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
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First Trust Exchange-Traded AlphaDEX(R) Fund
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(Exact name of registrant as specified in charter)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
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(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
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(Name and address of agent for service)
registrant's telephone number, including area code: (630) 765-8000
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Date of fiscal year end: July 31
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Date of reporting period: July 31, 2020
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Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1. REPORT TO STOCKHOLDERS.
The registrant's annual report transmitted to shareholders pursuant to Rule
30e-1 under the Investment Company Act of 1940 is as follows:
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FIRST TRUST
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
Annual Report July 31, 2020
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AlphaDEX(R) Sector Funds
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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.
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TABLE OF CONTENTS
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
ANNUAL REPORT
JULY 31, 2020
Shareholder Letter........................................................... 2
Market Overview.............................................................. 3
Fund Performance Overview
First Trust Consumer Discretionary AlphaDEX(R) Fund (FXD).............. 4
First Trust Consumer Staples AlphaDEX(R) Fund (FXG).................... 6
First Trust Energy AlphaDEX(R) Fund (FXN).............................. 8
First Trust Financials AlphaDEX(R) Fund (FXO).......................... 10
First Trust Health Care AlphaDEX(R) Fund (FXH)......................... 12
First Trust Industrials/Producer Durables AlphaDEX(R) Fund (FXR)....... 14
First Trust Materials AlphaDEX(R) Fund (FXZ)........................... 16
First Trust Technology AlphaDEX(R) Fund (FXL).......................... 18
First Trust Utilities AlphaDEX(R) Fund (FXU)........................... 20
Notes to Fund Performance Overview........................................... 22
Understanding Your Fund Expenses............................................. 23
Portfolio of Investments
First Trust Consumer Discretionary AlphaDEX(R) Fund (FXD).............. 25
First Trust Consumer Staples AlphaDEX(R) Fund (FXG).................... 28
First Trust Energy AlphaDEX(R) Fund (FXN).............................. 30
First Trust Financials AlphaDEX(R) Fund (FXO).......................... 32
First Trust Health Care AlphaDEX(R) Fund (FXH)......................... 34
First Trust Industrials/Producer Durables AlphaDEX(R) Fund (FXR)....... 36
First Trust Materials AlphaDEX(R) Fund (FXZ)........................... 39
First Trust Technology AlphaDEX(R) Fund (FXL).......................... 41
First Trust Utilities AlphaDEX(R) Fund (FXU)........................... 43
Statements of Assets and Liabilities......................................... 44
Statements of Operations..................................................... 46
Statements of Changes in Net Assets.......................................... 48
Financial Highlights......................................................... 52
Notes to Financial Statements................................................ 57
Report of Independent Registered Public Accounting Firm...................... 65
Additional Information....................................................... 66
Board of Trustees and Officers............................................... 73
Privacy Policy............................................................... 75
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CAUTION REGARDING FORWARD-LOOKING STATEMENTS
This report contains certain forward-looking statements within the meaning of
the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934,
as amended. Forward-looking statements include statements regarding the goals,
beliefs, plans or current expectations of First Trust Advisors L.P. ("First
Trust" or the "Advisor") and its representatives, taking into account the
information currently available to them. Forward-looking statements include all
statements that do not relate solely to current or historical fact. For example,
forward-looking statements include the use of words such as "anticipate,"
"estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or
other words that convey uncertainty of future events or outcomes.
Forward-looking statements involve known and unknown risks, uncertainties and
other factors that may cause the actual results, performance or achievements of
any series of First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust")
described in this report (each such series is referred to as a "Fund" and
collectively, as the "Funds") to be materially different from any future
results, performance or achievements expressed or implied by the forward-looking
statements. When evaluating the information included in this report, you are
cautioned not to place undue reliance on these forward-looking statements, which
reflect the judgment of the Advisor and its representatives only as of the date
hereof. We undertake no obligation to publicly revise or update these
forward-looking statements to reflect events and circumstances that arise after
the date hereof.
PERFORMANCE AND RISK DISCLOSURE
There is no assurance that any Fund described in this report will achieve its
investment objective. Each Fund is subject to market risk, which is the
possibility that the market values of securities owned by the Fund will decline
and that the value of the Fund's shares may therefore be less than what you paid
for them. Accordingly, you can lose money investing in a Fund. See "Risk
Considerations" in the Additional Information section of this report for a
discussion of other risks of investing in the Funds.
Performance data quoted represents past performance, which is no guarantee of
future results, and current performance may be lower or higher than the figures
shown. For the most recent month-end performance figures, please visit
www.ftportfolios.com or speak with your financial advisor. Investment returns,
net asset value and share price will fluctuate and Fund shares, when sold, may
be worth more or less than their original cost.
The Advisor may also periodically provide additional information on Fund
performance on each Fund's webpage at www.ftportfolios.com.
HOW TO READ THIS REPORT
This report contains information that may help you evaluate your investment. It
includes details about each Fund and presents data and analysis that provide
insight into each Fund's performance and investment approach.
By reading the market overview by Robert F. Carey, Chief Market Strategist of
the Advisor, you may obtain an understanding of how the market environment
affected the performance of each Fund. The statistical information that follows
may help you understand each Fund's performance compared to that of relevant
market benchmarks.
It is important to keep in mind that the opinions expressed by personnel of the
Advisor are just that: informed opinions. They should not be considered to be
promises or advice. The opinions, like the statistics, cover the period through
the date on the cover of this report. The material risks of investing in each
Fund are spelled out in its prospectus, statement of additional information, and
other Fund regulatory filings.
Page 1
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SHAREHOLDER LETTER
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
ANNUAL LETTER FROM THE CHAIRMAN AND CEO
JULY 31, 2020
Dear Shareholders:
First Trust is pleased to provide you with the annual report for the Sector
Funds of the First Exchange-Traded AlphaDEX(R) Fund (the "Funds"), which
contains detailed information about the Funds for the 12-month period ended July
31, 2020.
When I think back to the direction the U.S. economy was headed midway through
2018, the first thought that comes to mind is normalization. At that time, it
was a welcome notion. If you recall, the Trump Administration signed the Tax
Cuts & Jobs Act of 2017 on December 22, 2017. Perhaps the most exciting part of
the new tax law was the slashing of the federal corporate tax rate from 35%,
which was among the highest of any country in the world, to 21%. This was well
received, in our opinion. U.S. economic activity was rising even before the ink
was dry on the tax bill. Real U.S. gross domestic product grew at an annualized
rate of 3.9% in the fourth quarter of 2017, and then rose an annualized 3.8% in
the first quarter of 2018, according to the Bureau of Economic Analysis. The
last time U.S. economic growth had exceeded the 3.0% mark was in the first
quarter of 2015. Over the two terms of the Obama Administration (2009-2016),
U.S. economic growth averaged just 2.0%, which was modest by historical
standards. Brian Wesbury, Chief Economist at First Trust Advisors L.P., referred
to it as the "Plow Horse Economy." The main takeaway here is that the Trump
Administration's tax cuts were helping to drive economic growth to more
normalized levels. The process had begun.
As economic growth was normalizing in 2018, so were interest rates and bond
yields. The Federal Reserve (the "Fed") raised the federal funds target rate
(upper bound) from 1.50% at the start of 2018 to 2.50% at year-end, or an
increase of 100 basis points ("bps"). The yield on the 10-Year Treasury Note
("T-Note"), which the Fed does not control, rose 83 bps from the start of 2018
to its calendar year peak of 3.24% on November 8, 2018. The point here is that
while interest rates and bond yields were well into the process of normalizing,
they were still below their historical norms. For the 30-year period ended
December 31, 2018, the federal funds target rate (upper bound) averaged 3.18%,
while the 10-Year T-Note's average yield was 4.71%, according to Bloomberg. If
you recall, industry pundits had been characterizing the persistent low-rate,
low-growth climate as the "new normal." While the concept of getting back to
normal in the economy and markets looked achievable, in the end, it was not
meant to be. What derailed the momentum? In a word: tariffs. In March 2018, less
than three months after enacting its tax reform legislation, the Trump
Administration initiated a tariff program targeting imported goods and services
from the major trading partners of the U.S. In February 2020, the White House
acknowledged that the Trump Administration's trade policies "depressed economic
growth and business investment," according to Bloomberg. President Trump was
pressuring the Fed to lower interest rates months before the coronavirus
("COVID-19") showed itself. The tariffs are still in play today.
Let us fast forward to today's climate. For all intents and purposes, from a
monetary policy standpoint, we are back to where we were following the 2008-2009
financial crisis. The federal funds target rate (upper bound) stood at 0.25% on
July 31, 2020. That is where it sat from December 2008 to December 2015. That
puts us farther away from normalcy than we were leading up to 2018. While the
COVID-19 pandemic was what drove the U.S. economy into a recession and what
pushed the stock market into bear market territory, at least for a few months,
we know that there are other headwinds to be navigated, such as government trade
policies and elections. There are always going to be headwinds to be navigated.
As of July 31, 2020, the yield on the 10-Year T-Note was 0.53%, which was about
150 bps below where it stood at the close of December 2008. The Fed has stated
that it is in no rush to raise interest rates. Inflation levels are subdued. By
keeping interest rates artificially low, the Fed is incentivizing investors to
assume more risk to potentially earn a higher return on their capital. With the
help of the Fed, the stock and bond markets have proved their resiliency once
again, despite how destructive COVID-19 has been to date. Investors should take
solace in that fact. Maybe the new normal will work as well for investors as
what we deemed normal in the past. Stay the course!
Thank you for giving First Trust the opportunity to play a role in your
financial future. We value our relationship with you and will report on the
Funds again in six months.
Sincerely,
/s/ James A. Bowen
James A. Bowen
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
Page 2
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MARKET OVERVIEW
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
ANNUAL REPORT
JULY 31, 2020
ROBERT F. CAREY, CFA
SENIOR VICE PRESIDENT AND CHIEF MARKET STRATEGIST
FIRST TRUST ADVISORS L.P.
Mr. Carey is responsible for the overall management of research and analysis of
the First Trust product line. Mr. Carey has over 27 years of experience as an
Equity and Fixed-Income Analyst and is a recipient of the Chartered Financial
Analyst ("CFA") designation. He is a graduate of the University of Illinois at
Champaign-Urbana with a B.S. in Physics. He is also a member of the Investment
Analysts Society of Chicago and the CFA Institute. Mr. Carey has appeared as a
guest on such programs as Bloomberg TV, CNBC, and WBBM Radio, and has been
quoted by several publications, including The Wall Street Journal, The Wall
Street Reporter, Bloomberg News Service, and Registered Rep.
STATE OF THE U.S. ECONOMY
A year ago, we were laser focused on the Trump Administration's trade war with
China. Little did we know back then that we would be swapping anxiety over
tariffs for a virus pandemic. The coronavirus ("COVID-19") has been front and
center since its onset early in the first quarter of 2020. Its arrival ended the
bull market in stocks and temporarily shuttered a major chunk of not only the
U.S. economy, but economies around the globe. The U.S. economy contracted by an
annualized 5.0% in the first quarter of 2020 and then plunged an annualized
32.9% in the second quarter of 2020, according to the Bureau of Economic
Analysis. The National Bureau of Economic Research, the organization that
determines the beginning and end of business cycles in the U.S., reported on
June 8, 2020, that U.S. economic activity peaked in February of this year. That
marked the end of a 128-month economic expansion, the longest in this nation's
history. We now know that the U.S. economy is in a recession.
While the trillions of dollars of stimulus that has been appropriated by
government leaders and central bankers throughout the globe is helping to prop
up economies decimated (financial cost and human toll) by COVID-19, we believe
that its primary objective is to simply buy time so that health care companies
can develop therapeutics and vaccines to combat the virus. There are indicators
we can cite that show just how rough it is in the business world despite the
stimulus efforts. One of our go to barometers is the default rate on
lower-quality, high yield corporate bonds. As of July 31, 2020, the trailing
12-month global speculative-grade default rate was 6.1%, according to Moody's
Investors Service. It now stands above its historical average of 4.1%. Moody's
estimates that it will climb to 8.8% by the end of 2020. That happens to
coincide with the target date for when some pundits believe we could see the
first FDA-approved vaccines for COVID-19. This is something we plan to monitor
closely.
The International Monetary Fund ("IMF") is forecasting year-over-year global
growth rate estimates of -4.9% for 2020 and 5.4% for 2021, compared to 3.6% in
2018 and 2.9% in 2019. With respect to the U.S., it sees gross domestic product
growth declining by an estimated 8.0% in 2020 and then rebounding 4.5% in 2021.
That is in line with the -8.0% and 4.8% estimates for 2020 and 2021 for all
Advanced Economies. Emerging Market and Developing Economies are expected to
hold up better than their developed nation counterparts. The IMF puts their
growth rate targets at -3.0% for 2020 and 5.9% for 2021.
ETFGI, an independent research and consultancy firm, reported that total assets
invested in exchange-traded funds ("ETFs") and related exchange-traded products
("ETPs") listed globally stood at an all-time high of $6.66 trillion in July
2020, up from $5.74 trillion a year ago, according to its own release. Total
assets of U.S. listed ETFs/ETPs stood at an all-time high of $4.61 trillion, up
from $4.02 trillion a year ago.
SECTOR/EQUITY INVESTING
One barometer for gauging investors' appetites for equities is tracking money
flows in and out of open-end mutual funds and ETFs. The flows are reported over
time on a rolling 12-month basis. For the 12-month period ended July 31, 2020,
U.S. Equity funds/ETFs reported estimated net outflows totaling $177.64 billion,
according to data from Morningstar. As has been the case in recent years,
investors are favoring passive funds over actively managed funds. Passive U.S.
Equity funds/ETFs reported estimated net inflows totaling $62.14 billion,
compared to estimated net outflows totaling $239.78 billion for actively managed
U.S. Equity funds/ETFs.
Investors were net buyers of sector funds and ETFs over the past year. For the
12-month period ended July 31, 2020, Sector Equity funds/ETFs reported estimated
net inflows totaling $5.30 billion. Passive Sector Equity funds/ETFs reported
estimated net inflows totaling $23.44 billion, compared to estimated net
outflows totaling $18.14 billion for actively managed Sector Equity funds/ETFs
for the same period.
For the 12-month period ended July 31, 2020, eight of the 11 major sectors that
comprise the S&P 500(R) Index (the "Index") generated positive total returns,
according to Bloomberg. The Index posted a total return of 11.96% over the
period. Four of the 11 sectors outperformed the broader index. Those four
sectors were as follows: Information Technology (+38.91%); Consumer
Discretionary (+21.57%); Health Care (+18.77%); and Communication Services
(+14.76%), according to Bloomberg. The three sectors that posted negative total
returns for the period were Energy, Financials and Industrials, down 38.26%,
12.81% and 5.70%, respectively.
Page 3
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FUND PERFORMANCE OVERVIEW (UNAUDITED)
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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.
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PERFORMANCE
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AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
7/31/20 7/31/20 7/31/20 to 7/31/20 7/31/20 7/31/20 to 7/31/20
FUND PERFORMANCE
NAV -7.39% 2.28% 10.53% 6.17% 11.92% 172.19% 120.70%
Market Price -7.37% 2.28% 10.53% 6.17% 11.92% 172.25% 120.75%
INDEX PERFORMANCE
StrataQuant(R) Consumer
Discretionary Index -6.89% 2.91% 11.27% 6.91% 15.40% 190.95% 142.04%
Russell 1000(R) Index 12.03% 11.31% 13.85% 8.36% 70.89% 265.96% 189.26%
S&P 500(R) Consumer
Discretionary Index 21.57% 14.10% 18.31% 12.08% 93.36% 437.52% 352.00%
Russell 1000(R) Consumer
Discretionary Index(1) 20.48% 13.68% 17.80% N/A 89.86% 414.51% N/A
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(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
The Fund generated a net asset value ("NAV") return of -7.39% during the period
covered by this report. During the same period, the S&P 500(R) Consumer
Discretionary Index (the "Benchmark") generated a return of 21.57%. The
Specialty Retail industry was the industry with the greatest allocation in the
Fund during the period. This industry had an average weight of 17.2% in the Fund
but contributed -0.2% to the Fund's performance. The industry with the greatest
contribution to the Fund's return was the Entertainment industry. Investments in
this industry received an allocation of 5.1% and contributed 2.2% to the Fund's
total return. Meanwhile, investments in the Hotels, Restaurants, & Leisure
industry were the most significant drag on the Fund's performance, contributing
-4.1%. On a relative basis, the Fund underperformed the Benchmark. The
underperformance in the Fund during the period came primarily from the Fund's
underweight of Amazon.com, Inc. ("Amazon"). Amazon had a 0.6% allocation in the
Fund and a 33.9% weight in the Benchmark. This security alone accounted for
-15.0% of underperformance for the Fund versus the Benchmark. The Internet &
Direct Marketing Retail industry, overall, caused -13.9% of underperformance for
the Fund. There was some outperformance for the Fund which came from investments
in the Automobiles industry, with 3.2% of outperformance earned for the Fund.
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% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
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Consumer Discretionary 70.94%
Communication Services 13.20
Industrials 10.02
Information Technology 3.61
Consumer Staples 2.23
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Total 100.00%
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% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
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Wayfair, Inc., Class A 1.84%
Tesla, Inc. 1.81
Carvana Co. 1.76
PulteGroup, Inc. 1.75
Chegg, Inc. 1.64
Toll Brothers, Inc. 1.60
Graham Holdings Co., Class B 1.59
Floor & Decor Holdings, Inc., Class A 1.56
Etsy, Inc. 1.52
Trade Desk (The), Inc., Class A 1.51
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Total 16.58%
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(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
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2010 - JULY 31, 2020
First Trust Russell 1000(R)
Consumer Discretionary StrataQuant(R) Consumer Russell 1000(R) S&P 500(R) Consumer Consumer
AlphaDEX(R) Fund Discretionary Index Index Discretionary Index Discretionary Index
7/31/10 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/11 12,314 12,358 11,876 11,952 12,066
7/31/11 13,475 13,585 12,068 12,850 12,849
1/31/12 13,196 13,366 12,345 13,523 13,479
7/31/12 13,063 13,251 13,029 14,378 14,457
1/31/13 15,612 15,900 14,447 16,723 16,883
7/31/13 18,572 18,982 16,446 19,942 19,956
1/31/14 19,658 20,172 17,659 21,298 21,331
7/31/14 20,869 21,487 19,252 22,473 22,440
1/31/15 22,495 23,239 20,090 24,069 23,970
7/31/15 24,321 25,214 21,415 27,795 27,096
1/31/16 21,145 21,986 19,726 25,941 24,942
7/31/16 23,754 24,772 22,452 28,776 27,858
1/31/17 23,761 24,861 23,830 30,215 29,033
7/31/17 24,964 26,204 26,032 32,777 31,707
1/31/18 29,432 30,997 29,987 38,975 37,706
7/31/18 28,502 30,107 30,245 40,480 38,393
1/31/19 27,530 29,162 29,334 39,642 37,970
7/31/19 29,394 31,250 32,666 44,219 42,702
1/31/20 29,685 31,675 35,609 46,284 45,132
7/31/20 27,219 29,095 36,596 53,752 51,451
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2020
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2015 through July
31, 2020. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
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NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
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FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/15 - 7/31/16 146 0 0 0
8/1/16 - 7/31/17 102 0 0 0
8/1/17 - 7/31/18 119 0 0 0
8/1/18 - 7/31/19 158 2 0 0
8/1/19 - 7/31/20 136 0 0 0
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NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
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FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/15 - 7/31/16 105 0 0 0
8/1/16 - 7/31/17 150 0 0 0
8/1/17 - 7/31/18 132 0 1 0
8/1/18 - 7/31/19 89 2 0 0
8/1/19 - 7/31/20 117 0 0 0
Page 5
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG)
The First Trust Consumer Staples AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the StrataQuant(R) Consumer Staples
Index (the "Consumer Staples Index"). The Fund will normally invest at least 90%
of its net assets (including investment borrowings) in the common stocks that
comprise the Consumer Staples Index. The shares of the Fund are listed and trade
on the NYSE Arca under the ticker symbol "FXG."
The Consumer Staples Index is a modified equal-dollar weighted index designed by
IDI to objectively identify and select stocks from the Russell 1000(R) Index in
the consumer staples sector that may generate positive alpha relative to
traditional passive-style indices through the use of the AlphaDEX(R) selection
methodology. Alpha is an indication of how much an investment outperforms or
underperforms on a risk-adjusted basis relative to its benchmark. IDI constructs
the Consumer Staples Index using the ICB sector scheme to determine a stock's
sector membership.
------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
7/31/20 7/31/20 7/31/20 to 7/31/20 7/31/20 7/31/20 to 7/31/20
FUND PERFORMANCE
NAV 8.46% 3.03% 11.66% 8.52% 16.07% 201.18% 194.82%
Market Price 8.35% 3.00% 11.65% 8.51% 15.93% 201.09% 194.57%
INDEX PERFORMANCE
StrataQuant(R) Consumer
Staples Index 9.25% 3.72% 12.48% 9.31% 20.02% 224.19% 224.75%
Russell 1000(R) Index 12.03% 11.31% 13.85% 8.36% 70.89% 265.96% 189.26%
S&P 500(R) Consumer
Staples Index 8.14% 7.51% 11.89% 9.55% 43.66% 207.51% 234.15%
Russell 1000(R) Consumer
Staples Index(1) 6.53% 5.45% 11.23% N/A 30.39% 189.88% N/A
------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 8.46% during the period covered by this
report. During the same period, the S&P 500(R) Consumer Staples Index (the
"Benchmark") generated a return of 8.14%. The Food Products industry received
the greatest allocation in the Fund during the period, with an average weight of
43.9%. However, this industry was a relative non-performer for the Fund and
contributed -0.4% to the Fund's overall return. The industry with the greatest
contribution to the Fund's return was the Personal Products industry. These
investments carried an allocation in the Fund of 4.4% and resulted in a 2.7%
contribution to Fund return. Investments in the Chemicals industry caused the
most drag on Fund performance. Fortunately, these investments received an
allocation of only 0.6%, limiting the drag to the Fund's return to only -0.4%.
On a relative basis, the Fund outperformed the Benchmark during the period. The
greatest source of outperformance for the Fund versus the Benchmark during the
period covered by this report came from investments in the Personal Products
industry. The Fund was overweight in this industry and also benefitted from the
selection effect, which resulted in 2.1% of outperformance for the Fund. The
investments in the Food Products industry, meanwhile, earned significant
underperformance for the Fund versus the Benchmark. The Fund maintained a
significant overweight in this industry compared to the Benchmark and
investments in the Food Products industry led to -3.1% of underperformance for
the Fund.
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Consumer Staples 85.14%
Health Care 9.25
Consumer Discretionary 3.93
Materials 1.68
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Boston Beer (The) Co., Inc., Class A 5.94%
Grocery Outlet Holding Corp. 4.24
Energizer Holdings, Inc. 4.15
Sprouts Farmers Market, Inc. 4.05
Tyson Foods, Inc., Class A 4.05
Dollar General Corp. 3.93
Walgreens Boots Alliance, Inc. 3.78
Nu Skin Enterprises, Inc., Class A 3.69
Pilgrim's Pride Corp. 3.57
Archer-Daniels-Midland Co. 3.38
-------
Total 40.78%
=======
-----------------------------
(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Consumer Staples Index because
performance data does not exist for each of the entire periods using solely the
U.S. sector scheme, or alternatively, using solely the RGS.
StrataQuant(R) and StrataQuant(R) Consumer Staples Index ("Index") are
service/trademarks of ICE Data Indices, LLC or its affiliates ("IDI") and have
been licensed for use by First Trust in connection with the Fund. The Fund is
not sponsored, endorsed, sold or promoted by IDI and IDI makes no
representations or warranties regarding the advisability of investing in the
Fund or as to the result to be obtained by any person from use of the Index in
connection with the trading of the Fund. IDI and its third party suppliers
accept no liability in connection with use of the Index or the Fund. See the
prospectus for a full copy of the disclaimer.
Page 6
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2010 - JULY 31, 2020
S&P 500(R) Russell 1000(R)
First Trust Consumer StrataQuant(R) Russell 1000(R) Consumer Staples Consumer Staples
Staples AlphaDEX(R) Fund Consumer Staples Index Index Index Index
7/31/10 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/11 11,194 11,244 11,876 10,897 10,888
7/31/11 13,120 13,227 12,068 11,771 12,005
1/31/12 12,677 12,831 12,345 12,429 12,509
7/31/12 12,723 12,967 13,029 14,086 14,007
1/31/13 14,821 15,159 14,447 14,793 14,874
7/31/13 18,306 18,810 16,446 16,751 16,901
1/31/14 18,971 19,562 17,659 16,725 16,967
7/31/14 21,079 21,819 19,252 17,944 18,387
1/31/15 23,844 24,741 20,090 20,221 20,660
7/31/15 25,947 27,010 21,415 21,406 22,234
1/31/16 24,850 25,935 19,726 21,937 22,683
7/31/16 28,334 29,669 22,452 23,904 24,781
1/31/17 26,523 27,863 23,830 23,347 24,281
7/31/17 27,396 28,874 26,032 24,956 25,689
1/31/18 29,705 31,412 29,987 26,481 26,493
7/31/18 27,543 29,238 30,245 24,810 24,710
1/31/19 27,069 28,814 29,334 25,125 24,876
7/31/19 27,770 29,673 32,666 28,442 27,211
1/31/20 29,231 31,348 35,609 30,589 29,361
7/31/20 30,118 32,419 36,596 30,751 28,988
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2020
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2015 through July
31, 2020. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/15 - 7/31/16 164 0 0 0
8/1/16 - 7/31/17 118 0 0 0
8/1/17 - 7/31/18 58 0 0 1
8/1/18 - 7/31/19 114 1 0 0
8/1/19 - 7/31/20 83 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/15 - 7/31/16 87 0 0 0
8/1/16 - 7/31/17 134 0 0 0
8/1/17 - 7/31/18 193 0 0 0
8/1/18 - 7/31/19 135 1 0 0
8/1/19 - 7/31/20 170 0 0 0
Page 7
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN)
The First Trust Energy AlphaDEX(R) Fund (the "Fund") seeks investment results
that correspond generally to the price and yield (before the Fund's fees and
expenses) of an equity index called the StrataQuant(R) Energy Index (the "Energy
Index"). The Fund will normally invest at least 90% of its net assets (including
investment borrowings) in the common stocks that comprise the Energy Index. The
shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol
"FXN."
The Energy Index is a modified equal-dollar weighted index designed by IDI to
objectively identify and select stocks from the Russell 1000(R) Index in the
energy sector that may generate positive alpha relative to traditional
passive-style indices through the use of the AlphaDEX(R) selection methodology.
Alpha is an indication of how much an investment outperforms or underperforms on
a risk-adjusted basis relative to its benchmark. IDI constructs the Energy Index
using the ICB sector scheme to determine a stock's sector membership.
------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
7/31/20 7/31/20 7/31/20 to 7/31/20 7/31/20 7/31/20 to 7/31/20
FUND PERFORMANCE
NAV -38.32% -16.10% -7.44% -7.15% -58.44% -53.85% -62.53%
Market Price -38.27% -16.10% -7.45% -7.15% -58.44% -53.91% -62.53%
INDEX PERFORMANCE
StrataQuant(R) Energy Index -38.14% -15.70% -6.93% -6.61% -57.42% -51.24% -59.52%
Russell 1000(R) Index 12.03% 11.31% 13.85% 8.36% 70.89% 265.96% 189.26%
S&P 500(R) Energy Index -38.26% -8.69% -1.09% -1.95% -36.53% -10.38% -22.93%
Russell 1000(R) Energy Index(1) -37.58% -9.28% -1.59% N/A -38.56% -14.82% N/A
------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
The Fund generated a NAV return of -38.32% during the period covered by this
report. During the same period, the S&P 500(R) Energy Index (the "Benchmark")
generated a return of -38.26%. During the period covered by this report, the
Fund invested 88.8% in the Oil, Gas & Consumable Fuels industry. Investments in
this industry generated a -38.8% contribution to the Fund's total return. The
Fund also allocated 1.1% to the Semiconductors & Semiconductor Equipment
industry, which contributed 2.4% to the Fund's total return. The Fund's and the
Benchmark's return were very nearly the same during the period covered by this
report. The Fund's performance was 6 basis points (0.06%) worse than that of the
Benchmark's, with returns of -38.32% and -38.26%, respectively. The investments
in the most heavily weighted industry, Oil, Gas & Consumable Fuels, earned 3.8%
of outperformance for the Fund versus the Benchmark. Investments in the
Chemicals industry as well as the Energy Equipment & Services industry each
caused -0.7% of underperformance for the Fund versus the Benchmark.
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Energy 83.79%
Information Technology 13.56
Materials 2.65
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Enphase Energy, Inc. 5.29%
SolarEdge Technologies, Inc. 5.26
Continental Resources, Inc. 4.11
Exxon Mobil Corp. 3.92
WPX Energy, Inc. 3.90
EOG Resources, Inc. 3.85
Marathon Oil Corp. 3.74
ConocoPhillips 3.71
Cabot Oil & Gas Corp. 3.63
Pioneer Natural Resources Co. 3.31
-------
Total 40.72%
=======
-----------------------------
(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. In addition to the implementation of the RGS, Russell combined the
Russell 1000(R) Integrated Oils Index and the Russell 1000(R) Other Energy Index
into one index, the Russell 1000(R) Energy Index. Consequently, performance data
is not available for all the periods shown in the table for the Russell 1000(R)
Energy Index because this index did not exist until on or about September 18,
2008.
StrataQuant(R) and StrataQuant(R) Energy Index ("Index") are service/trademarks
of ICE Data Indices, LLC or its affiliates ("IDI") and have been licensed for
use by First Trust in connection with the Fund. The Fund is not sponsored,
endorsed, sold or promoted by IDI and IDI makes no representations or warranties
regarding the advisability of investing in the Fund or as to the result to be
obtained by any person from use of the Index in connection with the trading of
the Fund. IDI and its third party suppliers accept no liability in connection
with use of the Index or the Fund. See the prospectus for a full copy of the
disclaimer.
Page 8
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2010 - JULY 31, 2020
First Trust Energy StrataQuant(R) Russell 1000(R) S&P 500(R) Russell 1000(R)
AlphaDEX(R) Fund Energy Index Index Energy Index Energy Index
7/31/10 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/11 14,067 14,118 11,876 13,625 13,666
7/31/11 14,869 14,982 12,068 14,241 14,276
1/31/12 12,451 12,592 12,345 13,495 13,388
7/31/12 11,672 11,851 13,029 13,526 13,325
1/31/13 13,890 14,160 14,447 14,969 14,785
7/31/13 14,428 14,749 16,446 16,044 15,838
1/31/14 15,271 15,667 17,659 16,300 16,170
7/31/14 18,077 18,604 19,252 19,001 18,926
1/31/15 13,005 13,403 20,090 15,269 14,999
7/31/15 11,101 11,451 21,415 14,120 13,863
1/31/16 8,558 8,829 19,726 12,271 11,795
7/31/16 9,694 10,018 22,452 14,408 13,773
1/31/17 10,740 11,142 23,830 15,536 14,883
7/31/17 9,211 9,591 26,032 14,434 13,709
1/31/18 10,290 10,760 29,987 16,561 15,722
7/31/18 11,648 12,223 30,245 17,281 16,556
1/31/19 9,065 9,520 29,334 14,518 13,819
7/31/19 7,481 7,885 32,666 14,518 13,648
1/31/20 6,163 6,525 35,609 12,992 12,196
7/31/20 4,615 4,876 36,596 8,962 8,518
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2020
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2015 through July
31, 2020. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/15 - 7/31/16 151 0 0 0
8/1/16 - 7/31/17 141 0 0 0
8/1/17 - 7/31/18 91 0 0 1
8/1/18 - 7/31/19 92 3 2 0
8/1/19 - 7/31/20 107 2 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/15 - 7/31/16 100 0 0 0
8/1/16 - 7/31/17 111 0 0 0
8/1/17 - 7/31/18 160 0 0 0
8/1/18 - 7/31/19 151 2 1 0
8/1/19 - 7/31/20 143 0 0 1
Page 9
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)
The First Trust Financials AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the StrataQuant(R) Financials Index (the
"Financials Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in the common stocks and real estate
investment trusts ("REITs") that comprise the Financials Index. The shares of
the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXO."
The Financials Index is a modified equal-dollar weighted index designed by IDI
to objectively identify and select stocks from the Russell 1000(R) Index in the
financial services sector that may generate positive alpha relative to
traditional passive-style indices through the use of the AlphaDEX(R) selection
methodology. Alpha is an indication of how much an investment outperforms or
underperforms on a risk-adjusted basis relative to its benchmark. IDI constructs
the Financials Index using the ICB sector scheme to determine a stock's sector
membership.
------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
7/31/20 7/31/20 7/31/20 to 7/31/20 7/31/20 7/31/20 to 7/31/20
FUND PERFORMANCE
NAV -17.56% 3.23% 9.11% 3.81% 17.22% 139.18% 63.97%
Market Price -17.56% 3.22% 9.11% 3.81% 17.17% 139.18% 63.96%
INDEX PERFORMANCE
StrataQuant(R) Financials Index -16.94% 3.93% 9.91% 4.64% 21.28% 157.31% 82.33%
Russell 1000(R) Index 12.03% 11.31% 13.85% 8.36% 70.89% 265.96% 189.26%
S&P 500(R) Financials Index -12.81% 5.55% 9.38% 0.31% 30.99% 145.12% 4.25%
Russell 1000(R) Financial
Services Index(1) -5.99% 7.91% 11.07% N/A 46.36% 185.75% N/A
------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
The Fund generated a NAV return of -17.56% during the period covered by this
report. During the same period, the S&P 500(R) Financials Index (the
"Benchmark") generated a return of -12.81%. During the period covered by this
report, the Fund invested 25.2% into both the Banking and Insurance industries.
The Banking industry selections contributed -5.5% to the Fund's return, while
the Insurance industry contributed -2.6% to the Fund's return. Investments in
the Mortgage Real Estate Investment industry caused the greatest contribution to
the Fund's return, with a 2.3% contribution to return. Meanwhile, investments in
the Equity Real Estate industry caused the most drag on the Fund with a
contribution to the Fund's return of -6.1%. On a relative basis, the Fund
underperformed the Benchmark. The greatest source of relative underperformance
were investments in the Capital Markets industry, which caused -2.9% of
underperformance for the Fund versus the Benchmark. The Fund made up for some of
this underperformance with 1.9% of outperformance for the Fund coming from
investments in the Mortgage Real Estate Investment industry.
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Financials 100.00%
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
OneMain Holdings, Inc. 1.85%
Hartford Financial Services Group (The),
Inc. 1.73
First American Financial Corp. 1.68
Equitable Holdings, Inc. 1.68
Fidelity National Financial, Inc. 1.67
Virtu Financial, Inc., Class A 1.66
Jefferies Financial Group, Inc. 1.65
Unum Group 1.64
MetLife, Inc. 1.64
MarketAxess Holdings, Inc. 1.63
-------
Total 16.83%
=======
-----------------------------
(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Financial Services Index because
performance data does not exist for each of the entire periods using solely the
U.S. sector scheme, or alternatively, using solely the RGS.
StrataQuant(R) and StrataQuant(R) Financials Index ("Index") are
service/trademarks of ICE Data Indices, LLC or its affiliates ("IDI") and have
been licensed for use by First Trust in connection with the Fund. The Fund is
not sponsored, endorsed, sold or promoted by IDI and IDI makes no
representations or warranties regarding the advisability of investing in the
Fund or as to the result to be obtained by any person from use of the Index in
connection with the trading of the Fund. IDI and its third party suppliers
accept no liability in connection with use of the Index or the Fund. See the
prospectus for a full copy of the disclaimer.
Page 10
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2010 - JULY 31, 2020
First Trust Financials StrataQuant(R) Russell 1000(R) S&P 500(R) Russell 1000(R)
AlphaDEX(R) Fund Financials Index Index Financials Index Financial Services Index
7/31/10 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/11 11,520 11,570 11,876 11,222 11,241
7/31/11 11,025 11,118 12,068 10,196 10,465
1/31/12 11,116 11,260 12,345 9,786 10,208
7/31/12 11,529 11,723 13,029 10,310 10,861
1/31/13 13,662 13,951 14,447 12,355 12,839
7/31/13 16,076 16,476 16,446 14,685 15,045
1/31/14 16,987 17,476 17,659 15,241 15,761
7/31/14 17,837 18,417 19,252 16,360 16,839
1/31/15 18,598 19,271 20,090 16,960 17,710
7/31/15 20,402 21,216 21,415 18,716 19,525
1/31/16 17,995 18,763 19,726 16,352 17,311
7/31/16 20,448 21,401 22,452 18,010 19,253
1/31/17 23,325 24,496 23,830 22,080 22,122
7/31/17 25,354 26,708 26,032 23,950 24,179
1/31/18 28,100 29,707 29,987 28,659 28,067
7/31/18 28,159 29,871 30,245 27,177 27,682
1/31/19 26,635 28,338 29,334 25,479 26,808
7/31/19 29,012 30,978 32,666 28,115 30,395
1/31/20 29,949 32,094 35,609 30,128 32,724
7/31/20 23,918 25,731 36,596 24,512 28,575
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2020
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2015 through July
31, 2020. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/15 - 7/31/16 151 0 0 0
8/1/16 - 7/31/17 152 0 0 0
8/1/17 - 7/31/18 139 0 0 1
8/1/18 - 7/31/19 120 3 0 0
8/1/19 - 7/31/20 123 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/15 - 7/31/16 100 0 0 0
8/1/16 - 7/31/17 100 0 0 0
8/1/17 - 7/31/18 112 0 0 1
8/1/18 - 7/31/19 125 1 1 1
8/1/19 - 7/31/20 130 0 0 0
Page 11
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH)
The First Trust Health Care AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the StrataQuant(R) Health Care Index
(the "Health Care Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in the common stocks that comprise the
Health Care Index. The shares of the Fund are listed and trade on the NYSE Arca
under the ticker symbol "FXH."
The Health Care Index is a modified equal-dollar weighted index designed by IDI
to objectively identify and select stocks from the Russell 1000(R) Index in the
health care sector that may generate positive alpha relative to traditional
passive-style indices through the use of the AlphaDEX(R) selection methodology.
Alpha is an indication of how much an investment outperforms or underperforms on
a risk-adjusted basis relative to its benchmark. IDI constructs the Health Care
Index using the ICB sector scheme to determine a stock's sector membership.
------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
7/31/20 7/31/20 7/31/20 to 7/31/20 7/31/20 7/31/20 to 7/31/20
FUND PERFORMANCE
NAV 22.75% 6.47% 16.10% 12.58% 36.84% 344.88% 379.58%
Market Price 22.74% 6.46% 16.10% 12.58% 36.76% 344.84% 379.53%
INDEX PERFORMANCE
StrataQuant(R) Health Care Index 23.61% 7.18% 16.90% 13.39% 41.41% 376.49% 427.40%
Russell 1000(R) Index 12.03% 11.31% 13.85% 8.36% 70.89% 265.96% 189.26%
S&P 500(R) Health Care Index 18.77% 8.68% 16.18% 10.45% 51.60% 347.88% 272.50%
Russell 1000(R) Health Care
Index(1) 20.38% 9.08% 16.80% N/A 54.41% 372.66% N/A
------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 22.75% during the period covered by this
report. During the same period, the S&P 500(R) Health Care Index (the
"Benchmark") generated a return of 18.77%. During the period covered by this
report, the Fund allocated a similar weighting to three industries. The Health
Care Equipment & Supplies industry received an allocation of 25.8%; the Health
Care Providers & Services industry received an allocation of 25.1%; and the
Biotechnology industry received a 21.1% allocation. The industry with the
greatest contribution to the Fund's performance was the Health Care Equipment &
Supplies industry. This industry's 25.8% allocation caused a 7.7% contribution
to the Fund's return. The only industry with a negative contribution to the
Fund's return was investments in the Health Care Technology industry. This
industry received a weight of only 1.8% in the Fund and contributed -0.2% to the
Fund's return. On a relative basis, the Fund outperformed the Benchmark.
Outperformance of 3.8% came from the Health Care Equipment & Supplies industry,
which was the industry with the greatest allocation. Multiple industries caused
minimal underperformance, with the most significant coming from the Health Care
Technology industry, which caused -0.5% of underperformance for the Fund versus
the Benchmark.
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Health Care 100.00%
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Quidel Corp. 2.34%
West Pharmaceutical Services, Inc. 2.19
Universal Health Services, Inc., Class B 2.19
Bio-Rad Laboratories, Inc., Class A 2.15
Charles River Laboratories International,
Inc. 2.11
Horizon Therapeutics PLC 2.04
DexCom, Inc. 1.99
Tandem Diabetes Care, Inc. 1.95
Biogen, Inc. 1.90
Regeneron Pharmaceuticals, Inc. 1.88
-------
Total 20.74%
=======
-----------------------------
(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Health Care Index because performance
data does not exist for each of the entire periods using solely the U.S. sector
scheme, or alternatively, using solely the RGS.
StrataQuant(R) and StrataQuant(R) Health Care Index ("Index") are
service/trademarks of ICE Data Indices, LLC or its affiliates ("IDI") and have
been licensed for use by First Trust in connection with the Fund. The Fund is
not sponsored, endorsed, sold or promoted by IDI and IDI makes no
representations or warranties regarding the advisability of investing in the
Fund or as to the result to be obtained by any person from use of the Index in
connection with the trading of the Fund. IDI and its third party suppliers
accept no liability in connection with use of the Index or the Fund. See the
prospectus for a full copy of the disclaimer.
Page 12
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2010 - JULY 31, 2020
First Trust Health Care StrataQuant(R) Russell 1000(R) S&P 500(R) Russell 1000(R)
AlphaDEX(R) Fund Health Care Index Index Health Care Index Health Care Index
7/31/10 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/11 12,236 12,289 11,876 11,188 11,326
7/31/11 13,267 13,377 12,068 12,193 12,316
1/31/12 13,305 13,470 12,345 12,939 13,011
7/31/12 13,954 14,156 13,029 14,074 14,188
1/31/13 16,574 16,879 14,447 15,900 16,132
7/31/13 19,883 20,333 16,446 19,088 19,453
1/31/14 23,348 23,958 17,659 21,125 21,648
7/31/14 24,810 25,532 19,252 23,178 23,678
1/31/15 28,574 29,500 20,090 26,551 27,282
7/31/15 32,514 33,695 21,415 29,542 30,610
1/31/16 25,039 26,019 19,726 25,908 26,355
7/31/16 28,742 29,961 22,452 29,545 30,174
1/31/17 27,799 29,059 23,830 27,894 28,645
7/31/17 31,249 32,776 26,032 31,911 32,718
1/31/18 34,621 36,431 29,987 35,520 36,363
7/31/18 35,864 37,870 30,245 36,159 37,301
1/31/19 34,885 36,953 29,334 37,175 38,323
7/31/19 36,242 38,550 32,666 37,707 39,262
1/31/20 38,609 41,206 35,609 41,673 43,066
7/31/20 44,488 47,649 36,596 44,788 47,266
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2020
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2015 through July
31, 2020. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/15 - 7/31/16 136 0 0 0
8/1/16 - 7/31/17 146 0 0 0
8/1/17 - 7/31/18 93 0 0 0
8/1/18 - 7/31/19 147 3 0 0
8/1/19 - 7/31/20 133 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/15 - 7/31/16 115 0 0 0
8/1/16 - 7/31/17 106 0 0 0
8/1/17 - 7/31/18 158 0 0 1
8/1/18 - 7/31/19 98 3 0 0
8/1/19 - 7/31/20 120 0 0 0
Page 13
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)
The First Trust Industrials/Producer Durables AlphaDEX(R) Fund (the "Fund")
seeks investment results that correspond generally to the price and yield
(before the Fund's fees and expenses) of an equity index called the
StrataQuant(R) Industrials Index (the "Industrials Index"). The Fund will
normally invest at least 90% of its net assets (including investment borrowings)
in the common stocks that comprise the Industrials Index. The shares of the Fund
are listed and trade on the NYSE Arca under the ticker symbol "FXR."
The Industrials Index is a modified equal-dollar weighted index designed by IDI
to objectively identify and select stocks from the Russell 1000(R) Index in the
industrials and producer durables sectors that may generate positive alpha
relative to traditional passive-style indices through the use of the AlphaDEX(R)
selection methodology. Alpha is an indication of how much an investment
outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
IDI constructs the Industrials Index using the ICB sector scheme to determine a
stock's sector membership.
------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
7/31/20 7/31/20 7/31/20 to 7/31/20 7/31/20 7/31/20 to 7/31/20
FUND PERFORMANCE
NAV -6.30% 6.82% 10.77% 6.08% 39.10% 178.01% 118.37%
Market Price -6.28% 6.81% 10.78% 6.08% 39.02% 178.30% 118.32%
INDEX PERFORMANCE
StrataQuant(R) Industrials Index -5.67% 7.56% 11.55% 6.85% 43.95% 198.37% 140.13%
Russell 1000(R) Index 12.03% 11.31% 13.85% 8.36% 70.89% 265.96% 189.26%
S&P 500(R) Industrials Index -5.70% 7.60% 11.14% 6.76% 44.24% 187.46% 137.53%
Russell 1000(R) Producer
Durables Index(1) -5.57% 8.19% 11.75% N/A 48.25% 203.83% N/A
------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
The Fund generated a NAV return of -6.30% during the period covered by this
report. During the same period, the S&P 500(R) Industrials Index (the
"Benchmark") generated a return of -5.70%. During the period covered by this
report, the Machinery and the Aerospace & Defense industries received the
largest allocations of the Fund's portfolio with weights of 19.1% and 11.0%,
respectively. The Fund's allocation to the IT Services industry generated the
largest contribution to the Fund's return at 5.0%. The allocation to the
Airlines industry generated the largest negative contribution to the Fund's
return at -7.7%. On a relative basis, the Fund underperformed the Benchmark. The
greatest source of the Fund's underperformance came from the Airlines industry
which caused -2.5% of underperformance for the Fund versus the Benchmark. The
Fund's allocation to the IT Services industry partially offset the negative
performance by adding 2.4% of outperformance for the Fund relative to the
Benchmark.
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Industrials 71.35%
Information Technology 15.79
Materials 9.47
Financials 2.12
Utilities 1.27
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Generac Holdings, Inc. 1.73%
Square, Inc., Class A 1.66
PACCAR, Inc. 1.52
Berry Global Group, Inc. 1.51
PayPal Holdings, Inc. 1.51
Oshkosh Corp. 1.47
J.B. Hunt Transport Services, Inc. 1.44
Trex Co., Inc. 1.44
Textron, Inc. 1.42
Snap-on, Inc. 1.41
-------
Total 15.11%
=======
-----------------------------
(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Producer Durables Index because
performance data does not exist for each of the entire periods using solely the
U.S. sector scheme, or alternatively, using solely the RGS.
StrataQuant(R) and StrataQuant(R) Industrials Index ("Index") are
service/trademarks of ICE Data Indices, LLC or its affiliates ("IDI") and have
been licensed for use by First Trust in connection with the Fund. The Fund is
not sponsored, endorsed, sold or promoted by IDI and IDI makes no
representations or warranties regarding the advisability of investing in the
Fund or as to the result to be obtained by any person from use of the Index in
connection with the trading of the Fund. IDI and its third party suppliers
accept no liability in connection with use of the Index or the Fund. See the
prospectus for a full copy of the disclaimer.
Page 14
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2010 - JULY 31, 2020
First Trust Industrials/ Russell 1000(R)
Producer Durables StrataQuant(R) Russell 1000(R) S&P 500(R) Producer Durables
AlphaDEX(R) Fund Industrials Index Index Industrials Index Index
7/31/10 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/11 12,318 12,368 11,876 12,080 12,205
7/31/11 11,769 11,856 12,068 11,639 11,771
1/31/12 12,158 12,306 12,345 12,316 12,377
7/31/12 11,684 11,868 13,029 12,413 12,405
1/31/13 13,948 14,222 14,447 14,031 14,225
7/31/13 16,114 16,489 16,446 15,972 16,261
1/31/14 18,586 19,096 17,659 17,847 18,226
7/31/14 19,730 20,347 19,252 18,643 19,027
1/31/15 19,797 20,485 20,090 19,774 20,151
7/31/15 19,987 20,729 21,415 19,931 20,496
1/31/16 16,589 17,252 19,726 18,852 19,141
7/31/16 19,820 20,691 22,452 22,016 22,276
1/31/17 23,166 24,320 23,830 24,107 24,604
7/31/17 24,341 25,638 26,032 26,045 26,695
1/31/18 28,990 30,638 29,987 30,296 31,378
7/31/18 28,619 30,340 30,245 29,430 30,662
1/31/19 26,681 28,347 29,334 27,796 29,074
7/31/19 29,669 31,630 32,666 30,484 32,176
1/31/20 30,922 33,075 35,609 32,130 33,840
7/31/20 27,801 29,837 36,596 28,746 30,383
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2020
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2015 through July
31, 2020. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/15 - 7/31/16 153 0 0 0
8/1/16 - 7/31/17 172 0 0 0
8/1/17 - 7/31/18 146 0 0 0
8/1/18 - 7/31/19 142 3 0 1
8/1/19 - 7/31/20 102 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/15 - 7/31/16 98 0 0 0
8/1/16 - 7/31/17 80 0 0 0
8/1/17 - 7/31/18 105 0 1 0
8/1/18 - 7/31/19 103 2 0 0
8/1/19 - 7/31/20 151 0 0 0
Page 15
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ)
The First Trust Materials AlphaDEX(R) Fund (the "Fund") seeks investment results
that correspond generally to the price and yield (before the Fund's fees and
expenses) of an equity index called the StrataQuant(R) Materials Index (the
"Materials Index"). The Fund will normally invest at least 90% of its net assets
(including investment borrowings) in the common stocks that comprise the
Materials Index. The shares of the Fund are listed and trade on the NYSE Arca
under the ticker symbol "FXZ."
The Materials Index is a modified equal-dollar weighted index designed by IDI to
objectively identify and select stocks from the Russell 1000(R) Index in the
materials and processing sector that may generate positive alpha relative to
traditional passive-style indices through the use of the AlphaDEX(R) selection
methodology. Alpha is an indication of how much an investment outperforms or
underperforms on a risk-adjusted basis relative to its benchmark. IDI constructs
the Materials Index using the ICB sector scheme to determine a stock's sector
membership.
------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
7/31/20 7/31/20 7/31/20 to 7/31/20 7/31/20 7/31/20 to 7/31/20
FUND PERFORMANCE
NAV -4.78% 4.63% 7.58% 5.97% 25.41% 107.59% 115.28%
Market Price -4.70% 4.64% 7.58% 5.97% 25.45% 107.59% 115.28%
INDEX PERFORMANCE
StrataQuant(R) Materials Index -4.06% 5.37% 8.38% 6.75% 29.90% 123.58% 137.40%
Russell 1000(R) Index 12.03% 11.31% 13.85% 8.36% 70.89% 265.96% 189.26%
S&P 500(R) Materials Index 6.28% 7.99% 9.33% 5.62% 46.90% 143.92% 106.09%
Russell 1000(R) Materials and
Processing Index(1) 5.70% 8.40% 9.95% N/A 49.64% 158.14% N/A
------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
The Fund generated a NAV return of -4.78% during the period covered by this
report. During the same period, the S&P 500(R) Materials Index (the "Benchmark")
generated a return of 6.28%. During the period covered by this report, the
Chemicals industry received the largest allocation in the Fund with a weight of
42.6%. The largest contribution to the Fund's return was generated by the 20.4%
allocation to the Metals & Mining industry, which provided a 4.2% contribution
to the Fund's return. The Fund's allocation to the Containers & Packaging
industry provided a -4.5% contribution to the Fund's return, which was the
largest negative contribution to the Fund. On a relative basis, the Fund
underperformed the Benchmark. The largest source of this underperformance was
due to the Fund's allocation to the Metals & Mining industry where the Fund's
3.5% contribution from allocation effect was more than offset by the Fund's
security selection effect within the industry, resulting in -3.4% of
underperformance for the Fund compared to the Benchmark. The Fund's relative
underperformance was partially offset by the allocation to the Containers &
Packaging industry which resulted in 2.0% of relative outperformance.
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Materials 84.51%
Industrials 15.49
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Scotts Miracle-Gro (The) Co. 5.44%
Eastman Chemical Co. 4.94
Steel Dynamics, Inc. 4.84
Reliance Steel & Aluminum Co. 4.77
Westlake Chemical Corp. 4.68
Timken (The) Co. 4.63
LyondellBasell Industries N.V.,
Class A 4.38
Newmont Corp. 4.13
CF Industries Holdings, Inc. 4.11
Fastenal Co. 4.05
-------
Total 45.97%
=======
-----------------------------
(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Materials and Processing Index
because performance data does not exist for each of the entire periods using
solely the U.S. sector scheme, or alternatively, using solely the RGS.
StrataQuant(R) and StrataQuant(R) Materials Index ("Index") are
service/trademarks of ICE Data Indices, LLC or its affiliates ("IDI") and have
been licensed for use by First Trust in connection with the Fund. The Fund is
not sponsored, endorsed, sold or promoted by IDI and IDI makes no
representations or warranties regarding the advisability of investing in the
Fund or as to the result to be obtained by any person from use of the Index in
connection with the trading of the Fund. IDI and its third party suppliers
accept no liability in connection with use of the Index or the Fund. See the
prospectus for a full copy of the disclaimer.
Page 16
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2010 - JULY 31, 2020
First Trust Materials StrataQuant(R) Russell 1000(R) S&P 500(R) Russell 1000(R) Materials
AlphaDEX(R) Fund Materials Index Index Materials Index and Processing Index
7/31/10 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/11 12,281 12,329 11,876 12,478 12,528
7/31/11 12,313 12,414 12,068 12,510 12,705
1/31/12 12,165 12,330 12,345 12,527 12,852
7/31/12 11,725 11,929 13,029 11,859 12,218
1/31/13 14,243 14,556 14,447 13,454 14,088
7/31/13 14,703 15,080 16,446 14,081 14,816
1/31/14 16,489 16,978 17,659 15,526 16,279
7/31/14 17,310 17,883 19,252 17,336 17,766
1/31/15 16,069 16,646 20,090 17,064 17,439
7/31/15 16,554 17,212 21,415 16,601 17,249
1/31/16 14,172 14,778 19,726 14,251 15,062
7/31/16 18,785 19,662 22,452 17,996 19,150
1/31/17 20,780 21,821 23,830 19,455 20,833
7/31/17 21,418 22,569 26,032 20,619 22,044
1/31/18 25,252 26,709 29,987 23,979 25,522
7/31/18 24,244 25,734 30,245 22,977 24,583
1/3/119 21,000 22,355 29,334 20,718 22,105
7/31/19 21,803 23,300 32,667 22,944 24,419
1/31/20 21,188 22,734 35,610 22,957 24,532
7/31/20 20,759 22,358 36,596 24,392 25,814
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2020
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2015 through July
31, 2020. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/15 - 7/31/16 147 0 0 0
8/1/16 - 7/31/17 162 0 0 0
8/1/17 - 7/31/18 114 0 0 0
8/1/18 - 7/31/19 76 4 0 0
8/1/19 - 7/31/20 82 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/15 - 7/31/16 104 0 0 0
8/1/16 - 7/31/17 90 0 0 0
8/1/17 - 7/31/18 137 0 0 1
8/1/18 - 7/31/19 169 2 0 0
8/1/19 - 7/31/20 171 0 0 0
Page 17
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL)
The First Trust Technology AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the StrataQuant(R) Technology Index (the
"Technology Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in the common stocks that comprise the
Technology Index. The shares of the Fund are listed and trade on the NYSE Arca
under the ticker symbol "FXL."
The Technology Index is a modified equal-dollar weighted index designed by IDI
to objectively identify and select stocks from the Russell 1000(R) Index in the
technology sector that may generate positive alpha relative to traditional
passive-style indices through the use of the AlphaDEX(R) selection methodology.
Alpha is an indication of how much an investment outperforms or underperforms on
a risk-adjusted basis relative to its benchmark. IDI constructs the Technology
Index using the ICB sector scheme to determine a stock's sector membership.
------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
7/31/20 7/31/20 7/31/20 to 7/31/20 7/31/20 7/31/20 to 7/31/20
FUND PERFORMANCE
NAV 29.33% 21.30% 17.79% 12.33% 162.58% 414.06% 365.74%
Market Price 29.28% 21.28% 17.78% 12.33% 162.37% 413.66% 365.63%
INDEX PERFORMANCE
StrataQuant(R) Technology Index 30.27% 21.94% 18.56% 13.14% 169.65% 448.59% 411.89%
Russell 1000(R) Index 12.03% 11.31% 13.85% 8.36% 70.89% 265.96% 189.26%
S&P 500(R) Information
Technology Index 38.91% 24.03% 20.31% 14.62% 193.54% 535.21% 507.87%
Russell 1000(R) Technology
Index(1) 39.99% 23.51% 19.50% N/A 187.44% 493.61% N/A
------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 29.33% during the period covered by this
report. During the same period, the S&P 500(R) Information Technology Index (the
"Benchmark") generated a return of 38.91%. During the period covered by this
report, the Software industry received the largest allocation to the Fund's
portfolio with a 36.7% weight. This industry also made the largest contribution
to the Fund's return at 20.9%. The allocation to the Communications Equipment
industry caused a -1.0% contribution to the Fund's return, which was the largest
negative contribution to the Fund during the period. On a relative basis, the
Fund underperformed the Benchmark. The largest source of underperformance came
from the Technology Hardware, Storage & Peripherals industry which generated a
-10.8% drag on performance compared to the Benchmark. This underperformance was
partially offset by the Fund's allocation to the IT Services industry which
generated 4.2% of outperformance relative to the Benchmark.
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Information Technology 90.38%
Communication Services 6.95
Health Care 1.40
Consumer Discretionary 1.27
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
IAC/InterActiveCorp 1.99%
Twilio, Inc., Class A 1.96
DocuSign, Inc. 1.95
Zscaler, Inc. 1.84
Globant S.A. 1.79
Fastly, Inc., Class A 1.76
Crowdstrike Holdings, Inc., Class A 1.75
Inphi Corp. 1.72
Coupa Software, Inc. 1.72
Okta, Inc. 1.71
-------
Total 18.19%
=======
-----------------------------
(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Technology Index because performance
data does not exist for each of the entire periods using solely the U.S. sector
scheme, or alternatively, using solely the RGS.
StrataQuant(R) and StrataQuant(R) Technology Index ("Index") are
service/trademarks of ICE Data Indices, LLC or its affiliates ("IDI") and have
been licensed for use by First Trust in connection with the Fund. The Fund is
not sponsored, endorsed, sold or promoted by IDI and IDI makes no
representations or warranties regarding the advisability of investing in the
Fund or as to the result to be obtained by any person from use of the Index in
connection with the trading of the Fund. IDI and its third party suppliers
accept no liability in connection with use of the Index or the Fund. See the
prospectus for a full copy of the disclaimer.
Page 18
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2010 - JULY 31, 2020
First Trust Technology StrataQuant(R) Russell 1000(R) S&P 500(R) Information Russell 1000(R)
AlphaDEX(R) Fund Technology Index Index Technology Index Technology Index
7/31/10 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/11 13,099 13,154 11,876 11,981 12,062
7/31/11 12,039 12,141 12,068 11,920 11,879
1/31/12 12,193 12,350 12,345 12,670 12,604
7/31/12 11,581 11,774 13,029 13,475 13,131
1/31/13 12,679 12,944 14,447 13,700 13,218
7/31/13 14,424 14,782 16,446 14,976 14,423
1/31/14 16,607 17,089 17,659 16,923 16,385
7/31/14 17,682 18,258 19,252 19,187 18,641
1/31/15 18,670 19,339 20,090 20,049 19,359
7/31/15 19,578 20,344 21,415 21,639 20,654
1/31/16 16,997 17,722 19,726 21,020 19,811
7/31/16 19,659 20,566 22,452 23,754 22,541
1/31/17 22,368 23,390 23,830 26,256 25,037
7/31/17 25,699 26,955 26,032 30,756 29,153
1/31/18 31,669 33,330 29,987 37,574 35,493
7/31/18 32,264 34,070 30,245 39,513 37,261
1/31/19 33,777 35,671 29,334 37,233 35,581
7/31/19 39,749 42,113 32,667 45,726 42,409
1/31/20 42,146 44,829 35,610 54,391 50,025
7/31/20 51,406 54,859 36,596 63,521 59,361
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2020
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2015 through July
31, 2020. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/15 - 7/31/16 140 0 0 0
8/1/16 - 7/31/17 168 0 0 0
8/1/17 - 7/31/18 180 1 0 0
8/1/18 - 7/31/19 162 4 0 0
8/1/19 - 7/31/20 129 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/15 - 7/31/16 111 0 0 0
8/1/16 - 7/31/17 84 0 0 0
8/1/17 - 7/31/18 71 0 0 0
8/1/18 - 7/31/19 82 3 0 0
8/1/19 - 7/31/20 124 0 0 0
Page 19
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU)
The First Trust Utilities AlphaDEX(R) Fund (the "Fund") seeks investment results
that correspond generally to the price and yield (before the Fund's fees and
expenses) of an equity index called the StrataQuant(R) Utilities Index (the
"Utilities Index"). The Fund will normally invest at least 90% of its net assets
(including investment borrowings) in the common stocks that comprise the
Utilities Index. The shares of the Fund are listed and trade on the NYSE Arca
under the ticker symbol "FXU."
The Utilities Index is a modified equal-dollar weighted index designed by IDI to
objectively identify and select stocks from the Russell 1000(R) Index in the
utilities sector that may generate positive alpha relative to traditional
passive-style indices through the use of the AlphaDEX(R) selection methodology.
Alpha is an indication of how much an investment outperforms or underperforms on
a risk-adjusted basis relative to its benchmark. IDI constructs the Utilities
Index using the ICB sector scheme to determine a stock's sector membership.
------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
7/31/20 7/31/20 7/31/20 to 7/31/20 7/31/20 7/31/20 to 7/31/20
FUND PERFORMANCE
NAV -0.70% 6.87% 9.20% 5.68% 39.38% 141.16% 107.78%
Market Price -0.67% 6.87% 9.19% 5.68% 39.38% 141.00% 107.76%
INDEX PERFORMANCE
StrataQuant(R) Utilities Index -0.25% 7.54% 10.03% 6.51% 43.85% 159.98% 130.40%
Russell 1000(R) Index 12.03% 11.31% 13.85% 8.36% 70.89% 265.96% 189.26%
S&P 500(R) Utilities Index 5.83% 10.54% 11.34% 6.81% 65.01% 192.75% 139.16%
Russell 1000(R) Utilities
Index(1) 3.30% 8.56% 10.29% N/A 50.78% 166.34% N/A
------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
The Fund generated a NAV return of -0.70% during the period covered by this
report. During the same period, the benchmark S&P 500(R) Utilities Index (the
"Benchmark") generated a return of 5.83%. During the period covered by this
report, the Electric Utilities industry received the largest allocation to the
Fund's portfolio with a 43.8% weight. The Fund's allocation to the Commercial
Services & Supplies industry provided a 2.0% contribution to the Fund's return,
which was the largest contributor to the Fund's return. The Fund's allocation to
the Wireless Telecommunication Services industry provided the largest negative
contribution to the Fund's return at -5.0%. On a relative basis, the Fund
underperformed the Benchmark. The Fund's allocation to the Electric Utilities
industry generated -3.2% of relative underperformance which was the largest
source of relative underperformance during the period covered by this report.
The Fund's allocation to the Multi-Utilities industry reduced some of the Fund's
relative underperformance by generating 0.8% of outperformance compared to the
Benchmark.
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Utilities 94.40%
Industrials 5.60
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Avangrid, Inc. 4.63%
Pinnacle West Capital Corp. 4.42
Exelon Corp. 4.15
Duke Energy Corp. 4.14
UGI Corp. 4.09
NRG Energy, Inc. 4.05
PPL Corp. 4.02
Vistra Corp. 3.91
Public Service Enterprise Group, Inc. 3.55
Entergy Corp. 3.50
-------
Total 40.46%
=======
-----------------------------
(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Utilities Index because performance
data does not exist for each of the entire periods using solely the U.S. sector
scheme, or alternatively, using solely the RGS.
StrataQuant(R) and StrataQuant(R) Utilities Index ("Index") are
service/trademarks of ICE Data Indices, LLC or its affiliates ("IDI") and have
been licensed for use by First Trust in connection with the Fund. The Fund is
not sponsored, endorsed, sold or promoted by IDI and IDI makes no
representations or warranties regarding the advisability of investing in the
Fund or as to the result to be obtained by any person from use of the Index in
connection with the trading of the Fund. IDI and its third party suppliers
accept no liability in connection with use of the Index or the Fund. See the
prospectus for a full copy of the disclaimer.
Page 20
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2010 - JULY 31, 2020
First Trust Utilities StrataQuant(R) Russell 1000(R) S&P 500(R) Russell 1000(R)
AlphaDEX(R) Fund Utilities Index Index Utilities Index Utilities Index
7/31/10 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/11 11,139 11,183 11,876 10,681 11,108
7/31/11 11,703 11,797 12,068 11,409 11,748
1/31/12 11,616 11,757 12,345 12,202 12,139
7/31/12 12,480 12,688 13,029 13,611 14,233
1/31/13 12,996 13,258 14,447 13,451 14,122
7/31/13 14,466 14,888 16,446 14,701 15,466
1/31/14 14,877 15,377 17,659 14,957 15,568
7/31/14 16,359 16,976 19,252 16,062 16,977
1/31/15 18,461 19,217 20,090 19,173 18,235
7/31/15 17,301 18,069 21,415 17,741 17,667
1/31/16 17,481 18,326 19,726 18,699 18,704
7/31/16 21,221 22,338 22,452 21,840 22,025
1/31/17 21,378 22,581 23,830 20,982 21,325
7/31/17 21,978 23,290 26,032 23,086 22,221
1/31/18 20,774 22,084 29,987 22,518 22,318
7/31/18 21,738 23,201 30,245 23,739 22,475
1/31/19 23,110 24,753 29,334 25,013 23,513
7/31/19 24,284 26,060 32,667 27,662 25,789
1/31/20 25,381 27,322 35,610 32,592 29,502
7/31/20 24,116 25,998 36,596 29,275 26,634
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2020
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2015 through July
31, 2020. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/15 - 7/31/16 173 0 0 0
8/1/16 - 7/31/17 119 0 0 0
8/1/17 - 7/31/18 73 0 0 0
8/1/18 - 7/31/19 158 4 0 0
8/1/19 - 7/31/20 122 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/15 - 7/31/16 78 0 0 0
8/1/16 - 7/31/17 133 0 0 0
8/1/17 - 7/31/18 178 0 0 1
8/1/18 - 7/31/19 88 1 0 0
8/1/19 - 7/31/20 131 0 0 0
Page 21
--------------------------------------------------------------------------------
NOTES TO FUND PERFORMANCE OVERVIEW (UNAUDITED)
--------------------------------------------------------------------------------
Total returns for the period since inception are calculated from the inception
date of each Fund. "Average Annual Total Returns" represent the average annual
change in value of an investment over the periods indicated. "Cumulative Total
Returns" represent the total change in value of an investment over the periods
indicated. The total returns would have been lower if certain fees had not been
waived and expenses reimbursed by the Advisor.
Each Fund's per share net asset value ("NAV") is the value of one share of the
Fund and is computed by dividing the value of all assets of the Fund (including
accrued interest and dividends), less all liabilities (including accrued
expenses and dividends declared but unpaid), by the total number of outstanding
shares. The price used to calculate market return ("Market Price") is determined
by using the midpoint between the highest bid and the lowest offer on the stock
exchange on which shares of the Fund are listed for trading as of the time that
the Fund's NAV is calculated. Since shares of each Fund did not trade in the
secondary market until after the Fund's inception, for the period May 8, 2007
(inception) to May 10, 2007 (the first day of secondary market trading) the NAV
of each Fund is used as a proxy for the secondary market trading price to
calculate market returns. NAV and market returns assume that all distributions
have been reinvested in each Fund at NAV and Market Price, respectively.
An index is a statistical composite that tracks a specified financial market or
sector. Unlike each Fund, the indices do not actually hold a portfolio of
securities and therefore do not incur the expenses incurred by each Fund. These
expenses negatively impact the performance of each Fund. Also, market returns do
not include brokerage commissions that may be payable on secondary market
transactions. If brokerage commissions were included, market returns would be
lower. The total returns presented reflect the reinvestment of dividends on
securities in the indices. The returns presented do not reflect the deduction of
taxes that a shareholder would pay on Fund distributions or the redemption or
sale of Fund shares. The investment return and principal value of shares of each
Fund will vary with changes in market conditions. Shares of each Fund may be
worth more or less than their original cost when they are redeemed or sold in
the market. Each Fund's past performance is no guarantee of future performance.
Page 22
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
UNDERSTANDING YOUR FUND EXPENSES
JULY 31, 2020 (UNAUDITED)
As a shareholder of First Trust Consumer Discretionary AlphaDEX(R) Fund, First
Trust Consumer Staples AlphaDEX(R) Fund, First Trust Energy AlphaDEX(R) Fund,
First Trust Financials AlphaDEX(R) Fund, First Trust Health Care AlphaDEX(R)
Fund, First Trust Industrials/Producer Durables AlphaDEX(R) Fund, First Trust
Materials AlphaDEX(R) Fund, First Trust Technology AlphaDEX(R) Fund or First
Trust Utilities AlphaDEX(R) Fund (each a "Fund" and collectively, the "Funds"),
you incur two types of costs: (1) transaction costs; and (2) ongoing costs,
including management fees, distribution and/or service (12b-1) fees, if any, and
other Fund expenses. This Example is intended to help you understand your
ongoing costs of investing in the Funds and to compare these costs with the
ongoing costs of investing in other funds.
The Example is based on an investment of $1,000 invested at the beginning of the
period and held through the six-month period ended July 31, 2020.
ACTUAL EXPENSES
The first line in the following table provides information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over the
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
in the first line under the heading entitled "Expenses Paid During the Six-Month
Period" to estimate the expenses you paid on your account during this six-month
period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line in the following table provides information about hypothetical
account values and hypothetical expenses based on each Fund's actual expense
ratio and an assumed rate of return of 5% per year before expenses, which is not
each Fund's actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare the ongoing costs of
investing in the Funds and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs such as brokerage
commissions. Therefore, the second line in the table is useful in comparing
ongoing costs only, and will not help you determine the relative total costs of
owning different funds. In addition, if these transactional costs were included,
your costs would have been higher.
-----------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
FEBRUARY 1, 2020 JULY 31, 2020 PERIOD PERIOD (a)
-----------------------------------------------------------------------------------------------------------------------
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD)
Actual $1,000.00 $ 917.00 0.62% $2.96
Hypothetical (5% return before expenses) $1,000.00 $1,021.78 0.62% $3.12
FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG)
Actual $1,000.00 $1,030.50 0.64% $3.23
Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.64% $3.22
FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN)
Actual $1,000.00 $ 748.50 0.63% $2.74
Hypothetical (5% return before expenses) $1,000.00 $1,021.73 0.63% $3.17
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)
Actual $1,000.00 $ 798.70 0.63% $2.82
Hypothetical (5% return before expenses) $1,000.00 $1,021.73 0.63% $3.17
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH)
Actual $1,000.00 $1,152.30 0.61% $3.26
Hypothetical (5% return before expenses) $1,000.00 $1,021.83 0.61% $3.07
Page 23
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
UNDERSTANDING YOUR FUND EXPENSES (CONTINUED)
JULY 31, 2020 (UNAUDITED)
-----------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
FEBRUARY 1, 2020 JULY 31, 2020 PERIOD PERIOD (a)
-----------------------------------------------------------------------------------------------------------------------
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)
Actual $1,000.00 $ 899.00 0.65% $3.07
Hypothetical (5% return before expenses) $1,000.00 $1,021.63 0.65% $3.27
FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ)
Actual $1,000.00 $ 979.80 0.68% $3.35
Hypothetical (5% return before expenses) $1,000.00 $1,021.48 0.68% $3.42
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL)
Actual $1,000.00 $1,219.70 0.61% $3.37
Hypothetical (5% return before expenses) $1,000.00 $1,021.83 0.61% $3.07
FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU)
Actual $1,000.00 $ 950.00 0.62% $3.01
Hypothetical (5% return before expenses) $1,000.00 $1,021.78 0.62% $3.12
(a) Expenses are equal to the annualized expense ratio as indicated in the
table multiplied by the average account value over the period (February 1,
2020 through July 31, 2020), multiplied by 182/366 (to reflect the
six-month period).
Page 24
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD)
PORTFOLIO OF INVESTMENTS
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.9%
AIRLINES -- 6.5%
356,849 Alaska Air Group, Inc. $ 12,289,880
255,910 Copa Holdings S.A., Class A 10,604,910
461,287 Delta Air Lines, Inc. 11,518,336
910,090 JetBlue Airways Corp. (a) 9,410,331
290,225 Southwest Airlines Co. 8,965,050
286,627 United Airlines Holdings,
Inc. (a) 8,994,355
---------------
61,782,862
---------------
AUTO COMPONENTS -- 4.4%
127,305 Aptiv PLC 9,897,964
366,549 BorgWarner, Inc. 13,415,693
301,256 Gentex Corp. 8,130,900
90,987 Lear Corp. 10,043,145
---------------
41,487,702
---------------
AUTOMOBILES -- 4.6%
815,792 Ford Motor Co. 5,392,385
392,090 General Motors Co. 9,759,120
326,603 Harley-Davidson, Inc. 8,501,476
11,982 Tesla, Inc. (a) 17,143,367
23,284 Thor Industries, Inc. 2,654,143
---------------
43,450,491
---------------
BUILDING PRODUCTS -- 0.6%
77,580 Fortune Brands Home &
Security, Inc. 5,934,870
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 1.5%
59,571 Copart, Inc. (a) 5,554,995
64,305 IAA, Inc. (a) 2,787,622
117,012 Rollins, Inc. 6,131,429
---------------
14,474,046
---------------
DISTRIBUTORS -- 2.4%
28,523 Genuine Parts Co. 2,571,349
296,317 LKQ Corp. (a) 8,353,176
36,483 Pool Corp. 11,554,166
---------------
22,478,691
---------------
DIVERSIFIED CONSUMER SERVICES
-- 4.8%
192,368 Chegg, Inc. (a) 15,576,037
111,887 frontdoor, Inc. (a) 4,698,695
37,760 Graham Holdings Co., Class B 15,042,451
85,750 Grand Canyon Education,
Inc. (a) 7,609,455
63,764 Service Corp. International 2,764,807
---------------
45,691,445
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 0.5%
75,306 Dolby Laboratories, Inc.,
Class A 5,241,297
---------------
ENTERTAINMENT -- 6.0%
32,670 Activision Blizzard, Inc. 2,699,522
58,792 Electronic Arts, Inc. (a) 8,326,123
17,065 Netflix, Inc. (a) 8,342,737
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
ENTERTAINMENT (CONTINUED)
50,117 Spotify Technology S.A. (a) $ 12,921,165
55,619 Take-Two Interactive Software,
Inc. (a) 9,122,629
22,247 Walt Disney (The) Co. 2,601,564
1,356,294 Zynga, Inc., Class A (a) 13,332,370
---------------
57,346,110
---------------
FOOD & STAPLES RETAILING
-- 1.4%
25,611 Costco Wholesale Corp. 8,337,149
41,414 Walmart, Inc. 5,358,971
---------------
13,696,120
---------------
HOTELS, RESTAURANTS & LEISURE
-- 11.0%
219,764 Aramark 4,641,416
788,015 Carnival Corp. (b) 10,937,648
9,430 Chipotle Mexican Grill,
Inc. (a) 10,893,159
31,435 Choice Hotels International,
Inc. 2,641,797
65,462 Darden Restaurants, Inc. 4,968,566
13,424 Domino's Pizza, Inc. 5,189,853
693,780 Extended Stay America, Inc. 7,916,030
257,286 Hyatt Hotels Corp., Class A 12,349,728
108,917 Las Vegas Sands Corp. 4,753,138
770,181 MGM Resorts International 12,392,212
40,949 Planet Fitness, Inc.,
Class A (a) 2,137,538
98,604 Royal Caribbean Cruises Ltd. 4,803,001
129,098 Six Flags Entertainment Corp. 2,245,014
33,707 Starbucks Corp. 2,579,597
356,453 Wendy's (The) Co. 8,262,580
88,004 Wyndham Destinations, Inc. 2,340,906
58,192 Wyndham Hotels & Resorts,
Inc. 2,569,759
51,593 Yum China Holdings, Inc. 2,643,625
---------------
104,265,567
---------------
HOUSEHOLD DURABLES -- 11.2%
178,896 D.R. Horton, Inc. 11,835,759
50,866 Garmin Ltd. 5,014,879
141,106 Leggett & Platt, Inc. 5,656,940
160,989 Lennar Corp., Class A 11,647,554
127,153 Mohawk Industries, Inc. (a) 10,153,167
2,382 NVR, Inc. (a) 9,361,617
380,220 PulteGroup, Inc. 16,577,592
137,867 Tempur Sealy International,
Inc. (a) 11,160,334
397,032 Toll Brothers, Inc. 15,166,622
59,930 Whirlpool Corp. 9,775,782
---------------
106,350,246
---------------
HOUSEHOLD PRODUCTS -- 0.5%
142,779 Reynolds Consumer Products,
Inc. 4,863,053
---------------
INTERACTIVE MEDIA & SERVICES
-- 0.6%
260,917 TripAdvisor, Inc. 5,278,351
---------------
INTERNET & DIRECT MARKETING
RETAIL -- 5.7%
3,603 Amazon.com, Inc. (a) 11,402,342
148,021 eBay, Inc. 8,182,601
See Notes to Financial Statements Page 25
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
INTERNET & DIRECT MARKETING
RETAIL (CONTINUED)
121,805 Etsy, Inc. (a) $ 14,419,276
30,169 Expedia Group, Inc. 2,443,990
65,478 Wayfair, Inc., Class A (a) 17,423,041
---------------
53,871,250
---------------
IT SERVICES -- 0.2%
307,696 Sabre Corp. 2,326,182
---------------
LEISURE PRODUCTS -- 1.4%
33,086 Hasbro, Inc. 2,407,337
107,182 Polaris, Inc. 11,107,271
---------------
13,514,608
---------------
MEDIA -- 6.6%
613,229 Discovery, Inc., Class A (a) 12,939,132
289,471 Fox Corp., Class A 7,459,668
289,048 Interpublic Group of (The)
Cos., Inc. 5,217,316
225,348 Liberty Media Corp.-Liberty
SiriusXM, Class C (a) 7,884,926
92,763 Nexstar Media Group, Inc.,
Class A 8,130,677
90,842 Omnicom Group, Inc. 4,880,941
844,977 SiriusXM Holdings, Inc. 4,968,465
425,386 ViacomCBS, Inc., Class B 11,089,813
---------------
62,570,938
---------------
MULTILINE RETAIL -- 3.4%
53,518 Dollar Tree, Inc. (a) 4,995,905
477,608 Kohl's Corp. 9,093,656
160,104 Nordstrom, Inc. (b) 2,191,824
101,594 Ollie's Bargain Outlet
Holdings, Inc. (a) 10,677,530
41,364 Target Corp. 5,206,900
---------------
32,165,815
---------------
PERSONAL PRODUCTS -- 0.3%
13,137 Estee Lauder (The) Cos., Inc.,
Class A 2,595,083
---------------
ROAD & RAIL -- 1.4%
32,831 AMERCO 10,431,393
79,795 Uber Technologies, Inc. (a) 2,414,597
---------------
12,845,990
---------------
SOFTWARE -- 2.8%
261,331 2U, Inc. (a) 12,307,383
31,836 Trade Desk (The), Inc.,
Class A (a) 14,368,224
---------------
26,675,607
---------------
SPECIALTY RETAIL -- 15.8%
17,404 Advance Auto Parts, Inc. 2,613,037
131,983 AutoNation, Inc. (a) 6,776,007
6,876 AutoZone, Inc. (a) 8,302,220
113,673 Best Buy Co., Inc. 11,320,694
12,588 Burlington Stores, Inc. (a) 2,366,544
144,486 CarMax, Inc. (a) 14,010,807
107,643 Carvana Co. (a) 16,679,283
23,203 Five Below, Inc. (a) 2,527,039
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
SPECIALTY RETAIL (CONTINUED)
224,449 Floor & Decor Holdings, Inc.,
Class A (a) $ 14,791,189
266,237 Foot Locker, Inc. 7,824,705
30,993 Home Depot (The), Inc. 8,228,332
73,422 Lowe's Cos., Inc. 10,933,270
18,418 O'Reilly Automotive, Inc. (a) 8,792,385
256,262 Penske Automotive Group, Inc. 11,485,663
75,265 Tractor Supply Co. 10,743,326
12,198 Ulta Beauty, Inc. (a) 2,354,092
120,960 Williams-Sonoma, Inc. 10,538,035
---------------
150,286,628
---------------
TEXTILES, APPAREL &
LUXURY GOODS -- 6.3%
827,839 Capri Holdings Ltd. (a) 12,401,028
30,727 Carter's, Inc. 2,418,830
61,557 Columbia Sportswear Co. 4,668,483
687,647 Hanesbrands, Inc. 9,716,452
31,801 Lululemon Athletica, Inc. (a) 10,354,088
50,589 NIKE, Inc., Class B 4,937,992
107,053 Ralph Lauren Corp. 7,632,879
247,408 Skechers U.S.A., Inc.,
Class A (a) 7,244,106
---------------
59,373,858
---------------
TOTAL COMMON STOCKS
-- 99.9% 948,566,810
(Cost $916,109,084) ---------------
MONEY MARKET FUNDS -- 1.4%
12,456,346 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.10% (c) (d) 12,456,346
665,775 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 0.04% (c) 665,775
---------------
TOTAL MONEY MARKET FUNDS
-- 1.4% 13,122,121
(Cost $13,122,121) ---------------
TOTAL INVESTMENTS -- 101.3% 961,688,931
(Cost $929,231,205) (e)
NET OTHER ASSETS AND
LIABILITIES -- (1.3)% (12,740,928)
---------------
NET ASSETS -- 100.0% $ 948,948,003
===============
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The remaining contractual
maturity of all of the securities lending transactions is overnight and
continuous. The aggregate value of such securities is $11,810,851 and the
total value of the collateral held by the Fund is $12,456,346.
(c) Rate shown reflects yield as of July 31, 2020.
(d) This security serves as collateral for securities on loan.
Page 26 See Notes to Financial Statements
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
(e) Aggregate cost for federal income tax purposes is $945,778,182. As of July
31, 2020, the aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost was $74,097,514 and
the aggregate gross unrealized depreciation for all investments in which
there was an excess of tax cost over value was $58,186,765. The net
unrealized appreciation was $15,910,749.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2020
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
--------------------------------------------
Common Stocks* $ 948,566,810 $ -- $ --
Money Market
Funds 13,122,121 -- --
--------------------------------------------
Total Investments $ 961,688,931 $ -- $ --
============================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
-------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 11,810,851
Non-cash Collateral(2) (11,810,851)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At July 31, 2020, the value of the collateral received from each borrower
exceeded the value of the related securities loaned. This amount is
disclosed on the Portfolio of Investments.
