 12,324 719 Audit and tax fees.................................................. 11,184 11,184 11,184 Trustees' fees and expenses......................................... 3,610 3,750 3,349 Listing fees........................................................ 2,822 2,662 3,313 Other expenses...................................................... 10,772 10,519 1,949 ---------------- ---------------- ---------------- Total expenses................................................ 2,095,947 3,121,463 223,742 Less fees waived and expenses reimbursed by the investment advisor ................................................... -- -- (10,032) ---------------- ---------------- ---------------- Net expenses.................................................. 2,095,947 3,121,463 213,710 ---------------- ---------------- ---------------- NET INVESTMENT INCOME (LOSS)........................................ 7,486,142 (38,124) 571,382 ---------------- ---------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments................................................... 11,673,826 (1,766,664) 1,731,691 In-kind redemptions........................................... 5,256,705 199,482,607 1,154,867 ---------------- ---------------- ---------------- Net realized gain (loss)............................................ 16,930,531 197,715,943 2,886,558 ---------------- ---------------- ---------------- Net change in unrealized appreciation (depreciation) on investments. 107,310,154 (19,686,422) 11,537,866 ---------------- ---------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS)............................. 124,240,685 178,029,521 14,424,424 ---------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................................................. $ 131,726,827 $ 177,991,397 $ 14,995,806 ================ ================ ================ </TABLE> (a) Fund is subject to a Unitary Fee (see Note 3 in the Notes to Financial Statements). Page 98 See Notes to Financial Statements <PAGE> <TABLE> <CAPTION> FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST MULTI CAP MID CAP MID CAP SMALL CAP SMALL CAP GROWTH VALUE GROWTH VALUE GROWTH ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FAD) (FNK) (FNY) (FYT) (FYC) ---------------- ---------------- ---------------- ---------------- ---------------- <S> <C> <C> <C> <C> $ 612,326 $ 469,648 $ 1,437,769 $ 1,007,642 $ 687,017 27,938 3,282 42,645 30,333 107,184 -- (503) -- (1,131) -- ---------------- ---------------- ---------------- ---------------- ---------------- 640,264 472,427 1,480,414 1,036,844 794,201 ---------------- ---------------- ---------------- ---------------- ---------------- 477,968 133,520 (a) 1,463,513 (a) 315,555 (a) 701,907 (a) 49,889 -- -- -- -- 13,341 -- -- -- -- 13,278 -- -- -- -- 19,106 -- -- -- -- 4,792 -- -- -- -- 2,108 -- -- -- -- 11,184 -- -- -- -- 3,399 -- -- -- -- 3,335 -- -- -- -- 2,871 -- -- -- -- ---------------- ---------------- ---------------- ---------------- ---------------- 601,271 133,520 1,463,513 315,555 701,907 -- -- -- -- -- ---------------- ---------------- ---------------- ---------------- ---------------- 601,271 133,520 1,463,513 315,555 701,907 ---------------- ---------------- ---------------- ---------------- ---------------- 38,993 338,907 16,901 721,289 92,294 ---------------- ---------------- ---------------- ---------------- ---------------- (144,330) (702,771) 3,164,285 1,075,889 8,512,173 34,320,739 1,143,445 86,657,485 10,050,489 23,960,805 ---------------- ---------------- ---------------- ---------------- ---------------- 34,176,409 440,674 89,821,770 11,126,378 32,472,978 ---------------- ---------------- ---------------- ---------------- ---------------- 14,272,747 8,660,387 29,126,497 14,076,727 49,599,500 ---------------- ---------------- ---------------- ---------------- ---------------- 48,449,156 9,101,061 118,948,267 25,203,105 82,072,478 ---------------- ---------------- ---------------- ---------------- ---------------- $ 48,488,149 $ 9,439,968 $ 118,965,168 $ 25,924,394 $ 82,164,772 ================ ================ ================ ================ ================ </TABLE> See Notes to Financial Statements Page 99 <PAGE> FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF CHANGES IN NET ASSETS <TABLE> <CAPTION> FIRST TRUST FIRST TRUST LARGE CAP CORE MID CAP CORE ALPHADEX(R) FUND ALPHADEX(R) FUND (FEX) (FNX) ------------------------------- ------------------------------- Six Months Six Months Ended Ended 1/31/2021 Year Ended 1/31/2021 Year Ended (Unaudited) 7/31/2020 (Unaudited) 7/31/2020 -------------- -------------- -------------- -------------- <S> <C> <C> <C> <C> OPERATIONS: Net investment income (loss)................................ $ 5,445,066 $ 17,509,928 $ 3,601,747 $ 9,831,102 Net realized gain (loss).................................... 89,369,089 (10,784,655) 74,987,091 (71,357,094) Net change in unrealized appreciation (depreciation)........ 74,169,726 (46,535,745) 105,040,167 (23,184,194) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from operations.......................................... 168,983,881 (39,810,472) 183,629,005 (84,710,186) -------------- -------------- -------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations....................................... (6,264,541) (18,540,837) (5,220,321) (11,195,657) -------------- -------------- -------------- -------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold................................... 169,867,253 240,421,955 212,551,904 6,753,067 Cost of shares redeemed..................................... (250,200,321) (691,769,709) (178,593,656) (208,111,148) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from shareholder transactions............................ (80,333,068) (451,347,754) 33,958,248 (201,358,081) -------------- -------------- -------------- -------------- Total increase (decrease) in net assets..................... 82,386,272 (509,699,063) 212,366,932 (297,263,924) NET ASSETS: Beginning of period......................................... 924,979,826 1,434,678,889 589,912,453 887,176,377 -------------- -------------- -------------- -------------- End of period............................................... $1,007,366,098 $ 924,979,826 $ 802,279,385 $ 589,912,453 ============== ============== ============== ============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period..................... 14,850,002 23,100,002 9,100,002 12,700,002 Shares sold................................................. 2,250,000 3,700,000 2,900,000 100,000 Shares redeemed............................................. (3,450,000) (11,950,000) (2,550,000) (3,700,000) -------------- -------------- -------------- -------------- Shares outstanding, end of period........................... 