See Notes to Financial Statements Page 27
FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG)
PORTFOLIO OF INVESTMENTS
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.8%
BEVERAGES -- 12.8%
18,898 Boston Beer (The) Co., Inc.,
Class A (a) $ 15,315,695
45,397 Coca-Cola (The) Co. 2,144,554
177,100 Molson Coors Beverage Co.,
Class B 6,644,792
87,783 Monster Beverage Corp. (a) 6,889,210
15,336 PepsiCo, Inc. 2,111,154
---------------
33,105,405
---------------
CHEMICALS -- 1.7%
151,428 Corteva, Inc. 4,324,784
---------------
FOOD & STAPLES RETAILING
-- 20.2%
40,698 Casey's General Stores, Inc. 6,478,714
248,576 Grocery Outlet Holding
Corp. (a) 10,934,858
179,767 Kroger (The) Co. 6,254,094
396,323 Sprouts Farmers Market,
Inc. (a) 10,455,001
37,109 Sysco Corp. 1,961,211
308,577 US Foods Holding Corp. (a) 6,264,113
239,252 Walgreens Boots Alliance, Inc. 9,739,949
---------------
52,087,940
---------------
FOOD PRODUCTS -- 34.4%
203,346 Archer-Daniels-Midland Co. 8,709,309
60,557 Beyond Meat, Inc. (a) 7,624,126
81,740 Campbell Soup Co. 4,051,852
115,347 Conagra Brands, Inc. 4,319,745
65,804 General Mills, Inc. 4,163,419
84,044 Hormel Foods Corp. 4,274,478
97,753 Ingredion, Inc. 8,455,635
76,679 J.M. Smucker (The) Co. 8,384,849
30,706 Kellogg Co. 2,118,407
190,817 Kraft Heinz (The) Co. 6,560,288
31,728 Lamb Weston Holdings, Inc. 1,906,218
22,611 McCormick & Co., Inc. 4,406,884
79,342 Mondelez International, Inc.,
Class A 4,402,688
600,468 Pilgrim's Pride Corp. (a) 9,217,184
169,852 Tyson Foods, Inc., Class A 10,437,405
---------------
89,032,487
---------------
HEALTH CARE PROVIDERS &
SERVICES -- 9.2%
80,516 AmerisourceBergen Corp. 8,066,898
124,881 CVS Health Corp. 7,860,010
52,884 McKesson Corp. 7,941,062
---------------
23,867,970
---------------
HOUSEHOLD PRODUCTS -- 10.3%
52,481 Church & Dwight Co., Inc. 5,055,495
27,740 Clorox (The) Co. 6,560,787
213,559 Energizer Holdings, Inc. 10,705,712
14,350 Kimberly-Clark Corp. 2,181,774
16,964 Procter & Gamble (The) Co. 2,224,320
---------------
26,728,088
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MULTILINE RETAIL -- 3.9%
53,235 Dollar General Corp. $ 10,135,944
---------------
PERSONAL PRODUCTS -- 6.4%
135,285 Herbalife Nutrition
Ltd. (a) (b) 6,932,003
212,228 Nu Skin Enterprises, Inc.,
Class A 9,518,426
---------------
16,450,429
---------------
TOBACCO -- 0.9%
28,952 Philip Morris International,
Inc. 2,223,803
---------------
TOTAL COMMON STOCKS
-- 99.8% 257,956,850
(Cost $238,696,374) ---------------
MONEY MARKET FUNDS -- 2.7%
6,340,570 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.10% (c) (d) 6,340,570
504,895 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 0.04% (c) 504,895
---------------
TOTAL MONEY MARKET FUNDS
-- 2.7% 6,845,465
(Cost $6,845,465) ---------------
TOTAL INVESTMENTS -- 102.5% 264,802,315
(Cost $245,541,839) (e)
NET OTHER ASSETS AND
LIABILITIES -- (2.5)% (6,373,453)
---------------
NET ASSETS -- 100.0% $ 258,428,862
===============
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The remaining contractual
maturity of all of the securities lending transactions is overnight and
continuous. The aggregate value of such securities is $6,235,908 and the
total value of the collateral held by the Fund is $6,340,570.
(c) Rate shown reflects yield as of July 31, 2020.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $246,924,564. As of July
31, 2020, the aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost was $34,322,403 and
the aggregate gross unrealized depreciation for all investments in which
there was an excess of tax cost over value was $16,444,652. The net
unrealized appreciation was $17,877,751.
Page 28 See Notes to Financial Statements
FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2020
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
--------------------------------------------
Common Stocks* $ 257,956,850 $ -- $ --
Money Market
Funds 6,845,465 -- --
--------------------------------------------
Total Investments $ 264,802,315 $ -- $ --
============================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
-------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 6,235,908
Non-cash Collateral(2) (6,235,908)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At July 31, 2020, the value of the collateral received from each borrower
exceeded the value of the related securities loaned. This amount is
disclosed on the Portfolio of Investments.
See Notes to Financial Statements Page 29
FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN)
PORTFOLIO OF INVESTMENTS
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.6%
CHEMICALS -- 2.6%
794,334 Valvoline, Inc. $ 16,299,734
---------------
ENERGY EQUIPMENT & SERVICES
-- 6.5%
665,124 Baker Hughes Co. 10,302,771
394,312 Halliburton Co. 5,650,491
524,672 Helmerich & Payne, Inc. 9,354,902
835,619 National Oilwell Varco, Inc. 9,617,974
278,307 Schlumberger Ltd. 5,048,489
---------------
39,974,627
---------------
OIL, GAS & CONSUMABLE FUELS
-- 77.0%
2,007,120 Antero Midstream Corp. 11,380,370
379,123 Apache Corp. 5,819,538
1,191,653 Cabot Oil & Gas Corp. 22,283,911
317,771 Cheniere Energy, Inc. (a) 15,723,309
229,434 Chevron Corp. 19,258,690
372,368 Cimarex Energy Co. 9,108,121
99,380 Concho Resources, Inc. 5,221,425
609,013 ConocoPhillips 22,770,996
1,459,825 Continental Resources,
Inc. (b) 25,240,374
1,354,008 Devon Energy Corp. 14,203,544
489,546 Diamondback Energy, Inc. 19,513,304
505,145 EOG Resources, Inc. 23,666,043
860,194 EQT Corp. 12,490,017
1,847,713 Equitrans Midstream Corp. 17,830,430
572,247 Exxon Mobil Corp. 24,080,154
98,790 Hess Corp. 4,861,456
701,115 HollyFrontier Corp. 19,280,663
1,349,551 Kinder Morgan, Inc. 19,028,669
4,181,496 Marathon Oil Corp. 22,956,413
273,847 Marathon Petroleum Corp. 10,460,955
1,483,526 Murphy Oil Corp. 19,597,379
571,222 Noble Energy, Inc. 5,706,508
1,118,724 Occidental Petroleum Corp. 17,608,716
462,205 ONEOK, Inc. 12,900,142
479,229 Parsley Energy, Inc., Class A 5,261,934
142,373 Phillips 66 8,829,973
209,546 Pioneer Natural Resources Co. 20,309,198
255,018 Targa Resources Corp. 4,661,729
261,046 Valero Energy Corp. 14,678,617
807,281 Williams (The) Cos., Inc. 15,443,286
4,011,096 WPX Energy, Inc. (a) 23,946,243
---------------
474,122,107
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 13.5%
537,963 Enphase Energy, Inc. (a) 32,471,447
310,196 First Solar, Inc. (a) 18,472,172
184,396 SolarEdge Technologies,
Inc. (a) 32,287,739
---------------
83,231,358
---------------
TOTAL COMMON STOCKS
-- 99.6% 613,627,826
(Cost $660,407,830) ---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
WARRANTS -- 0.1%
OIL, GAS & CONSUMABLE FUELS
-- 0.1%
69,845 Occidental Petroleum Corp.,
expiring 08/03/27 (a) $ 391,132
(Cost $0) ---------------
MONEY MARKET FUNDS -- 3.9%
23,299,954 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.10% (c) (d) 23,299,954
404,449 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 0.04% (c) 404,449
---------------
TOTAL MONEY MARKET FUNDS
-- 3.9% 23,704,403
(Cost $23,704,403) ---------------
TOTAL INVESTMENTS -- 103.6% 637,723,361
(Cost $684,112,233) (e)
NET OTHER ASSETS AND
LIABILITIES -- (3.6)% (21,928,314)
---------------
NET ASSETS -- 100.0% $ 615,795,047
===============
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The remaining contractual
maturity of all of the securities lending transactions is overnight and
continuous. The aggregate value of such securities is $22,716,329 and the
total value of the collateral held by the Fund is $23,299,954.
(c) Rate shown reflects yield as of July 31, 2020.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $706,634,960. As of July
31, 2020, the aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost was $16,291,470 and
the aggregate gross unrealized depreciation for all investments in which
there was an excess of tax cost over value was $85,203,069. The net
unrealized depreciation was $68,911,599.
Page 30 See Notes to Financial Statements
FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2020
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
--------------------------------------------
Common Stocks* $ 613,627,826 $ -- $ --
Warrants* 391,132 -- --
Money Market
Funds 23,704,403 -- --
--------------------------------------------
Total Investments $ 637,723,361 $ -- $ --
============================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
-------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 22,716,329
Non-cash Collateral(2) (22,716,329)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At July 31, 2020, the value of the collateral received from each borrower
exceeded the value of the related securities loaned. This amount is
disclosed on the Portfolio of Investments.
See Notes to Financial Statements Page 31
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)
PORTFOLIO OF INVESTMENTS
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.8%
BANKS -- 33.2%
496,209 Associated Banc-Corp. $ 6,371,324
142,908 Bank of America Corp. 3,555,551
289,226 Bank OZK 6,955,885
120,272 BOK Financial Corp. 6,699,150
132,840 Citigroup, Inc. 6,643,328
201,708 Citizens Financial Group, Inc. 5,004,376
178,166 Comerica, Inc. 6,862,954
22,715 Cullen/Frost Bankers, Inc. 1,636,843
187,311 East West Bancorp, Inc. 6,492,199
905,086 F.N.B. Corp. 6,706,687
352,082 Fifth Third Bancorp 6,992,349
8,380 First Citizens BancShares,
Inc., Class A 3,568,791
295,308 First Hawaiian, Inc. 5,132,453
511,155 First Horizon National Corp. 4,738,407
751,316 Huntington Bancshares, Inc. 6,964,699
36,084 JPMorgan Chase & Co. 3,487,158
417,989 KeyCorp 5,020,048
65,290 M&T Bank Corp. 6,917,476
440,026 People's United Financial,
Inc. 4,747,881
80,830 Pinnacle Financial Partners,
Inc. 3,202,485
48,390 PNC Financial Services Group
(The), Inc. 5,161,761
228,280 Popular, Inc. 8,471,471
28,579 Prosperity Bancshares, Inc. 1,587,849
457,833 Regions Financial Corp. 4,972,066
15,872 Signature Bank 1,627,356
723,991 Sterling Bancorp 8,144,899
7,874 SVB Financial Group (a) 1,765,902
330,645 Synovus Financial Corp. 6,662,497
115,366 TCF Financial Corp. 3,171,411
45,194 Truist Financial Corp. 1,692,967
92,180 U.S. Bancorp 3,395,911
177,949 Webster Financial Corp. 4,852,669
265,162 Wells Fargo & Co. 6,432,830
89,624 Western Alliance Bancorp 3,221,983
116,715 Wintrust Financial Corp. 4,995,402
149,739 Zions Bancorp N.A. 4,862,025
---------------
178,719,043
---------------
CAPITAL MARKETS -- 23.9%
45,521 Affiliated Managers Group,
Inc. 3,131,390
22,621 Ameriprise Financial, Inc. 3,475,264
170,986 Ares Management Corp.,
Class A 6,829,181
175,631 Bank of New York Mellon (The)
Corp. 6,296,371
18,193 Cboe Global Markets, Inc. 1,595,526
131,894 Eaton Vance Corp. 4,766,649
144,012 Evercore, Inc., Class A 7,963,864
5,167 FactSet Research Systems, Inc. 1,789,332
404,634 Franklin Resources, Inc. 8,517,546
25,762 Goldman Sachs Group (The),
Inc. 5,099,846
788,585 Invesco Ltd. 7,917,393
64,938 LPL Financial Holdings, Inc. 5,131,401
16,939 MarketAxess Holdings, Inc. 8,752,381
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
CAPITAL MARKETS (CONTINUED)
18,531 Moody's Corp. $ 5,212,770
105,406 Morgan Stanley 5,152,245
12,038 Morningstar, Inc. 2,022,866
5,084 MSCI, Inc. 1,911,482
21,390 Northern Trust Corp. 1,675,906
49,311 Raymond James Financial, Inc. 3,426,128
20,603 S&P Global, Inc. 7,216,201
61,733 SEI Investments Co. 3,230,488
53,408 State Street Corp. 3,406,896
41,223 T. Rowe Price Group, Inc. 5,692,896
93,295 TD Ameritrade Holding Corp. 3,348,358
116,755 Tradeweb Markets, Inc.,
Class A 6,312,943
359,541 Virtu Financial, Inc., Class A 8,916,617
---------------
128,791,940
---------------
CONSUMER FINANCE -- 8.6%
427,896 Ally Financial, Inc. 8,600,709
8,100 Credit Acceptance Corp. (a) (b) 3,790,314
101,639 Discover Financial Services 5,024,016
11,723 LendingTree, Inc. (a) (b) 4,059,558
345,769 OneMain Holdings, Inc. 9,923,570
460,900 Santander Consumer USA
Holdings, Inc. (b) 8,462,124
965,596 SLM Corp. 6,537,085
---------------
46,397,376
---------------
DIVERSIFIED FINANCIAL SERVICES
-- 3.7%
439,875 Equitable Holdings, Inc. 8,999,843
545,670 Jefferies Financial Group, Inc. 8,839,854
36,378 Voya Financial, Inc. 1,797,073
---------------
19,636,770
---------------
INSURANCE -- 28.2%
141,302 Aflac, Inc. 5,026,112
69,988 Allstate (The) Corp. 6,606,167
26,742 American Financial Group, Inc. 1,625,111
272,135 American International Group,
Inc. 8,746,419
236,933 Arch Capital Group Ltd. (a) 7,285,690
347,611 Assured Guaranty Ltd. 7,588,348
54,410 Athene Holding Ltd.,
Class A (a) 1,754,723
305,003 Brighthouse Financial,
Inc. (a) 8,643,785
41,635 Brown & Brown, Inc. 1,893,143
13,403 Chubb Ltd. 1,705,398
52,785 CNA Financial Corp. 1,757,740
16,460 Everest Re Group Ltd. 3,601,283
276,751 Fidelity National Financial,
Inc. 8,955,662
176,701 First American Financial Corp. 9,013,518
45,724 Globe Life, Inc. 3,639,630
16,748 Hanover Insurance Group
(The), Inc. 1,706,286
220,109 Hartford Financial Services
Group (The), Inc. 9,315,013
70,203 Kemper Corp. 5,512,340
46,128 Lincoln National Corp. 1,719,191
31,611 Marsh & McLennan Cos., Inc. 3,685,843
232,343 MetLife, Inc. 8,794,183
14,554 Primerica, Inc. 1,741,532
Page 32 See Notes to Financial Statements
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
81,706 Principal Financial Group,
Inc. $ 3,466,786
63,552 Progressive (The) Corp. 5,741,288
111,464 Prudential Financial, Inc. 7,063,474
86,539 Reinsurance Group of America,
Inc. 7,377,450
19,845 RenaissanceRe Holdings Ltd. 3,579,641
44,639 Travelers (The) Cos., Inc. 5,107,594
511,463 Unum Group 8,812,507
---------------
151,465,857
---------------
MORTGAGE REAL ESTATE
INVESTMENT TRUSTS -- 0.3%
113,438 Starwood Property Trust, Inc. 1,695,898
---------------
THRIFTS & MORTGAGE FINANCE
-- 1.9%
1,036,041 MGIC Investment Corp. 8,568,059
166,376 New York Community Bancorp,
Inc. 1,751,939
---------------
10,319,998
---------------
TOTAL COMMON STOCKS
-- 99.8% 537,026,882
(Cost $606,194,916) ---------------
MONEY MARKET FUNDS -- 1.4%
6,921,703 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.10% (c) (d) 6,921,703
949,461 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 0.04% (c) 949,461
---------------
TOTAL MONEY MARKET FUNDS
-- 1.4% 7,871,164
(Cost $7,871,164) ---------------
TOTAL INVESTMENTS -- 101.2% 544,898,046
(Cost $614,066,080) (e)
NET OTHER ASSETS AND
LIABILITIES -- (1.2)% (6,726,017)
---------------
NET ASSETS -- 100.0% $ 538,172,029
===============
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The remaining contractual
maturity of all of the securities lending transactions is overnight and
continuous. The aggregate value of such securities is $6,644,839 and the
total value of the collateral held by the Fund is $6,921,703.
(c) Rate shown reflects yield as of July 31, 2020.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $620,811,459. As of July
31, 2020, the aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost was $18,818,528 and
the aggregate gross unrealized depreciation for all investments in which
there was an excess of tax cost over value was $94,731,941. The net
unrealized depreciation was $75,913,413.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2020
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
--------------------------------------------
Common Stocks* $ 537,026,882 $ -- $ --
Money Market
Funds 7,871,164 -- --
--------------------------------------------
Total Investments $ 544,898,046 $ -- $ --
============================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
-------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 6,644,839
Non-cash Collateral(2) (6,644,839)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At July 31, 2020, the value of the collateral received from each borrower
exceeded the value of the related securities loaned. This amount is
disclosed on the Portfolio of Investments.
See Notes to Financial Statements Page 33
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH)
PORTFOLIO OF INVESTMENTS
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 100.0%
BIOTECHNOLOGY -- 28.1%
152,524 AbbVie, Inc. $ 14,476,053
308,950 ACADIA Pharmaceuticals,
Inc. (a) 12,843,051
157,184 Acceleron Pharma, Inc. (a) 15,587,937
373,344 Agios Pharmaceuticals,
Inc. (a) 16,919,950
222,362 Alexion Pharmaceuticals,
Inc. (a) 22,789,881
168,511 Alnylam Pharmaceuticals,
Inc. (a) 24,562,163
93,283 Biogen, Inc. (a) 25,623,907
202,352 BioMarin Pharmaceutical,
Inc. (a) 24,243,793
114,829 Exact Sciences Corp. (a) 10,880,048
841,046 Exelixis, Inc. (a) 19,419,752
64,877 Gilead Sciences, Inc. 4,510,898
281,694 Immunomedics, Inc. (a) 11,895,938
192,039 Incyte Corp. (a) 18,965,772
169,323 Ionis Pharmaceuticals,
Inc. (a) 9,746,232
155,479 Moderna, Inc. (a) 11,520,994
204,574 Neurocrine Biosciences,
Inc. (a) 24,622,527
40,020 Regeneron Pharmaceuticals,
Inc. (a) 25,295,441
124,525 Sarepta Therapeutics, Inc. (a) 19,117,078
146,881 Seattle Genetics, Inc. (a) 24,421,904
206,265 United Therapeutics Corp. (a) 22,992,360
68,777 Vertex Pharmaceuticals,
Inc. (a) 18,707,344
---------------
379,143,023
---------------
HEALTH CARE EQUIPMENT
& SUPPLIES -- 24.0%
54,595 Abbott Laboratories 5,494,441
61,992 ABIOMED, Inc. (a) 18,593,880
54,565 Align Technology, Inc. (a) 16,032,288
568,683 Boston Scientific Corp. (a) 21,934,103
61,563 DexCom, Inc. (a) 26,813,149
72,227 Edwards Lifesciences Corp. (a) 5,663,319
710,044 Envista Holdings Corp. (a) 15,528,662
104,623 Globus Medical, Inc.,
Class A (a) 5,040,736
262,717 Hologic, Inc. (a) 18,332,392
45,357 IDEXX Laboratories, Inc. (a) 18,040,747
77,087 Insulet Corp. (a) 15,676,412
8,759 Intuitive Surgical, Inc. (a) 6,003,769
65,682 Masimo Corp. (a) 14,457,922
54,435 Medtronic PLC 5,251,889
27,913 Penumbra, Inc. (a) 6,194,174
111,550 Quidel Corp. (a) 31,509,528
103,993 ResMed, Inc. 21,059,622
32,531 STERIS PLC 5,192,924
252,304 Tandem Diabetes Care, Inc. (a) 26,355,676
13,715 Teleflex, Inc. 5,117,067
40,741 Varian Medical Systems,
Inc. (a) 5,814,556
109,865 West Pharmaceutical Services,
Inc. 29,539,403
---------------
323,646,659
---------------
HEALTH CARE PROVIDERS
& SERVICES -- 20.9%
596,132 Acadia Healthcare Co.,
Inc. (a) 17,770,695
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
HEALTH CARE PROVIDERS
& SERVICES
(CONTINUED)
75,424 Amedisys, Inc. (a) $ 17,661,284
56,943 Anthem, Inc. 15,590,993
286,929 Cardinal Health, Inc. 15,672,062
314,185 Centene Corp. (a) 20,500,571
22,133 Chemed Corp. 10,893,641
106,403 Cigna Corp. 18,374,734
126,146 DaVita, Inc. (a) 11,023,899
80,600 Encompass Health Corp. 5,487,248
61,527 Guardant Health, Inc. (a) 5,240,870
51,428 HCA Healthcare, Inc. 6,512,842
341,950 Henry Schein, Inc. (a) 23,502,224
64,367 Humana, Inc. 25,260,829
60,101 Laboratory Corp. of America
Holdings (a) 11,594,685
112,184 Molina Healthcare, Inc. (a) 20,720,385
87,602 Quest Diagnostics, Inc. 11,131,586
50,772 UnitedHealth Group, Inc. 15,372,746
268,685 Universal Health Services,
Inc., Class B 29,528,482
---------------
281,839,776
---------------
HEALTH CARE TECHNOLOGY -- 1.8%
104,623 Teladoc Health, Inc. (a) 24,861,563
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 15.5%
412,701 Adaptive Biotechnologies
Corp. (a) 15,402,001
112,971 Agilent Technologies, Inc. 10,882,496
587,248 Avantor, Inc. (a) 12,966,436
55,280 Bio-Rad Laboratories, Inc.,
Class A (a) 29,015,919
56,709 Bio-Techne Corp. 15,604,048
143,148 Charles River Laboratories
International, Inc. (a) 28,485,021
26,957 Illumina, Inc. (a) 10,301,887
70,363 IQVIA Holdings, Inc. (a) 11,144,796
101,775 PerkinElmer, Inc. 12,102,065
51,307 PRA Health Sciences, Inc. (a) 5,467,274
161,527 Repligen Corp. (a) 24,376,040
342,772 Syneos Health, Inc. (a) 21,385,545
27,553 Thermo Fisher Scientific, Inc. 11,405,564
---------------
208,539,092
---------------
PHARMACEUTICALS -- 9.7%
169,783 Bristol-Myers Squibb Co. 9,959,471
60,807 Eli Lilly and Co. 9,138,684
449,047 Horizon Therapeutics PLC (a) 27,477,186
135,715 Jazz Pharmaceuticals PLC (a) 14,691,149
35,496 Johnson & Johnson 5,173,897
64,550 Merck & Co., Inc. 5,179,492
1,241,693 Mylan N.V. (a) 20,003,674
180,627 Perrigo Co. PLC 9,576,844
610,594 Pfizer, Inc. 23,495,657
36,424 Zoetis, Inc. 5,524,792
---------------
130,220,846
---------------
TOTAL COMMON STOCKS
-- 100.0% 1,348,250,959
(Cost $1,211,252,237) ---------------
Page 34 See Notes to Financial Statements
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MONEY MARKET FUNDS -- 0.0%
687,875 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 0.04% (b) $ 687,875
(Cost $687,875) ---------------
TOTAL INVESTMENTS -- 100.0% 1,348,938,834
(Cost $1,211,940,112) (c)
NET OTHER ASSETS AND
LIABILITIES -- (0.0)% (630,081)
---------------
NET ASSETS -- 100.0% $ 1,348,308,753
===============
(a) Non-income producing security.
(b) Rate shown reflects yield as of July 31, 2020.
(c) Aggregate cost for federal income tax purposes is $1,231,732,470. As of
July 31, 2020, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$152,307,856 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$35,101,492. The net unrealized appreciation was $117,206,364.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2020
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
--------------------------------------------
Common Stocks* $1,348,250,959 $ -- $ --
Money Market
Funds 687,875 -- --
--------------------------------------------
Total Investments $1,348,938,834 $ -- $ --
============================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 35
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)
PORTFOLIO OF INVESTMENTS
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 10.7%
24,573 Axon Enterprise, Inc. (a) $ 2,042,753
24,519 BWX Technologies, Inc. 1,336,776
27,006 Curtiss-Wright Corp. 2,406,775
9,293 General Dynamics Corp. 1,363,655
116,836 Howmet Aerospace, Inc. 1,726,836
10,615 Huntington Ingalls Industries,
Inc. 1,843,932
1,268 Lockheed Martin Corp. 480,534
11,771 Mercury Systems, Inc. (a) 911,428
30,051 Raytheon Technologies Corp. 1,703,291
77,353 Spirit AeroSystems Holdings,
Inc., Class A 1,513,798
1,490 Teledyne Technologies,
Inc. (a) 456,983
73,271 Textron, Inc. 2,560,089
2,093 TransDigm Group, Inc. 903,297
---------------
19,250,147
---------------
AIR FREIGHT & LOGISTICS
-- 2.9%
5,854 C.H. Robinson Worldwide, Inc. 548,637
6,089 Expeditors International of
Washington, Inc. 514,582
12,491 United Parcel Service, Inc.,
Class B 1,783,215
31,215 XPO Logistics, Inc. (a) 2,341,749
---------------
5,188,183
---------------
BUILDING PRODUCTS -- 4.2%
9,824 A.O. Smith Corp. 472,927
83,341 Carrier Global Corp. 2,270,209
27,120 Johnson Controls International
PLC 1,043,578
10,407 Trane Technologies PLC 1,164,231
18,538 Trex Co., Inc. (a) 2,582,899
---------------
7,533,844
---------------
CHEMICALS -- 2.2%
20,531 Axalta Coating Systems
Ltd. (a) 455,788
4,367 PPG Industries, Inc. 470,108
18,504 RPM International, Inc. 1,509,741
2,404 Sherwin-Williams (The) Co. 1,557,600
---------------
3,993,237
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 1.4%
58,014 ADT, Inc. (b) 499,501
6,950 Cintas Corp. 2,097,996
---------------
2,597,497
---------------
CONSTRUCTION & ENGINEERING
-- 2.1%
47,206 Quanta Services, Inc. 1,886,824
16,299 Valmont Industries, Inc. 1,975,439
---------------
3,862,263
---------------
CONSTRUCTION MATERIALS -- 1.0%
4,481 Martin Marietta Materials,
Inc. 928,373
7,992 Vulcan Materials Co. 938,421
---------------
1,866,794
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
CONSUMER FINANCE -- 2.1%
22,191 Capital One Financial Corp. $ 1,415,786
108,810 Synchrony Financial 2,407,965
---------------
3,823,751
---------------
CONTAINERS & PACKAGING -- 6.2%
4,134 AptarGroup, Inc. 476,237
54,408 Berry Global Group, Inc. (a) 2,719,856
7,110 Crown Holdings, Inc. (a) 508,934
66,187 Graphic Packaging Holding Co. 922,647
18,554 Packaging Corp. of America 1,783,410
28,586 Silgan Holdings, Inc. 1,093,415
26,560 Sonoco Products Co. 1,374,214
85,327 WestRock Co. 2,291,883
---------------
11,170,596
---------------
ELECTRICAL EQUIPMENT -- 9.2%
25,184 Acuity Brands, Inc. 2,495,734
10,359 AMETEK, Inc. 965,977
15,874 Eaton Corp. PLC 1,478,346
14,928 Emerson Electric Co. 925,685
19,776 Generac Holdings, Inc. (a) 3,116,302
11,081 Hubbell, Inc. 1,495,603
98,869 nVent Electric PLC 1,795,461
21,206 Regal Beloit Corp. 1,950,316
8,694 Rockwell Automation, Inc. 1,896,509
12,436 Sensata Technologies Holding
PLC (a) 472,319
---------------
16,592,252
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 1.2%
35,879 National Instruments Corp. 1,273,704
21,439 Trimble, Inc. (a) 954,250
---------------
2,227,954
---------------
INDUSTRIAL CONGLOMERATES
-- 2.6%
2,969 3M Co. 446,745
15,476 Carlisle Cos., Inc. 1,842,882
135,566 General Electric Co. 822,886
6,402 Honeywell International, Inc. 956,267
1,192 Roper Technologies, Inc. 515,480
---------------
4,584,260
---------------
IT SERVICES -- 11.3%
8,623 Accenture PLC, Class A 1,938,278
30,780 Alliance Data Systems Corp. 1,365,401
23,805 Booz Allen Hamilton Holding
Corp. 1,946,297
3,668 Broadridge Financial Solutions,
Inc. 492,759
9,663 Euronet Worldwide, Inc. (a) 929,001
1,841 FleetCor Technologies,
Inc. (a) 476,027
38,033 Genpact Ltd. 1,514,474
7,547 Jack Henry & Associates, Inc. 1,345,630
1,566 Mastercard, Inc., Class A 483,158
13,842 PayPal Holdings, Inc. (a) 2,714,001
22,976 Square, Inc., Class A (a) 2,983,434
47,779 StoneCo., Ltd., Class A (a) 2,279,536
2,397 Visa, Inc., Class A 456,389
Page 36 See Notes to Financial Statements
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
IT SERVICES (CONTINUED)
42,826 Western Union (The) Co. $ 1,039,815
2,806 WEX, Inc. (a) 444,386
---------------
20,408,586
---------------
MACHINERY -- 18.7%
16,698 AGCO Corp. 1,095,890
65,557 Allison Transmission Holdings,
Inc. 2,449,209
10,981 Caterpillar, Inc. 1,459,155
33,186 Colfax Corp. (a) 965,049
10,689 Cummins, Inc. 2,065,756
2,946 Deere & Co. 519,409
9,953 Donaldson Co., Inc. 481,128
9,590 Dover Corp. 987,099
32,465 Flowserve Corp. 904,800
9,646 Graco, Inc. 513,553
31,525 ITT, Inc. 1,819,938
10,994 Lincoln Electric Holdings,
Inc. 993,748
23,459 Middleby (The) Corp. (a) 1,948,505
7,319 Nordson Corp. 1,417,178
33,667 Oshkosh Corp. 2,650,266
32,215 PACCAR, Inc. 2,740,852
5,052 Parker-Hannifin Corp. 903,904
36,561 Pentair PLC 1,566,639
17,410 Snap-on, Inc. 2,539,597
3,322 Stanley Black & Decker, Inc. 509,329
113,259 Trinity Industries, Inc. 2,211,948
24,126 Westinghouse Air Brake
Technologies Corp. 1,500,396
17,908 Woodward, Inc. 1,342,025
---------------
33,585,373
---------------
MULTI-UTILITIES -- 1.3%
108,712 MDU Resources Group, Inc. 2,280,778
---------------
PROFESSIONAL SERVICES -- 6.6%
35,871 CoreLogic, Inc. 2,444,967
10,775 Equifax, Inc. 1,751,584
8,083 FTI Consulting, Inc. (a) 965,434
35,074 ManpowerGroup, Inc. 2,412,741
26,289 Robert Half International, Inc. 1,337,321
21,277 TransUnion 1,905,781
5,441 Verisk Analytics, Inc. 1,026,771
---------------
11,844,599
---------------
ROAD & RAIL -- 7.1%
13,278 CSX Corp. 947,252
20,036 J.B. Hunt Transport Services,
Inc. 2,592,658
3,100 Kansas City Southern 532,735
44,396 Knight-Swift Transportation
Holdings, Inc. 1,930,782
4,121 Landstar System, Inc. 501,855
5,275 Norfolk Southern Corp. 1,013,908
8,190 Old Dominion Freight Line,
Inc. 1,497,296
49,368 Ryder System, Inc. 1,808,350
56,298 Schneider National, Inc.,
Class B 1,414,769
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
ROAD & RAIL (CONTINUED)
2,737 Union Pacific Corp. $ 474,459
---------------
12,714,064
---------------
SOFTWARE -- 3.2%
4,431 Fair Isaac Corp. (a) 1,946,051
16,526 Paylocity Holding Corp. (a) 2,201,263
76,949 Pluralsight, Inc., Class A (a) 1,629,010
---------------
5,776,324
---------------
TRADING COMPANIES
& DISTRIBUTORS -- 5.2%
82,323 Air Lease Corp. 2,158,509
40,082 HD Supply Holdings, Inc. (a) 1,406,878
25,436 MSC Industrial Direct Co.,
Inc., Class A 1,679,031
16,178 United Rentals, Inc. (a) 2,513,576
4,421 W.W. Grainger, Inc. 1,509,904
---------------
9,267,898
---------------
TRANSPORTATION INFRASTRUCTURE
-- 0.8%
45,255 Macquarie Infrastructure Corp. 1,355,840
---------------
TOTAL COMMON STOCKS
-- 100.0% 179,924,240
(Cost $172,477,179) ---------------
MONEY MARKET FUNDS -- 0.3%
461,970 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.10% (c) (d) 461,970
140,855 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 0.04% (c) 140,855
---------------
TOTAL MONEY MARKET FUNDS
-- 0.3% 602,825
(Cost $602,825) ---------------
TOTAL INVESTMENTS -- 100.3% 180,527,065
(Cost $173,080,004) (e)
NET OTHER ASSETS AND
LIABILITIES -- (0.3)% (547,948)
---------------
NET ASSETS -- 100.0% $ 179,979,117
===============
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The remaining contractual
maturity of all of the securities lending transactions is overnight and
continuous. The aggregate value of such securities is $449,442 and the
total value of the collateral held by the Fund is $461,970.
(c) Rate shown reflects yield as of July 31, 2020.
(d) This security serves as collateral for securities on loan.
See Notes to Financial Statements Page 37
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
(e) Aggregate cost for federal income tax purposes is $175,951,689. As of July
31, 2020, the aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost was $20,797,006 and
the aggregate gross unrealized depreciation for all investments in which
there was an excess of tax cost over value was $16,221,630. The net
unrealized appreciation was $4,575,376.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2020
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
--------------------------------------------
Common Stocks* $ 179,924,240 $ -- $ --
Money Market
Funds 602,825 -- --
--------------------------------------------
Total Investments $ 180,527,065 $ -- $ --
============================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
-------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 449,442
Non-cash Collateral(2) (449,442)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At July 31, 2020, the value of the collateral received from each borrower
exceeded the value of the related securities loaned. This amount is
disclosed on the Portfolio of Investments.
Page 38 See Notes to Financial Statements
FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ)
PORTFOLIO OF INVESTMENTS
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.9%
AEROSPACE & DEFENSE -- 3.0%
78,838 Hexcel Corp. $ 2,940,657
---------------
CHEMICALS -- 57.1%
7,383 Air Products and Chemicals,
Inc. 2,116,189
30,301 Albemarle Corp. 2,498,620
11,286 Ashland Global Holdings, Inc. 851,867
63,145 Cabot Corp. 2,303,530
27,098 Celanese Corp. 2,633,926
126,690 CF Industries Holdings, Inc. 3,969,198
50,805 Chemours (The) Co. 941,417
19,132 Dow, Inc. 785,560
14,679 DuPont de Nemours, Inc. 785,033
63,991 Eastman Chemical Co. 4,775,648
8,960 Ecolab, Inc. 1,676,237
164,288 Element Solutions, Inc. (a) 1,784,168
23,485 FMC Corp. 2,490,584
198,390 Huntsman Corp. 3,670,215
14,557 International Flavors &
Fragrances, Inc. (b) 1,833,454
3,676 Linde PLC 901,024
67,808 LyondellBasell Industries
N.V., Class A 4,239,356
62,338 Mosaic (The) Co. 839,693
5,842 NewMarket Corp. 2,189,640
310,275 Olin Corp. 3,487,491
33,140 Scotts Miracle-Gro (The) Co. 5,255,010
15,348 W.R. Grace & Co. 708,003
83,062 Westlake Chemical Corp. 4,526,879
---------------
55,262,742
---------------
CONTAINERS & PACKAGING -- 4.2%
15,623 Avery Dennison Corp. 1,770,711
66,445 International Paper Co. 2,311,621
---------------
4,082,332
---------------
ELECTRICAL EQUIPMENT -- 1.9%
293,178 GrafTech International Ltd. 1,779,591
---------------
MACHINERY -- 4.6%
97,962 Timken (The) Co. 4,472,945
---------------
METALS & MINING -- 23.1%
67,403 Freeport-McMoRan, Inc. 870,847
57,742 Newmont Corp. 3,995,746
86,091 Nucor Corp. 3,611,517
46,943 Reliance Steel & Aluminum Co. 4,612,619
18,818 Royal Gold, Inc. 2,633,203
44,821 Southern Copper Corp. 1,959,126
170,806 Steel Dynamics, Inc. 4,681,793
---------------
22,364,851
---------------
TRADING COMPANIES
& DISTRIBUTORS -- 6.0%
83,218 Fastenal Co. 3,914,575
105,726 Univar Solutions, Inc. (a) 1,868,178
---------------
5,782,753
---------------
TOTAL COMMON STOCKS
-- 99.9% 96,685,871
(Cost $97,977,628) ---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MONEY MARKET FUNDS -- 0.6%
463,804 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.10% (c) (d) $ 463,804
122,177 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 0.04% (c) 122,177
---------------
TOTAL MONEY MARKET FUNDS
-- 0.6% 585,981
(Cost $585,981) ---------------
TOTAL INVESTMENTS -- 100.5% 97,271,852
(Cost $98,563,609) (e)
NET OTHER ASSETS AND
LIABILITIES -- (0.5)% (477,118)
---------------
NET ASSETS -- 100.0% $ 96,794,734
===============
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The remaining contractual
maturity of all of the securities lending transactions is overnight and
continuous. The aggregate value of such securities is $459,969 and the
total value of the collateral held by the Fund is $463,804.
(c) Rate shown reflects yield as of July 31, 2020.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $99,729,728. As of July
31, 2020, the aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost was $8,428,743 and the
aggregate gross unrealized depreciation for all investments in which there
was an excess of tax cost over value was $10,886,619. The net unrealized
depreciation was $2,457,876.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2020
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
--------------------------------------------
Common Stocks* $ 96,685,871 $ -- $ --
Money Market
Funds 585,981 -- --
--------------------------------------------
Total Investments $ 97,271,852 $ -- $ --
============================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 39
FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
-------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 459,969
Non-cash Collateral(2) (459,969)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At July 31, 2020, the value of the collateral received from each borrower
exceeded the value of the related securities loaned. This amount is
disclosed on the Portfolio of Investments.
Page 40 See Notes to Financial Statements
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL)
PORTFOLIO OF INVESTMENTS
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.9%
COMMUNICATIONS EQUIPMENT
-- 0.4%
32,539 Arista Networks, Inc. (a) $ 8,452,656
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 3.9%
117,647 CDW Corp. 13,676,464
639,110 Jabil, Inc. 22,279,375
228,244 SYNNEX Corp. 28,471,157
80,106 Zebra Technologies Corp.,
Class A (a) 22,489,759
---------------
86,916,755
---------------
HEALTH CARE TECHNOLOGY -- 1.4%
116,617 Veeva Systems, Inc.,
Class A (a) 30,853,360
---------------
INTERACTIVE MEDIA & SERVICES
-- 6.9%
14,459 Alphabet, Inc., Class A (a) 21,514,269
90,292 Facebook, Inc., Class A (a) 22,904,372
331,080 IAC/InterActiveCorp (a) 43,841,614
263,695 Match Group, Inc. (a) 27,081,476
616,529 Pinterest, Inc., Class A (a) 21,140,779
458,828 Twitter, Inc. (a) 16,701,339
---------------
153,183,849
---------------
INTERNET & DIRECT MARKETING
RETAIL -- 1.3%
388,858 GrubHub, Inc. (a) 28,091,102
---------------
IT SERVICES -- 14.5%
127,634 Akamai Technologies, Inc. (a) 14,351,167
336,771 Amdocs Ltd. 20,913,479
94,187 Black Knight, Inc. (a) 7,056,490
31,511 CACI International, Inc.,
Class A (a) 6,548,616
240,556 Cognizant Technology Solutions
Corp., Class A 16,434,786
108,475 EPAM Systems, Inc. (a) 31,466,428
401,399 Fastly, Inc., Class A (a) 38,730,990
186,396 GoDaddy, Inc., Class A (a) 13,099,911
113,176 International Business
Machines Corp. 13,913,857
145,921 Leidos Holdings, Inc. 13,885,842
150,973 MongoDB, Inc. (a) 34,584,895
170,659 Okta, Inc. (a) 37,712,226
87,980 Science Applications
International Corp. 7,036,640
1,150,541 Switch, Inc., Class A 20,698,233
155,733 Twilio, Inc., Class A (a) 43,203,449
---------------
319,637,009
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 17.7%
389,711 Advanced Micro Devices,
Inc. (a) 30,175,323
226,109 Applied Materials, Inc. 14,545,592
21,653 Broadcom, Inc. 6,858,588
221,242 Cirrus Logic, Inc. (a) 15,161,714
347,208 Entegris, Inc. 24,967,727
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT (CONTINUED)
290,817 Inphi Corp. (a) $ 37,998,149
571,137 Intel Corp. 27,260,369
140,564 KLA Corp. 28,088,904
21,128 Lam Research Corp. 7,968,637
779,717 Marvell Technology Group Ltd. 28,436,279
112,756 Maxim Integrated Products,
Inc. 7,677,556
64,895 Microchip Technology, Inc. 6,601,768
530,607 Micron Technology, Inc. (a) 26,559,534
120,702 MKS Instruments, Inc. 15,382,263
86,510 Monolithic Power Systems, Inc. 22,926,015
71,956 NVIDIA Corp. 30,551,798
61,833 Qorvo, Inc. (a) 7,923,899
74,928 QUALCOMM, Inc. 7,913,146
53,452 Skyworks Solutions, Inc. 7,781,542
404,343 Teradyne, Inc. 35,970,353
---------------
390,749,156
---------------
SOFTWARE -- 45.2%
47,097 Adobe, Inc. (a) 20,926,139
208,004 Alteryx, Inc., Class A (a) 36,502,622
150,832 Anaplan, Inc. (a) 6,849,281
46,853 ANSYS, Inc. (a) 14,552,542
113,731 Atlassian Corp. PLC,
Class A (a) 20,090,581
114,288 Autodesk, Inc. (a) 27,021,112
256,750 Avalara, Inc. (a) 34,520,037
213,659 Cadence Design Systems,
Inc. (a) 23,342,246
344,859 Ceridian HCM Holding, Inc. (a) 26,999,011
46,204 Citrix Systems, Inc. 6,596,083
123,344 Coupa Software, Inc. (a) 37,798,769
340,723 Crowdstrike Holdings, Inc.,
Class A (a) 38,569,844
198,428 DocuSign, Inc. (a) 43,025,143
313,926 Dropbox, Inc., Class A (a) 7,141,816
296,464 Elastic N.V. (a) 28,516,872
197,576 Everbridge, Inc. (a) 28,213,853
308,766 Five9, Inc. (a) 37,305,108
199,146 Fortinet, Inc. (a) 27,541,892
228,037 Globant S.A. (a) 39,436,719
152,311 HubSpot, Inc. (a) 35,733,684
23,073 Intuit, Inc. 7,068,875
217,651 Manhattan Associates, Inc. (a) 20,848,789
100,746 Microsoft Corp. 20,653,937
198,382 New Relic, Inc. (a) 14,067,268
477,581 PagerDuty, Inc. (a) 14,556,669
89,270 Palo Alto Networks, Inc. (a) 22,845,978
88,260 Paycom Software, Inc. (a) 25,098,496
270,207 Pegasystems, Inc. 31,584,496
87,856 PTC, Inc. (a) 7,516,959
210,252 RealPage, Inc. (a) 13,247,979
95,913 RingCentral, Inc., Class A (a) 27,840,667
109,446 salesforce.com, Inc. (a) 21,325,553
67,488 ServiceNow, Inc. (a) 29,640,730
219,820 Slack Technologies, Inc.,
Class A (a) 6,495,681
268,431 Smartsheet, Inc., Class A (a) 12,814,896
171,972 Splunk, Inc. (a) 36,083,165
See Notes to Financial Statements Page 41
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
SOFTWARE (CONTINUED)
242,004 SS&C Technologies Holdings,
Inc. $ 13,915,230
105,142 Synopsys, Inc. (a) 20,946,389
657,134 Teradata Corp. (a) 13,799,814
39,404 Tyler Technologies, Inc. (a) 14,077,079
44,132 VMware, Inc., Class A (a) (b) 6,187,748
72,952 Workday, Inc., Class A (a) 13,198,476
231,588 Zendesk, Inc. (a) 21,109,246
312,064 Zscaler, Inc. (a) 40,521,510
---------------
996,128,984
---------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 8.6%
56,203 Apple, Inc. 23,888,523
497,577 Dell Technologies, Inc.,
Class C (a) 29,770,032
2,107,157 Hewlett Packard Enterprise Co. 20,797,639
392,096 HP, Inc. 6,893,048
1,972,924 NCR Corp. (a) 36,360,989
154,029 NetApp, Inc. 6,823,485
1,577,428 Pure Storage, Inc.,
Class A (a) 28,172,864
2,234,863 Xerox Holdings Corp. 37,210,469
---------------
189,917,049
---------------
TOTAL COMMON STOCKS
-- 99.9% 2,203,929,920
(Cost $1,696,752,101) ---------------
MONEY MARKET FUNDS -- 0.4%
5,393,455 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.10% (c) (d) 5,393,455
2,747,311 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 0.04% (c) 2,747,311
---------------
TOTAL MONEY MARKET FUNDS
-- 0.4% 8,140,766
(Cost $8,140,766) ---------------
TOTAL INVESTMENTS -- 100.3% 2,212,070,686
(Cost $1,704,892,867) (e)
NET OTHER ASSETS AND
LIABILITIES -- (0.3)% (6,961,231)
---------------
NET ASSETS -- 100.0% $ 2,205,109,455
===============
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The remaining contractual
maturity of all of the securities lending transactions is overnight and
continuous. The aggregate value of such securities is $5,336,392 and the
total value of the collateral held by the Fund is $5,393,455.
(c) Rate shown reflects yield as of July 31, 2020.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $1,716,174,123. As of
July 31, 2020, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$516,000,101 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$20,103,538. The net unrealized appreciation was $495,896,563.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2020
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
--------------------------------------------
Common Stocks* $2,203,929,920 $ -- $ --
Money Market
Funds 8,140,766 -- --
--------------------------------------------
Total Investments $2,212,070,686 $ -- $ --
============================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
-------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 5,336,392
Non-cash Collateral(2) (5,336,392)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At July 31, 2020, the value of the collateral received from each borrower
exceeded the value of the related securities loaned. This amount is
disclosed on the Portfolio of Investments.
Page 42 See Notes to Financial Statements
FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU)
PORTFOLIO OF INVESTMENTS
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.9%
COMMERCIAL SERVICES & SUPPLIES
-- 5.6%
89,606 Clean Harbors, Inc. (a) $ 5,340,517
43,671 Republic Services, Inc. 3,810,295
33,828 Waste Management, Inc. 3,707,549
---------------
12,858,361
---------------
ELECTRIC UTILITIES -- 56.2%
112,347 Alliant Energy Corp. 6,049,886
67,490 American Electric Power Co.,
Inc. 5,863,531
213,386 Avangrid, Inc. 10,624,489
112,134 Duke Energy Corp. 9,502,235
131,955 Edison International 7,345,935
76,397 Entergy Corp. 8,031,617
120,868 Evergy, Inc. 7,835,872
43,028 Eversource Energy 3,875,532
246,847 Exelon Corp. 9,530,763
46,196 FirstEnergy Corp. 1,339,684
149,047 Hawaiian Electric Industries,
Inc. 5,404,444
82,025 IDACORP, Inc. 7,648,831
7,456 NextEra Energy, Inc. 2,092,899
275,128 NRG Energy, Inc. 9,302,078
59,016 OGE Energy Corp. 1,941,626
201,987 PG&E Corp. (a) 1,888,579
122,226 Pinnacle West Capital Corp. 10,154,536
346,671 PPL Corp. 9,228,382
138,211 Southern (The) Co. 7,547,703
57,334 Xcel Energy, Inc. 3,958,339
---------------
129,166,961
---------------
GAS UTILITIES -- 8.8%
53,977 Atmos Energy Corp. 5,721,022
128,181 National Fuel Gas Co. 5,200,303
281,697 UGI Corp. 9,391,778
---------------
20,313,103
---------------
INDEPENDENT POWER AND
RENEWABLE ELECTRICITY
PRODUCERS -- 5.6%
247,286 AES (The) Corp. 3,766,166
481,095 Vistra Corp. 8,977,233
---------------
12,743,399
---------------
MULTI-UTILITIES -- 22.0%
76,394 Ameren Corp. 6,129,854
95,958 CenterPoint Energy, Inc. 1,824,162
61,338 CMS Energy Corp. 3,936,673
99,626 Consolidated Edison, Inc. 7,654,266
22,071 Dominion Energy, Inc. 1,788,413
66,666 DTE Energy Co. 7,708,590
157,568 NiSource, Inc. 3,852,538
145,777 Public Service Enterprise
Group, Inc. 8,154,765
45,844 Sempra Energy 5,705,744
40,879 WEC Energy Group, Inc. 3,894,133
---------------
50,649,138
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
WATER UTILITIES -- 1.7%
13,929 American Water Works Co., Inc. $ 2,051,324
42,415 Essential Utilities, Inc. 1,923,520
---------------
3,974,844
---------------
TOTAL INVESTMENTS -- 99.9% 229,705,806
(Cost $246,510,503) (b)
NET OTHER ASSETS AND
LIABILITIES -- 0.1% 282,283
---------------
NET ASSETS -- 100.0% $ 229,988,089
===============
(a) Non-income producing security.
(b) Aggregate cost for federal income tax purposes is $248,679,606. As of July
31, 2020, the aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost was $4,084,817 and the
aggregate gross unrealized depreciation for all investments in which there
was an excess of tax cost over value was $23,058,617. The net unrealized
depreciation was $18,973,800.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2020
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
--------------------------------------------
Common Stocks* $ 229,705,806 $ -- $ --
============================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 43
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
JULY 31, 2020
FIRST TRUST FIRST TRUST
CONSUMER CONSUMER FIRST TRUST
DISCRETIONARY STAPLES ENERGY
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXD) (FXG) (FXN)
---------------- ---------------- ----------------
ASSETS:
Investments, at value............................................... $ 961,688,931 $ 264,802,315 $ 637,723,361
Receivables:
Capital shares sold........................................... -- -- --
Investment securities sold.................................... -- -- --
Dividends..................................................... 193,336 199,320 1,694,226
Securities lending income..................................... 101,791 96 70,159
Prepaid expenses.................................................... 3,095 3,194 2,638
---------------- ---------------- ----------------
Total Assets.................................................. 961,987,153 265,004,925 639,490,384
---------------- ---------------- ----------------
LIABILITIES:
Due to custodian.................................................... -- -- --
Payables:
Investment securities purchased............................... -- -- --
Capital shares redeemed....................................... -- -- --
Collateral for securities on loan............................. 12,456,346 6,340,570 23,299,954
Investment advisory fees...................................... 386,032 105,867 260,592
Licensing fees................................................ 59,985 32,949 38,832
Audit and tax fees............................................ 22,374 22,418 22,418
Shareholder reporting fees.................................... 16,407 17,665 10,424
Trustees' fees................................................ 2,391 2,390 2,327
Other liabilities................................................... 95,615 54,204 60,790
---------------- ---------------- ----------------
Total Liabilities............................................. 13,039,150 6,576,063 23,695,337
---------------- ---------------- ----------------
NET ASSETS.......................................................... $ 948,948,003 $ 258,428,862 $ 615,795,047
================ ================ ================
NET ASSETS CONSIST OF:
Paid-in capital..................................................... $ 1,399,001,754 $ 514,373,783 $ 1,151,276,884
Par value........................................................... 239,000 53,000 941,500
Accumulated distributable earnings (loss)........................... (450,292,751) (255,997,921) (536,423,337)
---------------- ---------------- ----------------
NET ASSETS.......................................................... $ 948,948,003 $ 258,428,862 $ 615,795,047
================ ================ ================
NET ASSET VALUE, per share.......................................... $ 39.70 $ 48.76 $ 6.54
================ ================ ================
Number of shares outstanding (unlimited number of shares
authorized, par value $0.01 per share)........................... 23,900,002 5,300,002 94,150,002
================ ================ ================
Investments, at cost................................................ $ 929,231,205 $ 245,541,839 $ 684,112,233
================ ================ ================
Securities on loan, at value........................................ $ 11,810,851 $ 6,235,908 $ 22,716,329
================ ================ ================
Page 44 See Notes to Financial Statements
FIRST TRUST
FIRST TRUST FIRST TRUST INDUSTRIALS/ FIRST TRUST FIRST TRUST FIRST TRUST
FINANCIALS HEALTH CARE PRODUCER DURABLES MATERIALS TECHNOLOGY UTILITIES
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXO) (FXH) (FXR) (FXZ) (FXL) (FXU)
---------------- ---------------- ----------------- ---------------- ---------------- ----------------
$ 544,898,046 $ 1,348,938,834 $ 180,527,065 $ 97,271,852 $ 2,212,070,686 $ 229,705,806
-- -- -- 3,603,561 -- --
3,387,769 -- -- -- -- 2,751,125
740,009 616,352 89,861 82,323 27,772 737,940
2,921 -- 79 218 27,275 --
8,550 4,590 3,061 2,679 7,792 5,927
---------------- ---------------- ----------------- ---------------- ---------------- ----------------
549,037,295 1,349,559,776 180,620,066 100,960,633 2,212,133,525 233,200,798
---------------- ---------------- ----------------- ---------------- ---------------- ----------------
-- -- -- -- -- 82,536
3,426,064 -- -- 3,599,273 -- --
-- -- -- -- -- 2,754,243
6,921,703 -- 461,970 463,804 5,393,455 --
230,410 564,305 76,481 39,179 907,877 100,272
75,195 300,962 19,239 10,327 254,853 79,910
22,330 22,374 22,367 22,396 22,403 22,425
63,409 42,948 15,723 10,318 70,219 38,616
2,841 2,631 2,392 2,336 2,988 2,673
123,314 317,803 42,777 18,266 372,275 132,034
---------------- ---------------- ----------------- ---------------- ---------------- ----------------
10,865,266 1,251,023 640,949 4,165,899 7,024,070 3,212,709
---------------- ---------------- ----------------- ---------------- ---------------- ----------------
$ 538,172,029 $ 1,348,308,753 $ 179,979,117 $ 96,794,734 $ 2,205,109,455 $ 229,988,089
================ ================ ================= ================ ================ ================
$ 876,291,834 $ 1,906,450,067 $ 386,524,267 $ 242,952,467 $ 2,207,695,367 $ 439,646,715
208,000 141,500 46,000 27,000 246,550 83,500
(338,327,805) (558,282,814) (206,591,150) (146,184,733) (2,832,462) (209,742,126)
---------------- ---------------- ----------------- ---------------- ---------------- ----------------
$ 538,172,029 $ 1,348,308,753 $ 179,979,117 $ 96,794,734 $ 2,205,109,455 $ 229,988,089
================ ================ ================= ================ ================ ================
$ 25.87 $ 95.29 $ 39.13 $ 35.85 $ 89.44 $ 27.54
================ ================ ================= ================ ================ ================
20,800,002 14,150,002 4,600,002 2,700,002 24,655,000 8,350,002
================ ================ ================= ================ ================ ================
$ 614,066,080 $ 1,211,940,112 $ 173,080,004 $ 98,563,609 $ 1,704,892,867 $ 246,510,503
================ ================ ================= ================ ================ ================
$ 6,644,839 $ -- $ 449,442 $ 459,969 $ 5,336,392 $ --
================ ================ ================= ================ ================ ================
See Notes to Financial Statements Page 45
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JULY 31, 2020
FIRST TRUST FIRST TRUST
CONSUMER CONSUMER FIRST TRUST
DISCRETIONARY STAPLES ENERGY
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXD) (FXG) (FXN)
---------------- ---------------- ----------------
INVESTMENT INCOME:
Dividends........................................................... $ 4,850,539 $ 7,060,183 $ 4,179,626
Securities lending income (net of fees)............................. 246,318 97 434,242
Foreign withholding tax............................................. -- -- --
---------------- ---------------- ----------------
Total investment income....................................... 5,096,857 7,060,280 4,613,868
---------------- ---------------- ----------------
EXPENSES:
Investment advisory fees............................................ 1,819,618 1,499,905 759,661
Accounting and administration fees.................................. 182,645 151,271 76,492
Licensing fees...................................................... 145,569 119,992 60,773
Shareholder reporting fees.......................................... 37,660 36,611 18,066
Custodian fees...................................................... 32,518 26,172 12,894
Audit and tax fees.................................................. 22,939 22,939 22,939
Transfer agent fees................................................. 18,102 14,999 7,522
Listing fees........................................................ 9,243 9,243 9,244
Trustees' fees and expenses......................................... 7,269 7,271 7,067
Legal fees.......................................................... 5,208 6,554 (1,403)
Other expenses...................................................... 6,774 6,939 3,848
---------------- ---------------- ----------------
Total expenses................................................ 2,287,545 1,901,896 977,103
---------------- ---------------- ----------------
NET INVESTMENT INCOME (LOSS)........................................ 2,809,312 5,158,384 3,636,765
---------------- ---------------- ----------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments................................................... (77,538,638) (27,553,122) (103,543,346)
In-kind redemptions........................................... 45,045,856 21,790,127 12,183,994
---------------- ---------------- ----------------
Net realized gain (loss)............................................ (32,492,782) (5,762,995) (91,359,352)
---------------- ---------------- ----------------
Net change in unrealized appreciation (depreciation) on investments. 15,417,991 23,646,253 (11,197,032)
---------------- ---------------- ----------------
NET REALIZED AND UNREALIZED GAIN (LOSS)............................. (17,074,791) 17,883,258 (102,556,384)
---------------- ---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS.................................................. $ (14,265,479) $ 23,041,642 $ (98,919,619)
================ ================ ================
Page 46 See Notes to Financial Statements
FIRST TRUST
FIRST TRUST FIRST TRUST INDUSTRIALS/ FIRST TRUST FIRST TRUST FIRST TRUST
FINANCIALS HEALTH CARE PRODUCER DURABLES MATERIALS TECHNOLOGY UTILITIES
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXO) (FXH) (FXR) (FXZ) (FXL) (FXU)
---------------- ---------------- ----------------- ---------------- ---------------- ----------------
$ 37,599,406 $ 7,858,559 $ 5,186,148 $ 2,792,248 $ 15,391,626 $ 31,234,918
29,079 82,400 23,612 19,520 1,122,034 1,800
(22,730) -- -- -- (22,153) --
---------------- ---------------- ----------------- ---------------- ---------------- ----------------
37,605,755 7,940,959 5,209,760 2,811,768 16,491,507 31,236,718
---------------- ---------------- ----------------- ---------------- ---------------- ----------------
6,318,471 6,363,890 1,342,978 537,755 10,661,994 5,136,877
591,920 611,026 135,766 55,070 953,972 499,204
505,477 509,111 107,438 43,020 852,960 410,950
128,859 66,957 33,500 23,019 158,109 102,415
111,237 91,053 27,331 10,269 152,478 84,038
22,939 22,939 22,939 22,939 22,939 22,939
52,743 56,848 13,427 5,375 78,280 47,316
13,673 10,291 9,243 9,243 11,418 10,371
8,446 7,780 7,261 7,110 8,859 8,171
27,560 29,241 (1,032) 1,293 53,176 33,766
23,581 21,372 6,831 3,639 34,657 19,124
---------------- ---------------- ----------------- ---------------- ---------------- ----------------
7,804,906 7,790,508 1,705,682 718,732 12,988,842 6,375,171
---------------- ---------------- ----------------- ---------------- ---------------- ----------------
29,800,849 150,451 3,504,078 2,093,036 3,502,665 24,861,547
---------------- ---------------- ----------------- ---------------- ---------------- ----------------
(166,723,291) (94,346,084) (37,688,803) (24,658,559) (215,168,601) (82,041,509)
(150,014,532) 315,202,545 1,521,783 3,374,441 406,993,694 21,428,363
---------------- ---------------- ----------------- ---------------- ---------------- ----------------
(316,737,823) 220,856,461 (36,167,020) (21,284,118) 191,825,093 (60,613,146)
---------------- ---------------- ----------------- ---------------- ---------------- ----------------
(148,910,367) 116,645,310 (2,899,601) 10,549,321 215,549,299 (34,693,552)
---------------- ---------------- ----------------- ---------------- ---------------- ----------------
(465,648,190) 337,501,771 (39,066,621) (10,734,797) 407,374,392 (95,306,698)
---------------- ---------------- ----------------- ---------------- ---------------- ----------------
$ (435,847,341) $ 337,652,222 $ (35,562,543) $ (8,641,761) $ 410,877,057 $ (70,445,151)
================ ================ ================= ================ ================ ================
See Notes to Financial Statements Page 47
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
FIRST TRUST FIRST TRUST
CONSUMER DISCRETIONARY CONSUMER STAPLES
ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXD) (FXG)
------------------------------------ ------------------------------------
Year Ended Year Ended Year Ended Year Ended
7/31/2020 7/31/2019 7/31/2020 7/31/2019
----------------- ----------------- ----------------- -----------------
OPERATIONS:
Net investment income (loss)............................ $ 2,809,312 $ 3,231,559 $ 5,158,384 $ 5,043,876
Net realized gain (loss)................................ (32,492,782) 3,394,989 (5,762,995) (16,244,507)
Net change in unrealized appreciation (depreciation).... 15,417,991 (4,579,483) 23,646,253 12,583,208
--------------- --------------- --------------- ---------------
Net increase (decrease) in net assets resulting
from operations...................................... (14,265,479) 2,047,065 23,041,642 1,382,577
--------------- --------------- --------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations................................... (3,533,221) (2,816,656) (5,348,032) (8,074,707)
--------------- --------------- --------------- ---------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold............................... 938,313,476 118,936,453 104,301,401 124,804,864
Cost of shares redeemed................................. (355,683,320) (143,392,949) (193,358,328) (157,963,843)
--------------- --------------- --------------- ---------------
Net increase (decrease) in net assets resulting
from shareholder transactions........................ 582,630,156 (24,456,496) (89,056,927) (33,158,979)
--------------- --------------- --------------- ---------------
Total increase (decrease) in net assets................. 564,831,456 (25,226,087) (71,363,317) (39,851,109)
NET ASSETS:
Beginning of period..................................... 384,116,547 409,342,634 329,792,179 369,643,288
--------------- --------------- --------------- ---------------
End of period........................................... $ 948,948,003 $ 384,116,547 $ 258,428,862 $ 329,792,179
=============== =============== =============== ===============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period................. 8,850,002 9,650,002 7,200,002 7,950,002
Shares sold............................................. 24,300,000 2,800,000 2,200,000 2,700,000
Shares redeemed......................................... (9,250,000) (3,600,000) (4,100,000) (3,450,000)
--------------- --------------- --------------- ---------------
Shares outstanding, end of period....................... 23,900,002 8,850,002 5,300,002 7,200,002
=============== =============== =============== ===============
Page 48 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST
ENERGY FINANCIALS HEALTH CARE
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXN) (FXO) (FXH)
------------------------------------ ------------------------------------ ------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
7/31/2020 7/31/2019 7/31/2020 7/31/2019 7/31/2020 7/31/2019
----------------- ----------------- ----------------- ----------------- ----------------- -----------------
$ 3,636,765 $ 3,078,942 $ 29,800,849 $ 21,435,515 $ 150,451 $ (1,754,398)
(91,359,352) (69,838,515) (316,737,823) 19,615,164 220,856,461 63,840,386
(11,197,032) (64,441,284) (148,910,367) (26,430,170) 116,645,310 (151,566,044)
--------------- --------------- --------------- --------------- --------------- ---------------
(98,919,619) (131,200,857) (435,847,341) 14,620,509 337,652,222 (89,480,056)
--------------- --------------- --------------- --------------- --------------- ---------------
(2,332,625) (2,654,300) (34,034,992) (20,256,006) -- --
--------------- --------------- --------------- --------------- --------------- ---------------
750,311,311 156,076,566 1,178,265,404 74,828,025 1,479,716,526 1,723,952,631
(155,637,525) (337,620,739) (1,158,563,694) (333,749,514) (1,652,799,967) (1,514,477,381)
--------------- --------------- --------------- --------------- --------------- ---------------
594,673,786 (181,544,173) 19,701,710 (258,921,489) (173,083,441) 209,475,250
--------------- --------------- --------------- --------------- --------------- ---------------
493,421,542 (315,399,330) (450,180,623) (264,556,986) 164,568,781 119,995,194
122,373,505 437,772,835 988,352,652 1,252,909,638 1,183,739,972 1,063,744,778
--------------- --------------- --------------- --------------- --------------- ---------------
$ 615,795,047 $ 122,373,505 $ 538,172,029 $ 988,352,652 $ 1,348,308,753 $ 1,183,739,972
=============== =============== =============== =============== =============== ===============
11,250,002 25,600,002 30,550,002 39,100,002 15,250,002 13,850,002
104,100,000 10,400,000 36,650,000 2,450,000 18,650,000 22,250,000
(21,200,000) (24,750,000) (46,400,000) (11,000,000) (19,750,000) (20,850,000)
--------------- --------------- --------------- --------------- --------------- ---------------
94,150,002 11,250,002 20,800,002 30,550,002 14,150,002 15,250,002
=============== =============== =============== =============== =============== ===============
See Notes to Financial Statements Page 49
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FIRST TRUST FIRST TRUST
INDUSTRIALS/PRODUCER DURABLES MATERIALS
ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXR) (FXZ)
------------------------------------ ------------------------------------
Year Ended Year Ended Year Ended Year Ended
7/31/2020 7/31/2019 7/31/2020 7/31/2019
----------------- ----------------- ----------------- -----------------
OPERATIONS:
Net investment income (loss)............................ $ 3,504,078 $ 5,164,553 $ 2,093,036 $ 2,267,112
Net realized gain (loss)................................ (36,167,020) 21,656,111 (21,284,118) (9,024,903)
Net change in unrealized appreciation (depreciation).... (2,899,601) (132,608,865) 10,549,321 (29,969,693)
--------------- --------------- --------------- ---------------
Net increase (decrease) in net assets resulting
from operations...................................... (35,562,543) (105,788,201) (8,641,761) (36,727,484)
--------------- --------------- --------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations................................... (4,258,336) (4,745,501) (2,392,541) (2,117,421)
--------------- --------------- --------------- ---------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold............................... 68,228,226 706,888,586 55,372,219 64,963,487
Cost of shares redeemed................................. (226,600,830) (1,797,275,535) (114,912,380) (172,775,616)
--------------- --------------- --------------- ---------------
Net increase (decrease) in net assets resulting
from shareholder transactions........................ (158,372,604) (1,090,386,949) (59,540,161) (107,812,129)
--------------- --------------- --------------- ---------------
Total increase (decrease) in net assets................. (198,193,483) (1,200,920,651) (70,574,463) (146,657,034)
NET ASSETS:
Beginning of period..................................... 378,172,600 1,579,093,251 167,369,197 314,026,231
--------------- --------------- --------------- ---------------
End of period........................................... $ 179,979,117 $ 378,172,600 $ 96,794,734 $ 167,369,197
=============== =============== =============== ===============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period................. 8,900,002 38,250,002 4,350,002 7,250,002
Shares sold............................................. 1,650,000 17,350,000 1,500,000 1,650,000
Shares redeemed......................................... (5,950,000) (46,700,000) (3,150,000) (4,550,000)
--------------- --------------- --------------- ---------------
Shares outstanding, end of period....................... 4,600,002 8,900,002 2,700,002 4,350,002
=============== =============== =============== ===============
Page 50 See Notes to Financial Statements
FIRST TRUST FIRST TRUST
TECHNOLOGY UTILITIES
ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXL) (FXU)
------------------------------------ ------------------------------------
Year Ended Year Ended Year Ended Year Ended
7/31/2020 7/31/2019 7/31/2020 7/31/2019
----------------- ----------------- ----------------- -----------------
$ 3,502,665 $ 10,428,716 $ 24,861,547 $ 13,712,237
191,825,093 243,984,837 (60,613,146) 26,261,291
215,549,299 157,909,622 (34,693,552) 25,589,904
--------------- --------------- --------------- ---------------
410,877,057 412,323,175 (70,445,151) 65,563,432
--------------- --------------- --------------- ---------------
(4,987,541) (9,561,020) (30,455,522) (10,275,866)
--------------- --------------- --------------- ---------------
1,227,962,041 1,756,769,650 1,502,286,878 1,503,287,322
(1,824,089,056) (1,760,385,574) (2,520,939,542) (517,573,676)
--------------- --------------- --------------- ---------------
(596,127,015) (3,615,924) (1,018,652,664) 985,713,646
--------------- --------------- --------------- ---------------
(190,237,499) 399,146,231 (1,119,553,337) 1,041,001,212
2,395,346,954 1,996,200,723 1,349,541,426 308,540,214
--------------- --------------- --------------- ---------------
$ 2,205,109,455 $ 2,395,346,954 $ 229,988,089 $ 1,349,541,426
=============== =============== =============== ===============
34,555,000 35,305,000 46,750,002 11,700,002
15,700,000 27,100,000 55,350,000 53,150,000
(25,600,000) (27,850,000) (93,750,000) (18,100,000)
--------------- --------------- --------------- ---------------
24,655,000 34,555,000 8,350,002 46,750,002
=============== =============== =============== ===============
See Notes to Financial Statements Page 51
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD)
YEAR ENDED JULY 31,
--------------------------------------------------------------
2020 2019 2018 2017 2016
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 43.40 $ 42.42 $ 37.53 $ 36.06 $ 37.29
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.36 0.37 0.43 0.34 0.53
Net realized and unrealized gain (loss) (3.61) 0.93 4.88 1.48 (1.43)
---------- ---------- ---------- ---------- ----------
Total from investment operations (3.25) 1.30 5.31 1.82 (0.90)
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.45) (0.32) (0.42) (0.35) (0.33)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 39.70 $ 43.40 $ 42.42 $ 37.53 $ 36.06
========== ========== ========== ========== ==========
TOTAL RETURN (a) (7.39)% 3.13% 14.17% 5.10% (2.34)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 948,948 $ 384,117 $ 409,343 $ 407,197 $1,766,902
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.63% 0.64% 0.64% 0.63% 0.61%
Ratio of net expenses to average net assets 0.63% 0.64% 0.64% 0.63% 0.61%
Ratio of net investment income (loss) to
average net assets 0.77% 0.90% 1.03% 0.79% 1.39%
Portfolio turnover rate (b) 115% 97% 101% 93% 103%
FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG)
YEAR ENDED JULY 31,
--------------------------------------------------------------
2020 2019 2018 2017 2016
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 45.80 $ 46.50 $ 46.84 $ 49.06 $ 45.69
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.84 0.70 1.00 0.56 0.76
Net realized and unrealized gain (loss) 2.98 (0.32) (0.74) (2.20) 3.38
---------- ---------- ---------- ---------- ----------
Total from investment operations 3.82 0.38 0.26 (1.64) 4.14
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.86) (1.08) (0.60) (0.58) (0.77)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 48.76 $ 45.80 $ 46.50 $ 46.84 $ 49.06
========== ========== ========== ========== ==========
TOTAL RETURN (a) 8.46% 0.83% 0.53% (3.31)% 9.19%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 258,429 $ 329,792 $ 369,643 $ 461,376 $2,558,300
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.63% 0.64% 0.64% 0.62% 0.61%
Ratio of net expenses to average net assets 0.63% 0.64% 0.64% 0.62% 0.61%
Ratio of net investment income (loss) to
average net assets 1.72% 1.51% 2.09% 0.94% 1.60%
Portfolio turnover rate (b) 113% 90% 107% 100% 102%
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year.
(b) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
Page 52 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN)
YEAR ENDED JULY 31,
--------------------------------------------------------------
2020 2019 2018 2017 2016
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 10.88 $ 17.10 $ 13.66 $ 14.54 $ 16.93
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.16 0.16 0.12 0.14 0.22
Net realized and unrealized gain (loss) (4.31) (6.25) 3.47 (0.85) (2.37)
---------- ---------- ---------- ---------- ----------
Total from investment operations (4.15) (6.09) 3.59 (0.71) (2.15)
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.19) (0.13) (0.15) (0.17) (0.24)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 6.54 $ 10.88 $ 17.10 $ 13.66 $ 14.54
========== ========== ========== ========== ==========
TOTAL RETURN (a) (38.32)% (35.77)% 26.45% (4.99)% (12.67)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 615,795 $ 122,374 $ 437,773 $ 249,296 $1,458,077
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.64% 0.65% 0.63% 0.63% 0.62%
Ratio of net expenses to average net assets 0.64% 0.65% 0.63% 0.63% 0.62%
Ratio of net investment income (loss) to
average net assets 2.39% 1.17% 0.68% 1.03% 1.40%
Portfolio turnover rate (b) 165% 99% 108% 55% 112%
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)
YEAR ENDED JULY 31,
--------------------------------------------------------------
2020 2019 2018 2017 2016
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 32.35 $ 32.04 $ 29.39 $ 24.09 $ 24.43
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.72 0.65 0.62 0.44 0.39
Net realized and unrealized gain (loss) (6.37) 0.25 2.61 5.30 (0.36)
---------- ---------- ---------- ---------- ----------
Total from investment operations (5.65) 0.90 3.23 5.74 0.03
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.83) (0.59) (0.58) (0.44) (0.37)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 25.87 $ 32.35 $ 32.04 $ 29.39 $ 24.09
========== ========== ========== ========== ==========
TOTAL RETURN (a) (17.56)% 3.03% 11.06% 24.00% 0.22%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 538,172 $ 988,353 $1,252,910 $1,121,234 $ 710,692
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.62% 0.63% 0.63% 0.63% 0.64%
Ratio of net expenses to average net assets 0.62% 0.63% 0.63% 0.63% 0.64%
Ratio of net investment income (loss) to
average net assets 2.36% 2.06% 1.99% 1.72% 1.72%
Portfolio turnover rate (b) 90% 81% 70% 80% 75%
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year.
(b) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
See Notes to Financial Statements Page 53
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH)
YEAR ENDED JULY 31,
--------------------------------------------------------------
2020 2019 2018 2017 2016
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 77.62 $ 76.80 $ 66.92 $ 61.55 $ 69.63
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.01 (0.11) (0.02) (0.03) 0.00 (a) (b)
Net realized and unrealized gain (loss) 17.66 0.93 9.90 5.40 (8.08)
---------- ---------- ---------- ---------- ----------
Total from investment operations 17.67 0.82 9.88 5.37 (8.08)
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income -- -- -- -- --
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 95.29 $ 77.62 $ 76.80 $ 66.92 $ 61.55
========== ========== ========== ========== ==========
TOTAL RETURN (c) 22.75% 1.07% 14.76% 8.72% (11.60)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $1,348,309 $1,183,740 $1,063,745 $1,067,382 $1,147,893
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.61% 0.62% 0.63% 0.62% 0.61%
Ratio of net expenses to average net assets 0.61% 0.62% 0.63% 0.62% 0.61%
Ratio of net investment income (loss) to
average net assets 0.01% (0.11)% (0.03)% (0.05)% 0.01%
Portfolio turnover rate (d) 107% 123% 107% 112% 118%
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)
YEAR ENDED JULY 31,
--------------------------------------------------------------
2020 2019 2018 2017 2016
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 42.49 $ 41.28 $ 35.36 $ 28.94 $ 29.46
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.58 0.30 0.28 0.17 0.24
Net realized and unrealized gain (loss) (3.29) 1.17 5.92 6.42 (0.51)
---------- ---------- ---------- ---------- ----------
Total from investment operations (2.71) 1.47 6.20 6.59 (0.27)
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.65) (0.26) (0.28) (0.17) (0.25)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 39.13 $ 42.49 $ 41.28 $ 35.36 $ 28.94
========== ========== ========== ========== ==========
TOTAL RETURN (c) (6.30)% 3.67% 17.57% 22.81% (0.82)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 179,979 $ 378,173 $1,579,093 $1,444,369 $ 159,169
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.64% 0.63% 0.62% 0.63% 0.66%
Ratio of net expenses to average net assets 0.64% 0.63% 0.62% 0.63% 0.66%
Ratio of net investment income (loss) to
average net assets 1.30% 0.71% 0.70% 0.53% 0.93%
Portfolio turnover rate (d) 97% 79% 91% 101% 103%
(a) Based on average shares outstanding.
(b) Amount is less than $0.01.
(c) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year.
(d) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
Page 54 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ)
YEAR ENDED JULY 31,
--------------------------------------------------------------
2020 2019 2018 2017 2016
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 38.48 $ 43.31 $ 38.63 $ 34.32 $ 30.68
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.71 0.50 0.40 0.48 0.41
Net realized and unrealized gain (loss) (2.57) (4.88) 4.69 4.30 3.65
---------- ---------- ---------- ---------- ----------
Total from investment operations (1.86) (4.38) 5.09 4.78 4.06
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.77) (0.45) (0.41) (0.47) (0.42)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 35.85 $ 38.48 $ 43.31 $ 38.63 $ 34.32
========== ========== ========== ========== ==========
TOTAL RETURN (a) (4.78)% (10.08)% 13.20% 14.01% 13.48%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 96,795 $ 167,369 $ 314,026 $ 260,726 $ 250,558
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.67% 0.65% 0.64% 0.65% 0.66%
Ratio of net expenses to average net assets 0.67% 0.65% 0.64% 0.65% 0.66%
Ratio of net investment income (loss) to
average net assets 1.95% 1.27% 0.92% 1.40% 1.26%
Portfolio turnover rate (b) 84% 82% 92% 84% 113%
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL)
YEAR ENDED JULY 31,
--------------------------------------------------------------
2020 2019 2018 2017 2016
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 69.32 $ 56.54 $ 45.12 $ 34.84 $ 34.98
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.11 0.31 0.09 0.32 0.27
Net realized and unrealized gain (loss) 20.17 12.75 11.43 10.32 (0.14)
---------- ---------- ---------- ---------- ----------
Total from investment operations 20.28 13.06 11.52 10.64 0.13
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.16) (0.28) (0.10) (0.36) (0.27)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 89.44 $ 69.32 $ 56.54 $ 45.12 $ 34.84
========== ========== ========== ========== ==========
TOTAL RETURN (a) 29.33% 23.20% 25.55% 30.72% 0.42%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $2,205,109 $2,395,347 $1,996,201 $ 607,101 $ 491,478
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.61% 0.61% 0.63% 0.63% 0.63%
Ratio of net expenses to average net assets 0.61% 0.61% 0.63% 0.63% 0.63%
Ratio of net investment income (loss) to
average net assets 0.16% 0.50% 0.17% 0.82% 0.82%
Portfolio turnover rate (b) 110% 91% 127% 115% 109%
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year.
(b) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
See Notes to Financial Statements Page 55
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU)
YEAR ENDED JULY 31,
--------------------------------------------------------------
2020 2019 2018 2017 2016
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 28.87 $ 26.37 $ 27.64 $ 27.46 $ 23.06
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 1.05 0.63 0.98 0.76 0.73
Net realized and unrealized gain (loss) (1.29) 2.43 (1.30) 0.19 4.38
---------- ---------- ---------- ---------- ----------
Total from investment operations (0.24) 3.06 (0.32) 0.95 5.11
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (1.09) (0.56) (0.95) (0.77) (0.71)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 27.54 $ 28.87 $ 26.37 $ 27.64 $ 27.46
========== ========== ========== ========== ==========
TOTAL RETURN (a) (0.70)% 11.71% (1.09)% 3.57% 22.66%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 229,988 $1,349,541 $ 308,540 $1,350,332 $1,831,298
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.62% 0.63% 0.63% 0.62% 0.62%
Ratio of net expenses to average net assets 0.62% 0.63% 0.63% 0.62% 0.62%
Ratio of net investment income (loss) to
average net assets 2.42% 2.23% 2.67% 2.74% 2.79%
Portfolio turnover rate (b) 64% 60% 76% 57% 71%
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year.
(b) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
Page 56 See Notes to Financial Statements
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2020
1. ORGANIZATION
First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") is an open-end
management investment company organized as a Massachusetts business trust on
December 6, 2006, and is registered with the Securities and Exchange Commission
under the Investment Company Act of 1940, as amended (the "1940 Act").
The Trust currently consists of twenty-one exchange-traded funds considered
either a Sector Fund or a Style Fund. This report covers the nine Sector Funds
listed below. The shares of each Sector Fund are listed and traded on NYSE Arca,
Inc.
First Trust Consumer Discretionary AlphaDEX(R) Fund - (ticker "FXD")
First Trust Consumer Staples AlphaDEX(R) Fund - (ticker "FXG")
First Trust Energy AlphaDEX(R) Fund - (ticker "FXN")
First Trust Financials AlphaDEX(R) Fund - (ticker "FXO")
First Trust Health Care AlphaDEX(R) Fund - (ticker "FXH")
First Trust Industrials/Producer Durables AlphaDEX(R) Fund - (ticker "FXR")
First Trust Materials AlphaDEX(R) Fund - (ticker "FXZ")
First Trust Technology AlphaDEX(R) Fund - (ticker "FXL")
First Trust Utilities AlphaDEX(R) Fund - (ticker "FXU")
Each fund represents a separate series of shares of beneficial interest in the
Trust (each a "Fund" and collectively, the "Funds"). Unlike conventional mutual
funds, each Fund issues and redeems shares on a continuous basis, at net asset
value ("NAV"), only in large specified blocks consisting of 50,000 shares called
a "Creation Unit." Each Fund's Creation Units are generally issued and redeemed
in-kind for securities in which a Fund invests, and in certain circumstances,
for cash, and only to and from broker-dealers and large institutional investors
that have entered into participation agreements. Except when aggregated in
Creation Units, each Fund's shares are not redeemable securities. The investment
objective of each Fund is to seek investment results that correspond generally
to the price and yield (before the Fund's fees and expenses) of the following
indices:
FUND INDEX
First Trust Consumer Discretionary AlphaDEX(R) Fund StrataQuant(R) Consumer Discretionary Index(1)
First Trust Consumer Staples AlphaDEX(R) Fund StrataQuant(R) Consumer Staples Index(1)
First Trust Energy AlphaDEX(R) Fund StrataQuant(R) Energy Index(1)
First Trust Financials AlphaDEX(R) Fund StrataQuant(R) Financials Index(1)
First Trust Health Care AlphaDEX(R) Fund StrataQuant(R) Health Care Index(1)
First Trust Industrials/Producer Durables AlphaDEX(R) Fund StrataQuant(R) Industrials Index(1)
First Trust Materials AlphaDEX(R) Fund StrataQuant(R) Materials Index(1)
First Trust Technology AlphaDEX(R) Fund StrataQuant(R) Technology Index(1)
First Trust Utilities AlphaDEX(R) Fund StrataQuant(R) Utilities Index(1)
(1) This index is developed, maintained and sponsored by ICE Data Indices, LLC
or its affiliates ("IDI"), and licensed to First Trust Portfolios L.P.
("FTP"), the distributor of the Trust, by IDI. IDI is a
successor-in-interest to previous entities that maintained the index in
NYSE Group, Inc. and American Stock Exchange LLC.
2. SIGNIFICANT ACCOUNTING POLICIES
The Funds are each considered an investment company and follow accounting and
reporting guidance under Financial Accounting Standards Board Accounting
Standards Codification Topic 946, "Financial Services-Investment Companies." The
following is a summary of significant accounting policies consistently followed
by the Funds in the preparation of the financial statements. The preparation of
the financial statements in accordance with accounting principles generally
accepted in the United States of America ("U.S. GAAP") requires management to
make estimates and assumptions that affect the reported amounts and disclosures
in the financial statements. Actual results could differ from those estimates.
A. PORTFOLIO VALUATION
Each Fund's NAV is determined daily as of the close of regular trading on the
New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day
the NYSE is open for trading. If the NYSE closes early on a valuation day, the
NAV is determined as of that time. Each Fund's NAV is calculated by dividing the
value of all assets of each Fund (including accrued interest and dividends),
less all liabilities (including accrued expenses and dividends declared but
unpaid), by the total number of shares outstanding.
Each Fund's investments are valued daily at market value or, in the absence of
market value with respect to any portfolio securities, at fair value. Market
value prices represent last sale or official closing prices from a national or
foreign exchange (i.e., a regulated market) and are primarily obtained from
third-party pricing services. Fair value prices represent any prices not
considered market value prices and are either obtained from a third-party
pricing service or are determined by the Pricing Committee of the Funds'
investment
Page 57
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2020
advisor, First Trust Advisors L.P. ("First Trust" or the "Advisor"), in
accordance with valuation procedures adopted by the Trust's Board of Trustees,
and in accordance with provisions of the 1940 Act. Investments valued by the
Advisor's Pricing Committee, if any, are footnoted as such in the footnotes to
the Portfolio of Investments. Each Fund's investments are valued as follows:
Common stocks and other equity securities listed on any national or
foreign exchange (excluding The Nasdaq Stock Market LLC ("Nasdaq") and the
London Stock Exchange Alternative Investment Market ("AIM")) are valued at
the last sale price on the exchange on which they are principally traded
or, for Nasdaq and AIM securities, the official closing price. Securities
traded on more than one securities exchange are valued at the last sale
price or official closing price, as applicable, at the close of the
securities exchange representing the principal market for such securities.
Shares of open-end funds are valued at fair value which is based on NAV
per share.
Securities traded in an over-the-counter market are fair valued at the
mean of their most recent bid and asked price, if available, and otherwise
at their closing bid price.
Overnight repurchase agreements are valued at amortized cost when it
represents the best estimate of fair value.
Certain securities may not be able to be priced by pre-established pricing
methods. Such securities may be valued by the Trust's Board of Trustees or its
delegate, the Advisor's Pricing Committee, at fair value. These securities
generally include, but are not limited to, restricted securities (securities
which may not be publicly sold without registration under the Securities Act of
1933, as amended) for which a third-party pricing service is unable to provide a
market price; securities whose trading has been formally suspended; a security
whose market or fair value price is not available from a pre-established pricing
source; a security with respect to which an event has occurred that is likely to
materially affect the value of the security after the market has closed but
before the calculation of a Fund's NAV or make it difficult or impossible to
obtain a reliable market quotation; and a security whose price, as provided by
the third-party pricing service, does not reflect the security's fair value. As
a general principle, the current fair value of a security would appear to be the
amount which the owner might reasonably expect to receive for the security upon
its current sale. When fair value prices are used, generally they will differ
from market quotations or official closing prices on the applicable exchanges. A
variety of factors may be considered in determining the fair value of such
securities, including, but not limited to, the following:
1) the type of security;
2) the size of the holding;
3) the initial cost of the security;
4) transactions in comparable securities;
5) price quotes from dealers and/or third-party pricing services;
6) relationships among various securities;
7) information obtained by contacting the issuer, analysts, or the
appropriate stock exchange;
8) an analysis of the issuer's financial statements; and
9) the existence of merger proposals or tender offers that might affect
the value of the security.
In addition, differences between the prices used to calculate a Fund's NAV and
the prices used by such Fund's corresponding index could result in a difference
between a Fund's performance and the performance of its underlying index.
The Funds are subject to fair value accounting standards that define fair value,
establish the framework for measuring fair value and provide a three-level
hierarchy for fair valuation based upon the inputs to the valuation as of the
measurement date. The three levels of the fair value hierarchy are as follows:
o Level 1 - Level 1 inputs are quoted prices in active markets for
identical investments. An active market is a market in which
transactions for the investment occur with sufficient frequency and
volume to provide pricing information on an ongoing basis.
o Level 2 - Level 2 inputs are observable inputs, either directly or
indirectly, and include the following:
o Quoted prices for similar investments in active markets.
o Quoted prices for identical or similar investments in markets
that are non-active. A non-active market is a market where
there are few transactions for the investment, the prices are
not current, or price quotations vary substantially either
over time or among market makers, or in which little
information is released publicly.
o Inputs other than quoted prices that are observable for the
investment (for example, interest rates and yield curves
observable at commonly quoted intervals, volatilities,
prepayment speeds, loss severities, credit risks, and default
rates).
o Inputs that are derived principally from or corroborated by
observable market data by correlation or other means.
o Level 3 - Level 3 inputs are unobservable inputs. Unobservable
inputs may reflect the reporting entity's own assumptions about the
assumptions that market participants would use in pricing the
investment.
Page 58
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2020
The inputs or methodologies used for valuing investments are not necessarily an
indication of the risk associated with investing in those investments. A summary
of the inputs used to value each Fund's investments as of July 31, 2020, is
included with each Fund's Portfolio of Investments.
B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME
Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Dividend income is recorded on the ex-dividend date. Interest income, if any, is
recorded on the accrual basis.
Withholding taxes and tax reclaims on foreign dividends have been provided for
in accordance with each Fund's understanding of the applicable country's tax
rules and rates.
Distributions received from a Fund's investments in real estate investment
trusts ("REITs") may be comprised of return of capital, capital gains and
income. The actual character of the amounts received during the year is not
known until after the REITs' fiscal year end. A Fund records the character of
distributions received from the REITs during the year based on estimates
available. The characterization of distributions received by a Fund may be
subsequently revised based on information received from the REITs after their
tax reporting periods conclude.
C. OFFSETTING ON THE STATEMENTS OF ASSETS AND LIABILITIES
Offsetting Assets and Liabilities require entities to disclose both gross and
net information about instruments and transactions eligible for offset on the
Statements of Assets and Liabilities, and disclose instruments and transactions
subject to master netting or similar agreements. These disclosure requirements
are intended to help investors and other financial statement users better assess
the effect or potential effect of offsetting arrangements on a fund's financial
position. The transactions subject to offsetting disclosures are derivative
instruments, repurchase agreements and reverse repurchase agreements, and
securities borrowing and securities lending transactions.
This disclosure, if applicable, is included within each Fund's Portfolio of
Investments under the heading "Offsetting Assets and Liabilities." For financial
reporting purposes, the Funds do not offset financial assets and financial
liabilities that are subject to master netting arrangements ("MNAs") or similar
agreements on the Statements of Assets and Liabilities. MNAs provide the right,
in the event of default (including bankruptcy and insolvency), for the
non-defaulting counterparty to liquidate the collateral and calculate the net
exposure to the defaulting party or request additional collateral.
D. SECURITIES LENDING
The Funds may lend securities representing up to 33 1/3% of the value of their
total assets to broker-dealers, banks and other institutions to generate
additional income. When a Fund loans its portfolio securities, it will receive,
at the inception of each loan, collateral equal to at least 102% (for domestic
securities) or 105% (for international securities) of the market value of the
loaned securities. The collateral amount is valued at the beginning of each
business day and is compared to the market value of the loaned securities from
the prior business day to determine if additional collateral is required. If
additional collateral is required, a request is sent to the borrower. Securities
lending involves the risk that the Fund may lose money because the borrower of
the Fund's loaned securities fails to return the securities in a timely manner
or at all. The Fund could also lose money in the event of (i) a decline in the
value of the collateral provided for the loaned securities, (ii) a decline in
the value of any investments made with cash collateral or (iii) an increase in
the value of the loaned securities if the borrower does not increase the
collateral accordingly and the borrower fails to return the securities. These
events could also trigger adverse tax consequences for the Funds.
Under the Funds' Securities Lending Agency Agreement, the securities lending
agent will generally bear the risk that a borrower may default on its obligation
to return loaned securities. Brown Brothers Harriman & Co. ("BBH") acts as the
Funds' securities lending agent and is responsible for executing the lending of
the portfolio securities to creditworthy borrowers. The Funds, however, will be
responsible for the risks associated with the investment of cash collateral. A
Fund may lose money on its investment of cash collateral, which may affect its
ability to repay the collateral to the borrower without the use of other Fund
assets. Each Fund that engages in securities lending receives compensation (net
of any rebate and securities lending agent fees) for lending its securities.
Compensation can be in the form of fees received from the securities lending
agent or dividends or interest earned from the investment of cash collateral.
The fees received from the securities lending agent are accrued daily. The
dividend and interest earned on the securities loaned is accounted for in the
same manner as other dividend and interest income. At July 31, 2020, all the
Funds except FXH and FXU had securities in the securities lending program.
During the fiscal year ended July 31, 2020, all the Funds participated in the
securities lending program.
In the event of a default by a borrower with respect to any loan, BBH will
exercise any and all remedies provided under the applicable borrower agreement
to make the Funds whole. These remedies include purchasing replacement
securities by applying the collateral held from the defaulting broker against
the purchase cost of the replacement securities. If, despite such efforts by BBH
to exercise these remedies, a Fund sustains losses as a result of a borrower's
default, BBH will indemnify the Fund by purchasing replacement securities at its
own expense, or paying the Fund an amount equal to the market value of the
replacement securities, subject to certain limitations which are set forth in
detail in the Securities Lending Agency Agreement between the Trust on behalf of
the Funds and BBH.
Page 59
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2020
E. REPURCHASE AGREEMENTS
Repurchase agreements involve the purchase of securities subject to the seller's
agreement to repurchase the securities at a mutually agreed upon date and price,
under the terms of a Master Repurchase Agreement ("MRA"). During the term of a
repurchase agreement, the value of the underlying securities held as collateral
on behalf of a Fund, including accrued interest, is required to exceed the value
of the repurchase agreement, including accrued interest. The underlying
securities for all repurchase agreements are held at the Funds' custodian or
designated sub-custodians under tri-party repurchase agreements.
MRAs govern transactions between a Fund and select counterparties. The MRAs
maintain provisions for, among other things, initiation, income payments, events
of default, and maintenance of collateral for repurchase agreements.
Repurchase agreements received for lending securities are collateralized by U.S.
Treasury securities. The U.S. Treasury securities are held in a joint custody
account at BBH on behalf of the Funds participating in the securities lending
program. In the event the counterparty defaults on the repurchase agreement, the
U.S. Treasury securities can either be maintained as part of a Fund's portfolio
or sold for cash. A Fund could suffer a loss to the extent that the proceeds
from the sale of the underlying collateral held by the Fund are less than the
repurchase price and the Fund's costs associated with the delay and enforcement
of the MRA.
While the Funds may invest in repurchase agreements, any repurchase agreements
held by the Funds during the fiscal year ended July 31, 2020, were received as
collateral for lending securities. There were no repurchase agreements held by
the Funds as of July 31, 2020.
F. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends from net investment income of each Fund, if any, are declared and paid
quarterly, or as the Board of Trustees may determine from time to time.
Distributions of net realized gains earned by each Fund, if any, are distributed
at least annually.
Distributions from net investment income and realized capital gains are
determined in accordance with federal income tax regulations, which may differ
from U.S. GAAP. Certain capital accounts in the financial statements are
periodically adjusted for permanent differences in order to reflect their tax
character. These permanent differences are primarily due to the varying
treatment of income and gain/loss on significantly modified portfolio securities
held by the Funds and have no impact on net assets or NAV per share. Temporary
differences, which arise from recognizing certain items of income, expense and
gain/loss in different periods for financial statement and tax purposes, will
reverse at some time in the future.
The tax character of distributions paid by each Fund during the fiscal year
ended July 31, 2020 was as follows:
Distributions paid from Distributions paid from Distributions paid from
Ordinary Income Capital Gains Return of Capital
----------------------- ----------------------- -----------------------
First Trust Consumer Discretionary AlphaDEX(R) Fund $ 3,533,221 $ -- $ --
First Trust Consumer Staples AlphaDEX(R) Fund 5,348,032 -- --
First Trust Energy AlphaDEX(R) Fund 2,332,625 -- --
First Trust Financials AlphaDEX(R) Fund 34,034,992 -- --
First Trust Health Care AlphaDEX(R) Fund -- -- --
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 4,258,336 -- --
First Trust Materials AlphaDEX(R) Fund 2,392,541 -- --
First Trust Technology AlphaDEX(R) Fund 4,987,541 -- --
First Trust Utilities AlphaDEX(R) Fund 30,455,522 -- --
The tax character of distributions paid by each Fund during the fiscal year
ended July 31, 2019 was as follows:
Distributions paid from Distributions paid from Distributions paid from
Ordinary Income Capital Gains Return of Capital
----------------------- ----------------------- -----------------------
First Trust Consumer Discretionary AlphaDEX(R) Fund $ 2,816,656 $ -- $ --
First Trust Consumer Staples AlphaDEX(R) Fund 8,074,707 -- --
First Trust Energy AlphaDEX(R) Fund 2,654,300 -- --
First Trust Financials AlphaDEX(R) Fund 20,256,006 -- --
First Trust Health Care AlphaDEX(R) Fund -- -- --
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 4,745,501 -- --
First Trust Materials AlphaDEX(R) Fund 2,117,421 -- --
First Trust Technology AlphaDEX(R) Fund 9,561,020 -- --
First Trust Utilities AlphaDEX(R) Fund 10,275,866 -- --
Page 60
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2020
As of July 31, 2020, the components of distributable earnings on a tax basis for
each Fund were as follows:
Accumulated
Undistributed Capital and Net Unrealized
Ordinary Other Appreciation
Income Gain (Loss) (Depreciation)
----------------------- ----------------------- -----------------------
First Trust Consumer Discretionary AlphaDEX(R) Fund $ 98,971 $ (466,302,471) $ 15,910,749
First Trust Consumer Staples AlphaDEX(R) Fund 198,506 (274,074,178) 17,877,751
First Trust Energy AlphaDEX(R) Fund 1,827,486 (469,339,224) (68,911,599)
First Trust Financials AlphaDEX(R) Fund 1,830,492 (264,244,884) (75,913,413)
First Trust Health Care AlphaDEX(R) Fund (30,924) (675,458,254) 117,206,364
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 85,255 (211,251,781) 4,575,376
First Trust Materials AlphaDEX(R) Fund 82,775 (143,809,632) (2,457,876)
First Trust Technology AlphaDEX(R) Fund -- (498,729,025) 495,896,563
First Trust Utilities AlphaDEX(R) Fund 818,264 (191,586,590) (18,973,800)
G. INCOME TAXES
Each Fund intends to continue to qualify as a regulated investment company by
complying with the requirements under Subchapter M of the Internal Revenue Code
of 1986, as amended, which includes distributing substantially all of its net
investment income and net realized gains to shareholders. Accordingly, no
provision has been made for federal and state income taxes. However, due to the
timing and amount of distributions, each Fund may be subject to an excise tax of
4% of the amount by which approximately 98% of each Fund's taxable income
exceeds the distributions from such taxable income for the calendar year.
The Funds are subject to accounting standards that establish a minimum threshold
for recognizing, and a system for measuring, the benefits of a tax position
taken or expected to be taken in a tax return. Taxable years ending 2017, 2018,
2019, and 2020 remain open to federal and state audit. As of July 31, 2020,
management has evaluated the application of these standards to the Funds, and
has determined that no provision for income tax is required in the Funds'
financial statements for uncertain tax positions.
Each Fund intends to utilize provisions of the federal income tax laws, which
allow it to carry a realized capital loss forward indefinitely following the
year of the loss and offset such loss against any future realized capital gains.
Each Fund is subject to certain limitations under U.S. tax rules on the use of
capital loss carryforwards and net unrealized built-in losses. These limitations
apply when there has been a 50% change in ownership. At July 31, 2020, for
federal income tax purposes, each applicable Fund had a capital loss
carryforward available that is shown in the table below, to the extent provided
by regulations, to offset future capital gains. To the extent that these loss
carryforwards are used to offset future capital gains, it is probable that the
capital gains so offset will not be distributed to each applicable Fund's
shareholders.
Non-Expiring
Capital Loss
Carryforward
--------------------
First Trust Consumer Discretionary AlphaDEX(R) Fund $ 466,302,471
First Trust Consumer Staples AlphaDEX(R) Fund 274,074,178
First Trust Energy AlphaDEX(R) Fund 469,339,224
First Trust Financials AlphaDEX(R) Fund 264,244,884
First Trust Health Care AlphaDEX(R) Fund 675,458,254
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 211,251,781
First Trust Materials AlphaDEX(R) Fund 143,809,632
First Trust Technology AlphaDEX(R) Fund 498,729,025
First Trust Utilities AlphaDEX(R) Fund 191,586,590
Certain losses realized during the current fiscal year may be deferred and
treated as occurring on the first day of the following fiscal year for federal
income tax purposes. For the fiscal year ended July 31, 2020, the following Fund
listed below incurred and elected to defer net late year ordinary or capital
losses as follows:
Qualified Late Year Losses
--------------------------
Ordinary Losses Capital Losses
--------------- --------------
First Trust Health Care AlphaDEX(R) Fund $ 30,924 $ --
In order to present paid-in capital and accumulated distributable earnings
(loss) (which consists of accumulated net investment income (loss), accumulated
net realized gain (loss) on investments and net unrealized appreciation
(depreciation) on investments) on the Statements of Assets and Liabilities that
more closely represent their tax character, certain adjustments have been made
Page 61
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2020
to paid-in capital, accumulated net investment income (loss) and accumulated net
realized gain (loss) on investments. These adjustments are primarily due to the
difference between book and tax treatments of income and gains on various
investment securities held by the Funds and in-kind transactions. The results of
operations and net assets were not affected by these adjustments. For the fiscal
year ended July 31, 2020, the adjustments for each Fund were as follows:
Accumulated
Accumulated Net Realized
Net Investment Gain (Loss) Paid-in
Income (Loss) on Investments Capital
------------------ ------------------ ------------------
First Trust Consumer Discretionary AlphaDEX(R) Fund $ -- $ (41,006,858) $ 41,006,858
First Trust Consumer Staples AlphaDEX(R) Fund -- (15,960,122) 15,960,122
First Trust Energy AlphaDEX(R) Fund -- (1,573,337) 1,573,337
First Trust Financials AlphaDEX(R) Fund 201,664 164,164,878 (164,366,542)
First Trust Health Care AlphaDEX(R) Fund 708,195 (268,979,701) 268,271,506
First Trust Industrials/Producer Durables AlphaDEX(R) Fund -- 2,454,365 (2,454,365)
First Trust Materials AlphaDEX(R) Fund -- 589,888 (589,888)
First Trust Technology AlphaDEX(R) Fund 586,656 (392,075,030) 391,488,374
First Trust Utilities AlphaDEX(R) Fund -- (7,667,028) 7,667,028
H. EXPENSES
Expenses that are directly related to one of the Funds are charged directly to
the respective Fund. General expenses of the Trust are allocated to all the
Funds based upon the net assets of each Fund.
FTP has entered into licensing agreements with IDI for each of the Funds. The
license agreements allow for the use by FTP of certain trademarks and trade
names of IDI. The Funds and First Trust are sub-licensees to the license
agreement. The Funds are required to pay licensing fees, which are shown on the
Statements of Operations.
3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS
First Trust, the investment advisor to the Funds, is a limited partnership with
one limited partner, Grace Partners of DuPage L.P., and one general partner, The
Charger Corporation. The Charger Corporation is an Illinois corporation
controlled by James A. Bowen, Chief Executive Officer of First Trust. First
Trust is responsible for the selection and ongoing monitoring of the securities
in each Fund's portfolio, managing the Fund's business affairs and providing
certain administrative services necessary for the management of the Funds.
For these services, First Trust is paid an annual management fee of 0.50% of
each Fund's average daily net assets. The Trust and First Trust have entered
into an Expense Reimbursement, Fee Waiver and Recovery Agreement ("Recovery
Agreement") in which First Trust has agreed to waive fees and/or reimburse Fund
expenses to the extent that the operating expenses of each Fund (excluding
interest expense, brokerage commissions and other trading expenses, acquired
fund fees and expenses, taxes and extraordinary expenses) exceed 0.70% of
average daily net assets per year (the "Expense Cap"). The Expense Cap will be
in effect until at least November 30, 2021.
Expenses reimbursed and fees waived by First Trust under the Recovery Agreement
are subject to recovery by First Trust for up to three years from the date the
fee or expense was incurred, but no reimbursement payment will be made by a Fund
if it results in the Fund exceeding (i) the applicable expense limitation in
place for the most recent fiscal year for which such expense limitation was in
place, (ii) the applicable expense limitation in place at the time the fees were
waived, or (iii) the current expense limitation. These amounts would be included
in "Expenses previously waived or reimbursed" on the Statements of Operations.
For the fiscal year ended July 31, 2020, there were no fees waived or expenses
reimbursed by First Trust for the Funds. As of July 31, 2020, none of the Funds
had previously waived fees or expenses reimbursed that are subject to recovery.
The Trust has multiple service agreements with The Bank of New York Mellon
("BNYM"). Under the service agreements, BNYM performs custodial, fund
accounting, certain administrative services, and transfer agency services for
each Fund. As custodian, BNYM is responsible for custody of each Fund's assets.
As fund accountant and administrator, BNYM is responsible for maintaining the
books and records of each Fund's securities and cash. As transfer agent, BNYM is
responsible for maintaining shareholder records for each Fund. BNYM is a
subsidiary of The Bank of New York Mellon Corporation, a financial holding
company.
Page 62
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2020
Each Trustee who is not an officer or employee of First Trust, any sub-advisor
or any of their affiliates ("Independent Trustees") is paid a fixed annual
retainer that is allocated equally among each fund in the First Trust Fund
Complex. Each Independent Trustee is also paid an annual per fund fee that
varies based on whether the fund is a closed-end or other actively managed fund,
a defined-outcome fund or is an index fund.
Additionally, the Lead Independent Trustee and the Chairmen of the Audit
Committee, Nominating and Governance Committee and Valuation Committee are paid
annual fees to serve in such capacities, with such compensation allocated pro
rata among each fund in the First Trust Fund Complex based on net assets.
Independent Trustees are reimbursed for travel and out-of-pocket expenses in
connection with all meetings. The Lead Independent Trustee and Committee
Chairmen rotate every three years. The officers and "Interested" Trustee receive
no compensation from the Trust for acting in such capacities.
4. PURCHASES AND SALES OF SECURITIES
For the fiscal year ended July 31, 2020, the cost of purchases and proceeds from
sales of investments for each Fund, excluding short-term investments and in-kind
transactions, were as follows:
Purchases Sales
--------------- ---------------
First Trust Consumer Discretionary AlphaDEX(R) Fund $ 438,225,619 $ 437,809,375
First Trust Consumer Staples AlphaDEX(R) Fund 333,763,932 334,285,291
First Trust Energy AlphaDEX(R) Fund 274,804,340 274,261,175
First Trust Financials AlphaDEX(R) Fund 1,099,094,133 1,098,867,935
First Trust Health Care AlphaDEX(R) Fund 1,365,472,560 1,365,492,609
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 259,641,861 260,741,769
First Trust Materials AlphaDEX(R) Fund 92,011,069 92,436,400
First Trust Technology AlphaDEX(R) Fund 2,367,667,870 2,370,826,330
First Trust Utilities AlphaDEX(R) Fund 647,866,072 640,272,214
For the fiscal year ended July 31, 2020, the cost of in-kind purchases and
proceeds from in-kind sales for each Fund were as follows:
Purchases Sales
--------------- ---------------
First Trust Consumer Discretionary AlphaDEX(R) Fund $ 936,291,363 $ 355,013,997
First Trust Consumer Staples AlphaDEX(R) Fund 104,191,164 192,962,254
First Trust Energy AlphaDEX(R) Fund 748,978,331 155,219,944
First Trust Financials AlphaDEX(R) Fund 1,171,189,813 1,151,743,586
First Trust Health Care AlphaDEX(R) Fund 1,477,848,600 1,650,763,723
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 68,156,145 225,979,597
First Trust Materials AlphaDEX(R) Fund 55,258,819 114,734,246
First Trust Technology AlphaDEX(R) Fund 1,227,251,612 1,823,385,484
First Trust Utilities AlphaDEX(R) Fund 1,493,238,488 2,505,667,901
5. CREATION, REDEMPTION AND TRANSACTION FEES
Shares are created and redeemed by each Fund only in Creation Unit size
aggregations of 50,000 shares in transactions with broker-dealers or large
institutional investors that have entered into a participation agreement (an
"Authorized Participant"). Such transactions are generally permitted on an
in-kind basis, with a balancing cash component to equate the transaction to the
daily NAV per Share of each Fund on the transaction date times the number of
Shares in a Creation Unit. Authorized Participants purchasing Creation Units
must pay to BNYM, as transfer agent, a standard creation transaction fee (the
"Creation Transaction Fee"), which is based on the number of different
securities in a Creation Unit of each Fund. The Creation Transaction Fee is
applicable to each purchase transaction regardless of the number of Creation
Units purchased in the transaction. An additional variable fee of up to three
times the Creation Transaction Fee may be charged to approximate additional
expenses incurred by a Fund with respect to transactions effected outside of the
clearing process (i.e., through a DTC Participant) or to the extent that cash is
used in lieu of securities to purchase Creation Units. The Creation Transaction
Fee may increase or decrease with changes in each Fund's portfolio. The price
for each Creation Unit will equal the daily NAV per Share of a Fund on the
transaction date times the number of Shares in a Creation Unit plus the fees
described above and, if applicable, any transfer taxes.
Authorized Participants redeeming Creation Units must pay to BNYM, as transfer
agent, a standard redemption transaction fee (the "Redemption Transaction Fee"),
which is based on the number of different securities in a Creation Unit of each
Fund. The Redemption Transaction Fee is applicable to each redemption
transaction regardless of the number of Creation Units redeemed in the
transaction. An additional variable fee of up to three times the Redemption
Transaction Fee may be charged to approximate additional expenses incurred by a
Fund with respect to redemptions effected outside of the clearing process or to
the extent that redemptions are for cash.
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2020
The Redemption Transaction Fee may increase or decrease with changes in each
Fund's portfolio. Each Fund reserves the right to effect redemptions in cash. A
shareholder may request cash redemption in lieu of securities; however, a Fund
may, in its discretion, reject any such request.
6. DISTRIBUTION PLAN
The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule
12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are
authorized to pay an amount up to 0.25% of their average daily net assets each
year to reimburse FTP, the distributor of the Funds, for amounts expended to
finance activities primarily intended to result in the sale of Creation Units or
the provision of investor services. FTP may also use this amount to compensate
securities dealers or other persons that are Authorized Participants for
providing distribution assistance, including broker-dealer and shareholder
support and educational and promotional services.
No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual
arrangement, no 12b-1 fees will be paid any time before November 30, 2021.
7. INDEMNIFICATION
The Trust, on behalf of the Funds, has a variety of indemnification obligations
under contracts with its service providers. The Trust's maximum exposure under
these arrangements is unknown. However, the Trust has not had prior claims or
losses pursuant to these contracts and expects the risk of loss to be remote.
8. SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Funds
through the date the financial statements were issued, and has determined that
there were no subsequent events requiring recognition or disclosure in the
financial statements that have not already been disclosed.
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
--------------------------------------------------------------------------------
TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF FIRST TRUST EXCHANGE-TRADED
ALPHADEX(R) FUND:
OPINION ON THE FINANCIAL STATEMENTS AND FINANCIAL HIGHLIGHTS
We have audited the accompanying statements of assets and liabilities of First
Trust Consumer Discretionary AlphaDEX(R) Fund, First Trust Consumer Staples
AlphaDEX(R) Fund, First Trust Energy AlphaDEX(R) Fund, First Trust Financials
AlphaDEX(R) Fund, First Trust Health Care AlphaDEX(R) Fund, First Trust
Industrials/Producer Durables AlphaDEX(R) Fund, First Trust Materials
AlphaDEX(R) Fund, First Trust Technology AlphaDEX(R) Fund, and First Trust
Utilities AlphaDEX(R) Fund (the "Funds"), each a series of the First Trust
Exchange-Traded AlphaDEX(R) Fund, including the portfolios of investments, as of
July 31, 2020, the related statements of operations for the year then ended, the
statements of changes in net assets for each of the two years in the period then
ended, and the financial highlights for each of the five years in the period
then ended, and the related notes. In our opinion, the financial statements and
financial highlights present fairly, in all material respects, the financial
position of each of the Funds as of July 31, 2020, and the results of their
operations for the year then ended, the changes in their net assets for each of
the two years in the period then ended, and the financial highlights for each of
the five years in the period then ended in conformity with accounting principles
generally accepted in the United States of America.
BASIS FOR OPINION
These financial statements and financial highlights are the responsibility of
the Funds' management. Our responsibility is to express an opinion on the Funds'
financial statements and financial highlights based on our audits. We are a
public accounting firm registered with the Public Company Accounting Oversight
Board (United States) (PCAOB) and are required to be independent with respect to
the Funds in accordance with the U.S. federal securities laws and the applicable
rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those
standards require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements and financial highlights are
free of material misstatement, whether due to error or fraud. The Funds are not
required to have, nor were we engaged to perform, an audit of its internal
control over financial reporting. As part of our audits we are required to
obtain an understanding of internal control over financial reporting but not for
the purpose of expressing an opinion on the effectiveness of the Funds' internal
control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material
misstatement of the financial statements and financial highlights, whether due
to error or fraud, and performing procedures that respond to those risks. Such
procedures included examining, on a test basis, evidence regarding the amounts
and disclosures in the financial statements and financial highlights. Our audits
also included evaluating the accounting principles used and significant
estimates made by management, as well as evaluating the overall presentation of
the financial statements and financial highlights. Our procedures included
confirmation of securities owned as of July 31, 2020, by correspondence with the
custodian and brokers; when replies were not received from brokers, we performed
other auditing procedures. We believe that our audits provide a reasonable basis
for our opinion.
/s/ Deloitte & Touche LLP
Chicago, Illinois
September 23, 2020
We have served as the auditor of one or more First Trust investment companies
since 2001.
Page 65
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ADDITIONAL INFORMATION
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2020 (UNAUDITED)
PROXY VOTING POLICIES AND PROCEDURES
A description of the policies and procedures that the Trust uses to determine
how to vote proxies and information on how each Fund voted proxies relating to
its portfolio securities during the most recent 12-month period ended June 30 is
available (1) without charge, upon request, by calling (800) 988-5891; (2) on
each Fund's website at www.ftportfolios.com; and (3) on the Securities and
Exchange Commission's ("SEC") website at www.sec.gov.
PORTFOLIO HOLDINGS
Each Fund files portfolio holdings information for each month in a fiscal
quarter within 60 days after the end of the relevant fiscal quarter on Form
N-PORT. Portfolio holdings information for the third month of each fiscal
quarter will be publicly available on the SEC's website at www.sec.gov. Each
Fund's complete schedule of portfolio holdings for the second and fourth
quarters of each fiscal year is included in the semi-annual and annual reports
to shareholders, respectively, and is filed with the SEC on Form N-CSR. The
semi-annual and annual report for each Fund is available to investors within 60
days after the period to which it relates. Each Fund's Forms N-PORT and Forms
N-CSR are available on the SEC's website listed above.
FEDERAL TAX INFORMATION
For the taxable year ended July 31, 2020, the following percentages of income
dividend paid by the Funds qualify for the dividends received deduction
available to corporations:
Dividends Received
Deduction
---------------------
First Trust Consumer Discretionary AlphaDEX(R) Fund 100.00%
First Trust Consumer Staples AlphaDEX(R) Fund 100.00%
First Trust Energy AlphaDEX(R) Fund 100.00%
First Trust Financials AlphaDEX(R) Fund 84.95%
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 100.00%
First Trust Materials AlphaDEX(R) Fund 100.00%
First Trust Technology AlphaDEX(R) Fund 100.00%
First Trust Utilities AlphaDEX(R) Fund 100.00%
For the taxable year ended July 31, 2020, the following percentages of income
dividend paid by the Funds are hereby designated as qualified dividend income:
Qualified Dividend
Income
---------------------
First Trust Consumer Discretionary AlphaDEX(R) Fund 100.00%
First Trust Consumer Staples AlphaDEX(R) Fund 100.00%
First Trust Energy AlphaDEX(R) Fund 100.00%
First Trust Financials AlphaDEX(R) Fund 85.71%
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 100.00%
First Trust Materials AlphaDEX(R) Fund 100.00%
First Trust Technology AlphaDEX(R) Fund 100.00%
First Trust Utilities AlphaDEX(R) Fund 100.00%
A portion of each of the First Trust Exchange-Traded AlphaDEX(R) Sector Funds'
2020 ordinary dividends (including short-term capital gains) paid to its
shareholders during the fiscal year ended July 31, 2020, may be eligible for the
Qualified Business Income Deduction (QBI) under Code Section 199A for the
aggregate dividends each Fund received from the underlying Real Estate
Investment Trusts (REITs) these Funds invest in.
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ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2020 (UNAUDITED)
RISK CONSIDERATIONS
RISKS ARE INHERENT IN ALL INVESTING. CERTAIN GENERAL RISKS THAT MAY BE
APPLICABLE TO A FUND ARE IDENTIFIED BELOW, BUT NOT ALL OF THE MATERIAL RISKS
RELEVANT TO EACH FUND ARE INCLUDED IN THIS REPORT AND NOT ALL OF THE RISKS BELOW
APPLY TO EACH FUND. THE MATERIAL RISKS OF INVESTING IN EACH FUND ARE SPELLED OUT
IN ITS PROSPECTUS, STATEMENT OF ADDITIONAL INFORMATION AND OTHER REGULATORY
FILINGS. BEFORE INVESTING, YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE,
RISKS, CHARGES AND EXPENSES, AND READ EACH FUND'S PROSPECTUS AND STATEMENT OF
ADDITIONAL INFORMATION CAREFULLY. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT
WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO
REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND.
CONCENTRATION RISK. To the extent that a fund is able to invest a large
percentage of its assets in a single asset class or the securities of issuers
within the same country, state, region, industry or sector, an adverse economic,
business or political development may affect the value of the fund's investments
more than if the fund were more broadly diversified. A fund that tracks an index
will be concentrated to the extent the fund's corresponding index is
concentrated. A concentration makes a fund more susceptible to any single
occurrence and may subject the fund to greater market risk than a fund that is
not concentrated.
CREDIT RISK. Credit risk is the risk that an issuer of a security will be unable
or unwilling to make dividend, interest and/or principal payments when due and
the related risk that the value of a security may decline because of concerns
about the issuer's ability to make such payments.
CYBER SECURITY RISK. The funds are susceptible to potential operational risks
through breaches in cyber security. A breach in cyber security refers to both
intentional and unintentional events that may cause a fund to lose proprietary
information, suffer data corruption or lose operational capacity. Such events
could cause a fund to incur regulatory penalties, reputational damage,
additional compliance costs associated with corrective measures and/or financial
loss. In addition, cyber security breaches of a fund's third-party service
providers, such as its administrator, transfer agent, custodian, or sub-advisor,
as applicable, or issuers in which the fund invests, can also subject a fund to
many of the same risks associated with direct cyber security breaches.
DERIVATIVES RISK. To the extent a fund uses derivative instruments such as
futures contracts, options contracts and swaps, the fund may experience losses
because of adverse movements in the price or value of the underlying asset,
index or rate, which may be magnified by certain features of the derivative.
These risks are heightened when a fund's portfolio managers use derivatives to
enhance the fund's return or as a substitute for a position or security, rather
than solely to hedge (or offset) the risk of a position or security held by the
fund.
EQUITY SECURITIES RISK. To the extent a fund invests in equity securities, the
value of the fund's shares will fluctuate with changes in the value of the
equity securities. Equity securities prices fluctuate for several reasons,
including changes in investors' perceptions of the financial condition of an
issuer or the general condition of the relevant stock market, such as market
volatility, or when political or economic events affecting the issuers occur. In
addition, common stock prices may be particularly sensitive to rising interest
rates, as the cost of capital rises and borrowing costs increase. Equity
securities may decline significantly in price over short or extended periods of
time, and such declines may occur in the equity market as a whole, or they may
occur in only a particular country, company, industry or sector of the market.
ETF RISK. The shares of an ETF trade like common stock and represent an interest
in a portfolio of securities. The risks of owning an ETF generally reflect the
risks of owning the underlying securities, although lack of liquidity in an ETF
could result in it being more volatile and ETFs have management fees that
increase their costs. Shares of an ETF trade on an exchange at market prices
rather than net asset value, which may cause the shares to trade at a price
greater than net asset value (premium) or less than net asset value (discount).
In times of market stress, decisions by market makers to reduce or step away
from their role of providing a market for an ETF's shares, or decisions by an
ETF's authorized participants that they are unable or unwilling to proceed with
creation and/or redemption orders of an ETF's shares, could result in shares of
the ETF trading at a discount to net asset value and in greater than normal
intraday bid-ask spreads.
FIXED INCOME SECURITIES RISK. To the extent a fund invests in fixed income
securities, the fund will be subject to credit risk, income risk, interest rate
risk, liquidity risk and prepayment risk. Income risk is the risk that income
from a fund's fixed income investments could decline during periods of falling
interest rates. Interest rate risk is the risk that the value of a fund's fixed
income securities will decline because of rising interest rates. Liquidity risk
is the risk that a security cannot be purchased or sold at the time desired, or
cannot be purchased or sold without adversely affecting the price. Prepayment
risk is the risk that the securities will be redeemed or prepaid by the issuer,
resulting in lower interest payments received by the fund. In addition to these
risks, high yield securities, or "junk" bonds, are subject to greater market
fluctuations and risk of loss than securities with higher ratings, and the
market for high yield securities is generally smaller and less liquid than that
for investment grade securities.
Page 67
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2020 (UNAUDITED)
INDEX CONSTITUENT RISK. Certain funds may be a constituent of one or more
indices. As a result, such a fund may be included in one or more index-tracking
exchange-traded funds or mutual funds. Being a component security of such a
vehicle could greatly affect the trading activity involving a fund, the size of
the fund and the market volatility of the fund. Inclusion in an index could
significantly increase demand for the fund and removal from an index could
result in outsized selling activity in a relatively short period of time. As a
result, a fund's net asset value could be negatively impacted and the fund's
market price may be significantly below its net asset value during certain
periods.
INDEX PROVIDER RISK. To the extent a fund seeks to track an index, it is subject
to Index Provider Risk. There is no assurance that the Index Provider will
compile the Index accurately, or that the Index will be determined, maintained,
constructed, reconstituted, rebalanced, composed, calculated or disseminated
accurately. To correct any such error, the Index Provider may carry out an
unscheduled rebalance or other modification of the Index constituents or
weightings, which may increase the fund's costs. The Index Provider does not
provide any representation or warranty in relation to the quality, accuracy or
completeness of data in the Index, and it does not guarantee that the Index will
be calculated in accordance with its stated methodology. Losses or costs
associated with any Index Provider errors generally will be borne by the fund
and its shareholders.
INVESTMENT COMPANIES RISK. To the extent a fund invests in the securities of
other investment vehicles, the fund will incur additional fees and expenses that
would not be present in a direct investment in those investment vehicles.
Furthermore, the fund's investment performance and risks are directly related to
the investment performance and risks of the investment vehicles in which the
fund invests.
LIBOR RISK. To the extent a fund invests in floating or variable rate
obligations that use the London Interbank Offered Rate ("LIBOR") as a reference
interest rate, it is subject to LIBOR Risk. In 2017, the United Kingdom's
Financial Conduct Authority announced that LIBOR will cease to be available for
use after 2021. The unavailability or replacement of LIBOR may affect the value,
liquidity or return on certain fund investments and may result in costs incurred
in connection with closing out positions and entering into new trades. Any
potential effects of the transition away from LIBOR on the fund or on certain
instruments in which the fund invests can be difficult to ascertain, and they
may vary depending on a variety of factors. Any such effects of the transition
away from LIBOR, as well as other unforeseen effects, could result in losses to
the fund.
MANAGEMENT RISK. To the extent that a fund is actively managed, it is subject to
management risk. In managing an actively-managed fund's investment portfolio,
the fund's portfolio managers will apply investment techniques and risk analyses
that may not have the desired result. There can be no guarantee that a fund will
meet its investment objective.
MARKET RISK. Securities held by a fund, as well as shares of a fund itself, are
subject to market fluctuations caused by factors such as general economic
conditions, political events, regulatory or market developments, changes in
interest rates and perceived trends in securities prices. Shares of a fund could
decline in value or underperform other investments as a result of the risk of
loss associated with these market fluctuations. In addition, local, regional or
global events such as war, acts of terrorism, spread of infectious diseases or
other public health issues, recessions, or other events could have a significant
negative impact on a fund and its investments. Such events may affect certain
geographic regions, countries, sectors and industries more significantly than
others. The outbreak of the respiratory disease designated as COVID-19 in
December 2019 has caused significant volatility and declines in global financial
markets, which have caused losses for investors. The COVID-19 pandemic may last
for an extended period of time and will continue to impact the economy for the
foreseeable future.
NON-U.S. SECURITIES RISK. To the extent a fund invests in non-U.S. securities,
it is subject to additional risks not associated with securities of domestic
issuers. Non-U.S. securities are subject to higher volatility than securities of
domestic issuers due to: possible adverse political, social or economic
developments; restrictions on foreign investment or exchange of securities; lack
of liquidity; currency exchange rates; excessive taxation; government seizure of
assets; different legal or accounting standards; and less government supervision
and regulation of exchanges in foreign countries. Investments in non-U.S.
securities may involve higher costs than investments in U.S. securities,
including higher transaction and custody costs, as well as additional taxes
imposed by non-U.S. governments. These risks may be heightened for securities of
companies located, or with significant operations, in emerging market countries.
PASSIVE INVESTMENT RISK. To the extent a fund seeks to track an index, the fund
will invest in the securities included in, or representative of, the index
regardless of their investment merit. A fund generally will not attempt to take
defensive positions in declining markets.
NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2020 (UNAUDITED)
REMUNERATION
First Trust Advisors L.P. ("First Trust") is authorised and regulated by the
U.S. Securities and Exchange Commission and is entitled to market shares of the
First Trust Exchange-Traded AlphaDEX(R) Fund funds it manages (the "Funds") in
certain member states in the European Economic Area in accordance with the
cooperation arrangements in Article 42 of the Alternative Investment Fund
Managers Directive (the "Directive"). First Trust is required under the
Directive to make disclosures in respect of remuneration. The following
disclosures are made in line with First Trust's interpretation of currently
available regulatory guidance on remuneration disclosures.
During the year ended December 31, 2019, the amount of remuneration paid (or to
be paid) by First Trust Advisors L.P. in respect of the Funds is $2,786,563.
This figure is comprised of $173,009 paid (or to be paid) in fixed compensation
and $2,613,554 paid (or to be paid) in variable compensation. There were a total
of 15 beneficiaries of the remuneration described above. Those amounts include
$1,627,293 paid (or to be paid) to senior management of First Trust Advisors
L.P. and $1,159,270 paid (or to be paid) to other employees whose professional
activities have a material impact on the risk profiles of First Trust Advisors
L.P. or the Funds (collectively, "Code Staff").
Code Staff included in the aggregated figures disclosed above are rewarded in
line with First Trust's remuneration policy (the "Remuneration Policy") which is
determined and implemented by First Trust's senior management. The Remuneration
Policy reflects First Trust's ethos of good governance and encapsulates the
following principal objectives:
i. to provide a clear link between remuneration and performance of
First Trust and to avoid rewarding for failure;
ii. to promote sound and effective risk management consistent with the
risk profiles of the Funds managed by First Trust; and
iii. to remunerate staff in line with the business strategy, objectives,
values and interests of First Trust and the Funds managed by First
Trust in a manner that avoids conflicts of interest.
First Trust assesses various risk factors which it is exposed to when
considering and implementing remuneration for Code Staff and considers whether
any potential award to such person(s) would give rise to a conflict of interest.
First Trust does not reward failure, or consider the taking of risk or failure
to take risk in its remuneration of Code Staff.
First Trust assesses performance for the purposes of determining payments in
respect of performance-related remuneration of Code Staff by reference to a
broad range of measures including (i) individual performance (using financial
and non-financial criteria), and (ii) the overall performance of First Trust.
Remuneration is not based upon the performance of the Funds.
The elements of remuneration are balanced between fixed and variable and the
senior management sets fixed salaries at a level sufficient to ensure that
variable remuneration incentivises and rewards strong individual performance but
does not encourage excessive risk taking.
No individual is involved in setting his or her own remuneration.
ADVISORY AGREEMENT
BOARD CONSIDERATIONS REGARDING CONTINUATION OF INVESTMENT MANAGEMENT AGREEMENT
The Board of Trustees of First Trust Exchange-Traded AlphaDEX(R) Fund (the
"Trust"), including the Independent Trustees, unanimously approved the
continuation of the Investment Management Agreement (the "Agreement") with First
Trust Advisors L.P. (the "Advisor") on behalf of the following nine series of
the Trust (each a "Fund" and collectively, the "Funds"):
First Trust Consumer Discretionary AlphaDEX(R) Fund (FXD)
First Trust Consumer Staples AlphaDEX(R) Fund (FXG)
First Trust Energy AlphaDEX(R) Fund (FXN)
First Trust Financials AlphaDEX(R) Fund (FXO)
First Trust Health Care AlphaDEX(R) Fund (FXH)
First Trust Industrials/Producer Durables AlphaDEX(R) Fund (FXR)
First Trust Materials AlphaDEX(R) Fund (FXZ)
First Trust Technology AlphaDEX(R) Fund (FXL)
First Trust Utilities AlphaDEX(R) Fund (FXU)
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2020 (UNAUDITED)
The Board approved the continuation of the Agreement for each Fund for a
one-year period ending June 30, 2021 at a meeting held on June 8, 2020. The
Board determined for each Fund that the continuation of the Agreement is in the
best interests of the Fund in light of the nature, extent and quality of the
services provided and such other matters as the Board considered to be relevant
in the exercise of its reasonable business judgment.
To reach this determination for each Fund, the Board considered its duties under
the Investment Company Act of 1940, as amended (the "1940 Act"), as well as
under the general principles of state law, in reviewing and approving advisory
contracts; the requirements of the 1940 Act in such matters; the fiduciary duty
of investment advisors with respect to advisory agreements and compensation; the
standards used by courts in determining whether investment company boards have
fulfilled their duties; and the factors to be considered by the Board in voting
on such agreements. At meetings held on May 11, 2020 and June 8, 2020, the
Board, including the Independent Trustees, reviewed materials provided by the
Advisor responding to requests for information from counsel to the Independent
Trustees, submitted on behalf of the Independent Trustees, that, among other
things, outlined: the services provided by the Advisor to each Fund (including
the relevant personnel responsible for these services and their experience); the
advisory fee rate payable by each Fund as compared to fees charged to a peer
group of funds (the "Expense Group") and a broad peer universe of funds (the
"Expense Universe"), each assembled by Broadridge Financial Solutions, Inc.
("Broadridge"), an independent source, and as compared to fees charged to other
clients of the Advisor, including other exchange-traded funds ("ETFs") managed
by the Advisor; the expense ratio of each Fund as compared to expense ratios of
the funds in the Fund's Expense Group and Expense Universe; performance
information for each Fund, including comparisons of each Fund's performance to
that of one or more relevant benchmark indexes and to that of a performance
group of funds and a broad performance universe of funds (the "Performance
Universe"), each assembled by Broadridge; the nature of expenses incurred in
providing services to each Fund and the potential for the Advisor to realize
economies of scale, if any; profitability and other financial data for the
Advisor; any fall-out benefits to the Advisor and its affiliate, First Trust
Portfolios L.P. ("FTP"); and information on the Advisor's compliance program.
The Board reviewed initial materials with the Advisor at the meeting held on May
11, 2020, prior to which the Independent Trustees and their counsel met
separately to discuss the information provided by the Advisor. Following the May
meeting, counsel to the Independent Trustees, on behalf of the Independent
Trustees, requested certain clarifications and supplements to the materials
provided, and the information provided in response to those requests was
considered at an executive session of the Independent Trustees and their counsel
held prior to the June 8, 2020 meeting, as well as at the meeting held that day.
The Board considered supplemental information provided by the Advisor on the
operations of the Advisor and the performance of the Funds since the onset of
the COVID-19 pandemic. The Board applied its business judgment to determine
whether the arrangement between the Trust and the Advisor continues to be a
reasonable business arrangement from each Fund's perspective. The Board
determined that, given the totality of the information provided with respect to
the Agreement, the Board had received sufficient information to renew the
Agreement. The Board considered that shareholders chose to invest or remain
invested in a Fund knowing that the Advisor manages the Fund and knowing the
Fund's advisory fee.
In reviewing the Agreement for each Fund, the Board considered the nature,
extent and quality of the services provided by the Advisor under the Agreement.
The Board considered that the Advisor is responsible for the overall management
and administration of the Trust and each Fund and reviewed all of the services
provided by the Advisor to the Funds, as well as the background and experience
of the persons responsible for such services. In reviewing the services
provided, the Board noted the compliance program that had been developed by the
Advisor and considered that it includes a robust program for monitoring the
Advisor's and each Fund's compliance with the 1940 Act, as well as each Fund's
compliance with its investment objective, policies and restrictions. The Board
also considered a report from the Advisor with respect to its risk management
functions related to the operation of the Funds. Finally, as part of the Board's
consideration of the Advisor's services, the Advisor, in its written materials
and at the May 11, 2020 meeting, described to the Board the scope of its ongoing
investment in additional infrastructure and personnel to maintain and improve
the quality of services provided to the Funds and the other funds in the First
Trust Fund Complex. In light of the information presented and the considerations
made, the Board concluded that the nature, extent and quality of the services
provided to the Trust and each Fund by the Advisor under the Agreement have been
and are expected to remain satisfactory and that the Advisor has managed each
Fund consistent with its investment objective, policies and restrictions.
The Board considered the advisory fee rate payable by each Fund under the
Agreement for the services provided. The Board considered that the Advisor
agreed to extend the current expense cap for each Fund through November 30,
2021. For each Fund, the Board noted that expenses reimbursed and fees waived by
the Advisor are subject to recovery by the Advisor for up to three years from
the date the fee was waived or expense was incurred, but no reimbursement
payment will be made by the Fund if it would result in the Fund exceeding (i)
the applicable expense limitation in place for the most recent fiscal year for
which such expense limitation was in place, (ii) the applicable expense
limitation in place at the time the fees were waived, or (iii) the current
expense limitation. The Board received and reviewed information showing the
advisory or unitary fee rates and expense ratios of the peer funds in the
Expense Groups, as well as advisory and unitary fee rates charged by the Advisor
to other fund (including ETFs) and non-fund clients, as applicable. Because each
Fund's Expense Group included peer funds that pay a unitary fee, the Board
determined that expense ratios were the most relevant comparative data point.
Based on the information provided, the Board noted that the total (net) expense
ratio of each Fund was above the median total (net) expense ratio of the peer
funds in its respective Expense Group. With respect to the Expense Groups, the
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2020 (UNAUDITED)
Board, at the May 11, 2020 meeting, discussed with Broadridge its methodology
for assembling peer groups and discussed with the Advisor limitations in
creating peer groups for index ETFs, including differences in underlying indexes
and index-tracking methodologies that can result in greater management
complexities across seemingly comparable ETFs, and different business models
that may affect the pricing of services among ETF sponsors. The Board took these
limitations and differences into account in considering the peer data. With
respect to fees charged to other non-ETF clients, the Board considered
differences between the Funds and other non-ETF clients that limited their
comparability. In considering the advisory fee rates overall, the Board also
considered the Advisor's statement that it seeks to meet investor needs through
innovative and value-added investment solutions and the Advisor's demonstrated
long-term commitment to each Fund and the other funds in the First Trust Fund
Complex.
The Board considered performance information for each Fund. The Board noted the
process it has established for monitoring each Fund's performance and portfolio
risk on an ongoing basis, which includes quarterly performance reporting from
the Advisor for the Funds. The Board determined that this process continues to
be effective for reviewing each Fund's performance. The Board received and
reviewed information for periods ended December 31, 2019 regarding the
performance of each Fund's underlying index, the correlation between each Fund's
performance and that of its underlying index, each Fund's tracking difference
and each Fund's excess return as compared to its benchmark index. The Board
considered the Advisor's explanations of how the AlphaDEX(R) stock selection
methodology impacts Fund performance in various market environments, and the
Advisor's statement that AlphaDEX(R) is designed to provide long-term
outperformance. Based on the information provided and its ongoing review of
performance, the Board concluded that each Fund was correlated to its underlying
index and that the tracking difference for each Fund was within a reasonable
range. In addition, the Board reviewed data prepared by Broadridge comparing
each Fund's performance to that of its respective Performance Universe and to
that of a broad-based benchmark index, but given each Fund's objective of
seeking investment results that correspond generally to the performance of its
underlying index, the Board placed more emphasis on its review of correlation
and tracking difference.
On the basis of all the information provided on the fees, expenses and
performance of each Fund and the ongoing oversight by the Board, the Board
concluded that the advisory fee for each Fund continues to be reasonable and
appropriate in light of the nature, extent and quality of the services provided
by the Advisor to each Fund under the Agreement.
The Board considered information and discussed with the Advisor whether there
were any economies of scale in connection with providing advisory services to
the Funds and noted the Advisor's statement that it believes its expenses will
likely increase over the next twelve months as the Advisor continues to hire
personnel and build infrastructure, including technology, to improve the
services to the Funds. The Board considered the revenues and allocated costs
(including the allocation methodology) of the Advisor in serving as investment
advisor to each Fund for the twelve months ended December 31, 2019 and the
estimated profitability level for each Fund calculated by the Advisor based on
such data, as well as complex-wide and product-line profitability data, for the
same period. The Board noted the inherent limitations in the profitability
analysis and concluded that, based on the information provided, the Advisor's
profitability level for each Fund was not unreasonable. In addition, the Board
considered fall-out benefits described by the Advisor that may be realized from
its relationship with the Funds. The Board considered that the Advisor had
identified as a fall-out benefit to the Advisor and FTP their exposure to
investors and brokers who, absent their exposure to the Funds, may have had no
dealings with the Advisor or FTP, and noted that the Advisor does not utilize
soft dollars in connection with the Funds. The Board concluded that the
character and amount of potential fall-out benefits to the Advisor were not
unreasonable.
Based on all of the information considered and the conclusions reached, the
Board, including the Independent Trustees, unanimously determined that the terms
of the Agreement continue to be fair and reasonable and that the continuation of
the Agreement is in the best interests of each Fund. No single factor was
determinative in the Board's analysis.
LIQUIDITY RISK MANAGEMENT PROGRAM
In accordance with Rule 22e-4 under the Investment Company Act of 1940, as
amended (the "1940 Act"), the Funds and each other fund in the First Trust Fund
Complex, other than the closed-end funds, have adopted and implemented a
liquidity risk management program (the "Program") reasonably designed to assess
and manage the funds' liquidity risk, i.e., the risk that a fund could not meet
requests to redeem shares issued by the fund without significant dilution of
remaining investors' interests in the fund. The Board of Trustees of the First
Trust Funds has appointed First Trust Advisors, L.P. (the "Advisor") as the
person designated to administer the Program, and in this capacity the Advisor
performs its duties primarily through the activities and efforts of the First
Trust Liquidity Committee.
Pursuant to the Program, the Liquidity Committee classifies the liquidity of
each fund's portfolio investments into one of the four liquidity categories
specified by Rule 22e-4: highly liquid investments, moderately liquid
investments, less liquid investments and illiquid investments. The Liquidity
Committee determines certain of the inputs for this classification process,
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2020 (UNAUDITED)
including reasonably anticipated trade sizes and significant investor dilution
thresholds. The Liquidity Committee also determines and periodically reviews a
highly liquid investment minimum for certain funds, monitors the funds' holdings
of assets classified as illiquid investments to seek to ensure they do not
exceed 15% of a fund's net assets and establishes policies and procedures
regarding redemptions in kind.
At the May 11, 2020 meeting of the Board of Trustees, as required by Rule 22e-4
and the Program, the Advisor provided the Board with a written report prepared
by the Advisor that addressed the operation of the Program during the period
from June 1, 2019 (the initial compliance date for certain requirements of Rule
22e-4) through the Liquidity Committee's annual meeting held on March 20, 2020
and assessed the Program's adequacy and effectiveness of implementation during
this period, including the operation of the highly liquid investment minimum for
each fund that is required under the Program to have one, and any material
changes to the Program. Note that because the Funds primarily hold assets that
are highly liquid investments, the Funds have not adopted a highly liquid
investment minimum.
As stated in the written report, during the review period, no fund breached the
15% limitation on illiquid investments, no fund with a highly liquid investment
minimum breached that minimum and no fund filed a Form N-LIQUID. The Advisor
concluded that each fund's investment strategy is appropriate for an open-end
fund; that the Program operated effectively in all material respects during the
review period; and that the Program is reasonably designed to assess and manage
the liquidity risk of each fund and to maintain compliance with Rule 22e-4.
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BOARD OF TRUSTEES AND OFFICERS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
JULY 31, 2020 (UNAUDITED)
The following tables identify the Trustees and Officers of the Trust. Unless
otherwise indicated, the address of all persons is 120 East Liberty Drive, Suite
400, Wheaton, IL 60187.
The Trust's statement of additional information includes additional information
about the Trustees and is available, without charge, upon request, by calling
(800) 988-5891.
NUMBER OF OTHER
PORTFOLIOS IN TRUSTEESHIPS OR
TERM OF OFFICE THE FIRST TRUST DIRECTORSHIPS
NAME, AND YEAR FIRST FUND COMPLEX HELD BY TRUSTEE
YEAR OF BIRTH AND ELECTED OR PRINCIPAL OCCUPATIONS OVERSEEN BY DURING PAST
POSITION WITH THE TRUST APPOINTED DURING PAST 5 YEARS TRUSTEE 5 YEARS
------------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
------------------------------------------------------------------------------------------------------------------------------------
Richard E. Erickson, Trustee o Indefinite Term Physician, Officer, Wheaton Orthopedics; 184 None
(1951) Limited Partner, Gundersen Real Estate
o Since Inception Limited Partnership (June 1992 to
December 2016); Member, Sportsmed
LLC (April 2007 to November 2015)
Thomas R. Kadlec, Trustee o Indefinite Term President, ADM Investors Services, Inc. 184 Director of ADM
(1957) (Futures Commission Merchant) Investor Services,
o Since Inception Inc., ADM Investor
Services
International,
Futures Industry
Association, and
National Futures
Association
Robert F. Keith, Trustee o Indefinite Term President, Hibs Enterprises (Financial 184 Director of Trust
(1956) and Management Consulting) Company of
o Since Inception Illinois
Niel B. Nielson, Trustee o Indefinite Term Senior Advisor (August 2018 to Present), 184 None
(1954) Managing Director and Chief Operating
o Since Inception Officer (January 2015 to August 2018),
Pelita Harapan Educational Foundation
(Educational Product and Services);
President and Chief Executive Officer
(June 2012 to September 2014), Servant
Interactive LLC (Educational Products
and Services); President and Chief
Executive Officer (June 2012 to
September 2014), Dew Learning LLC
(Educational Products and Services)
------------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEE
------------------------------------------------------------------------------------------------------------------------------------
James A. Bowen(1), Trustee, o Indefinite Term Chief Executive Officer, First Trust 184 None
Chairman of the Board Advisors L.P. and First Trust
(1955) o Since Inception Portfolios L.P.; Chairman of the
Board of Directors, BondWave LLC
(Software Development Company)
and Stonebridge Advisors LLC
(Investment Advisor)
-----------------------------
(1) Mr. Bowen is deemed an "interested person" of the Trust due to his
position as Chief Executive Officer of First Trust Advisors L.P.,
investment advisor of the Trust.
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BOARD OF TRUSTEES AND OFFICERS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
JULY 31, 2020 (UNAUDITED)
POSITION AND TERM OF OFFICE
NAME AND OFFICES AND LENGTH OF PRINCIPAL OCCUPATIONS
YEAR OF BIRTH WITH TRUST SERVICE DURING PAST 5 YEARS
------------------------------------------------------------------------------------------------------------------------------------
OFFICERS(2)
------------------------------------------------------------------------------------------------------------------------------------
James M. Dykas President and Chief Executive o Indefinite Term Managing Director and Chief Financial Officer
(1966) Officer (January 2016 to Present), Controller (January 2011 to
o Since January 2016 January 2016), Senior Vice President (April 2007 to
January 2016), First Trust Advisors L.P. and First
Trust Portfolios L.P.; Chief Financial Officer
(January 2016 to Present), BondWave LLC (Software
Development Company) and Stonebridge Advisors
LLC (Investment Advisor)
Donald P. Swade Treasurer, Chief Financial o Indefinite Term Senior Vice President (July 2016 to Present), Vice
(1972) Officer and Chief President (April 2012 to July 2016), First Trust
Accounting Officer o Since January 2016 Advisors L.P. and First Trust Portfolios L.P.
W. Scott Jardine Secretary and Chief o Indefinite Term General Counsel, First Trust Advisors L.P. and First
(1960) Legal Officer Trust Portfolios L.P.; Secretary and General Counsel,
o Since Inception BondWave LLC; Secretary, Stonebridge Advisors LLC
Daniel J. Lindquist Vice President o Indefinite Term Managing Director, First Trust Advisors L.P. and
(1970) First Trust Portfolios L.P.
o Since Inception
Kristi A. Maher Chief Compliance Officer o Indefinite Term Deputy General Counsel, First Trust Advisors L.P.
(1966) and Assistant Secretary and First Trust Portfolios L.P.
o Chief Compliance
Officer Since
January 2011
o Assistant Secretary
Since Inception
Roger F. Testin Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P.
(1966) and First Trust Portfolios L.P.
o Since Inception
Stan Ueland Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P.
(1970) and First Trust Portfolios L.P.
o Since Inception
-----------------------------
(2) The term "officer" means the president, vice president, secretary,
treasurer, controller or any other officer who performs a policy making
function.
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PRIVACY POLICY
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
JULY 31, 2020 (UNAUDITED)
PRIVACY POLICY
First Trust values our relationship with you and considers your privacy an
important priority in maintaining that relationship. We are committed to
protecting the security and confidentiality of your personal information.
SOURCES OF INFORMATION
We collect nonpublic personal information about you from the following sources:
o Information we receive from you and your broker-dealer, investment
advisor or financial representative through interviews,
applications, agreements or other forms;
o Information about your transactions with us, our affiliates or
others;
o Information we receive from your inquiries by mail, e-mail or
telephone; and
o Information we collect on our website through the use of "cookies".
For example, we may identify the pages on our website that your
browser requests or visits.
INFORMATION COLLECTED
The type of data we collect may include your name, address, social security
number, age, financial status, assets, income, tax information, retirement and
estate plan information, transaction history, account balance, payment history,
investment objectives, marital status, family relationships and other personal
information.
DISCLOSURE OF INFORMATION
We do not disclose any nonpublic personal information about our customers or
former customers to anyone, except as permitted by law. In addition to using
this information to verify your identity (as required under law), the permitted
uses may also include the disclosure of such information to unaffiliated
companies for the following reasons:
o In order to provide you with products and services and to effect
transactions that you request or authorize, we may disclose your
personal information as described above to unaffiliated financial
service providers and other companies that perform administrative or
other services on our behalf, such as transfer agents, custodians
and trustees, or that assist us in the distribution of investor
materials such as trustees, banks, financial representatives, proxy
services, solicitors and printers.
o We may release information we have about you if you direct us to do
so, if we are compelled by law to do so, or in other legally limited
circumstances (for example to protect your account from fraud).
In addition, in order to alert you to our other financial products and services,
we may share your personal information within First Trust.
USE OF WEBSITE ANALYTICS
We currently use third party analytics tools, Google Analytics and AddThis, to
gather information for purposes of improving First Trust's website and marketing
our products and services to you. These tools employ cookies, which are small
pieces of text stored in a file by your web browser and sent to websites that
you visit, to collect information, track website usage and viewing trends such
as the number of hits, pages visited, videos and PDFs viewed and the length of
user sessions in order to evaluate website performance and enhance navigation of
the website. We may also collect other anonymous information, which is generally
limited to technical and web navigation information such as the IP address of
your device, internet browser type and operating system for purposes of
analyzing the data to make First Trust's website better and more useful to our
users. The information collected does not include any personal identifiable
information such as your name, address, phone number or email address unless you
provide that information through the website for us to contact you in order to
answer your questions or respond to your requests. To find out how to opt-out of
these services click on: Google Analytics and AddThis.
CONFIDENTIALITY AND SECURITY
With regard to our internal security procedures, First Trust restricts access to
your nonpublic personal information to those First Trust employees who need to
know that information to provide products or services to you. We maintain
physical, electronic and procedural safeguards to protect your nonpublic
personal information.
POLICY UPDATES AND INQUIRIES
As required by federal law, we will notify you of our privacy policy annually.
We reserve the right to modify this policy at any time, however, if we do change
it, we will tell you promptly. For questions about our policy, or for additional
copies of this notice, please go to www.ftportfolios.com, or contact us at
1-800-621-1675 (First Trust Portfolios) or 1-800-222-6822 (First Trust
Advisors).
March 2020
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FIRST TRUST
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
--------------------------------------------------------------------------------
INVESTMENT ADVISOR
First Trust Advisors L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
ADMINISTRATOR, CUSTODIAN,
FUND ACCOUNTANT &
TRANSFER AGENT
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
111 S. Wacker Drive
Chicago, IL 60606
LEGAL COUNSEL
Chapman and Cutler LLP
111 W. Monroe Street
Chicago, IL 60603
[BLANK BACK COVER]
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FIRST TRUST
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
Annual Report July 31, 2020
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AlphaDEX(R) Style Funds
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First Trust Large Cap Core AlphaDEX(R) Fund (FEX)
First Trust Mid Cap Core AlphaDEX(R) Fund (FNX)
First Trust Small Cap Core AlphaDEX(R) Fund (FYX)
First Trust Large Cap Value AlphaDEX(R) Fund (FTA)
First Trust Large Cap Growth AlphaDEX(R) Fund (FTC)
First Trust Multi Cap Value AlphaDEX(R) Fund (FAB)
First Trust Multi Cap Growth AlphaDEX(R) Fund (FAD)
First Trust Mid Cap Value AlphaDEX(R) Fund (FNK)
First Trust Mid Cap Growth AlphaDEX(R) Fund (FNY)
First Trust Small Cap Value AlphaDEX(R) Fund (FYT)
First Trust Small Cap Growth AlphaDEX(R) Fund (FYC)
First Trust Mega Cap AlphaDEX(R) Fund (FMK)
ALPHADEX(R)
FAMILY OF ETFs
AlphaDEX(R) is a registered trademark of First Trust Portfolios L.P.
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TABLE OF CONTENTS
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
ANNUAL REPORT
JULY 31, 2020
Shareholder Letter.......................................................... 2
Market Overview............................................................. 3
Fund Performance Overview
First Trust Large Cap Core AlphaDEX(R) Fund (FEX)..................... 4
First Trust Mid Cap Core AlphaDEX(R) Fund (FNX)....................... 6
First Trust Small Cap Core AlphaDEX(R) Fund (FYX)..................... 8
First Trust Large Cap Value AlphaDEX(R) Fund (FTA).................... 10
First Trust Large Cap Growth AlphaDEX(R) Fund (FTC)................... 12
First Trust Multi Cap Value AlphaDEX(R) Fund (FAB).................... 14
First Trust Multi Cap Growth AlphaDEX(R) Fund (FAD)................... 16
First Trust Mid Cap Value AlphaDEX(R) Fund (FNK)...................... 18
First Trust Mid Cap Growth AlphaDEX(R) Fund (FNY)..................... 20
First Trust Small Cap Value AlphaDEX(R) Fund (FYT).................... 22
First Trust Small Cap Growth AlphaDEX(R) Fund (FYC)................... 24
First Trust Mega Cap AlphaDEX(R) Fund (FMK)........................... 26
Notes to Fund Performance Overview.......................................... 28
Understanding Your Fund Expenses............................................ 29
Portfolio of Investments
First Trust Large Cap Core AlphaDEX(R) Fund (FEX)..................... 31
First Trust Mid Cap Core AlphaDEX(R) Fund (FNX)....................... 37
First Trust Small Cap Core AlphaDEX(R) Fund (FYX)..................... 44
First Trust Large Cap Value AlphaDEX(R) Fund (FTA).................... 52
First Trust Large Cap Growth AlphaDEX(R) Fund (FTC)................... 56
First Trust Multi Cap Value AlphaDEX(R) Fund (FAB).................... 60
First Trust Multi Cap Growth AlphaDEX(R) Fund (FAD)................... 70
First Trust Mid Cap Value AlphaDEX(R) Fund (FNK)...................... 79
First Trust Mid Cap Growth AlphaDEX(R) Fund (FNY)..................... 84
First Trust Small Cap Value AlphaDEX(R) Fund (FYT).................... 89
First Trust Small Cap Growth AlphaDEX(R) Fund (FYC)................... 94
First Trust Mega Cap AlphaDEX(R) Fund (FMK)........................... 99
Statements of Assets and Liabilities........................................ 102
Statements of Operations.................................................... 105
Statements of Changes in Net Assets......................................... 108
Financial Highlights........................................................ 112
Notes to Financial Statements............................................... 119
Report of Independent Registered Public Accounting Firm..................... 128
Additional Information...................................................... 129
Board of Trustees and Officers.............................................. 136
Privacy Policy.............................................................. 138
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CAUTION REGARDING FORWARD-LOOKING STATEMENTS
This report contains certain forward-looking statements within the meaning of
the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934,
as amended. Forward-looking statements include statements regarding the goals,
beliefs, plans or current expectations of First Trust Advisors L.P. ("First
Trust" or the "Advisor") and its representatives, taking into account the
information currently available to them. Forward-looking statements include all
statements that do not relate solely to current or historical fact. For example,
forward-looking statements include the use of words such as "anticipate,"
"estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or
other words that convey uncertainty of future events or outcomes.
Forward-looking statements involve known and unknown risks, uncertainties and
other factors that may cause the actual results, performance or achievements of
any series of First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust")
described in this report (each such series is referred to as a "Fund" and
collectively, as the "Funds") to be materially different from any future
results, performance or achievements expressed or implied by the forward-looking
statements. When evaluating the information included in this report, you are
cautioned not to place undue reliance on these forward-looking statements, which
reflect the judgment of the Advisor and its representatives only as of the date
hereof. We undertake no obligation to publicly revise or update these
forward-looking statements to reflect events and circumstances that arise after
the date hereof.
PERFORMANCE AND RISK DISCLOSURE
There is no assurance that any Fund described in this report will achieve its
investment objective. Each Fund is subject to market risk, which is the
possibility that the market values of securities owned by the Fund will decline
and that the value of the Fund's shares may therefore be less than what you paid
for them. Accordingly, you can lose money investing in a Fund. See "Risk
Considerations" in the Additional Information section of this report for a
discussion of other risks in investing in the Funds.
Performance data quoted represents past performance, which is no guarantee of
future results, and current performance may be lower or higher than the figures
shown. For the most recent month-end performance figures, please visit
www.ftportfolios.com or speak with your financial advisor. Investment returns,
net asset value and share price will fluctuate and Fund shares, when sold, may
be worth more or less than their original cost.
The Advisor may also periodically provide additional information on Fund
performance on each Fund's webpage at www.ftportfolios.com.
HOW TO READ THIS REPORT
This report contains information that may help you evaluate your investment. It
includes details about each Fund and presents data and analysis that provide
insight into each Fund's performance and investment approach.
By reading the market overview by Robert F. Carey, Chief Market Strategist of
the Advisor, you may obtain an understanding of how the market environment
affected the performance of each Fund. The statistical information that follows
may help you understand each Fund's performance compared to that of relevant
market benchmarks.
It is important to keep in mind that the opinions expressed by personnel of the
Advisor are just that: informed opinions. They should not be considered to be
promises or advice. The opinions, like the statistics, cover the period through
the date on the cover of this report. The material risks of investing in each
Fund are spelled out in its prospectus, statement of additional information, and
other Fund regulatory filings.
Page 1
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SHAREHOLDER LETTER
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
ANNUAL LETTER FROM THE CHAIRMAN AND CEO
JULY 31, 2020
Dear Shareholders:
First Trust is pleased to provide you with the annual report for the Style Funds
of the First Exchange-Traded AlphaDEX(R) Fund (the "Funds"), which contains
detailed information about the Funds for the 12-month period ended July 31,
2020.
When I think back to the direction the U.S. economy was headed midway through
2018, the first thought that comes to mind is normalization. At that time, it
was a welcome notion. If you recall, the Trump Administration signed the Tax
Cuts & Jobs Act of 2017 on December 22, 2017. Perhaps the most exciting part of
the new tax law was the slashing of the federal corporate tax rate from 35%,
which was among the highest of any country in the world, to 21%. This was well
received, in our opinion. U.S. economic activity was rising even before the ink
was dry on the tax bill. Real U.S. gross domestic product grew at an annualized
rate of 3.9% in the fourth quarter of 2017, and then rose an annualized 3.8% in
the first quarter of 2018, according to the Bureau of Economic Analysis. The
last time U.S. economic growth had exceeded the 3.0% mark was in the first
quarter of 2015. Over the two terms of the Obama Administration (2009-2016),
U.S. economic growth averaged just 2.0%, which was modest by historical
standards. Brian Wesbury, Chief Economist at First Trust Advisors L.P., referred
to it as the "Plow Horse Economy." The main takeaway here is that the Trump
Administration's tax cuts were helping to drive economic growth to more
normalized levels. The process had begun.
As economic growth was normalizing in 2018, so were interest rates and bond
yields. The Federal Reserve (the "Fed") raised the federal funds target rate
(upper bound) from 1.50% at the start of 2018 to 2.50% at year-end, or an
increase of 100 basis points ("bps"). The yield on the 10-Year Treasury Note
("T-Note"), which the Fed does not control, rose 83 bps from the start of 2018
to its calendar year peak of 3.24% on November 8, 2018. The point here is that
while interest rates and bond yields were well into the process of normalizing,
they were still below their historical norms. For the 30-year period ended
December 31, 2018, the federal funds target rate (upper bound) averaged 3.18%,
while the 10-Year T-Note's average yield was 4.71%, according to Bloomberg. If
you recall, industry pundits had been characterizing the persistent low-rate,
low-growth climate as the "new normal." While the concept of getting back to
normal in the economy and markets looked achievable, in the end, it was not
meant to be. What derailed the momentum? In a word: tariffs. In March 2018, less
than three months after enacting its tax reform legislation, the Trump
Administration initiated a tariff program targeting imported goods and services
from the major trading partners of the U.S. In February 2020, the White House
acknowledged that the Trump Administration's trade policies "depressed economic
growth and business investment," according to Bloomberg. President Trump was
pressuring the Fed to lower interest rates months before the coronavirus
("COVID-19") showed itself. The tariffs are still in play today.
Let us fast forward to today's climate. For all intents and purposes, from a
monetary policy standpoint, we are back to where we were following the 2008-2009
financial crisis. The federal funds target rate (upper bound) stood at 0.25% on
July 31, 2020. That is where it sat from December 2008 to December 2015. That
puts us farther away from normalcy than we were leading up to 2018. While the
COVID-19 pandemic was what drove the U.S. economy into a recession and what
pushed the stock market into bear market territory, at least for a few months,
we know that there are other headwinds to be navigated, such as government trade
policies and elections. There are always going to be headwinds to be navigated.
As of July 31, 2020, the yield on the 10-Year T-Note was 0.53%, which was about
150 bps below where it stood at the close of December 2008. The Fed has stated
that it is in no rush to raise interest rates. Inflation levels are subdued. By
keeping interest rates artificially low, the Fed is incentivizing investors to
assume more risk to potentially earn a higher return on their capital. With the
help of the Fed, the stock and bond markets have proved their resiliency once
again, despite how destructive COVID-19 has been to date. Investors should take
solace in that fact. Maybe the new normal will work as well for investors as
what we deemed normal in the past. Stay the course!
Thank you for giving First Trust the opportunity to play a role in your
financial future. We value our relationship with you and will report on the
Funds again in six months.
Sincerely,
/s/ James A. Bowen
James A. Bowen
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
Page 2
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MARKET OVERVIEW
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
ANNUAL REPORT
JULY 31, 2020
ROBERT F. CAREY, CFA
SENIOR VICE PRESIDENT AND CHIEF MARKET STRATEGIST
FIRST TRUST ADVISORS L.P.
Mr. Carey is responsible for the overall management of research and analysis of
the First Trust product line. Mr. Carey has over 27 years of experience as an
Equity and Fixed-Income Analyst and is a recipient of the Chartered Financial
Analyst ("CFA") designation. He is a graduate of the University of Illinois at
Champaign-Urbana with a B.S. in Physics. He is also a member of the Investment
Analysts Society of Chicago and the CFA Institute. Mr. Carey has appeared as a
guest on such programs as Bloomberg TV, CNBC, and WBBM Radio, and has been
quoted by several publications, including The Wall Street Journal, The Wall
Street Reporter, Bloomberg News Service, and Registered Rep.
STATE OF THE U.S./GLOBAL ECONOMY
A year ago, we were laser focused on the Trump Administration's trade war with
China. Little did we know back then that we would be swapping anxiety over
tariffs for a virus pandemic. The coronavirus ("COVID-19") has been front and
center since its onset early in the first quarter of 2020. Its arrival ended the
bull market in stocks and temporarily shuttered a major chunk of not only the
U.S. economy, but economies around the globe. The U.S. economy contracted by an
annualized 5.0% in the first quarter of 2020 and then plunged an annualized
32.9% in the second quarter of 2020, according to the Bureau of Economic
Analysis. The National Bureau of Economic Research, the organization that
determines the beginning and end of business cycles in the U.S., reported on
June 8, 2020, that U.S. economic activity peaked in February of this year. That
marked the end of a 128-month economic expansion, the longest in this nation's
history. We now know that the U.S. economy is in a recession.
While the trillions of dollars of stimulus that has been appropriated by
government leaders and central bankers throughout the globe is helping to prop
up economies decimated (financial cost and human toll) by COVID-19, we believe
that its primary objective is to simply buy time so that health care companies
can develop therapeutics and vaccines to combat the virus. There are indicators
we can cite that show just how rough it is in the business world despite the
stimulus efforts. One of our go to barometers is the default rate on
lower-quality, high yield corporate bonds. As of July 31, 2020, the trailing
12-month global speculative-grade default rate was 6.1%, according to Moody's
Investors Service. It now stands above its historical average of 4.1%. Moody's
estimates that it will climb to 8.8% by the end of 2020. That happens to
coincide with the target date for when some pundits believe we could see the
first FDA-approved vaccines for COVID-19. This is something we plan to monitor
closely.
The International Monetary Fund ("IMF") is forecasting year-over-year global
growth rate estimates of -4.9% for 2020 and 5.4% for 2021, compared to 3.6% in
2018 and 2.9% in 2019. With respect to the U.S., it sees gross domestic product
growth declining by an estimated 8.0% in 2020 and then rebounding 4.5% in 2021.
That is in line with the -8.0% and 4.8% estimates for 2020 and 2021 for all
Advanced Economies. Emerging Market and Developing Economies are expected to
hold up better than their developed nation counterparts. The IMF puts their
growth rate targets at -3.0% for 2020 and 5.9% for 2021.
ETFGI, an independent research and consultancy firm, reported that total assets
invested in exchange-traded funds ("ETFs") and related exchange-traded products
("ETPs") listed globally stood at an all-time high of $6.66 trillion in July
2020, up from $5.74 trillion a year ago, according to its own release. Total
assets of U.S. listed ETFs/ETPs stood at an all-time high of $4.61 trillion, up
from $4.02 trillion a year ago.
STYLE/EQUITY INVESTING
One barometer for gauging investors' appetites for equities is tracking money
flows in and out of open-end mutual funds and ETFs. The flows are reported over
time on a rolling 12-month basis. For the 12-month period ended July 31, 2020,
U.S. Equity funds/ETFs reported estimated net outflows totaling $177.64 billion,
according to data from Morningstar. As has been the case in recent years,
investors are favoring passive funds over actively managed funds. Passive U.S.
Equity funds/ETFs reported estimated net inflows totaling $62.14 billion,
compared to estimated net outflows totaling $239.78 billion for actively managed
U.S. Equity funds/ETFs.
For the 12-month period ended July 31, 2020, U.S. Large Blend, U.S. Large Growth
and U.S. Large Value equity funds/ETFs reported estimated net flows totaling
-$4.81 billion, -$59.38 billion and -$29.68 billion, respectively, according to
Morningstar. U.S. Mid-Cap Blend, U.S. Mid-Cap Growth and U.S. Mid-Cap Value
equity funds/ETFs reported estimated net flows totaling -$12.34 billion, -$14.30
billion and -$21.91 billion, respectively. U.S. Small Blend, U.S. Small Growth
and U.S. Small Value equity funds/ETFs reported estimated net flows totaling
-$10.30 billion, -$12.44 billion and -$2.99 billion, respectively. Overall,
investors were not particularly interested in style-driven portfolios over the
past year.
For the 12-month period ended July 31, 2020, the S&P 500(R) Index posted a total
return of 11.96%, according to Bloomberg. Growth stocks outperformed value
stocks by a huge margin for the same period. The S&P 500(R) Growth Index posted
a total return of 24.55%, compared to -2.72% for the S&P 500(R) Value Index in
the period. The S&P MidCap 400(R) Index posted a total return of -3.54% for the
same period. Growth stocks significantly outperformed value stocks in the
period. The S&P MidCap 400(R) Growth Index posted a total return of 5.38%,
compared to -13.39% for the S&P MidCap 400(R) Value Index. The S&P SmallCap
600(R) Index posted a total return of -8.68% in the period. Despite posting a
negative return, growth stocks outperformed value stocks in the period. The S&P
SmallCap 600(R) Growth Index posted a total return of -1.58%, compared to
-16.31% for the S&P SmallCap 600(R) Value Index for the same period.
Page 3
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FUND PERFORMANCE OVERVIEW (UNAUDITED)
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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.
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PERFORMANCE
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AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
7/31/20 7/31/20 7/31/20 to 7/31/20 7/31/20 7/31/20 to 7/31/20
FUND PERFORMANCE
NAV 1.95% 7.72% 11.53% 6.99% 45.01% 197.83% 144.38%
Market Price 1.95% 7.69% 11.53% 6.99% 44.87% 197.85% 144.34%
INDEX PERFORMANCE
Nasdaq AlphaDEX(R)
Large Cap Core Index(1) 2.58% N/A N/A N/A N/A N/A N/A
Nasdaq US 500 Large
Cap Index(1) 13.58% N/A N/A N/A N/A N/A N/A
S&P 500(R) Index 11.96% 11.49% 13.84% 8.29% 72.23% 265.58% 186.97%
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(1) Performance data is not available for all the periods shown in the table
for the index because performance data does not exist for some of the
entire periods.
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
The Fund generated a net asset value ("NAV") return of 1.95% during the period
covered by this report. During the same period, the S&P 500(R) Index (the
"Benchmark") generated a return of 11.96%. During the period covered by this
report, the Fund allocated 17.4% to the Information Technology sector and 17.1%
to the Financials sector, the two largest allocations in the period. The
allocation to the Information Technology sector also contributed 5.1% to the
Fund's return, which was more than any other sector. Investments in the
Financials sector contributed -3.1% to the Fund's return, which was the largest
negative contribution of any sector. On a relative basis, the Fund
underperformed the Benchmark. The largest source of the underperformance came
from investments in the Information Technology sector, which caused -3.1% of
underperformance for the Fund versus the Benchmark. The greatest source of
outperformance for the Fund versus the Benchmark was 0.8%, which was earned from
investments in the Health Care sector.
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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
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) (CONTINUED)
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% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
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Information Technology 23.26%
Financials 16.62
Health Care 13.28
Industrials 11.34
Consumer Discretionary 9.98
Communication Services 6.19
Utilities 5.18
Consumer Staples 4.21
Energy 3.85
Materials 3.69
Real Estate 2.40
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Total 100.00%
=======
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% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Tesla, Inc. 0.56%
PulteGroup, Inc. 0.54
Twilio, Inc., Class A 0.54
DocuSign, Inc. 0.53
Square, Inc., Class A 0.53
D.R. Horton, Inc. 0.51
West Pharmaceutical Services, Inc. 0.50
Universal Health Services, Inc.,
Class B 0.50
Pfizer, Inc. 0.50
Lennar Corp., Class A 0.50
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Total 5.21%
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PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2010 - JULY 31, 2020
First Trust Large Cap S&P 500(R)
Core AlphaDEX(R) Fund Index
7/10 $10,000 $10,000
1/11 11,901 11,793
7/11 12,055 11,965
1/12 12,143 12,289
7/12 12,320 13,058
1/13 14,165 14,352
7/13 16,188 16,322
1/14 17,399 17,440
7/14 19,075 19,086
1/15 19,822 19,920
7/15 20,538 21,225
1/16 18,388 19,788
7/16 21,276 22,418
1/17 22,789 23,754
7/17 24,824 26,013
1/18 28,416 30,027
7/18 28,229 30,237
1/19 26,716 29,332
7/19 29,214 32,654
1/20 30,378 35,694
7/20 29,783 36,558
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the index does
not actually hold a portfolio of securities and therefore does not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2020
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2015 through July
31, 2020. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
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NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
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FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/15 - 7/31/16 148 0 0 0
8/1/16 - 7/31/17 156 0 0 0
8/1/17 - 7/31/18 139 0 0 0
8/1/18 - 7/31/19 123 3 0 0
8/1/19 - 7/31/20 30 0 0 0
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NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
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FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/15 - 7/31/16 103 0 0 0
8/1/16 - 7/31/17 96 0 0 0
8/1/17 - 7/31/18 113 0 0 0
8/1/18 - 7/31/19 122 3 0 0
8/1/19 - 7/31/20 223 0 0 0
Page 5
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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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.
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PERFORMANCE
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AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
7/31/20 7/31/20 7/31/20 to 7/31/20 7/31/20 7/31/20 to 7/31/20
FUND PERFORMANCE
NAV -5.86% 5.24% 10.09% 6.89% 29.07% 161.49% 141.53%
Market Price -5.81% 5.23% 10.09% 6.89% 29.03% 161.51% 141.46%
INDEX PERFORMANCE
Nasdaq AlphaDEX(R)
Mid Cap Core Index(1) -5.24% N/A N/A N/A N/A N/A N/A
Nasdaq US 600 Mid
Cap Index(1) -2.41% N/A N/A N/A N/A N/A N/A
S&P MidCap 400(R) Index -3.54% 6.14% 11.10% 7.38% 34.73% 186.58% 156.51%
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(1) Performance data is not available for all the periods shown in the table
for the index because performance data does not exist for some of the
entire periods.
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
The Fund generated a NAV return of -5.86% during the period covered by this
report. During the same period, the S&P MidCap 400(R) Index (the "Benchmark")
generated a return of -3.54%. During the period covered by this report, the
Financials sector received the largest allocation within the Fund at a 19.3%
weight. This sector also generated the largest negative contribution to the
Fund's return during the period at -8.2%. The Fund's allocation to the Health
Care sector generated a 5.2% contribution to the Fund's return during the
period, which was the largest return contribution by sector. On a relative
basis, the Fund underperformed the Benchmark. The bulk of this underperformance
came from the Financials sector, where the Fund's holdings within this sector
underperformed the Benchmark's sector holdings by -2.4%. The Fund's holdings
within the Health Care sector minimized a portion of the Fund's relative
underperformance by earning 2.1% of outperformance for the Fund compared to the
Benchmark.