13,650,002 14,850,002 9,450,002 9,100,002 ============== ============== ============== ============== </TABLE> Page 100 See Notes to Financial Statements <PAGE> <TABLE> <CAPTION> FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST SMALL CAP CORE LARGE CAP VALUE LARGE CAP GROWTH MULTI CAP VALUE ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FYX) (FTA) (FTC) (FAB) ------------------------------- ------------------------------- ------------------------------- ------------------------------- Six Months Six Months Six Months Six Months Ended Ended Ended Ended 1/31/2021 Year Ended 1/31/2021 Year Ended 1/31/2021 Year Ended 1/31/2021 Year Ended (Unaudited) 7/31/2020 (Unaudited) 7/31/2020 (Unaudited) 7/31/2020 (Unaudited) 7/31/20 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- <S> <C> <C> <C> <C> <C> <C> <C> $ 2,538,932 $ 4,460,056 $ 7,486,142 $ 19,367,531 $ (38,124) $ 7,413,475 $ 571,382 $ 1,323,010 67,332,079 (87,384,504) 16,930,531 (106,433,068) 197,715,943 41,472,460 2,886,558 (9,388,387) 121,464,972 13,740,440 107,310,154 (56,133,633) (19,686,422) 80,486,123 11,537,866 (2,828,463) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 191,335,983 (69,184,008) 131,726,827 (143,199,170) 177,991,397 129,372,058 14,995,806 (10,893,840) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- (2,707,671) (5,394,021) (8,476,451) (23,055,097) (444,000) (8,241,982) (648,111) (1,551,937) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 277,717,772 32,895,792 65,693,934 25,870,706 544,746,266 230,961,993 10,973,112 -- (123,542,539) (163,765,527) (30,132,443) (409,169,376) (669,455,861) (404,670,821) (5,548,337) (20,467,579) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 154,175,233 (130,869,735) 35,561,491 (383,298,670) (124,709,595) (173,708,828) 5,424,775 (20,467,579) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 342,803,545 (205,447,764) 158,811,867 (549,552,937) 52,837,802 (52,578,752) 19,772,470 (32,913,356) 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 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 740,273,944 $ 397,470,399 $ 775,827,758 $ 617,015,891 $1,041,984,786 $ 989,146,984 $ 71,159,803 $ 51,387,333 ============== ============== ============== ============== ============== ============== ============== ============== 7,100,002 9,750,002 13,300,002 22,100,002 12,050,002 14,600,002 1,100,002 1,550,002 4,050,000 600,000 1,250,000 500,000 6,050,000 3,000,000 200,000 -- (2,000,000) (3,250,000) (600,000) (9,300,000) (7,300,000) (5,550,000) (100,000) (450,000) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 9,150,002 7,100,002 13,950,002 13,300,002 10,800,002 12,050,002 1,200,002 1,100,002 ============== ============== ============== ============== ============== ============== ============== ============== </TABLE> See Notes to Financial Statements Page 101 <PAGE> FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) <TABLE> <CAPTION> FIRST TRUST FIRST TRUST MULTI CAP GROWTH MID CAP VALUE ALPHADEX(R) FUND ALPHADEX(R) FUND (FAD) (FNK) ------------------------------- ------------------------------- Six Months Six Months Ended Ended 1/31/2021 Year Ended 1/31/2021 Year Ended (Unaudited) 7/31/2020 (Unaudited) 7/31/2020 -------------- -------------- -------------- -------------- <S> <C> <C> <C> <C> OPERATIONS: Net investment income (loss)................................ $ 38,993 $ 951,302 $ 338,907 $ 931,139 Net realized gain (loss).................................... 34,176,409 500,664 440,674 (8,378,179) Net change in unrealized appreciation (depreciation)........ 14,272,747 10,219,297 8,660,387 (2,884,268) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from operations.......................................... 48,488,149 11,671,263 9,439,968 (10,331,308) -------------- -------------- -------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations....................................... (257,401) (1,097,351) (398,576) (1,096,681) -------------- -------------- -------------- -------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold................................... 86,228,635 66,588,015 18,458,870 21,058,255 Cost of shares redeemed..................................... (97,110,219) (92,750,744) (7,744,768) (30,467,047) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from shareholder transactions............................ (10,881,584) (26,162,729) 10,714,102 (9,408,792) -------------- -------------- -------------- -------------- Total increase (decrease) in net assets..................... 37,349,164 (15,588,817) 19,755,494 (20,836,781) NET ASSETS: Beginning of period......................................... 170,366,663 185,955,480 34,636,290 55,473,071 -------------- -------------- -------------- -------------- End of period............................................... $ 207,715,827 $ 170,366,663 $ 54,391,784 $ 34,636,290 ============== ============== ============== ============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period..................... 2,050,002 2,450,002 1,250,002 1,600,002 Shares sold................................................. 900,000 850,000 500,000 700,000 Shares redeemed............................................. (1,000,000) (1,250,000) (250,000) (1,050,000) -------------- -------------- -------------- -------------- Shares outstanding, end of period........................... 1,950,002 2,050,002 1,500,002 1,250,002 ============== ============== ============== ============== </TABLE> Page 102 See Notes to Financial Statements <PAGE> <TABLE> <CAPTION> FIRST TRUST FIRST TRUST FIRST TRUST MID CAP GROWTH SMALL CAP VALUE SMALL CAP GROWTH ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FNY) (FYT) (FYC) ------------------------------- ------------------------------- ------------------------------- Six Months Six Months Six Months Ended Ended Ended 1/31/2021 Year Ended 1/31/2021 Year Ended 1/31/2021 Year Ended (Unaudited) 7/31/2020 (Unaudited) 7/31/2020 (Unaudited) 7/31/2020 -------------- -------------- -------------- -------------- -------------- -------------- <S> <C> <C> <C> <C> <C> $ 16,901 $ 696,609 $ 721,289 $ 632,126 $ 92,294 $ 857,714 89,821,770 (8,655,479) 11,126,378 (15,405,299) 32,472,978 (31,811,152) 29,126,497 37,231,806 14,076,727 4,825,237 49,599,500 3,251,788 -------------- -------------- -------------- -------------- -------------- -------------- 118,965,168 29,272,936 25,924,394 (9,947,936) 82,164,772 (27,701,650) -------------- -------------- -------------- -------------- -------------- -------------- (1,105,830) (906,911) (640,936) (854,116) (269,720) (937,821) -------------- -------------- -------------- -------------- -------------- -------------- 277,305,952 120,090,749 112,309,923 12,338,992 167,809,381 12,604,591 (245,178,295) (120,133,429) (30,402,494) (16,020,220) (59,506,115) (116,112,612) -------------- -------------- -------------- -------------- -------------- -------------- 32,127,657 (42,680) 81,907,429 (3,681,228) 108,303,266 (103,508,021) -------------- -------------- -------------- -------------- -------------- -------------- 149,986,995 28,323,345 107,190,887 (14,483,280) 190,198,318 (132,147,492) 338,149,022 309,825,677 46,175,790 60,659,070 146,703,838 278,851,330 -------------- -------------- -------------- -------------- -------------- -------------- $ 488,136,017 $ 338,149,022 $ 153,366,677 $ 46,175,790 $ 336,902,156 $ 146,703,838 ============== ============== ============== ============== ============== ============== 6,600,002 6,650,002 1,500,002 1,750,002 3,300,002 5,950,002 4,700,000 2,600,000 2,800,000 350,000 2,950,000 300,000 (4,100,000) (2,650,000) (700,000) (600,000) (1,200,000) (2,950,000) -------------- -------------- -------------- -------------- -------------- -------------- 7,200,002 6,600,002 3,600,002 1,500,002 5,050,002 3,300,002 ============== ============== ============== ============== ============== ============== </TABLE> See Notes to Financial Statements Page 103 <PAGE> 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) <TABLE> <CAPTION> SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2021 ------------------------------------------------------------------- (UNAUDITED) 2020 2019 2018 2017 2016 ---------- ---------- ---------- ---------- ---------- ---------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 62.29 $ 62.11 $ 60.79 $ 54.07 $ 46.93 $ 45.96 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.40 0.93 0.77 0.69 0.61 0.64 Net realized and unrealized gain (loss) 11.56 0.20 1.28 6.69 7.16 0.95 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 11.96 1.13 2.05 7.38 7.77 1.59 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.45) (0.95) (0.73) (0.66) (0.63) (0.62) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 73.80 $ 62.29 $ 62.11 $ 60.79 $ 54.07 $ 46.93 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 19.25% 1.95% 3.48% 13.72% 16.68% 3.59% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,007,366 $ 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 0.60% (b) 0.59% 0.60% 0.61% 0.61% 0.61% Ratio of net expenses to average net assets 0.60% (b) 0.59% 0.60% 0.61% 0.61% 0.61% Ratio of net investment income (loss) to average net assets 1.12% (b) 1.49% 1.29% 1.17% 1.21% 1.43% Portfolio turnover rate (c) 50% 104% 102% 87% 90% 109% </TABLE> FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) <TABLE> <CAPTION> SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2021 ------------------------------------------------------------------- (UNAUDITED) 2020 2019 2018 2017 2016 ---------- ---------- ---------- ---------- ---------- ---------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 64.83 $ 69.86 $ 69.63 $ 59.91 $ 52.80 $ 52.97 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.42 0.85 0.63 0.61 0.56 0.56 Net realized and unrealized gain (loss) 20.24 (4.93) 0.16 9.71 7.12 (0.21) ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 20.66 (4.08) 0.79 10.32 7.68 0.35 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.59) (0.95) (0.56) (0.60) (0.57) (0.52) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 84.90 $ 64.83 $ 69.86 $ 69.63 $ 59.91 $ 52.80 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 32.00% (5.86)% 1.22% 17.30% 14.61% 0.76% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 802,279 $ 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% (b) 0.60% 0.61% 0.62% 0.63% 0.63% Ratio of net expenses to average net assets 0.60% (b) 0.60% 0.61% 0.62% 0.63% 0.63% Ratio of net investment income (loss) to average net assets 1.07% (b) 1.32% 0.94% 0.94% 1.00% 1.10% Portfolio turnover rate (c) 64% 115% 114% 101% 103% 126% </TABLE> (a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (b) Annualized. (c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 104 See Notes to Financial Statements <PAGE> 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) <TABLE> <CAPTION> SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2021 ------------------------------------------------------------------- (UNAUDITED) 2020 2019 2018 2017 2016 ---------- ---------- ---------- ---------- ---------- ---------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 55.98 $ 61.84 $ 66.80 $ 56.23 $ 48.91 $ 48.24 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.32 0.51 0.60 0.52 0.41 0.39 Net realized and unrealized gain (loss) 24.95 (5.75) (4.98) 10.53 7.40 0.64 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 25.27 (5.24) (4.38) 11.05 7.81 1.03 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.35) (0.62) (0.58) (0.48) (0.49) (0.36) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 80.90 $ 55.98 $ 61.84 $ 66.80 $ 56.23 $ 48.91 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 45.27% (8.55)% (6.52)% 19.72% (b) 16.03% 2.20% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 740,274 $ 397,470 $ 602,918 $ 728,102 $ 491,997 $ 442,627 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.60% (c) 0.61% 0.62% 0.63% 0.63% 0.64% Ratio of net expenses to average net assets 0.60% (c) 0.61% 0.62% 0.63% 0.63% 0.64% Ratio of net investment income (loss) to average net assets 0.98% (c) 0.93% 0.96% 0.87% 0.78% 0.86% Portfolio turnover rate (d) 64% 123% 117% 116% 111% 126% </TABLE> FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) <TABLE> <CAPTION> SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2021 ------------------------------------------------------------------- (UNAUDITED) 2020 2019 2018 2017 2016 ---------- ---------- ---------- ---------- ---------- ---------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 46.39 $ 52.79 $ 54.07 $ 50.94 $ 41.98 $ 41.61 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.54 1.11 1.02 1.02 0.77 0.78 (e) Net realized and unrealized gain (loss) 9.30 (6.28) (1.43) 3.08 8.96 0.38 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 9.84 (5.17) (0.41) 4.10 9.73 1.16 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.62) (1.23) (0.87) (0.97) (0.77) (0.79) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 55.61 $ 46.39 $ 52.79 $ 54.07 $ 50.94 $ 41.98 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 21.34% (9.84)% (0.65)% 8.12% 23.35% 2.94% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 775,828 $ 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% (c) 0.60% 0.60% 0.61% 0.62% 0.62% Ratio of net expenses to average net assets 0.60% (c) 0.60% 0.60% 0.61% 0.62% 0.62% Ratio of net investment income (loss) to average net assets 2.14% (c) 2.12% 1.99% 1.92% 1.63% 2.00% Portfolio turnover rate (d) 55% 94% 96% 82% 72% 94% </TABLE> (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) Annualized. (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. (e) Based on average shares outstanding. See Notes to Financial Statements Page 105 <PAGE> 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) <TABLE> <CAPTION> SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2021 ------------------------------------------------------------------- (UNAUDITED) 2020 2019 2018 2017 2016 ---------- ---------- ---------- ---------- ---------- ---------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 82.09 $ 71.35 $ 66.91 $ 55.88 $ 51.56 $ 49.95 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) (0.00) (a) 0.55 0.37 0.23 0.33 0.35 Net realized and unrealized gain (loss) 14.43 10.80 4.39 11.03 4.33 1.60 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 14.43 11.35 4.76 11.26 4.66 1.95 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.04) (0.61) (0.32) (0.23) (0.34) (0.34) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 96.48 $ 82.09 $ 71.35 $ 66.91 $ 55.88 $ 51.56 ========== ========== ========== ========== ========== ========== TOTAL RETURN (b) 17.60% 16.10% 7.16% 20.19% 9.10% 3.96% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,041,985 $ 989,147 $1,041,726 $ 899,998 $ 650,949 $ 618,698 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.59% (c) 0.60% 0.61% 0.61% 0.62% 0.62% Ratio of net expenses to average net assets 0.59% (c) 0.60% 0.61% 0.61% 0.62% 0.62% Ratio of net investment income (loss) to average net assets (0.01)%(c) 0.76% 0.56% 0.36% 0.63% 0.73% Portfolio turnover rate (d) 58% 138% 132% 119% 148% 149% </TABLE> FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) <TABLE> <CAPTION> SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2021 ------------------------------------------------------------------- (UNAUDITED) 2020 2019 2018 2017 2016 ---------- ---------- ---------- ---------- ---------- ---------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 46.72 $ 54.39 $ 57.35 $ 52.84 $ 44.91 $ 44.75 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.48 0.95 0.92 0.96 0.73 0.70 Net realized and unrealized gain (loss) 12.65 (7.54) (3.04) 4.45 7.96 0.13 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 13.13 (6.59) (2.12) 5.41 8.69 0.83 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.55) (1.08) (0.84) (0.90) (0.76) (0.67) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 59.30 $ 46.72 $ 54.39 $ 57.35 $ 52.84 $ 44.91 ========== ========== ========== ========== ========== ========== TOTAL RETURN (b) 28.28% (12.24)% (3.62)% 10.30% 19.46% 1.98% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 71,160 $ 51,387 $ 84,301 $ 91,766 $ 110,959 $ 103,296 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.73% (c) 0.74% 0.73% 0.70% 0.66% 0.68% Ratio of net expenses to average net assets 0.70% (c) 0.70% 0.70% 0.70% 0.66% 0.68% Ratio of net investment income (loss) to average net assets 1.87% (c) 1.86% 1.69% 1.67% 1.45% 1.61% Portfolio turnover rate (d) 55% 98% 96% 89% 81% 96% </TABLE> (a) Amount is less than $(0.01). (b) 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. (c) Annualized. (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 106 See Notes to Financial Statements <PAGE> 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) <TABLE> <CAPTION> SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2021 ------------------------------------------------------------------- (UNAUDITED) 2020 2019 2018 2017 2016 ---------- ---------- ---------- ---------- ---------- ---------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 83.11 $ 75.90 $ 72.71 $ 59.33 $ 53.31 $ 52.16 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.02 0.42 0.22 0.12 0.25 0.24 Net realized and unrealized gain (loss) 23.52 7.27 3.14 13.40 6.04 1.13 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 23.54 7.69 3.36 13.52 6.29 1.37 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.13) (0.48) (0.17) (0.14) (0.27) (0.22) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 106.52 $ 83.11 $ 75.90 $ 72.71 $ 59.33 $ 53.31 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 28.36% 10.23% 4.65% 22.82% 11.85% 2.66% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 207,716 $ 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% (b) 0.63% 0.66% 0.69% 0.70% 0.70% Ratio of net expenses to average net assets 0.63% (b) 0.63% 0.66% 0.69% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 0.04% (b) 0.56% 0.31% 0.18% 0.44% 0.50% Portfolio turnover rate (c) 52% 123% 130% 118% 142% 160% </TABLE> (a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. For some periods, the total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (b) Annualized. (c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. See Notes to Financial Statements Page 107 <PAGE> 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) <TABLE> <CAPTION> SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2021 ------------------------------------------------------------------- (UNAUDITED) 2020 2019 2018 2017 2016 ---------- ---------- ---------- ---------- ---------- ---------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 27.71 $ 34.67 $ 36.71 $ 33.65 $ 29.47 $ 29.56 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.31 0.63 0.51 0.58 0.44 0.43 Net realized and unrealized gain (loss) 8.60 (6.86) (2.10) 3.04 4.17 (0.10) ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 8.91 (6.23) (1.59) 3.62 4.61 0.33 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.36) (0.73) (0.45) (0.56) (0.43) (0.42) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 36.26 $ 27.71 $ 34.67 $ 36.71 $ 33.65 $ 29.47 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 32.34% (18.19)% (4.26)% 10.80% 15.72% 1.22% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 54,392 $ 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% (b) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net expenses to average net assets 0.70% (b) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 1.78% (b) 2.04% 1.49% 1.61% 1.31% 1.49% Portfolio turnover rate (c) 69% 107% 113% 94% 95% 114% </TABLE> FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) <TABLE> <CAPTION> SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2021 ------------------------------------------------------------------- (UNAUDITED) 2020 2019 2018 2017 2016 ---------- ---------- ---------- ---------- ---------- ---------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 51.23 $ 46.59 $ 43.80 $ 35.07 $ 31.22 $ 31.31 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.01 0.11 0.04 0.03 0.15 0.11 Net realized and unrealized gain (loss) 16.72 4.67 2.77 8.75 3.87 (0.11) ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 16.73 4.78 2.81 8.78 4.02 0.00 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.16) (0.14) (0.02) (0.05) (0.17) (0.09) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 67.80 $ 51.23 $ 46.59 $ 43.80 $ 35.07 $ 31.22 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 32.71% 10.28% 6.43% 25.06% 12.94% 0.03% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 488,136 $ 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% (b) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net expenses to average net assets 0.70% (b) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 0.01% (b) 0.23% 0.09% 0.02% 0.48% 0.35% Portfolio turnover rate (c) 72% 135% 144% 124% 153% 193% </TABLE> (a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (b) Annualized. (c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 108 See Notes to Financial Statements <PAGE> 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) <TABLE> <CAPTION> SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2021 ------------------------------------------------------------------- (UNAUDITED) 2020 2019 2018 2017 2016 ---------- ---------- ---------- ---------- ---------- ---------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 30.78 $ 34.66 $ 38.98 $ 34.33 $ 30.19 $ 30.20 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.24 0.38 0.57 0.48 0.41 0.26 Net realized and unrealized gain (loss) 11.83 (3.75) (4.36) 4.60 4.23 (0.04) ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 12.07 (3.37) (3.79) 5.08 4.64 0.22 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.25) (0.51) (0.53) (0.43) (0.50) (0.23) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 42.60 $ 30.78 $ 34.66 $ 38.98 $ 34.33 $ 30.19 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 39.38% (9.83)% (9.69)% 14.86% (b) 15.41% 0.79% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 153,367 $ 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% (c) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net expenses to average net assets 0.70% (c) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 1.60% (c) 1.18% 1.58% 1.28% 1.22% 0.89% Portfolio turnover rate (d) 58% 120% 120% 123% 110% 125% </TABLE> FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) <TABLE> <CAPTION> SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2021 ------------------------------------------------------------------- (UNAUDITED) 2020 2019 2018 2017 2016 ---------- ---------- ---------- ---------- ---------- ---------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 44.46 $ 46.87 $ 48.79 $ 38.83 $ 33.24 $ 32.18 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.03 0.17 0.02 0.06 0.05 0.09 Net realized and unrealized gain (loss) 22.29 (2.40) (1.93) 9.97 5.63 1.04 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 22.32 (2.23) (1.91) 10.03 5.68 1.13 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.07) (0.18) (0.01) (0.07) (0.09) (0.07) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 66.71 $ 44.46 $ 46.87 $ 48.79 $ 38.83 $ 33.24 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 50.26% (4.79)% (3.90)% 25.85% (e) 17.12% 3.54% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 336,902 $ 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% (c) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net expenses to average net assets 0.70% (c) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 0.09% (c) 0.44% 0.04% 0.11% 0.12% 0.32% Portfolio turnover rate (d) 76% 137% 152% 141% 162% 161% </TABLE> (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) Annualized. (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. (e) The Fund received a payment from the Advisor in the amount of $1,053,251 in connection with a broker error, which represents $0.25 per share. Since the Advisor reimbursed the Fund, there was no effect on the total return. See Notes to Financial Statements Page 109 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2021 (UNAUDITED) 1. ORGANIZATION First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") is an open-end management investment company organized as a Massachusetts business trust on December 6, 2006, and is registered with the Securities and Exchange Commission under the Investment Company Act of 1940, as amended (the "1940 Act"). The Trust currently consists of twenty exchange-traded funds considered either a Sector Fund or Style Fund. This report covers the eleven Style Funds (each a "Fund" and collectively, the "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") Each Fund represents a separate series of beneficial interest in the Trust. Unlike conventional mutual funds, each Fund issues and redeems shares on a continuous basis at net asset value ("NAV"), only in large blocks of shares known as "Creation Units." 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: <TABLE> <CAPTION> FUND INDEX <S> <C> 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 </TABLE> 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 Page 110 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2021 (UNAUDITED) considered market value prices and are either obtained from a third-party pricing service or are determined by the Pricing Committee of the Funds' investment advisor, First Trust Advisors L.P. ("First Trust" or the "Advisor"), in accordance with valuation procedures adopted by the Trust's Board of Trustees, and in accordance with provisions of the 1940 Act. Investments valued by the Advisor's Pricing Committee, if any, are footnoted as such in the footnotes to the Portfolio of Investments. Each Fund's investments are valued as follows: Common stocks and other equity securities listed on any national or foreign exchange (excluding 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. Page 111 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2021 (UNAUDITED) o Level 3 - Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity's own assumptions about the assumptions that market participants would use in pricing the investment. The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value each Fund's investments as of January 31, 2021, is included with each Fund's Portfolio of Investments. B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, if any, is recorded on the accrual basis. Withholding taxes and tax reclaims on foreign dividends have been provided for in accordance with each Fund's understanding of the applicable country's tax rules and rates. Distributions received from a Fund's investments in real estate investment trusts ("REITs") may be comprised of return of capital, capital gains and income. The actual character of the amounts received during the year is not known until after the REITs' fiscal year end. A Fund records the character of distributions received from the REITs during the year based on estimates available. The characterization of distributions received by a Fund may be subsequently revised based on information received from the REITs after their tax reporting periods conclude. C. OFFSETTING ON THE STATEMENTS OF ASSETS AND LIABILITIES Offsetting Assets and Liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset on the Statements of Assets and Liabilities, and disclose instruments and transactions subject to master netting or similar agreements. These disclosure requirements are intended to help investors and other financial statement users better assess the effect or potential effect of offsetting arrangements on a fund's financial position. The transactions subject to offsetting disclosures are derivative instruments, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions. This disclosure, if applicable, is included within each Fund's Portfolio of Investments under the heading "Offsetting Assets and Liabilities." For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting arrangements ("MNAs") or similar agreements on the Statements of Assets and Liabilities. MNAs provide the right, in the event of default (including bankruptcy and insolvency), for the non-defaulting counterparty to liquidate the collateral and calculate the net exposure to the defaulting party or request additional collateral. D. SECURITIES LENDING The Funds may lend securities representing up to 33 1/3% of the value of their total assets to broker-dealers, banks and other institutions to generate additional income. When a Fund loans its portfolio securities, it will receive, at the inception of each loan, collateral equal to at least 102% (for domestic securities) or 105% (for international securities) of the market value of the loaned securities. The collateral amount is valued at the beginning of each business day and is compared to the market value of the loaned securities from the prior business day to determine if additional collateral is required. If additional collateral is required, a request is sent to the borrower. Securities lending involves the risk that the Fund may lose money because the borrower of the Fund's loaned securities fails to return the securities in a timely manner or at all. The Fund could also lose money in the event of (i) a decline in the value of the collateral provided for the loaned securities, (ii) a decline in the value of any investments made with cash collateral or (iii) an increase in the value of the loaned securities if the borrower does not increase the collateral accordingly and the borrower fails to return the securities. These events could also trigger adverse tax consequences for the Funds. Under the Funds' Securities Lending Agency Agreement, the securities lending agent will generally bear the risk that a borrower may default on