-----------------------------
Nasdaq(R) and the Index are registered trademarks and service marks of Nasdaq,
Inc. (together with its affiliates hereinafter referred to as the
"Corporations") and are licensed for use by First Trust. AlphaDEX(R) is a
registered trademark owned by First Trust that has been licensed to Nasdaq, Inc.
for use in the name of the Index. The Fund has not been passed on by the
Corporations as to its legality or suitability. The Fund is not issued,
endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO
WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 6
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Financials 18.26%
Industrials 16.39
Information Technology 15.34
Consumer Discretionary 13.46
Health Care 12.83
Real Estate 5.84
Materials 5.29
Communication Services 3.79
Utilities 3.68
Consumer Staples 3.22
Energy 1.90
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Boston Beer (The) Co., Inc., Class A 0.54%
Wayfair, Inc., Class A 0.48
Carvana Co. 0.46
Enphase Energy, Inc. 0.45
Quidel Corp. 0.45
Chegg, Inc. 0.43
Zillow Group, Inc., Class C 0.42
Zscaler, Inc. 0.42
Scotts Miracle-Gro (The) Co. 0.42
Toll Brothers, Inc. 0.42
-------
Total 4.49%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2010 - JULY 31, 2020
First Trust Mid Cap S&P MidCap 400(R)
Core AlphaDEX(R) Fund Index
7/10 $10,000 $10,000
1/11 12,277 12,249
7/11 12,660 12,576
1/12 12,863 12,580
7/12 12,744 12,727
1/13 14,880 14,915
7/13 16,913 16,927
1/14 18,471 18,176
7/14 19,195 19,108
1/15 19,525 20,154
7/15 20,259 21,266
1/16 17,435 18,803
7/16 20,413 22,442
1/17 22,327 24,475
7/17 23,395 25,738
1/18 26,632 28,786
7/18 27,446 29,477
1/19 25,804 27,491
7/19 27,781 29,713
1/20 28,261 30,591
7/20 26,149 28,658
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the index does
not actually hold a portfolio of securities and therefore does not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2020
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2015 through July
31, 2020. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/15 - 7/31/16 138 0 0 0
8/1/16 - 7/31/17 158 0 0 0
8/1/17 - 7/31/18 150 0 0 0
8/1/18 - 7/31/19 143 3 0 0
8/1/19 - 7/31/20 70 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/15 - 7/31/16 113 0 0 0
8/1/16 - 7/31/17 94 0 0 0
8/1/17 - 7/31/18 100 1 1 0
8/1/18 - 7/31/19 101 4 0 0
8/1/19 - 7/31/20 183 0 0 0
Page 7
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
The First Trust Small Cap Core AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Nasdaq AlphaDEX(R) Small Cap Core
Index (the "Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in the common stocks that comprise the
Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market
LLC under the ticker symbol "FYX."
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select stocks from the
Nasdaq US 700 Small Cap Index that may generate positive alpha relative to
traditional passive indices. The Index is a modified equal-dollar weighted index
where higher ranked stocks receive a higher weight within the Index.
-----------------------------------------------------------------------------------------------------------------
PERFORMANCE
-----------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
7/31/20 7/31/20 7/31/20 to 7/31/20 7/31/20 7/31/20 to 7/31/20
FUND PERFORMANCE
NAV -8.55% 3.95% 9.22% 5.51% 21.36% 141.45% 103.33%
Market Price -8.53% 3.96% 9.21% 5.51% 21.41% 141.40% 103.30%
INDEX PERFORMANCE
Nasdaq AlphaDEX(R)
Small Cap Core Index(1) -7.92% N/A N/A N/A N/A N/A N/A
Nasdaq US 700 Small
Cap Index(1) -5.65% N/A N/A N/A N/A N/A N/A
S&P SmallCap 600(R) Index -8.68% 5.50% 11.00% 6.81% 30.71% 184.07% 139.01%
-----------------------------------------------------------------------------------------------------------------
(1) Performance data is not available for all the periods shown in the table
for the index because performance data does not exist for some of the
entire periods.
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
The Fund generated a NAV return of -8.55% during the period covered by this
report. During the same period, the S&P SmallCap 600(R) Index (the "Benchmark")
generated a return of -8.68%. The Industrials sector received an allocation of
20.3%, the greatest weight of any sector in the Fund during the period covered
by this report. Investments in this sector contributed -3.1% to the Fund's
return. The most negative contribution to the Fund's return came from
investments in the Financials sector, which received an allocation of 16.4% and
caused -5.0% drag on the Fund's performance. The sector with the greatest
contribution to the Fund's return came in a 1.3% contribution to return from
investments in the Information Technology sector. On a relative basis, the Fund
outperformed the Benchmark. Outperformance of 2.2% came from investments in the
Financials sector. While these investments were the greatest drag on Fund
performance, they were even worse contributors to the Benchmark. Meanwhile,
-1.2% of underperformance for the Fund came from investments in Consumer
Discretionary.
-----------------------------
Nasdaq(R) and the Index are registered trademarks and service marks of Nasdaq,
Inc. (together with its affiliates hereinafter referred to as the
"Corporations") and are licensed for use by First Trust. AlphaDEX(R) is a
registered trademark owned by First Trust that has been licensed to Nasdaq, Inc.
for use in the name of the Index. The Fund has not been passed on by the
Corporations as to its legality or suitability. The Fund is not issued,
endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO
WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 8
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Industrials 18.64%
Financials 17.94
Consumer Discretionary 15.35
Information Technology 14.46
Health Care 10.68
Materials 6.23
Real Estate 5.85
Energy 3.96
Consumer Staples 3.12
Communication Services 3.09
Utilities 0.68
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Vivint Solar, Inc. 0.63%
National General Holdings Corp. 0.48
Ultra Clean Holdings, Inc. 0.41
Mr. Cooper Group, Inc. 0.40
Meritage Homes Corp. 0.40
LGI Homes, Inc. 0.40
Stewart Information Services Corp. 0.40
Group 1 Automotive, Inc. 0.39
Laureate Education, Inc., Class A 0.39
M.D.C. Holdings, Inc. 0.39
-------
Total 4.29%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2010 - JULY 31, 2020
First Trust Small Cap S&P SmallCap 600(R)
Core AlphaDEX(R) Fund Index
7/10 $10,000 $10,000
1/11 12,001 12,001
7/11 12,421 12,473
1/12 12,922 12,902
7/12 12,597 12,971
1/13 14,657 14,896
7/13 17,206 17,482
1/14 18,882 19,133
7/14 18,866 19,412
1/15 19,310 20,311
7/15 19,897 21,737
1/16 17,022 19,359
7/16 20,334 23,031
1/17 22,555 26,007
7/17 23,594 27,099
1/18 26,202 30,313
7/18 28,243 33,357
1/19 25,735 29,933
7/19 26,399 31,106
1/20 26,489 31,896
7/20 24,145 28,407
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the index does
not actually hold a portfolio of securities and therefore does not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2020
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2015 through July
31, 2020. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/15 - 7/31/16 94 0 0 0
8/1/16 - 7/31/17 129 0 0 0
8/1/17 - 7/31/18 153 0 0 0
8/1/18 - 7/31/19 146 4 0 0
8/1/19 - 7/31/20 59 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/15 - 7/31/16 157 0 0 0
8/1/16 - 7/31/17 123 0 0 0
8/1/17 - 7/31/18 98 1 0 0
8/1/18 - 7/31/19 99 2 0 0
8/1/19 - 7/31/20 193 1 0 0
Page 9
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA)
The First Trust Large Cap Value AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Nasdaq AlphaDEX(R) Large Cap Value
Index (the "Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in the common stocks that comprise the
Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market
LLC under the ticker symbol "FTA."
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select stocks from the
Nasdaq US 500 Large Cap Value Index that may generate positive alpha relative to
traditional passive indices. The Index is a modified equal-dollar weighted index
where higher ranked stocks receive a higher weight within the Index.
-----------------------------------------------------------------------------------------------------------------
PERFORMANCE
-----------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
7/31/20 7/31/20 7/31/20 to 7/31/20 7/31/20 7/31/20 to 7/31/20
FUND PERFORMANCE
NAV -9.84% 4.22% 9.06% 5.22% 22.97% 138.11% 95.93%
Market Price -9.80% 4.22% 9.08% 5.21% 22.97% 138.41% 95.92%
INDEX PERFORMANCE
Nasdaq AlphaDEX(R)
Large Cap Value Index(1) -9.31% N/A N/A N/A N/A N/A N/A
Nasdaq US 500 Large
Cap Value Index(1) -0.77% N/A N/A N/A N/A N/A N/A
S&P 500(R) Index 11.96% 11.49% 13.84% 8.29% 72.23% 265.58% 186.97%
S&P 500(R) Value Index -2.72% 6.67% 10.52% 5.08% 38.09% 172.00% 92.54%
-----------------------------------------------------------------------------------------------------------------
(1) Performance data is not available for all the periods shown in the table
for the index because performance data does not exist for some of the
entire periods.
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
The Fund generated a NAV return of -9.84% during the period covered by this
report. During the same period, the S&P 500(R) Value Index (the "Benchmark")
generated a return of -2.72%. During the period covered by this report, the
Fund's largest allocation was to the Financials sector with a 25.3% weight. This
allocation also generated the largest negative contribution to the Fund's return
at -6.8%. The Fund's largest contribution to return for the period was found
within its allocation to the Health Care sector, generating a 1.64% contribution
to the Fund's return. On a relative basis, the Fund underperformed the
Benchmark. The Fund's allocation to the Financials sector was the largest source
of underperformance as the Fund's allocation to this sector provided a -2.3%
drag on portfolio performance compared to the Benchmark. The Fund's allocation
to the Communication Services sector provided 0.6% of outperformance compared to
the Benchmark.
-----------------------------
Nasdaq(R) and the Index are registered trademarks and service marks of Nasdaq,
Inc. (together with its affiliates hereinafter referred to as the
"Corporations") and are licensed for use by First Trust. AlphaDEX(R) is a
registered trademark owned by First Trust that has been licensed to Nasdaq, Inc.
for use in the name of the Index. The Fund has not been passed on by the
Corporations as to its legality or suitability. The Fund is not issued,
endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO
WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 10
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Financials 25.61%
Industrials 12.25
Consumer Discretionary 10.44
Health Care 9.84
Utilities 9.18
Energy 6.77
Consumer Staples 6.40
Information Technology 5.93
Communication Services 5.81
Materials 5.00
Real Estate 2.77
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
PulteGroup, Inc. 1.13%
Universal Health Services, Inc.,
Class B 1.04
Lennar Corp., Class A 1.03
Newmont Corp. 0.99
Exelon Corp. 0.94
Textron, Inc. 0.93
Equitable Holdings, Inc. 0.93
MetLife, Inc. 0.91
American International Group, Inc. 0.91
PPL Corp. 0.91
-------
Total 9.72%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2010 - JULY 31, 2020
First Trust Large Cap S&P 500(R) S&P 500(R)
Value AlphaDEX(R) Fund Index Value Index
7/10 $10,000 $10,000 $10,000
1/11 11,774 11,793 11,717
7/11 11,829 11,965 11,518
1/12 12,241 12,289 11,850
7/12 12,416 13,058 12,409
1/13 14,532 14,352 14,156
7/13 16,531 16,322 16,169
1/14 17,457 17,440 16,842
7/14 19,417 19,086 18,479
1/15 19,583 19,920 18,837
7/15 19,361 21,225 19,698
1/16 17,051 19,788 18,161
7/16 19,930 22,418 20,837
1/17 22,816 23,754 22,564
7/17 24,581 26,013 23,825
1/18 27,428 30,027 26,932
7/18 26,578 30,237 26,310
1/19 25,222 29,330 25,563
7/19 26,405 32,650 27,961
1/20 27,395 35,690 30,242
7/20 23,811 36,558 27,200
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2020
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2015 through July
31, 2020. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/15 - 7/31/16 115 0 0 0
8/1/16 - 7/31/17 134 0 0 0
8/1/17 - 7/31/18 134 0 0 0
8/1/18 - 7/31/19 143 3 0 0
8/1/19 - 7/31/20 82 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/15 - 7/31/16 136 0 0 0
8/1/16 - 7/31/17 118 0 0 0
8/1/17 - 7/31/18 118 0 0 0
8/1/18 - 7/31/19 103 2 0 0
8/1/19 - 7/31/20 171 0 0 0
Page 11
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC)
The First Trust Large Cap Growth AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Nasdaq AlphaDEX(R) Large Cap Growth
Index (the "Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in the common stocks that comprise the
Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market
LLC under the ticker symbol "FTC."
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select stocks from the
Nasdaq US 500 Large Cap Growth Index that may generate positive alpha relative
to traditional passive indices. The Index is a modified equal-dollar weighted
index where higher ranked stocks receive a higher weight within the Index.
-----------------------------------------------------------------------------------------------------------------
PERFORMANCE
-----------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
7/31/20 7/31/20 7/31/20 to 7/31/20 7/31/20 7/31/20 to 7/31/20
FUND PERFORMANCE
NAV 16.10% 11.14% 13.91% 8.59% 69.60% 267.88% 197.60%
Market Price 16.04% 11.12% 13.92% 8.59% 69.42% 268.09% 197.52%
INDEX PERFORMANCE
Nasdaq AlphaDEX(R)
Large Cap Growth Index(1) 16.88% N/A N/A N/A N/A N/A N/A
Nasdaq US 500 Large
Cap Growth Index(1) 25.09% N/A N/A N/A N/A N/A N/A
S&P 500(R) Index 11.96% 11.49% 13.84% 8.29% 72.23% 265.58% 186.97%
S&P 500(R) Growth Index 24.55% 15.36% 16.63% 11.11% 104.34% 365.63% 302.81%
-----------------------------------------------------------------------------------------------------------------
(1) Performance data is not available for all the periods shown in the table
for the index because performance data does not exist for some of the
entire periods.
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 16.10% during the period covered by this
report. During the same period, the S&P 500(R) Growth Index (the "Benchmark")
generated a return of 24.55%. During the period covered by this report, the Fund
allocated 29.2% to the Information Technology sector which was the largest
sector weight for the Fund as well as the largest contributor to the Fund's
return with an 11.4% contribution during the period. The Fund's allocation to
the Industrials sector provided the largest negative contribution to the Fund's
return with a -0.9% contribution to return during the period. On a relative
basis, the Fund underperformed the Benchmark. The largest source of
underperformance was within the Information Technology sector where the Fund's
allocation to this sector underperformed the Benchmark by -1.9%. The Fund's
relative underperformance was partially reduced by the Fund's relative
outperformance within the Financials sector, with the Fund outperforming the
Benchmark by 0.4% within this sector.
-----------------------------
Nasdaq(R) and the Index are registered trademarks and service marks of Nasdaq,
Inc. (together with its affiliates hereinafter referred to as the
"Corporations") and are licensed for use by First Trust. AlphaDEX(R) is a
registered trademark owned by First Trust that has been licensed to Nasdaq, Inc.
for use in the name of the Index. The Fund has not been passed on by the
Corporations as to its legality or suitability. The Fund is not issued,
endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO
WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 12
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Information Technology 41.77%
Health Care 16.73
Consumer Discretionary 10.06
Industrials 9.88
Financials 8.12
Communication Services 5.85
Materials 2.29
Real Estate 2.10
Consumer Staples 1.60
Energy 0.85
Utilities 0.75
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Tesla, Inc. 1.12%
Twilio, Inc., Class A 1.07
DocuSign, Inc. 1.06
Square, Inc., Class A 1.04
West Pharmaceutical Services, Inc. 1.00
Advanced Micro Devices, Inc. 0.99
Apple, Inc. 0.98
Qorvo, Inc. 0.98
QUALCOMM, Inc. 0.98
EPAM Systems, Inc. 0.97
-------
Total 10.19%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2010 - JULY 31, 2020
First Trust Large Cap S&P 500(R) S&P 500(R)
Growth AlphaDEX(R) Fund Index Growth Index
7/10 $10,000 $10,000 $10,000
1/11 12,101 11,793 11,874
7/11 12,343 11,965 12,414
1/12 11,958 12,289 12,742
7/12 12,110 13,058 13,703
1/13 13,561 14,352 14,578
7/13 15,553 16,322 16,511
1/14 17,080 17,440 18,070
7/14 18,489 19,086 19,729
1/15 19,852 19,920 21,035
7/15 21,692 21,225 22,785
1/16 19,874 19,788 21,436
7/16 22,553 22,418 23,989
1/17 22,298 23,754 24,853
7/17 24,604 26,013 28,061
1/18 28,996 30,027 32,975
7/18 29,570 30,237 34,126
1/19 27,739 29,332 33,064
7/19 31,685 32,654 37,387
1/20 33,098 35,694 41,240
7/20 36,788 36,558 46,563
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2020
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2015 through July
31, 2020. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/15 - 7/31/16 182 0 0 0
8/1/16 - 7/31/17 146 0 0 0
8/1/17 - 7/31/18 158 0 0 0
8/1/18 - 7/31/19 163 3 0 0
8/1/19 - 7/31/20 111 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/15 - 7/31/16 69 0 0 0
8/1/16 - 7/31/17 106 0 0 0
8/1/17 - 7/31/18 94 0 0 0
8/1/18 - 7/31/19 82 3 0 0
8/1/19 - 7/31/20 142 0 0 0
Page 13
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
The First Trust Multi Cap Value AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Nasdaq AlphaDEX(R) Multi Cap Value
Index (the "Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in the common stocks that comprise the
Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market
LLC under the ticker symbol "FAB."
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select value stocks from the
Nasdaq US 500 Large Cap Value Index, Nasdaq US 600 Mid Cap Value Index, and
Nasdaq US 700 Small Cap Value Index (together, the "Nasdaq US Multi Cap Value
Index") that may generate positive alpha relative to traditional passive
indices. The Index is a modified equal-dollar weighted index where higher ranked
stocks receive a higher weight within the Index.
-----------------------------------------------------------------------------------------------------------------
PERFORMANCE
-----------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
7/31/20 7/31/20 7/31/20 to 7/31/20 7/31/20 7/31/20 to 7/31/20
FUND PERFORMANCE
NAV -12.24% 2.59% 8.22% 4.96% 13.66% 120.24% 89.65%
Market Price -12.04% 2.64% 8.23% 4.97% 13.91% 120.61% 89.88%
INDEX PERFORMANCE
Nasdaq AlphaDEX(R)
Multi Cap Value Index(1) -11.57% N/A N/A N/A N/A N/A N/A
Nasdaq US Multi Cap
Value Index(1) -2.62% N/A N/A N/A N/A N/A N/A
S&P Composite 1500(R) Index 10.40% 10.99% 13.60% 8.23% 68.40% 257.97% 184.68%
S&P Composite 1500(R) Value
Index -3.81% 6.39% 10.42% 5.16% 36.29% 169.47% 94.49%
-----------------------------------------------------------------------------------------------------------------
(1) Performance data is not available for all the periods shown in the table
for the index because performance data does not exist for some of the
entire periods.
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
The Fund generated a NAV return of -12.24% during the period covered by this
report. During the same period, the S&P Composite 1500(R) Value Index (the
"Benchmark") generated a return of -3.81%. During the period covered by this
report, the Fund's performance suffered from its allocation to the Financials
sector. The Financials sector received an allocation of 24.2%, which was a
greater weight than any other sector. The investments in the Financials sector
contributed -7.8% to the Fund's return, which was more negative than any other
sector. Meanwhile, the most positively contributing sector was the Health Care
sector. This sector received an allocation of 4.9% and contributed 0.9% to the
Fund's return. On a relative basis, the Fund underperformed the Benchmark. Much
of this underperformance came from the heavily weighted Financials sector, which
contributed -2.5% to the Fund's underperformance versus the Benchmark. However,
investments in the Energy sector were a bright spot for the Fund, at least in
relation to the Benchmark. Investments in this sector contributed -0.4% to the
Fund's return, but 3.1% to the Fund's outperformance versus the Benchmark.
-----------------------------
Nasdaq(R) and the Index are registered trademarks and service marks of Nasdaq,
Inc. (together with its affiliates hereinafter referred to as the
"Corporations") and are licensed for use by First Trust. AlphaDEX(R) is a
registered trademark owned by First Trust that has been licensed to Nasdaq, Inc.
for use in the name of the Index. The Fund has not been passed on by the
Corporations as to its legality or suitability. The Fund is not issued,
endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO
WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 14
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Financials 26.77%
Industrials 15.69
Consumer Discretionary 11.76
Utilities 6.79
Materials 6.43
Energy 6.18
Health Care 5.90
Information Technology 5.62
Consumer Staples 5.14
Real Estate 5.11
Communication Services 4.61
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
PulteGroup, Inc. 0.57%
Universal Health Services, Inc.,
Class B 0.53
Lennar Corp., Class A 0.52
Newmont Corp. 0.50
Exelon Corp. 0.47
Textron, Inc. 0.47
Equitable Holdings, Inc. 0.47
MetLife, Inc. 0.46
American International Group, Inc. 0.46
PPL Corp. 0.46
-------
Total 4.91%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2010 - JULY 31, 2020
First Trust Multi Cap S&P Composite S&P Composite 1500(R)
Value AlphaDEX(R) Fund 1500(R) Index Value Index
7/10 $10,000 $10,000 $10,000
1/11 11,937 11,838 11,748
7/11 12,013 12,035 11,575
1/12 12,541 12,337 11,904
7/12 12,449 13,030 12,406
1/13 14,678 14,419 14,207
7/13 16,922 16,414 16,251
1/14 18,128 17,562 16,994
7/14 19,524 19,107 18,562
1/15 19,522 19,961 18,946
7/15 19,380 21,257 19,772
1/16 16,733 19,709 18,161
7/16 19,763 22,447 20,963
1/17 22,599 23,886 22,791
7/17 23,609 26,040 23,992
1/18 26,114 29,965 27,042
7/18 26,039 30,289 26,605
1/19 24,461 29,235 25,716
7/19 25,097 32,423 28,011
1/20 25,641 35,251 30,132
7/20 22,024 35,797 26,947
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2020
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2015 through July
31, 2020. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/15 - 7/31/16 109 0 0 0
8/1/16 - 7/31/17 97 0 0 0
8/1/17 - 7/31/18 81 0 0 0
8/1/18 - 7/31/19 99 3 0 0
8/1/19 - 7/31/20 92 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/15 - 7/31/16 142 0 0 0
8/1/16 - 7/31/17 155 0 0 0
8/1/17 - 7/31/18 171 0 0 0
8/1/18 - 7/31/19 148 1 0 0
8/1/19 - 7/31/20 159 1 1 0
Page 15
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
The First Trust Multi Cap Growth AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Nasdaq AlphaDEX(R) Multi Cap Growth
Index (the "Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in the common stocks that comprise the
Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market
LLC under the ticker symbol "FAD."
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select stocks from the
Nasdaq US 500 Large Cap Growth Index, Nasdaq US 600 Mid Cap Growth Index and
Nasdaq US 700 Small Cap Growth Index (together the "Nasdaq US Multi Cap Growth
Index") that may generate positive alpha relative to traditional passive
indices. The Index is a modified equal-dollar weighted index where higher ranked
stocks receive a higher weight within the Index.
-----------------------------------------------------------------------------------------------------------------
PERFORMANCE
-----------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
7/31/20 7/31/20 7/31/20 to 7/31/20 7/31/20 7/31/20 to 7/31/20
FUND PERFORMANCE
NAV 10.23% 10.22% 13.24% 8.42% 62.68% 246.75% 191.23%
Market Price 10.18% 10.18% 13.23% 8.40% 62.40% 246.56% 190.84%
INDEX PERFORMANCE
Nasdaq AlphaDEX(R)
Multi Cap Growth Index(1) 10.99% N/A N/A N/A N/A N/A N/A
Nasdaq US Multi Cap
Growth Index(1) 23.00% N/A N/A N/A N/A N/A N/A
S&P Composite 1500(R) Index 10.40% 10.99% 13.60% 8.23% 68.40% 257.97% 184.68%
S&P Composite 1500(R)
Growth Index 22.66% 14.69% 16.28% 10.93% 98.47% 352.10% 294.47%
-----------------------------------------------------------------------------------------------------------------
(1) Performance data is not available for all the periods shown in the table
for the index because performance data does not exist for some of the
entire periods.
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 10.23% during the period covered by this
report. During the same period, the S&P Composite 1500(R) Growth Index (the
"Benchmark") generated a return of 22.66%. The Information Technology sector
received the greatest allocation during the period, with an average weight of
24.8%. This sector was also the greatest driver of the Fund's return, with a
contribution to return of 7.7%. The greatest drag on the Fund's portfolio were
investments in the Energy sector, which contributed -1.2% to the Fund's return.
On a relative basis, the Fund underperformed the Benchmark. Underperformance of
-3.8% was a result of investments in the Information Technology sector, which
was the worst contribution to relative performance of any sector. The Fund
earned 0.6% of outperformance versus the Benchmark as a result of investments in
the Health Care sector.
-----------------------------
Nasdaq(R) and the Index are registered trademarks and service marks of Nasdaq,
Inc. (together with its affiliates hereinafter referred to as the
"Corporations") and are licensed for use by First Trust. AlphaDEX(R) is a
registered trademark owned by First Trust that has been licensed to Nasdaq, Inc.
for use in the name of the Index. The Fund has not been passed on by the
Corporations as to its legality or suitability. The Fund is not issued,
endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO
WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 16
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Information Technology 33.40%
Health Care 19.49
Consumer Discretionary 12.57
Industrials 11.99
Financials 8.69
Communication Services 4.88
Real Estate 3.13
Materials 2.68
Consumer Staples 1.89
Energy 0.67
Utilities 0.61
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Tesla, Inc. 0.56%
Twilio, Inc., Class A 0.53
DocuSign, Inc. 0.53
Square, Inc., Class A 0.52
West Pharmaceutical Services, Inc. 0.50
Advanced Micro Devices, Inc. 0.50
Apple, Inc. 0.49
Qorvo, Inc. 0.49
QUALCOMM, Inc. 0.49
EPAM Systems, Inc. 0.49
-------
Total 5.10%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2010 - JULY 31, 2020
First Trust Multi Cap S&P Composite S&P Composite 1500(R)
Growth AlphaDEX(R) Fund 1500(R) Index Growth Index
7/10 $10,000 $10,000 $10,000
1/11 12,170 11,838 11,934
7/11 12,674 12,035 12,501
1/12 12,428 12,337 12,786
7/12 12,535 13,030 13,658
1/13 14,113 14,419 14,664
7/13 16,045 16,414 16,615
1/14 17,691 17,562 18,165
7/14 18,394 19,107 19,691
1/15 19,574 19,961 21,010
7/15 21,315 21,257 22,777
1/16 19,092 19,709 21,285
7/16 21,881 22,447 23,931
1/17 22,297 23,886 24,895
7/17 24,473 26,040 27,953
1/18 28,616 29,965 32,744
7/18 30,055 30,291 33,922
1/19 27,957 29,237 32,705
7/19 31,455 32,424 36,858
1/20 32,447 35,249 40,439
7/20 34,675 35,797 45,210
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2020
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2015 through July
31, 2020. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/15 - 7/31/16 106 0 0 0
8/1/16 - 7/31/17 156 0 0 0
8/1/17 - 7/31/18 171 0 0 0
8/1/18 - 7/31/19 92 4 0 0
8/1/19 - 7/31/20 56 0 1 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/15 - 7/31/16 145 0 0 0
8/1/16 - 7/31/17 96 0 0 0
8/1/17 - 7/31/18 81 0 0 0
8/1/18 - 7/31/19 152 3 0 0
8/1/19 - 7/31/20 196 0 0 0
Page 17
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK)
The First Trust Mid Cap Value AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Nasdaq AlphaDEX(R) Mid Cap Value
Index (the "Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in the common stocks that comprise the
Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market
LLC under the ticker symbol "FNK."
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select stocks from the
Nasdaq US 600 Mid Cap Value Index that may generate positive alpha relative to
traditional passive indices. The Index is a modified equal-dollar weighted index
where higher ranked stocks receive a higher weight within the Index.
--------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year 5 Years Inception 5 Years Inception
Ended Ended (4/19/11) Ended (4/19/11)
7/31/20 7/31/20 to 7/31/20 7/31/20 to 7/31/20
FUND PERFORMANCE
NAV -18.19% 0.33% 4.91% 1.66% 56.07%
Market Price -18.17% 0.34% 4.91% 1.69% 56.01%
INDEX PERFORMANCE
Nasdaq AlphaDEX(R) Mid Cap Value Index(1) -17.57% N/A N/A N/A N/A
Nasdaq US 600 Mid Cap Value Index(1) -16.54% N/A N/A N/A N/A
S&P MidCap 400(R) Value Index -13.39% 3.78% 7.47% 20.41% 95.12%
--------------------------------------------------------------------------------------------------------------------------------
(1) Performance data is not available for all the periods shown in the table
for the index because performance data does not exist for some of the
entire periods.
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
The Fund generated a NAV return of -18.19% during the period covered by this
report. During the same period, the S&P MidCap 400(R) Value Index (the
"Benchmark") generated a return of -13.39%. The Fund allocated 27.8% to the
Financials sector during the period covered by this report, which was more
weight than was given to investments in any other sector. These investments
caused a -10.9% contribution to the Fund's return, the worst of any sector. The
most positive contribution to Fund return came from investments in the Energy
sector, which contributed 2.3% to the Fund's return. On a relative basis, the
Fund underperformed the Benchmark. The most significant source of outperformance
was investments in the Energy sector, which earned 2.4% of outperformance versus
the Benchmark. The greatest source of underperformance for the Fund was
investments in Information Technology, which caused -1.9% of underperformance
for the Fund.
-----------------------------
Nasdaq(R) and the Index are registered trademarks and service marks of Nasdaq,
Inc. (together with its affiliates hereinafter referred to as the
"Corporations") and are licensed for use by First Trust. AlphaDEX(R) is a
registered trademark owned by First Trust that has been licensed to Nasdaq, Inc.
for use in the name of the Index. The Fund has not been passed on by the
Corporations as to its legality or suitability. The Fund is not issued,
endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO
WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 18
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Financials 30.95%
Industrials 17.18
Consumer Discretionary 12.67
Real Estate 8.21
Utilities 7.02
Materials 6.46
Information Technology 4.12
Energy 4.07
Consumer Staples 3.76
Communication Services 3.30
Health Care 2.26
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Toll Brothers, Inc. 0.86%
Darling Ingredients, Inc. 0.84
KB Home 0.81
Xerox Holdings Corp. 0.80
NCR Corp. 0.78
First American Financial Corp. 0.78
TEGNA, Inc. 0.78
Steel Dynamics, Inc. 0.77
Jefferies Financial Group, Inc. 0.77
Unum Group 0.77
-------
Total 7.96%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
APRIL 19, 2011 - JULY 31, 2020
First Trust Mid Cap S&P MidCap 400(R)
Value AlphaDEX(R) Fund Value Index
4/11 $10,000 $10,000
7/11 9,625 9,581
1/12 9,982 9,720
7/12 9,935 9,869
1/13 11,765 11,640
7/13 13,549 13,358
1/14 14,657 14,305
7/14 15,487 15,311
1/15 15,205 15,816
7/15 15,351 16,204
1/16 13,091 14,376
7/16 15,539 17,468
1/17 17,704 19,524
7/17 17,984 20,073
1/18 19,750 21,915
7/18 19,925 22,582
1/19 18,796 21,295
7/19 19,078 22,530
1/20 19,040 23,044
7/20 15,607 19,512
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the index does
not actually hold a portfolio of securities and therefore does not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2020
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2015 through July
31, 2020. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/15 - 7/31/16 140 0 0 0
8/1/16 - 7/31/17 173 0 0 0
8/1/17 - 7/31/18 125 0 0 0
8/1/18 - 7/31/19 131 4 0 0
8/1/19 - 7/31/20 63 0 0 1
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/15 - 7/31/16 111 0 0 0
8/1/16 - 7/31/17 79 0 0 0
8/1/17 - 7/31/18 127 0 0 0
8/1/18 - 7/31/19 113 2 1 0
8/1/19 - 7/31/20 187 1 1 0
Page 19
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY)
The First Trust Mid Cap Growth AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Nasdaq AlphaDEX(R) Mid Cap Growth
Index (the "Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in the common stocks that comprise the
Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market
LLC under the ticker symbol "FNY."
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select stocks from the
Nasdaq US 600 Mid Cap Growth Index that may generate positive alpha relative to
traditional passive indices. The Index is a modified equal-dollar weighted index
where higher ranked stocks receive a higher weight within the Index.
--------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year 5 Years Inception 5 Years Inception
Ended Ended (4/19/11) Ended (4/19/11)
7/31/20 7/31/20 to 7/31/20 7/31/20 to 7/31/20
FUND PERFORMANCE
NAV 10.28% 10.64% 10.89% 65.82% 161.12%
Market Price 10.28% 10.64% 10.89% 65.77% 161.12%
INDEX PERFORMANCE
Nasdaq AlphaDEX(R) Mid Cap Growth Index(1) 11.10% N/A N/A N/A N/A
Nasdaq US 600 Mid Cap Growth Index(1) 11.31% N/A N/A N/A N/A
S&P MidCap 400(R) Growth Index 5.38% 7.96% 10.14% 46.67% 145.11%
--------------------------------------------------------------------------------------------------------------------------------
(1) Performance data is not available for all the periods shown in the table
for the index because performance data does not exist for some of the
entire periods.
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 10.28% during the period covered by this
report. During the same period, the S&P MidCap 400(R) Growth Index (the
"Benchmark") generated a return of 5.38%. During the period covered by this
report, the Fund's greatest allocation was to the Information Technology sector,
which received an average weight of 22.5% and contributed 5.0% to the Fund's
return. The greatest contributor to the Fund's return was investments in the
Health Care sector, which earned a 10.8% contribution to the Fund's return.
Meanwhile, the greatest source of drag on the Fund's performance was investments
in the Financials sector, which caused a -4.2% return during the same period. On
a relative basis, the Fund outperformed the Benchmark. The greatest source of
outperformance was from investments in the Health Care sector which returned
5.2% of outperformance for the Fund compared to the Benchmark. The largest
source of underperformance for the Fund came from the Financials sector, which
caused -1.9% of underperformance for the Fund versus the Benchmark.
-----------------------------
Nasdaq(R) and the Index are registered trademarks and service marks of Nasdaq,
Inc. (together with its affiliates hereinafter referred to as the
"Corporations") and are licensed for use by First Trust. AlphaDEX(R) is a
registered trademark owned by First Trust that has been licensed to Nasdaq, Inc.
for use in the name of the Index. The Fund has not been passed on by the
Corporations as to its legality or suitability. The Fund is not issued,
endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO
WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 20
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Information Technology 26.84%
Health Care 23.41
Industrials 14.70
Consumer Discretionary 13.84
Financials 6.65
Communication Services 4.77
Materials 4.21
Real Estate 2.99
Consumer Staples 2.30
Energy 0.15
Utilities 0.14
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Boston Beer (The) Co., Inc., Class A 1.04%
Wayfair, Inc., Class A 0.93
Generac Holdings, Inc. 0.89
Carvana Co. 0.89
Medpace Holdings, Inc. 0.88
Enphase Energy, Inc. 0.87
Quidel Corp. 0.87
Teladoc Health, Inc. 0.86
Pinterest, Inc., Class A 0.85
Chegg, Inc. 0.83
-------
Total 8.91%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
APRIL 19, 2011 - JULY 31, 2020
First Trust Mid Cap S&P MidCap 400(R)
Growth AlphaDEX(R) Fund Growth Index
4/11 $10,000 $10,000
7/11 9,881 9,910
1/12 9,804 9,779
7/12 9,673 9,861
1/13 11,050 11,485
7/13 12,290 12,894
1/14 13,612 13,883
7/14 13,824 14,345
1/15 14,646 15,414
7/15 15,748 16,711
1/16 13,744 14,724
7/16 15,753 17,266
1/17 16,331 18,295
7/17 17,791 19,634
1/18 21,047 22,457
7/18 22,251 22,846
1/19 20,796 21,092
7/19 23,678 23,261
1/20 24,570 24,075
7/20 26,112 24,511
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the index does
not actually hold a portfolio of securities and therefore does not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2020
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2015 through July
31, 2020. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/15 - 7/31/16 106 0 0 0
8/1/16 - 7/31/17 178 0 0 0
8/1/17 - 7/31/18 208 0 0 0
8/1/18 - 7/31/19 140 4 0 0
8/1/19 - 7/31/20 106 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/15 - 7/31/16 145 0 0 0
8/1/16 - 7/31/17 74 0 0 0
8/1/17 - 7/31/18 44 0 0 0
8/1/18 - 7/31/19 105 2 0 0
8/1/19 - 7/31/20 146 1 0 0
Page 21
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT)
The First Trust Small Cap Value AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Nasdaq AlphaDEX(R) Small Cap Value
Index (the "Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in the common stocks that comprise the
Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market
LLC under the ticker symbol "FYT."
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select stocks from the
Nasdaq US 700 Small Cap Value Index which may generate positive alpha relative
to traditional passive indices. The Index is a modified equal-dollar weighted
index where higher ranked stocks receive a higher weight within the Index.
--------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year 5 Years Inception 5 Years Inception
Ended Ended (4/19/11) Ended (4/19/11)
7/31/20 7/31/20 to 7/31/20 7/31/20 to 7/31/20
FUND PERFORMANCE
NAV -9.83% 1.70% 5.89% 8.79% 70.03%
Market Price -9.78% 1.70% 5.88% 8.79% 69.98%
INDEX PERFORMANCE
Nasdaq AlphaDEX(R) Small Cap Value Index(1) -9.09% N/A N/A N/A N/A
Nasdaq US 700 Small Cap Value Index(1) -14.63% N/A N/A N/A N/A
S&P SmallCap 600(R) Value Index -16.31% 3.27% 7.53% 17.45% 96.17%
--------------------------------------------------------------------------------------------------------------------------------
(1) Performance data is not available for all the periods shown in the table
for the index because performance data does not exist for some of the
entire periods.
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
The Fund generated a NAV return of -9.83% during the period covered by this
report. During the same period, the S&P SmallCap 600(R) Value Index (the
"Benchmark") generated a return of -16.31%. The Fund allocated the greatest
weight to the Industrials sector. Investments in this sector received an
allocation of 21.9% and contributed -3.2% to Fund performance. The greatest
contributor to Fund performance was investments in Consumer Staples. Investments
in this sector received a 3.8% allocation and contributed 1.3% to Fund return.
The greatest drag on Fund performance was investments in the Financials sector.
This sector received an allocation of 16.2% and caused a -5.4% drag on the
Fund's return. On a relative basis, the Fund outperformed the Benchmark. Much of
this outperformance came from investments in the Financials sector. While the
Financials sector caused the most negative contribution to Fund return, its
contribution to the return of the Benchmark was even more significantly
negative. In total, investments in the Financials sector caused 4.3% of
outperformance for the Fund versus the Benchmark. Meanwhile, investments in the
Health Care sector earned -3.8% of underperformance for the Fund during the
period.
-----------------------------
Nasdaq(R) and the Index are registered trademarks and service marks of Nasdaq,
Inc. (together with its affiliates hereinafter referred to as the
"Corporations") and are licensed for use by First Trust. AlphaDEX(R) is a
registered trademark owned by First Trust that has been licensed to Nasdaq, Inc.
for use in the name of the Index. The Fund has not been passed on by the
Corporations as to its legality or suitability. The Fund is not issued,
endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO
WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 22
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Financials 23.46%
Industrials 22.16
Consumer Discretionary 13.79
Materials 9.99
Energy 7.82
Information Technology 7.08
Real Estate 6.41
Consumer Staples 4.03
Communication Services 3.52
Health Care 1.36
Utilities 0.38
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
National General Holdings Corp. 1.00%
Stewart Information Services Corp. 0.82
Group 1 Automotive, Inc. 0.81
Laureate Education, Inc., Class A 0.81
M/I Homes, Inc. 0.77
Helix Energy Solutions Group, Inc. 0.77
Graham Holdings Co., Class B 0.74
Century Communities, Inc. 0.74
Rush Enterprises, Inc., Class A 0.73
TRI Pointe Group, Inc. 0.72
-------
Total 7.91%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
APRIL 19, 2011 - JULY 31, 2020
First Trust Small Cap S&P SmallCap 600(R)
Value AlphaDEX(R) Fund Value Index
4/11 $10,000 $10,000
7/11 9,930 9,813
1/12 10,692 10,331
7/12 10,005 10,231
1/13 11,945 11,945
7/13 14,241 14,054
1/14 15,577 15,278
7/14 15,931 15,723
1/15 15,996 16,154
7/15 15,630 16,701
1/16 13,090 14,973
7/16 15,754 18,195
1/17 18,060 20,662
7/17 18,181 21,216
1/18 19,883 23,634
7/18 20,883 25,612
1/19 19,012 22,856
7/19 18,857 23,442
1/20 19,185 23,717
7/20 17,003 19,617
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the index does
not actually hold a portfolio of securities and therefore does not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2020
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2015 through July
31, 2020. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/15 - 7/31/16 100 0 0 0
8/1/16 - 7/31/17 125 0 0 0
8/1/17 - 7/31/18 132 0 0 0
8/1/18 - 7/31/19 136 3 0 0
8/1/19 - 7/31/20 93 0 0 1
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/15 - 7/31/16 151 0 0 0
8/1/16 - 7/31/17 127 0 0 0
8/1/17 - 7/31/18 119 1 0 0
8/1/18 - 7/31/19 111 1 0 0
8/1/19 - 7/31/20 153 4 1 1
Page 23
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
The First Trust Small Cap Growth AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Nasdaq AlphaDEX(R) Small Cap Growth
Index (the "Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in the common stocks that comprise the
Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market
LLC under the ticker symbol "FYC."
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select stocks from the
Nasdaq US 700 Small Cap Growth Index which may generate positive alpha relative
to traditional passive indices. The Index is a modified equal-dollar weighted
index where higher ranked stocks receive a higher weight within the Index.
--------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year 5 Years Inception 5 Years Inception
Ended Ended (4/19/11) Ended (4/19/11)
7/31/20 7/31/20 to 7/31/20 7/31/20 to 7/31/20
FUND PERFORMANCE
NAV -4.79% 6.91% 9.13% 39.64% 125.03%
Market Price -4.75% 6.91% 9.13% 39.68% 125.03%
INDEX PERFORMANCE
Nasdaq AlphaDEX(R) Small Cap Growth Index(1) -4.05% N/A N/A N/A N/A
Nasdaq US 700 Small Cap Growth Index(1) 3.48% N/A N/A N/A N/A
S&P SmallCap 600(R) Growth Index -1.58% 7.55% 10.65% 43.91% 155.86%
--------------------------------------------------------------------------------------------------------------------------------
(1) Performance data is not available for all the periods shown in the table
for the index because performance data does not exist for some of the
entire periods.
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
The Fund generated a NAV return of -4.79% during the period covered by this
report. During the same period, the S&P SmallCap 600(R) Growth Index (the
"Benchmark") generated a return of -1.58%. The Health Care, Information
Technology, Industrials, and Financials sectors all received similar and
significant allocations in the Fund during the period covered by this report.
The Health Care sector received the greatest allocation, by a small margin, with
an allocation of 20.9%. Investments in the Health Care sector contributed 2.7%
to the Fund's return. The most positive contribution to the Fund's return was
from the Information Technology sector, which earned a 3.0% return for the Fund.
Meanwhile, the Financials sector was the greatest drag on Fund performance with
a contribution to return of -4.9%. On a relative basis, the Fund underperformed
the Benchmark. Most of the underperformance came from investments in the
Consumer Discretionary sector, which earned -3.1% of underperformance for the
Fund versus the Benchmark. The Health Care sector recovered some of this
underperformance, with 1.8% of outperformance coming from investments in Health
Care.
-----------------------------
Nasdaq(R) and the Index are registered trademarks and service marks of Nasdaq,
Inc. (together with its affiliates hereinafter referred to as the
"Corporations") and are licensed for use by First Trust. AlphaDEX(R) is a
registered trademark owned by First Trust that has been licensed to Nasdaq, Inc.
for use in the name of the Index. The Fund has not been passed on by the
Corporations as to its legality or suitability. The Fund is not issued,
endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO
WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 24
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Information Technology 22.23%
Health Care 20.45
Consumer Discretionary 17.00
Financials 13.26
Industrials 13.20
Real Estate 5.98
Communication Services 2.58
Consumer Staples 2.00
Materials 1.32
Energy 0.99
Utilities 0.99
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Vivint Solar, Inc. 1.25%
Ultra Clean Holdings, Inc. 0.81
Mr. Cooper Group, Inc. 0.80
LGI Homes, Inc. 0.79
Kinsale Capital Group, Inc. 0.76
2U, Inc. 0.76
Medifast, Inc. 0.73
Papa John's International, Inc. 0.73
Sailpoint Technologies Holdings, Inc. 0.72
Trupanion, Inc. 0.72
-------
Total 8.07%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
APRIL 19, 2011 - JULY 31, 2020
First Trust Small Cap S&P SmallCap 600(R)
Growth AlphaDEX(R) Fund Growth Index
4/11 $10,000 $10,000
7/11 9,920 9,982
1/12 9,826 10,155
7/12 10,157 10,362
1/13 11,338 11,710
7/13 13,014 13,710
1/14 14,413 15,107
7/14 13,992 15,093
1/15 14,637 16,071
7/15 16,115 17,778
1/16 14,186 15,737
7/16 16,685 18,361
1/17 17,809 20,597
7/17 19,540 21,757
1/18 22,008 24,431
7/18 24,592 27,311
1/19 22,219 24,686
7/19 23,630 25,997
1/20 23,358 26,970
7/20 22,503 25,586
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the index does
not actually hold a portfolio of securities and therefore does not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2020
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2015 through July
31, 2020. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/15 - 7/31/16 141 0 0 0
8/1/16 - 7/31/17 175 0 0 0
8/1/17 - 7/31/18 159 0 0 0
8/1/18 - 7/31/19 71 5 0 0
8/1/19 - 7/31/20 60 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/15 - 7/31/16 110 0 0 0
8/1/16 - 7/31/17 77 0 0 0
8/1/17 - 7/31/18 92 1 0 0
8/1/18 - 7/31/19 172 3 0 0
8/1/19 - 7/31/20 191 2 0 0
Page 25
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK)
The First Trust Mega Cap AlphaDEX(R) Fund (the "Fund") seeks investment results
that correspond generally to the price and yield (before the Fund's fees and
expenses) of an equity index called the Nasdaq AlphaDEX(R) Mega Cap Index (the
"Index"). The Fund will normally invest at least 90% of its net assets
(including investment borrowings) in the common stocks that comprise the Index.
The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under
the ticker symbol "FMK."
The Index employs the AlphaDEX(R) stock selection methodology which uses
fundamental growth and value factors to objectively select stocks from the
Nasdaq US 500 Large Cap Index that may generate positive alpha relative to
traditional passive indices. The Index is a modified equal-dollar weighted index
where higher ranked stocks receive a higher weight within the Index.
--------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
--------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year 5 Years Inception 5 Years Inception
Ended Ended (5/11/11) Ended (5/11/11)
7/31/20 7/31/20 to 7/31/20 7/31/20 to 7/31/20
FUND PERFORMANCE
NAV 2.74% 7.35% 8.36% 42.59% 109.59%
Market Price 2.77% 7.35% 8.36% 42.54% 109.59%
INDEX PERFORMANCE
Nasdaq AlphaDEX(R) Mega Cap Index(1) 3.55% N/A N/A N/A N/A
Nasdaq US 500 Large Cap Index(1) 13.58% N/A N/A N/A N/A
S&P 100(R) Index 16.62% 12.50% 13.05% 80.20% 210.00%
--------------------------------------------------------------------------------------------------------------------------------
(1) Performance data is not available for all the periods shown in the table
for the index because performance data does not exist for some of the
entire periods.
(See Notes to Fund Performance Overview on page 28.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 2.74% during the period covered by this
report. During the same period, the S&P 100(R) Index (the "Benchmark") generated
a return of 16.62%. Investments in the Communication Services sector received an
allocation of 17.8%, more than any other sector during the period covered by
this report. The investments in this sector were a slight boon for the Fund,
with a contribution to return of 2.3% over the period covered by this report.
The sector with the greatest contribution to the Fund's return was the Consumer
Discretionary sector. Investments in this sector received an allocation of 8.7%
and contributed 4.6% to the Fund's return. Meanwhile, investments in the
Financials sector caused significant drag for the Fund, with an allocation of
16.3% and a contribution to Fund return of -6.0%. On a relative basis, the Fund
underperformed the Benchmark. Underperformance of -6.0% for the Fund versus the
Benchmark was the result of investments in the Information Technology sector.
The sector with the most outperformance for the Fund versus the Benchmark was
the Consumer Discretionary sector, which earned 2.5% of outperformance for the
Fund.
-----------------------------
Nasdaq(R) and the Index are registered trademarks and service marks of Nasdaq,
Inc. (together with its affiliates hereinafter referred to as the
"Corporations") and are licensed for use by First Trust. AlphaDEX(R) is a
registered trademark owned by First Trust that has been licensed to Nasdaq, Inc.
for use in the name of the Index. The Fund has not been passed on by the
Corporations as to its legality or suitability. The Fund is not issued,
endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO
WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 26
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Information Technology 29.69%
Health Care 18.32
Communication Services 16.95
Consumer Discretionary 13.47
Financials 11.58
Energy 5.42
Industrials 3.88
Consumer Staples 0.69
-------
Total 100.00%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Tesla, Inc. 4.24%
Pfizer, Inc. 3.77
Amazon.com, Inc. 3.67
PayPal Holdings, Inc. 3.60
Lowe's Cos., Inc. 3.53
Zoom Video Communications, Inc.,
Class A 3.20
AT&T, Inc. 3.13
Exxon Mobil Corp. 3.01
Apple, Inc. 2.98
QUALCOMM, Inc. 2.96
-------
Total 34.09%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 11, 2011 - JULY 31, 2020
First Trust Mega S&P 100(R)
Cap AlphaDEX(R) Fund Index
5/11 $10,000 $10,000
7/11 9,612 9,761
1/12 9,571 10,120
7/12 9,248 10,960
1/13 10,467 11,784
7/13 11,969 13,341
1/14 12,545 14,108
7/14 13,829 15,520
1/15 13,679 15,998
7/15 14,699 17,202
1/16 13,304 16,228
7/16 14,726 18,190
1/17 15,712 19,216
7/17 17,097 21,066
1/18 20,050 24,464
7/18 19,759 24,536
1/19 19,156 23,803
7/19 20,400 26,581
1/20 21,671 29,502
7/20 20,959 31,000
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the index does
not actually hold a portfolio of securities and therefore does not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2020
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 1, 2015 through July
31, 2020. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/15 - 7/31/16 145 0 0 0
8/1/16 - 7/31/17 85 0 0 0
8/1/17 - 7/31/18 136 0 0 0
8/1/18 - 7/31/19 197 5 0 0
8/1/19 - 7/31/20 61 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
8/1/15 - 7/31/16 106 0 0 0
8/1/16 - 7/31/17 167 0 0 0
8/1/17 - 7/31/18 116 0 0 0
8/1/18 - 7/31/19 46 2 1 0
8/1/19 - 7/31/20 191 1 0 0
Page 27
--------------------------------------------------------------------------------
NOTES TO FUND PERFORMANCE OVERVIEW (UNAUDITED)
--------------------------------------------------------------------------------
Total returns for the periods since inception are calculated from the inception
date of each Fund. "Average Annual Total Returns" represent the average annual
change in value of an investment over the periods indicated. "Cumulative Total
Returns" represent the total change in value of an investment over the periods
indicated. For certain Funds the total returns would have been lower if certain
fees had not been waived and expenses reimbursed by the Advisor.
Each Fund's per share net asset value ("NAV") is the value of one share of the
Fund and is computed by dividing the value of all assets of the Fund (including
accrued interest and dividends), less all liabilities (including accrued
expenses and dividends declared but unpaid), by the total number of outstanding
shares. The price used to calculate market return ("Market Price") is determined
by using the midpoint between the highest bid and the lowest offer on the stock
exchange on which shares of the Fund are listed for trading as of the time that
the Fund's NAV is calculated. Since shares of each Fund did not trade in the
secondary market until after the Fund's inception, for the period from inception
to the first day of secondary market trading in shares of the Fund, the NAV of
each Fund is used as a proxy for the secondary market trading price to calculate
market returns. NAV and market returns assume that all distributions have been
reinvested in each Fund at NAV and Market Price, respectively.
An index is a statistical composite that tracks a specified financial market or
sector. Unlike each Fund, the indices do not actually hold a portfolio of
securities and therefore do not incur the expenses incurred by each Fund. These
expenses negatively impact the performance of each Fund. Also, market returns do
not include brokerage commissions that may be payable on secondary market
transactions. If brokerage commissions were included, market returns would be
lower. The total returns presented reflect the reinvestment of dividends on
securities in the indices. The returns presented do not reflect the deduction of
taxes that a shareholder would pay on Fund distributions or the redemption or
sale of Fund shares. The investment return and principal value of shares of each
Fund will vary with changes in market conditions. Shares of each Fund may be
worth more or less than their original cost when they are redeemed or sold in
the market. Each Fund's past performance is no guarantee of future performance.
Page 28
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
UNDERSTANDING YOUR FUND EXPENSES
JULY 31, 2020 (UNAUDITED)
As a shareholder of First Trust Large Cap Core AlphaDEX(R) Fund, First Trust Mid
Cap Core AlphaDEX(R) Fund, First Trust Small Cap Core AlphaDEX(R) Fund, First
Trust Large Cap Value AlphaDEX(R) Fund, First Trust Large Cap Growth AlphaDEX(R)
Fund, First Trust Multi Cap Value AlphaDEX(R) Fund, First Trust Multi Cap Growth
AlphaDEX(R) Fund, First Trust Mid Cap Value AlphaDEX(R) Fund, First Trust Mid
Cap Growth AlphaDEX(R) Fund, First Trust Small Cap Value AlphaDEX(R) Fund, First
Trust Small Cap Growth AlphaDEX(R) Fund or First Trust Mega Cap AlphaDEX(R) Fund
(each a "Fund" and collectively, the "Funds"), you incur two types of costs: (1)
transaction costs; and (2) ongoing costs, including management fees,
distribution and/or service (12b-1) fees, if any, and other Fund expenses. This
Example is intended to help you understand your ongoing costs of investing in
the Funds and to compare these costs with the ongoing costs of investing in
other funds.
The Example is based on an investment of $1,000 invested at the beginning of the
period and held through the six-month period ended July 31, 2020.
ACTUAL EXPENSES
The first line in the following table provides information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over the
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
in the first line under the heading entitled "Expenses Paid During the Six-Month
Period" to estimate the expenses you paid on your account during this six-month
period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line in the following table provides information about hypothetical
account values and hypothetical expenses based on each Fund's actual expense
ratio and an assumed rate of return of 5% per year before expenses, which is not
each Fund's actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare the ongoing costs of
investing in the Funds and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs such as brokerage
commissions. Therefore, the second line in the table is useful in comparing
ongoing costs only, and will not help you determine the relative total costs of
owning different funds. In addition, if these transactional costs were included,
your costs would have been higher.
-----------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
FEBRUARY 1, 2020 JULY 31, 2020 PERIOD (a) PERIOD (b)
-----------------------------------------------------------------------------------------------------------------------
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX)
Actual $1,000.00 $ 980.50 0.60% $2.95
Hypothetical (5% return before expenses) $1,000.00 $1,021.88 0.60% $3.02
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
Actual $1,000.00 $ 925.30 0.60% $2.87
Hypothetical (5% return before expenses) $1,000.00 $1,021.88 0.60% $3.02
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
Actual $1,000.00 $ 911.40 0.60% $2.85
Hypothetical (5% return before expenses) $1,000.00 $1,021.88 0.60% $3.02
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA)
Actual $1,000.00 $ 869.00 0.60% $2.79
Hypothetical (5% return before expenses) $1,000.00 $1,021.88 0.60% $3.02
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC)
Actual $1,000.00 $1,111.50 0.59% $3.10
Hypothetical (5% return before expenses) $1,000.00 $1,021.93 0.59% $2.97
Page 29
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
UNDERSTANDING YOUR FUND EXPENSES (CONTINUED)
JULY 31, 2020 (UNAUDITED)
-----------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
FEBRUARY 1, 2020 JULY 31, 2020 PERIOD (a) PERIOD (b)
-----------------------------------------------------------------------------------------------------------------------
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
Actual $1,000.00 $ 859.00 0.70% $3.24
Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
Actual $1,000.00 $1,068.70 0.64% $3.29
Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.64% $3.22
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK)
Actual $1,000.00 $ 819.70 0.70% $3.17
Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY)
Actual $1,000.00 $1,062.80 0.70% $3.59
Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT)
Actual $1,000.00 $ 886.30 0.70% $3.28
Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
Actual $1,000.00 $ 963.20 0.70% $3.42
Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52
FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK)
Actual $1,000.00 $ 967.20 0.70% $3.42
Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52
(a) These expense ratios reflect expense caps for certain Funds. See Note 3 in
Notes to Financial Statements.
(b) Expenses are equal to the annualized expense ratio as indicated in the
table multiplied by the average account value over the period (February 1,
2020 through July 31, 2020), multiplied by 182/366 (to reflect the
six-month period).
Page 30
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX)
PORTFOLIO OF INVESTMENTS
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.8%
AEROSPACE & DEFENSE -- 1.7%
15,755 General Dynamics Corp. $ 2,311,889
13,497 Huntington Ingalls Industries,
Inc. 2,344,564
4,625 L3Harris Technologies, Inc. 778,526
4,304 Lockheed Martin Corp. 1,631,087
2,551 Northrop Grumman Corp. 829,100
25,476 Raytheon Technologies Corp. 1,443,980
2,525 Teledyne Technologies,
Inc. (a) 774,417
119,251 Textron, Inc. 4,166,630
3,551 TransDigm Group, Inc. 1,532,541
---------------
15,812,734
---------------
AIR FREIGHT & LOGISTICS
-- 0.3%
20,644 Expeditors International of
Washington, Inc. 1,744,624
5,597 FedEx Corp. 942,535
---------------
2,687,159
---------------
AIRLINES -- 1.1%
139,916 Delta Air Lines, Inc. 3,493,702
114,821 Southwest Airlines Co. 3,546,821
113,395 United Airlines Holdings,
Inc. (a) 3,558,335
---------------
10,598,858
---------------
AUTO COMPONENTS -- 0.4%
50,366 Aptiv PLC 3,915,956
---------------
AUTOMOBILES -- 1.0%
155,125 General Motors Co. 3,861,061
3,636 Tesla, Inc. (a) 5,202,244
---------------
9,063,305
---------------
BANKS -- 4.3%
99,148 Bank of America Corp. 2,466,802
61,442 Citigroup, Inc. 3,072,714
155,490 Citizens Financial Group, Inc. 3,857,707
162,849 Fifth Third Bancorp 3,234,181
22,217 First Republic Bank 2,498,968
347,504 Huntington Bancshares, Inc. 3,221,362
257,775 KeyCorp 3,095,878
30,197 M&T Bank Corp. 3,199,372
29,844 PNC Financial Services Group
(The), Inc. 3,183,460
282,346 Regions Financial Corp. 3,066,278
7,281 SVB Financial Group (a) 1,632,910
62,711 Truist Financial Corp. 2,349,154
63,955 U.S. Bancorp 2,356,102
122,645 Wells Fargo & Co. 2,975,368
---------------
40,210,256
---------------
BEVERAGES -- 0.7%
68,532 Molson Coors Beverage Co.,
Class B 2,571,321
33,971 Monster Beverage Corp. (a) 2,666,044
5,935 PepsiCo, Inc. 817,012
---------------
6,054,377
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
BIOTECHNOLOGY -- 3.6%
23,983 AbbVie, Inc. $ 2,276,227
34,966 Alexion Pharmaceuticals,
Inc. (a) 3,583,665
26,499 Alnylam Pharmaceuticals,
Inc. (a) 3,862,494
6,657 Amgen, Inc. 1,628,768
14,671 Biogen, Inc. (a) 4,029,977
31,820 BioMarin Pharmaceutical,
Inc. (a) 3,812,354
18,056 Exact Sciences Corp. (a) 1,710,806
20,402 Gilead Sciences, Inc. 1,418,551
30,197 Incyte Corp. (a) 2,982,256
1,259 Regeneron Pharmaceuticals,
Inc. (a) 795,776
23,096 Seattle Genetics, Inc. (a) 3,840,172
10,816 Vertex Pharmaceuticals,
Inc. (a) 2,941,952
---------------
32,882,998
---------------
CAPITAL MARKETS -- 5.3%
15,694 Ameriprise Financial, Inc. 2,411,069
78,617 Apollo Global Management, Inc. 3,860,095
81,233 Bank of New York Mellon (The)
Corp. 2,912,203
13,852 Blackstone Group (The), Inc.,
Class A 738,035
28,133 Carlyle Group (The), Inc. 800,946
46,527 Charles Schwab (The) Corp. 1,542,370
7,169 FactSet Research Systems, Inc. 2,482,625
187,155 Franklin Resources, Inc. 3,939,613
11,916 Goldman Sachs Group (The),
Inc. 2,358,891
17,137 Intercontinental Exchange,
Inc. 1,658,519
25,417 KKR & Co., Inc. 898,999
7,837 MarketAxess Holdings, Inc. 4,049,378
11,430 Moody's Corp. 3,215,259
65,004 Morgan Stanley 3,177,395
7,053 MSCI, Inc. 2,651,787
6,570 Nasdaq, Inc. 862,707
34,212 Raymond James Financial, Inc. 2,377,050
9,529 S&P Global, Inc. 3,337,532
49,407 State Street Corp. 3,151,672
19,067 T. Rowe Price Group, Inc. 2,633,153
---------------
49,059,298
---------------
CHEMICALS -- 1.7%
3,250 Air Products and Chemicals,
Inc. 931,547
27,273 Celanese Corp. 2,650,936
7,889 Ecolab, Inc. 1,475,874
15,759 FMC Corp. 1,671,242
6,408 International Flavors &
Fragrances, Inc. 807,088
59,718 LyondellBasell Industries
N.V., Class A 3,733,569
14,801 PPG Industries, Inc. 1,593,328
4,074 Sherwin-Williams (The) Co. 2,639,626
---------------
15,503,210
---------------
See Notes to Financial Statements Page 31
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
COMMERCIAL SERVICES & SUPPLIES
-- 0.8%
11,786 Cintas Corp. $ 3,557,840
18,855 Copart, Inc. (a) 1,758,229
19,135 Republic Services, Inc. 1,669,529
7,411 Waste Management, Inc. 812,245
---------------
7,797,843
---------------
COMMUNICATIONS EQUIPMENT
-- 0.2%
33,660 Cisco Systems, Inc. 1,585,386
---------------
CONSUMER FINANCE -- 1.4%
158,332 Ally Financial, Inc. 3,182,473
50,163 Capital One Financial Corp. 3,200,399
47,013 Discover Financial Services 2,323,853
177,106 Synchrony Financial 3,919,356
---------------
12,626,081
---------------
CONTAINERS & PACKAGING -- 1.1%
13,761 Avery Dennison Corp. 1,559,672
11,296 Ball Corp. 831,725
24,104 Crown Holdings, Inc. (a) 1,725,364
66,879 International Paper Co. 2,326,720
138,874 WestRock Co. 3,730,156
---------------
10,173,637
---------------
DISTRIBUTORS -- 0.4%
9,028 Genuine Parts Co. 813,874
119,838 LKQ Corp. (a) 3,378,233
---------------
4,192,107
---------------
DIVERSIFIED FINANCIAL SERVICES
-- 0.5%
4,396 Berkshire Hathaway, Inc.,
Class B (a) 860,649
203,454 Equitable Holdings, Inc. 4,162,669
---------------
5,023,318
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 1.2%
129,826 AT&T, Inc. 3,840,253
391,291 CenturyLink, Inc. 3,775,958
56,950 Verizon Communications, Inc. 3,273,486
---------------
10,889,697
---------------
ELECTRIC UTILITIES -- 2.8%
49,221 Alliant Energy Corp. 2,650,551
19,714 American Electric Power Co.,
Inc. 1,712,752
39,302 Duke Energy Corp. 3,330,451
43,358 Edison International 2,413,740
13,237 Evergy, Inc. 858,155
9,425 Eversource Energy 848,910
108,147 Exelon Corp. 4,175,556
20,241 FirstEnergy Corp. 586,989
42,841 Pinnacle West Capital Corp. 3,559,230
151,884 PPL Corp. 4,043,152
25,116 Xcel Energy, Inc. 1,734,009
---------------
25,913,495
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
ELECTRICAL EQUIPMENT -- 1.0%
8,781 AMETEK, Inc. $ 818,828
26,916 Eaton Corp. PLC 2,506,687
37,961 Emerson Electric Co. 2,353,962
14,739 Rockwell Automation, Inc. 3,215,165
---------------
8,894,642
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 1.4%
8,191 Amphenol Corp., Class A 866,280
20,269 CDW Corp. 2,356,272
60,612 Corning, Inc. 1,878,972
7,789 Keysight Technologies,
Inc. (a) 778,043
9,627 TE Connectivity Ltd. 857,477
54,520 Trimble, Inc. (a) 2,426,685
12,268 Zebra Technologies Corp.,
Class A (a) 3,444,241
---------------
12,607,970
---------------
ENTERTAINMENT -- 1.6%
20,682 Activision Blizzard, Inc. 1,708,953
23,777 Electronic Arts, Inc. (a) 3,367,299
6,901 Netflix, Inc. (a) 3,373,761
20,208 Roku, Inc. (a) 3,130,017
22,494 Take-Two Interactive Software,
Inc. (a) 3,689,466
---------------
15,269,496
---------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 2.0%
4,839 Alexandria Real Estate
Equities, Inc. 859,164
6,074 American Tower Corp. 1,587,683
9,379 Crown Castle International
Corp. 1,563,479
2,233 Equinix, Inc. 1,753,977
28,480 Healthpeak Properties, Inc. 777,219
363,727 Host Hotels & Resorts, Inc. 3,920,977
8,411 Prologis, Inc. 886,688
17,103 Regency Centers Corp. 701,736
5,268 SBA Communications Corp. 1,641,193
22,959 Simon Property Group, Inc. 1,431,494
85,736 Ventas, Inc. 3,288,833
---------------
18,412,443
---------------
FOOD & STAPLES RETAILING
-- 0.9%
92,755 Kroger (The) Co. 3,226,946
92,583 Walgreens Boots Alliance, Inc. 3,769,054
13,107 Walmart, Inc. 1,696,046
---------------
8,692,046
---------------
FOOD PRODUCTS -- 2.3%
78,689 Archer-Daniels-Midland Co. 3,370,250
44,637 Conagra Brands, Inc. 1,671,656
25,463 General Mills, Inc. 1,611,044
16,260 Hormel Foods Corp. 826,984
29,672 J.M. Smucker (The) Co. 3,244,633
73,839 Kraft Heinz (The) Co. 2,538,585
12,279 Lamb Weston Holdings, Inc. 737,722
8,752 McCormick & Co., Inc. 1,705,765
Page 32 See Notes to Financial Statements
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
FOOD PRODUCTS (CONTINUED)
30,705 Mondelez International, Inc.,
Class A $ 1,703,820
65,730 Tyson Foods, Inc., Class A 4,039,108
---------------
21,449,567
---------------
GAS UTILITIES -- 0.3%
23,645 Atmos Energy Corp. 2,506,134
---------------
HEALTH CARE EQUIPMENT
& SUPPLIES -- 3.7%
17,169 Abbott Laboratories 1,727,888
8,580 Align Technology, Inc. (a) 2,520,976
9,115 Baxter International, Inc. 787,354
8,878 Danaher Corp. 1,809,336
9,679 DexCom, Inc. (a) 4,215,592
11,359 Edwards Lifesciences Corp. (a) 890,659
27,540 Hologic, Inc. (a) 1,921,741
9,510 IDEXX Laboratories, Inc. (a) 3,782,602
12,121 Insulet Corp. (a) 2,464,926
2,756 Intuitive Surgical, Inc. (a) 1,889,073
17,118 Medtronic PLC 1,651,545
16,353 ResMed, Inc. 3,311,646
4,311 Teleflex, Inc. 1,608,434
6,405 Varian Medical Systems,
Inc. (a) 914,122
17,276 West Pharmaceutical Services,
Inc. 4,644,998
---------------
34,140,892
---------------
HEALTH CARE PROVIDERS &
SERVICES -- 3.0%
7,790 AmerisourceBergen Corp. 780,480
8,955 Anthem, Inc. 2,451,879
15,039 Cardinal Health, Inc. 821,430
16,733 Cigna Corp. 2,889,622
48,324 CVS Health Corp. 3,041,513
29,756 DaVita, Inc. (a) 2,600,377
8,088 HCA Healthcare, Inc. 1,024,264
40,328 Henry Schein, Inc. (a) 2,771,744
4,047 Humana, Inc. 1,588,245
4,725 Laboratory Corp. of America
Holdings (a) 911,547
20,661 Quest Diagnostics, Inc. 2,625,393
5,322 UnitedHealth Group, Inc. 1,611,395
42,251 Universal Health Services,
Inc., Class B 4,643,385
---------------
27,761,274
---------------
HEALTH CARE TECHNOLOGY -- 0.6%
11,449 Cerner Corp. 795,133
16,743 Veeva Systems, Inc.,
Class A (a) 4,429,696
---------------
5,224,829
---------------
HOTELS, RESTAURANTS & LEISURE
-- 2.1%
69,555 Aramark 1,469,002
239,015 Carnival Corp. (b) 3,317,528
3,727 Chipotle Mexican Grill,
Inc. (a) 4,305,281
8,497 Domino's Pizza, Inc. 3,285,025
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE
(CONTINUED)
34,472 Las Vegas Sands Corp. $ 1,504,358
233,607 MGM Resorts International 3,758,737
46,813 Royal Caribbean Cruises Ltd. 2,280,261
---------------
19,920,192
---------------
HOUSEHOLD DURABLES -- 2.0%
70,779 D.R. Horton, Inc. 4,682,739
32,204 Garmin Ltd. 3,174,992
63,693 Lennar Corp., Class A 4,608,189
240 NVR, Inc. (a) 943,236
115,330 PulteGroup, Inc. 5,028,388
---------------
18,437,544
---------------
HOUSEHOLD PRODUCTS -- 0.3%
10,155 Church & Dwight Co., Inc. 978,231
5,552 Kimberly-Clark Corp. 844,126
6,565 Procter & Gamble (The) Co. 860,803
---------------
2,683,160
---------------
INDEPENDENT POWER AND
RENEWABLE ELECTRICITY
PRODUCERS -- 0.4%
210,774 Vistra Corp. 3,933,043
---------------
INDUSTRIAL CONGLOMERATES
-- 0.6%
10,064 3M Co. 1,514,330
459,692 General Electric Co. 2,790,330
4,042 Roper Technologies, Inc. 1,747,963
---------------
6,052,623
---------------
INSURANCE -- 4.9%
87,143 Aflac, Inc. 3,099,677
40,465 Allstate (The) Corp. 3,819,491
125,870 American International Group,
Inc. 4,045,462
8,052 Arthur J. Gallagher & Co. 865,509
57,770 Brown & Brown, Inc. 2,626,802
12,397 Chubb Ltd. 1,577,394
11,421 Everest Re Group Ltd. 2,498,801
128,005 Fidelity National Financial,
Inc. 4,142,242
31,722 Globe Life, Inc. 2,525,071
64,004 Lincoln National Corp. 2,385,429
21,931 Marsh & McLennan Cos., Inc. 2,557,155
107,465 MetLife, Inc. 4,067,550
56,686 Principal Financial Group, Inc. 2,405,187
29,395 Progressive (The) Corp. 2,655,544
51,554 Prudential Financial, Inc. 3,266,977
20,645 Travelers (The) Cos., Inc. 2,362,201
13,702 W.R. Berkley Corp. 846,098
---------------
45,746,590
---------------
INTERACTIVE MEDIA & SERVICES
-- 1.2%
2,216 Alphabet, Inc., Class A (a) 3,297,297
13,825 Facebook, Inc., Class A (a) 3,506,988
167,075 Snap, Inc., Class A (a) 3,745,821
26,347 Twitter, Inc. (a) 959,031
---------------
11,509,137
---------------
See Notes to Financial Statements Page 33
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
INTERNET & DIRECT MARKETING
RETAIL -- 0.8%
1,422 Amazon.com, Inc. (a) $ 4,500,175
59,859 eBay, Inc. 3,309,005
---------------
7,809,180
---------------
IT SERVICES -- 6.1%
10,966 Accenture PLC, Class A 2,464,937
21,989 Akamai Technologies, Inc. (a) 2,472,443
5,271 Automatic Data Processing,
Inc. 700,569
40,361 Booz Allen Hamilton Holding
Corp. 3,299,915
24,880 Broadridge Financial
Solutions, Inc. 3,342,379
55,257 Cognizant Technology Solutions
Corp., Class A 3,775,158
15,575 EPAM Systems, Inc. (a) 4,517,996
8,041 Fiserv, Inc. (a) 802,411
3,119 FleetCor Technologies,
Inc. (a) 806,480
6,468 Gartner, Inc. (a) 806,172
42,817 GoDaddy, Inc., Class A (a) 3,009,179
19,497 International Business
Machines Corp. 2,396,961
8,529 Jack Henry & Associates, Inc. 1,520,721
25,138 Leidos Holdings, Inc. 2,392,132
5,308 Mastercard, Inc., Class A 1,637,677
19,601 Okta, Inc. (a) 4,331,429
10,362 Paychex, Inc. 745,235
22,525 PayPal Holdings, Inc. (a) 4,416,477
37,398 Square, Inc., Class A (a) 4,856,130
17,887 Twilio, Inc., Class A (a) 4,962,212
3,794 VeriSign, Inc. (a) 803,114
8,128 Visa, Inc., Class A 1,547,571
36,306 Western Union (The) Co. 881,510
---------------
56,488,808
---------------
LEISURE PRODUCTS -- 0.2%
20,944 Hasbro, Inc. 1,523,885
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 1.3%
26,646 Agilent Technologies, Inc. 2,566,809
92,344 Avantor, Inc. (a) 2,038,956
4,240 Illumina, Inc. (a) 1,620,358
975 Mettler-Toledo International,
Inc. (a) 911,625
16,004 PerkinElmer, Inc. 1,903,036
6,499 Thermo Fisher Scientific, Inc. 2,690,261
---------------
11,731,045
---------------
MACHINERY -- 2.0%
18,122 Cummins, Inc. 3,502,258
9,988 Deere & Co. 1,760,984
16,257 Dover Corp. 1,673,333
4,490 Illinois Tool Works, Inc. 830,605
41,947 PACCAR, Inc. 3,568,851
12,849 Parker-Hannifin Corp. 2,298,943
11,263 Stanley Black & Decker, Inc. 1,726,843
40,901 Westinghouse Air Brake
Technologies Corp. 2,543,633
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MACHINERY (CONTINUED)
12,082 Xylem, Inc. $ 881,745
---------------
18,787,195
---------------
MEDIA -- 2.0%
1,540 Charter Communications, Inc.,
Class A (a) 893,200
80,547 Comcast Corp., Class A 3,447,412
186,002 Discovery, Inc., Class A (a) 3,924,642
68,233 DISH Network Corp.,
Class A (a) 2,190,962
6,334 Liberty Broadband Corp.,
Class C (a) 869,468
43,129 Omnicom Group, Inc. 2,317,321
267,438 Sirius XM Holdings, Inc. 1,572,535
134,637 ViacomCBS, Inc., Class B 3,509,987
---------------
18,725,527
---------------
METALS & MINING -- 0.9%
63,567 Newmont Corp. 4,398,837
94,776 Nucor Corp. 3,975,853
---------------
8,374,690
---------------
MORTGAGE REAL ESTATE
INVESTMENT TRUSTS -- 0.1%
119,652 Annaly Capital Management,
Inc. 886,621
---------------
MULTILINE RETAIL -- 1.0%
20,602 Dollar General Corp. 3,922,621
8,467 Dollar Tree, Inc. (a) 790,394
32,725 Target Corp. 4,119,423
---------------
8,832,438
---------------
MULTI-UTILITIES -- 1.5%
22,312 Ameren Corp. 1,790,315
32,738 Consolidated Edison, Inc. 2,515,261
9,668 Dominion Energy, Inc. 783,398
21,904 DTE Energy Co. 2,532,759
69,036 NiSource, Inc. 1,687,930
47,902 Public Service Enterprise
Group, Inc. 2,679,638
17,912 WEC Energy Group, Inc. 1,706,297
---------------
13,695,598
---------------
OIL, GAS & CONSUMABLE FUELS
-- 3.8%
48,734 Cheniere Energy, Inc. (a) 2,411,358
35,188 Chevron Corp. 2,953,681
93,401 ConocoPhillips 3,492,263
223,880 Continental Resources,
Inc. (b) 3,870,885
75,075 Diamondback Energy, Inc. 2,992,489
77,469 EOG Resources, Inc. 3,629,423
87,762 Exxon Mobil Corp. 3,693,025
15,150 Hess Corp. 745,532
171,567 Occidental Petroleum Corp. 2,700,465
47,256 ONEOK, Inc. 1,318,915
10,916 Phillips 66 677,010
40,171 Pioneer Natural Resources Co. 3,893,373
40,033 Valero Energy Corp. 2,251,056
41,268 Williams (The) Cos., Inc. 789,457
---------------
35,418,932
---------------
Page 34 See Notes to Financial Statements
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
PHARMACEUTICALS -- 1.2%
9,562 Eli Lilly and Co. $ 1,437,073
195,257 Mylan N.V. (a) 3,145,590
120,020 Pfizer, Inc. 4,618,370
11,454 Zoetis, Inc. 1,737,343
---------------
10,938,376
---------------
PROFESSIONAL SERVICES -- 1.2%
3,314 CoStar Group, Inc. (a) 2,816,105
18,266 Equifax, Inc. 2,969,321
27,054 TransUnion 2,423,227
13,834 Verisk Analytics, Inc. 2,610,614
---------------
10,819,267
---------------
REAL ESTATE MANAGEMENT
& DEVELOPMENT -- 0.4%
86,791 CBRE Group, Inc., Class A (a) 3,802,314
---------------
ROAD & RAIL -- 1.6%
33,764 CSX Corp. 2,408,724
13,045 J.B. Hunt Transport Services,
Inc. 1,688,023
10,517 Kansas City Southern 1,807,347
23,779 Lyft, Inc., Class A (a) 695,060
13,413 Norfolk Southern Corp. 2,578,113
18,515 Old Dominion Freight Line,
Inc. 3,384,912
25,255 Uber Technologies, Inc. (a) 764,216
9,286 Union Pacific Corp. 1,609,728
---------------
14,936,123
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 4.9%
44,758 Advanced Micro Devices,
Inc. (a) 3,465,612
6,398 Analog Devices, Inc. 734,810
38,955 Applied Materials, Inc. 2,505,975
4,973 Broadcom, Inc. 1,575,198
39,356 Intel Corp. 1,878,462
12,107 KLA Corp. 2,419,342
9,705 Lam Research Corp. 3,660,338
67,165 Marvell Technology Group Ltd. 2,449,508
12,949 Maxim Integrated Products,
Inc. 881,697
14,907 Microchip Technology, Inc. 1,516,489
60,942 Micron Technology, Inc. (a) 3,050,452
8,264 NVIDIA Corp. 3,508,812
6,884 NXP Semiconductors N.V. 809,076
28,404 Qorvo, Inc. (a) 3,639,973
43,028 QUALCOMM, Inc. 4,544,187
18,417 Skyworks Solutions, Inc. 2,681,147
46,441 Teradyne, Inc. 4,131,391
6,181 Texas Instruments, Inc. 788,386
7,977 Xilinx, Inc. 856,331
---------------
45,097,186
---------------
SOFTWARE -- 9.0%
9,017 Adobe, Inc. (a) 4,006,433
8,073 ANSYS, Inc. (a) 2,507,474
16,409 Autodesk, Inc. (a) 3,879,580
32,719 Cadence Design Systems,
Inc. (a) 3,574,551
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
SOFTWARE (CONTINUED)
39,609 Ceridian HCM Holding, Inc. (a) $ 3,100,989
15,919 Citrix Systems, Inc. 2,272,596
14,165 Coupa Software, Inc. (a) 4,340,864
22,788 DocuSign, Inc. (a) 4,941,122
7,511 Fair Isaac Corp. (a) 3,298,756
28,591 Fortinet, Inc. (a) 3,954,135
5,299 Intuit, Inc. 1,623,455
11,570 Microsoft Corp. 2,371,966
158,332 NortonLifeLock, Inc. 3,396,221
14,201 Oracle Corp. 787,446
13,670 Palo Alto Networks, Inc. (a) 3,498,426
12,669 Paycom Software, Inc. (a) 3,602,684
13,772 RingCentral, Inc., Class A (a) 3,997,598
16,762 salesforce.com, Inc. (a) 3,266,076
9,687 ServiceNow, Inc. (a) 4,254,530
19,751 Splunk, Inc. (a) 4,144,155
41,693 SS&C Technologies Holdings,
Inc. 2,397,348
16,102 Synopsys, Inc. (a) 3,207,840
9,653 Trade Desk (The), Inc.,
Class A (a) 4,356,592
6,788 Tyler Technologies, Inc. (a) 2,425,013
10,138 VMware, Inc., Class A (a) (b) 1,421,449
12,570 Workday, Inc., Class A (a) 2,274,164
---------------
82,901,463
---------------
SPECIALTY RETAIL -- 1.8%
2,785 AutoZone, Inc. (a) 3,362,665
17,987 Best Buy Co., Inc. 1,791,325
3,988 Burlington Stores, Inc. (a) 749,744
35,061 CarMax, Inc. (a) 3,399,865
12,534 Home Depot (The), Inc. 3,327,652
7,446 O'Reilly Automotive, Inc. (a) 3,554,572
3,859 Ulta Beauty, Inc. (a) 744,748
---------------
16,930,571
---------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 1.8%
10,759 Apple, Inc. 4,573,005
14,287 Dell Technologies, Inc.,
Class C (a) 854,791
322,685 Hewlett Packard Enterprise Co. 3,184,901
90,067 HP, Inc. 1,583,378
35,381 NetApp, Inc. 1,567,378
64,858 Seagate Technology PLC 2,932,879
35,556 Western Digital Corp. 1,532,464
---------------
16,228,796
---------------
TEXTILES, APPAREL &
LUXURY GOODS -- 0.2%
16,010 NIKE, Inc., Class B 1,562,736
---------------
TRADING COMPANIES
& DISTRIBUTORS -- 0.9%
73,288 Fastenal Co. 3,447,468
26,331 United Rentals, Inc. (a) 4,091,047
2,500 W.W. Grainger, Inc. 853,825
---------------
8,392,340
---------------
See Notes to Financial Statements Page 35
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
WATER UTILITIES -- 0.2%
12,202 American Water Works Co., Inc. $ 1,796,989
---------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.1%
7,538 T-Mobile US, Inc. (a) 809,430
---------------
TOTAL COMMON STOCKS
-- 99.8% 923,720,807
(Cost $843,681,498) ---------------
WARRANTS -- 0.0%
OIL, GAS & CONSUMABLE FUELS
-- 0.0%
27,697 Occidental Petroleum Corp.,
expiring 08/03/27 (a) 155,103
(Cost $0) ---------------
MONEY MARKET FUNDS -- 1.0%
8,014,309 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.10% (c) (d) 8,014,309
943,072 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 0.04% (c) 943,072
---------------
TOTAL MONEY MARKET FUNDS
-- 1.0% 8,957,381
(Cost $8,957,381) ---------------
TOTAL INVESTMENTS -- 100.8% 932,833,291
(Cost $852,638,879) (e)
NET OTHER ASSETS AND
LIABILITIES -- (0.8)% (7,853,465)
---------------
NET ASSETS -- 100.0% $ 924,979,826
===============
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The remaining contractual
maturity of all of the securities lending transactions is overnight and
continuous. The aggregate value of such securities is $7,738,999 and the
total value of the collateral held by the Fund is $8,014,309.
(c) Rate shown reflects yield as of July 31, 2020.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $856,835,640. As of July
31, 2020, the aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost was $140,010,805 and
the aggregate gross unrealized depreciation for all investments in which
there was an excess of tax cost over value was $64,013,154. The net
unrealized appreciation was $75,997,651.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2020
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
--------------------------------------------
Common Stocks* $ 923,720,807 $ -- $ --
Warrants* 155,103 -- --
Money Market
Funds 8,957,381 -- --
--------------------------------------------
Total Investments $ 932,833,291 $ -- $ --
============================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
-------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 7,738,999
Non-cash Collateral(2) (7,738,999)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At July 31, 2020, the value of the collateral received from each borrower
exceeded the value of the related securities loaned. This amount is
disclosed on the Portfolio of Investments.
Page 36 See Notes to Financial Statements
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
PORTFOLIO OF INVESTMENTS
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 1.5%
10,603 Aerojet Rocketdyne Holdings,
Inc. (a) $ 437,374
21,410 Axon Enterprise, Inc. (a) 1,779,813
22,260 BWX Technologies, Inc. 1,213,615
10,683 Mercury Systems, Inc. (a) 827,185
39,659 Moog, Inc., Class A 2,130,482
34,789 Parsons Corp. (a) 1,211,701
70,213 Spirit AeroSystems Holdings,
Inc., Class A 1,374,068
---------------
8,974,238
---------------
AIR FREIGHT & LOGISTICS
-- 0.4%
5,317 C.H. Robinson Worldwide, Inc. 498,309
27,203 XPO Logistics, Inc. (a) 2,040,769
---------------
2,539,078
---------------
AIRLINES -- 1.3%
57,950 Alaska Air Group, Inc. 1,995,798
192,769 JetBlue Airways Corp. (a) 1,993,232
64,413 SkyWest, Inc. 1,694,706
118,041 Spirit Airlines, Inc. (a) (b) 1,866,228
---------------
7,549,964
---------------
AUTO COMPONENTS -- 0.9%
59,524 BorgWarner, Inc. 2,178,578
32,616 Gentex Corp. 880,306
19,273 Lear Corp. 2,127,354
---------------
5,186,238
---------------
AUTOMOBILES -- 0.3%
53,041 Harley-Davidson, Inc. 1,380,657
3,942 Thor Industries, Inc. 449,349
---------------
1,830,006
---------------
BANKS -- 8.2%
53,440 Ameris Bancorp 1,233,128
122,877 Associated Banc-Corp. 1,577,741
55,438 BancorpSouth Bank 1,160,317
71,619 Bank OZK 1,722,437
83,010 BankUnited, Inc. 1,671,821
29,780 BOK Financial Corp. 1,658,746
63,915 Cathay General Bancorp 1,545,465
40,542 CIT Group, Inc. 769,082
44,480 Columbia Banking System, Inc. 1,286,806
44,122 Comerica, Inc. 1,699,579
14,130 Commerce Bancshares, Inc. 809,084
7,373 Community Bank System, Inc. 414,584
11,249 Cullen/Frost Bankers, Inc. 810,603
44,852 CVB Financial Corp. 810,476
46,382 East West Bancorp, Inc. 1,607,600
224,129 F.N.B. Corp. 1,660,796
3,114 First Citizens BancShares,
Inc., Class A 1,326,159
97,501 First Hawaiian, Inc. 1,694,567
168,771 First Horizon National Corp. 1,564,507
59,465 Hancock Whitney Corp. 1,133,403
81,973 Home BancShares, Inc. 1,338,619
148,318 Investors Bancorp, Inc. 1,204,342
91,624 Old National Bancorp 1,281,820
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
BANKS (CONTINUED)
145,286 People's United Financial,
Inc. $ 1,567,636
30,024 Pinnacle Financial Partners,
Inc. 1,189,551
56,527 Popular, Inc. 2,097,717
14,152 Prosperity Bancshares, Inc. 786,285
7,862 Signature Bank 806,091
179,282 Sterling Bancorp 2,016,923
81,877 Synovus Financial Corp. 1,649,822
16,301 UMB Financial Corp. 811,790
30,385 United Bankshares, Inc. 799,733
161,215 Valley National Bancorp 1,204,276
58,752 Webster Financial Corp. 1,602,167
11,097 Western Alliance Bancorp 398,937
38,534 Wintrust Financial Corp. 1,649,255
49,437 Zions Bancorp N.A. 1,605,219
---------------
48,167,084
---------------
BEVERAGES -- 0.5%
3,912 Boston Beer (The) Co., Inc.,
Class A (a) 3,170,441
---------------
BIOTECHNOLOGY -- 4.3%
34,678 ACADIA Pharmaceuticals,
Inc. (a) 1,441,565
17,644 Acceleron Pharma, Inc. (a) 1,749,756
31,429 Agios Pharmaceuticals,
Inc. (a) 1,424,362
29,192 Arrowhead Pharmaceuticals,
Inc. (a) 1,257,299
10,776 Blueprint Medicines Corp. (a) 788,588
28,592 CRISPR Therapeutics AG (a) 2,443,472
70,807 Exelixis, Inc. (a) 1,634,934
20,737 FibroGen, Inc. (a) 839,226
35,576 Immunomedics, Inc. (a) 1,502,375
21,386 Ionis Pharmaceuticals,
Inc. (a) 1,230,978
3,682 Mirati Therapeutics, Inc. (a) 446,663
19,633 Moderna, Inc. (a) 1,454,805
25,261 Momenta Pharmaceuticals,
Inc. (a) 744,947
17,220 Neurocrine Biosciences,
Inc. (a) 2,072,599
16,565 PTC Therapeutics, Inc. (a) 767,456
10,481 Sarepta Therapeutics, Inc. (a) 1,609,043
26,860 Ultragenyx Pharmaceutical,
Inc. (a) 2,099,378
17,368 United Therapeutics Corp. (a) 1,936,011
---------------
25,443,457
---------------
BUILDING PRODUCTS -- 2.3%
17,837 A.O. Smith Corp. 858,673
42,532 Advanced Drainage Systems,
Inc. 2,084,068
81,206 Builders FirstSource, Inc. (a) 1,923,770
26,297 Fortune Brands Home &
Security, Inc. 2,011,721
3,606 Lennox International, Inc. 966,913
19,929 Simpson Manufacturing Co.,
Inc. 1,924,344
16,153 Trex Co., Inc. (a) 2,250,597
25,463 UFP Industries, Inc. 1,482,456
---------------
13,502,542
---------------
See Notes to Financial Statements Page 37
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
CAPITAL MARKETS -- 2.8%
16,908 Affiliated Managers Group,
Inc. $ 1,163,102
10,586 Ares Management Corp.,
Class A 422,805
24,700 Cohen & Steers, Inc. 1,486,446
10,886 Eaton Vance Corp. 393,420
35,661 Evercore, Inc., Class A 1,972,053
88,658 Federated Hermes, Inc. 2,337,025
195,276 Invesco Ltd. 1,960,571
14,676 Lazard Ltd., Class A 430,300
21,439 LPL Financial Holdings, Inc. 1,694,110
8,944 Morningstar, Inc. 1,502,950
7,643 SEI Investments Co. 399,958
35,438 Stifel Financial Corp. 1,718,034
21,685 Tradeweb Markets, Inc.,
Class A 1,172,508
---------------
16,653,282
---------------
CHEMICALS -- 2.9%
16,327 Albemarle Corp. 1,346,324
18,639 Axalta Coating Systems
Ltd. (a) 413,786
59,737 CF Industries Holdings, Inc. 1,871,560
30,171 Eastman Chemical Co. 2,251,662
116,197 Element Solutions, Inc. (a) 1,261,899
70,159 Huntsman Corp. 1,297,941
2,095 NewMarket Corp. 785,227
16,798 RPM International, Inc. 1,370,549
15,625 Scotts Miracle-Gro (The) Co. 2,477,656
86,959 Valvoline, Inc. 1,784,399
8,274 W.R. Grace & Co. 381,680
39,166 Westlake Chemical Corp. 2,134,547
---------------
17,377,230
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 1.5%
105,321 ADT, Inc. (b) 906,814
17,948 Brady Corp., Class A 825,070
16,513 Cimpress PLC (a) 1,651,300
7,009 Clean Harbors, Inc. (a) 417,737
21,789 IAA, Inc. (a) 944,553
7,346 MSA Safety, Inc. 870,721
15,017 Stericycle, Inc. (a) 907,552
15,931 Tetra Tech, Inc. 1,412,283
4,695 UniFirst Corp. 875,524
---------------
8,811,554
---------------
COMMUNICATIONS EQUIPMENT
-- 0.5%
15,520 Ciena Corp. (a) 923,595
6,026 F5 Networks, Inc. (a) 818,934
36,766 Juniper Networks, Inc. 933,121
5,163 Lumentum Holdings, Inc. (a) 479,281
---------------
3,154,931
---------------
CONSTRUCTION & ENGINEERING
-- 1.1%
25,412 EMCOR Group, Inc. 1,740,722
46,830 MasTec, Inc. (a) 1,862,897
42,851 Quanta Services, Inc. 1,712,755
11,095 Valmont Industries, Inc. 1,344,714
---------------
6,661,088
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
CONSTRUCTION MATERIALS -- 0.1%
5,984 Eagle Materials, Inc. $ 480,096
---------------
CONSUMER FINANCE -- 1.7%
4,012 Credit Acceptance Corp.
(a) (b) 1,877,375
18,680 FirstCash, Inc. 1,076,715
4,354 LendingTree, Inc. (a) 1,507,747
239,109 Navient Corp. 1,903,308
34,250 OneMain Holdings, Inc. 982,975
68,481 Santander Consumer USA
Holdings, Inc. (b) 1,257,311
239,109 SLM Corp. 1,618,768
---------------
10,224,199
---------------
CONTAINERS & PACKAGING -- 1.2%
3,750 AptarGroup, Inc. 432,000
28,447 Berry Global Group, Inc. (a) 1,422,066
60,077 Graphic Packaging Holding Co. 837,473
12,635 Packaging Corp. of America 1,214,476
25,582 Sealed Air Corp. 912,766
25,946 Silgan Holdings, Inc. 992,434
24,113 Sonoco Products Co. 1,247,607
---------------
7,058,822
---------------
DISTRIBUTORS -- 0.3%
6,182 Pool Corp. 1,957,839
---------------
DIVERSIFIED CONSUMER SERVICES
-- 1.0%
31,237 Chegg, Inc. (a) 2,529,260
28,441 frontdoor, Inc. (a) 1,194,380
13,924 Grand Canyon Education,
Inc. (a) 1,235,616
10,808 Service Corp. International 468,635
5,470 Strategic Education, Inc. 690,368
---------------
6,118,259
---------------
DIVERSIFIED FINANCIAL SERVICES
-- 0.7%
20,452 Cannae Holdings, Inc. (a) 770,631
135,127 Jefferies Financial Group, Inc. 2,189,058
27,028 Voya Financial, Inc. 1,335,183
---------------
4,294,872
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.9%
5,431 Cogent Communications
Holdings, Inc. 489,387
29,546 GCI Liberty, Inc., Class A (a) 2,316,111
16,517 Iridium Communications,
Inc. (a) 452,401
178,068 Liberty Latin America Ltd.,
Class C (a) 1,821,636
---------------
5,079,535
---------------
ELECTRIC UTILITIES -- 1.4%
30,782 ALLETE, Inc. 1,825,373
23,308 Hawaiian Electric Industries,
Inc. 845,148
14,432 IDACORP, Inc. 1,345,784
64,530 NRG Energy, Inc. 2,181,759
40,203 Portland General Electric Co. 1,774,158
---------------
7,972,222
---------------
Page 38 See Notes to Financial Statements
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ELECTRICAL EQUIPMENT -- 1.1%
17,561 Acuity Brands, Inc. $ 1,740,295
13,053 EnerSys 877,945
13,785 Generac Holdings, Inc. (a) 2,172,240
3,355 Hubbell, Inc. 452,824
14,440 Regal Beloit Corp. 1,328,047
---------------
6,571,351
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 1.1%
14,076 Cognex Corp. 941,262
12,760 Dolby Laboratories, Inc.,
Class A 888,096
10,357 FLIR Systems, Inc. 431,473
2,623 IPG Photonics Corp. (a) 469,543
12,684 Itron, Inc. (a) 882,299
13,099 Jabil, Inc. 456,631
2,459 Littelfuse, Inc. 436,841
10,854 National Instruments Corp. 385,317
14,036 SYNNEX Corp. 1,750,851
---------------
6,642,313
---------------
ENTERTAINMENT -- 0.7%
145,535 Cinemark Holdings, Inc. 1,721,679
220,250 Zynga, Inc., Class A (a) 2,165,058
---------------
3,886,737
---------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 5.1%
6,396 Agree Realty Corp. 428,340
31,242 American Homes 4 Rent,
Class A 906,018
11,574 Americold Realty Trust 467,011
217,514 Apple Hospitality REIT, Inc. 1,918,474
115,768 Brandywine Realty Trust 1,253,767
131,121 Brixmor Property Group, Inc. 1,509,203
3,472 CoreSite Realty Corp. 448,062
33,169 Corporate Office Properties
Trust 878,315
28,174 Cousins Properties, Inc. 865,505
17,331 CyrusOne, Inc. 1,445,752
3,546 EastGroup Properties, Inc. 470,412
50,736 EPR Properties 1,452,572
65,252 Equity Commonwealth 2,060,006
10,933 First Industrial Realty Trust,
Inc. 480,177
15,846 Healthcare Trust of America,
Inc., Class A 437,508
56,288 Highwoods Properties, Inc. 2,158,082
33,403 Hudson Pacific Properties,
Inc. 787,309
6,292 Lamar Advertising Co., Class A 413,573
234,244 Macerich (The) Co. (b) 1,787,282
163,519 Paramount Group, Inc. 1,165,890
153,821 Pebblebrook Hotel Trust 1,630,503
23,985 Physicians Realty Trust 432,689
13,114 QTS Realty Trust, Inc.,
Class A 943,552
16,953 Rayonier, Inc. 470,954
10,141 Rexford Industrial Realty,
Inc. 475,917
116,490 Sabra Health Care REIT, Inc. 1,717,063
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS (CONTINUED)
237,084 Service Properties Trust $ 1,588,463
12,057 Spirit Realty Capital, Inc. 415,484
14,331 STAG Industrial, Inc. 467,191
51,564 Sunstone Hotel Investors, Inc. 385,699
7,982 Terreno Realty Corp. 484,986
---------------
30,345,759
---------------
FOOD & STAPLES RETAILING
-- 0.9%
56,375 BJ's Wholesale Club Holdings,
Inc. (a) 2,257,819
5,620 Casey's General Stores, Inc. 894,648
28,846 Performance Food Group
Co. (a) 808,265
63,932 US Foods Holding Corp. (a) 1,297,819
---------------
5,258,551
---------------
FOOD PRODUCTS -- 1.7%
12,546 Beyond Meat, Inc. (a) 1,579,541
85,344 Darling Ingredients, Inc. (a) 2,383,658
18,796 Flowers Foods, Inc. 427,609
20,254 Ingredion, Inc. 1,751,971
6,613 J & J Snack Foods Corp. 814,259
2,710 Lancaster Colony Corp. 429,779
124,401 Pilgrim's Pride Corp. (a) 1,909,555
284 Seaboard Corp. 767,723
---------------
10,064,095
---------------
GAS UTILITIES -- 1.2%
30,068 National Fuel Gas Co. 1,219,859
38,614 New Jersey Resources Corp. 1,199,351
10,908 ONE Gas, Inc. 825,735
18,260 Southwest Gas Holdings, Inc. 1,271,626
19,189 Spire, Inc. 1,183,194
39,643 UGI Corp. 1,321,698
---------------
7,021,463
---------------
HEALTH CARE EQUIPMENT
& SUPPLIES -- 2.4%
6,960 ABIOMED, Inc. (a) 2,087,582
9,502 Cantel Medical Corp. 448,970
17,615 Globus Medical, Inc.,
Class A (a) 848,691
2,277 ICU Medical, Inc. (a) 418,353
11,507 Integer Holdings Corp. (a) 756,815
7,370 Masimo Corp. (a) 1,622,284
10,828 Neogen Corp. (a) 831,266
7,032 Nevro Corp. (a) 934,975
4,699 Penumbra, Inc. (a) 1,042,755
9,389 Quidel Corp. (a) 2,652,111
21,239 Tandem Diabetes Care, Inc. (a) 2,218,626
---------------
13,862,428
---------------
HEALTH CARE PROVIDERS &
SERVICES -- 1.9%
50,185 Acadia Healthcare Co.,
Inc. (a) 1,496,015
8,463 Amedisys, Inc. (a) 1,981,696
18,578 AMN Healthcare Services,
Inc. (a) 1,020,675
1,865 Chemed Corp. 917,934
See Notes to Financial Statements Page 39
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
HEALTH CARE PROVIDERS
& SERVICES
(CONTINUED)
13,568 Encompass Health Corp. $ 923,710
10,359 Guardant Health, Inc. (a) 882,380
14,323 HealthEquity, Inc. (a) 738,494
7,230 LHC Group, Inc. (a) 1,410,645
4,722 Molina Healthcare, Inc. (a) 872,153
28,528 Select Medical Holdings
Corp. (a) 543,173
23,207 Tenet Healthcare Corp. (a) 613,593
---------------
11,400,468
---------------
HEALTH CARE TECHNOLOGY -- 0.4%
5,948 Omnicell, Inc. (a) 418,085
8,811 Teladoc Health, Inc. (a) 2,093,758
---------------
2,511,843
---------------
HOTELS, RESTAURANTS & LEISURE
-- 1.4%
20,110 Boyd Gaming Corp. 476,004
20,982 Caesars Entertainment,
Inc. (a) 651,491
5,328 Choice Hotels International,
Inc. 447,765
12,627 Churchill Downs, Inc. 1,749,092
6,445 Dunkin' Brands Group, Inc. 442,965
5,112 Marriott Vacations Worldwide
Corp. 432,782
6,939 Planet Fitness, Inc.,
Class A (a) 362,216
15,986 Texas Roadhouse, Inc. 898,253
77,179 Wendy's (The) Co. 1,789,009
14,912 Wyndham Destinations, Inc. 396,659
9,861 Wyndham Hotels & Resorts, Inc. 435,462
---------------
8,081,698
---------------
HOUSEHOLD DURABLES -- 2.8%
8,915 Helen of Troy Ltd. (a) 1,678,249
68,489 KB Home 2,303,970
35,867 Leggett & Platt, Inc. 1,437,908
20,651 Mohawk Industries, Inc. (a) 1,648,982
29,206 Tempur Sealy International,
Inc. (a) 2,364,226
64,474 Toll Brothers, Inc. 2,462,907
18,472 TopBuild Corp. (a) 2,436,826
12,980 Whirlpool Corp. 2,117,297
---------------
16,450,365
---------------
INDUSTRIAL CONGLOMERATES
-- 0.1%
3,514 Carlisle Cos., Inc. 418,447
---------------
INSURANCE -- 3.6%
13,242 American Financial Group, Inc. 804,716
17,493 American National Group, Inc. 1,288,360
8,135 Assurant, Inc. 874,268
86,078 Assured Guaranty Ltd. 1,879,083
26,947 Athene Holding Ltd.,
Class A (a) 869,041
10,360 Axis Capital Holdings Ltd. 415,643
75,527 Brighthouse Financial,
Inc. (a) 2,140,435
2,752 Enstar Group Ltd. (a) 462,198
4,380 Erie Indemnity Co., Class A 920,326
43,759 First American Financial Corp. 2,232,147
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
INSURANCE (CONTINUED)
8,291 Hanover Insurance Group (The),
Inc. $ 844,687
23,181 Kemper Corp. 1,820,172
3,603 Primerica, Inc. 431,135
21,428 Reinsurance Group of America,
Inc. 1,826,737
7,373 RenaissanceRe Holdings Ltd. 1,329,942
15,933 Selective Insurance Group,
Inc. 865,799
126,652 Unum Group 2,182,214
---------------
21,186,903
---------------
INTERACTIVE MEDIA & SERVICES
-- 1.0%
16,578 Cargurus, Inc. (a) 478,938
56,869 Pinterest, Inc., Class A (a) 1,950,038
44,212 TripAdvisor, Inc. 894,409
36,475 Zillow Group, Inc.,
Class C (a) 2,494,525
---------------
5,817,910
---------------
INTERNET & DIRECT MARKETING
RETAIL -- 0.9%
19,777 Etsy, Inc. (a) 2,341,202
10,636 Wayfair, Inc., Class A (a) 2,830,133
---------------
5,171,335
---------------
IT SERVICES -- 1.5%
11,580 Black Knight, Inc. (a) 867,574
5,812 CACI International, Inc.,
Class A (a) 1,207,850
34,518 Genpact Ltd. 1,374,507
18,639 KBR, Inc. 414,531
11,927 MAXIMUS, Inc. 885,103
9,283 MongoDB, Inc. (a) 2,126,550
52,141 Sabre Corp. 394,186
10,823 Science Applications
International Corp. 865,623
5,093 WEX, Inc. (a) 806,578
---------------
8,942,502
---------------
LEISURE PRODUCTS -- 0.6%
9,080 Polaris, Inc. 940,960
49,175 YETI Holdings, Inc. (a) 2,404,166
---------------
3,345,126
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 2.7%
43,428 Adaptive Biotechnologies
Corp. (a) 1,620,733
2,795 Bio-Rad Laboratories, Inc.,
Class A (a) 1,467,068
4,776 Bio-Techne Corp. 1,314,164
10,329 Bruker Corp. 460,880
9,641 Charles River Laboratories
International, Inc. (a) 1,918,463
18,073 Medpace Holdings, Inc. (a) 2,157,013
40,691 NeoGenomics, Inc. (a) 1,555,617
12,959 PRA Health Sciences, Inc. (a) 1,380,911
13,597 Repligen Corp. (a) 2,051,923
28,855 Syneos Health, Inc. (a) 1,800,263
---------------
15,727,035
---------------
Page 40 See Notes to Financial Statements
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MACHINERY -- 3.5%
15,157 AGCO Corp. $ 994,754
45,703 Allison Transmission Holdings,
Inc. 1,707,464
42,494 Barnes Group, Inc. 1,566,754
7,066 Crane Co. 399,724
9,031 Donaldson Co., Inc. 436,559
14,306 ITT, Inc. 825,885
9,976 Lincoln Electric Holdings,
Inc. 901,731
15,969 Middleby (The) Corp. (a) 1,326,385
44,703 Navistar International
Corp. (a) 1,431,837
6,642 Nordson Corp. 1,286,090
29,339 Oshkosh Corp. 2,309,566
11,206 Proto Labs, Inc. (a) 1,346,065
28,836 Rexnord Corp. 835,379
12,134 Snap-on, Inc. 1,769,987
46,188 Timken (The) Co. 2,108,944
12,667 Toro (The) Co. 903,790
5,417 Woodward, Inc. 405,950
---------------
20,556,864
---------------
MEDIA -- 1.3%
710 Cable One, Inc. 1,294,018
73,465 Interpublic Group of (The)
Cos., Inc. 1,326,043
29,994 New York Times (The) Co.,
Class A 1,383,923
15,062 Nexstar Media Group, Inc.,
Class A 1,320,184
188,618 TEGNA, Inc. 2,221,920
---------------
7,546,088
---------------
METALS & MINING -- 1.1%
22,131 Reliance Steel & Aluminum Co. 2,174,592
13,523 Royal Gold, Inc. 1,892,274
80,537 Steel Dynamics, Inc. 2,207,519
---------------
6,274,385
---------------
MORTGAGE REAL ESTATE
INVESTMENT TRUSTS -- 0.2%
42,840 Apollo Commercial Real Estate
Finance, Inc. 398,412
28,093 Starwood Property Trust, Inc. 419,990
83,381 Two Harbors Investment Corp. 452,759
---------------
1,271,161
---------------
MULTILINE RETAIL -- 0.7%
80,929 Kohl's Corp. 1,540,888
305,404 Macy's, Inc. (b) 1,850,748
27,130 Nordstrom, Inc. (b) 371,410
4,301 Ollie's Bargain Outlet
Holdings, Inc. (a) 452,035
---------------
4,215,081
---------------
MULTI-UTILITIES -- 1.1%
46,191 Avista Corp. 1,715,072
22,252 Black Hills Corp. 1,287,501
75,789 MDU Resources Group, Inc. 1,590,053
30,834 NorthWestern Corp. 1,734,721
---------------
6,327,347
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS
-- 1.9%
104,484 CVR Energy, Inc. $ 2,006,093
57,568 HollyFrontier Corp. 1,583,120
343,332 Marathon Oil Corp. 1,884,893
152,257 Murphy Oil Corp. 2,011,315
220,018 Ovintiv, Inc. (b) 2,131,974
263,468 WPX Energy, Inc. (a) 1,572,904
---------------
11,190,299
---------------
PERSONAL PRODUCTS -- 0.1%
9,345 Herbalife Nutrition Ltd.
(a) (b) 478,838
---------------
PHARMACEUTICALS -- 1.1%
22,932 Catalent, Inc. (a) 2,002,881
37,802 Horizon Therapeutics PLC (a) 2,313,104
3,808 Jazz Pharmaceuticals PLC (a) 412,216
13,046 MyoKardia, Inc. (a) 1,175,836
15,203 Perrigo Co. PLC 806,063
---------------
6,710,100
---------------
PROFESSIONAL SERVICES -- 1.3%
18,906 ASGN, Inc. (a) 1,294,305
15,575 Exponent, Inc. 1,309,234
11,009 FTI Consulting, Inc. (a) 1,314,915
6,490 Insperity, Inc. 433,921
24,453 ManpowerGroup, Inc. 1,682,122
23,864 Robert Half International,
Inc. 1,213,962
6,895 TriNet Group, Inc. (a) 455,070
---------------
7,703,529
---------------
REAL ESTATE MANAGEMENT
& DEVELOPMENT -- 0.7%
8,093 Howard Hughes (The) Corp. (a) 430,467
20,306 Jones Lang LaSalle, Inc. 2,008,466
110,442 Kennedy-Wilson Holdings, Inc. 1,638,959
---------------
4,077,892
---------------
ROAD & RAIL -- 0.8%
6,954 AMERCO 2,209,494
40,304 Knight-Swift Transportation
Holdings, Inc. 1,752,821
7,484 Landstar System, Inc. 911,402
---------------
4,873,717
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 2.4%
12,048 Cabot Microelectronics Corp. 1,815,875
6,805 Cirrus Logic, Inc. (a) 466,347
44,168 Enphase Energy, Inc. (a) 2,665,981
21,352 Entegris, Inc. 1,535,422
8,487 First Solar, Inc. (a) 505,401
17,884 Inphi Corp. (a) 2,336,723
3,714 MKS Instruments, Inc. 473,312
7,092 Monolithic Power Systems, Inc. 1,879,451
21,205 ON Semiconductor Corp. (a) 436,823
14,231 Power Integrations, Inc. 1,736,609
4,191 Silicon Laboratories, Inc. (a) 421,237
---------------
14,273,181
---------------
SOFTWARE -- 8.7%
15,567 ACI Worldwide, Inc. (a) 417,040
See Notes to Financial Statements Page 41
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
SOFTWARE (CONTINUED)
12,792 Alteryx, Inc., Class A (a) $ 2,244,868
27,823 Anaplan, Inc. (a) 1,263,442
4,058 Aspen Technology, Inc. (a) 394,681
15,786 Avalara, Inc. (a) 2,122,428
25,344 Blackline, Inc. (a) 2,253,335
10,144 CDK Global, Inc. 461,146
165,185 Cloudera, Inc. (a) 1,861,635
20,952 Crowdstrike Holdings, Inc.,
Class A (a) 2,371,766
57,911 Dropbox, Inc., Class A (a) 1,317,475
22,788 Elastic N.V. (a) 2,191,978
17,145 Envestnet, Inc. (a) 1,392,174
12,147 Everbridge, Inc. (a) 1,734,592
18,988 Five9, Inc. (a) 2,294,130
7,580 Guidewire Software, Inc. (a) 891,863
9,369 HubSpot, Inc. (a) 2,198,061
17,845 Manhattan Associates, Inc. (a) 1,709,373
20,173 Mimecast Ltd. (a) 946,719
18,295 New Relic, Inc. (a) 1,297,298
66,427 Nuance Communications,
Inc. (a) 1,816,778
17,730 Nutanix, Inc., Class A (a) 393,429
14,403 Paylocity Holding Corp. (a) 1,918,480
16,617 Pegasystems, Inc. 1,942,361
7,560 Proofpoint, Inc. (a) 874,465
10,807 PTC, Inc. (a) 924,647
19,591 Q2 Holdings, Inc. (a) 1,842,534
12,117 Qualys, Inc. (a) 1,496,207
16,471 Rapid7, Inc. (a) 981,178
19,389 RealPage, Inc. (a) 1,221,701
24,759 Smartsheet, Inc., Class A (a) 1,181,995
47,567 SolarWinds Corp. (a) 873,330
18,989 Zendesk, Inc. (a) 1,730,847
8,284 Zoom Video Communications,
Inc., Class A (a) 2,103,390
19,192 Zscaler, Inc. (a) 2,492,081
---------------
51,157,427
---------------
SPECIALTY RETAIL -- 3.3%
2,952 Advance Auto Parts, Inc. 443,213
22,364 AutoNation, Inc. (a) 1,148,168
17,481 Carvana Co. (a) 2,708,681
20,370 Dick's Sporting Goods, Inc. 929,280
7,863 Five Below, Inc. (a) 856,359
36,449 Floor & Decor Holdings, Inc.,
Class A (a) 2,401,989
57,644 Foot Locker, Inc. 1,694,157
8,329 Lithia Motors, Inc., Class A 1,908,590
11,195 Murphy USA, Inc. (a) 1,482,330
54,281 Penske Automotive Group, Inc. 2,432,875
6,754 RH (a) 1,941,302
15,376 Williams-Sonoma, Inc. 1,339,557
---------------
19,286,501
---------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 1.1%
121,313 NCR Corp. (a) 2,235,799
96,995 Pure Storage, Inc.,
Class A (a) 1,732,331
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS (CONTINUED)
137,422 Xerox Holdings Corp. $ 2,288,076
---------------
6,256,206
---------------
TEXTILES, APPAREL &
LUXURY GOODS -- 1.3%
5,205 Carter's, Inc. 409,738
5,213 Columbia Sportswear Co. 395,354
8,559 Deckers Outdoor Corp. (a) 1,790,971
111,663 Hanesbrands, Inc. 1,577,798
23,181 Ralph Lauren Corp. 1,652,805
40,174 Skechers U.S.A., Inc.,
Class A (a) 1,176,295
34,041 Steven Madden Ltd. 720,988
---------------
7,723,949
---------------
THRIFTS & MORTGAGE FINANCE
-- 1.0%
57,934 Essent Group Ltd. 2,075,775
256,552 MGIC Investment Corp. 2,121,685
123,599 New York Community Bancorp,
Inc. 1,301,497
27,094 Radian Group, Inc. 404,243
---------------
5,903,200
---------------
TRADING COMPANIES
& DISTRIBUTORS -- 1.2%
71,738 Air Lease Corp. 1,880,970
24,258 HD Supply Holdings, Inc. (a) 851,456
17,316 MSC Industrial Direct Co.,
Inc., Class A 1,143,029
18,438 SiteOne Landscape Supply,
Inc. (a) 2,360,617
24,925 Univar Solutions, Inc. (a) 440,425
2,365 Watsco, Inc. 558,306
---------------
7,234,803
---------------
TRANSPORTATION INFRASTRUCTURE
-- 0.2%
41,077 Macquarie Infrastructure Corp. 1,230,667
---------------
WATER UTILITIES -- 0.1%
5,347 American States Water Co. 411,077
---------------
TOTAL COMMON STOCKS
-- 100.0% 589,615,618
(Cost $549,571,977) ---------------
MONEY MARKET FUNDS -- 1.8%
10,256,447 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.10% (c) (d) 10,256,447
648,386 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 0.04% (c) 648,386
---------------
TOTAL MONEY MARKET FUNDS
-- 1.8% 10,904,833
(Cost $10,904,833) ---------------
Page 42 See Notes to Financial Statements
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
DESCRIPTION VALUE
-------------------------------------------------------------
TOTAL INVESTMENTS -- 101.8% $ 600,520,451
(Cost $560,476,810) (e)
NET OTHER ASSETS AND
LIABILITIES -- (1.8)% (10,607,998)
---------------
NET ASSETS -- 100.0% $ 589,912,453
===============
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The remaining contractual
maturity of all of the securities lending transactions is overnight and
continuous. The aggregate value of such securities is $9,766,584 and the
total value of the collateral held by the Fund is $10,256,447.
(c) Rate shown reflects yield as of July 31, 2020.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $562,993,380. As of July
31, 2020, the aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost was $91,124,132 and
the aggregate gross unrealized depreciation for all investments in which
there was an excess of tax cost over value was $53,597,061. The net
unrealized appreciation was $37,527,071.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2020
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
--------------------------------------------
Common Stocks* $ 589,615,618 $ -- $ --
Money Market
Funds 10,904,833 -- --
--------------------------------------------
Total Investments $ 600,520,451 $ -- $ --
============================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
-------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 9,766,584
Non-cash Collateral(2) (9,766,584)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At July 31, 2020, the value of the collateral received from each borrower
exceeded the value of the related securities loaned. This amount is
disclosed on the Portfolio of Investments.
See Notes to Financial Statements Page 43
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
PORTFOLIO OF INVESTMENTS
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 0.9%
47,346 AAR Corp. $ 815,298
3,072 AeroVironment, Inc. (a) 235,162
5,093 Cubic Corp. 213,906
17,644 Kaman Corp. 696,762
31,307 Kratos Defense & Security
Solutions, Inc. (a) 563,839
54,488 Maxar Technologies, Inc. 969,341
---------------
3,494,308
---------------
AIR FREIGHT & LOGISTICS
-- 0.8%
54,929 Air Transport Services Group,
Inc. (a) 1,338,620
14,732 Forward Air Corp. 765,917
20,448 Hub Group, Inc., Class A (a) 1,081,699
---------------
3,186,236
---------------
AIRLINES -- 0.4%
4,480 Allegiant Travel Co. 501,895
87,126 Hawaiian Holdings, Inc. 1,035,928
---------------
1,537,823
---------------
AUTO COMPONENTS -- 1.7%
35,443 Cooper Tire & Rubber Co. 1,100,860
100,350 Dana, Inc. 1,147,001
7,296 Dorman Products, Inc. (a) 596,448
14,808 Fox Factory Holding Corp. (a) 1,317,912
12,578 Gentherm, Inc. (a) 487,649
10,639 LCI Industries 1,338,386
17,815 Standard Motor Products, Inc. 810,226
---------------
6,798,482
---------------
AUTOMOBILES -- 0.3%
18,362 Winnebago Industries, Inc. 1,109,248
---------------
BANKS -- 8.2%
20,629 1st Source Corp. 683,232
10,565 Atlantic Union Bankshares
Corp. 238,452
6,031 BancFirst Corp. 262,710
19,315 Banner Corp. 684,330
88,804 Berkshire Hills Bancorp, Inc. 884,488
142,240 Boston Private Financial
Holdings, Inc. 837,082
48,542 Brookline Bancorp, Inc. 465,760
27,614 Cadence BanCorp 215,665
3,755 City Holding Co. 234,537
15,177 ConnectOne Bancorp, Inc. 209,291
29,882 Eagle Bancorp, Inc. 898,851
7,862 Enterprise Financial Services
Corp. 228,470
29,630 FB Financial Corp. 752,898
39,019 First Bancorp 806,133
175,065 First BanCorp 952,354
39,355 First Busey Corp. 672,970
118,191 First Commonwealth Financial
Corp. 930,163
88,069 First Financial Bancorp 1,225,480
23,707 First Interstate BancSystem,
Inc., Class A 690,111
35,496 First Merchants Corp. 867,167
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
BANKS (CONTINUED)
73,305 First Midwest Bancorp, Inc. $ 889,556
92,937 Fulton Financial Corp. 901,489
23,600 German American Bancorp, Inc. 671,184
29,265 Heartland Financial USA, Inc. 914,239
36,699 Heritage Financial Corp. 694,162
53,040 Hilltop Holdings, Inc. 1,032,689
106,142 Hope Bancorp, Inc. 894,777
3,646 Independent Bank Corp. 235,240
24,151 Independent Bank Group, Inc. 1,060,953
22,923 International Bancshares Corp. 697,318
10,502 Lakeland Financial Corp. 464,818
9,061 National Bank Holdings Corp.,
Class A 251,715
15,907 NBT Bancorp, Inc. 473,870
41,632 OceanFirst Financial Corp. 637,802
36,597 OFG Bancorp 478,689
33,855 Pacific Premier Bancorp, Inc. 711,294
6,952 Park National Corp. 596,203
11,420 Preferred Bank 425,395
29,475 Renasant Corp. 684,704
31,300 S&T Bancorp, Inc. 672,950
11,994 Seacoast Banking Corp. of
Florida (a) 226,447
20,524 ServisFirst Bancshares, Inc. 750,973
71,495 Simmons First National Corp.,
Class A 1,186,102
8,826 Southside Bancshares, Inc. 244,480
51,943 TowneBank 916,275
24,103 TriCo Bancshares 674,884
10,081 Triumph Bancorp, Inc. (a) 264,122
29,933 Trustmark Corp. 674,091
12,159 United Community Banks, Inc. 218,011
27,644 Veritex Holdings, Inc. 462,208
48,185 WesBanco, Inc. 955,509
---------------
32,702,293
---------------
BEVERAGES -- 0.1%
1,066 Coca-Cola Consolidated, Inc. 244,711
4,010 National Beverage Corp.
(a) (b) 257,241
---------------
501,952
---------------
BIOTECHNOLOGY -- 3.8%
10,011 Alector, Inc. (a) 156,872
81,119 Amicus Therapeutics, Inc. (a) 1,172,170
7,772 Arena Pharmaceuticals,
Inc. (a) 477,123
53,339 Athenex, Inc. (a) 565,927
27,620 CareDx, Inc. (a) 921,127
12,755 ChemoCentryx, Inc. (a) 672,316
41,096 Coherus Biosciences, Inc. (a) 722,879
20,235 Denali Therapeutics, Inc. (a) 473,904
38,529 Dicerna Pharmaceuticals,
Inc. (a) 828,374
16,543 Editas Medicine, Inc. (a) 485,702
4,873 Enanta Pharmaceuticals,
Inc. (a) 223,427
4,767 Esperion Therapeutics,
Inc. (a) (b) 179,382
35,654 Fate Therapeutics, Inc. (a) 1,114,901
27,376 Halozyme Therapeutics,
Inc. (a) 744,353
16,632 Heron Therapeutics, Inc. (a) 270,935
44,417 Insmed, Inc. (a) 1,160,172
Page 44 See Notes to Financial Statements
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
BIOTECHNOLOGY (CONTINUED)
40,386 Invitae Corp. (a) (b) $ 1,179,271
47,413 Ironwood Pharmaceuticals,
Inc. (a) 434,777
38,752 Karyopharm Therapeutics,
Inc. (a) 621,970
4,374 Ligand Pharmaceuticals,
Inc. (a) 512,545
19,628 Natera, Inc. (a) 942,537
4,091 Principia Biopharma, Inc. (a) 342,008
37,678 TG Therapeutics, Inc. (a) 737,735
9,445 Veracyte, Inc. (a) 336,903
---------------
15,277,310
---------------
BUILDING PRODUCTS -- 1.8%
13,520 AAON, Inc. 801,060
9,703 American Woodmark Corp. (a) 782,256
201,859 Cornerstone Building Brands,
Inc. (a) 1,144,541
7,080 CSW Industrials, Inc. 472,873
10,192 Gibraltar Industries, Inc. (a) 527,130
26,421 Griffon Corp. 604,248
45,559 JELD-WEN Holding, Inc. (a) 892,956
11,984 Patrick Industries, Inc. 766,377
46,808 PGT Innovations, Inc. (a) 799,013
20,875 Resideo Technologies, Inc. (a) 277,220
---------------
7,067,674
---------------
CAPITAL MARKETS -- 2.0%
22,583 Artisan Partners Asset
Management, Inc., Class A 818,182
178,579 BGC Partners, Inc., Class A 494,664
37,012 Focus Financial Partners,
Inc., Class A (a) 1,367,593
7,263 Hamilton Lane, Inc., Class A 524,679
13,191 Houlihan Lokey, Inc. 722,867
15,702 Moelis & Co., Class A 467,763
8,272 Piper Sandler Cos. 512,119
23,826 PJT Partners, Inc., Class A 1,275,406
8,896 StoneX Group, Inc. (a) 466,862
10,367 Virtu Financial, Inc., Class A 257,102
78,871 Waddell & Reed Financial,
Inc., Class A 1,150,728
---------------
8,057,965
---------------
CHEMICALS -- 2.5%
27,982 Avient Corp. 668,770
19,809 Cabot Corp. 722,632
15,939 Chemours (The) Co. 295,350
20,491 Ferro Corp. (a) 239,540
13,167 GCP Applied Technologies,
Inc. (a) 300,471
16,456 H.B. Fuller Co. 746,115
4,654 Ingevity Corp. (a) 272,166
3,168 Innospec, Inc. 238,139
79,434 Livent Corp. (a) 498,051
26,065 Minerals Technologies, Inc. 1,221,927
85,171 Olin Corp. 957,322
92,409 Orion Engineered Carbons S.A. 942,572
73,913 PQ Group Holdings, Inc. (a) 906,912
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
CHEMICALS (CONTINUED)
4,691 Sensient Technologies Corp. $ 244,917
7,559 Stepan Co. 825,443
33,122 Trinseo S.A. 718,747
---------------
9,799,074
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 2.0%
26,959 ABM Industries, Inc. 967,828
65,533 BrightView Holdings, Inc. (a) 794,260
18,777 Casella Waste Systems, Inc.,
Class A (a) 1,040,434
25,511 Covanta Holding Corp. 251,028
20,004 Healthcare Services Group,
Inc. 523,905
24,009 HNI Corp. 713,067
71,120 KAR Auction Services, Inc. 1,076,046
80,281 Knoll, Inc. 940,090
4,530 McGrath RentCorp 262,831
11,814 SP Plus Corp. (a) 187,724
101,433 Steelcase, Inc., Class A 1,088,376
12,862 Viad Corp. 185,985
---------------
8,031,574
---------------
COMMUNICATIONS EQUIPMENT
-- 0.8%
29,370 CommScope Holding Co.,
Inc. (a) 272,554
26,250 EchoStar Corp., Class A (a) 716,625
165,307 Infinera Corp. (a) 1,304,272
4,321 InterDigital, Inc. 259,346
19,143 NetScout Systems, Inc. (a) 487,381
16,667 Plantronics, Inc. 333,173
---------------
3,373,351
---------------
CONSTRUCTION & ENGINEERING
-- 1.6%
23,191 Arcosa, Inc. 979,124
24,015 Comfort Systems USA, Inc. 1,193,786
11,967 Dycom Industries, Inc. (a) 512,547
101,264 Fluor Corp. 1,031,880
63,912 Granite Construction, Inc. 1,083,947
68,878 Primoris Services Corp. 1,104,114
39,814 WillScot Mobile Mini Holdings
Corp. (a) 599,599
---------------
6,504,997
---------------
CONSTRUCTION MATERIALS -- 0.2%
60,858 Summit Materials, Inc.,
Class A (a) 895,830
---------------
CONSUMER FINANCE -- 0.6%
28,630 Encore Capital Group, Inc. (a) 1,045,854
4,985 Green Dot Corp., Class A (a) 252,690
53,769 LendingClub Corp. (a) 280,674
5,125 Nelnet, Inc., Class A 297,250
12,657 PRA Group, Inc. (a) 500,711
---------------
2,377,179
---------------
CONTAINERS & PACKAGING -- 0.2%
28,441 Greif, Inc., Class A 989,462
---------------
See Notes to Financial Statements Page 45
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
DISTRIBUTORS -- 0.1%
19,608 Core-Mark Holding Co., Inc. $ 520,004
---------------
DIVERSIFIED CONSUMER SERVICES
-- 1.4%
39,269 Adtalem Global Education,
Inc. (a) 1,348,497
3,570 Graham Holdings Co., Class B 1,422,181
122,757 Laureate Education, Inc.,
Class A (a) 1,556,559
46,075 Perdoceo Education Corp. (a) 663,480
28,918 WW International, Inc. (a) 745,506
---------------
5,736,223
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.7%
4,040 ATN International, Inc. 232,825
9,632 Bandwidth, Inc., Class A (a) 1,394,521
97,278 Vonage Holdings Corp. (a) 1,162,472
---------------
2,789,818
---------------
ELECTRIC UTILITIES -- 0.2%
18,922 Otter Tail Corp. 723,766
---------------
ELECTRICAL EQUIPMENT -- 1.8%
17,890 Atkore International Group,
Inc. (a) 477,126
28,514 AZZ, Inc. 900,472
20,046 Encore Wire Corp. 1,006,109
148,998 Plug Power, Inc. (a) (b) 1,148,775
12,407 Sunrun, Inc. (a) 455,213
10,201 Vicor Corp. (a) 831,075
123,563 Vivint Solar, Inc. (a) 2,513,271
---------------
7,332,041
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 2.9%
7,776 Badger Meter, Inc. 486,778
22,652 Benchmark Electronics, Inc. 461,195
36,625 CTS Corp. 727,373
10,385 ePlus, Inc. (a) 774,098
9,129 FARO Technologies, Inc. (a) 546,188
19,891 Insight Enterprises, Inc. (a) 991,367
16,032 Knowles Corp. (a) 244,648
39,131 Methode Electronics, Inc. 1,103,494
69,543 MTS Systems Corp. 1,290,023
3,278 OSI Systems, Inc. (a) 232,607
15,833 PC Connection, Inc. 691,902
6,934 Plexus Corp. (a) 515,127
1,963 Rogers Corp. (a) 233,970
39,083 Sanmina Corp. (a) 1,159,983
82,514 TTM Technologies, Inc. (a) 1,015,747
64,088 Vishay Intertechnology, Inc. 1,005,541
---------------
11,480,041
---------------
ENERGY EQUIPMENT & SERVICES
-- 1.5%
150,788 Archrock, Inc. 1,004,248
11,858 Cactus, Inc., Class A 268,228
8,212 Dril-Quip, Inc. (a) 273,377
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES
(CONTINUED)
352,526 Helix Energy Solutions Group,
Inc. (a) $ 1,477,084
299,576 NexTier Oilfield Solutions,
Inc. (a) 754,932
211,515 Patterson-UTI Energy, Inc. 819,621
237,990 ProPetro Holding Corp. (a) 1,278,006
---------------
5,875,496
---------------
ENTERTAINMENT -- 0.1%
5,630 World Wrestling Entertainment,
Inc., Class A 262,414
---------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 4.8%
20,071 Alexander & Baldwin, Inc. 237,239
11,964 Community Healthcare Trust,
Inc. 547,114
130,692 CoreCivic, Inc. 1,164,466
221,205 DiamondRock Hospitality Co. 1,021,967
221,157 Diversified Healthcare Trust 861,407
21,164 Easterly Government
Properties, Inc. 517,460
139,801 Empire State Realty Trust,
Inc., Class A 922,687
20,054 Four Corners Property Trust,
Inc. 505,361
82,722 GEO Group (The), Inc. 879,335
16,486 Getty Realty Corp. 488,480
14,624 Global Net Lease, Inc. 243,490
21,293 Independence Realty Trust,
Inc. 244,869
35,715 Industrial Logistics
Properties Trust 753,944
5,559 Innovative Industrial
Properties, Inc. 579,415
99,292 iStar, Inc. 1,152,780
12,990 LTC Properties, Inc. 482,578
33,768 Monmouth Real Estate
Investment Corp. 487,272
8,537 National Storage Affiliates
Trust 263,110
20,763 NexPoint Residential Trust,
Inc. 793,769
18,840 Office Properties Income Trust 473,826
129,583 RLJ Lodging Trust 1,037,960
175,756 RPT Realty 1,093,202
4,256 Safehold, Inc. 214,630
120,816 SITE Centers Corp. 885,581
206,284 Summit Hotel Properties, Inc. 1,068,551
68,627 Tanger Factory Outlet Centers,
Inc. (b) 441,272
104,665 Uniti Group, Inc. 1,036,184
104,888 Xenia Hotels & Resorts, Inc. 834,908
---------------
19,232,857
---------------
FOOD & STAPLES RETAILING
-- 0.6%
18,015 Chefs' Warehouse (The),
Inc. (a) 207,713
8,111 PriceSmart, Inc. 530,216
19,121 Sprouts Farmers Market,
Inc. (a) 504,412
19,526 Weis Markets, Inc. 972,785
---------------
2,215,126
---------------
Page 46 See Notes to Financial Statements
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
FOOD PRODUCTS -- 1.0%
20,071 B&G Foods, Inc. (b) $ 580,253
3,890 Calavo Growers, Inc. 224,725
39,749 Fresh Del Monte Produce, Inc. 897,532
11,698 Freshpet, Inc. (a) 1,123,593
40,042 Hostess Brands, Inc. (a) 507,732
13,167 Simply Good Foods (The)
Co. (a) 316,535
7,140 Tootsie Roll Industries,
Inc. (b) 226,338
---------------
3,876,708
---------------
GAS UTILITIES -- 0.1%
5,825 Chesapeake Utilities Corp. 492,154
---------------
HEALTH CARE EQUIPMENT
& SUPPLIES -- 2.0%
48,414 Accelerate Diagnostics,
Inc. (a) (b) 703,456
21,772 AtriCure, Inc. (a) 888,515
8,324 Avanos Medical, Inc. (a) 255,297
27,873 Axonics Modulation
Technologies, Inc. (a) 1,180,700
6,887 Inogen, Inc. (a) 211,431
10,556 iRhythm Technologies, Inc. (a) 1,314,011
15,494 Shockwave Medical, Inc. (a) 764,164
17,522 Silk Road Medical, Inc. (a) 814,072
19,878 STAAR Surgical Co. (a) 1,156,701
32,298 Varex Imaging Corp. (a) 506,433
---------------
7,794,780
---------------
HEALTH CARE PROVIDERS &
SERVICES -- 2.0%
16,242 BioTelemetry, Inc. (a) 691,259
6,902 CorVel Corp. (a) 548,640
17,537 Ensign Group (The), Inc. 806,527
14,774 Hanger, Inc. (a) 257,954
10,057 Magellan Health, Inc. (a) 745,928
7,713 National HealthCare Corp. 457,535
8,406 National Research Corp. 480,739
7,138 Premier, Inc., Class A (a) 249,616
87,768 R1 RCM, Inc. (a) 1,199,789
77,080 RadNet, Inc. (a) 1,224,801
86,375 Tivity Health, Inc. (a) 1,133,240
---------------
7,796,028
---------------
HEALTH CARE TECHNOLOGY -- 1.1%
36,139 Allscripts Healthcare
Solutions, Inc. (a) 325,251
22,659 HMS Holdings Corp. (a) 736,417
38,109 Inovalon Holdings, Inc.,
Class A (a) 896,705
11,246 Inspire Medical Systems,
Inc. (a) 1,117,403
44,563 NextGen Healthcare, Inc. (a) 651,511
13,412 Tabula Rasa HealthCare,
Inc. (a) (b) 753,754
---------------
4,481,041
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE
-- 2.4%
22,950 Bloomin' Brands, Inc. $ 264,384
30,582 Brinker International, Inc. 822,350
36,708 Dave & Buster's Entertainment,
Inc. (b) 452,977
11,622 Dine Brands Global, Inc. 527,987
37,543 Hilton Grand Vacations,
Inc. (a) 762,123
16,511 Jack in the Box, Inc. 1,355,718
15,405 Papa John's International,
Inc. 1,458,391
135,168 Playa Hotels & Resorts
N.V. (a) 490,660
31,650 Scientific Games Corp. (a) 556,091
16,520 SeaWorld Entertainment,
Inc. (a) 239,044
9,236 Shake Shack, Inc., Class A (a) 448,408
43,904 Twin River Worldwide Holdings,
Inc. 946,570
8,802 Wingstop, Inc. 1,375,313
---------------
9,700,016
---------------
HOUSEHOLD DURABLES -- 4.0%
5,074 Cavco Industries, Inc. (a) 1,016,474
39,898 Century Communities, Inc. (a) 1,421,167
17,786 Installed Building Products,
Inc. (a) 1,407,050
2,915 iRobot Corp. (a) 211,891
27,123 La-Z-Boy, Inc. 771,921
13,896 LGI Homes, Inc. (a) 1,585,672
34,266 M.D.C. Holdings, Inc. 1,536,145
35,519 M/I Homes, Inc. (a) 1,478,656
16,071 Meritage Homes Corp. (a) 1,593,922
30,155 Skyline Champion Corp. (a) 851,276
83,614 Sonos, Inc. (a) 1,337,824
50,732 Taylor Morrison Home Corp. (a) 1,189,665
83,273 TRI Pointe Group, Inc. (a) 1,392,325
---------------
15,793,988
---------------
HOUSEHOLD PRODUCTS -- 0.2%
14,481 Central Garden & Pet Co.,
Class A (a) 501,767
2,468 WD-40 Co. 485,085
---------------
986,852
---------------
INDEPENDENT POWER AND
RENEWABLE ELECTRICITY
PRODUCERS -- 0.2%
31,829 Clearway Energy, Inc., Class C 781,084
---------------
INDUSTRIAL CONGLOMERATES
-- 0.1%
22,748 Raven Industries, Inc. 491,584
---------------
INSURANCE -- 3.9%
49,504 American Equity Investment
Life Holding Co. 1,259,877
7,025 Argo Group International
Holdings Ltd. 235,408
78,566 CNO Financial Group, Inc. 1,186,346
7,470 eHealth, Inc. (a) 516,476
24,344 Employers Holdings, Inc. 791,667
20,450 FBL Financial Group, Inc.,
Class A 711,251
26,643 Horace Mann Educators Corp. 1,001,244
See Notes to Financial Statements Page 47
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
7,881 Kinsale Capital Group, Inc. $ 1,536,007
6,004 Mercury General Corp. 257,631
56,606 National General Holdings
Corp. 1,924,038
4,816 National Western Life Group,
Inc., Class A 938,109
14,265 Palomar Holdings, Inc. (a) 1,302,965
16,908 ProAssurance Corp. 248,547
6,416 Safety Insurance Group, Inc. 485,499
37,627 Stewart Information Services
Corp. 1,578,453
32,578 Third Point Reinsurance
Ltd. (a) 253,782
28,654 Trupanion, Inc. (a) 1,449,033
---------------
15,676,333
---------------
INTERACTIVE MEDIA & SERVICES
-- 0.1%
10,578 Yelp, Inc. (a) 264,238
---------------
INTERNET & DIRECT MARKETING
RETAIL -- 1.0%
21,898 Chewy, Inc., Class A (a) 1,149,426
66,845 Quotient Technology, Inc. (a) 535,429
38,258 RealReal (The), Inc. (a) 521,839
6,997 Shutterstock, Inc. 380,217
1,332 Stamps.com, Inc. (a) 346,693
39,240 Stitch Fix, Inc.,
Class A (a) (b) 869,166
---------------
3,802,770
---------------
IT SERVICES -- 2.0%
11,822 CSG Systems International,
Inc. 498,061
17,412 EVERTEC, Inc. 540,643
10,717 Evo Payments, Inc.,
Class A (a) 243,169
11,576 ExlService Holdings, Inc. (a) 741,559
10,717 ManTech International Corp.,
Class A 745,689
21,312 NIC, Inc. 467,159
20,514 Perficient, Inc. (a) 804,354
27,459 Switch, Inc., Class A 493,987
35,381 Sykes Enterprises, Inc. (a) 971,562
21,018 TTEC Holdings, Inc. 997,514
71,397 Verra Mobility Corp. (a) 730,391
15,070 Virtusa Corp. (a) 611,842
---------------
7,845,930
---------------
LEISURE PRODUCTS -- 1.0%
28,129 Acushnet Holdings Corp. 1,070,308
69,861 Callaway Golf Co. 1,330,852
23,547 Malibu Boats, Inc.,
Class A (a) 1,384,093
---------------
3,785,253
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 0.2%
16,672 NanoString Technologies,
Inc. (a) 602,026
---------------
MACHINERY -- 3.9%
7,152 Alamo Group, Inc. 737,443
4,168 Albany International Corp.,
Class A 200,398
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MACHINERY (CONTINUED)
7,679 Altra Industrial Motion Corp. $ 262,852
10,567 Astec Industries, Inc. 470,126
10,091 Chart Industries, Inc. (a) 691,536
14,890 EnPro Industries, Inc. 710,700
2,895 ESCO Technologies, Inc. 248,796
65,768 Evoqua Water Technologies
Corp. (a) 1,264,719
24,687 Federal Signal Corp. 763,075
9,316 Franklin Electric Co., Inc. 503,530
15,743 Gorman-Rupp (The) Co. 476,383
9,820 Kadant, Inc. 1,065,568
8,522 Kennametal, Inc. 229,753
2,653 Lindsay Corp. 257,261
49,425 Meritor, Inc. (a) 1,124,419
27,614 Mueller Industries, Inc. 772,087
77,833 Mueller Water Products, Inc.,
Class A 787,670
17,835 SPX Corp. (a) 749,070
7,527 Tennant Co. 501,449
39,104 Terex Corp. 737,110
51,075 TriMas Corp. (a) 1,195,155
57,457 Trinity Industries, Inc. 1,122,135
80,346 Welbilt, Inc. (a) 488,504
---------------
15,359,739
---------------
MARINE -- 0.3%
33,629 Matson, Inc. 1,224,768
---------------
MEDIA -- 1.6%
52,299 AMC Networks, Inc.,
Class A (a) 1,208,107
17,480 Cardlytics, Inc. (a) (b) 1,161,021
70,152 Gray Television, Inc. (a) 1,005,980
146,499 iHeartMedia, Inc.,
Class A (a) (b) 1,224,732
16,343 Scholastic Corp. 391,088
66,265 Sinclair Broadcast Group,
Inc., Class A (b) 1,365,059
---------------
6,355,987
---------------
METALS & MINING -- 2.3%
21,767 Alcoa Corp. (a) 282,971
120,047 Allegheny Technologies,
Inc. (a) 1,043,208
50,381 Carpenter Technology Corp. 1,126,519
177,286 Cleveland-Cliffs, Inc. (b) 918,342
96,321 Coeur Mining, Inc. (a) 763,826
59,965 Commercial Metals Co. 1,240,076
10,036 Compass Minerals
International, Inc. 511,234
74,817 Hecla Mining Co. 412,990
9,970 Kaiser Aluminum Corp. 617,642
7,958 Materion Corp. 456,948
79,484 Warrior Met Coal, Inc. 1,265,385
13,119 Worthington Industries, Inc. 490,913
---------------
9,130,054
---------------
MORTGAGE REAL ESTATE
INVESTMENT TRUSTS -- 0.7%
26,478 Arbor Realty Trust, Inc. 269,811
34,852 Colony Credit Real Estate,
Inc. 219,568
Page 48 See Notes to Financial Statements
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MORTGAGE REAL ESTATE
INVESTMENT TRUSTS
(CONTINUED)
34,074 Granite Point Mortgage Trust,
Inc. $ 231,362
8,595 Hannon Armstrong Sustainable
Infrastructure Capital,
Inc. 301,083
29,512 KKR Real Estate Finance Trust,
Inc. 491,375
120,816 Ladder Capital Corp. 938,740
13,957 PennyMac Mortgage
Investment Trust 263,089
---------------
2,715,028
---------------
MULTILINE RETAIL -- 0.5%
29,126 Big Lots, Inc. 1,145,817
37,946 Dillard's, Inc., Class A (b) 893,628
---------------
2,039,445
---------------
OIL, GAS & CONSUMABLE FUELS
-- 2.5%
1,063,712 Callon Petroleum Co. (a) (b) 1,212,632
84,850 CNX Resources Corp. (a) 818,802
14,053 Delek US Holdings, Inc. 245,646
20,559 EQT Corp. 298,517
29,441 Equitrans Midstream Corp. 284,106
294,763 Kosmos Energy Ltd. 474,568
143,915 Matador Resources Co. (a) (b) 1,249,182
78,667 PDC Energy, Inc. (a) 1,121,791
49,365 Renewable Energy Group,
Inc. (a) 1,361,487
260,964 SM Energy Co. 769,844
132,965 Talos Energy, Inc. (a) 905,492
47,488 World Fuel Services Corp. 1,117,393
---------------
9,859,460
---------------
PAPER & FOREST PRODUCTS
-- 1.0%
19,516 Boise Cascade Co. 909,250
57,948 Domtar Corp. 1,216,329
19,787 Neenah, Inc. 882,698
29,292 Schweitzer-Mauduit
International, Inc. 952,869
---------------
3,961,146
---------------
PERSONAL PRODUCTS -- 0.8%
8,815 Medifast, Inc. 1,473,251
25,599 Nu Skin Enterprises, Inc.,
Class A 1,148,115
6,663 USANA Health Sciences,
Inc. (a) 540,902
---------------
3,162,268
---------------
PHARMACEUTICALS -- 1.6%
14,588 Arvinas, Inc. (a) 459,522
72,727 Corcept Therapeutics, Inc. (a) 1,087,269
71,328 Endo International PLC (a) 248,221
35,002 Innoviva, Inc. (a) 474,102
37,181 NGM Biopharmaceuticals,
Inc. (a) 680,041
18,652 Pacira BioSciences, Inc. (a) 981,282
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
PHARMACEUTICALS (CONTINUED)
13,027 Prestige Consumer Healthcare,
Inc. (a) $ 484,474
30,055 Revance Therapeutics, Inc. (a) 705,691
41,205 Supernus Pharmaceuticals,
Inc. (a) 917,429
23,312 Theravance Biopharma, Inc. (a) 452,719
---------------
6,490,750
---------------
PROFESSIONAL SERVICES -- 0.7%
30,619 CBIZ, Inc. (a) 740,367
5,529 Huron Consulting Group,
Inc. (a) 263,844
11,321 ICF International, Inc. 765,413
31,846 Korn Ferry 894,873
---------------
2,664,497
---------------
REAL ESTATE MANAGEMENT
& DEVELOPMENT -- 1.0%
64,895 Forestar Group, Inc. (a) 1,123,332
25,432 Marcus & Millichap, Inc. (a) 692,768
50,339 Newmark Group, Inc., Class A 204,880
29,187 Redfin Corp. (a) 1,213,596
37,794 St Joe (The) Co. (a) 778,934
---------------
4,013,510
---------------
ROAD & RAIL -- 1.6%
21,376 Avis Budget Group, Inc. (a) 553,638
35,253 Heartland Express, Inc. 715,107
38,895 Marten Transport Ltd. 1,035,385
26,089 Ryder System, Inc. 955,640
11,004 Saia, Inc. (a) 1,314,428
29,750 Schneider National, Inc.,
Class B 747,618
22,482 Werner Enterprises, Inc. 988,871
---------------
6,310,687
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 2.9%
14,435 Advanced Energy Industries,
Inc. (a) 1,061,983
99,372 Amkor Technology, Inc. (a) 1,350,962
56,438 Cohu, Inc. 1,062,728
9,651 Diodes, Inc. (a) 496,544
33,366 FormFactor, Inc. (a) 962,275
34,470 Lattice Semiconductor
Corp. (a) 1,071,672
28,489 MACOM Technology Solutions
Holdings, Inc. (a) 1,203,945
7,186 Onto Innovation, Inc. (a) 271,775
48,287 Rambus, Inc. (a) 712,716
95,817 SunPower Corp. (a) (b) 893,973
8,140 Synaptics, Inc. (a) 651,363
54,055 Ultra Clean Holdings, Inc. (a) 1,626,515
---------------
11,366,451
---------------
SOFTWARE -- 5.7%
32,225 2U, Inc. (a) 1,517,636
30,582 8x8, Inc. (a) 486,254
18,874 Alarm.com Holdings, Inc. (a) 1,321,935
18,465 Altair Engineering, Inc.,
Class A (a) 744,139
See Notes to Financial Statements Page 49
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
SOFTWARE (CONTINUED)
7,518 Appfolio, Inc., Class A (a) $ 1,046,656
19,096 Appian Corp. (a) (b) 971,414
14,456 Bottomline Technologies DE,
Inc. (a) 697,647
47,139 Box, Inc., Class A (a) 846,145
54,708 Ebix, Inc. (b) 1,206,585
29,526 LivePerson, Inc. (a) 1,269,027
2,067 MicroStrategy, Inc.,
Class A (a) 256,143
21,115 Model N, Inc. (a) 812,083
25,644 PagerDuty, Inc. (a) 781,629
40,663 Pluralsight, Inc., Class A (a) 860,836
12,627 Progress Software Corp. 440,177
11,012 PROS Holdings, Inc. (a) 359,322
36,972 Sailpoint Technologies
Holdings, Inc. (a) 1,164,618
13,027 SPS Commerce, Inc. (a) 979,240
51,965 SVMK, Inc. (a) 1,246,121
32,829 Tenable Holdings, Inc. (a) 1,113,888
23,524 Teradata Corp. (a) 494,004
21,115 Upland Software, Inc. (a) 726,778
5,530 Varonis Systems, Inc. (a) 599,175
18,295 Workiva, Inc. (a) 1,022,690
58,917 Yext, Inc. (a) 990,984
57,566 Zuora, Inc., Class A (a) 670,068
---------------
22,625,194
---------------
SPECIALTY RETAIL -- 2.2%
22,994 Abercrombie & Fitch Co.,
Class A 221,432
9,491 Asbury Automotive Group,
Inc. (a) 950,524
22,695 Boot Barn Holdings, Inc. (a) 439,375
18,542 Group 1 Automotive, Inc. 1,557,899
25,301 Guess?, Inc. 261,612
4,454 Monro, Inc. 250,760
8,017 National Vision Holdings,
Inc. (a) 256,464
43,970 Rent-A-Center, Inc. 1,271,612
39,051 Sally Beauty Holdings,
Inc. (a) 453,382
95,289 Signet Jewelers Ltd. (b) 1,023,404
29,377 Sleep Number Corp. (a) 1,366,031
48,223 Urban Outfitters, Inc. (a) 797,609
---------------
8,850,104
---------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 0.2%
25,853 Super Micro Computer, Inc. (a) 783,475
---------------
TEXTILES, APPAREL &
LUXURY GOODS -- 0.7%
33,223 Crocs, Inc. (a) 1,194,035
92,045 G-III Apparel Group Ltd. (a) 910,325
30,826 Wolverine World Wide, Inc. 741,057
---------------
2,845,417
---------------
THRIFTS & MORTGAGE FINANCE
-- 2.5%
33,241 Axos Financial, Inc. (a) 744,931
22,222 Capitol Federal Financial,
Inc. 214,442
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
THRIFTS & MORTGAGE FINANCE
(CONTINUED)
17,533 Columbia Financial, Inc. (a) $ 210,922
33,253 Flagstar Bancorp, Inc. 1,043,479
98,334 Mr. Cooper Group, Inc. (a) 1,605,794
15,215 NMI Holdings, Inc.,
Class A (a) 236,137
47,854 Northwest Bancshares, Inc. 471,362
29,272 PennyMac Financial Services,
Inc. 1,412,667
27,691 Premier Financial Corp. 489,577
67,724 Provident Financial Services,
Inc. 924,433
24,074 Walker & Dunlop, Inc. 1,213,570
9,116 Washington Federal, Inc. 212,767
34,098 WSFS Financial Corp. 972,816
---------------
9,752,897
---------------
TOBACCO -- 0.4%
28,775 Universal Corp. 1,213,154
48,638 Vector Group Ltd. 428,987
---------------
1,642,141
---------------
TRADING COMPANIES
& DISTRIBUTORS -- 2.7%
27,833 Beacon Roofing Supply,
Inc. (a) 867,276
38,927 BMC Stock Holdings, Inc. (a) 996,531
20,061 GATX Corp. 1,223,520
19,899 GMS, Inc. (a) 466,234
39,716 H&E Equipment Services, Inc. 698,605
31,846 Herc Holdings, Inc. (a) 1,068,115
165,586 MRC Global, Inc. (a) 985,237
29,504 Rush Enterprises, Inc.,
Class A 1,403,800
23,822 Systemax, Inc. 533,851
40,452 Triton International Ltd. 1,273,024
34,842 WESCO International, Inc. (a) 1,354,309
---------------
10,870,502
---------------
WATER UTILITIES -- 0.2%
5,129 California Water Service Group 240,396
3,641 Middlesex Water Co. 233,243
3,939 SJW Group 246,030
---------------
719,669
---------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.7%
4,963 Shenandoah
Telecommunications Co. 249,490
61,533 Telephone and Data Systems,
Inc. 1,194,971
39,627 United States Cellular
Corp. (a) 1,175,733
---------------
2,620,194
---------------
TOTAL COMMON STOCKS
-- 100.0% 397,406,712
(Cost $368,089,046) ---------------
Page 50 See Notes to Financial Statements
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MONEY MARKET FUNDS -- 3.4%
13,511,982 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.10% (c) (d) $ 13,511,982
212,931 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 0.04% (c) 212,931
---------------
TOTAL MONEY MARKET FUNDS
-- 3.4% 13,724,913
(Cost $13,724,913) ---------------
TOTAL INVESTMENTS -- 103.4% 411,131,625
(Cost $381,813,959) (e)
NET OTHER ASSETS AND
LIABILITIES -- (3.4)% (13,661,226)
---------------
NET ASSETS -- 100.0% $ 397,470,399
===============
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The remaining contractual
maturity of all of the securities lending transactions is overnight and
continuous. The aggregate value of such securities is $12,801,455 and the
total value of the collateral held by the Fund is $13,511,982.
(c) Rate shown reflects yield as of July 31, 2020.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $385,023,229. As of July
31, 2020, the aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost was $61,653,209 and
the aggregate gross unrealized depreciation for all investments in which
there was an excess of tax cost over value was $35,544,813. The net
unrealized appreciation was $26,108,396.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2020
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
--------------------------------------------
Common Stocks* $ 397,406,712 $ -- $ --
Money Market
Funds 13,724,913 -- --
--------------------------------------------
Total Investments $ 411,131,625 $ -- $ --
============================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
-------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 12,801,455
Non-cash Collateral(2) (12,801,455)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At July 31, 2020, the value of the collateral received from each borrower
exceeded the value of the related securities loaned. This amount is
disclosed on the Portfolio of Investments.
See Notes to Financial Statements Page 51
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA)
PORTFOLIO OF INVESTMENTS
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.7%
AEROSPACE & DEFENSE -- 2.1%
21,162 General Dynamics Corp. $ 3,105,312
18,126 Huntington Ingalls Industries,
Inc. 3,148,667
17,110 Raytheon Technologies Corp. 969,795
164,508 Textron, Inc. 5,747,910
---------------
12,971,684
---------------
AIR FREIGHT & LOGISTICS
-- 0.4%
13,865 Expeditors International of
Washington, Inc. 1,171,731
9,483 United Parcel Service, Inc.,
Class B 1,353,793
---------------
2,525,524
---------------
AIRLINES -- 2.2%
193,012 Delta Air Lines, Inc. 4,819,510
126,716 Southwest Airlines Co. 3,914,257
156,428 United Airlines Holdings,
Inc. (a) 4,908,711
---------------
13,642,478
---------------
AUTO COMPONENTS -- 0.9%
69,481 Aptiv PLC 5,402,148
---------------
AUTOMOBILES -- 0.9%
213,991 General Motors Co. 5,326,236
---------------
BANKS -- 8.9%
133,175 Bank of America Corp. 3,313,394
105,949 Citigroup, Inc. 5,298,509
214,500 Citizens Financial Group, Inc. 5,321,745
224,646 Fifth Third Bancorp 4,461,469
479,378 Huntington Bancshares, Inc. 4,443,834
355,598 KeyCorp 4,270,732
41,658 M&T Bank Corp. 4,413,665
41,167 PNC Financial Services Group
(The), Inc. 4,391,284
486,868 Regions Financial Corp. 5,287,386
10,048 SVB Financial Group (a) 2,253,465
84,232 Truist Financial Corp. 3,155,331
85,902 U.S. Bancorp 3,164,630
211,483 Wells Fargo & Co. 5,130,578
---------------
54,906,022
---------------
BEVERAGES -- 0.6%
92,052 Molson Coors Beverage Co.,
Class B 3,453,791
---------------
BIOTECHNOLOGY -- 1.9%
38,588 Alexion Pharmaceuticals,
Inc. (a) 3,954,884
20,235 Biogen, Inc. (a) 5,558,352
13,703 Gilead Sciences, Inc. 952,770
1,690 Regeneron Pharmaceuticals,
Inc. (a) 1,068,198
---------------
11,534,204
---------------
CAPITAL MARKETS -- 4.7%
21,080 Ameriprise Financial, Inc. 3,238,520
112,062 Bank of New York Mellon (The)
Corp. 4,017,423
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
CAPITAL MARKETS (CONTINUED)
31,248 Charles Schwab (The) Corp. $ 1,035,871
258,177 Franklin Resources, Inc. 5,434,626
16,005 Goldman Sachs Group (The),
Inc. 3,168,350
89,673 Morgan Stanley 4,383,216
45,952 Raymond James Financial, Inc. 3,192,745
68,154 State Street Corp. 4,347,544
---------------
28,818,295
---------------
CHEMICALS -- 1.8%
36,633 Celanese Corp. 3,560,728
8,609 International Flavors &
Fragrances, Inc. (b) 1,084,303
82,380 LyondellBasell Industries
N.V., Class A 5,150,398
9,940 PPG Industries, Inc. 1,070,041
---------------
10,865,470
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 0.5%
26,394 Republic Services, Inc. 2,302,877
9,955 Waste Management, Inc. 1,091,068
---------------
3,393,945
---------------
COMMUNICATIONS EQUIPMENT
-- 0.2%
22,605 Cisco Systems, Inc. 1,064,695
---------------
CONSUMER FINANCE -- 3.0%
273,019 Ally Financial, Inc. 5,487,682
69,199 Capital One Financial Corp. 4,414,896
63,144 Discover Financial Services 3,121,208
244,313 Synchrony Financial 5,406,647
---------------
18,430,433
---------------
CONTAINERS & PACKAGING -- 1.5%
18,982 Avery Dennison Corp. 2,151,420
61,505 International Paper Co. 2,139,759
191,577 WestRock Co. 5,145,758
---------------
9,436,937
---------------
DISTRIBUTORS -- 0.9%
12,124 Genuine Parts Co. 1,092,979
165,312 LKQ Corp. (a) 4,660,145
---------------
5,753,124
---------------
DIVERSIFIED FINANCIAL SERVICES
-- 1.1%
5,906 Berkshire Hathaway, Inc.,
Class B (a) 1,156,277
280,662 Equitable Holdings, Inc. 5,742,344
---------------
6,898,621
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 2.2%
179,093 AT&T, Inc. 5,297,571
539,778 CenturyLink, Inc. 5,208,858
57,372 Verizon Communications, Inc. 3,297,742
---------------
13,804,171
---------------
Page 52 See Notes to Financial Statements
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ELECTRIC UTILITIES -- 5.3%
45,267 Alliant Energy Corp. $ 2,437,628
27,192 American Electric Power Co.,
Inc. 2,362,441
54,214 Duke Energy Corp. 4,594,094
58,238 Edison International 3,242,110
12,661 Eversource Energy 1,140,376
149,186 Exelon Corp. 5,760,071
59,096 Pinnacle West Capital Corp. 4,909,696
209,519 PPL Corp. 5,577,396
34,650 Xcel Energy, Inc. 2,392,236
---------------
32,416,048
---------------
ELECTRICAL EQUIPMENT -- 0.9%
36,156 Eaton Corp. PLC 3,367,208
34,912 Emerson Electric Co. 2,164,893
---------------
5,532,101
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 0.2%
40,707 Corning, Inc. 1,261,917
---------------
ENTERTAINMENT -- 0.5%
23,952 Electronic Arts, Inc. (a) 3,392,082
---------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 2.1%
501,758 Host Hotels & Resorts, Inc. 5,408,951
22,974 Regency Centers Corp. 942,623
31,670 Simon Property Group, Inc. 1,974,625
118,274 Ventas, Inc. 4,536,991
---------------
12,863,190
---------------
FOOD & STAPLES RETAILING
-- 1.6%
127,952 Kroger (The) Co. 4,451,450
102,174 Walgreens Boots Alliance, Inc. 4,159,503
8,802 Walmart, Inc. 1,138,979
---------------
9,749,932
---------------
FOOD PRODUCTS -- 3.5%
108,551 Archer-Daniels-Midland Co. 4,649,239
61,575 Conagra Brands, Inc. 2,305,984
17,101 General Mills, Inc. 1,081,980
21,842 Hormel Foods Corp. 1,110,884
29,892 J.M. Smucker (The) Co. 3,268,690
67,908 Kraft Heinz (The) Co. 2,334,677
20,620 Mondelez International, Inc.,
Class A 1,144,204
90,671 Tyson Foods, Inc., Class A 5,571,733
---------------
21,467,391
---------------
GAS UTILITIES -- 0.4%
21,747 Atmos Energy Corp. 2,304,965
---------------
HEALTH CARE EQUIPMENT
& SUPPLIES -- 0.4%
18,497 Hologic, Inc. (a) 1,290,721
11,497 Medtronic PLC 1,109,230
---------------
2,399,951
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
HEALTH CARE PROVIDERS &
SERVICES -- 5.9%
10,463 AmerisourceBergen Corp. $ 1,048,288
8,235 Anthem, Inc. 2,254,743
41,494 Cardinal Health, Inc. 2,266,402
16,855 Cigna Corp. 2,910,690
66,664 CVS Health Corp. 4,195,832
39,966 DaVita, Inc. (a) 3,492,629
32,587 HCA Healthcare, Inc. 4,126,818
54,168 Henry Schein, Inc. (a) 3,722,967
5,585 Humana, Inc. 2,191,833
19,003 Quest Diagnostics, Inc. 2,414,711
3,574 UnitedHealth Group, Inc. 1,082,136
58,284 Universal Health Services,
Inc., Class B 6,405,411
---------------
36,112,460
---------------
HEALTH CARE TECHNOLOGY -- 0.2%
15,380 Cerner Corp. 1,068,141
---------------
HOTELS, RESTAURANTS & LEISURE
-- 2.7%
95,950 Aramark 2,026,464
329,718 Carnival Corp. (b) 4,576,486
47,554 Las Vegas Sands Corp. 2,075,257
322,260 MGM Resorts International 5,185,163
62,880 Royal Caribbean Cruises Ltd. 3,062,885
---------------
16,926,255
---------------
HOUSEHOLD DURABLES -- 3.0%
78,110 D.R. Horton, Inc. 5,167,758
87,861 Lennar Corp., Class A 6,356,743
159,094 PulteGroup, Inc. 6,936,498
---------------
18,460,999
---------------
HOUSEHOLD PRODUCTS -- 0.8%
13,639 Church & Dwight Co., Inc. 1,313,845
14,391 Colgate-Palmolive Co. 1,110,985
7,459 Kimberly-Clark Corp. 1,134,066
8,817 Procter & Gamble (The) Co. 1,156,085
---------------
4,714,981
---------------
INDEPENDENT POWER AND
RENEWABLE ELECTRICITY
PRODUCERS -- 0.9%
290,761 Vistra Corp. 5,425,600
---------------
INDUSTRIAL CONGLOMERATES
-- 0.8%
6,759 3M Co. 1,017,027
634,140 General Electric Co. 3,849,230
---------------
4,866,257
---------------
INSURANCE -- 7.9%
87,785 Aflac, Inc. 3,122,513
44,656 Allstate (The) Corp. 4,215,080
173,636 American International Group,
Inc. 5,580,661
17,103 Chubb Ltd. 2,176,186
15,339 Everest Re Group Ltd. 3,356,020
141,265 Fidelity National Financial,
Inc. 4,571,335
42,609 Globe Life, Inc. 3,391,676
85,971 Lincoln National Corp. 3,204,139
See Notes to Financial Statements Page 53
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
148,247 MetLife, Inc. $ 5,611,149
76,141 Principal Financial Group,
Inc. 3,230,663
27,033 Progressive (The) Corp. 2,442,161
71,120 Prudential Financial, Inc. 4,506,874
27,733 Travelers (The) Cos., Inc. 3,173,210
---------------
48,581,667
---------------
INTERNET & DIRECT MARKETING
RETAIL -- 0.7%
82,577 eBay, Inc. 4,564,857
---------------
IT SERVICES -- 1.1%
55,665 Cognizant Technology Solutions
Corp., Class A 3,803,033
26,189 International Business
Machines Corp. 3,219,675
---------------
7,022,708
---------------
LEISURE PRODUCTS -- 0.3%
28,894 Hasbro, Inc. 2,102,327
---------------
MACHINERY -- 3.0%
18,255 Cummins, Inc. 3,527,961
13,780 Deere & Co. 2,429,552
22,427 Dover Corp. 2,308,411
57,865 PACCAR, Inc. 4,923,154
11,816 Parker-Hannifin Corp. 2,114,119
7,564 Stanley Black & Decker, Inc. 1,159,713
37,617 Westinghouse Air Brake
Technologies Corp. 2,339,401
---------------
18,802,311
---------------
MEDIA -- 2.8%
81,142 Comcast Corp., Class A 3,472,877
256,586 Discovery, Inc.,
Class A (a) (b) 5,413,965
91,652 DISH Network Corp.,
Class A (a) 2,942,946
39,663 Omnicom Group, Inc. 2,131,093
135,630 ViacomCBS, Inc., Class B 3,535,874
---------------
17,496,755
---------------
METALS & MINING -- 1.7%
87,690 Newmont Corp. 6,068,148
104,592 Nucor Corp. 4,387,634
---------------
10,455,782
---------------
MULTILINE RETAIL -- 0.2%
11,375 Dollar Tree, Inc. (a) 1,061,856
---------------
MULTI-UTILITIES -- 2.6%
30,779 Ameren Corp. 2,469,707
43,972 Consolidated Edison, Inc. 3,378,369
29,423 DTE Energy Co. 3,402,181
95,233 NiSource, Inc. 2,328,447
64,339 Public Service Enterprise
Group, Inc. 3,599,124
12,029 WEC Energy Group, Inc. 1,145,882
---------------
16,323,710
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS
-- 6.7%
48,539 Chevron Corp. $ 4,074,364
128,843 ConocoPhillips 4,817,440
308,841 Continental Resources,
Inc. (b) 5,339,861
103,567 Diamondback Energy, Inc. 4,128,180
106,869 EOG Resources, Inc. 5,006,813
121,064 Exxon Mobil Corp. 5,094,373
236,676 Occidental Petroleum Corp. 3,725,280
65,189 ONEOK, Inc. 1,819,425
55,414 Pioneer Natural Resources Co. 5,370,725
36,817 Valero Energy Corp. 2,070,220
---------------
41,446,681
---------------
PHARMACEUTICALS -- 1.5%
269,352 Mylan N.V. (a) 4,339,261
132,452 Pfizer, Inc. 5,096,753
---------------
9,436,014
---------------
REAL ESTATE MANAGEMENT
& DEVELOPMENT -- 0.7%
95,780 CBRE Group, Inc., Class A (a) 4,196,122
---------------
ROAD & RAIL -- 1.3%
31,052 CSX Corp. 2,215,250
17,995 J.B. Hunt Transport Services,
Inc. 2,328,553
12,335 Norfolk Southern Corp. 2,370,910
6,236 Union Pacific Corp. 1,081,011
---------------
7,995,724
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 0.7%
84,068 Micron Technology, Inc. (a) 4,208,024
---------------
SOFTWARE -- 0.9%
218,416 NortonLifeLock, Inc. 4,685,023
19,075 Oracle Corp. 1,057,709
---------------
5,742,732
---------------
SPECIALTY RETAIL -- 0.7%
24,815 Best Buy Co., Inc. 2,471,326
7,803 Lowe's Cos., Inc. 1,161,945
5,183 Ulta Beauty, Inc. (a) 1,000,267
---------------
4,633,538
---------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 2.8%
39,418 Dell Technologies, Inc.,
Class C (a) 2,358,379
445,136 Hewlett Packard Enterprise Co. 4,393,492
181,463 HP, Inc. 3,190,120
48,807 NetApp, Inc. 2,162,150
65,335 Seagate Technology PLC 2,954,449
49,051 Western Digital Corp. 2,114,098
---------------
17,172,688
---------------
TRADING COMPANIES
& DISTRIBUTORS -- 0.9%
29,061 United Rentals, Inc. (a) 4,515,207
3,356 W.W. Grainger, Inc. 1,146,175
---------------
5,661,382
---------------
Page 54 See Notes to Financial Statements
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
WIRELESS TELECOMMUNICATION
SERVICES -- 0.2%
10,123 T-Mobile US, Inc. (a) $ 1,087,008
---------------
TOTAL COMMON STOCKS
-- 99.7% 615,181,934
(Cost $649,705,726) ---------------
WARRANTS -- 0.0%
OIL, GAS & CONSUMABLE FUELS
-- 0.0%
38,009 Occidental Petroleum Corp.
expiring 08/03/27 (a) 212,850
(Cost $0) ---------------
MONEY MARKET FUNDS -- 1.5%
7,922,251 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.10% (c) (d) 7,922,251
1,116,171 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 0.04% (c) 1,116,171
---------------
TOTAL MONEY MARKET FUNDS
-- 1.5% 9,038,422
(Cost $9,038,422) ---------------
TOTAL INVESTMENTS -- 101.2% 624,433,206
(Cost $658,744,148) (e)
NET OTHER ASSETS AND
LIABILITIES -- (1.2)% (7,417,315)
---------------
NET ASSETS -- 100.0% $ 617,015,891
===============
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The remaining contractual
maturity of all of the securities lending transactions is overnight and
continuous. The aggregate value of such securities is $7,625,448 and the
total value of the collateral held by the Fund is $7,922,251.