its obligation to return loaned securities. Brown Brothers Harriman & Co. ("BBH") acts as the Funds' securities lending agent and is responsible for executing the lending of the portfolio securities to creditworthy borrowers. The Funds, however, will be responsible for the risks associated with the investment of cash collateral. A Fund may lose money on its investment of cash collateral, which may affect its ability to repay the collateral to the borrower without the use of other Fund assets. Each Fund that engages in securities lending receives compensation (net of any rebate and securities lending agent fees) for lending its securities. Compensation can be in the form of fees received from the securities lending agent or dividends or interest earned from the investment of cash collateral. The fees received from the securities lending agent are accrued daily. The dividend and interest earned on the securities loaned is accounted for in the same manner as other dividend and interest income. At January 31, 2021, all the Funds except FNK had securities in the securities lending program. During the six months ended January 31, 2021, all the Funds participated in the securities lending program. Page 112 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2021 (UNAUDITED) In the event of a default by a borrower with respect to any loan, BBH will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If, despite such efforts by BBH to exercise these remedies, a Fund sustains losses as a result of a borrower's default, BBH will indemnify the Fund by purchasing replacement securities at its own expense, or paying the Fund an amount equal to the market value of the replacement securities, subject to certain limitations which are set forth in detail in the Securities Lending Agency Agreement between the Trust on behalf of the Funds and BBH. E. REPURCHASE AGREEMENTS Repurchase agreements involve the purchase of securities subject to the seller's agreement to repurchase the securities at a mutually agreed upon date and price, under the terms of a Master Repurchase Agreement ("MRA"). During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of a Fund, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. The underlying securities for all repurchase agreements are held at the Funds' custodian or designated sub-custodians under tri-party repurchase agreements. MRAs govern transactions between a Fund and select counterparties. The MRAs contain provisions for, among other things, initiation, income payments, events of default, and maintenance of collateral for repurchase agreements. Repurchase agreements received for lending securities are collateralized by U.S. Treasury securities. The U.S. Treasury securities are held in a joint custody account at BBH on behalf of the Funds participating in the securities lending program. In the event the counterparty defaults on the repurchase agreement, the U.S. Treasury securities can either be maintained as part of a Fund's portfolio or sold for cash. A Fund could suffer a loss to the extent that the proceeds from the sale of the underlying collateral held by the Fund are less than the repurchase price and the Fund's costs associated with the delay and enforcement of the MRA. While the Funds may invest in repurchase agreements, any repurchase agreements held by the Funds during the six months ended January 31, 2021, were received as collateral for lending securities. There were no repurchase agreements held by the Funds as of January 31, 2021. 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: <TABLE> <CAPTION> Distributions paid from Distributions paid from Distributions paid from Ordinary Income Capital Gains Return of Capital ----------------------- ----------------------- ----------------------- <S> <C> <C> <C> 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 -- -- </TABLE> Page 113 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2021 (UNAUDITED) As of July 31, 2020, the components of distributable earnings on a tax basis for each Fund were as follows: <TABLE> <CAPTION> Accumulated Undistributed Capital and Net Unrealized Ordinary Other Appreciation Income Gain (Loss) (Depreciation) ----------------------- ----------------------- ----------------------- <S> <C> <C> <C> 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 </TABLE> 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 January 31, 2021, 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. <TABLE> <CAPTION> Non-Expiring Capital Loss Carryforwards --------------------- <S> <C> 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 </TABLE> 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. Page 114 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2021 (UNAUDITED) 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 and First Trust Small Cap Growth 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. 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's expenses 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 six months ended January 31, 2021 and fees waived or expenses borne by First Trust subject to recovery from the applicable Fund for the periods indicated were as follows: <TABLE> <CAPTION> Fees Waived or Expenses Borne by First Trust Subject to Recovery ------------------------------------------------------------- Six Six Advisory Expense Months Year Year Months Fee Reim- Ended Ended Ended Ended Waivers bursements 7/31/2018 7/31/2019 7/31/2020 1/31/2021 Total --------- ---------- --------- --------- --------- --------- --------- <S> <C> <C> <C> <C> <C> <C> <C> First Trust Multi Cap Value AlphaDEX(R) Fund $ 10,032 $ -- $ -- $ 23,214 $ 27,452 $ 10,032 $ 60,698 </TABLE> 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 115 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2021 (UNAUDITED) 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 six months ended January 31, 2021, the cost of purchases and proceeds from sales of investments for each Fund, excluding short-term investments and in-kind transactions, were as follows: <TABLE> <CAPTION> Purchases Sales --------------- --------------- <S> <C> <C> First Trust Large Cap Core AlphaDEX(R) Fund $ 478,608,971 $ 479,301,436 First Trust Mid Cap Core AlphaDEX(R) Fund 416,170,101 418,290,385 First Trust Small Cap Core AlphaDEX(R) Fund 325,276,079 325,518,193 First Trust Large Cap Value AlphaDEX(R) Fund 377,833,095 378,605,365 First Trust Large Cap Growth AlphaDEX(R) Fund 598,525,841 600,842,286 First Trust Multi Cap Value AlphaDEX(R) Fund 32,757,827 32,841,670 First Trust Multi Cap Growth AlphaDEX(R) Fund 97,507,835 97,577,060 First Trust Mid Cap Value AlphaDEX(R) Fund 25,266,578 25,339,719 First Trust Mid Cap Growth AlphaDEX(R) Fund 293,055,061 294,040,710 First Trust Small Cap Value AlphaDEX(R) Fund 50,818,325 50,381,325 First Trust Small Cap Growth AlphaDEX(R) Fund 150,484,595 150,309,413 </TABLE> For the six months ended January 31, 2021, the cost of in-kind purchases and proceeds from in-kind sales for each Fund were as follows: <TABLE> <CAPTION> Purchases Sales --------------- --------------- <S> <C> <C> First Trust Large Cap Core AlphaDEX(R) Fund $ 169,714,698 $ 250,410,550 First Trust Mid Cap Core AlphaDEX(R) Fund 211,904,835 177,108,906 First Trust Small Cap Core AlphaDEX(R) Fund 277,397,529 124,093,920 First Trust Large