(c) Rate shown reflects yield as of July 31, 2020.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $662,022,172. As of July
31, 2020, the aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost was $48,268,205 and
the aggregate gross unrealized depreciation for all investments in which
there was an excess of tax cost over value was $85,857,171. The net
unrealized depreciation was $37,588,966.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2020
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
--------------------------------------------
Common Stocks* $ 615,181,934 $ -- $ --
Warrants* 212,850 -- --
Money Market
Funds 9,038,422 -- --
--------------------------------------------
Total Investments $ 624,433,206 $ -- $ --
============================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
-------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 7,625,448
Non-cash Collateral(2) (7,625,448)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At July 31, 2020, the value of the collateral received from each borrower
exceeded the value of the related securities loaned. This amount is
disclosed on the Portfolio of Investments.
See Notes to Financial Statements Page 55
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC)
PORTFOLIO OF INVESTMENTS
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 1.5%
16,295 HEICO Corp. $ 1,566,275
19,658 L3Harris Technologies, Inc. 3,309,031
9,140 Lockheed Martin Corp. 3,463,786
5,222 Teledyne Technologies,
Inc. (a) 1,601,587
11,020 TransDigm Group, Inc. 4,756,012
---------------
14,696,691
---------------
AUTOMOBILES -- 1.1%
7,723 Tesla, Inc. (a) 11,049,759
---------------
BANKS -- 0.5%
45,963 First Republic Bank 5,169,918
---------------
BEVERAGES -- 0.9%
70,278 Monster Beverage Corp. (a) 5,515,417
25,219 PepsiCo, Inc. 3,471,648
---------------
8,987,065
---------------
BIOTECHNOLOGY -- 5.3%
67,948 AbbVie, Inc. 6,448,945
56,301 Alnylam Pharmaceuticals,
Inc. (a) 8,206,434
14,142 Amgen, Inc. 3,460,123
67,608 BioMarin Pharmaceutical,
Inc. (a) 8,100,114
38,366 Exact Sciences Corp. (a) 3,635,179
64,165 Incyte Corp. (a) 6,336,935
49,075 Seattle Genetics, Inc. (a) 8,159,700
28,724 Vertex Pharmaceuticals,
Inc. (a) 7,812,928
---------------
52,160,358
---------------
BUILDING PRODUCTS -- 0.2%
15,886 Allegion PLC 1,580,022
---------------
CAPITAL MARKETS -- 5.8%
167,046 Apollo Global Management, Inc. 8,201,958
28,660 Blackstone Group (The), Inc.,
Class A 1,527,005
58,203 Carlyle Group (The), Inc. 1,657,039
14,830 FactSet Research Systems, Inc. 5,135,629
36,415 Intercontinental Exchange,
Inc. 3,524,244
108,018 KKR & Co., Inc. 3,820,597
16,647 MarketAxess Holdings, Inc. 8,601,505
24,282 Moody's Corp. 6,830,526
14,592 MSCI, Inc. 5,486,300
20,247 S&P Global, Inc. 7,091,512
39,447 T. Rowe Price Group, Inc. 5,447,631
---------------
57,323,946
---------------
CHEMICALS -- 1.6%
6,725 Air Products and Chemicals,
Inc. 1,927,587
16,765 Ecolab, Inc. 3,136,396
48,902 FMC Corp. 5,186,057
8,431 Sherwin-Williams (The) Co. 5,462,614
---------------
15,712,654
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES
-- 1.1%
25,045 Cintas Corp. $ 7,560,334
40,058 Copart, Inc. (a) 3,735,409
---------------
11,295,743
---------------
CONSTRUCTION MATERIALS -- 0.2%
7,861 Martin Marietta Materials,
Inc. 1,628,642
---------------
CONSUMER FINANCE -- 0.2%
17,057 American Express Co. 1,591,759
---------------
CONTAINERS & PACKAGING -- 0.5%
48,001 Ball Corp. 3,534,313
24,934 Crown Holdings, Inc. (a) 1,784,776
---------------
5,319,089
---------------
ELECTRIC UTILITIES -- 0.4%
56,259 Evergy, Inc. 3,647,271
---------------
ELECTRICAL EQUIPMENT -- 0.9%
18,172 AMETEK, Inc. 1,694,539
31,320 Rockwell Automation, Inc. 6,832,145
---------------
8,526,684
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 2.2%
16,950 Amphenol Corp., Class A 1,792,632
41,932 CDW Corp. 4,874,595
33,098 Keysight Technologies,
Inc. (a) 3,306,159
112,797 Trimble, Inc. (a) 5,020,594
26,065 Zebra Technologies Corp.,
Class A (a) 7,317,749
---------------
22,311,729
---------------
ENTERTAINMENT -- 2.7%
64,186 Activision Blizzard, Inc. 5,303,689
14,661 Netflix, Inc. (a) 7,167,470
41,808 Roku, Inc. (a) 6,475,641
47,799 Take-Two Interactive Software,
Inc. (a) 7,839,992
---------------
26,786,792
---------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 2.1%
10,008 Alexandria Real Estate
Equities, Inc. 1,776,920
12,900 American Tower Corp. 3,371,931
19,931 Crown Castle International
Corp. 3,322,498
4,749 Equinix, Inc. 3,730,245
58,986 Invitation Homes, Inc. 1,758,963
17,400 Prologis, Inc. 1,834,308
11,197 SBA Communications Corp. 3,488,313
42,500 Vornado Realty Trust 1,467,100
---------------
20,750,278
---------------
FOOD PRODUCTS -- 0.7%
25,402 Lamb Weston Holdings, Inc. 1,526,152
27,153 McCormick & Co., Inc. 5,292,120
---------------
6,818,272
---------------
Page 56 See Notes to Financial Statements
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
HEALTH CARE EQUIPMENT &
SUPPLIES -- 6.7%
36,483 Abbott Laboratories $ 3,671,649
17,751 Align Technology, Inc. (a) 5,215,599
18,861 Baxter International, Inc. 1,629,213
27,551 Danaher Corp. 5,614,894
20,571 DexCom, Inc. (a) 8,959,493
23,498 Edwards Lifesciences Corp. (a) 1,842,478
20,205 IDEXX Laboratories, Inc. (a) 8,036,539
25,078 Insulet Corp. (a) 5,099,862
2,850 Intuitive Surgical, Inc. (a) 1,953,504
34,746 ResMed, Inc. 7,036,412
9,165 Teleflex, Inc. 3,419,462
27,224 Varian Medical Systems,
Inc. (a) 3,885,409
36,709 West Pharmaceutical Services,
Inc. 9,869,949
---------------
66,234,463
---------------
HEALTH CARE TECHNOLOGY -- 0.9%
35,572 Veeva Systems, Inc.,
Class A (a) 9,411,284
---------------
HOTELS, RESTAURANTS & LEISURE
-- 1.8%
7,924 Chipotle Mexican Grill,
Inc. (a) 9,153,488
18,057 Domino's Pizza, Inc. 6,981,017
22,066 Starbucks Corp. 1,688,711
---------------
17,823,216
---------------
HOUSEHOLD DURABLES -- 0.9%
68,422 Garmin Ltd. 6,745,725
498 NVR, Inc. (a) 1,957,215
---------------
8,702,940
---------------
INDUSTRIAL CONGLOMERATES
-- 0.4%
8,590 Roper Technologies, Inc. 3,714,746
---------------
INSURANCE -- 1.3%
56,681 Arch Capital Group Ltd. (a) 1,742,941
119,522 Brown & Brown, Inc. 5,434,665
45,374 Marsh & McLennan Cos., Inc. 5,290,609
---------------
12,468,215
---------------
INTERACTIVE MEDIA & SERVICES
-- 2.5%
4,703 Alphabet, Inc., Class A (a) 6,997,829
29,379 Facebook, Inc., Class A (a) 7,452,571
354,999 Snap, Inc., Class A (a) 7,959,077
54,512 Twitter, Inc. (a) 1,984,237
---------------
24,393,714
---------------
INTERNET & DIRECT MARKETING
RETAIL -- 1.0%
3,022 Amazon.com, Inc. (a) 9,563,663
---------------
IT SERVICES -- 11.1%
31,069 Accenture PLC, Class A 6,983,690
62,295 Akamai Technologies, Inc. (a) 7,004,450
10,907 Automatic Data Processing,
Inc. 1,449,649
85,758 Booz Allen Hamilton Holding
Corp. 7,011,574
52,867 Broadridge Financial
Solutions, Inc. 7,102,153
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
IT SERVICES (CONTINUED)
33,091 EPAM Systems, Inc. (a) $ 9,599,037
16,635 Fiserv, Inc. (a) 1,660,007
13,261 FleetCor Technologies,
Inc. (a) 3,428,897
13,384 Gartner, Inc. (a) 1,668,182
90,976 GoDaddy, Inc., Class A (a) 6,393,793
18,126 Jack Henry & Associates, Inc. 3,231,866
52,008 Leidos Holdings, Inc. 4,949,081
11,280 Mastercard, Inc., Class A 3,480,218
41,646 Okta, Inc. (a) 9,202,933
21,437 Paychex, Inc. 1,541,749
47,861 PayPal Holdings, Inc. (a) 9,384,106
79,463 Square, Inc., Class A (a) 10,318,270
38,004 Twilio, Inc., Class A (a) 10,543,070
17,267 Visa, Inc., Class A 3,287,637
75,110 Western Union (The) Co. 1,823,671
---------------
110,064,033
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 2.5%
55,128 Agilent Technologies, Inc. 5,310,480
196,211 Avantor, Inc. (a) 4,332,339
9,007 Illumina, Inc. (a) 3,442,115
2,017 Mettler-Toledo International,
Inc. (a) 1,885,895
34,006 PerkinElmer, Inc. 4,043,654
13,444 Thermo Fisher Scientific, Inc. 5,565,144
---------------
24,579,627
---------------
MACHINERY -- 0.3%
19,077 Illinois Tool Works, Inc. 3,529,054
---------------
MEDIA -- 0.7%
13,101 Liberty Broadband Corp.,
Class C (a) 1,798,374
829,930 Sirius XM Holdings, Inc. 4,879,989
---------------
6,678,363
---------------
MORTGAGE REAL ESTATE
INVESTMENT TRUSTS -- 0.4%
508,471 Annaly Capital Management,
Inc. 3,767,770
---------------
MULTILINE RETAIL -- 1.5%
43,771 Dollar General Corp. 8,333,998
55,625 Target Corp. 7,002,075
---------------
15,336,073
---------------
OIL, GAS & CONSUMABLE FUELS
-- 0.8%
120,289 Apache Corp. 1,846,436
100,822 Cheniere Energy, Inc. (a) 4,988,673
31,343 Hess Corp. 1,542,389
---------------
8,377,498
---------------
PHARMACEUTICALS -- 1.3%
27,616 Bristol-Myers Squibb Co. 1,619,955
29,673 Eli Lilly and Co. 4,459,555
11,547 Johnson & Johnson 1,683,091
21,000 Merck & Co., Inc. 1,685,040
24,340 Zoetis, Inc. 3,691,891
---------------
13,139,532
---------------
See Notes to Financial Statements Page 57
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
PROFESSIONAL SERVICES -- 2.5%
6,856 CoStar Group, Inc. (a) $ 5,825,955
38,813 Equifax, Inc. 6,309,441
76,644 TransUnion 6,865,003
28,623 Verisk Analytics, Inc. 5,401,446
---------------
24,401,845
---------------
ROAD & RAIL -- 2.1%
32,634 Kansas City Southern 5,608,153
101,048 Lyft, Inc., Class A (a) 2,953,633
49,171 Old Dominion Freight Line, Inc. 8,989,442
107,323 Uber Technologies, Inc. (a) 3,247,594
---------------
20,798,822
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 10.1%
126,804 Advanced Micro Devices,
Inc. (a) 9,818,434
27,198 Analog Devices, Inc. 3,123,690
80,591 Applied Materials, Inc. 5,184,419
10,568 Broadcom, Inc. 3,347,414
81,426 Intel Corp. 3,886,463
34,303 KLA Corp. 6,854,768
20,624 Lam Research Corp. 7,778,548
190,277 Marvell Technology Group Ltd. 6,939,402
26,792 Maxim Integrated Products,
Inc. 1,824,267
46,261 Microchip Technology, Inc. 4,706,132
21,950 NVIDIA Corp. 9,319,751
75,445 Qorvo, Inc. (a) 9,668,277
91,426 QUALCOMM, Inc. 9,655,500
38,102 Skyworks Solutions, Inc. 5,546,889
98,675 Teradyne, Inc. 8,778,128
12,789 Texas Instruments, Inc. 1,631,237
16,506 Xilinx, Inc. 1,771,919
---------------
99,835,238
---------------
SOFTWARE -- 17.3%
19,158 Adobe, Inc. (a) 8,512,283
16,700 ANSYS, Inc. (a) 5,187,020
34,863 Autodesk, Inc. (a) 8,242,659
69,521 Cadence Design Systems,
Inc. (a) 7,595,169
84,158 Ceridian HCM Holding, Inc. (a) 6,588,730
45,103 Citrix Systems, Inc. 6,438,904
30,100 Coupa Software, Inc. (a) 9,224,145
48,423 DocuSign, Inc. (a) 10,499,559
15,958 Fair Isaac Corp. (a) 7,008,594
60,749 Fortinet, Inc. (a) 8,401,587
11,261 Intuit, Inc. 3,450,033
23,939 Microsoft Corp. 4,907,734
29,046 Palo Alto Networks, Inc. (a) 7,433,452
26,923 Paycom Software, Inc. (a) 7,656,094
29,259 RingCentral, Inc., Class A (a) 8,493,010
35,611 salesforce.com, Inc. (a) 6,938,803
20,588 ServiceNow, Inc. (a) 9,042,250
41,968 Splunk, Inc. (a) 8,805,726
86,255 SS&C Technologies Holdings,
Inc. 4,959,663
42,765 Synopsys, Inc. (a) 8,519,643
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
SOFTWARE (CONTINUED)
20,514 Trade Desk (The), Inc.,
Class A (a) $ 9,258,378
14,045 Tyler Technologies, Inc. (a) 5,017,576
31,458 VMware, Inc., Class A (a) (b) 4,410,726
26,001 Workday, Inc., Class A (a) 4,704,101
---------------
171,295,839
---------------
SPECIALTY RETAIL -- 3.2%
5,913 AutoZone, Inc. (a) 7,139,474
16,939 Burlington Stores, Inc. (a) 3,184,532
74,496 CarMax, Inc. (a) 7,223,877
26,631 Home Depot (The), Inc. 7,070,264
15,820 O'Reilly Automotive, Inc. (a) 7,552,152
---------------
32,170,299
---------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 1.0%
22,859 Apple, Inc. 9,715,989
---------------
TEXTILES, APPAREL &
LUXURY GOODS -- 0.5%
49,686 NIKE, Inc., Class B 4,849,850
---------------
TRADING COMPANIES
& DISTRIBUTORS -- 0.9%
194,652 Fastenal Co. 9,156,430
---------------
WATER UTILITIES -- 0.4%
25,925 American Water Works Co., Inc. 3,817,975
---------------
TOTAL COMMON STOCKS
-- 100.0% 989,183,150
(Cost $765,544,340) ---------------
MONEY MARKET FUNDS -- 0.4%
4,013,226 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.10% (c) (d) 4,013,226
351,854 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 0.04% (c) 351,854
---------------
TOTAL MONEY MARKET FUNDS
-- 0.4% 4,365,080
(Cost $4,365,080) ---------------
TOTAL INVESTMENTS -- 100.4% 993,548,230
(Cost $769,909,420) (e)
NET OTHER ASSETS AND
LIABILITIES -- (0.4)% (4,401,246)
---------------
NET ASSETS -- 100.0% $ 989,146,984
===============
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The remaining contractual
maturity of all of the securities lending transactions is overnight and
continuous. The aggregate value of such securities is $3,969,626 and the
total value of the collateral held by the Fund is $4,013,226.
(c) Rate shown reflects yield as of July 31, 2020.
Page 58 See Notes to Financial Statements
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $770,890,958. As of July
31, 2020, the aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost was $227,327,908 and
the aggregate gross unrealized depreciation for all investments in which
there was an excess of tax cost over value was $4,670,636. The net
unrealized appreciation was $222,657,272.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2020
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
--------------------------------------------
Common Stocks* $ 989,183,150 $ -- $ --
Money Market
Funds 4,365,080 -- --
--------------------------------------------
Total Investments $ 993,548,230 $ -- $ --
============================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
-------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 3,969,626
Non-cash Collateral(2) (3,969,626)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At July 31, 2020, the value of the collateral received from each borrower
exceeded the value of the related securities loaned. This amount is
disclosed on the Portfolio of Investments.
See Notes to Financial Statements Page 59
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.9%
AEROSPACE & DEFENSE -- 1.6%
2,510 AAR Corp. $ 43,222
160 AeroVironment, Inc. (a) 12,248
891 General Dynamics Corp. 130,745
763 Huntington Ingalls Industries,
Inc. 132,541
624 Kaman Corp. 24,642
2,122 Moog, Inc., Class A 113,994
720 Raytheon Technologies Corp. 40,810
2,818 Spirit AeroSystems Holdings,
Inc., Class A 55,148
6,924 Textron, Inc. 241,924
---------------
795,274
---------------
AIR FREIGHT & LOGISTICS
-- 0.5%
2,330 Air Transport Services Group,
Inc. (a) 56,782
284 C.H. Robinson Worldwide, Inc. 26,617
583 Expeditors International of
Washington, Inc. 49,269
520 Forward Air Corp. 27,035
1,084 Hub Group, Inc., Class A (a) 57,344
399 United Parcel Service, Inc.,
Class B 56,961
---------------
274,008
---------------
AIRLINES -- 2.0%
3,100 Alaska Air Group, Inc. 106,764
8,124 Delta Air Lines, Inc. 202,856
4,619 Hawaiian Holdings, Inc. 54,920
10,313 JetBlue Airways Corp. (a) 106,637
3,446 SkyWest, Inc. 90,664
5,334 Southwest Airlines Co. 164,767
6,316 Spirit Airlines, Inc. (a) (b) 99,856
6,584 United Airlines Holdings,
Inc. (a) 206,606
---------------
1,033,070
---------------
AUTO COMPONENTS -- 1.2%
2,924 Aptiv PLC 227,341
3,184 BorgWarner, Inc. 116,534
1,880 Cooper Tire & Rubber Co. 58,393
5,320 Dana, Inc. 60,807
189 Dorman Products, Inc. (a) 15,451
327 Gentherm, Inc. (a) 12,678
1,031 Lear Corp. 113,802
629 Standard Motor Products, Inc. 28,607
---------------
633,613
---------------
AUTOMOBILES -- 0.6%
9,007 General Motors Co. 224,184
2,838 Harley-Davidson, Inc. 73,873
211 Thor Industries, Inc. 24,052
---------------
322,109
---------------
BANKS -- 12.0%
1,073 1st Source Corp. 35,538
2,859 Ameris Bancorp 65,971
6,574 Associated Banc-Corp. 84,410
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
BANKS (CONTINUED)
2,966 BancorpSouth Bank $ 62,078
5,605 Bank of America Corp. 139,452
3,832 Bank OZK 92,160
4,441 BankUnited, Inc. 89,442
1,004 Banner Corp. 35,572
4,708 Berkshire Hills Bancorp, Inc. 46,892
1,594 BOK Financial Corp. 88,786
7,541 Boston Private Financial
Holdings, Inc. 44,379
2,574 Brookline Bancorp, Inc. 24,697
1,437 Cadence BanCorp 11,223
3,420 Cathay General Bancorp 82,696
2,169 CIT Group, Inc. 41,146
4,459 Citigroup, Inc. 222,995
9,028 Citizens Financial Group, Inc. 223,985
2,380 Columbia Banking System, Inc. 68,853
2,361 Comerica, Inc. 90,946
394 Community Bank System, Inc. 22,155
602 Cullen/Frost Bankers, Inc. 43,380
2,400 CVB Financial Corp. 43,368
1,584 Eagle Bancorp, Inc. 47,647
2,481 East West Bancorp, Inc. 85,991
14,989 F.N.B. Corp. 111,068
1,047 FB Financial Corp. 26,604
9,455 Fifth Third Bancorp 187,776
2,069 First Bancorp 42,745
9,281 First BanCorp 50,489
2,047 First Busey Corp. 35,004
166 First Citizens BancShares,
Inc., Class A 70,694
4,611 First Commonwealth Financial
Corp. 36,288
4,669 First Financial Bancorp 64,969
5,217 First Hawaiian, Inc. 90,671
9,030 First Horizon National Corp. 83,708
838 First Interstate BancSystem,
Inc., Class A 24,394
1,385 First Merchants Corp. 33,835
3,886 First Midwest Bancorp, Inc. 47,157
3,626 Fulton Financial Corp. 35,172
3,181 Hancock Whitney Corp. 60,630
1,551 Heartland Financial USA, Inc. 48,453
1,909 Heritage Financial Corp. 36,109
2,812 Hilltop Holdings, Inc. 54,750
2,924 Home BancShares, Inc. 47,749
5,627 Hope Bancorp, Inc. 47,436
20,177 Huntington Bancshares, Inc. 187,041
1,281 Independent Bank Group, Inc. 56,274
1,193 International Bancshares Corp. 36,291
7,935 Investors Bancorp, Inc. 64,432
14,967 KeyCorp 179,754
1,753 M&T Bank Corp. 185,730
844 NBT Bancorp, Inc. 25,143
2,166 OceanFirst Financial Corp. 33,183
1,941 OFG Bancorp 25,388
4,902 Old National Bancorp 68,579
1,197 Pacific Premier Bancorp, Inc. 25,149
368 Park National Corp. 31,560
Page 60 See Notes to Financial Statements
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
BANKS (CONTINUED)
7,773 People's United Financial,
Inc. $ 83,871
1,606 Pinnacle Financial Partners,
Inc. 63,630
1,732 PNC Financial Services Group
(The), Inc. 184,752
3,025 Popular, Inc. 112,258
758 Prosperity Bancshares, Inc. 42,114
20,492 Regions Financial Corp. 222,543
1,533 Renasant Corp. 35,612
1,628 S&T Bancorp, Inc. 35,002
421 Signature Bank 43,165
3,791 Simmons First National Corp.,
Class A 62,893
9,592 Sterling Bancorp 107,910
423 SVB Financial Group (a) 94,866
4,381 Synovus Financial Corp. 88,277
2,027 TowneBank 35,756
1,254 TriCo Bancshares 35,112
3,545 Truist Financial Corp. 132,796
1,557 Trustmark Corp. 35,064
3,616 U.S. Bancorp 133,213
872 UMB Financial Corp. 43,426
813 United Bankshares, Inc. 21,398
8,625 Valley National Bancorp 64,429
3,143 Webster Financial Corp. 85,710
8,901 Wells Fargo & Co. 215,938
2,555 WesBanco, Inc. 50,666
2,061 Wintrust Financial Corp. 88,211
2,645 Zions Bancorp N.A. 85,883
---------------
6,152,482
---------------
BEVERAGES -- 0.3%
3,874 Molson Coors Beverage Co.,
Class B 145,353
209 National Beverage
Corp. (a) (b) 13,407
---------------
158,760
---------------
BIOTECHNOLOGY -- 1.1%
1,624 Alexion Pharmaceuticals,
Inc. (a) 166,444
851 Biogen, Inc. (a) 233,761
253 Enanta Pharmaceuticals,
Inc. (a) 11,600
577 Gilead Sciences, Inc. 40,119
71 Regeneron Pharmaceuticals,
Inc. (a) 44,877
743 United Therapeutics Corp. (a) 82,822
---------------
579,623
---------------
BUILDING PRODUCTS -- 0.5%
477 A.O. Smith Corp. 22,963
540 Gibraltar Industries, Inc. (a) 27,929
1,400 Griffon Corp. 32,018
424 Patrick Industries, Inc. 27,115
1,655 PGT Innovations, Inc. (a) 28,251
1,086 Resideo Technologies, Inc. (a) 14,422
1,362 UFP Industries, Inc. 79,295
---------------
231,993
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
CAPITAL MARKETS -- 3.5%
905 Affiliated Managers Group,
Inc. $ 62,255
888 Ameriprise Financial, Inc. 136,423
4,717 Bank of New York Mellon (The)
Corp. 169,105
4,645 BGC Partners, Inc., Class A 12,867
1,315 Charles Schwab (The) Corp. 43,592
1,527 Evercore, Inc., Class A 84,443
3,795 Federated Hermes, Inc. 100,036
10,866 Franklin Resources, Inc. 228,729
673 Goldman Sachs Group (The),
Inc. 133,227
10,447 Invesco Ltd. 104,888
785 Lazard Ltd., Class A 23,016
408 Moelis & Co., Class A 12,154
3,774 Morgan Stanley 184,473
438 Piper Sandler Cos. 27,117
1,934 Raymond James Financial, Inc. 134,374
2,869 State Street Corp. 183,014
1,896 Stifel Financial Corp. 91,918
231 StoneX Group, Inc. (a) 12,123
3,345 Waddell & Reed Financial,
Inc., Class A 48,804
---------------
1,792,558
---------------
CHEMICALS -- 2.5%
989 Avient Corp. 23,637
700 Cabot Corp. 25,536
1,542 Celanese Corp. 149,882
3,196 CF Industries Holdings, Inc. 100,131
1,291 Eastman Chemical Co. 96,347
4,145 Element Solutions, Inc. (a) 45,015
582 H.B. Fuller Co. 26,388
3,753 Huntsman Corp. 69,430
363 International Flavors &
Fragrances, Inc. 45,720
4,212 Livent Corp. (a) 26,409
3,467 LyondellBasell Industries
N.V., Class A 216,757
1,106 Minerals Technologies, Inc. 51,849
112 NewMarket Corp. 41,979
4,516 Olin Corp. 50,760
4,899 Orion Engineered Carbons S.A. 49,970
418 PPG Industries, Inc. 44,998
3,919 PQ Group Holdings, Inc. (a) 48,086
244 Sensient Technologies Corp. 12,739
267 Stepan Co. 29,156
1,171 Trinseo S.A. 25,411
2,096 Westlake Chemical Corp. 114,232
---------------
1,294,432
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 1.0%
5,635 ADT, Inc. 48,517
960 Brady Corp., Class A 44,131
3,409 BrightView Holdings, Inc. (a) 41,317
1,327 Covanta Holding Corp. 13,058
520 Healthcare Services Group, Inc. 13,619
1,249 HNI Corp. 37,095
See Notes to Financial Statements Page 61
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
COMMERCIAL SERVICES & SUPPLIES
(CONTINUED)
3,771 KAR Auction Services, Inc. $ 57,055
4,257 Knoll, Inc. 49,850
1,111 Republic Services, Inc. 96,935
5,378 Steelcase, Inc., Class A 57,706
419 Waste Management, Inc. 45,922
---------------
505,205
---------------
COMMUNICATIONS EQUIPMENT
-- 0.4%
415 Ciena Corp. (a) 24,697
952 Cisco Systems, Inc. 44,839
1,366 EchoStar Corp., Class A (a) 37,292
161 F5 Networks, Inc. (a) 21,880
1,967 Juniper Networks, Inc. 49,922
498 NetScout Systems, Inc. (a) 12,679
---------------
191,309
---------------
CONSTRUCTION & ENGINEERING
-- 1.2%
1,229 Arcosa, Inc. 51,888
937 Comfort Systems USA, Inc. 46,578
634 Dycom Industries, Inc. (a) 27,154
1,360 EMCOR Group, Inc. 93,160
5,369 Fluor Corp. 54,710
3,388 Granite Construction, Inc. 57,461
2,505 MasTec, Inc. (a) 99,649
2,921 Primoris Services Corp. 46,824
1,719 Quanta Services, Inc. 68,708
594 Valmont Industries, Inc. 71,993
---------------
618,125
---------------
CONSTRUCTION MATERIALS -- 0.1%
2,374 Summit Materials, Inc.,
Class A (a) 34,945
---------------
CONSUMER FINANCE -- 2.2%
11,491 Ally Financial, Inc. 230,969
2,913 Capital One Financial Corp. 185,849
2,657 Discover Financial Services 131,336
1,117 Encore Capital Group, Inc. (a) 40,804
667 FirstCash, Inc. 38,446
259 Green Dot Corp., Class A (a) 13,129
2,797 LendingClub Corp. (a) 14,600
12,793 Navient Corp. 101,832
329 PRA Group, Inc. (a) 13,015
3,663 Santander Consumer USA
Holdings, Inc. 67,253
12,793 SLM Corp. 86,609
10,283 Synchrony Financial 227,563
---------------
1,151,405
---------------
CONTAINERS & PACKAGING -- 1.4%
799 Avery Dennison Corp. 90,559
1,522 Berry Global Group, Inc. (a) 76,085
3,214 Graphic Packaging Holding Co. 44,803
1,507 Greif, Inc., Class A 52,429
2,588 International Paper Co. 90,036
676 Packaging Corp. of America 64,977
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
CONTAINERS & PACKAGING
(CONTINUED)
1,388 Silgan Holdings, Inc. $ 53,091
860 Sonoco Products Co. 44,496
8,063 WestRock Co. 216,572
---------------
733,048
---------------
DISTRIBUTORS -- 0.5%
1,040 Core-Mark Holding Co., Inc. 27,581
510 Genuine Parts Co. 45,976
6,958 LKQ Corp. (a) 196,146
---------------
269,703
---------------
DIVERSIFIED CONSUMER SERVICES
-- 0.5%
2,082 Adtalem Global Education,
Inc. (a) 71,496
189 Graham Holdings Co., Class B 75,292
496 Grand Canyon Education,
Inc. (a) 44,015
6,508 Laureate Education, Inc.,
Class A (a) 82,521
---------------
273,324
---------------
DIVERSIFIED FINANCIAL SERVICES
-- 0.9%
249 Berkshire Hathaway, Inc.,
Class B (a) 48,749
11,813 Equitable Holdings, Inc. 241,694
7,229 Jefferies Financial Group,
Inc. 117,110
1,446 Voya Financial, Inc. 71,432
---------------
478,985
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 1.5%
7,537 AT&T, Inc. 222,945
210 ATN International, Inc. 12,102
22,718 CenturyLink, Inc. 219,229
1,265 GCI Liberty, Inc., Class A (a) 99,163
9,527 Liberty Latin America Ltd.,
Class C (a) 97,461
2,414 Verizon Communications, Inc. 138,757
---------------
789,657
---------------
ELECTRIC UTILITIES -- 3.5%
1,647 ALLETE, Inc. 97,667
1,905 Alliant Energy Corp. 102,584
1,144 American Electric Power Co.,
Inc. 99,391
2,282 Duke Energy Corp. 193,377
2,452 Edison International 136,503
533 Eversource Energy 48,007
6,280 Exelon Corp. 242,471
1,247 Hawaiian Electric Industries,
Inc. 45,216
515 IDACORP, Inc. 48,024
3,452 NRG Energy, Inc. 116,712
669 Otter Tail Corp. 25,589
2,487 Pinnacle West Capital Corp. 206,620
2,151 Portland General Electric Co. 94,924
8,818 PPL Corp. 234,735
Page 62 See Notes to Financial Statements
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ELECTRIC UTILITIES (CONTINUED)
1,459 Xcel Energy, Inc. $ 100,729
---------------
1,792,549
---------------
ELECTRICAL EQUIPMENT -- 1.0%
705 Acuity Brands, Inc. 69,865
1,112 AZZ, Inc. 35,117
1,522 Eaton Corp. PLC 141,744
1,469 Emerson Electric Co. 91,093
782 Encore Wire Corp. 39,249
698 EnerSys 46,947
773 Regal Beloit Corp. 71,093
---------------
495,108
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 1.2%
1,201 Benchmark Electronics, Inc. 24,452
1,713 Corning, Inc. 53,103
1,294 CTS Corp. 25,699
540 ePlus, Inc. (a) 40,252
776 Insight Enterprises, Inc. (a) 38,676
701 Jabil, Inc. 24,437
132 Littelfuse, Inc. 23,450
2,075 Methode Electronics, Inc. 58,515
3,687 MTS Systems Corp. 68,394
560 PC Connection, Inc. 24,472
367 Plexus Corp. (a) 27,264
1,525 Sanmina Corp. (a) 45,262
751 SYNNEX Corp. 93,680
4,375 TTM Technologies, Inc. (a) 53,856
2,500 Vishay Intertechnology, Inc. 39,225
---------------
640,737
---------------
ENERGY EQUIPMENT & SERVICES
-- 0.6%
5,883 Archrock, Inc. 39,181
18,690 Helix Energy Solutions Group,
Inc. (a) 78,311
21,177 NexTier Oilfield Solutions,
Inc. (a) 53,366
14,952 Patterson-UTI Energy, Inc. 57,939
12,617 ProPetro Holding Corp. (a) 67,753
---------------
296,550
---------------
ENTERTAINMENT -- 0.5%
7,786 Cinemark Holdings, Inc. 92,108
1,008 Electronic Arts, Inc. (a) 142,753
---------------
234,861
---------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 4.3%
1,044 Alexander & Baldwin, Inc. 12,340
11,637 Apple Hospitality REIT, Inc. 102,638
4,129 Brandywine Realty Trust 44,717
7,015 Brixmor Property Group, Inc. 80,743
6,929 CoreCivic, Inc. 61,737
754 Cousins Properties, Inc. 23,163
11,728 DiamondRock Hospitality Co. 54,183
11,725 Diversified Healthcare Trust 45,669
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS (CONTINUED)
7,412 Empire State Realty Trust,
Inc., Class A $ 48,919
2,715 EPR Properties 77,730
3,491 Equity Commonwealth 110,211
4,386 GEO Group (The), Inc. 46,623
2,409 Highwoods Properties, Inc. 92,361
21,118 Host Hotels & Resorts, Inc. 227,652
1,787 Hudson Pacific Properties,
Inc. 42,120
5,265 iStar, Inc. 61,127
12,532 Macerich (The) Co. (b) 95,619
8,748 Paramount Group, Inc. 62,373
2,274 Park Hotels & Resorts, Inc. 18,806
8,230 Pebblebrook Hotel Trust 87,238
967 Regency Centers Corp. 39,676
6,871 RLJ Lodging Trust 55,037
9,318 RPT Realty 57,958
6,233 Sabra Health Care REIT, Inc. 91,874
15,855 Service Properties Trust 106,228
1,333 Simon Property Group, Inc. 83,113
6,406 SITE Centers Corp. 46,956
10,937 Summit Hotel Properties, Inc. 56,654
2,759 Sunstone Hotel Investors, Inc. 20,637
1,785 Tanger Factory Outlet Centers,
Inc. (b) 11,478
4,978 Ventas, Inc. 190,956
5,561 Xenia Hotels & Resorts, Inc. 44,266
---------------
2,200,802
---------------
FOOD & STAPLES RETAILING
-- 1.3%
300 Casey's General Stores, Inc. 47,757
937 Chefs' Warehouse (The),
Inc. (a) 10,804
5,385 Kroger (The) Co. 187,344
772 Performance Food Group Co. (a) 21,631
430 PriceSmart, Inc. 28,109
1,014 Sprouts Farmers Market,
Inc. (a) 26,749
3,421 US Foods Holding Corp. (a) 69,446
4,301 Walgreens Boots Alliance, Inc. 175,094
370 Walmart, Inc. 47,878
1,035 Weis Markets, Inc. 51,564
---------------
666,376
---------------
FOOD PRODUCTS -- 2.8%
4,568 Archer-Daniels-Midland Co. 195,648
1,064 B&G Foods, Inc. (b) 30,760
2,591 Conagra Brands, Inc. 97,033
4,566 Darling Ingredients, Inc. (a) 127,528
2,107 Fresh Del Monte Produce, Inc. 47,576
720 General Mills, Inc. 45,554
919 Hormel Foods Corp. 46,740
2,123 Hostess Brands, Inc. (a) 26,920
813 Ingredion, Inc. 70,325
354 J & J Snack Foods Corp. 43,588
1,258 J.M. Smucker (The) Co. 137,562
2,858 Kraft Heinz (The) Co. 98,258
145 Lancaster Colony Corp. 22,996
868 Mondelez International, Inc.,
Class A 48,165
6,655 Pilgrim's Pride Corp. (a) 102,154
See Notes to Financial Statements Page 63
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
FOOD PRODUCTS (CONTINUED)
15 Seaboard Corp. $ 40,549
371 Tootsie Roll Industries, Inc. 11,761
3,817 Tyson Foods, Inc., Class A 234,555
---------------
1,427,672
---------------
GAS UTILITIES -- 0.9%
915 Atmos Energy Corp. 96,981
151 Chesapeake Utilities Corp. 12,758
1,609 National Fuel Gas Co. 65,277
2,066 New Jersey Resources Corp. 64,170
583 ONE Gas, Inc. 44,133
977 Southwest Gas Holdings, Inc. 68,039
1,026 Spire, Inc. 63,263
2,121 UGI Corp. 70,714
---------------
485,335
---------------
HEALTH CARE EQUIPMENT
& SUPPLIES -- 0.4%
779 Hologic, Inc. (a) 54,359
122 ICU Medical, Inc. (a) 22,415
359 Inogen, Inc. (a) 11,021
616 Integer Holdings Corp. (a) 40,515
484 Medtronic PLC 46,696
840 Varex Imaging Corp. (a) 13,171
---------------
188,177
---------------
HEALTH CARE PROVIDERS
& SERVICES-- 3.4%
2,685 Acadia Healthcare Co.,
Inc. (a) 80,040
440 AmerisourceBergen Corp. 44,084
497 AMN Healthcare Services,
Inc. (a) 27,305
346 Anthem, Inc. 94,735
1,747 Cardinal Health, Inc. 95,421
710 Cigna Corp. 122,610
2,805 CVS Health Corp. 176,547
1,683 DaVita, Inc. (a) 147,077
363 Encompass Health Corp. 24,713
1,372 HCA Healthcare, Inc. 173,750
2,280 Henry Schein, Inc. (a) 156,704
235 Humana, Inc. 92,226
523 Magellan Health, Inc. (a) 38,791
126 Molina Healthcare, Inc. (a) 23,272
201 National HealthCare Corp. 11,923
800 Quest Diagnostics, Inc. 101,656
150 UnitedHealth Group, Inc. 45,417
2,453 Universal Health Services,
Inc., Class B 269,585
---------------
1,725,856
---------------
HEALTH CARE TECHNOLOGY -- 0.1%
648 Cerner Corp. 45,004
1,159 NextGen Healthcare, Inc. (a) 16,944
---------------
61,948
---------------
HOTELS, RESTAURANTS & LEISURE
-- 1.7%
4,038 Aramark 85,282
1,194 Bloomin' Brands, Inc. 13,755
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE
(CONTINUED)
1,076 Boyd Gaming Corp. $ 25,469
13,877 Carnival Corp. (b) 192,613
955 Dave & Buster's Entertainment,
Inc. (b) 11,785
1,327 Hilton Grand Vacations,
Inc. (a) 26,938
2,001 Las Vegas Sands Corp. 87,324
13,563 MGM Resorts International 218,229
7,166 Playa Hotels & Resorts
N.V. (a) 26,013
2,647 Royal Caribbean Cruises Ltd. 128,935
428 Texas Roadhouse, Inc. 24,049
1,595 Wyndham Destinations, Inc. 42,427
---------------
882,819
---------------
HOUSEHOLD DURABLES -- 3.4%
2,115 Century Communities, Inc. (a) 75,336
3,288 D.R. Horton, Inc. 217,534
152 iRobot Corp. (a) 11,049
3,664 KB Home 123,257
958 La-Z-Boy, Inc. 27,265
1,279 Leggett & Platt, Inc. 51,275
3,698 Lennar Corp., Class A 267,550
1,453 M.D.C. Holdings, Inc. 65,138
1,883 M/I Homes, Inc. (a) 78,389
682 Meritage Homes Corp. (a) 67,641
1,105 Mohawk Industries, Inc. (a) 88,234
6,697 PulteGroup, Inc. 291,989
1,979 Taylor Morrison Home Corp. (a) 46,408
3,449 Toll Brothers, Inc. 131,752
4,415 TRI Pointe Group, Inc. (a) 73,819
694 Whirlpool Corp. 113,205
---------------
1,729,841
---------------
HOUSEHOLD PRODUCTS -- 0.4%
768 Central Garden & Pet Co.,
Class A (a) 26,611
574 Church & Dwight Co., Inc. 55,293
605 Colgate-Palmolive Co. 46,706
314 Kimberly-Clark Corp. 47,741
371 Procter & Gamble (The) Co. 48,646
---------------
224,997
---------------
INDEPENDENT POWER AND
RENEWABLE ELECTRICITY
PRODUCERS -- 0.4%
12,238 Vistra Corp. 228,361
---------------
INDUSTRIAL CONGLOMERATES
-- 0.4%
284 3M Co. 42,734
26,691 General Electric Co. 162,014
592 Raven Industries, Inc. 12,793
---------------
217,541
---------------
INSURANCE -- 7.0%
3,695 Aflac, Inc. 131,431
1,880 Allstate (The) Corp. 177,453
2,625 American Equity Investment
Life Holding Co. 66,806
709 American Financial Group, Inc. 43,086
Page 64 See Notes to Financial Statements
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
7,308 American International Group,
Inc. $ 234,879
935 American National Group, Inc. 68,863
365 Argo Group International
Holdings Ltd. 12,231
218 Assurant, Inc. 23,428
4,606 Assured Guaranty Ltd. 100,549
1,441 Athene Holding Ltd.,
Class A (a) 46,472
555 Axis Capital Holdings Ltd. 22,267
4,041 Brighthouse Financial,
Inc. (a) 114,522
720 Chubb Ltd. 91,613
4,166 CNO Financial Group, Inc. 62,907
1,266 Employers Holdings, Inc. 41,170
147 Enstar Group Ltd. (a) 24,689
646 Everest Re Group Ltd. 141,338
1,064 FBL Financial Group, Inc.,
Class A 37,006
5,946 Fidelity National Financial,
Inc. 192,413
2,341 First American Financial Corp. 119,414
1,793 Globe Life, Inc. 142,723
444 Hanover Insurance Group (The),
Inc. 45,235
1,040 Horace Mann Educators Corp. 39,083
930 Kemper Corp. 73,024
3,619 Lincoln National Corp. 134,880
313 Mercury General Corp. 13,431
6,239 MetLife, Inc. 236,146
3,002 National General Holdings
Corp. 102,038
255 National Western Life Group,
Inc., Class A 49,671
193 Primerica, Inc. 23,094
3,204 Principal Financial Group,
Inc. 135,946
879 ProAssurance Corp. 12,921
1,138 Progressive (The) Corp. 102,807
2,993 Prudential Financial, Inc. 189,666
1,147 Reinsurance Group of America,
Inc. 97,782
341 Safety Insurance Group, Inc. 25,804
852 Selective Insurance Group,
Inc. 46,298
1,995 Stewart Information Services
Corp. 83,690
1,695 Third Point Reinsurance
Ltd. (a) 13,204
1,167 Travelers (The) Cos., Inc. 133,528
6,776 Unum Group 116,751
---------------
3,570,259
---------------
INTERACTIVE MEDIA & SERVICES
-- 0.1%
1,182 TripAdvisor, Inc. 23,912
550 Yelp, Inc. (a) 13,739
---------------
37,651
---------------
INTERNET & DIRECT MARKETING
RETAIL -- 0.4%
3,476 eBay, Inc. 192,153
69 Stamps.com, Inc. (a) 17,960
---------------
210,113
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
IT SERVICES -- 0.8%
2,343 Cognizant Technology Solutions
Corp., Class A $ 160,074
1,102 International Business
Machines Corp. 135,480
638 MAXIMUS, Inc. 47,346
290 Science Applications
International Corp. 23,194
1,380 Sykes Enterprises, Inc. (a) 37,895
---------------
403,989
---------------
LEISURE PRODUCTS -- 0.2%
1,216 Hasbro, Inc. 88,476
243 Polaris, Inc. 25,182
---------------
113,658
---------------
MACHINERY -- 3.6%
811 AGCO Corp. 53,226
2,445 Allison Transmission Holdings,
Inc. 91,345
400 Altra Industrial Motion Corp. 13,692
275 Astec Industries, Inc. 12,235
2,274 Barnes Group, Inc. 83,842
535 Chart Industries, Inc. (a) 36,663
378 Crane Co. 21,383
768 Cummins, Inc. 148,424
580 Deere & Co. 102,260
944 Dover Corp. 97,166
775 EnPro Industries, Inc. 36,991
835 Gorman-Rupp (The) Co. 25,267
267 Lincoln Electric Holdings,
Inc. 24,134
2,621 Meritor, Inc. (a) 59,628
854 Middleby (The) Corp. (a) 70,933
1,437 Mueller Industries, Inc. 40,178
4,049 Mueller Water Products, Inc.,
Class A 40,976
1,256 Oshkosh Corp. 98,872
2,435 PACCAR, Inc. 207,170
497 Parker-Hannifin Corp. 88,923
1,543 Rexnord Corp. 44,701
487 Snap-on, Inc. 71,039
319 Stanley Black & Decker, Inc. 48,909
1,382 Terex Corp. 26,051
1,977 Timken (The) Co. 90,270
2,167 TriMas Corp. (a) 50,708
2,437 Trinity Industries, Inc. 47,595
2,090 Welbilt, Inc. (a) 12,707
1,583 Westinghouse Air Brake
Technologies Corp. 98,447
---------------
1,843,735
---------------
MARINE -- 0.1%
1,312 Matson, Inc. 47,783
---------------
MEDIA -- 2.2%
2,218 AMC Networks, Inc.,
Class A (a) 51,236
3,415 Comcast Corp., Class A 146,162
10,799 Discovery, Inc., Class A (a) 227,859
3,858 DISH Network Corp.,
Class A (a) 123,880
See Notes to Financial Statements Page 65
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MEDIA (CONTINUED)
7,767 iHeartMedia, Inc.,
Class A (a) (b) $ 64,932
3,930 Interpublic Group of
(The) Cos., Inc. 70,937
1,669 Omnicom Group, Inc. 89,675
867 Scholastic Corp. 20,747
2,810 Sinclair Broadcast Group, Inc.,
Class A (b) 57,886
10,091 TEGNA, Inc. 118,872
5,709 ViacomCBS, Inc., Class B 148,834
---------------
1,121,020
---------------
METALS & MINING -- 2.0%
1,133 Alcoa Corp. (a) 14,729
6,365 Allegheny Technologies,
Inc. (a) 55,312
2,672 Carpenter Technology Corp. 59,746
6,917 Cleveland-Cliffs, Inc. (b) 35,830
3,179 Commercial Metals Co. 65,742
3,892 Hecla Mining Co. 21,484
352 Kaiser Aluminum Corp. 21,806
207 Materion Corp. 11,886
3,691 Newmont Corp. 255,417
4,402 Nucor Corp. 184,664
1,184 Reliance Steel & Aluminum Co. 116,340
4,309 Steel Dynamics, Inc. 118,109
4,214 Warrior Met Coal, Inc. 67,087
341 Worthington Industries, Inc. 12,760
---------------
1,040,912
---------------
MORTGAGE REAL ESTATE
INVESTMENT TRUSTS -- 0.2%
2,292 Apollo Commercial Real Estate
Finance, Inc. 21,315
2,340 Chimera Investment Corp. 21,037
6,406 Ladder Capital Corp. 49,775
---------------
92,127
---------------
MULTILINE RETAIL -- 0.7%
1,544 Big Lots, Inc. 60,741
1,481 Dillard's, Inc., Class A (b) 34,878
479 Dollar Tree, Inc. (a) 44,715
5,412 Kohl's Corp. 103,044
16,339 Macy's, Inc. (b) 99,014
1,451 Nordstrom, Inc. (b) 19,864
---------------
362,256
---------------
MULTI-UTILITIES -- 1.9%
1,295 Ameren Corp. 103,911
1,854 Avista Corp. 68,839
1,191 Black Hills Corp. 68,911
1,851 Consolidated Edison, Inc. 142,212
1,239 DTE Energy Co. 143,266
4,055 MDU Resources Group, Inc. 85,074
4,008 NiSource, Inc. 97,996
1,237 NorthWestern Corp. 69,594
2,708 Public Service Enterprise
Group, Inc. 151,485
506 WEC Energy Group, Inc. 48,201
---------------
979,489
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS
-- 5.6%
56,396 Callon Petroleum Co. (a) $ 64,291
14,299 Centennial Resource
Development, Inc.,
Class A (a) 11,258
2,043 Chevron Corp. 171,489
4,413 CNX Resources Corp. (a) 42,585
5,423 ConocoPhillips 202,766
12,999 Continental Resources,
Inc. (b) 224,753
5,590 CVR Energy, Inc. 107,328
731 Delek US Holdings, Inc. 12,778
4,359 Diamondback Energy, Inc. 173,750
4,498 EOG Resources, Inc. 210,731
1,069 EQT Corp. 15,522
5,095 Exxon Mobil Corp. 214,398
3,850 HollyFrontier Corp. 105,875
18,368 Marathon Oil Corp. 100,840
7,630 Matador Resources Co. (a) 66,228
8,146 Murphy Oil Corp. 107,609
9,961 Occidental Petroleum Corp. 156,786
2,743 ONEOK, Inc. 76,557
11,771 Ovintiv, Inc. (b) 114,061
4,170 PDC Energy, Inc. (a) 59,464
2,332 Pioneer Natural Resources Co. 226,017
2,617 Renewable Energy Group,
Inc. (a) 72,177
17,295 SM Energy Co. 51,020
7,050 Talos Energy, Inc. (a) 48,011
1,550 Valero Energy Corp. 87,157
2,518 World Fuel Services Corp. 59,249
14,096 WPX Energy, Inc. (a) 84,153
---------------
2,866,853
---------------
PAPER & FOREST PRODUCTS
-- 0.4%
1,015 Boise Cascade Co. 47,289
3,072 Domtar Corp. 64,481
772 Neenah, Inc. 34,439
1,553 Schweitzer-Mauduit
International, Inc. 50,519
---------------
196,728
---------------
PERSONAL PRODUCTS -- 0.2%
500 Herbalife Nutrition
Ltd. (a) (b) 25,620
999 Nu Skin Enterprises, Inc.,
Class A 44,805
353 USANA Health Sciences,
Inc. (a) 28,657
---------------
99,082
---------------
PHARMACEUTICALS -- 0.9%
11,337 Mylan N.V. (a) 182,639
814 Perrigo Co. PLC 43,159
5,575 Pfizer, Inc. 214,526
1,608 Supernus Pharmaceuticals,
Inc. (a) 35,802
---------------
476,126
---------------
PROFESSIONAL SERVICES -- 0.6%
674 ASGN, Inc. (a) 46,142
400 ICF International, Inc. 27,044
347 Insperity, Inc. 23,201
Page 66 See Notes to Financial Statements
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
PROFESSIONAL SERVICES
(CONTINUED)
1,688 Korn Ferry $ 47,433
1,309 ManpowerGroup, Inc. 90,046
851 Robert Half International,
Inc. 43,290
369 TriNet Group, Inc. (a) 24,354
---------------
301,510
---------------
REAL ESTATE MANAGEMENT
& DEVELOPMENT -- 0.8%
4,032 CBRE Group, Inc., Class A (a) 176,642
1,087 Jones Lang LaSalle, Inc. 107,515
5,908 Kennedy-Wilson Holdings, Inc. 87,675
1,323 Marcus & Millichap, Inc. (a) 36,038
1,717 Realogy Holdings Corp. 15,556
---------------
423,426
---------------
ROAD & RAIL -- 1.4%
297 AMERCO 94,366
1,133 Avis Budget Group, Inc. (a) 29,345
1,307 CSX Corp. 93,241
1,246 Heartland Express, Inc. 25,275
758 J.B. Hunt Transport Services,
Inc. 98,085
1,617 Knight-Swift Transportation
Holdings, Inc. 70,323
200 Landstar System, Inc. 24,356
1,517 Marten Transport Ltd. 40,383
519 Norfolk Southern Corp. 99,757
1,383 Ryder System, Inc. 50,659
1,051 Schneider National, Inc.,
Class B 26,412
262 Union Pacific Corp. 45,418
877 Werner Enterprises, Inc. 38,575
---------------
736,195
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 0.6%
5,269 Amkor Technology, Inc. (a) 71,632
454 First Solar, Inc. (a) 27,036
3,538 Micron Technology, Inc. (a) 177,095
199 MKS Instruments, Inc. 25,360
---------------
301,123
---------------
SOFTWARE -- 0.7%
542 CDK Global, Inc. 24,639
2,900 Ebix, Inc. 63,960
9,193 NortonLifeLock, Inc. 197,190
803 Oracle Corp. 44,526
1,247 Teradata Corp. (a) 26,187
---------------
356,502
---------------
SPECIALTY RETAIL -- 1.9%
158 Advance Auto Parts, Inc. 23,722
494 Asbury Automotive Group,
Inc. (a) 49,474
1,197 AutoNation, Inc. (a) 61,454
1,045 Best Buy Co., Inc. 104,071
545 Dick's Sporting Goods, Inc. 24,863
2,313 Foot Locker, Inc. 67,979
983 Group 1 Automotive, Inc. 82,592
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
SPECIALTY RETAIL (CONTINUED)
297 Lithia Motors, Inc., Class A $ 68,058
328 Lowe's Cos., Inc. 48,842
231 Monro, Inc. 13,005
599 Murphy USA, Inc. (a) 79,314
2,323 Penske Automotive Group, Inc. 104,117
3,047 Sally Beauty Holdings,
Inc. (a) 35,376
6,315 Signet Jewelers Ltd. 67,823
218 Ulta Beauty, Inc. (a) 42,072
2,508 Urban Outfitters, Inc. (a) 41,482
548 Williams-Sonoma, Inc. 47,742
---------------
961,986
---------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 1.9%
1,659 Dell Technologies, Inc.,
Class C (a) 99,258
18,735 Hewlett Packard Enterprise Co. 184,914
7,638 HP, Inc. 134,276
6,491 NCR Corp. (a) 119,629
2,055 NetApp, Inc. 91,037
2,750 Seagate Technology PLC 124,355
913 Super Micro Computer, Inc. (a) 27,669
2,064 Western Digital Corp. 88,958
7,352 Xerox Holdings Corp. 122,411
---------------
992,507
---------------
TEXTILES, APPAREL &
LUXURY GOODS -- 0.6%
278 Carter's, Inc. 21,884
4,880 G-III Apparel Group Ltd. (a) 48,263
5,974 Hanesbrands, Inc. 84,413
930 Ralph Lauren Corp. 66,309
1,433 Skechers U.S.A., Inc.,
Class A (a) 41,958
911 Steven Madden Ltd. 19,295
---------------
282,122
---------------
THRIFTS & MORTGAGE FINANCE
-- 1.0%
1,729 Axos Financial, Inc. (a) 38,747
1,155 Capitol Federal Financial, Inc. 11,146
3,099 Essent Group Ltd. 111,037
13,726 MGIC Investment Corp. 113,514
4,409 New York Community Bancorp,
Inc. 46,427
2,537 Northwest Bancshares, Inc. 24,989
720 Premier Financial Corp. 12,730
2,642 Provident Financial Services,
Inc. 36,063
1,276 Walker & Dunlop, Inc. 64,323
1,808 WSFS Financial Corp. 51,582
---------------
510,558
---------------
TOBACCO -- 0.1%
1,526 Universal Corp. 64,336
---------------
TRADING COMPANIES
& DISTRIBUTORS -- 1.7%
3,838 Air Lease Corp. 100,632
983 Beacon Roofing Supply, Inc. (a) 30,630
See Notes to Financial Statements Page 67
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
TRADING COMPANIES
& DISTRIBUTORS (CONTINUED)
850 GATX Corp. $ 51,841
1,055 GMS, Inc. (a) 24,719
2,066 H&E Equipment Services, Inc. 36,341
1,688 Herc Holdings, Inc. (a) 56,616
8,779 MRC Global, Inc. (a) 52,235
618 MSC Industrial Direct Co.,
Inc., Class A 40,794
1,564 Rush Enterprises, Inc.,
Class A 74,415
620 Systemax, Inc. 13,894
2,145 Triton International Ltd. 67,503
1,223 United Rentals, Inc. (a) 190,018
142 W.W. Grainger, Inc. 48,497
126 Watsco, Inc. 29,745
1,847 WESCO International, Inc. (a) 71,793
---------------
889,673
---------------
TRANSPORTATION INFRASTRUCTURE
-- 0.1%
2,198 Macquarie Infrastructure Corp. 65,852
---------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.4%
258 Shenandoah
Telecommunications Co. 12,970
3,263 Telephone and Data Systems,
Inc. 63,367
426 T-Mobile US, Inc. (a) 45,744
2,101 United States Cellular
Corp. (a) 62,337
---------------
184,418
---------------
TOTAL COMMON STOCKS
-- 99.9% 51,345,147
(Cost $54,423,195) ---------------
WARRANTS -- 0.0%
OIL, GAS & CONSUMABLE FUELS
-- 0.0%
1,598 Occidental Petroleum Corp.,
expiring 08/03/27 (a) 8,949
(Cost $0) ---------------
MONEY MARKET FUNDS -- 2.0%
960,628 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.10% (c) (d) 960,628
52,330 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 0.04% (c) 52,330
---------------
TOTAL MONEY MARKET FUNDS
-- 2.0% 1,012,958
(Cost $1,012,958) ---------------
DESCRIPTION VALUE
-------------------------------------------------------------
TOTAL INVESTMENTS -- 101.9% $ 52,367,054
(Cost $55,436,153) (e)
NET OTHER ASSETS AND
LIABILITIES -- (1.9)% (979,721)
---------------
NET ASSETS -- 100.0% $ 51,387,333
===============
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The remaining contractual
maturity of all of the securities lending transactions is overnight and
continuous. The aggregate value of such securities is $915,738 and the
total value of the collateral held by the Fund is $960,628.
(c) Rate shown reflects yield as of July 31, 2020.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $55,669,315. As of July
31, 2020, the aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost was $4,512,785 and the
aggregate gross unrealized depreciation for all investments in which there
was an excess of tax cost over value was $7,815,046. The net unrealized
depreciation was $3,302,261.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2020
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
--------------------------------------------
Common Stocks* $ 51,345,147 $ -- $ --
Warrants* 8,949 -- --
Money Market
Funds 1,012,958 -- --
--------------------------------------------
Total Investments $ 52,367,054 $ -- $ --
============================================
* See Portfolio of Investments for industry breakout.
Page 68 See Notes to Financial Statements
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
-------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 915,738
Non-cash Collateral(2) (915,738)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At July 31, 2020, the value of the collateral received from each borrower
exceeded the value of the related securities loaned. This amount is
disclosed on the Portfolio of Investments.
See Notes to Financial Statements Page 69
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
PORTFOLIO OF INVESTMENTS
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 1.5%
1,789 Aerojet Rocketdyne Holdings,
Inc. (a) $ 73,796
3,614 Axon Enterprise, Inc. (a) 300,432
3,756 BWX Technologies, Inc. 204,777
1,405 HEICO Corp. 135,049
5,235 Kratos Defense & Security
Solutions, Inc. (a) 94,282
1,694 L3Harris Technologies, Inc. 285,151
788 Lockheed Martin Corp. 298,629
11,390 Maxar Technologies, Inc. 202,628
1,803 Mercury Systems, Inc. (a) 139,606
5,871 Parsons Corp. (a) 204,487
450 Teledyne Technologies,
Inc. (a) 138,015
950 TransDigm Group, Inc. 410,001
---------------
2,486,853
---------------
AIR FREIGHT & LOGISTICS
-- 0.2%
3,672 XPO Logistics, Inc. (a) 275,473
---------------
AIRLINES -- 0.0%
749 Allegiant Travel Co. 83,910
---------------
AUTO COMPONENTS -- 0.3%
2,476 Fox Factory Holding Corp. (a) 220,364
5,504 Gentex Corp. 148,553
1,779 LCI Industries 223,798
---------------
592,715
---------------
AUTOMOBILES -- 0.7%
666 Tesla, Inc. (a) 952,886
3,071 Winnebago Industries, Inc. 185,519
---------------
1,138,405
---------------
BANKS -- 1.2%
1,733 Atlantic Union Bankshares
Corp. 39,114
989 BancFirst Corp. 43,081
1,256 City Holding Co. 78,450
2,385 Commerce Bancshares, Inc. 136,565
2,490 ConnectOne Bancorp, Inc. 34,337
2,629 Enterprise Financial Services
Corp. 76,399
3,962 First Republic Bank 445,646
3,872 German American Bancorp, Inc. 110,120
1,220 Independent Bank Corp. 78,714
2,585 Lakeland Financial Corp. 114,412
3,031 National Bank Holdings Corp.,
Class A 84,201
2,810 Preferred Bank 104,672
1,620 Sandy Spring Bancorp, Inc. 37,454
1,968 Seacoast Banking Corp. of
Florida (a) 37,156
3,368 ServisFirst Bancshares, Inc. 123,235
2,952 Southside Bancshares, Inc. 81,770
2,411 TCF Financial Corp. 66,278
1,654 Triumph Bancorp, Inc. (a) 43,335
1,995 United Community Banks, Inc. 35,770
4,623 Veritex Holdings, Inc. 77,297
699 Westamerica Bancorporation 42,192
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
BANKS (CONTINUED)
3,745 Western Alliance Bancorp $ 134,633
---------------
2,024,831
---------------
BEVERAGES -- 0.8%
661 Boston Beer (The) Co., Inc.,
Class A (a) 535,700
6,058 Monster Beverage Corp. (a) 475,432
2,174 PepsiCo, Inc. 299,273
---------------
1,310,405
---------------
BIOTECHNOLOGY -- 6.7%
5,857 AbbVie, Inc. 555,888
5,853 ACADIA Pharmaceuticals,
Inc. (a) 243,309
2,978 Acceleron Pharma, Inc. (a) 295,328
5,304 Agios Pharmaceuticals,
Inc. (a) 240,377
1,642 Alector, Inc. (a) 25,730
4,853 Alnylam Pharmaceuticals,
Inc. (a) 707,373
1,219 Amgen, Inc. 298,253
13,566 Amicus Therapeutics, Inc. (a) 196,029
1,300 Arena Pharmaceuticals,
Inc. (a) 79,807
4,926 Arrowhead Pharmaceuticals,
Inc. (a) 212,163
8,752 Athenex, Inc. (a) 92,859
5,828 BioMarin Pharmaceutical,
Inc. (a) 698,253
1,818 Blueprint Medicines Corp. (a) 133,041
5,774 CareDx, Inc. (a) 192,563
2,093 ChemoCentryx, Inc. (a) 110,322
9,163 Coherus Biosciences, Inc. (a) 161,177
4,825 CRISPR Therapeutics AG (a) 412,344
3,384 Denali Therapeutics, Inc. (a) 79,253
8,054 Dicerna Pharmaceuticals,
Inc. (a) 173,161
2,766 Editas Medicine, Inc. (a) 81,210
782 Esperion Therapeutics,
Inc. (a) (b) 29,427
3,307 Exact Sciences Corp. (a) 313,338
11,949 Exelixis, Inc. (a) 275,902
5,963 Fate Therapeutics, Inc. (a) 186,463
3,500 FibroGen, Inc. (a) 141,645
6,104 Halozyme Therapeutics,
Inc. (a) 165,968
2,729 Heron Therapeutics, Inc. (a) 44,455
8,004 Immunomedics, Inc. (a) 338,009
5,531 Incyte Corp. (a) 546,242
7,428 Insmed, Inc. (a) 194,019
6,754 Invitae Corp. (a) 197,217
3,608 Ionis Pharmaceuticals,
Inc. (a) 207,676
7,929 Ironwood Pharmaceuticals,
Inc. (a) 72,709
8,641 Karyopharm Therapeutics,
Inc. (a) 138,688
732 Ligand Pharmaceuticals,
Inc. (a) 85,776
621 Mirati Therapeutics, Inc. (a) 75,333
4,418 Moderna, Inc. (a) 327,374
4,263 Momenta Pharmaceuticals,
Inc. (a) 125,716
3,282 Natera, Inc. (a) 157,602
Page 70 See Notes to Financial Statements
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
BIOTECHNOLOGY (CONTINUED)
2,906 Neurocrine Biosciences,
Inc. (a) $ 349,766
671 Principia Biopharma, Inc. (a) 56,096
4,193 PTC Therapeutics, Inc. (a) 194,262
1,769 Sarepta Therapeutics, Inc. (a) 271,577
4,230 Seattle Genetics, Inc. (a) 703,322
8,401 TG Therapeutics, Inc. (a) 164,492
4,533 Ultragenyx Pharmaceutical,
Inc. (a) 354,299
1,550 Veracyte, Inc. (a) 55,288
2,476 Vertex Pharmaceuticals,
Inc. (a) 673,472
---------------
11,434,573
---------------
BUILDING PRODUCTS -- 1.6%
2,218 AAON, Inc. 131,416
7,178 Advanced Drainage Systems,
Inc. 351,722
1,369 Allegion PLC 136,161
2,163 American Woodmark Corp. (a) 174,381
13,704 Builders FirstSource, Inc. (a) 324,648
27,006 Cornerstone Building Brands,
Inc. (a) 153,124
1,743 CSW Industrials, Inc. 116,415
4,437 Fortune Brands Home &
Security, Inc. 339,431
7,475 JELD-WEN Holding, Inc. (a) 146,510
609 Lennox International, Inc. 163,297
3,363 Simpson Manufacturing Co.,
Inc. 324,731
2,726 Trex Co., Inc. (a) 379,814
---------------
2,741,650
---------------
CAPITAL MARKETS -- 4.2%
14,398 Apollo Global Management,
Inc. 706,942
3,573 Ares Management Corp.,
Class A 142,706
5,036 Artisan Partners Asset
Management, Inc., Class A 182,454
2,470 Blackstone Group (The), Inc.,
Class A 131,602
5,017 Carlyle Group (The), Inc. 142,834
4,169 Cohen & Steers, Inc. 250,890
1,837 Eaton Vance Corp. 66,389
1,278 FactSet Research Systems, Inc. 442,571
6,190 Focus Financial Partners,
Inc., Class A (a) 228,721
1,215 Hamilton Lane, Inc., Class A 87,772
2,941 Houlihan Lokey, Inc. 161,167
3,139 Intercontinental Exchange, Inc. 303,792
9,311 KKR & Co., Inc. 329,330
3,618 LPL Financial Holdings, Inc. 285,894
1,435 MarketAxess Holdings, Inc. 741,465
2,093 Moody's Corp. 588,761
1,509 Morningstar, Inc. 253,572
1,258 MSCI, Inc. 472,983
3,985 PJT Partners, Inc., Class A 213,317
1,745 S&P Global, Inc. 611,186
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
CAPITAL MARKETS (CONTINUED)
2,580 SEI Investments Co. $ 135,011
3,400 T. Rowe Price Group, Inc. 469,540
3,659 Tradeweb Markets, Inc.,
Class A 197,842
---------------
7,146,741
---------------
CHEMICALS -- 1.8%
580 Air Products and Chemicals,
Inc. 166,245
3,674 Albemarle Corp. 302,958
3,145 Axalta Coating Systems
Ltd. (a) 69,819
748 Balchem Corp. 74,995
1,445 Ecolab, Inc. 270,331
4,215 FMC Corp. 447,001
1,557 Ingevity Corp. (a) 91,053
520 Innospec, Inc. 39,088
3,779 RPM International, Inc. 308,329
2,637 Scotts Miracle-Gro (The) Co. 418,149
727 Sherwin-Williams (The) Co. 471,038
14,675 Valvoline, Inc. 301,131
1,396 W.R. Grace & Co. 64,397
---------------
3,024,534
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 1.6%
4,509 ABM Industries, Inc. 161,873
3,140 Casella Waste Systems, Inc.,
Class A (a) 173,987
2,787 Cimpress PLC (a) 278,700
2,159 Cintas Corp. 651,737
2,365 Clean Harbors, Inc. (a) 140,954
3,453 Copart, Inc. (a) 321,992
5,516 IAA, Inc. (a) 239,119
743 McGrath RentCorp 43,109
1,239 MSA Safety, Inc. 146,859
2,534 Stericycle, Inc. (a) 153,142
2,689 Tetra Tech, Inc. 238,380
1,189 UniFirst Corp. 221,725
---------------
2,771,577
---------------
COMMUNICATIONS EQUIPMENT
-- 0.4%
9,823 CommScope Holding Co.,
Inc. (a) 91,157
27,645 Infinera Corp. (a) 218,119
1,742 Lumentum Holdings, Inc. (a) 161,710
2,734 Plantronics, Inc. 54,653
5,567 Viavi Solutions, Inc. (a) 76,992
---------------
602,631
---------------
CONSTRUCTION & ENGINEERING
-- 0.1%
9,799 WillScot Mobile Mini Holdings
Corp. (a) 147,573
---------------
CONSTRUCTION MATERIALS -- 0.2%
2,020 Eagle Materials, Inc. 162,065
678 Martin Marietta Materials,
Inc. 140,468
---------------
302,533
---------------
See Notes to Financial Statements Page 71
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
CONSUMER FINANCE -- 0.6%
1,470 American Express Co. $ 137,181
677 Credit Acceptance
Corp. (a) (b) 316,795
980 LendingTree, Inc. (a) 339,364
1,714 Nelnet, Inc., Class A 99,412
5,780 OneMain Holdings, Inc. 165,886
---------------
1,058,638
---------------
CONTAINERS & PACKAGING -- 0.4%
633 AptarGroup, Inc. 72,922
4,137 Ball Corp. 304,607
2,149 Crown Holdings, Inc. (a) 153,826
4,318 Sealed Air Corp. 154,066
---------------
685,421
---------------
DISTRIBUTORS -- 0.2%
1,304 Pool Corp. 412,977
---------------
DIVERSIFIED CONSUMER SERVICES
-- 0.7%
605 Bright Horizons Family
Solutions, Inc. (a) 64,880
5,272 Chegg, Inc. (a) 426,874
4,799 frontdoor, Inc. (a) 201,534
10,273 Perdoceo Education Corp. (a) 147,931
1,385 Strategic Education, Inc. 174,801
6,448 WW International, Inc. (a) 166,230
---------------
1,182,250
---------------
DIVERSIFIED FINANCIAL SERVICES
-- 0.1%
5,176 Cannae Holdings, Inc. (a) 195,032
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.4%
1,611 Bandwidth, Inc., Class A (a) 233,240
1,833 Cogent Communications
Holdings, Inc. 165,172
2,788 Iridium Communications,
Inc. (a) 76,363
16,268 Vonage Holdings Corp. (a) 194,403
---------------
669,178
---------------
ELECTRIC UTILITIES -- 0.2%
4,849 Evergy, Inc. 314,361
---------------
ELECTRICAL EQUIPMENT -- 1.3%
1,566 AMETEK, Inc. 146,029
4,403 Atkore International Group,
Inc. (a) 117,428
2,908 Generac Holdings, Inc. (a) 458,243
566 Hubbell, Inc. 76,393
24,917 Plug Power, Inc. (a) (b) 192,110
2,700 Rockwell Automation, Inc. 588,978
2,275 Vicor Corp. (a) 185,344
20,664 Vivint Solar, Inc. (a) 420,306
---------------
2,184,831
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 1.7%
1,461 Amphenol Corp., Class A 154,516
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
(CONTINUED)
1,300 Badger Meter, Inc. $ 81,380
3,614 CDW Corp. 420,128
2,375 Cognex Corp. 158,816
2,153 Dolby Laboratories, Inc.,
Class A 149,849
2,247 FARO Technologies, Inc. (a) 134,438
3,496 FLIR Systems, Inc. 145,643
3,211 Itron, Inc. (a) 223,357
2,853 Keysight Technologies,
Inc. (a) 284,986
2,631 Knowles Corp. (a) 40,149
1,832 National Instruments Corp. 65,036
538 OSI Systems, Inc. (a) 38,177
9,722 Trimble, Inc. (a) 432,726
2,247 Zebra Technologies Corp.,
Class A (a) 630,845
---------------
2,960,046
---------------
ENERGY EQUIPMENT & SERVICES
-- 0.0%
3,966 Cactus, Inc., Class A 89,711
---------------
ENTERTAINMENT -- 1.6%
5,532 Activision Blizzard, Inc. 457,109
1,264 Netflix, Inc. (a) 617,944
3,603 Roku, Inc. (a) 558,069
4,120 Take-Two Interactive Software,
Inc. (a) 675,762
924 World Wrestling Entertainment,
Inc., Class A 43,068
37,169 Zynga, Inc., Class A (a) 365,371
---------------
2,717,323
---------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 2.8%
1,079 Agree Realty Corp. 72,261
863 Alexandria Real Estate
Equities, Inc. 153,226
5,059 American Finance Trust, Inc. 36,956
5,273 American Homes 4 Rent,
Class A 152,917
1,112 American Tower Corp. 290,666
1,954 Americold Realty Trust 78,844
4,034 Armada Hoffler Properties, Inc. 38,888
2,001 Community Healthcare Trust,
Inc. 91,506
586 CoreSite Realty Corp. 75,623
5,597 Corporate Office Properties
Trust 148,208
1,718 Crown Castle International
Corp. 286,391
2,925 CyrusOne, Inc. 244,003
5,209 Easterly Government
Properties, Inc. 127,360
598 EastGroup Properties, Inc. 79,331
409 Equinix, Inc. 321,261
1,845 First Industrial Realty Trust,
Inc. 81,032
3,354 Four Corners Property Trust,
Inc. 84,521
2,757 Getty Realty Corp. 81,690
Page 72 See Notes to Financial Statements
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
EQUITY REAL ESTATE INVESTMENT
TRUSTS (CONTINUED)
2,399 Global Net Lease, Inc. $ 39,943
3,494 Independence Realty Trust,
Inc. 40,181
5,860 Industrial Logistics
Properties Trust 123,705
930 Innovative Industrial
Properties, Inc. 96,934
5,084 Invitation Homes, Inc. 151,605
2,717 Iron Mountain, Inc. 76,592
1,062 Lamar Advertising Co.,
Class A 69,805
2,172 LTC Properties, Inc. 80,690
5,647 Monmouth Real Estate
Investment Corp. 81,486
1,401 National Storage Affiliates
Trust 43,179
3,407 NexPoint Residential Trust,
Inc. 130,250
4,637 Office Properties Income Trust 116,620
4,048 Physicians Realty Trust 73,026
1,500 Prologis, Inc. 158,130
2,213 QTS Realty Trust, Inc.,
Class A 159,225
1,712 Rexford Industrial Realty,
Inc. 80,344
698 Safehold, Inc. 35,200
965 SBA Communications Corp. 300,636
2,034 Spirit Realty Capital, Inc. 70,092
2,419 STAG Industrial, Inc. 78,859
17,503 Uniti Group, Inc. 173,280
3,382 Urban Edge Properties 35,443
3,663 Vornado Realty Trust 126,447
---------------
4,786,356
---------------
FOOD & STAPLES RETAILING
-- 0.2%
9,514 BJ's Wholesale Club Holdings,
Inc. (a) 381,036
---------------
FOOD PRODUCTS -- 0.6%
2,117 Beyond Meat, Inc. (a) 266,530
1,956 Freshpet, Inc. (a) 187,874
2,189 Lamb Weston Holdings, Inc. 131,515
2,341 McCormick & Co., Inc. 456,261
2,161 Simply Good Foods (The)
Co. (a) 51,951
---------------
1,094,131
---------------
HEALTH CARE EQUIPMENT
& SUPPLIES -- 5.4%
3,145 Abbott Laboratories 316,513
1,174 ABIOMED, Inc. (a) 352,130
7,944 Accelerate Diagnostics,
Inc. (a) (b) 115,426
1,530 Align Technology, Inc. (a) 449,545
3,641 AtriCure, Inc. (a) 148,589
4,661 Axonics Modulation
Technologies, Inc. (a) 197,440
1,626 Baxter International, Inc. 140,454
2,375 Danaher Corp. 484,025
1,773 DexCom, Inc. (a) 772,212
2,025 Edwards Lifesciences Corp. (a) 158,780
2,973 Globus Medical, Inc.,
Class A (a) 143,239
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
HEALTH CARE EQUIPMENT
& SUPPLIES (CONTINUED)
1,742 IDEXX Laboratories, Inc. (a) $ 692,880
2,162 Insulet Corp. (a) 439,664
246 Intuitive Surgical, Inc. (a) 168,618
1,765 iRhythm Technologies, Inc. (a) 219,707
1,244 Masimo Corp. (a) 273,829
1,828 Neogen Corp. (a) 140,336
1,187 Nevro Corp. (a) 157,824
1,274 NuVasive, Inc. (a) 72,796
1,190 Penumbra, Inc. (a) 264,073
1,585 Quidel Corp. (a) 447,715
2,995 ResMed, Inc. 606,517
3,455 Shockwave Medical, Inc. (a) 170,401
2,875 Silk Road Medical, Inc. (a) 133,572
3,324 STAAR Surgical Co. (a) 193,424
969 Tactile Systems Technology,
Inc. (a) 39,710
3,585 Tandem Diabetes Care, Inc. (a) 374,489
790 Teleflex, Inc. 294,749
2,347 Varian Medical Systems,
Inc. (a) 334,964
3,164 West Pharmaceutical Services,
Inc. 850,705
---------------
9,154,326
---------------
HEALTH CARE PROVIDERS
& SERVICES -- 1.4%
1,429 Amedisys, Inc. (a) 334,615
2,665 BioTelemetry, Inc. (a) 113,422
472 Chemed Corp. 232,314
1,154 CorVel Corp. (a) 91,731
2,878 Ensign Group (The), Inc. 132,359
1,748 Guardant Health, Inc. (a) 148,895
2,424 Hanger, Inc. (a) 42,323
2,418 HealthEquity, Inc. (a) 124,672
1,627 LHC Group, Inc. (a) 317,444
1,406 National Research Corp. 80,409
1,171 Premier, Inc., Class A (a) 40,950
14,678 R1 RCM, Inc. (a) 200,648
10,312 RadNet, Inc. (a) 163,858
4,815 Select Medical Holdings
Corp. (a) 91,678
3,916 Tenet Healthcare Corp. (a) 103,539
14,445 Tivity Health, Inc. (a) 189,518
495 US Physical Therapy, Inc. 41,115
---------------
2,449,490
---------------
HEALTH CARE TECHNOLOGY -- 1.2%
3,718 HMS Holdings Corp. (a) 120,835
8,497 Inovalon Holdings, Inc.,
Class A (a) 199,934
1,881 Inspire Medical Systems,
Inc. (a) 186,896
1,004 Omnicell, Inc. (a) 70,571
2,990 Tabula Rasa HealthCare,
Inc. (a) (b) 168,038
1,858 Teladoc Health, Inc. (a) 441,517
3,066 Veeva Systems, Inc.,
Class A (a) 811,172
---------------
1,998,963
---------------
See Notes to Financial Statements Page 73
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
HOTELS, RESTAURANTS & LEISURE
-- 2.5%
5,018 Brinker International, Inc. $ 134,934
5,311 Caesars Entertainment,
Inc. (a) 164,907
683 Chipotle Mexican Grill,
Inc. (a) 788,974
1,798 Choice Hotels International,
Inc. 151,104
2,131 Churchill Downs, Inc. 295,186
1,944 Dine Brands Global, Inc. 88,316
1,556 Domino's Pizza, Inc. 601,565
1,087 Dunkin' Brands Group, Inc. 74,709
7,779 Everi Holdings, Inc. (a) 44,185
2,761 Jack in the Box, Inc. 226,706
1,178 Monarch Casino & Resort,
Inc. (a) 42,632
2,576 Papa John's International,
Inc. 243,870
2,342 Planet Fitness, Inc.,
Class A (a) 122,252
5,293 Scientific Games Corp. (a) 92,998
2,711 SeaWorld Entertainment,
Inc. (a) 39,228
1,545 Shake Shack, Inc., Class A (a) 75,010
3,692 Six Flags Entertainment Corp. 64,204
1,902 Starbucks Corp. 145,560
9,178 Twin River Worldwide
Holdings, Inc. 197,878
13,024 Wendy's (The) Co. 301,896
1,472 Wingstop, Inc. 230,000
1,664 Wyndham Hotels & Resorts,
Inc. 73,482
---------------
4,199,596
---------------
HOUSEHOLD DURABLES -- 1.7%
849 Cavco Industries, Inc. (a) 170,080
5,898 Garmin Ltd. 581,484
1,504 Helen of Troy Ltd. (a) 283,128
2,974 Installed Building Products,
Inc. (a) 235,273
2,324 LGI Homes, Inc. (a) 265,192
43 NVR, Inc. (a) 168,996
4,948 Skyline Champion Corp. (a) 139,682
13,983 Sonos, Inc. (a) 223,728
4,928 Tempur Sealy International,
Inc. (a) 398,921
3,117 TopBuild Corp. (a) 411,195
---------------
2,877,679
---------------
HOUSEHOLD PRODUCTS -- 0.0%
413 WD-40 Co. 81,175
---------------
INDEPENDENT POWER AND
RENEWABLE ELECTRICITY
PRODUCERS -- 0.1%
7,097 Clearway Energy, Inc., Class C 174,160
---------------
INDUSTRIAL CONGLOMERATES
-- 0.2%
593 Carlisle Cos., Inc. 70,614
741 Roper Technologies, Inc. 320,446
---------------
391,060
---------------
INSURANCE -- 1.4%
2,803 Ambac Financial Group,
Inc. (a) 35,878
656 AMERISAFE, Inc. 41,630
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
INSURANCE (CONTINUED)
4,886 Arch Capital Group Ltd. (a) $ 150,244
10,302 Brown & Brown, Inc. 468,432
1,226 eHealth, Inc. (a) 84,766
739 Erie Indemnity Co., Class A 155,279
1,318 Kinsale Capital Group, Inc. 256,878
3,911 Marsh & McLennan Cos., Inc. 456,023
2,385 Palomar Holdings, Inc. (a) 217,846
1,244 RenaissanceRe Holdings Ltd. 224,393
4,792 Trupanion, Inc. (a) 242,331
---------------
2,333,700
---------------
INTERACTIVE MEDIA & SERVICES
-- 1.8%
405 Alphabet, Inc., Class A (a) 602,620
5,595 Cargurus, Inc. (a) 161,639
2,532 Facebook, Inc., Class A (a) 642,292
12,795 Pinterest, Inc., Class A (a) 438,741
30,599 Snap, Inc., Class A (a) 686,030
4,699 Twitter, Inc. (a) 171,044
6,155 Zillow Group, Inc.,
Class C (a) 420,940
---------------
3,123,306
---------------
INTERNET & DIRECT MARKETING
RETAIL -- 1.4%
261 Amazon.com, Inc. (a) 825,982
4,578 Chewy, Inc., Class A (a) 240,299
3,338 Etsy, Inc. (a) 395,152
11,179 Quotient Technology, Inc. (a) 89,544
9,416 RealReal (The), Inc. (a) 128,434
2,340 Shutterstock, Inc. 127,156
6,562 Stitch Fix, Inc.,
Class A (a) (b) 145,348
1,794 Wayfair, Inc., Class A (a) 477,365
---------------
2,429,280
---------------
IT SERVICES -- 7.0%
2,678 Accenture PLC, Class A 601,961
5,369 Akamai Technologies, Inc. (a) 603,690
940 Automatic Data Processing,
Inc. 124,935
2,932 Black Knight, Inc. (a) 219,665
7,392 Booz Allen Hamilton Holding
Corp. 604,370
4,557 Broadridge Financial
Solutions, Inc. 612,187
981 CACI International, Inc.,
Class A (a) 203,871
1,977 CSG Systems International,
Inc. 83,291
2,852 EPAM Systems, Inc. (a) 827,308
2,912 EVERTEC, Inc. 90,418
1,758 Evo Payments, Inc.,
Class A (a) 39,889
1,899 ExlService Holdings, Inc. (a) 121,650
1,434 Fiserv, Inc. (a) 143,099
1,143 FleetCor Technologies,
Inc. (a) 295,546
1,154 Gartner, Inc. (a) 143,835
5,826 Genpact Ltd. 231,991
7,841 GoDaddy, Inc., Class A (a) 551,066
1,562 Jack Henry & Associates, Inc. 278,505
4,483 Leidos Holdings, Inc. 426,602
1,758 ManTech International Corp.,
Class A 122,322
Page 74 See Notes to Financial Statements
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
IT SERVICES (CONTINUED)
972 Mastercard, Inc., Class A $ 299,891
1,567 MongoDB, Inc. (a) 358,968
5,245 NIC, Inc. 114,970
3,590 Okta, Inc. (a) 793,318
1,848 Paychex, Inc. 132,908
4,125 PayPal Holdings, Inc. (a) 808,789
3,366 Perficient, Inc. (a) 131,981
6,849 Square, Inc., Class A (a) 889,343
6,758 Switch, Inc., Class A 121,576
3,515 TTEC Holdings, Inc. 166,822
3,276 Twilio, Inc., Class A (a) 908,828
11,715 Verra Mobility Corp. (a) 119,845
2,520 Virtusa Corp. (a) 102,312
1,488 Visa, Inc., Class A 283,315
6,474 Western Union (The) Co. 157,189
1,289 WEX, Inc. (a) 204,139
---------------
11,920,395
---------------
LEISURE PRODUCTS -- 0.7%
4,704 Acushnet Holdings Corp. 178,987
11,683 Callaway Golf Co. 222,561
3,938 Malibu Boats, Inc.,
Class A (a) 231,476
7,334 Mattel, Inc. (a) 81,481
8,298 YETI Holdings, Inc. (a) 405,689
---------------
1,120,194
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 2.9%
5,863 Adaptive Biotechnologies
Corp. (a) 218,807
4,752 Agilent Technologies, Inc. 457,760
16,912 Avantor, Inc. (a) 373,417
471 Bio-Rad Laboratories, Inc.,
Class A (a) 247,223
806 Bio-Techne Corp. 221,779
1,743 Bruker Corp. 77,773
2,034 Charles River Laboratories
International, Inc. (a) 404,746
776 Illumina, Inc. (a) 296,556
3,812 Medpace Holdings, Inc. (a) 454,962
174 Mettler-Toledo International,
Inc. (a) 162,690
2,788 NanoString Technologies,
Inc. (a) 100,675
6,868 NeoGenomics, Inc. (a) 262,564
2,931 PerkinElmer, Inc. 348,525
2,187 PRA Health Sciences, Inc. (a) 233,047
2,295 Repligen Corp. (a) 346,338
4,870 Syneos Health, Inc. (a) 303,839
1,159 Thermo Fisher Scientific, Inc. 479,768
---------------
4,990,469
---------------
MACHINERY -- 1.7%
1,595 Alamo Group, Inc. 164,460
684 Albany International Corp.,
Class A 32,887
1,524 Donaldson Co., Inc. 73,670
1,143 Douglas Dynamics, Inc. 40,405
968 ESCO Technologies, Inc. 83,190
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MACHINERY (CONTINUED)
10,998 Evoqua Water Technologies
Corp. (a) $ 211,492
5,505 Federal Signal Corp. 170,160
2,487 Flowserve Corp. 69,313
2,293 Franklin Electric Co., Inc. 123,937
1,644 Illinois Tool Works, Inc. 304,124
2,415 ITT, Inc. 139,418
824 John Bean Technologies Corp. 77,258
1,642 Kadant, Inc. 178,173
7,544 Navistar International
Corp. (a) 241,634
1,121 Nordson Corp. 217,059
1,892 Proto Labs, Inc. (a) 227,267
529 RBC Bearings, Inc. (a) 64,760
2,927 SPX Corp. (a) 122,934
1,852 Tennant Co. 123,380
3,207 Toro (The) Co. 228,819
914 Woodward, Inc. 68,495
---------------
2,962,835
---------------
MEDIA -- 1.1%
120 Cable One, Inc. 218,707
2,923 Cardlytics, Inc. (a) 194,146
38,598 Clear Channel Outdoor
Holdings, Inc. (a) 35,375
11,732 Gray Television, Inc. (a) 168,237
1,129 Liberty Broadband Corp.,
Class C (a) 154,978
6,749 New York Times (The) Co.,
Class A 311,399
3,390 Nexstar Media Group, Inc.,
Class A 297,133
71,535 Sirius XM Holdings, Inc. 420,626
---------------
1,800,601
---------------
METALS & MINING -- 0.3%
23,706 Coeur Mining, Inc. (a) 187,989
2,470 Compass Minerals
International, Inc. 125,822
1,711 Royal Gold, Inc. 239,420
---------------
553,231
---------------
MORTGAGE REAL ESTATE
INVESTMENT TRUSTS -- 0.6%
43,827 Annaly Capital Management,
Inc. 324,758
8,856 Arbor Realty Trust, Inc. 90,243
11,656 Colony Credit Real Estate,
Inc. 73,433
11,397 Granite Point Mortgage Trust,
Inc. 77,386
1,411 Hannon Armstrong Sustainable
Infrastructure Capital,
Inc. 49,427
4,935 KKR Real Estate Finance Trust,
Inc. 82,168
15,380 New York Mortgage Trust, Inc. 40,295
2,290 PennyMac Mortgage Investment
Trust 43,166
4,741 Starwood Property Trust, Inc. 70,878
28,142 Two Harbors Investment Corp. 152,811
---------------
1,004,565
---------------
See Notes to Financial Statements Page 75
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MULTILINE RETAIL -- 0.8%
3,773 Dollar General Corp. $ 718,379
4,795 Target Corp. 603,595
---------------
1,321,974
---------------
OIL, GAS & CONSUMABLE FUELS
-- 0.6%
10,368 Apache Corp. 159,149
8,690 Cheniere Energy, Inc. (a) 429,981
9,847 Equitrans Midstream Corp. 95,024
2,702 Hess Corp. 132,965
72,547 Kosmos Energy Ltd. 116,801
7,915 Noble Energy, Inc. 79,071
34,906 Tellurian, Inc. (a) (b) 31,129
---------------
1,044,120
---------------
PERSONAL PRODUCTS -- 0.1%
1,474 Medifast, Inc. 246,350
---------------
PHARMACEUTICALS -- 1.9%
2,440 Arvinas, Inc. (a) 76,860
2,380 Bristol-Myers Squibb Co. 139,611
3,870 Catalent, Inc. (a) 338,006
12,162 Corcept Therapeutics, Inc. (a) 181,822
2,558 Eli Lilly and Co. 384,442
11,703 Endo International PLC (a) 40,727
6,380 Horizon Therapeutics PLC (a) 390,392
8,614 Innoviva, Inc. (a) 116,677
643 Jazz Pharmaceuticals PLC (a) 69,605
995 Johnson & Johnson 145,031
1,810 Merck & Co., Inc. 145,234
2,202 MyoKardia, Inc. (a) 198,466
6,101 NGM Biopharmaceuticals,
Inc. (a) 111,587
3,899 Pacira BioSciences, Inc. (a) 205,126
3,206 Prestige Consumer Healthcare,
Inc. (a) 119,231
4,932 Revance Therapeutics, Inc. (a) 115,803
3,899 Theravance Biopharma, Inc. (a) 75,719
2,098 Zoetis, Inc. 318,225
---------------
3,172,564
---------------
PROFESSIONAL SERVICES -- 1.7%
6,828 CBIZ, Inc. (a) 165,101
591 CoStar Group, Inc. (a) 502,208
3,345 Equifax, Inc. 543,763
2,629 Exponent, Inc. 220,994
2,476 FTI Consulting, Inc. (a) 295,734
1,849 Huron Consulting Group,
Inc. (a) 88,234
6,606 TransUnion 591,699
2,467 Verisk Analytics, Inc. 465,548
---------------
2,873,281
---------------
REAL ESTATE MANAGEMENT
& DEVELOPMENT -- 0.3%
10,853 Forestar Group, Inc. (a) 187,865
8,260 Newmark Group, Inc., Class A 33,618
4,881 Redfin Corp. (a) 202,952
6,201 St Joe (The) Co. (a) 127,803
---------------
552,238
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
ROAD & RAIL -- 1.2%
2,813 Kansas City Southern $ 483,414
8,710 Lyft, Inc., Class A (a) 254,594
4,238 Old Dominion Freight Line,
Inc. 774,791
1,840 Saia, Inc. (a) 219,788
9,251 Uber Technologies, Inc. (a) 279,935
---------------
2,012,522
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 7.5%
3,018 Advanced Energy Industries,
Inc. (a) 222,034
10,930 Advanced Micro Devices,
Inc. (a) 846,310
876 Ambarella, Inc. (a) 39,665
2,344 Analog Devices, Inc. 269,208
6,946 Applied Materials, Inc. 446,836
911 Broadcom, Inc. 288,559
2,033 Cabot Microelectronics Corp. 306,414
2,296 Cirrus Logic, Inc. (a) 157,345
9,438 Cohu, Inc. 177,718
2,375 Diodes, Inc. (a) 122,194
7,454 Enphase Energy, Inc. (a) 449,923
4,804 Entegris, Inc. 345,456
6,975 FormFactor, Inc. (a) 201,159
3,018 Inphi Corp. (a) 394,332
7,018 Intel Corp. 334,969
2,957 KLA Corp. 590,897
1,778 Lam Research Corp. 670,591
5,765 Lattice Semiconductor
Corp. (a) 179,234
4,764 MACOM Technology Solutions
Holdings, Inc. (a) 201,327
16,401 Marvell Technology Group Ltd. 598,144
2,309 Maxim Integrated Products, Inc. 157,220
3,987 Microchip Technology, Inc. 405,598
1,197 Monolithic Power Systems, Inc. 317,217
1,892 NVIDIA Corp. 803,324
2,401 Power Integrations, Inc. 292,994
6,503 Qorvo, Inc. (a) 833,359
7,880 QUALCOMM, Inc. 832,207
7,923 Rambus, Inc. (a) 116,943
707 Silicon Laboratories, Inc. (a) 71,061
3,284 Skyworks Solutions, Inc. 478,085
15,722 SunPower Corp. (a) (b) 146,686
2,003 Synaptics, Inc. (a) 160,280
8,505 Teradyne, Inc. 756,605
1,102 Texas Instruments, Inc. 140,560
9,040 Ultra Clean Holdings, Inc. (a) 272,014
1,423 Xilinx, Inc. 152,759
---------------
12,779,227
---------------
SOFTWARE -- 16.2%
5,389 2U, Inc. (a) 253,795
5,114 8x8, Inc. (a) 81,313
5,255 ACI Worldwide, Inc. (a) 140,781
1,651 Adobe, Inc. (a) 733,572
3,157 Alarm.com Holdings, Inc. (a) 221,116
4,117 Altair Engineering, Inc.,
Class A (a) 165,915
2,158 Alteryx, Inc., Class A (a) 378,707
Page 76 See Notes to Financial Statements
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
SOFTWARE (CONTINUED)
4,696 Anaplan, Inc. (a) $ 213,245
1,439 ANSYS, Inc. (a) 446,953
1,257 Appfolio, Inc., Class A (a) 175,000
3,193 Appian Corp. (a) (b) 162,428
3,005 Autodesk, Inc. (a) 710,472
2,664 Avalara, Inc. (a) 358,175
4,277 Blackline, Inc. (a) 380,268
2,372 Bottomline Technologies DE,
Inc. (a) 114,473
7,883 Box, Inc., Class A (a) 141,500
5,992 Cadence Design Systems,
Inc. (a) 654,626
7,254 Ceridian HCM Holding, Inc. (a) 567,916
3,888 Citrix Systems, Inc. 555,051
27,877 Cloudera, Inc. (a) 314,174
2,594 Coupa Software, Inc. (a) 794,931
3,536 Crowdstrike Holdings, Inc.,
Class A (a) 400,275
4,174 DocuSign, Inc. (a) 905,048
9,773 Dropbox, Inc., Class A (a) 222,336
3,846 Elastic N.V. (a) 369,947
2,893 Envestnet, Inc. (a) 234,912
2,563 Everbridge, Inc. (a) 365,996
1,375 Fair Isaac Corp. (a) 603,886
3,204 Five9, Inc. (a) 387,107
5,236 Fortinet, Inc. (a) 724,139
1,280 Guidewire Software, Inc. (a) 150,605
1,581 HubSpot, Inc. (a) 370,918
971 Intuit, Inc. 297,485
4,938 LivePerson, Inc. (a) 212,235
3,011 Manhattan Associates, Inc. (a) 288,424
2,063 Microsoft Corp. 422,936
339 MicroStrategy, Inc.,
Class A (a) 42,009
5,107 Mimecast Ltd. (a) 239,671
4,708 Model N, Inc. (a) 181,070
3,088 New Relic, Inc. (a) 218,970
11,210 Nuance Communications,
Inc. (a) 306,593
5,983 Nutanix, Inc., Class A (a) 132,763
5,718 PagerDuty, Inc. (a) 174,285
2,504 Palo Alto Networks, Inc. (a) 640,824
2,321 Paycom Software, Inc. (a) 660,023
2,431 Paylocity Holding Corp. (a) 323,809
2,804 Pegasystems, Inc. 327,760
6,672 Pluralsight, Inc., Class A (a) 141,246
3,108 Progress Software Corp. 108,345
1,276 Proofpoint, Inc. (a) 147,595
903 PROS Holdings, Inc. (a) 29,465
2,735 PTC, Inc. (a) 234,007
3,307 Q2 Holdings, Inc. (a) 311,023
2,045 Qualys, Inc. (a) 252,517
2,780 Rapid7, Inc. (a) 165,605
4,363 RealPage, Inc. (a) 274,913
2,522 RingCentral, Inc., Class A (a) 732,061
7,728 Sailpoint Technologies
Holdings, Inc. (a) 243,432
3,070 salesforce.com, Inc. (a) 598,189
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
SOFTWARE (CONTINUED)
1,775 ServiceNow, Inc. (a) $ 779,580
4,178 Smartsheet, Inc., Class A (a) 199,458
8,027 SolarWinds Corp. (a) 147,376
3,617 Splunk, Inc. (a) 758,919
2,723 SPS Commerce, Inc. (a) 204,688
7,435 SS&C Technologies Holdings,
Inc. 427,512
8,690 SVMK, Inc. (a) 208,386
3,686 Synopsys, Inc. (a) 734,325
5,490 Tenable Holdings, Inc. (a) 186,276
1,768 Trade Desk (The), Inc.,
Class A (a) 797,934
1,210 Tyler Technologies, Inc. (a) 432,272
3,464 Upland Software, Inc. (a) 119,231
1,361 Varonis Systems, Inc. (a) 147,464
1,570 Verint Systems, Inc. (a) 70,477
2,712 VMware, Inc., Class A (a) (b) 380,249
2,241 Workday, Inc., Class A (a) 405,442
3,060 Workiva, Inc. (a) 171,054
9,853 Yext, Inc. (a) 165,727
3,204 Zendesk, Inc. (a) 292,045
1,399 Zoom Video Communications,
Inc., Class A (a) 355,220
3,238 Zscaler, Inc. (a) 420,454
9,445 Zuora, Inc., Class A (a) 109,940
---------------
27,520,864
---------------
SPECIALTY RETAIL -- 2.8%
510 AutoZone, Inc. (a) 615,784
3,795 Boot Barn Holdings, Inc. (a) 73,471
2,560 Buckle (The), Inc. 41,037
1,460 Burlington Stores, Inc. (a) 274,480
6,421 CarMax, Inc. (a) 622,644
2,950 Carvana Co. (a) 457,102
1,990 Five Below, Inc. (a) 216,731
6,151 Floor & Decor Holdings, Inc.,
Class A (a) 405,351
2,295 Home Depot (The), Inc. 609,300
1,364 O'Reilly Automotive, Inc. (a) 651,146
7,353 Rent-A-Center, Inc. 212,649
1,425 RH (a) 409,588
4,913 Sleep Number Corp. (a) 228,455
---------------
4,817,738
---------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 0.7%
1,970 Apple, Inc. 837,329
16,369 Pure Storage, Inc.,
Class A (a) 292,350
---------------
1,129,679
---------------
TEXTILES, APPAREL &
LUXURY GOODS -- 0.8%
1,760 Columbia Sportswear Co. 133,478
5,556 Crocs, Inc. (a) 199,683
1,805 Deckers Outdoor Corp. (a) 377,696
2,996 Levi Strauss & Co., Class A (b) 36,431
4,283 NIKE, Inc., Class B 418,064
6,873 Wolverine World Wide, Inc. 165,227
---------------
1,330,579
---------------
See Notes to Financial Statements Page 77
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
THRIFTS & MORTGAGE FINANCE
-- 0.6%
5,864 Columbia Financial, Inc. (a) $ 70,544
5,561 Flagstar Bancorp, Inc. 174,504
2,209 Meta Financial Group, Inc. 41,220
16,445 Mr. Cooper Group, Inc. (a) 268,547
5,089 NMI Holdings, Inc.,
Class A (a) 78,981
4,895 PennyMac Financial Services,
Inc. 236,233
9,145 Radian Group, Inc. 136,443
1,496 Washington Federal, Inc. 34,917
---------------
1,041,389
---------------
TOBACCO -- 0.1%
11,971 Vector Group Ltd. 105,584
---------------
TRADING COMPANIES
& DISTRIBUTORS -- 0.9%
6,510 BMC Stock Holdings, Inc. (a) 166,656
16,778 Fastenal Co. 789,237
4,093 HD Supply Holdings, Inc. (a) 143,664
3,111 SiteOne Landscape Supply,
Inc. (a) 398,302
---------------
1,497,859
---------------
WATER UTILITIES -- 0.3%
902 American States Water Co. 69,346
2,235 American Water Works Co., Inc. 329,148
1,715 California Water Service Group 80,382
1,218 Middlesex Water Co. 78,025
---------------
556,901
---------------
TOTAL COMMON STOCKS
-- 100.0% 170,383,589
(Cost $130,856,398) ---------------
MONEY MARKET FUNDS -- 0.9%
1,393,417 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.10% (c) (d) 1,393,417
90,481 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 0.04% (c) 90,481
---------------
TOTAL MONEY MARKET FUNDS
-- 0.9% 1,483,898
(Cost $1,483,898) ---------------
TOTAL INVESTMENTS -- 100.9% 171,867,487
(Cost $132,340,296) (e)
NET OTHER ASSETS AND
LIABILITIES -- (0.9)% (1,500,824)
---------------
NET ASSETS -- 100.0% $ 170,366,663
===============
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The remaining contractual
maturity of all of the securities lending transactions is overnight and
continuous. The aggregate value of such securities is $1,336,590 and the
total value of the collateral held by the Fund is $1,393,417.
(c) Rate shown reflects yield as of July 31, 2020.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $132,951,873. As of July
31, 2020, the aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost was $41,131,648 and
the aggregate gross unrealized depreciation for all investments in which
there was an excess of tax cost over value was $2,216,034. The net
unrealized appreciation was $38,915,614.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2020
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
--------------------------------------------
Common Stocks* $ 170,383,589 $ -- $ --
Money Market
Funds 1,483,898 -- --
--------------------------------------------
Total Investments $ 171,867,487 $ -- $ --
============================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
-------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 1,336,590
Non-cash Collateral(2) (1,336,590)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At July 31, 2020, the value of the collateral received from each borrower
exceeded the value of the related securities loaned. This amount is
disclosed on the Portfolio of Investments.
Page 78 See Notes to Financial Statements
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK)
PORTFOLIO OF INVESTMENTS
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.9%
AEROSPACE & DEFENSE -- 1.1%
4,818 Moog, Inc., Class A $ 258,823
6,397 Spirit AeroSystems Holdings,
Inc., Class A 125,189
---------------
384,012
---------------
AIR FREIGHT & LOGISTICS
-- 0.2%
646 C.H. Robinson Worldwide, Inc. 60,543
---------------
AIRLINES -- 2.7%
7,040 Alaska Air Group, Inc. 242,458
23,418 JetBlue Airways Corp. (a) 242,142
7,825 SkyWest, Inc. 205,876
14,340 Spirit Airlines, Inc. (a) (b) 226,715
---------------
917,191
---------------
AUTO COMPONENTS -- 1.5%
7,231 BorgWarner, Inc. 264,655
2,341 Lear Corp. 258,399
---------------
523,054
---------------
AUTOMOBILES -- 0.6%
6,443 Harley-Davidson, Inc. 167,712
479 Thor Industries, Inc. 54,601
---------------
222,313
---------------
BANKS -- 16.3%
6,492 Ameris Bancorp 149,803
14,927 Associated Banc-Corp. 191,663
6,735 BancorpSouth Bank 140,964
8,701 Bank OZK 209,259
10,084 BankUnited, Inc. 203,092
3,618 BOK Financial Corp. 201,523
7,764 Cathay General Bancorp 187,733
4,925 CIT Group, Inc. 93,427
5,403 Columbia Banking System, Inc. 156,309
5,360 Comerica, Inc. 206,467
895 Community Bank System, Inc. 50,326
1,367 Cullen/Frost Bankers, Inc. 98,506
5,448 CVB Financial Corp. 98,445
5,635 East West Bancorp, Inc. 195,309
34,034 F.N.B. Corp. 252,192
378 First Citizens BancShares,
Inc., Class A 160,979
11,845 First Hawaiian, Inc. 205,866
20,503 First Horizon National Corp. 190,063
7,224 Hancock Whitney Corp. 137,689
6,639 Home BancShares, Inc. 108,415
18,018 Investors Bancorp, Inc. 146,306
11,130 Old National Bancorp 155,709
17,650 People's United Financial,
Inc. 190,443
3,647 Pinnacle Financial Partners,
Inc. 144,494
6,867 Popular, Inc. 254,834
1,719 Prosperity Bancshares, Inc. 95,508
955 Signature Bank 97,916
21,780 Sterling Bancorp 245,025
9,947 Synovus Financial Corp. 200,432
1,981 UMB Financial Corp. 98,654
1,846 United Bankshares, Inc. 48,587
19,585 Valley National Bancorp 146,300
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
BANKS (CONTINUED)
7,138 Webster Financial Corp. $ 194,653
4,681 Wintrust Financial Corp. 200,347
6,006 Zions Bancorp N.A. 195,015
---------------
5,652,253
---------------
BIOTECHNOLOGY -- 0.5%
1,688 United Therapeutics Corp. (a) 188,161
---------------
BUILDING PRODUCTS -- 0.7%
1,083 A.O. Smith Corp. 52,136
3,093 UFP Industries, Inc. 180,074
---------------
232,210
---------------
CAPITAL MARKETS -- 3.1%
2,054 Affiliated Managers Group,
Inc. 141,295
3,466 Evercore, Inc., Class A 191,670
8,616 Federated Hermes, Inc. 227,118
23,723 Invesco Ltd. 238,179
1,783 Lazard Ltd., Class A 52,277
4,305 Stifel Financial Corp. 208,706
---------------
1,059,245
---------------
CHEMICALS -- 3.1%
7,257 CF Industries Holdings, Inc. 227,362
2,932 Eastman Chemical Co. 218,815
9,410 Element Solutions, Inc. (a) 102,193
8,523 Huntsman Corp. 157,675
255 NewMarket Corp. 95,577
4,758 Westlake Chemical Corp. 259,311
---------------
1,060,933
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 0.6%
12,795 ADT, Inc. 110,165
2,181 Brady Corp., Class A 100,261
---------------
210,426
---------------
COMMUNICATIONS EQUIPMENT
-- 0.6%
943 Ciena Corp. (a) 56,118
366 F5 Networks, Inc. (a) 49,739
4,466 Juniper Networks, Inc. 113,347
---------------
219,204
---------------
CONSTRUCTION & ENGINEERING
-- 2.2%
3,087 EMCOR Group, Inc. 211,459
5,689 MasTec, Inc. (a) 226,308
3,904 Quanta Services, Inc. 156,043
1,348 Valmont Industries, Inc. 163,378
---------------
757,188
---------------
CONSUMER FINANCE -- 1.9%
1,513 FirstCash, Inc. 87,209
29,048 Navient Corp. 231,222
8,319 Santander Consumer USA
Holdings, Inc. 152,737
29,048 SLM Corp. 196,655
---------------
667,823
---------------
See Notes to Financial Statements Page 79
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
CONTAINERS & PACKAGING -- 1.9%
3,456 Berry Global Group, Inc. (a) $ 172,766
7,298 Graphic Packaging Holding Co. 101,734
1,535 Packaging Corp. of America 147,544
3,152 Silgan Holdings, Inc. 120,564
1,953 Sonoco Products Co. 101,048
---------------
643,656
---------------
DIVERSIFIED CONSUMER SERVICES
-- 0.3%
1,128 Grand Canyon Education,
Inc. (a) 100,099
---------------
DIVERSIFIED FINANCIAL SERVICES
-- 1.2%
16,415 Jefferies Financial Group,
Inc. 265,923
3,283 Voya Financial, Inc. 162,180
---------------
428,103
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 1.3%
2,871 GCI Liberty, Inc., Class A (a) 225,058
21,632 Liberty Latin America Ltd.,
Class C (a) 221,295
---------------
446,353
---------------
ELECTRIC UTILITIES -- 2.6%
3,739 ALLETE, Inc. 221,723
2,831 Hawaiian Electric Industries,
Inc. 102,652
1,169 IDACORP, Inc. 109,009
7,840 NRG Energy, Inc. 265,070
4,884 Portland General Electric Co. 215,531
---------------
913,985
---------------
ELECTRICAL EQUIPMENT -- 1.2%
1,600 Acuity Brands, Inc. 158,560
1,586 EnerSys 106,674
1,754 Regal Beloit Corp. 161,316
---------------
426,550
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 0.9%
1,591 Jabil, Inc. 55,462
299 Littelfuse, Inc. 53,117
1,705 SYNNEX Corp. 212,682
---------------
321,261
---------------
ENTERTAINMENT -- 0.6%
17,680 Cinemark Holdings, Inc. 209,154
---------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 6.9%
26,424 Apple Hospitality REIT, Inc. 233,060
9,376 Brandywine Realty Trust 101,542
15,929 Brixmor Property Group, Inc. 183,343
1,711 Cousins Properties, Inc. 52,562
6,164 EPR Properties 176,475
7,927 Equity Commonwealth 250,255
5,470 Highwoods Properties, Inc. 209,720
4,058 Hudson Pacific Properties,
Inc. 95,647
28,457 Macerich (The) Co. (b) 217,127
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS (CONTINUED)
19,864 Paramount Group, Inc. $ 141,630
5,162 Park Hotels & Resorts, Inc. 42,690
18,686 Pebblebrook Hotel Trust 198,071
14,151 Sabra Health Care REIT, Inc. 208,586
36,002 Service Properties Trust 241,213
6,264 Sunstone Hotel Investors, Inc. 46,855
---------------
2,398,776
---------------
FOOD & STAPLES RETAILING
-- 0.9%
683 Casey's General Stores, Inc. 108,727
1,752 Performance Food Group
Co. (a) 49,091
7,766 US Foods Holding Corp. (a) 157,650
---------------
315,468
---------------
FOOD PRODUCTS -- 2.7%
10,368 Darling Ingredients, Inc. (a) 289,578
1,845 Ingredion, Inc. 159,593
803 J & J Snack Foods Corp. 98,873
329 Lancaster Colony Corp. 52,176
15,113 Pilgrim's Pride Corp. (a) 231,985
35 Seaboard Corp. 94,614
---------------
926,819
---------------
GAS UTILITIES -- 2.5%
3,653 National Fuel Gas Co. 148,202
4,691 New Jersey Resources Corp. 145,703
1,325 ONE Gas, Inc. 100,303
2,218 Southwest Gas Holdings, Inc. 154,462
2,331 Spire, Inc. 143,729
4,816 UGI Corp. 160,565
---------------
852,964
---------------
HEALTH CARE EQUIPMENT
& SUPPLIES -- 0.4%
277 ICU Medical, Inc. (a) 50,893
1,398 Integer Holdings Corp. (a) 91,947
---------------
142,840
---------------
HEALTH CARE PROVIDERS
& SERVICES -- 1.0%
6,097 Acadia Healthcare Co.,
Inc. (a) 181,752
1,128 AMN Healthcare Services,
Inc. (a) 61,972
824 Encompass Health Corp. 56,098
287 Molina Healthcare, Inc. (a) 53,009
---------------
352,831
---------------
HOTELS, RESTAURANTS & LEISURE
-- 0.6%
2,443 Boyd Gaming Corp. 57,826
971 Texas Roadhouse, Inc. 54,560
3,623 Wyndham Destinations, Inc. 96,372
---------------
208,758
---------------
HOUSEHOLD DURABLES -- 3.3%
8,320 KB Home 279,885
2,905 Leggett & Platt, Inc. 116,462
2,508 Mohawk Industries, Inc. (a) 200,264
7,832 Toll Brothers, Inc. 299,182
Page 80 See Notes to Financial Statements
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
HOUSEHOLD DURABLES (CONTINUED)
1,576 Whirlpool Corp. $ 257,077
---------------
1,152,870
---------------
INSURANCE -- 6.3%
1,609 American Financial Group, Inc. 97,779
2,125 American National Group, Inc. 156,506
494 Assurant, Inc. 53,090
10,457 Assured Guaranty Ltd. 228,276
3,274 Athene Holding Ltd.,
Class A (a) 105,587
1,259 Axis Capital Holdings Ltd. 50,511
9,175 Brighthouse Financial,
Inc. (a) 260,020
334 Enstar Group Ltd. (a) 56,095
5,316 First American Financial Corp. 271,169
1,008 Hanover Insurance Group (The),
Inc. 102,695
2,112 Kemper Corp. 165,834
438 Primerica, Inc. 52,411
2,603 Reinsurance Group of America,
Inc. 221,906
1,936 Selective Insurance Group,
Inc. 105,202
15,386 Unum Group 265,101
---------------
2,192,182
---------------
INTERACTIVE MEDIA & SERVICES
-- 0.2%
2,686 TripAdvisor, Inc. 54,338
---------------
IT SERVICES -- 0.5%
1,449 MAXIMUS, Inc. 107,530
657 Science Applications
International Corp. 52,547
---------------
160,077
---------------
LEISURE PRODUCTS -- 0.2%
552 Polaris, Inc. 57,204
---------------
MACHINERY -- 4.3%
1,841 AGCO Corp. 120,825
5,552 Allison Transmission Holdings,
Inc. 207,423
5,162 Barnes Group, Inc. 190,323
859 Crane Co. 48,593
606 Lincoln Electric Holdings,
Inc. 54,776
1,940 Middleby (The) Corp. (a) 161,136
2,851 Oshkosh Corp. 224,431
3,503 Rexnord Corp. 101,482
1,106 Snap-on, Inc. 161,332
4,489 Timken (The) Co. 204,968
---------------
1,475,289
---------------
MEDIA -- 1.2%
8,925 Interpublic Group of (The)
Cos., Inc. 161,096
22,914 TEGNA, Inc. 269,927
---------------
431,023
---------------
METALS & MINING -- 1.5%
2,689 Reliance Steel & Aluminum Co. 264,221
9,784 Steel Dynamics, Inc. 268,180
---------------
532,401
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MORTGAGE REAL ESTATE
INVESTMENT TRUSTS -- 0.3%
5,204 Apollo Commercial Real Estate
Finance, Inc. $ 48,397
5,312 Chimera Investment Corp. 47,755
---------------
96,152
---------------
MULTILINE RETAIL -- 1.5%
12,290 Kohl's Corp. 234,002
37,101 Macy's, Inc. (b) 224,832
3,296 Nordstrom, Inc. (b) 45,122
---------------
503,956
---------------
MULTI-UTILITIES -- 1.9%
4,209 Avista Corp. 156,280
2,703 Black Hills Corp. 156,396
9,207 MDU Resources Group, Inc. 193,163
2,809 NorthWestern Corp. 158,034
---------------
663,873
---------------
OIL, GAS & CONSUMABLE FUELS
-- 4.1%
12,693 CVR Energy, Inc. 243,706
8,742 HollyFrontier Corp. 240,405
41,709 Marathon Oil Corp. 228,983
18,497 Murphy Oil Corp. 244,345
26,728 Ovintiv, Inc. 258,994
32,007 WPX Energy, Inc. (a) 191,082
---------------
1,407,515
---------------
PERSONAL PRODUCTS -- 0.2%
1,135 Herbalife Nutrition
Ltd. (a) (b) 58,157
---------------
PHARMACEUTICALS -- 0.3%
1,847 Perrigo Co. PLC 97,928
---------------
PROFESSIONAL SERVICES -- 1.5%
1,531 ASGN, Inc. (a) 104,812
789 Insperity, Inc. 52,753
2,970 ManpowerGroup, Inc. 204,306
1,933 Robert Half International, Inc. 98,332
838 TriNet Group, Inc. (a) 55,308
---------------
515,511
---------------
REAL ESTATE MANAGEMENT
& DEVELOPMENT -- 1.3%
2,467 Jones Lang LaSalle, Inc. 244,011
13,417 Kennedy-Wilson Holdings, Inc. 199,108
---------------
443,119
---------------
ROAD & RAIL -- 1.2%
676 AMERCO 214,786
3,672 Knight-Swift Transportation
Holdings, Inc. 159,695
455 Landstar System, Inc. 55,410
---------------
429,891
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 0.3%
1,031 First Solar, Inc. (a) 61,396
451 MKS Instruments, Inc. 57,476
---------------
118,872
---------------
See Notes to Financial Statements Page 81
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
SOFTWARE -- 0.2%
1,233 CDK Global, Inc. $ 56,052
---------------
SPECIALTY RETAIL -- 3.1%
358 Advance Auto Parts, Inc. 53,750
2,717 AutoNation, Inc. (a) 139,491
1,237 Dick's Sporting Goods, Inc. 56,432
5,252 Foot Locker, Inc. 154,356
675 Lithia Motors, Inc., Class A 154,676
1,360 Murphy USA, Inc. (a) 180,078
5,275 Penske Automotive Group, Inc. 236,426
1,245 Williams-Sonoma, Inc. 108,464
---------------
1,083,673
---------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 1.6%
14,738 NCR Corp. (a) 271,621
16,694 Xerox Holdings Corp. 277,955
---------------
549,576
---------------
TEXTILES, APPAREL &
LUXURY GOODS -- 1.5%
633 Carter's, Inc. 49,830
13,565 Hanesbrands, Inc. 191,673
2,112 Ralph Lauren Corp. 150,586
3,254 Skechers U.S.A., Inc.,
Class A (a) 95,277
2,068 Steven Madden Ltd. 43,800
---------------
531,166
---------------
THRIFTS & MORTGAGE FINANCE
-- 1.8%
7,038 Essent Group Ltd. 252,172
31,167 MGIC Investment Corp. 257,751
10,010 New York Community Bancorp,
Inc. 105,405
---------------
615,328
---------------
TRADING COMPANIES
& DISTRIBUTORS -- 1.1%
8,715 Air Lease Corp. 228,507
1,402 MSC Industrial Direct Co.,
Inc., Class A 92,546
287 Watsco, Inc. 67,752
---------------
388,805
---------------
TRANSPORTATION INFRASTRUCTURE
-- 0.4%
4,990 Macquarie Infrastructure Corp. 149,500
---------------
TOTAL COMMON STOCKS
-- 99.9% 34,606,631
(Cost $38,744,263) ---------------
MONEY MARKET FUNDS -- 2.1%
729,618 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.10% (c) (d) 729,618
(Cost $729,618) ---------------
DESCRIPTION VALUE
-------------------------------------------------------------
TOTAL INVESTMENTS -- 102.0% $ 35,336,249
(Cost $39,473,881) (e)
NET OTHER ASSETS AND
LIABILITIES -- (2.0)% (699,959)
---------------
NET ASSETS -- 100.0% $ 34,636,290
===============
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The remaining contractual
maturity of all of the securities lending transactions is overnight and
continuous. The aggregate value of such securities is $689,479 and the
total value of the collateral held by the Fund is $729,618.
(c) Rate shown reflects yield as of July 31, 2020.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $40,198,539. As of July
31, 2020, the aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost was $1,571,794 and the
aggregate gross unrealized depreciation for all investments in which there
was an excess of tax cost over value was $6,434,084. The net unrealized
depreciation was $4,862,290.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2020
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
--------------------------------------------
Common Stocks* $ 34,606,631 $ -- $ --
Money Market
Funds 729,618 -- --
--------------------------------------------
Total Investments $ 35,336,249 $ -- $ --
============================================
* See Portfolio of Investments for industry breakout.
Page 82 See Notes to Financial Statements
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
-------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 689,479
Non-cash Collateral(2) (689,479)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At July 31, 2020, the value of the collateral received from each borrower
exceeded the value of the related securities loaned. This amount is
disclosed on the Portfolio of Investments.
See Notes to Financial Statements Page 83
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY)
PORTFOLIO OF INVESTMENTS
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 1.8%
11,743 Aerojet Rocketdyne Holdings,
Inc. (a) $ 484,399
23,720 Axon Enterprise, Inc. (a) 1,971,844
24,656 BWX Technologies, Inc. 1,344,245
11,837 Mercury Systems, Inc. (a) 916,539
38,534 Parsons Corp. (a) 1,342,139
---------------
6,059,166
---------------
AIR FREIGHT & LOGISTICS
-- 0.5%
24,105 XPO Logistics, Inc. (a) 1,808,357
---------------
AUTO COMPONENTS -- 0.3%
36,128 Gentex Corp. 975,095
---------------
BANKS -- 0.7%
15,657 Commerce Bancshares, Inc. 896,520
15,823 TCF Financial Corp. 434,974
24,582 Western Alliance Bancorp 883,723
---------------
2,215,217
---------------
BEVERAGES -- 1.0%
4,338 Boston Beer (The) Co., Inc.,
Class A (a) 3,515,689
---------------
BIOTECHNOLOGY -- 8.2%
38,414 ACADIA Pharmaceuticals,
Inc. (a) 1,596,870
19,543 Acceleron Pharma, Inc. (a) 1,938,079
34,817 Agios Pharmaceuticals,
Inc. (a) 1,577,907
32,333 Arrowhead Pharmaceuticals,
Inc. (a) 1,392,582
11,935 Blueprint Medicines Corp. (a) 873,403
31,670 CRISPR Therapeutics AG (a) 2,706,518
78,431 Exelixis, Inc. (a) 1,810,972
22,970 FibroGen, Inc. (a) 929,596
52,538 Immunomedics, Inc. (a) 2,218,680
23,684 Ionis Pharmaceuticals,
Inc. (a) 1,363,251
4,078 Mirati Therapeutics, Inc. (a) 494,702
29,000 Moderna, Inc. (a) 2,148,900
27,982 Momenta Pharmaceuticals,
Inc. (a) 825,189
19,080 Neurocrine Biosciences,
Inc. (a) 2,296,469
27,525 PTC Therapeutics, Inc. (a) 1,275,233
11,613 Sarepta Therapeutics, Inc. (a) 1,782,828
29,754 Ultragenyx Pharmaceutical,
Inc. (a) 2,325,573
---------------
27,556,752
---------------
BUILDING PRODUCTS -- 3.7%
47,114 Advanced Drainage Systems,
Inc. 2,308,586
89,948 Builders FirstSource, Inc. (a) 2,130,868
29,127 Fortune Brands Home &
Security, Inc. 2,228,216
3,994 Lennox International, Inc. 1,070,951
22,070 Simpson Manufacturing Co.,
Inc. 2,131,079
17,896 Trex Co., Inc. (a) 2,493,450
---------------
12,363,150
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
CAPITAL MARKETS -- 2.6%
23,452 Ares Management Corp.,
Class A $ 936,673
27,362 Cohen & Steers, Inc. 1,646,645
12,057 Eaton Vance Corp. 435,740
23,750 LPL Financial Holdings, Inc. 1,876,725
9,906 Morningstar, Inc. 1,664,604
16,931 SEI Investments Co. 885,999
24,019 Tradeweb Markets, Inc.,
Class A 1,298,708
---------------
8,745,094
---------------
CHEMICALS -- 3.0%
24,117 Albemarle Corp. 1,988,688
20,642 Axalta Coating Systems
Ltd. (a) 458,252
4,906 Balchem Corp. 491,876
24,806 RPM International, Inc. 2,023,921
17,307 Scotts Miracle-Gro (The) Co. 2,744,371
96,327 Valvoline, Inc. 1,976,630
9,159 W.R. Grace & Co. 422,505
---------------
10,106,243
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 2.8%
18,295 Cimpress PLC (a) (b) 1,829,500
15,524 Clean Harbors, Inc. (a) 925,230
36,206 IAA, Inc. (a) 1,569,530
8,137 MSA Safety, Inc. 964,479
16,630 Stericycle, Inc. (a) 1,005,034
17,651 Tetra Tech, Inc. 1,564,761
7,803 UniFirst Corp. 1,455,104
---------------
9,313,638
---------------
COMMUNICATIONS EQUIPMENT
-- 0.5%
11,435 Lumentum Holdings, Inc. (a) 1,061,511
36,538 Viavi Solutions, Inc. (a) 505,321
---------------
1,566,832
---------------
CONSTRUCTION MATERIALS -- 0.3%
13,257 Eagle Materials, Inc. 1,063,609
---------------
CONSUMER FINANCE -- 1.6%
4,446 Credit Acceptance
Corp. (a) (b) 2,080,461
6,432 LendingTree, Inc. (a) (b) 2,227,338
37,936 OneMain Holdings, Inc. 1,088,763
---------------
5,396,562
---------------
CONTAINERS & PACKAGING -- 0.4%
4,156 AptarGroup, Inc. 478,771
28,342 Sealed Air Corp. 1,011,243
---------------
1,490,014
---------------
DISTRIBUTORS -- 0.8%
8,562 Pool Corp. 2,711,585
---------------
DIVERSIFIED CONSUMER SERVICES
-- 1.7%
3,971 Bright Horizons Family
Solutions, Inc. (a) 425,850
34,602 Chegg, Inc. (a) 2,801,724
31,503 frontdoor, Inc. (a) 1,322,968
9,089 Strategic Education, Inc. 1,147,123
---------------
5,697,665
---------------
Page 84 See Notes to Financial Statements
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
DIVERSIFIED FINANCIAL SERVICES
-- 0.4%
33,976 Cannae Holdings, Inc. (a) $ 1,280,216
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.5%
12,033 Cogent Communications
Holdings, Inc. 1,084,294
18,300 Iridium Communications,
Inc. (a) 501,237
---------------
1,585,531
---------------
ELECTRICAL EQUIPMENT -- 1.0%
19,090 Generac Holdings, Inc. (a) 3,008,202
3,712 Hubbell, Inc. 501,009
---------------
3,509,211
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 1.4%
15,588 Cognex Corp. 1,042,369
14,133 Dolby Laboratories, Inc.,
Class A 983,657
22,948 FLIR Systems, Inc. 956,014
21,080 Itron, Inc. (a) 1,466,325
12,024 National Instruments Corp. 426,852
---------------
4,875,217
---------------
ENTERTAINMENT -- 0.7%
243,967 Zynga, Inc., Class A (a) 2,398,196
---------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 3.0%
7,086 Agree Realty Corp. 474,549
34,607 American Homes 4 Rent,
Class A 1,003,603
12,822 Americold Realty Trust 517,368
3,844 CoreSite Realty Corp. 496,068
36,739 Corporate Office Properties
Trust 972,849
19,195 CyrusOne, Inc. 1,601,247
3,926 EastGroup Properties, Inc. 520,823
12,111 First Industrial Realty Trust,
Inc. 531,915
17,834 Iron Mountain, Inc. 502,740
6,974 Lamar Advertising Co., Class A 458,401
26,569 Physicians Realty Trust 479,305
14,526 QTS Realty Trust, Inc.,
Class A 1,045,146
11,235 Rexford Industrial Realty,
Inc. 527,259
13,352 Spirit Realty Capital, Inc. 460,110
15,874 STAG Industrial, Inc. 517,492
---------------
10,108,875
---------------
FOOD & STAPLES RETAILING
-- 0.7%
62,449 BJ's Wholesale Club Holdings,
Inc. (a) 2,501,082
---------------
FOOD PRODUCTS -- 0.5%
13,895 Beyond Meat, Inc. (a) 1,749,380
---------------
HEALTH CARE EQUIPMENT
& SUPPLIES -- 4.3%
7,706 ABIOMED, Inc. (a) 2,311,338
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
HEALTH CARE EQUIPMENT
& SUPPLIES (CONTINUED)
19,514 Globus Medical, Inc.,
Class A (a) $ 940,185
8,168 Masimo Corp. (a) 1,797,940
11,998 Neogen Corp. (a) 921,087
7,792 Nevro Corp. (a) 1,036,024
8,361 NuVasive, Inc. (a) 477,748
7,808 Penumbra, Inc. (a) 1,732,673
10,403 Quidel Corp. (a) 2,938,535
23,527 Tandem Diabetes Care, Inc. (a) 2,457,630
---------------
14,613,160
---------------
HEALTH CARE PROVIDERS
& SERVICES -- 2.6%
9,378 Amedisys, Inc. (a) 2,195,952
3,093 Chemed Corp. 1,522,344
11,475 Guardant Health, Inc. (a) 977,440
15,867 HealthEquity, Inc. (a) 818,103
10,682 LHC Group, Inc. (a) 2,084,165
31,601 Select Medical Holdings
Corp. (a) 601,683
25,705 Tenet Healthcare Corp. (a) 679,640
---------------
8,879,327
---------------
HEALTH CARE TECHNOLOGY -- 1.0%
6,592 Omnicell, Inc. (a) 463,352
12,193 Teladoc Health, Inc. (a) 2,897,422
---------------
3,360,774
---------------
HOTELS, RESTAURANTS & LEISURE
-- 2.4%
34,859 Caesars Entertainment,
Inc. (a) 1,082,372
11,797 Choice Hotels International,
Inc. 991,420
13,984 Churchill Downs, Inc. 1,937,064
7,136 Dunkin' Brands Group, Inc. 490,457
15,369 Planet Fitness, Inc.,
Class A (a) 802,262
24,234 Six Flags Entertainment Corp. 421,429
85,491 Wendy's (The) Co. 1,981,681
10,923 Wyndham Hotels & Resorts,
Inc. 482,360
---------------
8,189,045
---------------
HOUSEHOLD DURABLES -- 2.1%
9,876 Helen of Troy Ltd. (a) 1,859,157
32,347 Tempur Sealy International,
Inc. (a) 2,618,490
20,457 TopBuild Corp. (a) 2,698,687
---------------
7,176,334
---------------
INDUSTRIAL CONGLOMERATES
-- 0.1%
3,887 Carlisle Cos., Inc. 462,864
---------------
INSURANCE -- 0.7%
4,853 Erie Indemnity Co., Class A 1,019,712
8,166 RenaissanceRe Holdings Ltd. 1,472,983
---------------
2,492,695
---------------
INTERACTIVE MEDIA & SERVICES
-- 2.0%
36,725 Cargurus, Inc. (a) 1,060,985
83,985 Pinterest, Inc., Class A (a) 2,879,846
See Notes to Financial Statements Page 85
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
INTERACTIVE MEDIA & SERVICES
(CONTINUED)
40,399 Zillow Group, Inc.,
Class C (a) $ 2,762,887
---------------
6,703,718
---------------
INTERNET & DIRECT MARKETING
RETAIL -- 1.7%
21,909 Etsy, Inc. (a) 2,593,587
11,776 Wayfair, Inc., Class A (a) (b) 3,133,476
---------------
5,727,063
---------------
IT SERVICES -- 2.4%
19,247 Black Knight, Inc. (a) 1,441,985
6,440 CACI International, Inc.,
Class A (a) 1,338,361
38,240 Genpact Ltd. 1,522,717
10,283 MongoDB, Inc. (a) 2,355,629
8,462 WEX, Inc. (a) 1,340,127
---------------
7,998,819
---------------
LEISURE PRODUCTS -- 0.9%
48,139 Mattel, Inc. (a) 534,824
54,470 YETI Holdings, Inc. (a) 2,663,039
---------------
3,197,863
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 5.4%
38,488 Adaptive Biotechnologies
Corp. (a) 1,436,372
3,090 Bio-Rad Laboratories, Inc.,
Class A (a) 1,621,910
5,288 Bio-Techne Corp. 1,455,046
11,444 Bruker Corp. 510,631
13,348 Charles River Laboratories
International, Inc. (a) 2,656,119
25,023 Medpace Holdings, Inc. (a) 2,986,495
45,075 NeoGenomics, Inc. (a) 1,723,217
14,355 PRA Health Sciences, Inc. (a) 1,529,669
15,062 Repligen Corp. (a) 2,273,007
31,964 Syneos Health, Inc. (a) 1,994,234
---------------
18,186,700
---------------
MACHINERY -- 2.7%
10,007 Donaldson Co., Inc. 483,738
16,323 Flowserve Corp. 454,922
15,849 ITT, Inc. 914,963
5,412 John Bean Technologies Corp. 507,429
49,521 Navistar International
Corp. (a) 1,586,157
7,363 Nordson Corp. 1,425,698
12,416 Proto Labs, Inc. (a) 1,491,410
3,471 RBC Bearings, Inc. (a) 424,920
21,049 Toro (The) Co. 1,501,846
6,002 Woodward, Inc. 449,790
---------------
9,240,873
---------------
MEDIA -- 1.6%
787 Cable One, Inc. 1,434,355
44,303 New York Times (The) Co.,
Class A 2,044,140
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MEDIA (CONTINUED)
22,251 Nexstar Media Group, Inc.,
Class A $ 1,950,300
---------------
5,428,795
---------------
METALS & MINING -- 0.5%
11,232 Royal Gold, Inc. 1,571,694
---------------
MORTGAGE REAL ESTATE
INVESTMENT TRUSTS -- 0.4%
31,117 Starwood Property Trust, Inc. 465,199
184,718 Two Harbors Investment Corp. 1,003,019
---------------
1,468,218
---------------
OIL, GAS & CONSUMABLE FUELS
-- 0.2%
51,954 Noble Energy, Inc. 519,020
---------------
PHARMACEUTICALS -- 1.9%
25,401 Catalent, Inc. (a) 2,218,523
41,876 Horizon Therapeutics PLC (a) 2,562,392
4,219 Jazz Pharmaceuticals PLC (a) 456,707
14,452 MyoKardia, Inc. (a) 1,302,559
---------------
6,540,181
---------------
PROFESSIONAL SERVICES -- 1.0%
17,257 Exponent, Inc. 1,450,624
16,253 FTI Consulting, Inc. (a) 1,941,258
---------------
3,391,882
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 4.5%
13,343 Cabot Microelectronics Corp. 2,011,057
15,068 Cirrus Logic, Inc. (a) 1,032,610
48,928 Enphase Energy, Inc. (a) 2,953,294
31,532 Entegris, Inc. 2,267,466
19,808 Inphi Corp. (a) 2,588,113
7,859 Monolithic Power Systems, Inc. 2,082,714
15,761 Power Integrations, Inc. 1,923,315
4,641 Silicon Laboratories, Inc. (a) 466,467
---------------
15,325,036
---------------
SOFTWARE -- 17.5%
34,493 ACI Worldwide, Inc. (a) 924,067
14,165 Alteryx, Inc., Class A (a) 2,485,816
30,819 Anaplan, Inc. (a) 1,399,491
17,487 Avalara, Inc. (a) 2,351,127
28,074 Blackline, Inc. (a) 2,496,059
182,976 Cloudera, Inc. (a) 2,062,139
23,208 Crowdstrike Holdings, Inc.,
Class A (a) 2,627,146
64,148 Dropbox, Inc., Class A (a) 1,459,367
25,239 Elastic N.V. (a) 2,427,739
18,990 Envestnet, Inc. (a) 1,541,988
16,821 Everbridge, Inc. (a) 2,402,039
21,030 Five9, Inc. (a) 2,540,845
8,401 Guidewire Software, Inc. (a) 988,462
10,376 HubSpot, Inc. (a) 2,434,313
19,767 Manhattan Associates, Inc. (a) 1,893,481
33,521 Mimecast Ltd. (a) 1,573,140
20,271 New Relic, Inc. (a) 1,437,417
Page 86 See Notes to Financial Statements
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
SOFTWARE (CONTINUED)
73,579 Nuance Communications,
Inc. (a) $ 2,012,386
39,276 Nutanix, Inc., Class A (a) 871,534
15,954 Paylocity Holding Corp. (a) 2,125,073
18,404 Pegasystems, Inc. 2,151,244
8,377 Proofpoint, Inc. (a) 968,968
17,952 PTC, Inc. (a) 1,535,973
21,703 Q2 Holdings, Inc. (a) 2,041,167
13,427 Qualys, Inc. (a) 1,657,966
18,246 Rapid7, Inc. (a) 1,086,914
28,641 RealPage, Inc. (a) 1,804,669
27,426 Smartsheet, Inc., Class A (a) 1,309,317
52,687 SolarWinds Corp. (a) 967,333
10,303 Verint Systems, Inc. (a) 462,502
21,032 Zendesk, Inc. (a) 1,917,067
9,182 Zoom Video Communications,
Inc., Class A (a) 2,331,402
21,255 Zscaler, Inc. (a) 2,759,962
---------------
59,048,113
---------------
SPECIALTY RETAIL -- 2.9%
19,365 Carvana Co. (a) 3,000,607
13,062 Five Below, Inc. (a) 1,422,582
40,372 Floor & Decor Holdings, Inc.,
Class A (a) 2,660,515
9,352 RH (a) 2,688,045
---------------
9,771,749
---------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 0.6%
107,442 Pure Storage, Inc.,
Class A (a) 1,918,914
---------------
TEXTILES, APPAREL &
LUXURY GOODS -- 1.0%
11,556 Columbia Sportswear Co. 876,407
11,852 Deckers Outdoor Corp. (a) 2,480,031
---------------
3,356,438
---------------
THRIFTS & MORTGAGE FINANCE
-- 0.3%
60,026 Radian Group, Inc. 895,588
---------------
TRADING COMPANIES
& DISTRIBUTORS -- 1.1%
26,870 HD Supply Holdings, Inc. (a) 943,137
20,423 SiteOne Landscape Supply,
Inc. (a) 2,614,757
---------------
3,557,894
---------------
WATER UTILITIES -- 0.1%
5,921 American States Water Co. 455,206
---------------
TOTAL COMMON STOCKS
-- 100.0% 338,070,339
(Cost $263,664,957) ---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MONEY MARKET FUNDS -- 0.9%
3,206,045 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.10% (c) (d) $ 3,206,045
(Cost $3,206,045) ---------------
TOTAL INVESTMENTS -- 100.9% 341,276,384
(Cost $266,871,002) (e)
NET OTHER ASSETS AND
LIABILITIES -- (0.9)% (3,127,362)
---------------
NET ASSETS -- 100.0% $ 338,149,022
===============
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The remaining contractual
maturity of all of the securities lending transactions is overnight and
continuous. The aggregate value of such securities is $3,059,093 and the
total value of the collateral held by the Fund is $3,206,045.
(c) Rate shown reflects yield as of July 31, 2020.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $268,998,904. As of July
31, 2020, the aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost was $77,598,028 and
the aggregate gross unrealized depreciation for all investments in which
there was an excess of tax cost over value was $5,320,548. The net
unrealized appreciation was $72,277,480.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2020
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
--------------------------------------------
Common Stocks* $ 338,070,339 $ -- $ --
Money Market
Funds 3,206,045 -- --
--------------------------------------------
Total Investments $ 341,276,384 $ -- $ --
============================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 87
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
-------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 3,059,093
Non-cash Collateral(2) (3,059,093)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At July 31, 2020, the value of the collateral received from each borrower
exceeded the value of the related securities loaned. This amount is
disclosed on the Portfolio of Investments.
Page 88 See Notes to Financial Statements
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT)
PORTFOLIO OF INVESTMENTS
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.8%
AEROSPACE & DEFENSE -- 0.8%
11,331 AAR Corp. $ 195,120
721 AeroVironment, Inc. (a) 55,193
2,815 Kaman Corp. 111,164
---------------
361,477
---------------
AIR FREIGHT & LOGISTICS
-- 1.4%
10,517 Air Transport Services Group,
Inc. (a) 256,299
2,351 Forward Air Corp. 122,228
4,894 Hub Group, Inc., Class A (a) 258,893
---------------
637,420
---------------
AIRLINES -- 0.5%
20,853 Hawaiian Holdings, Inc. 247,942
---------------
AUTO COMPONENTS -- 1.7%
8,483 Cooper Tire & Rubber Co. 263,482
24,017 Dana, Inc. 274,515
857 Dorman Products, Inc. (a) 70,060
1,477 Gentherm, Inc. (a) 57,263
2,842 Standard Motor Products, Inc. 129,254
---------------
794,574
---------------
BANKS -- 13.2%
4,844 1st Source Corp. 160,433
4,535 Banner Corp. 160,675
21,254 Berkshire Hills Bancorp, Inc. 211,690
34,043 Boston Private Financial
Holdings, Inc. 200,343
11,618 Brookline Bancorp, Inc. 111,475
6,484 Cadence BanCorp 50,640
7,152 Eagle Bancorp, Inc. 215,132
4,728 FB Financial Corp. 120,138
9,339 First Bancorp 192,944
41,899 First BanCorp 227,931
9,241 First Busey Corp. 158,021
20,815 First Commonwealth Financial
Corp. 163,814
21,078 First Financial Bancorp 293,300
3,783 First Interstate BancSystem,
Inc., Class A 110,123
6,251 First Merchants Corp. 152,712
17,544 First Midwest Bancorp, Inc. 212,896
16,367 Fulton Financial Corp. 158,760
7,004 Heartland Financial USA, Inc. 218,805
8,617 Heritage Financial Corp. 162,991
12,695 Hilltop Holdings, Inc. 247,172
25,403 Hope Bancorp, Inc. 214,147
5,780 Independent Bank Group, Inc. 253,915
5,382 International Bancshares Corp. 163,720
3,807 NBT Bancorp, Inc. 113,411
9,776 OceanFirst Financial Corp. 149,768
8,759 OFG Bancorp 114,568
5,402 Pacific Premier Bancorp, Inc. 113,496
1,664 Park National Corp. 142,705
6,922 Renasant Corp. 160,798
7,350 S&T Bancorp, Inc. 158,025
17,111 Simmons First National Corp.,
Class A 283,871
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
BANKS (CONTINUED)
9,148 TowneBank $ 161,371
5,660 TriCo Bancshares 158,480
7,029 Trustmark Corp. 158,293
11,532 WesBanco, Inc. 228,680
---------------
6,105,243
---------------
BEVERAGES -- 0.1%
941 National Beverage
Corp. (a) (b) 60,365
---------------
BIOTECHNOLOGY -- 0.1%
1,144 Enanta Pharmaceuticals,
Inc. (a) 52,452
---------------
BUILDING PRODUCTS -- 1.3%
2,439 Gibraltar Industries, Inc. (a) 126,145
6,323 Griffon Corp. 144,607
1,912 Patrick Industries, Inc. 122,272
7,469 PGT Innovations, Inc. (a) 127,496
4,902 Resideo Technologies, Inc. (a) 65,099
---------------
585,619
---------------
CAPITAL MARKETS -- 1.1%
20,967 BGC Partners, Inc., Class A 58,078
1,844 Moelis & Co., Class A 54,933
1,980 Piper Sandler Cos. 122,582
1,045 StoneX Group, Inc. (a) 54,842
15,101 Waddell & Reed Financial,
Inc., Class A 220,323
---------------
510,758
---------------
CHEMICALS -- 3.6%
4,465 Avient Corp. 106,714
3,161 Cabot Corp. 115,313
2,626 H.B. Fuller Co. 119,063
19,011 Livent Corp. (a) 119,199
4,991 Minerals Technologies, Inc. 233,978
20,384 Olin Corp. 229,116
22,117 Orion Engineered Carbons S.A. 225,593
17,690 PQ Group Holdings, Inc. (a) 217,056
1,101 Sensient Technologies Corp. 57,483
1,206 Stepan Co. 131,695
5,285 Trinseo S.A. 114,685
---------------
1,669,895
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 2.6%
15,388 BrightView Holdings, Inc. (a) 186,503
5,991 Covanta Holding Corp. 58,951
2,349 Healthcare Services Group,
Inc. 61,520
5,638 HNI Corp. 167,449
17,021 KAR Auction Services, Inc. 257,528
19,214 Knoll, Inc. 224,996
24,276 Steelcase, Inc., Class A 260,481
---------------
1,217,428
---------------
COMMUNICATIONS EQUIPMENT
-- 0.5%
6,164 EchoStar Corp., Class A (a) 168,277
2,248 NetScout Systems, Inc. (a) 57,234
---------------
225,511
---------------
See Notes to Financial Statements Page 89
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
CONSTRUCTION & ENGINEERING
-- 2.8%
5,550 Arcosa, Inc. $ 234,321
4,229 Comfort Systems USA, Inc. 210,223
2,864 Dycom Industries, Inc. (a) 122,665
24,236 Fluor Corp. 246,965
15,296 Granite Construction, Inc. 259,420
13,188 Primoris Services Corp. 211,404
---------------
1,284,998
---------------
CONSTRUCTION MATERIALS -- 0.3%
10,718 Summit Materials, Inc.,
Class A (a) 157,769
---------------
CONSUMER FINANCE -- 0.8%
5,042 Encore Capital Group, Inc. (a) 184,184
1,171 Green Dot Corp., Class A (a) 59,358
12,626 LendingClub Corp. (a) 65,908
1,486 PRA Group, Inc. (a) 58,786
---------------
368,236
---------------
CONTAINERS & PACKAGING -- 0.5%
6,807 Greif, Inc., Class A 236,816
---------------
DISTRIBUTORS -- 0.3%
4,693 Core-Mark Holding Co., Inc. 124,458
---------------
DIVERSIFIED CONSUMER SERVICES
-- 2.2%
9,399 Adtalem Global Education,
Inc. (a) 322,762
854 Graham Holdings Co., Class B 340,208
29,380 Laureate Education, Inc.,
Class A (a) 372,538
---------------
1,035,508
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.1%
948 ATN International, Inc. 54,633
---------------
ELECTRIC UTILITIES -- 0.3%
3,019 Otter Tail Corp. 115,477
---------------
ELECTRICAL EQUIPMENT -- 0.7%
5,022 AZZ, Inc. 158,595
3,530 Encore Wire Corp. 177,171
---------------
335,766
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 4.4%
5,422 Benchmark Electronics, Inc. 110,392
5,844 CTS Corp. 116,062
2,438 ePlus, Inc. (a) 181,729
3,503 Insight Enterprises, Inc. (a) 174,590
9,366 Methode Electronics, Inc. 264,121
16,644 MTS Systems Corp. 308,746
2,526 PC Connection, Inc. 110,386
1,660 Plexus Corp. (a) 123,321
6,883 Sanmina Corp. (a) 204,287
19,748 TTM Technologies, Inc. (a) 243,098
11,287 Vishay Intertechnology, Inc. 177,093
---------------
2,013,825
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES
-- 2.9%
26,556 Archrock, Inc. $ 176,863
84,371 Helix Energy Solutions Group,
Inc. (a) 353,514
95,598 NexTier Oilfield Solutions,
Inc. (a) 240,907
67,497 Patterson-UTI Energy, Inc. 261,551
56,959 ProPetro Holding Corp. (a) 305,870
---------------
1,338,705
---------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 5.9%
4,713 Alexander & Baldwin, Inc. 55,708
31,279 CoreCivic, Inc. 278,696
52,942 DiamondRock Hospitality Co. 244,592
52,930 Diversified Healthcare Trust 206,162
33,459 Empire State Realty Trust,
Inc., Class A 220,829
19,798 GEO Group (The), Inc. 210,453
23,764 iStar, Inc. 275,900
31,014 RLJ Lodging Trust 248,422
42,065 RPT Realty 261,644
28,915 SITE Centers Corp. 211,947
49,371 Summit Hotel Properties, Inc. 255,742
8,057 Tanger Factory Outlet Centers,
Inc. (b) 51,807
25,103 Xenia Hotels & Resorts, Inc. 199,820
---------------
2,721,722
---------------
FOOD & STAPLES RETAILING
-- 1.1%
4,230 Chefs' Warehouse (The),
Inc. (a) 48,772
1,941 PriceSmart, Inc. 126,883
4,576 Sprouts Farmers Market,
Inc. (a) 120,715
4,673 Weis Markets, Inc. 232,809
---------------
529,179
---------------
FOOD PRODUCTS -- 1.1%
4,803 B&G Foods, Inc. (b) 138,855
9,513 Fresh Del Monte Produce, Inc. 214,804
9,583 Hostess Brands, Inc. (a) 121,512
1,676 Tootsie Roll Industries, Inc. 53,129
---------------
528,300
---------------
GAS UTILITIES -- 0.1%
684 Chesapeake Utilities Corp. 57,791
---------------
HEALTH CARE EQUIPMENT
& SUPPLIES -- 0.2%
1,617 Inogen, Inc. (a) 49,642
3,792 Varex Imaging Corp. (a) 59,459
---------------
109,101
---------------
HEALTH CARE PROVIDERS
& SERVICES -- 0.5%
2,362 Magellan Health, Inc. (a) 175,190
906 National HealthCare Corp. 53,744
---------------
228,934
---------------
HEALTH CARE TECHNOLOGY -- 0.2%
5,232 NextGen Healthcare, Inc. (a) 76,492
---------------
Page 90 See Notes to Financial Statements
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
HOTELS, RESTAURANTS & LEISURE
-- 0.8%
5,389 Bloomin' Brands, Inc. $ 62,081
4,310 Dave & Buster's Entertainment,
Inc. (b) 53,185
5,990 Hilton Grand Vacations,
Inc. (a) 121,597
32,350 Playa Hotels & Resorts
N.V. (a) 117,431
---------------
354,294
---------------
HOUSEHOLD DURABLES -- 4.4%
9,549 Century Communities, Inc. (a) 340,135
685 iRobot Corp. (a) 49,793
4,328 La-Z-Boy, Inc. 123,175
6,561 M.D.C. Holdings, Inc. 294,129
8,501 M/I Homes, Inc. (a) 353,897
3,077 Meritage Homes Corp. (a) 305,177
8,935 Taylor Morrison Home Corp. (a) 209,526
19,930 TRI Pointe Group, Inc. (a) 333,229
---------------
2,009,061
---------------
HOUSEHOLD PRODUCTS -- 0.3%
3,466 Central Garden & Pet Co.,
Class A (a) 120,097
---------------
INDUSTRIAL CONGLOMERATES
-- 0.1%
2,671 Raven Industries, Inc. 57,720
---------------
INSURANCE -- 5.5%
11,848 American Equity Investment
Life Holding Co. 301,532
1,649 Argo Group International
Holdings Ltd. 55,258
18,803 CNO Financial Group, Inc. 283,925
5,716 Employers Holdings, Inc. 185,884
4,802 FBL Financial Group, Inc.,
Class A 167,014
4,692 Horace Mann Educators Corp. 176,325
1,410 Mercury General Corp. 60,503
13,548 National General Holdings
Corp. 460,497
1,153 National Western Life Group,
Inc., Class A 224,593
3,970 ProAssurance Corp. 58,359
1,536 Safety Insurance Group, Inc. 116,229
9,006 Stewart Information Services
Corp. 377,802
7,650 Third Point Reinsurance
Ltd. (a) 59,593
---------------
2,527,514
---------------
INTERACTIVE MEDIA & SERVICES
-- 0.1%
2,484 Yelp, Inc. (a) 62,050
---------------
INTERNET & DIRECT MARKETING
RETAIL -- 0.2%
313 Stamps.com, Inc. (a) 81,468
---------------
IT SERVICES -- 0.4%
6,231 Sykes Enterprises, Inc. (a) 171,103
---------------
MACHINERY -- 3.9%
1,803 Altra Industrial Motion Corp. 61,717
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MACHINERY (CONTINUED)
1,241 Astec Industries, Inc. $ 55,212
2,415 Chart Industries, Inc. (a) 165,500
3,497 EnPro Industries, Inc. 166,912
3,768 Gorman-Rupp (The) Co. 114,020
11,829 Meritor, Inc. (a) 269,110
6,484 Mueller Industries, Inc. 181,293
18,276 Mueller Water Products, Inc.,
Class A 184,953
6,239 Terex Corp. 117,605
9,779 TriMas Corp. (a) 228,828
11,001 Trinity Industries, Inc. 214,849
9,433 Welbilt, Inc. (a) 57,353
---------------
1,817,352
---------------
MARINE -- 0.5%
5,923 Matson, Inc. 215,716
---------------
MEDIA -- 1.9%
10,013 AMC Networks, Inc.,
Class A (a) 231,300
35,062 iHeartMedia, Inc.,
Class A (a) (b) 293,119
3,911 Scholastic Corp. 93,590
12,688 Sinclair Broadcast Group,
Inc., Class A (b) 261,373
---------------
879,382
---------------
METALS & MINING -- 3.6%
5,111 Alcoa Corp. (a) 66,443
28,731 Allegheny Technologies,
Inc. (a) 249,672
12,058 Carpenter Technology Corp. 269,617
31,222 Cleveland-Cliffs, Inc. (b) 161,730
14,351 Commercial Metals Co. 296,779
17,569 Hecla Mining Co. 96,981
1,591 Kaiser Aluminum Corp. 98,563
934 Materion Corp. 53,630
19,023 Warrior Met Coal, Inc. 302,846
1,540 Worthington Industries, Inc. 57,627
---------------
1,653,888
---------------
MORTGAGE REAL ESTATE
INVESTMENT TRUSTS -- 0.5%
28,915 Ladder Capital Corp. 224,670
---------------
MULTILINE RETAIL -- 0.9%
6,971 Big Lots, Inc. 274,239
6,683 Dillard's, Inc., Class A (b) 157,385
---------------
431,624
---------------
OIL, GAS & CONSUMABLE FUELS
-- 4.9%
254,582 Callon Petroleum Co. (a) (b) 290,224
64,549 Centennial Resource
Development, Inc.,
Class A (a) 50,819
19,925 CNX Resources Corp. (a) 192,276
3,300 Delek US Holdings, Inc. 57,684
4,828 EQT Corp. 70,103
34,443 Matador Resources Co. (a) 298,965
18,828 PDC Energy, Inc. (a) 268,487
11,815 Renewable Energy Group,
Inc. (a) 325,858
78,072 SM Energy Co. 230,312
See Notes to Financial Statements Page 91
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
OIL, GAS & CONSUMABLE FUELS
(CONTINUED)
31,823 Talos Energy, Inc. (a) $ 216,715
11,365 World Fuel Services Corp. 267,418
---------------
2,268,861
---------------
PAPER & FOREST PRODUCTS
-- 1.9%
4,582 Boise Cascade Co. 213,476
13,869 Domtar Corp. 291,110
3,485 Neenah, Inc. 155,466
7,010 Schweitzer-Mauduit
International, Inc. 228,035
---------------
888,087
---------------
PERSONAL PRODUCTS -- 0.7%
4,508 Nu Skin Enterprises, Inc.,
Class A 202,184
1,595 USANA Health Sciences,
Inc. (a) 129,482
---------------
331,666
---------------
PHARMACEUTICALS -- 0.4%
7,257 Supernus Pharmaceuticals,
Inc. (a) 161,577
---------------
PROFESSIONAL SERVICES -- 0.7%
1,806 ICF International, Inc. 122,104
7,622 Korn Ferry 214,178
---------------
336,282
---------------
REAL ESTATE MANAGEMENT
& DEVELOPMENT -- 0.5%
5,972 Marcus & Millichap, Inc. (a) 162,677
7,753 Realogy Holdings Corp. 70,242
---------------
232,919
---------------
ROAD & RAIL -- 2.1%
5,116 Avis Budget Group, Inc. (a) 132,504
5,625 Heartland Express, Inc. 114,103
6,850 Marten Transport Ltd. 182,347
6,244 Ryder System, Inc. 228,718
4,747 Schneider National, Inc.,
Class B 119,292
3,959 Werner Enterprises, Inc. 174,137
---------------
951,101
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 0.7%
23,783 Amkor Technology, Inc. (a) 323,330
---------------
SOFTWARE -- 0.9%
13,093 Ebix, Inc. 288,766
5,630 Teradata Corp. (a) 118,230
---------------
406,996
---------------
SPECIALTY RETAIL -- 2.8%
2,229 Asbury Automotive Group,
Inc. (a) 223,234
4,438 Group 1 Automotive, Inc. 372,881
1,046 Monro, Inc. 58,890
13,755 Sally Beauty Holdings,
Inc. (a) 159,696
28,507 Signet Jewelers Ltd. 306,165
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
SPECIALTY RETAIL (CONTINUED)
11,324 Urban Outfitters, Inc. (a) $ 187,299
---------------
1,308,165
---------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 0.3%
4,125 Super Micro Computer, Inc. (a) 125,008
---------------
TEXTILES, APPAREL &
LUXURY GOODS -- 0.5%
22,029 G-III Apparel Group Ltd. (a) 217,867
---------------
THRIFTS & MORTGAGE FINANCE
-- 2.3%
7,806 Axos Financial, Inc. (a) 174,932
5,218 Capitol Federal Financial, Inc. 50,354
11,453 Northwest Bancshares, Inc. 112,812
3,251 Premier Financial Corp. 57,478
11,927 Provident Financial Services,
Inc. 162,804
5,762 Walker & Dunlop, Inc. 290,462
8,161 WSFS Financial Corp. 232,833
---------------
1,081,675
---------------
TOBACCO -- 0.6%
6,887 Universal Corp. 290,356
---------------
TRADING COMPANIES
& DISTRIBUTORS -- 4.7%
4,441 Beacon Roofing Supply,
Inc. (a) 138,382
3,841 GATX Corp. 234,263
4,762 GMS, Inc. (a) 111,574
9,326 H&E Equipment Services, Inc. 164,044
7,622 Herc Holdings, Inc. (a) 255,642
39,630 MRC Global, Inc. (a) 235,798
7,061 Rush Enterprises, Inc.,
Class A 335,962
2,797 Systemax, Inc. 62,681
9,682 Triton International Ltd. 304,692
8,339 WESCO International, Inc. (a) 324,137
---------------
2,167,175
---------------
WIRELESS TELECOMMUNICATION
SERVICES -- 1.4%
1,166 Shenandoah
Telecommunications Co. 58,615
14,727 Telephone and Data Systems,
Inc. 285,998
9,484 United States Cellular
Corp. (a) 281,390
---------------
626,003
---------------
TOTAL COMMON STOCKS
-- 99.8% 46,109,401
(Cost $45,728,853) ---------------
MONEY MARKET FUNDS -- 2.7%
1,243,127 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.10% (c) (d) 1,243,127
(Cost $1,243,127) ---------------
Page 92 See Notes to Financial Statements
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
DESCRIPTION VALUE
-------------------------------------------------------------
TOTAL INVESTMENTS -- 102.5% $ 47,352,528
(Cost $46,971,980) (e)
NET OTHER ASSETS AND
LIABILITIES -- (2.5)% (1,176,738)
---------------
NET ASSETS -- 100.0% $ 46,175,790
===============
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The remaining contractual
maturity of all of the securities lending transactions is overnight and
continuous. The aggregate value of such securities is $1,178,971 and the
total value of the collateral held by the Fund is $1,243,127.
(c) Rate shown reflects yield as of July 31, 2020.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $47,455,219. As of July
31, 2020, the aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost was $5,283,470 and the
aggregate gross unrealized depreciation for all investments in which there
was an excess of tax cost over value was $5,386,161. The net unrealized
depreciation was $102,691.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2020
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
--------------------------------------------
Common Stocks* $ 46,109,401 $ -- $ --
Money Market
Funds 1,243,127 -- --
--------------------------------------------
Total Investments $ 47,352,528 $ -- $ --
============================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
-------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 1,178,971
Non-cash Collateral(2) (1,178,971)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At July 31, 2020, the value of the collateral received from each borrower
exceeded the value of the related securities loaned. This amount is
disclosed on the Portfolio of Investments.
See Notes to Financial Statements Page 93
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
PORTFOLIO OF INVESTMENTS
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 0.9%
22,848 Kratos Defense & Security
Solutions, Inc. (a) $ 411,492
49,710 Maxar Technologies, Inc. 884,341
---------------
1,295,833
---------------
AIRLINES -- 0.2%
3,270 Allegiant Travel Co. 366,338
---------------
AUTO COMPONENTS -- 1.3%
10,808 Fox Factory Holding Corp. (a) 961,912
7,765 LCI Industries 976,837
---------------
1,938,749
---------------
AUTOMOBILES -- 0.6%
13,401 Winnebago Industries, Inc. 809,554
---------------
BANKS -- 3.7%
7,565 Atlantic Union Bankshares
Corp. 170,742
4,318 BancFirst Corp. 188,092
5,480 City Holding Co. 342,281
10,868 ConnectOne Bancorp, Inc. 149,870
11,476 Enterprise Financial Services
Corp. 333,493
16,899 German American Bancorp, Inc. 480,608
5,323 Independent Bank Corp. 343,440
11,281 Lakeland Financial Corp. 499,297
13,226 National Bank Holdings Corp.,
Class A 367,418
12,265 Preferred Bank 456,871
7,070 Sandy Spring Bancorp, Inc. 163,458
8,588 Seacoast Banking Corp. of
Florida (a) 162,141
14,697 ServisFirst Bancshares, Inc. 537,763
12,883 Southside Bancshares, Inc. 356,859
7,218 Triumph Bancorp, Inc. (a) 189,112
8,707 United Community Banks, Inc. 156,117
20,176 Veritex Holdings, Inc. 337,343
3,051 Westamerica BanCorp. 184,158
---------------
5,419,063
---------------
BIOTECHNOLOGY -- 8.2%
7,168 Alector, Inc. (a) 112,323
59,203 Amicus Therapeutics, Inc. (a) 855,483
5,673 Arena Pharmaceuticals,
Inc. (a) 348,265
38,195 Athenex, Inc. (a) 405,249
25,199 CareDx, Inc. (a) 840,387
9,134 ChemoCentryx, Inc. (a) 481,453
39,991 Coherus Biosciences, Inc. (a) 703,442
14,769 Denali Therapeutics, Inc. (a) 345,890
35,149 Dicerna Pharmaceuticals,
Inc. (a) 755,703
12,073 Editas Medicine, Inc. (a) 354,463
3,415 Esperion Therapeutics,
Inc. (a) (b) 128,506
26,021 Fate Therapeutics, Inc. (a) 813,677
26,641 Halozyme Therapeutics,
Inc. (a) 724,369
11,909 Heron Therapeutics, Inc. (a) 193,998
32,418 Insmed, Inc. (a) 846,758
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
BIOTECHNOLOGY (CONTINUED)
29,475 Invitae Corp. (a) $ 860,670
34,604 Ironwood Pharmaceuticals,
Inc. (a) 317,319
37,710 Karyopharm Therapeutics,
Inc. (a) 605,245
3,192 Ligand Pharmaceuticals,
Inc. (a) 374,039
14,325 Natera, Inc. (a) 687,886
2,930 Principia Biopharma, Inc. (a) 244,948
36,665 TG Therapeutics, Inc. (a) 717,901
6,767 Veracyte, Inc. (a) 241,379
---------------
11,959,353
---------------
BUILDING PRODUCTS -- 2.1%
9,681 AAON, Inc. 573,599
9,441 American Woodmark Corp. (a) 761,134
117,860 Cornerstone Building Brands,
Inc. (a) 668,266
7,605 CSW Industrials, Inc. 507,938
32,623 JELD-WEN Holding, Inc. (a) 639,411
---------------
3,150,348
---------------
CAPITAL MARKETS -- 2.6%
21,976 Artisan Partners Asset
Management, Inc., Class A 796,191
27,013 Focus Financial Partners,
Inc., Class A (a) 998,130
5,300 Hamilton Lane, Inc., Class A 382,872
12,839 Houlihan Lokey, Inc. 703,577
17,389 PJT Partners, Inc., Class A 930,833
---------------
3,811,603
---------------
CHEMICALS -- 0.4%
6,793 Ingevity Corp. (a) 397,255
2,267 Innospec, Inc. 170,410
---------------
567,665
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 1.1%
19,676 ABM Industries, Inc. 706,368
13,704 Casella Waste Systems, Inc.,
Class A (a) 759,339
3,243 McGrath RentCorp 188,159
---------------
1,653,866
---------------
COMMUNICATIONS EQUIPMENT
-- 1.1%
42,871 CommScope Holding Co.,
Inc. (a) 397,843
120,647 Infinera Corp. (a) 951,905
11,934 Plantronics, Inc. 238,560
---------------
1,588,308
---------------
CONSTRUCTION & ENGINEERING
-- 0.4%
42,764 WillScot Mobile Mini Holdings
Corp. (a) 644,026
---------------
CONSUMER FINANCE -- 0.3%
7,480 Nelnet, Inc., Class A 433,840
---------------
Page 94 See Notes to Financial Statements
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
DIVERSIFIED CONSUMER SERVICES
-- 0.9%
44,835 Perdoceo Education Corp. (a) $ 645,624
28,141 WW International, Inc. (a) 725,475
---------------
1,371,099
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 1.3%
7,027 Bandwidth, Inc., Class A (a) 1,017,369
70,997 Vonage Holdings Corp. (a) 848,414
---------------
1,865,783
---------------
ELECTRICAL EQUIPMENT -- 2.7%
19,216 Atkore International Group,
Inc. (a) 512,491
108,744 Plug Power, Inc. (a) (b) 838,416
9,926 Vicor Corp. (a) 808,671
90,180 Vivint Solar, Inc. (a) 1,834,261
---------------
3,993,839
---------------
ELECTRONIC EQUIPMENT,
INSTRUMENTS & COMPONENTS
-- 0.9%
5,676 Badger Meter, Inc. 355,317
9,806 FARO Technologies, Inc. (a) 586,693
11,480 Knowles Corp. (a) 175,185
2,347 OSI Systems, Inc. (a) 166,543
---------------
1,283,738
---------------
ENERGY EQUIPMENT & SERVICES
-- 0.3%
17,310 Cactus, Inc., Class A 391,552
---------------
ENTERTAINMENT -- 0.1%
4,032 World Wrestling Entertainment,
Inc., Class A 187,932
---------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 4.3%
22,075 American Finance Trust, Inc. 161,258
17,607 Armada Hoffler Properties,
Inc. 169,732
8,731 Community Healthcare Trust,
Inc. 399,269
22,732 Easterly Government
Properties, Inc. 555,797
14,636 Four Corners Property Trust,
Inc. 368,827
12,032 Getty Realty Corp. 356,508
10,472 Global Net Lease, Inc. 174,359
15,247 Independence Realty Trust,
Inc. 175,341
25,577 Industrial Logistics
Properties Trust 539,930
4,057 Innovative Industrial
Properties, Inc. 422,861
9,480 LTC Properties, Inc. 352,182
24,645 Monmouth Real Estate
Investment Corp. 355,627
6,113 National Storage Affiliates
Trust 188,403
14,867 NexPoint Residential Trust,
Inc. 568,365
20,238 Office Properties Income Trust 508,986
3,047 Safehold, Inc. 153,660
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS (CONTINUED)
76,388 Uniti Group, Inc. $ 756,241
14,759 Urban Edge Properties 154,674
---------------
6,362,020
---------------
FOOD PRODUCTS -- 0.7%
8,537 Freshpet, Inc. (a) 819,979
9,429 Simply Good Foods (The)
Co. (a) 226,673
---------------
1,046,652
---------------
HEALTH CARE EQUIPMENT
& SUPPLIES -- 3.6%
34,668 Accelerate Diagnostics,
Inc. (a) (b) 503,726
15,890 AtriCure, Inc. (a) 648,471
20,342 Axonics Modulation
Technologies, Inc. (a) 861,687
7,704 iRhythm Technologies, Inc. (a) 958,994
15,077 Shockwave Medical, Inc. (a) 743,598
12,546 Silk Road Medical, Inc. (a) 582,887
14,508 STAAR Surgical Co. (a) 844,221
4,228 Tactile Systems Technology,
Inc. (a) 173,263
---------------
5,316,847
---------------
HEALTH CARE PROVIDERS
& SERVICES -- 3.3%
11,630 BioTelemetry, Inc. (a) 494,973
5,037 CorVel Corp. (a) 400,391
12,558 Ensign Group (The), Inc. 577,542
10,579 Hanger, Inc. (a) 184,709
6,135 National Research Corp. 350,861
5,110 Premier, Inc., Class A (a) 178,697
64,057 R1 RCM, Inc. (a) 875,659
45,005 RadNet, Inc. (a) 715,129
63,039 Tivity Health, Inc. (a) 827,072
2,162 US Physical Therapy, Inc. 179,576
---------------
4,784,609
---------------
HEALTH CARE TECHNOLOGY -- 2.0%
16,226 HMS Holdings Corp. (a) 527,345
37,084 Inovalon Holdings, Inc.,
Class A (a) 872,587
8,207 Inspire Medical Systems,
Inc. (a) 815,447
13,050 Tabula Rasa HealthCare,
Inc. (a) (b) 733,410
---------------
2,948,789
---------------
HOTELS, RESTAURANTS & LEISURE
-- 4.2%
21,899 Brinker International, Inc. 588,864
8,483 Dine Brands Global, Inc. 385,383
33,951 Everi Holdings, Inc. (a) 192,842
12,050 Jack in the Box, Inc. 989,425
5,141 Monarch Casino & Resort,
Inc. (a) 186,053
11,242 Papa John's International,
Inc. 1,064,280
23,099 Scientific Games Corp. (a) 405,849
See Notes to Financial Statements Page 95
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
HOTELS, RESTAURANTS & LEISURE
(CONTINUED)
11,829 SeaWorld Entertainment,
Inc. (a) $ 171,166
6,740 Shake Shack, Inc., Class A (a) 327,227
40,053 Twin River Worldwide
Holdings, Inc. 863,543
6,424 Wingstop, Inc. 1,003,750
---------------
6,178,382
---------------
HOUSEHOLD DURABLES -- 3.1%
3,703 Cavco Industries, Inc. (a) 741,822
12,981 Installed Building Products,
Inc. (a) 1,026,927
10,142 LGI Homes, Inc. (a) 1,157,304
21,592 Skyline Champion Corp. (a) 609,542
61,025 Sonos, Inc. (a) 976,400
---------------
4,511,995
---------------
HOUSEHOLD PRODUCTS -- 0.2%
1,801 WD-40 Co. 353,987
---------------
INDEPENDENT POWER AND
RENEWABLE ELECTRICITY
PRODUCERS -- 0.5%
30,972 Clearway Energy, Inc., Class C 760,053
---------------
INSURANCE -- 2.6%
12,233 Ambac Financial Group,
Inc. (a) 156,582
2,864 AMERISAFE, Inc. 181,750
5,350 eHealth, Inc. (a) 369,899
5,752 Kinsale Capital Group, Inc. 1,121,065
10,411 Palomar Holdings, Inc. (a) 950,941
20,913 Trupanion, Inc. (a) 1,057,570
---------------
3,837,807
---------------
INTERNET & DIRECT MARKETING
RETAIL -- 2.2%
19,978 Chewy, Inc., Class A (a) 1,048,645
48,786 Quotient Technology, Inc. (a) 390,776
41,092 RealReal (The), Inc. (a) 560,495
10,212 Shutterstock, Inc. 554,920
28,638 Stitch Fix, Inc.,
Class A (a) (b) 634,332
---------------
3,189,168
---------------
IT SERVICES -- 3.6%
8,628 CSG Systems International,
Inc. 363,498
12,709 EVERTEC, Inc. 394,615
7,673 Evo Payments, Inc.,
Class A (a) 174,100
8,290 ExlService Holdings, Inc. (a) 531,057
7,673 ManTech International Corp.,
Class A 533,887
22,891 NIC, Inc. 501,771
14,689 Perficient, Inc. (a) 575,956
29,493 Switch, Inc., Class A 530,579
15,340 TTEC Holdings, Inc. 728,036
51,125 Verra Mobility Corp. (a) 523,009
10,999 Virtusa Corp. (a) 446,559
---------------
5,303,067
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
LEISURE PRODUCTS -- 1.9%
20,530 Acushnet Holdings Corp. $ 781,167
50,988 Callaway Golf Co. 971,321
17,185 Malibu Boats, Inc.,
Class A (a) 1,010,134
---------------
2,762,622
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 0.3%
12,167 NanoString Technologies,
Inc. (a) 439,350
---------------
MACHINERY -- 3.7%
6,958 Alamo Group, Inc. 717,439
2,984 Albany International Corp.,
Class A 143,471
4,989 Douglas Dynamics, Inc. 176,361
4,225 ESCO Technologies, Inc. 363,097
47,999 Evoqua Water Technologies
Corp. (a) 923,021
24,024 Federal Signal Corp. 742,582
10,007 Franklin Electric Co., Inc. 540,878
7,167 Kadant, Inc. 777,691
12,769 SPX Corp. (a) 536,298
8,087 Tennant Co. 538,756
---------------
5,459,594
---------------
MEDIA -- 1.2%
12,757 Cardlytics, Inc. (a) 847,320
168,450 Clear Channel Outdoor
Holdings, Inc. (a) 154,384
51,199 Gray Television, Inc. (a) 734,194
---------------
1,735,898
---------------
METALS & MINING -- 0.9%
103,458 Coeur Mining, Inc. (a) 820,422
10,780 Compass Minerals
International, Inc. 549,133
---------------
1,369,555
---------------
MORTGAGE REAL ESTATE
INVESTMENT TRUSTS -- 1.4%
38,649 Arbor Realty Trust, Inc. 393,833
50,871 Colony Credit Real Estate,
Inc. 320,487
49,738 Granite Point Mortgage Trust,
Inc. 337,721
6,155 Hannon Armstrong Sustainable
Infrastructure Capital,
Inc. 215,610
21,538 KKR Real Estate Finance Trust,
Inc. 358,608
67,122 New York Mortgage Trust, Inc. 175,860
9,993 PennyMac Mortgage Investment
Trust 188,368
---------------
1,990,487
---------------
OIL, GAS & CONSUMABLE FUELS
-- 0.7%
42,974 Equitrans Midstream Corp. 414,699
316,605 Kosmos Energy Ltd. 509,734
152,338 Tellurian, Inc. (a) (b) 135,855
---------------
1,060,288
---------------
Page 96 See Notes to Financial Statements
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
PERSONAL PRODUCTS -- 0.7%
6,433 Medifast, Inc. $ 1,075,147
---------------
PHARMACEUTICALS -- 3.1%
10,647 Arvinas, Inc. (a) 335,380
53,079 Corcept Therapeutics, Inc. (a) 793,531
51,076 Endo International PLC (a) 177,744
37,594 Innoviva, Inc. (a) 509,211
26,624 NGM Biopharmaceuticals,
Inc. (a) 486,953
17,015 Pacira BioSciences, Inc. (a) 895,159
13,993 Prestige Consumer Healthcare,
Inc. (a) 520,400
21,522 Revance Therapeutics, Inc. (a) 505,337
17,014 Theravance Biopharma, Inc. (a) 330,412
---------------
4,554,127
---------------
PROFESSIONAL SERVICES -- 0.8%
29,796 CBIZ, Inc. (a) 720,467
8,070 Huron Consulting Group,
Inc. (a) 385,101
---------------
1,105,568
---------------
REAL ESTATE MANAGEMENT
& DEVELOPMENT -- 1.6%
47,363 Forestar Group, Inc. (a) 819,854
36,047 Newmark Group, Inc., Class A 146,711
21,303 Redfin Corp. (a) 885,779
27,063 St Joe (The) Co. (a) 557,768
---------------
2,410,112
---------------
ROAD & RAIL -- 0.7%
8,030 Saia, Inc. (a) 959,184
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 5.5%
13,170 Advanced Energy Industries,
Inc. (a) 968,917
3,825 Ambarella, Inc. (a) 173,196
41,190 Cohu, Inc. 775,608
10,366 Diodes, Inc. (a) 533,331
30,439 FormFactor, Inc. (a) 877,861
25,158 Lattice Semiconductor
Corp. (a) 782,162
20,793 MACOM Technology Solutions
Holdings, Inc. (a) 878,712
34,577 Rambus, Inc. (a) 510,356
68,612 SunPower Corp. (a) (b) 640,150
8,742 Synaptics, Inc. (a) 699,535
39,452 Ultra Clean Holdings, Inc. (a) 1,187,110
---------------
8,026,938
---------------
SOFTWARE -- 11.2%
23,519 2U, Inc. (a) 1,107,627
22,319 8x8, Inc. (a) 354,872
13,776 Alarm.com Holdings, Inc. (a) 964,871
17,968 Altair Engineering, Inc.,
Class A (a) 724,110
5,487 Appfolio, Inc., Class A (a) 763,900
13,936 Appian Corp. (a) (b) 708,924
10,352 Bottomline Technologies DE,
Inc. (a) 499,588
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
SOFTWARE (CONTINUED)
34,404 Box, Inc., Class A (a) $ 617,552
21,547 LivePerson, Inc. (a) 926,090
1,481 MicroStrategy, Inc.,
Class A (a) 183,526
20,547 Model N, Inc. (a) 790,238
24,956 PagerDuty, Inc. (a) 760,659
29,117 Pluralsight, Inc., Class A (a) 616,407
13,565 Progress Software Corp. 472,876
3,943 PROS Holdings, Inc. (a) 128,660
33,728 Sailpoint Technologies
Holdings, Inc. (a) 1,062,432
11,885 SPS Commerce, Inc. (a) 893,395
37,927 SVMK, Inc. (a) 909,490
23,959 Tenable Holdings, Inc. (a) 812,929
15,120 Upland Software, Inc. (a) 520,430
5,940 Varonis Systems, Inc. (a) 643,599
13,352 Workiva, Inc. (a) 746,377
42,997 Yext, Inc. (a) 723,210
41,221 Zuora, Inc., Class A (a) 479,812
---------------
16,411,574
---------------
SPECIALTY RETAIL -- 1.7%
16,564 Boot Barn Holdings, Inc. (a) 320,679
11,172 Buckle (The), Inc. 179,087
32,091 Rent-A-Center, Inc. 928,072
21,441 Sleep Number Corp. (a) 997,006
---------------
2,424,844
---------------
TEXTILES, APPAREL &
LUXURY GOODS -- 1.2%
24,247 Crocs, Inc. (a) 871,437
13,074 Levi Strauss & Co., Class A 158,980
29,999 Wolverine World Wide, Inc. 721,176
---------------
1,751,593
---------------
THRIFTS & MORTGAGE FINANCE
-- 2.7%
25,591 Columbia Financial, Inc. (a) 307,860
24,269 Flagstar Bancorp, Inc. 761,561
9,641 Meta Financial Group, Inc. 179,901
71,767 Mr. Cooper Group, Inc. (a) 1,171,955
22,211 NMI Holdings, Inc.,
Class A (a) 344,715
21,364 PennyMac Financial Services,
Inc. 1,031,027
6,527 Washington Federal, Inc. 152,340
---------------
3,949,359
---------------
TOBACCO -- 0.3%
52,244 Vector Group Ltd. 460,792
---------------
TRADING COMPANIES
& DISTRIBUTORS -- 0.5%
28,410 BMC Stock Holdings, Inc. (a) 727,296
---------------
WATER UTILITIES -- 0.5%
7,486 California Water Service Group 350,869
5,316 Middlesex Water Co. 340,543
---------------
691,412
---------------
TOTAL COMMON STOCKS
-- 100.0% 146,691,605
(Cost $121,509,795) ---------------
See Notes to Financial Statements Page 97
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MONEY MARKET FUNDS -- 2.4%
3,584,047 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.10% (c) (d) $ 3,584,047
(Cost $3,584,047) ---------------
TOTAL INVESTMENTS -- 102.4% 150,275,652
(Cost $125,093,842) (e)
NET OTHER ASSETS AND
LIABILITIES -- (2.4)% (3,571,814)
---------------
NET ASSETS -- 100.0% $ 146,703,838
===============
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The remaining contractual
maturity of all of the securities lending transactions is overnight and
continuous. The aggregate value of such securities is $3,416,556 and the
total value of the collateral held by the Fund is $3,584,047.