Cap Value AlphaDEX(R) Fund 65,518,518 30,055,400 First Trust Large Cap Growth AlphaDEX(R) Fund 544,791,177 669,717,171 First Trust Multi Cap Value AlphaDEX(R) Fund 10,927,180 5,525,866 First Trust Multi Cap Growth AlphaDEX(R) Fund 86,052,028 97,130,423 First Trust Mid Cap Value AlphaDEX(R) Fund 18,413,347 7,726,958 First Trust Mid Cap Growth AlphaDEX(R) Fund 277,027,708 245,211,107 First Trust Small Cap Value AlphaDEX(R) Fund 112,010,854 30,452,952 First Trust Small Cap Growth AlphaDEX(R) Fund 167,802,592 59,837,788 </TABLE> 5. CREATIONS, REDEMPTIONS AND TRANSACTION FEES Each Fund generally issues and redeems its shares in primary market transactions through a creation and redemption mechanism and does not sell or redeem individual shares. Instead, financial entities known as "Authorized Participants" have contractual arrangements with a Fund or one of the Fund's service providers to purchase and redeem Fund shares directly with the Fund in large blocks of shares known as "Creation Units." Prior to the start of trading on every business day, a Fund publishes through the National Securities Clearing Corporation ("NSCC") the "basket" of securities, cash or other assets that it will accept in exchange for a Creation Unit of the Fund's shares. An Authorized Participant that wishes to effectuate a creation of a Fund's shares deposits with the Fund the "basket" of securities, cash or other assets identified by the Fund that day, and then receives the Creation Unit of the Fund's shares in return for those assets. After purchasing a Creation Unit, the Authorized Participant may continue to hold the Fund's shares or sell them in the secondary market. The redemption process is the reverse of the purchase process: the authorized participant redeems a Creation Unit of a Fund's shares for a basket Page 116 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2021 (UNAUDITED) of securities, cash or other assets. The combination of the creation and redemption process with secondary market trading in a Fund's shares and underlying securities provides arbitrage opportunities that are designed to help keep the market price of a Fund's shares at or close to the NAV per share of the Fund. Each Fund imposes fees in connection with the purchase of Creation Units. These fees may vary based upon various fact-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price for each Creation Unit will equal the daily NAV per share of a Fund times the number of shares in a Creation Unit, plus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees, stamp taxes and part or all of the spread between the expected bid and offer side of the market related to the securities comprising the creation basket. Each Fund also imposes fees in connection with the redemption of Creation Units. These fees may vary based upon various fact-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price received for each Creation Unit will equal the daily NAV per share of a Fund times the number of shares in a Creation Unit, minus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees, stamp taxes and part or all of the spread between the expected bid and offer side of the market related to the securities comprising the redemption basket. Investors who use the services of a broker or other such intermediary in addition to an Authorized Participant to effect a redemption of a Creation Unit may also be assessed an amount to cover the cost of such services. The redemption fee charged by a Fund will comply with Rule 22c-2 of the 1940 Act which limits redemption fees to no more than 2% of the value of the shares redeemed. 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 117 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2021 (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. RISK CONSIDERATIONS RISKS ARE INHERENT IN ALL INVESTING. CERTAIN GENERAL RISKS THAT MAY BE APPLICABLE TO A FUND ARE IDENTIFIED BELOW, BUT NOT ALL OF THE MATERIAL RISKS RELEVANT TO EACH FUND ARE INCLUDED IN THIS REPORT AND NOT ALL OF THE RISKS BELOW APPLY TO EACH FUND. THE MATERIAL RISKS OF INVESTING IN EACH FUND ARE SPELLED OUT IN ITS PROSPECTUS, STATEMENT OF ADDITIONAL INFORMATION AND OTHER REGULATORY FILINGS. BEFORE INVESTING, YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE, RISKS, CHARGES AND EXPENSES, AND READ EACH FUND'S PROSPECTUS AND STATEMENT OF ADDITIONAL INFORMATION CAREFULLY. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND. CONCENTRATION RISK. To the extent that a fund is able to invest a large percentage of its assets in a single asset class or the securities of issuers within the same country, state, region, industry or sector, an adverse economic, business or political development may affect the value of the fund's investments more than if the fund were more broadly diversified. A fund that tracks an index will be concentrated to the extent the fund's corresponding index is concentrated. A concentration makes a fund more susceptible to any single occurrence and may subject the fund to greater market risk than a fund that is not concentrated. CREDIT RISK. Credit risk is the risk that an issuer of a security will be unable or unwilling to make dividend, interest and/or principal payments when due and the related risk that the value of a security may decline because of concerns about the issuer's ability to make such payments. CYBER SECURITY RISK. The funds are susceptible to potential operational risks through breaches in cyber security. A breach in cyber security refers to both intentional and unintentional events that may cause a fund to lose proprietary information, suffer data corruption or lose operational capacity. Such events could cause a fund to incur regulatory penalties, reputational damage, additional compliance costs associated with corrective measures and/or financial loss. In addition, cyber security breaches of a fund's third-party service providers, such as its administrator, transfer agent, custodian, or sub-advisor, as applicable, or issuers in which the fund invests, can also subject a fund to many of the same risks associated with direct cyber security breaches. DERIVATIVES RISK. To the extent a fund uses derivative instruments such as futures contracts, options contracts and swaps, the fund may experience losses because of adverse movements in the price or value of the underlying asset, index or rate, which may be magnified by certain features of the derivative. These risks are heightened when a fund's portfolio managers use derivatives to enhance the fund's return or as a substitute for a position or security, rather than solely to hedge (or offset) the risk of a position or security held by the fund. EQUITY SECURITIES RISK. To the extent a fund invests in equity securities, the value of the fund's shares will fluctuate with changes in the value of the equity securities. Equity securities prices fluctuate for several reasons, including changes in investors' perceptions of the financial condition of an issuer or the general condition of the relevant stock market, such as market volatility, or when political or economic events affecting the issuers occur. In addition, common stock prices may be particularly sensitive to rising interest rates, as the cost of capital rises and borrowing costs increase. Equity securities may decline significantly in price over short or extended periods of time, and such declines may occur in the equity market as a whole, or they may occur in only a particular country, company, industry or sector of the market. Page 118 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2021 (UNAUDITED) ETF RISK. The shares of an ETF trade like common stock and represent an interest in a portfolio of securities. The risks of owning an ETF generally reflect the risks of owning the underlying securities, although lack of liquidity in an ETF could result in it being more volatile and ETFs have management fees that increase their costs. Shares of an ETF trade on an exchange at market prices rather than net asset value, which may cause the shares to trade at a price greater than net asset value (premium) or less than net asset value (discount). In times of market stress, decisions by market makers to reduce or step away from their role of providing a market for an ETF's shares, or decisions by an ETF's authorized participants that they are unable or unwilling to proceed with creation and/or redemption orders of an ETF's shares, could result in shares of the ETF trading at a discount to net asset value and in greater than normal intraday bid-ask spreads. FIXED INCOME SECURITIES RISK. To the extent a fund invests in fixed income securities, the fund will be subject to credit risk, income risk, interest rate risk, liquidity risk and prepayment risk. Income risk is the risk that income from a fund's fixed income investments could decline during periods of falling interest rates. Interest rate risk is the risk that the value of a fund's fixed income securities will decline because of rising interest rates. Liquidity risk is the risk that a security cannot be purchased or sold at the time desired, or cannot be purchased or sold without adversely affecting the price. Prepayment risk is the risk that the securities will be redeemed or prepaid by the issuer, resulting in lower interest payments received by the fund. In addition to these risks, high yield securities, or "junk" bonds, are subject to greater market fluctuations and risk of loss than securities with higher ratings, and the market for high yield securities is generally smaller and less liquid than that for investment grade securities. INDEX CONSTITUENT RISK. Certain funds may be a constituent of one or more indices. As a result, such a fund may be included in one or more index-tracking exchange-traded funds or mutual funds. Being a component security of such a vehicle could greatly affect the trading activity involving a fund, the size of the fund and the market volatility of the fund. Inclusion in an index could significantly increase demand for the fund and removal from an index could result in outsized selling activity in a relatively short period of time. As a result, a fund's net asset value could be negatively impacted and the fund's market price may be significantly below its net asset value during certain periods. INDEX PROVIDER RISK. To the extent a fund seeks to track an index, it is subject to Index Provider Risk. There is no assurance that the Index Provider will compile the Index accurately, or that the Index will be determined, maintained, constructed, reconstituted, rebalanced, composed, calculated or disseminated accurately. To correct any such error, the Index Provider may carry out an unscheduled rebalance or other modification of the Index constituents or weightings, which may increase the fund's costs. The Index Provider does not provide any representation or warranty in relation to the quality, accuracy or completeness of data in the Index, and it does not guarantee that the Index will be calculated in accordance with its stated methodology. Losses or costs associated with any Index Provider errors generally will be borne by the fund and its shareholders. INVESTMENT COMPANIES RISK. To the extent a fund invests in the securities of other investment vehicles, the fund will incur additional fees and expenses that would not be present in a direct investment in those investment vehicles. Furthermore, the fund's investment performance and risks are directly related to the investment performance and risks of the investment vehicles in which the fund invests. 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. The United Kingdom's Financial Conduct Authority, which regulates LIBOR, will cease making LIBOR available as a reference rate over a phase-out period that will begin immediately after December 31, 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, and they 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. Page 119 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2021 (UNAUDITED) NON-U.S. SECURITIES RISK. To the extent a fund invests in non-U.S. securities, it is subject to additional risks not associated with securities of domestic issuers. Non-U.S. securities are subject to higher volatility than securities of domestic issuers due to: possible adverse political, social or economic developments; restrictions on foreign investment or exchange of securities; lack of liquidity; currency exchange rates; excessive taxation; government seizure of assets; different legal or accounting standards; and less government supervision and regulation of exchanges in foreign countries. Investments in non-U.S. securities may involve higher costs than investments in U.S. securities, including higher transaction and custody costs, as well as additional taxes imposed by non-U.S. governments. These risks may be heightened for securities of companies located, or with significant operations, in emerging market countries. OPERATIONAL RISK. Each fund is subject to risks arising from various operational factors, including, but not limited to, human error, processing and communication errors, errors of a fund's service providers, counterparties or other third-parties, failed or inadequate processes and technology or systems failures. Although the funds and the Advisor seek to reduce these operational risks through controls and procedures, there is no way to completely protect against such risks. 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 120 <PAGE> -------------------------------------------------------------------------------- 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 <PAGE> [BLANK BACK COVER] <PAGE>
(b) | Not applicable. |
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Items 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant's board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3 (c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15 (b)).
(b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that has materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
(a) | Not applicable. |
(b) | Not applicable. |
Item 13. Exhibits.
(a)(1) | Not applicable. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(registrant) | First Trust Exchange-Traded AlphaDEX® Fund |
By (Signature and Title)* | /s/ James M. Dykas | |
James M. Dykas, President and Chief Executive Officer (principal executive officer) |
Date: | April 7, 2021 |
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: | April 7, 2021 |
By (Signature and Title)* | /s/ Donald P. Swade | |
Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) |
Date: | April 7, 2021 |