(c) Rate shown reflects yield as of July 31, 2020.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $125,414,366. As of July
31, 2020, the aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost was $29,520,649 and
the aggregate gross unrealized depreciation for all investments in which
there was an excess of tax cost over value was $4,659,363. The net
unrealized appreciation was $24,861,286.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2020
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
--------------------------------------------
Common Stocks* $ 146,691,605 $ -- $ --
Money Market
Funds 3,584,047 -- --
--------------------------------------------
Total Investments $ 150,275,652 $ -- $ --
============================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
-------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 3,416,556
Non-cash Collateral(2) (3,416,556)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At July 31, 2020, the value of the collateral received from each borrower
exceeded the value of the related securities loaned. This amount is
disclosed on the Portfolio of Investments.
Page 98 See Notes to Financial Statements
FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK)
PORTFOLIO OF INVESTMENTS
JULY 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.8%
AEROSPACE & DEFENSE -- 0.6%
2,268 Raytheon Technologies Corp. $ 128,550
---------------
AUTOMOBILES -- 4.2%
647 Tesla, Inc. (a) 925,702
---------------
BANKS -- 6.3%
11,770 Bank of America Corp. 292,838
8,206 Citigroup, Inc. 410,382
2,972 JPMorgan Chase & Co. 287,214
16,380 Wells Fargo & Co. 397,379
---------------
1,387,813
---------------
BIOTECHNOLOGY -- 5.6%
1,424 AbbVie, Inc. 135,152
1,817 Gilead Sciences, Inc. 126,336
896 Regeneron Pharmaceuticals,
Inc. (a) 566,335
1,444 Vertex Pharmaceuticals,
Inc. (a) 392,768
---------------
1,220,591
---------------
CAPITAL MARKETS -- 5.2%
2,122 Goldman Sachs Group (The),
Inc. 420,071
8,682 Morgan Stanley 424,376
848 S&P Global, Inc. 297,012
---------------
1,141,459
---------------
COMMUNICATIONS EQUIPMENT
-- 0.6%
2,997 Cisco Systems, Inc. 141,159
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 5.8%
23,118 AT&T, Inc. 683,830
10,141 Verizon Communications, Inc. 582,905
---------------
1,266,735
---------------
ENTERTAINMENT -- 2.1%
922 Netflix, Inc. (a) 450,747
---------------
FOOD & STAPLES RETAILING
-- 0.7%
1,167 Walmart, Inc. 151,010
---------------
HEALTH CARE PROVIDERS
& SERVICES -- 7.6%
2,126 Anthem, Inc. 582,099
2,235 Cigna Corp. 385,962
8,605 CVS Health Corp. 541,598
474 UnitedHealth Group, Inc. 143,518
---------------
1,653,177
---------------
INDUSTRIAL CONGLOMERATES
-- 1.9%
896 3M Co. 134,821
1,933 Honeywell International, Inc. 288,732
---------------
423,553
---------------
INTERACTIVE MEDIA & SERVICES
-- 2.8%
197 Alphabet, Inc., Class A (a) 293,126
1,231 Facebook, Inc., Class A (a) 312,268
---------------
605,394
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
INTERNET & DIRECT MARKETING
RETAIL -- 3.7%
253 Amazon.com, Inc. (a) $ 800,664
---------------
IT SERVICES -- 5.6%
651 Accenture PLC, Class A 146,332
2,315 International Business
Machines Corp. 284,606
4,011 PayPal Holdings, Inc. (a) 786,437
---------------
1,217,375
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 0.7%
386 Thermo Fisher Scientific, Inc. 159,785
---------------
MACHINERY -- 1.3%
2,210 Caterpillar, Inc. 293,665
---------------
MEDIA -- 5.0%
822 Charter Communications, Inc.,
Class A (a) 476,760
14,343 Comcast Corp., Class A 613,880
---------------
1,090,640
---------------
OIL, GAS & CONSUMABLE FUELS
-- 5.4%
6,266 Chevron Corp. 525,968
15,628 Exxon Mobil Corp. 657,626
---------------
1,183,594
---------------
PHARMACEUTICALS -- 4.4%
1,808 Merck & Co., Inc. 145,074
21,372 Pfizer, Inc. 822,394
---------------
967,468
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 7.6%
11,681 Intel Corp. 557,534
1,104 NVIDIA Corp. 468,748
6,130 QUALCOMM, Inc. 647,389
---------------
1,673,671
---------------
SOFTWARE -- 12.8%
1,284 Adobe, Inc. (a) 570,507
1,492 salesforce.com, Inc. (a) 290,716
1,380 ServiceNow, Inc. (a) 606,096
4,513 VMware, Inc., Class A (a) 632,768
2,756 Zoom Video Communications,
Inc., Class A (a) 699,776
---------------
2,799,863
---------------
SPECIALTY RETAIL -- 5.6%
1,674 Home Depot (The), Inc. 444,430
5,172 Lowe's Cos., Inc. 770,163
---------------
1,214,593
---------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 3.0%
1,533 Apple, Inc. 651,586
---------------
WIRELESS TELECOMMUNICATION
SERVICES -- 1.3%
2,684 T-Mobile US, Inc. (a) 288,208
---------------
See Notes to Financial Statements Page 99
FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2020
DESCRIPTION VALUE
-------------------------------------------------------------
TOTAL INVESTMENTS -- 99.8% $ 21,837,002
(Cost $20,324,348) (b)
NET OTHER ASSETS AND
LIABILITIES -- 0.2% 41,419
---------------
NET ASSETS -- 100.0% $ 21,878,421
===============
(a) Non-income producing security.
(b) Aggregate cost for federal income tax purposes is $20,887,471. As of July
31, 2020, the aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost was $2,395,976 and the
aggregate gross unrealized depreciation for all investments in which there
was an excess of tax cost over value was $1,446,445. The net unrealized
appreciation was $949,531.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2020
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
--------------------------------------------
Common Stocks* $ 21,837,002 $ -- $ --
============================================
* See Portfolio of Investments for industry breakout.
Page 100 See Notes to Financial Statements
This page is intentionally left blank.
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
JULY 31, 2020
FIRST TRUST FIRST TRUST FIRST TRUST
LARGE CAP CORE MID CAP CORE SMALL CAP CORE
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FEX) (FNX) (FYX)
---------------- ---------------- ----------------
ASSETS:
Investments, at value................................................ $ 932,833,291 $ 600,520,451 $ 411,131,625
Cash................................................................. -- -- --
Receivables:
Capital shares sold............................................ -- -- --
Investment securities sold..................................... -- -- --
Dividends...................................................... 826,786 86,693 123,958
Securities lending income...................................... 27,333 27,622 47,494
Prepaid expenses..................................................... 6,339 5,144 4,498
---------------- ---------------- ----------------
Total Assets................................................... 933,693,749 600,639,910 411,307,575
---------------- ---------------- ----------------
LIABILITIES:
Payables:
Collateral for securities on loan.............................. 8,014,309 10,256,447 13,511,982
Investment advisory fees....................................... 386,668 250,404 166,927
Shareholder reporting fees..................................... 54,040 44,746 32,004
Licensing fees................................................. 31,630 20,120 13,157
Audit and tax fees............................................. 22,286 22,286 22,279
Trustees' fees................................................. 2,679 2,543 2,456
Other liabilities.................................................... 202,311 130,911 88,371
---------------- ---------------- ----------------
Total Liabilities.............................................. 8,713,923 10,727,457 13,837,176
---------------- ---------------- ----------------
NET ASSETS........................................................... $ 924,979,826 $ 589,912,453 $ 397,470,399
================ ================ ================
NET ASSETS CONSIST OF:
Paid-in capital...................................................... $ 1,180,308,820 $ 818,516,584 $ 665,497,929
Par value............................................................ 148,500 91,000 71,000
Accumulated distributable earnings (loss)............................ (255,477,494) (228,695,131) (268,098,530)
---------------- ---------------- ----------------
NET ASSETS........................................................... $ 924,979,826 $ 589,912,453 $ 397,470,399
================ ================ ================
NET ASSET VALUE, per share........................................... $ 62.29 $ 64.83 $ 55.98
================ ================ ================
Number of shares outstanding (unlimited number of shares
authorized, par value $0.01 per share)............................. 14,850,002 9,100,002 7,100,002
================ ================ ================
Investments, at cost................................................. $ 852,638,879 $ 560,476,810 $ 381,813,959
================ ================ ================
Securities on loan, at value......................................... $ 7,738,999 $ 9,766,584 $ 12,801,455
================ ================ ================
Page 102 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST
LARGE CAP VALUE LARGE CAP GROWTH MULTI CAP VALUE MULTI CAP GROWTH MID CAP VALUE MID CAP GROWTH
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FTA) (FTC) (FAB) (FAD) (FNK) (FNY)
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
$ 624,433,206 $ 993,548,230 $ 52,367,054 $ 171,867,487 $ 35,336,249 $ 341,276,384
-- -- -- -- 45,970 254,558
-- -- -- -- -- --
-- -- -- -- -- --
943,732 310,090 43,937 36,391 538 10,383
46,617 1,801 4,248 5,910 3,451 2,162
5,865 5,586 3,340 3,558 -- --
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
625,429,420 993,865,707 52,418,579 171,913,346 35,386,208 341,543,487
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
7,922,251 4,013,226 960,628 1,393,417 729,618 3,206,045
257,179 410,193 9,294 70,137 20,300 188,420
49,744 45,059 8,878 13,163 -- --
22,119 30,777 1,835 5,463 -- --
22,330 22,388 22,191 22,272 -- --
2,592 2,604 2,332 2,363 -- --
137,314 194,476 26,088 39,868 -- --
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
8,413,529 4,718,723 1,031,246 1,546,683 749,918 3,394,465
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
$ 617,015,891 $ 989,146,984 $ 51,387,333 $ 170,366,663 $ 34,636,290 $ 338,149,022
================ ================ ================ ================ ================ ================
$ 961,232,476 $ 957,287,849 $ 96,739,692 $ 173,976,374 $ 66,841,610 $ 343,259,637
133,000 120,500 11,000 20,500 12,500 66,000
(344,349,585) 31,738,635 (45,363,359) (3,630,211) (32,217,820) (5,176,615)
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
$ 617,015,891 $ 989,146,984 $ 51,387,333 $ 170,366,663 $ 34,636,290 $ 338,149,022
================ ================ ================ ================ ================ ================
$ 46.39 $ 82.09 $ 46.72 $ 83.11 $ 27.71 $ 51.23
================ ================ ================ ================ ================ ================
13,300,002 12,050,002 1,100,002 2,050,002 1,250,002 6,600,002
================ ================ ================ ================ ================ ================
$ 658,744,148 $ 769,909,420 $ 55,436,153 $ 132,340,296 $ 39,473,881 $ 266,871,002
================ ================ ================ ================ ================ ================
$ 7,625,448 $ 3,969,626 $ 915,738 $ 1,336,590 $ 689,479 $ 3,059,093
================ ================ ================ ================ ================ ================
See Notes to Financial Statements Page 103
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
JULY 31, 2020
FIRST TRUST FIRST TRUST FIRST TRUST
SMALL CAP VALUE SMALL CAP GROWTH MEGA CAP
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FYT) (FYC) (FMK)
---------------- ---------------- ----------------
ASSETS:
Investments, at value................................................ $ 47,352,528 $ 150,275,652 $ 21,837,002
Cash................................................................. 70,481 36,848 9,083
Receivables:
Capital shares sold............................................ -- -- --
Investment securities sold..................................... -- -- --
Dividends...................................................... 18,239 35,043 45,239
Securities lending income...................................... 4,862 23,194 --
Prepaid expenses..................................................... -- -- --
---------------- ---------------- ----------------
Total Assets................................................... 47,446,110 150,370,737 21,891,324
---------------- ---------------- ----------------
LIABILITIES:
Payables:
Collateral for securities on loan.............................. 1,243,127 3,584,047 --
Investment advisory fees....................................... 27,193 82,852 12,903
Shareholder reporting fees..................................... -- -- --
Licensing fees................................................. -- -- --
Audit and tax fees............................................. -- -- --
Trustees' fees................................................. -- -- --
Other liabilities.................................................... -- -- --
---------------- ---------------- ----------------
Total Liabilities.............................................. 1,270,320 3,666,899 12,903
---------------- ---------------- ----------------
NET ASSETS........................................................... $ 46,175,790 $ 146,703,838 $ 21,878,421
================ ================ ================
NET ASSETS CONSIST OF:
Paid-in capital...................................................... $ 86,302,117 $ 240,275,054 $ 27,335,889
Par value............................................................ 15,000 33,000 6,000
Accumulated distributable earnings (loss)............................ (40,141,327) (93,604,216) (5,463,468)
---------------- ---------------- ----------------
NET ASSETS........................................................... $ 46,175,790 $ 146,703,838 $ 21,878,421
================ ================ ================
NET ASSET VALUE, per share........................................... $ 30.78 $ 44.46 $ 36.46
================ ================ ================
Number of shares outstanding (unlimited number of shares
authorized, par value $0.01 per share)............................ 1,500,002 3,300,002 600,002
================ ================ ================
Investments, at cost................................................. $ 46,971,980 $ 125,093,842 $ 20,324,348
================ ================ ================
Securities on loan, at value......................................... $ 1,178,971 $ 3,416,556 $ --
================ ================ ================
Page 104 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JULY 31, 2020
FIRST TRUST FIRST TRUST FIRST TRUST
LARGE CAP CORE MID CAP CORE SMALL CAP CORE
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FEX) (FNX) (FYX)
---------------- ---------------- ----------------
INVESTMENT INCOME:
Dividends............................................................ $ 24,335,717 $ 14,103,062 $ 6,870,410
Securities lending income (net of fees).............................. 115,049 228,337 535,973
Foreign withholding tax.............................................. -- (6,062) (8,640)
---------------- ---------------- ----------------
Total investment income........................................ 24,450,766 14,325,337 7,397,743
---------------- ---------------- ----------------
EXPENSES:
Investment advisory fees............................................. 5,857,343 3,726,820 2,405,311
Accounting and administration fees................................... 567,427 375,559 244,459
Licensing fees....................................................... 171,306 112,614 76,204
Shareholder reporting fees........................................... 107,771 88,416 65,488
Custodian fees....................................................... 99,336 86,219 67,522
Transfer agent fees.................................................. 53,450 37,268 24,049
Legal fees........................................................... 25,516 16,635 9,135
Audit and tax fees................................................... 22,939 22,939 22,939
Trustees' fees and expenses.......................................... 8,043 7,667 7,431
Listing fees......................................................... 5,513 5,155 4,602
Other expenses....................................................... 22,194 14,943 10,547
---------------- ---------------- ----------------
Total expenses................................................. 6,940,838 4,494,235 2,937,687
Less fees waived and expenses reimbursed by the
investment advisor ......................................... -- -- --
---------------- ---------------- ----------------
Net expenses................................................... 6,940,838 4,494,235 2,937,687
---------------- ---------------- ----------------
NET INVESTMENT INCOME (LOSS)......................................... 17,509,928 9,831,102 4,460,056
---------------- ---------------- ----------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments.................................................... (94,466,260) (72,533,015) (94,544,602)
In-kind redemptions............................................ 83,681,605 1,175,921 7,160,098
---------------- ---------------- ----------------
Net realized gain (loss)............................................. (10,784,655) (71,357,094) (87,384,504)
---------------- ---------------- ----------------
Net change in unrealized appreciation (depreciation) on investments.. (46,535,745) (23,184,194) 13,740,440
---------------- ---------------- ----------------
NET REALIZED AND UNREALIZED GAIN (LOSS).............................. (57,320,400) (94,541,288) (73,644,064)
---------------- ---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS................................................... $ (39,810,472) $ (84,710,186) $ (69,184,008)
================ ================ ================
See Notes to Financial Statements Page 105
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
STATEMENTS OF OPERATIONS (CONTINUED)
FOR THE YEAR ENDED JULY 31, 2020
FIRST TRUST FIRST TRUST FIRST TRUST
LARGE CAP VALUE LARGE CAP GROWTH MULTI CAP VALUE
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FTA) (FTC) (FAB)
---------------- ---------------- ----------------
INVESTMENT INCOME:
Dividends............................................................ $ 24,646,918 $ 13,190,609 $ 1,786,542
Securities lending income (net of fees).............................. 189,341 8,128 35,410
Foreign withholding tax.............................................. -- -- (769)
---------------- ---------------- ----------------
Total investment income........................................ 24,836,259 13,198,737 1,821,183
---------------- ---------------- ----------------
EXPENSES:
Investment advisory fees............................................. 4,575,710 4,858,991 355,838
Accounting and administration fees................................... 452,574 484,832 39,272
Licensing fees....................................................... 137,476 141,573 19,669
Shareholder reporting fees........................................... 99,739 93,239 18,366
Custodian fees....................................................... 83,929 81,914 48,304
Transfer agent fees.................................................. 44,089 47,931 3,559
Legal fees........................................................... 20,243 23,539 1,520
Audit and tax fees................................................... 22,939 22,939 22,939
Trustees' fees and expenses.......................................... 7,819 7,864 7,091
Listing fees......................................................... 5,484 5,242 5,573
Other expenses....................................................... 18,726 17,198 3,494
---------------- ---------------- ----------------
Total expenses................................................. 5,468,728 5,785,262 525,625
Less fees waived and expenses reimbursed by the
investment advisor ......................................... -- -- (27,452)
---------------- ---------------- ----------------
Net expenses................................................... 5,468,728 5,785,262 498,173
---------------- ---------------- ----------------
NET INVESTMENT INCOME (LOSS)......................................... 19,367,531 7,413,475 1,323,010
---------------- ---------------- ----------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments.................................................... (98,794,990) (33,170,407) (10,207,182)
In-kind redemptions............................................ (7,638,078) 74,642,867 818,795
---------------- ---------------- ----------------
Net realized gain (loss)............................................. (106,433,068) 41,472,460 (9,388,387)
---------------- ---------------- ----------------
Net change in unrealized appreciation (depreciation) on investments.. (56,133,633) 80,486,123 (2,828,463)
---------------- ---------------- ----------------
NET REALIZED AND UNREALIZED GAIN (LOSS).............................. (162,566,701) 121,958,583 (12,216,850)
---------------- ---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS................................................... $ (143,199,170) $ 129,372,058 $ (10,893,840)
================ ================ ================
(a) Fund is subject to a Unitary Fee (see Note 3 in the Notes to Financial
Statements).
Page 106 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST
MULTI CAP MID CAP MID CAP SMALL CAP SMALL CAP FIRST TRUST
GROWTH VALUE GROWTH VALUE GROWTH MEGA CAP
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FAD) (FNK) (FNY) (FYT) (FYC) (FMK)
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
$ 1,984,537 $ 1,235,209 $ 2,680,104 $ 932,546 $ 2,036,319 $ 541,691
46,921 15,806 98,917 76,730 175,715 --
(222) (742) -- (1,426) (1,375) --
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
2,031,236 1,250,273 2,779,021 1,007,850 2,210,659 541,691
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
850,840 319,134 (a) 2,082,412 (a) 375,724 (a) 1,352,945 (a) 158,167 (a)
89,160 -- -- -- -- --
32,946 -- -- -- -- --
26,833 -- -- -- -- --
27,611 -- -- -- -- --
8,506 -- -- -- -- --
3,586 -- -- -- -- --
22,939 -- -- -- -- --
7,176 -- -- -- -- --
5,572 -- -- -- -- --
4,765 -- -- -- -- --
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
1,079,934 319,134 2,082,412 375,724 1,352,945 158,167
-- -- -- -- -- --
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
1,079,934 319,134 2,082,412 375,724 1,352,945 158,167
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
951,302 931,139 696,609 632,126 857,714 383,524
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
(17,848,183) (11,216,470) (31,699,595) (12,832,286) (30,870,682) (2,423,900)
18,348,847 2,838,291 23,044,116 (2,573,013) (940,470) 1,953,466
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
500,664 (8,378,179) (8,655,479) (15,405,299) (31,811,152) (470,434)
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
10,219,297 (2,884,268) 37,231,806 4,825,237 3,251,788 400,644
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
10,719,961 (11,262,447) 28,576,327 (10,580,062) (28,559,364) (69,790)
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
$ 11,671,263 $ (10,331,308) $ 29,272,936 $ (9,947,936) $ (27,701,650) $ 313,734
================ ================ ================ ================ ================ ================
See Notes to Financial Statements Page 107
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
FIRST TRUST FIRST TRUST
LARGE CAP CORE MID CAP CORE
ALPHADEX(R) FUND ALPHADEX(R) FUND
(FEX) (FNX)
------------------------------------ ------------------------------------
Year Ended Year Ended Year Ended Year Ended
7/31/2020 7/31/2019 7/31/2020 7/31/2019
----------------- ----------------- ----------------- -----------------
OPERATIONS:
Net investment income (loss)............................ $ 17,509,928 $ 18,340,763 $ 9,831,102 $ 8,240,591
Net realized gain (loss)................................ (10,784,655) 69,431,466 (71,357,094) 25,438,096
Net change in unrealized appreciation (depreciation).... (46,535,745) (51,939,570) (23,184,194) (28,927,358)
--------------- --------------- --------------- ---------------
Net increase (decrease) in net assets resulting
from operations...................................... (39,810,472) 35,832,659 (84,710,186) 4,751,329
--------------- --------------- --------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations................................... (18,540,837) (17,636,192) (11,195,657) (7,372,456)
--------------- --------------- --------------- ---------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold............................... 240,421,955 389,384,895 6,753,067 287,753,879
Cost of shares redeemed................................. (691,769,709) (513,826,091) (208,111,148) (299,688,790)
--------------- --------------- --------------- ---------------
Net increase (decrease) in net assets resulting
from shareholder transactions........................ (451,347,754) (124,441,196) (201,358,081) (11,934,911)
--------------- --------------- --------------- ---------------
Total increase (decrease) in net assets................. (509,699,063) (106,244,729) (297,263,924) (14,556,038)
NET ASSETS:
Beginning of period..................................... 1,434,678,889 1,540,923,618 887,176,377 901,732,415
--------------- --------------- --------------- ---------------
End of period........................................... $ 924,979,826 $ 1,434,678,889 $ 589,912,453 $ 887,176,377
=============== =============== =============== ===============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period................. 23,100,002 25,350,002 12,700,002 12,950,002
Shares sold............................................. 3,700,000 6,400,000 100,000 4,150,000
Shares redeemed......................................... (11,950,000) (8,650,000) (3,700,000) (4,400,000)
--------------- --------------- --------------- ---------------
Shares outstanding, end of period....................... 14,850,002 23,100,002 9,100,002 12,700,002
=============== =============== =============== ===============
Page 108 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST
SMALL CAP CORE LARGE CAP VALUE LARGE CAP GROWTH MULTI CAP VALUE
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FYX) (FTA) (FTC) (FAB)
------------------------------- ------------------------------- ------------------------------- -------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
7/31/2020 7/31/2019 7/31/2020 7/31/2019 7/31/2020 7/31/2019 7/31/2020 7/31/2019
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
$ 4,460,056 $ 6,112,880 $ 19,367,531 $ 22,632,151 $ 7,413,475 $ 5,276,951 $ 1,323,010 $ 1,466,127
(87,384,504) 2,859,229 (106,433,068) 14,254,561 41,472,460 39,686,289 (9,388,387) 1,294,092
13,740,440 (66,349,033) (56,133,633) (47,887,065) 80,486,123 12,785,024 (2,828,463) (5,847,344)
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
(69,184,008) (57,376,924) (143,199,170) (11,000,353) 129,372,058 57,748,264 (10,893,840) (3,087,125)
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
(5,394,021) (5,893,001) (23,055,097) (19,337,442) (8,241,982) (4,584,530) (1,551,937) (1,340,962)
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
32,895,792 262,073,225 25,870,706 127,487,293 230,961,993 726,158,507 -- 2,412,023
(163,765,527) (323,986,860) (409,169,376) (76,934,193) (404,670,821) (637,594,289) (20,467,579) (5,449,388)
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
(130,869,735) (61,913,635) (383,298,670) 50,553,100 (173,708,828) 88,564,218 (20,467,579) (3,037,365)
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
(205,447,764) (125,183,560) (549,552,937) 20,215,305 (52,578,752) 141,727,952 (32,913,356) (7,465,452)
602,918,163 728,101,723 1,166,568,828 1,146,353,523 1,041,725,736 899,997,784 84,300,689 91,766,141
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
$ 397,470,399 $ 602,918,163 $ 617,015,891 $1,166,568,828 $ 989,146,984 $1,041,725,736 $ 51,387,333 $ 84,300,689
============== ============== ============== ============== ============== ============== ============== ==============
9,750,002 10,900,002 22,100,002 21,200,002 14,600,002 13,450,002 1,550,002 1,600,002
600,000 3,950,000 500,000 2,450,000 3,000,000 10,750,000 -- 50,000
(3,250,000) (5,100,000) (9,300,000) (1,550,000) (5,550,000) (9,600,000) (450,000) (100,000)
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
7,100,002 9,750,002 13,300,002 22,100,002 12,050,002 14,600,002 1,100,002 1,550,002
============== ============== ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 109
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FIRST TRUST FIRST TRUST
MULTI CAP GROWTH MID CAP VALUE
ALPHADEX(R) FUND ALPHADEX(R) FUND
(FAD) (FNK)
------------------------------------ ------------------------------------
Year Ended Year Ended Year Ended Year Ended
7/31/2020 7/31/2019 7/31/2020 7/31/2019
----------------- ----------------- ----------------- -----------------
OPERATIONS:
Net investment income (loss)............................ $ 951,302 $ 571,783 $ 931,139 $ 780,370
Net realized gain (loss)................................ 500,664 2,171,060 (8,378,179) (632,580)
Net change in unrealized appreciation (depreciation).... 10,219,297 622,734 (2,884,268) (2,569,766)
--------------- --------------- --------------- ---------------
Net increase (decrease) in net assets resulting
from operations...................................... 11,671,263 3,365,577 (10,331,308) (2,421,976)
--------------- --------------- --------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations................................... (1,097,351) (458,046) (1,096,681) (675,721)
--------------- --------------- --------------- ---------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold............................... 66,588,015 45,995,046 21,058,255 15,447,959
Cost of shares redeemed................................. (92,750,744) (55,632,416) (30,467,047) (6,442,277)
--------------- --------------- --------------- ---------------
Net increase (decrease) in net assets resulting
from shareholder transactions........................ (26,162,729) (9,637,370) (9,408,792) 9,005,682
--------------- --------------- --------------- ---------------
Total increase (decrease) in net assets................. (15,588,817) (6,729,839) (20,836,781) 5,907,985
NET ASSETS:
Beginning of period..................................... 185,955,480 192,685,319 55,473,071 49,565,086
--------------- --------------- --------------- ---------------
End of period........................................... $ 170,366,663 $ 185,955,480 $ 34,636,290 $ 55,473,071
=============== =============== =============== ===============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period................. 2,450,002 2,650,002 1,600,002 1,350,002
Shares sold............................................. 850,000 650,000 700,000 450,000
Shares redeemed......................................... (1,250,000) (850,000) (1,050,000) (200,000)
--------------- --------------- --------------- ---------------
Shares outstanding, end of period....................... 2,050,002 2,450,002 1,250,002 1,600,002
=============== =============== =============== ===============
Page 110 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST
MID CAP GROWTH SMALL CAP VALUE SMALL CAP GROWTH MEGA CAP
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FNY) (FYT) (FYC) (FMK)
------------------------------- ------------------------------- ------------------------------- -------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
7/31/2020 7/31/2019 7/31/2020 7/31/2019 7/31/2020 7/31/2019 7/31/2020 7/31/2019
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
$ 696,609 $ 205,791 $ 632,126 $ 984,336 $ 857,714 $ 121,317 $ 383,524 $ 289,306
(8,655,479) (5,458,495) (15,405,299) (587,303) (31,811,152) (30,777,755) (470,434) 798,457
37,231,806 16,316,990 4,825,237 (7,220,590) 3,251,788 (8,010,419) 400,644 296,932
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
29,272,936 11,064,286 (9,947,936) (6,823,557) (27,701,650) (38,666,857) 313,734 1,384,695
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
(906,911) (115,920) (854,116) (917,901) (937,821) (105,410) (396,256) (250,051)
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
120,090,749 202,282,798 12,338,992 10,488,596 12,604,591 259,177,575 14,876,359 23,625,038
(120,133,429) (118,044,854) (16,020,220) (18,091,538) (116,112,612) (302,564,084) (16,396,539) (17,209,998)
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
(42,680) 84,237,944 (3,681,228) (7,602,942) (103,508,021) (43,386,509) (1,520,180) 6,415,040
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
28,323,345 95,186,310 (14,483,280) (15,344,400) (132,147,492) (82,158,776) (1,602,702) 7,549,684
309,825,677 214,639,367 60,659,070 76,003,470 278,851,330 361,010,106 23,481,123 15,931,439
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
$ 338,149,022 $ 309,825,677 $ 46,175,790 $ 60,659,070 $ 146,703,838 $ 278,851,330 $ 21,878,421 $ 23,481,123
============== ============== ============== ============== ============== ============== ============== ==============
6,650,002 4,900,002 1,750,002 1,950,002 5,950,002 7,400,002 650,002 450,002
2,600,000 4,550,000 350,000 300,000 300,000 5,200,000 400,000 700,000
(2,650,000) (2,800,000) (600,000) (500,000) (2,950,000) (6,650,000) (450,000) (500,000)
-------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
6,600,002 6,650,002 1,500,002 1,750,002 3,300,002 5,950,002 600,002 650,002
============== ============== ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 111
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX)
YEAR ENDED JULY 31,
------------------------------------------------------------------
2020 2019 2018 2017 2016
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 62.11 $ 60.79 $ 54.07 $ 46.93 $ 45.96
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.93 0.77 0.69 0.61 0.64
Net realized and unrealized gain (loss) 0.20 1.28 6.69 7.16 0.95
---------- ---------- ---------- ---------- ----------
Total from investment operations 1.13 2.05 7.38 7.77 1.59
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.95) (0.73) (0.66) (0.63) (0.62)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 62.29 $ 62.11 $ 60.79 $ 54.07 $ 46.93
========== ========== ========== ========== ==========
TOTAL RETURN (a) 1.95% 3.48% 13.72% 16.68% 3.59%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 924,980 $1,434,679 $1,540,924 $1,554,447 $1,506,341
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.59% 0.60% 0.61% 0.61% 0.61%
Ratio of net expenses to average net assets 0.59% 0.60% 0.61% 0.61% 0.61%
Ratio of net investment income (loss) to
average net assets 1.49% 1.29% 1.17% 1.21% 1.43%
Portfolio turnover rate (b) 104% 102% 87% 90% 109%
FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX)
YEAR ENDED JULY 31,
------------------------------------------------------------------
2020 2019 2018 2017 2016
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 69.86 $ 69.63 $ 59.91 $ 52.80 $ 52.97
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.85 0.63 0.61 0.56 0.56
Net realized and unrealized gain (loss) (4.93) 0.16 9.71 7.12 (0.21)
---------- ---------- ---------- ---------- ----------
Total from investment operations (4.08) 0.79 10.32 7.68 0.35
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.95) (0.56) (0.60) (0.57) (0.52)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 64.83 $ 69.86 $ 69.63 $ 59.91 $ 52.80
========== ========== ========== ========== ==========
TOTAL RETURN (a) (5.86)% 1.22% 17.30% 14.61% 0.76%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 589,912 $ 887,176 $ 901,732 $ 697,995 $ 644,144
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.60% 0.61% 0.62% 0.63% 0.63%
Ratio of net expenses to average net assets 0.60% 0.61% 0.62% 0.63% 0.63%
Ratio of net investment income (loss) to
average net assets 1.32% 0.94% 0.94% 1.00% 1.10%
Portfolio turnover rate (b) 115% 114% 101% 103% 126%
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year.
(b) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
Page 112 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX)
YEAR ENDED JULY 31,
------------------------------------------------------------------
2020 2019 2018 2017 2016
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 61.84 $ 66.80 $ 56.23 $ 48.91 $ 48.24
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.51 0.60 0.52 0.41 0.39
Net realized and unrealized gain (loss) (5.75) (4.98) 10.53 7.40 0.64
---------- ---------- ---------- ---------- ----------
Total from investment operations (5.24) (4.38) 11.05 7.81 1.03
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.62) (0.58) (0.48) (0.49) (0.36)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 55.98 $ 61.84 $ 66.80 $ 56.23 $ 48.91
========== ========== ========== ========== ==========
TOTAL RETURN (a) (8.55)% (6.52)% 19.72%(b) 16.03% 2.20%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 397,470 $ 602,918 $ 728,102 $ 491,997 $ 442,627
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.61% 0.62% 0.63% 0.63% 0.64%
Ratio of net expenses to average net assets 0.61% 0.62% 0.63% 0.63% 0.64%
Ratio of net investment income (loss) to
average net assets 0.93% 0.96% 0.87% 0.78% 0.86%
Portfolio turnover rate (c) 123% 117% 116% 111% 126%
FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA)
YEAR ENDED JULY 31,
------------------------------------------------------------------
2020 2019 2018 2017 2016
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 52.79 $ 54.07 $ 50.94 $ 41.98 $ 41.61
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 1.11 1.02 1.02 0.77 0.78 (d)
Net realized and unrealized gain (loss) (6.28) (1.43) 3.08 8.96 0.38
---------- ---------- ---------- ---------- ----------
Total from investment operations (5.17) (0.41) 4.10 9.73 1.16
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (1.23) (0.87) (0.97) (0.77) (0.79)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 46.39 $ 52.79 $ 54.07 $ 50.94 $ 41.98
========== ========== ========== ========== ==========
TOTAL RETURN (a) (9.84)% (0.65)% 8.12% 23.35% 2.94%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 617,016 $1,166,569 $1,146,354 $1,056,997 $ 831,256
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.60% 0.60% 0.61% 0.62% 0.62%
Ratio of net expenses to average net assets 0.60% 0.60% 0.61% 0.62% 0.62%
Ratio of net investment income (loss) to
average net assets 2.12% 1.99% 1.92% 1.63% 2.00%
Portfolio turnover rate (c) 94% 96% 82% 72% 94%
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year.
(b) The Fund received a payment from the Advisor in the amount of $3,456,678
in connection with a broker error, which represents $0.38 per share. Since
the Advisor reimbursed the Fund, there was no effect on the total return.
(c) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
(d) Based on average shares outstanding.
See Notes to Financial Statements Page 113
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC)
YEAR ENDED JULY 31,
------------------------------------------------------------------
2020 2019 2018 2017 2016
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 71.35 $ 66.91 $ 55.88 $ 51.56 $ 49.95
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.55 0.37 0.23 0.33 0.35
Net realized and unrealized gain (loss) 10.80 4.39 11.03 4.33 1.60
---------- ---------- ---------- ---------- ----------
Total from investment operations 11.35 4.76 11.26 4.66 1.95
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.61) (0.32) (0.23) (0.34) (0.34)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 82.09 $ 71.35 $ 66.91 $ 55.88 $ 51.56
========== ========== ========== ========== ==========
TOTAL RETURN (a) 16.10% 7.16% 20.19% 9.10% 3.96%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 989,147 $1,041,726 $ 899,998 $ 650,949 $ 618,698
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.60% 0.61% 0.61% 0.62% 0.62%
Ratio of net expenses to average net assets 0.60% 0.61% 0.61% 0.62% 0.62%
Ratio of net investment income (loss) to
average net assets 0.76% 0.56% 0.36% 0.63% 0.73%
Portfolio turnover rate (b) 138% 132% 119% 148% 149%
FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB)
YEAR ENDED JULY 31,
------------------------------------------------------------------
2020 2019 2018 2017 2016
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 54.39 $ 57.35 $ 52.84 $ 44.91 $ 44.75
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.95 0.92 0.96 0.73 0.70
Net realized and unrealized gain (loss) (7.54) (3.04) 4.45 7.96 0.13
---------- ---------- ---------- ---------- ----------
Total from investment operations (6.59) (2.12) 5.41 8.69 0.83
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (1.08) (0.84) (0.90) (0.76) (0.67)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 46.72 $ 54.39 $ 57.35 $ 52.84 $ 44.91
========== ========== ========== ========== ==========
TOTAL RETURN (a) (12.24)% (3.62)% 10.30% 19.46% 1.98%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 51,387 $ 84,301 $ 91,766 $ 110,959 $ 103,296
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.74% 0.73% 0.70% 0.66% 0.68%
Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.66% 0.68%
Ratio of net investment income (loss) to
average net assets 1.86% 1.69% 1.67% 1.45% 1.61%
Portfolio turnover rate (b) 98% 96% 89% 81% 96%
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year. For some periods, the total returns would have been
lower if certain fees had not been waived and expenses reimbursed by the
investment advisor.
(b) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
Page 114 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD)
YEAR ENDED JULY 31,
------------------------------------------------------------------
2020 2019 2018 2017 2016
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 75.90 $ 72.71 $ 59.33 $ 53.31 $ 52.16
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.42 0.22 0.12 0.25 0.24
Net realized and unrealized gain (loss) 7.27 3.14 13.40 6.04 1.13
---------- ---------- ---------- ---------- ----------
Total from investment operations 7.69 3.36 13.52 6.29 1.37
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.48) (0.17) (0.14) (0.27) (0.22)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 83.11 $ 75.90 $ 72.71 $ 59.33 $ 53.31
========== ========== ========== ========== ==========
TOTAL RETURN (a) 10.23% 4.65% 22.82% 11.85% 2.66%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 170,367 $ 185,955 $ 192,685 $ 103,829 $ 85,293
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.63% 0.66% 0.69% 0.70% 0.70%
Ratio of net expenses to average net assets 0.63% 0.66% 0.69% 0.70% 0.70%
Ratio of net investment income (loss) to
average net assets 0.56% 0.31% 0.18% 0.44% 0.50%
Portfolio turnover rate (b) 123% 130% 118% 142% 160%
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year. For some periods, the total returns would have been
lower if certain fees had not been waived and expenses reimbursed by the
investment advisor.
(b) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
See Notes to Financial Statements Page 115
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK)
YEAR ENDED JULY 31,
------------------------------------------------------------------
2020 2019 2018 2017 2016
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 34.67 $ 36.71 $ 33.65 $ 29.47 $ 29.56
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.63 0.51 0.58 0.44 0.43
Net realized and unrealized gain (loss) (6.86) (2.10) 3.04 4.17 (0.10)
---------- ---------- ---------- ---------- ----------
Total from investment operations (6.23) (1.59) 3.62 4.61 0.33
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.73) (0.45) (0.56) (0.43) (0.42)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 27.71 $ 34.67 $ 36.71 $ 33.65 $ 29.47
========== ========== ========== ========== ==========
TOTAL RETURN (a) (18.19)% (4.26)% 10.80% 15.72% 1.22%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 34,636 $ 55,473 $ 49,565 $ 57,201 $ 47,156
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to
average net assets 2.04% 1.49% 1.61% 1.31% 1.49%
Portfolio turnover rate (b) 107% 113% 94% 95% 114%
FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY)
YEAR ENDED JULY 31,
------------------------------------------------------------------
2020 2019 2018 2017 2016
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 46.59 $ 43.80 $ 35.07 $ 31.22 $ 31.31
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.11 0.04 0.03 0.15 0.11
Net realized and unrealized gain (loss) 4.67 2.77 8.75 3.87 (0.11)
---------- ---------- ---------- ---------- ----------
Total from investment operations 4.78 2.81 8.78 4.02 0.00
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.14) (0.02) (0.05) (0.17) (0.09)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 51.23 $ 46.59 $ 43.80 $ 35.07 $ 31.22
========== ========== ========== ========== ==========
TOTAL RETURN (a) 10.28% 6.43% 25.06% 12.94% 0.03%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 338,149 $ 309,826 $ 214,639 $ 94,700 $ 82,725
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to
average net assets 0.23% 0.09% 0.02% 0.48% 0.35%
Portfolio turnover rate (b) 135% 144% 124% 153% 193%
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year.
(b) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
Page 116 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT)
YEAR ENDED JULY 31,
------------------------------------------------------------------
2020 2019 2018 2017 2016
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 34.66 $ 38.98 $ 34.33 $ 30.19 $ 30.20
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.38 0.57 0.48 0.41 0.26
Net realized and unrealized gain (loss) (3.75) (4.36) 4.60 4.23 (0.04)
---------- ---------- ---------- ---------- ----------
Total from investment operations (3.37) (3.79) 5.08 4.64 0.22
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.51) (0.53) (0.43) (0.50) (0.23)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 30.78 $ 34.66 $ 38.98 $ 34.33 $ 30.19
========== ========== ========== ========== ==========
TOTAL RETURN (a) (9.83)% (9.69)% 14.86%(b) 15.41% 0.79%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 46,176 $ 60,659 $ 76,003 $ 61,802 $ 54,341
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to
average net assets 1.18% 1.58% 1.28% 1.22% 0.89%
Portfolio turnover rate (c) 120% 120% 123% 110% 125%
FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC)
YEAR ENDED JULY 31,
------------------------------------------------------------------
2020 2019 2018 2017 2016
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 46.87 $ 48.79 $ 38.83 $ 33.24 $ 32.18
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.17 0.02 0.06 0.05 0.09
Net realized and unrealized gain (loss) (2.40) (1.93) 9.97 5.63 1.04
---------- ---------- ---------- ---------- ----------
Total from investment operations (2.23) (1.91) 10.03 5.68 1.13
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.18) (0.01) (0.07) (0.09) (0.07)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 44.46 $ 46.87 $ 48.79 $ 38.83 $ 33.24
========== ========== ========== ========== ==========
TOTAL RETURN (a) (4.79)% (3.90)% 25.85%(d) 17.12% 3.54%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 146,704 $ 278,851 $ 361,010 $ 116,483 $ 56,502
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to
average net assets 0.44% 0.04% 0.11% 0.12% 0.32%
Portfolio turnover rate (c) 137% 152% 141% 162% 161%
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year.
(b) The Fund received a payment from the Advisor in the amount of $519,907 in
connection with a broker error, which represents $0.27 per share. Since
the Advisor reimbursed the Fund, there was no effect on the total return.
(c) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
(d) The Fund received a payment from the Advisor in the amount of $1,053,251
in connection with a broker error, which represents $0.25 per share. Since
the Advisor reimbursed the Fund, there was no effect on the total return.
See Notes to Financial Statements Page 117
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST MEGA CAP ALPHADEX(R) FUND (FMK)
YEAR ENDED JULY 31,
------------------------------------------------------------------
2020 2019 2018 2017 2016
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 36.12 $ 35.40 $ 30.99 $ 27.09 $ 27.48
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.61 0.45 0.40 0.40 0.45
Net realized and unrealized gain (loss) 0.35 0.68 4.40 3.92 (0.42)
---------- ---------- ---------- ---------- ----------
Total from investment operations 0.96 1.13 4.80 4.32 0.03
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.62) (0.41) (0.39) (0.42) (0.42)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 36.46 $ 36.12 $ 35.40 $ 30.99 $ 27.09
========== ========== ========== ========== ==========
TOTAL RETURN (a) 2.74% 3.24% 15.57% 16.10% 0.19%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 21,878 $ 23,481 $ 15,931 $ 15,496 $ 14,897
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to
average net assets 1.70% 1.33% 1.21% 1.38% 1.69%
Portfolio turnover rate (b) 142% 156% 136% 128% 145%
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year.
(b) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2020
1. ORGANIZATION
First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") is an open-end
management investment company organized as a Massachusetts business trust on
December 6, 2006, and is registered with the Securities and Exchange Commission
under the Investment Company Act of 1940, as amended (the "1940 Act").
The Trust currently consists of twenty-one exchange-traded funds considered
either a Sector Fund or Style Fund. This report covers the twelve Style Funds
listed below. The shares of each Style Fund are listed and traded on The Nasdaq
Stock Market LLC ("Nasdaq").
First Trust Large Cap Core AlphaDEX(R) Fund - (ticker "FEX")
First Trust Mid Cap Core AlphaDEX(R) Fund - (ticker "FNX")
First Trust Small Cap Core AlphaDEX(R) Fund - (ticker "FYX")
First Trust Large Cap Value AlphaDEX(R) Fund - (ticker "FTA")
First Trust Large Cap Growth AlphaDEX(R) Fund - (ticker "FTC")
First Trust Multi Cap Value AlphaDEX(R) Fund - (ticker "FAB")
First Trust Multi Cap Growth AlphaDEX(R) Fund - (ticker "FAD")
First Trust Mid Cap Value AlphaDEX(R) Fund - (ticker "FNK")
First Trust Mid Cap Growth AlphaDEX(R) Fund - (ticker "FNY")
First Trust Small Cap Value AlphaDEX(R) Fund - (ticker "FYT")
First Trust Small Cap Growth AlphaDEX(R) Fund - (ticker "FYC")
First Trust Mega Cap AlphaDEX(R) Fund - (ticker "FMK")
Each fund represents a separate series of shares of beneficial interest in the
Trust (each a "Fund" and collectively, the "Funds"). Unlike conventional mutual
funds, each Fund issues and redeems shares on a continuous basis, at net asset
value ("NAV"), only in large specified blocks consisting of 50,000 shares called
a "Creation Unit." Each Fund's Creation Units are generally issued and redeemed
in-kind for securities in which a Fund invests and, in certain circumstances,
for cash, and only to and from broker-dealer and large institutional investors
that have entered into participation agreements. Except when aggregated in
Creation Units, each Fund's shares are not redeemable securities. The investment
objective of each Fund is to seek investment results that correspond generally
to the price and yield (before the Fund's fees and expenses) of the following
indices:
FUND INDEX
First Trust Large Cap Core AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Large Cap Core Index
First Trust Mid Cap Core AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Mid Cap Core Index
First Trust Small Cap Core AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Small Cap Core Index
First Trust Large Cap Value AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Large Cap Value Index
First Trust Large Cap Growth AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Large Cap Growth Index
First Trust Multi Cap Value AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Multi Cap Value Index
First Trust Multi Cap Growth AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Multi Cap Growth Index
First Trust Mid Cap Value AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Mid Cap Value Index
First Trust Mid Cap Growth AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Mid Cap Growth Index
First Trust Small Cap Value AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Small Cap Value Index
First Trust Small Cap Growth AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Small Cap Growth Index
First Trust Mega Cap AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Mega Cap Index
2. SIGNIFICANT ACCOUNTING POLICIES
The Funds are each considered an investment company and follow accounting and
reporting guidance under Financial Accounting Standards Board Accounting
Standards Codification Topic 946, "Financial Services-Investment Companies." The
following is a summary of significant accounting policies consistently followed
by the Funds in the preparation of the financial statements. The preparation of
the financial statements in accordance with accounting principles generally
accepted in the United States of America ("U.S. GAAP") requires management to
make estimates and assumptions that affect the reported amounts and disclosures
in the financial statements. Actual results could differ from those estimates.
A. PORTFOLIO VALUATION
Each Fund's NAV is determined daily as of the close of regular trading on the
New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day
the NYSE is open for trading. If the NYSE closes early on a valuation day, the
NAV is determined as of that time. Each Fund's NAV is calculated by dividing the
value of all assets of each Fund (including accrued interest and dividends),
less all liabilities (including accrued expenses and dividends declared but
unpaid), by the total number of shares outstanding.
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2020
Each Fund's investments are valued daily at market value or, in the absence of
market value with respect to any portfolio securities, at fair value. Market
value prices represent last sale or official closing prices from a national or
foreign exchange (i.e., a regulated market) and are primarily obtained from
third-party pricing services. Fair value prices represent any prices not
considered market value prices and are either obtained from a third-party
pricing service or are determined by the Pricing Committee of the Funds'
investment advisor, First Trust Advisors L.P. ("First Trust" or the "Advisor"),
in accordance with valuation procedures adopted by the Trust's Board of
Trustees, and in accordance with provisions of the 1940 Act. Investments valued
by the Advisor's Pricing Committee, if any, are footnoted as such in the
footnotes to the Portfolio of Investments. Each Fund's investments are valued as
follows:
Common stocks and other equity securities listed on any national or
foreign exchange (excluding Nasdaq and the London Stock Exchange
Alternative Investment Market ("AIM")) are valued at the last sale price
on the exchange on which they are principally traded or, for Nasdaq and
AIM securities, the official closing price. Securities traded on more than
one securities exchange are valued at the last sale price or official
closing price, as applicable, at the close of the securities exchange
representing the principal market for such securities.
Shares of open-end funds are valued at fair value which is based on NAV
per share.
Securities traded in an over-the-counter market are fair valued at the
mean of their most recent bid and asked price, if available, and otherwise
at their closing bid price.
Overnight repurchase agreements are valued at amortized cost when it
represents the best estimate of fair value.
Certain securities may not be able to be priced by pre-established pricing
methods. Such securities may be valued by the Trust's Board of Trustees or its
delegate, the Advisor's Pricing Committee, at fair value. These securities
generally include, but are not limited to, restricted securities (securities
which may not be publicly sold without registration under the Securities Act of
1933, as amended) for which a third-party pricing service is unable to provide a
market price; securities whose trading has been formally suspended; a security
whose market or fair value price is not available from a pre-established pricing
source; a security with respect to which an event has occurred that is likely to
materially affect the value of the security after the market has closed but
before the calculation of a Fund's NAV or make it difficult or impossible to
obtain a reliable market quotation; and a security whose price, as provided by
the third-party pricing service, does not reflect the security's fair value. As
a general principle, the current fair value of a security would appear to be the
amount which the owner might reasonably expect to receive for the security upon
its current sale. When fair value prices are used, generally they will differ
from market quotations or official closing prices on the applicable exchanges. A
variety of factors may be considered in determining the fair value of such
securities, including, but not limited to, the following:
1) the type of security;
2) the size of the holding;
3) the initial cost of the security;
4) transactions in comparable securities;
5) price quotes from dealers and/or third-party pricing services;
6) relationships among various securities;
7) information obtained by contacting the issuer, analysts, or the
appropriate stock exchange;
8) an analysis of the issuer's financial statements; and
9) the existence of merger proposals or tender offers that might affect
the value of the security.
In addition, differences between the prices used to calculate a Fund's NAV and
the prices used by such Fund's corresponding index could result in a difference
between a Fund's performance and the performance of its underlying index.
The Funds are subject to fair value accounting standards that define fair value,
establish the framework for measuring fair value and provide a three-level
hierarchy for fair valuation based upon the inputs to the valuation as of the
measurement date. The three levels of the fair value hierarchy are as follows:
o Level 1 - Level 1 inputs are quoted prices in active markets for
identical investments. An active market is a market in which
transactions for the investment occur with sufficient frequency and
volume to provide pricing information on an ongoing basis.
o Level 2 - Level 2 inputs are observable inputs, either directly or
indirectly, and include the following:
o Quoted prices for similar investments in active markets.
o Quoted prices for identical or similar investments in markets
that are non-active. A non-active market is a market where
there are few transactions for the investment, the prices are
not current, or price quotations vary substantially either
over time or among market makers, or in which little
information is released publicly.
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2020
o Inputs other than quoted prices that are observable for the
investment (for example, interest rates and yield curves
observable at commonly quoted intervals, volatilities,
prepayment speeds, loss severities, credit risks, and default
rates).
o Inputs that are derived principally from or corroborated by
observable market data by correlation or other means.
o Level 3 - Level 3 inputs are unobservable inputs. Unobservable
inputs may reflect the reporting entity's own assumptions about the
assumptions that market participants would use in pricing the
investment.
The inputs or methodologies used for valuing investments are not necessarily an
indication of the risk associated with investing in those investments. A summary
of the inputs used to value each Fund's investments as of July 31, 2020, is
included with each Fund's Portfolio of Investments.
B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME
Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Dividend income is recorded on the ex-dividend date. Interest income, if any, is
recorded on the accrual basis.
Withholding taxes and tax reclaims on foreign dividends have been provided for
in accordance with each Fund's understanding of the applicable country's tax
rules and rates.
Distributions received from a Fund's investments in real estate investment
trusts ("REITs") may be comprised of return of capital, capital gains and
income. The actual character of the amounts received during the year is not
known until after the REITs' fiscal year end. A Fund records the character of
distributions received from the REITs during the year based on estimates
available. The characterization of distributions received by a Fund may be
subsequently revised based on information received from the REITs after their
tax reporting periods conclude.
C. OFFSETTING ON THE STATEMENTS OF ASSETS AND LIABILITIES
Offsetting Assets and Liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset on the
Statements of Assets and Liabilities, and disclose instruments and transactions
subject to master netting or similar agreements. These disclosure requirements
are intended to help investors and other financial statement users better assess
the effect or potential effect of offsetting arrangements on a fund's financial
position. The transactions subject to offsetting disclosures are derivative
instruments, repurchase agreements and reverse repurchase agreements, and
securities borrowing and securities lending transactions.
This disclosure, if applicable, is included within each Fund's Portfolio of
Investments under the heading "Offsetting Assets and Liabilities." For financial
reporting purposes, the Funds do not offset financial assets and financial
liabilities that are subject to master netting arrangements ("MNAs") or similar
agreements on the Statements of Assets and Liabilities. MNAs provide the right,
in the event of default (including bankruptcy and insolvency), for the
non-defaulting counterparty to liquidate the collateral and calculate the net
exposure to the defaulting party or request additional collateral.
D. SECURITIES LENDING
The Funds may lend securities representing up to 33 1/3% of the value of their
total assets to broker-dealers, banks and other institutions to generate
additional income. When a Fund loans its portfolio securities, it will receive,
at the inception of each loan, collateral equal to at least 102% (for domestic
securities) or 105% (for international securities) of the market value of the
loaned securities. The collateral amount is valued at the beginning of each
business day and is compared to the market value of the loaned securities from
the prior business day to determine if additional collateral is required. If
additional collateral is required, a request is sent to the borrower. Securities
lending involves the risk that the Fund may lose money because the borrower of
the Fund's loaned securities fails to return the securities in a timely manner
or at all. The Fund could also lose money in the event of (i) a decline in the
value of the collateral provided for the loaned securities, (ii) a decline in
the value of any investments made with cash collateral or (iii) an increase in
the value of the loaned securities if the borrower does not increase the
collateral accordingly and the borrower fails to return the securities. These
events could also trigger adverse tax consequences for the Funds.
Under the Funds' Securities Lending Agency Agreement, the securities lending
agent will generally bear the risk that a borrower may default on its obligation
to return loaned securities. Brown Brothers Harriman & Co. ("BBH") acts as the
Funds' securities lending agent and is responsible for executing the lending of
the portfolio securities to creditworthy borrowers. The Funds, however, will be
responsible for the risks associated with the investment of cash collateral. A
Fund may lose money on its investment of cash collateral, which may affect its
ability to repay the collateral to the borrower without the use of other Fund
assets. Each Fund that engages in securities lending receives compensation (net
of any rebate and securities lending agent fees) for lending its securities.
Compensation can be in the form of fees received from the securities lending
agent or dividends or interest earned from the investment of cash collateral.
The fees received from the securities lending agent are accrued daily. The
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2020
dividend and interest earned on the securities loaned is accounted for in the
same manner as other dividend and interest income. At July 31, 2020, all the
Funds except FMK had securities in the securities lending program. During the
fiscal year ended July 31, 2020, all the Funds except FMK participated in the
securities lending program.
In the event of a default by a borrower with respect to any loan, BBH will
exercise any and all remedies provided under the applicable borrower agreement
to make the Funds whole. These remedies include purchasing replacement
securities by applying the collateral held from the defaulting broker against
the purchase cost of the replacement securities. If, despite such efforts by BBH
to exercise these remedies, a Fund sustains losses as a result of a borrower's
default, BBH will indemnify the Fund by purchasing replacement securities at its
own expense, or paying the Fund an amount equal to the market value of the
replacement securities, subject to certain limitations which are set forth in
detail in the Securities Lending Agency Agreement between the Trust on behalf of
the Funds and BBH.
E. REPURCHASE AGREEMENTS
Repurchase agreements involve the purchase of securities subject to the seller's
agreement to repurchase the securities at a mutually agreed upon date and price,
under the terms of a Master Repurchase Agreement ("MRA"). During the term of a
repurchase agreement, the value of the underlying securities held as collateral
on behalf of a Fund, including accrued interest, is required to exceed the value
of the repurchase agreement, including accrued interest. The underlying
securities for all repurchase agreements are held at the Funds' custodian or
designated sub-custodians under tri-party repurchase agreements.
MRAs govern transactions between a Fund and select counterparties. The MRAs
contain provisions for, among other things, initiation, income payments, events
of default, and maintenance of collateral for repurchase agreements.
Repurchase agreements received for lending securities are collateralized by U.S.
Treasury securities. The U.S. Treasury securities are held in a joint custody
account at BBH on behalf of the Funds participating in the securities lending
program. In the event the counterparty defaults on the repurchase agreement, the
U.S. Treasury securities can either be maintained as part of a Fund's portfolio
or sold for cash. A Fund could suffer a loss to the extent that the proceeds
from the sale of the underlying collateral held by the Fund are less than the
repurchase price and the Fund's costs associated with the delay and enforcement
of the MRA.
While the Funds may invest in repurchase agreements, any repurchase agreements
held by the Funds during the fiscal year ended July 31, 2020, were received as
collateral for lending securities. There were no repurchase agreements held by
the Funds as of July 31, 2020.
F. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends from net investment income of each Fund, if any, are declared and paid
quarterly, or as the Board of Trustees may determine from time to time.
Distributions of net realized gains earned by each Fund, if any, are distributed
at least annually.
Distributions from net investment income and realized capital gains are
determined in accordance with federal income tax regulations, which may differ
from U.S. GAAP. Certain capital accounts in the financial statements are
periodically adjusted for permanent differences in order to reflect their tax
character. These permanent differences are primarily due to the varying
treatment of income and gain/loss on significantly modified portfolio securities
held by the Funds and have no impact on net assets or NAV per share. Temporary
differences, which arise from recognizing certain items of income, expense and
gain/loss in different periods for financial statement and tax purposes, will
reverse at some time in the future.
The tax character of distributions paid by each Fund during the fiscal year
ended July 31, 2020, was as follows:
Distributions paid from Distributions paid from Distributions paid from
Ordinary Income Capital Gains Return of Capital
----------------------- ----------------------- -----------------------
First Trust Large Cap Core AlphaDEX(R) Fund $ 18,540,837 $ -- $ --
First Trust Mid Cap Core AlphaDEX(R) Fund 11,195,657 -- --
First Trust Small Cap Core AlphaDEX(R) Fund 5,394,021 -- --
First Trust Large Cap Value AlphaDEX(R) Fund 23,055,097 -- --
First Trust Large Cap Growth AlphaDEX(R) Fund 8,241,982 -- --
First Trust Multi Cap Value AlphaDEX(R) Fund 1,551,937 -- --
First Trust Multi Cap Growth AlphaDEX(R) Fund 1,097,351 -- --
First Trust Mid Cap Value AlphaDEX(R) Fund 1,096,681 -- --
First Trust Mid Cap Growth AlphaDEX(R) Fund 906,911 -- --
First Trust Small Cap Value AlphaDEX(R) Fund 854,116 -- --
First Trust Small Cap Growth AlphaDEX(R) Fund 937,821 -- --
First Trust Mega Cap AlphaDEX(R) Fund 396,256 -- --
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2020
The tax character of distributions paid by each Fund during the fiscal year
ended July 31, 2019, was as follows:
Distributions paid from Distributions paid from Distributions paid from
Ordinary Income Capital Gains Return of Capital
----------------------- ----------------------- -----------------------
First Trust Large Cap Core AlphaDEX(R) Fund $ 17,636,192 $ -- $ --
First Trust Mid Cap Core AlphaDEX(R) Fund 7,372,456 -- --
First Trust Small Cap Core AlphaDEX(R) Fund 5,893,001 -- --
First Trust Large Cap Value AlphaDEX(R) Fund 19,337,442 -- --
First Trust Large Cap Growth AlphaDEX(R) Fund 4,584,530 -- --
First Trust Multi Cap Value AlphaDEX(R) Fund 1,340,962 -- --
First Trust Multi Cap Growth AlphaDEX(R) Fund 458,046 -- --
First Trust Mid Cap Value AlphaDEX(R) Fund 675,721 -- --
First Trust Mid Cap Growth AlphaDEX(R) Fund 115,920 -- --
First Trust Small Cap Value AlphaDEX(R) Fund 917,901 -- --
First Trust Small Cap Growth AlphaDEX(R) Fund 105,410 -- --
First Trust Mega Cap AlphaDEX(R) Fund 250,051 -- --
As of July 31, 2020, the components of distributable earnings on a tax basis for
each Fund were as follows:
Accumulated
Undistributed Capital and Net Unrealized
Ordinary Other Appreciation
Income Gain (Loss) (Depreciation)
---------------- ---------------- ----------------
First Trust Large Cap Core AlphaDEX(R) Fund $ 1,007,856 $(332,483,001) $ 75,997,651
First Trust Mid Cap Core AlphaDEX(R) Fund 1,093,337 (267,315,539) 37,527,071
First Trust Small Cap Core AlphaDEX(R) Fund 446,799 (294,653,725) 26,108,396
First Trust Large Cap Value AlphaDEX(R) Fund 1,419,906 (308,180,525) (37,588,966)
First Trust Large Cap Growth AlphaDEX(R) Fund -- (190,918,637) 222,657,272
First Trust Multi Cap Value AlphaDEX(R) Fund 102,665 (42,163,763) (3,302,261)
First Trust Multi Cap Growth AlphaDEX(R) Fund 89,962 (42,635,787) 38,915,614
First Trust Mid Cap Value AlphaDEX(R) Fund 51,319 (27,406,849) (4,862,290)
First Trust Mid Cap Growth AlphaDEX(R) Fund 537,262 (77,991,357) 72,277,480
First Trust Small Cap Value AlphaDEX(R) Fund 90,561 (40,129,197) (102,691)
First Trust Small Cap Growth AlphaDEX(R) Fund -- (118,465,502) 24,861,286
First Trust Mega Cap AlphaDEX(R) Fund 44,967 (6,457,966) 949,531
G. INCOME TAXES
Each Fund intends to continue to qualify as a regulated investment company by
complying with the requirements under Subchapter M of the Internal Revenue Code
of 1986, as amended, which includes distributing substantially all of its net
investment income and net realized gains to shareholders. Accordingly, no
provision has been made for federal and state income taxes. However, due to the
timing and amount of distributions, each Fund may be subject to an excise tax of
4% of the amount by which approximately 98% of each Fund's taxable income
exceeds the distributions from such taxable income for the calendar year.
The Funds are subject to accounting standards that establish a minimum threshold
for recognizing, and a system for measuring, the benefits of a tax position
taken or expected to be taken in a tax return. Taxable years ending 2017, 2018,
2019, and 2020 remain open to federal and state audit. As of July 31, 2020,
management has evaluated the application of these standards to the Funds, and
has determined that no provision for income tax is required in the Funds'
financial statements for uncertain tax positions.
Each Fund intends to utilize provisions of the federal income tax laws, which
allow it to carry a realized capital loss forward indefinitely following the
year of the loss and offset such loss against any future realized capital gains.
Each Fund is subject to certain limitations under U.S. tax rules on the use of
capital loss carryforwards and net unrealized built-in losses. These limitations
apply when there has been a 50% change in ownership. At July 31, 2020, for
federal income tax purposes, each applicable Fund had a capital loss
carryforward available that is shown in the table below, to the extent provided
by regulations, to offset future capital gains. To the extent that these loss
carryforwards are used to offset future capital gains, it is probable that the
capital gains so offset will not be distributed to each applicable Fund's
shareholders.
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2020
Non-Expiring
Capital Loss
Carryforwards
-------------
First Trust Large Cap Core AlphaDEX(R) Fund $ 332,483,001
First Trust Mid Cap Core AlphaDEX(R) Fund 267,315,539
First Trust Small Cap Core AlphaDEX(R) Fund 294,653,725
First Trust Large Cap Value AlphaDEX(R) Fund 308,180,525
First Trust Large Cap Growth AlphaDEX(R) Fund 190,918,637
First Trust Multi Cap Value AlphaDEX(R) Fund 42,163,763
First Trust Multi Cap Growth AlphaDEX(R) Fund 42,635,787
First Trust Mid Cap Value AlphaDEX(R) Fund 27,406,849
First Trust Mid Cap Growth AlphaDEX(R) Fund 77,991,357
First Trust Small Cap Value AlphaDEX(R) Fund 40,129,197
First Trust Small Cap Growth AlphaDEX(R) Fund 118,465,502
First Trust Mega Cap AlphaDEX(R) Fund 6,457,966
Certain losses realized during the current fiscal year may be deferred and
treated as occurring on the first day of the following fiscal year for federal
income tax purposes. For the fiscal year ended July 31, 2020, the Funds had no
net late year ordinary or capital losses.
In order to present paid-in capital and accumulated distributable earnings
(loss) (which consists of accumulated net investment income (loss), accumulated
net realized gain (loss) on investments and net unrealized appreciation
(depreciation) on investments) on the Statements of Assets and Liabilities that
more closely represent their tax character, certain adjustments have been made
to paid-in capital, accumulated net investment income (loss) and accumulated net
realized gain (loss) on investments. These adjustments are primarily due to the
difference between book and tax treatments of income and gains on various
investment securities held by the Funds and in-kind transactions. The results of
operations and net assets were not affected by these adjustments. For the fiscal
year ended July 31, 2020, the adjustments for each Fund were as follows:
Accumulated
Accumulated Net Realized
Net Investment Gain (Loss) Paid-in
Income (Loss) on Investments Capital
---------------- ---------------- ----------------
First Trust Large Cap Core AlphaDEX(R) Fund $ -- $ (79,856,383) $ 79,856,383
First Trust Mid Cap Core AlphaDEX(R) Fund 117,152 (216,015) 98,863
First Trust Small Cap Core AlphaDEX(R) Fund 767,871 (6,665,566) 5,897,695
First Trust Large Cap Value AlphaDEX(R) Fund -- 10,450,152 (10,450,152)
First Trust Large Cap Growth AlphaDEX(R) Fund 88,862 (74,023,524) 73,934,662
First Trust Multi Cap Value AlphaDEX(R) Fund 53,007 (680,136) 627,129
First Trust Multi Cap Growth AlphaDEX(R) Fund 2,364 (18,132,287) 18,129,923
First Trust Mid Cap Value AlphaDEX(R) Fund 7,471 (2,674,860) 2,667,389
First Trust Mid Cap Growth AlphaDEX(R) Fund 14,193 (21,526,634) 21,512,441
First Trust Small Cap Value AlphaDEX(R) Fund 142,506 2,730,572 (2,873,078)
First Trust Small Cap Growth AlphaDEX(R) Fund 5,615 1,199,983 (1,205,598)
First Trust Mega Cap AlphaDEX(R) Fund -- (1,919,112) 1,919,112
H. EXPENSES
Expenses that are directly related to one of the Funds are charged directly to
the respective Fund, except for the First Trust Mid Cap Value AlphaDEX(R) Fund,
First Trust Mid Cap Growth AlphaDEX(R) Fund, First Trust Small Cap Value
AlphaDEX(R) Fund, First Trust Small Cap Growth AlphaDEX(R) Fund and First Trust
Mega Cap AlphaDEX(R) Fund (the "Unitary Fee Funds"), for which expenses other
than excluded expenses (discussed in Note 3) are paid by the Advisor. General
expenses of the Trust are allocated to all the Funds based upon the net assets
of each Fund.
First Trust Portfolios L.P. ("FTP") has entered into licensing agreements with
Nasdaq, Inc. for each of the Style Funds. The license agreements allow for the
use by FTP of certain trademarks and trade names. The Funds and First Trust are
sub-licensees to the applicable license agreement. The Funds, except for the
Unitary Fee Funds, are required to pay licensing fees, which are shown on the
Statements of Operations. The licensing fees for the Unitary Fee Funds are paid
by First Trust from the unitary investment advisory fees it receives from each
of these Funds.
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STYLE FUNDS
JULY 31, 2020
3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS
First Trust, the investment advisor to the Funds, is a limited partnership with
one limited partner, Grace Partners of DuPage L.P., and one general partner, The
Charger Corporation. The Charger Corporation is an Illinois corporation
controlled by James A. Bowen, Chief Executive Officer of First Trust. First
Trust is responsible for the selection and ongoing monitoring of the securities
in each Fund's portfolio, managing the Funds' business affairs and providing
certain administrative services necessary for the management of the Funds.
For the Unitary Fee Funds, First Trust is paid an annual unitary management fee
of 0.70% of such Fund's average daily net assets and is responsible for the
expenses of such Fund including the cost of transfer agency, custody, fund
administration, legal, audit, license and other services, and excluding fee
payments under the Investment Management Agreement, distribution and service
fees pursuant to a Rule 12b-1 plan, if any, brokerage expenses, acquired fund
fees and expenses, taxes, interest, and extraordinary expenses.
For the First Trust Large Cap Core AlphaDEX(R) Fund, First Trust Mid Cap Core
AlphaDEX(R) Fund, First Trust Small Cap Core AlphaDEX(R) Fund, First Trust Large
Cap Value AlphaDEX(R) Fund, First Trust Large Cap Growth AlphaDEX(R) Fund, First
Trust Multi Cap Value AlphaDEX(R) Fund and First Trust Multi Cap Growth
AlphaDEX(R) Fund, First Trust is paid an annual management fee of 0.50% of each
Fund's average daily net assets. For such Funds, the Trust and First Trust have
entered into an Expense Reimbursement, Fee Waiver and Recovery Agreement
("Recovery Agreement") in which First Trust has agreed to waive fees and/or
reimburse Fund expenses to the extent that the operating expenses of each such
Fund (excluding interest expense, brokerage commissions and other trading
expenses, acquired fund fees and expenses, taxes and extraordinary expenses)
exceed 0.70% of average daily net assets per year (the "Expense Cap"). These
Funds will have the Expense Cap in effect until at least November 30, 2021.
Expenses reimbursed and fees waived by First Trust under the Recovery Agreement
are subject to recovery by First Trust for up to three years from the date the
fee was waived or expense was incurred, but no reimbursement payment will be
made by a Fund if it results in the Fund exceeding (i) the applicable expense
limitation in place for the most recent fiscal year for which such expense
limitation was in place (ii) the applicable expense limitation in place at the
time the fees were waived, or (iii) the current expense limitation. These
amounts would be included in "Expenses previously waived or reimbursed" on the
Statements of Operations.
The advisory fee waivers and expense reimbursements for the fiscal year ended
July 31, 2020 and fees waived or expenses borne by First Trust subject to
recovery from the applicable Fund for the periods indicated were as follows:
Fees Waived or Expenses Borne by First Trust
Subject to Recovery
-----------------------------------------------------
Advisory Expense Year Ended Year Ended Year Ended
Fee Waivers Reimbursements 7/31/2018 7/31/2019 7/31/2020 Total
----------- -------------- ----------- ----------- ----------- -----------
First Trust Multi Cap Value
AlphaDEX(R) Fund $ 27,452 $ -- $ -- $ 23,214 $ 27,452 $ 50,666
The Trust has multiple service agreements with The Bank of New York Mellon
("BNYM"). Under the service agreements, BNYM performs custodial, fund
accounting, certain administrative services, and transfer agency services for
each Fund. As custodian, BNYM is responsible for custody of each Fund's assets.
As fund accountant and administrator, BNYM is responsible for maintaining the
books and records of each Fund's securities and cash. As transfer agent, BNYM is
responsible for maintaining shareholder records for each Fund. BNYM is a
subsidiary of The Bank of New York Mellon Corporation, a financial holding
company.
Each Trustee who is not an officer or employee of First Trust, any sub-advisor
or any of their affiliates ("Independent Trustees") is paid a fixed annual
retainer that is allocated equally among each fund in the First Trust Fund
Complex. Each Independent Trustee is also paid an annual per fund fee that
varies based on whether the fund is a closed-end or other actively managed fund,
a defined-outcome fund or is an index fund.
Additionally, the Lead Independent Trustee and the Chairmen of the Audit
Committee, Nominating and Governance Committee and Valuation Committee are paid
annual fees to serve in such capacities, with such compensation allocated pro
rata among each fund in the First Trust Fund Complex based on net assets.
Independent Trustees are reimbursed for travel and out-of-pocket expenses in
connection with all meetings. The Lead Independent Trustee and Committee
Chairmen rotate every three years. The officers and "Interested" Trustee receive
no compensation from the Trust for acting in such capacities.
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2020
4. PURCHASES AND SALES OF SECURITIES
For the fiscal year ended July 31, 2020, the cost of purchases and proceeds from
sales of investments for each Fund, excluding short-term investments and in-kind
transactions, were as follows:
Purchases Sales
--------------- ---------------
First Trust Large Cap Core AlphaDEX(R) Fund $ 1,216,733,817 $ 1,216,475,488
First Trust Mid Cap Core AlphaDEX(R) Fund 856,615,754 855,803,588
First Trust Small Cap Core AlphaDEX(R) Fund 592,256,238 591,298,741
First Trust Large Cap Value AlphaDEX(R) Fund 852,804,535 855,870,622
First Trust Large Cap Growth AlphaDEX(R) Fund 1,347,613,965 1,347,958,319
First Trust Multi Cap Value AlphaDEX(R) Fund 69,114,244 69,111,846
First Trust Multi Cap Growth AlphaDEX(R) Fund 210,605,557 209,865,682
First Trust Mid Cap Value AlphaDEX(R) Fund 48,078,388 48,033,350
First Trust Mid Cap Growth AlphaDEX(R) Fund 406,811,750 406,797,453
First Trust Small Cap Value AlphaDEX(R) Fund 64,061,923 64,150,597
First Trust Small Cap Growth AlphaDEX(R) Fund 268,467,948 268,034,318
First Trust Mega Cap AlphaDEX(R) Fund 32,017,642 31,998,168
For the fiscal year ended July 31, 2020, the cost of in-kind purchases and
proceeds from in-kind sales for each Fund were as follows:
Purchases Sales
--------------- ---------------
First Trust Large Cap Core AlphaDEX(R) Fund $ 239,981,100 $ 690,944,015
First Trust Mid Cap Core AlphaDEX(R) Fund 6,736,052 207,771,687
First Trust Small Cap Core AlphaDEX(R) Fund 32,817,712 163,342,334
First Trust Large Cap Value AlphaDEX(R) Fund 25,724,441 408,429,689
First Trust Large Cap Growth AlphaDEX(R) Fund 230,906,160 404,009,841
First Trust Multi Cap Value AlphaDEX(R) Fund -- 20,436,603
First Trust Multi Cap Growth AlphaDEX(R) Fund 66,165,272 92,687,350
First Trust Mid Cap Value AlphaDEX(R) Fund 21,039,488 30,427,000
First Trust Mid Cap Growth AlphaDEX(R) Fund 119,901,236 120,000,007
First Trust Small Cap Value AlphaDEX(R) Fund 12,308,296 15,895,616
First Trust Small Cap Growth AlphaDEX(R) Fund 12,594,716 115,835,228
First Trust Mega Cap AlphaDEX(R) Fund 14,853,214 16,376,199
5. CREATION, REDEMPTION AND TRANSACTION FEES
Shares are created and redeemed by each Fund only in Creation Unit size
aggregations of 50,000 shares in transactions with broker-dealers or large
institutional investors that have entered into a participation agreement (an
"Authorized Participant"). Such transactions are generally permitted on an
in-kind basis, with a balancing cash component to equate the transaction to the
daily NAV per Share of each Fund on the transaction date times the number of
Shares in a Creation Unit. Authorized Participants purchasing Creation Units
must pay to BNYM, as transfer agent, a standard creation transaction fee (the
"Creation Transaction Fee"), which is based on the number of different
securities in a Creation Unit of each Fund. The Creation Transaction Fee is
applicable to each purchase transaction regardless of the number of Creation
Units purchased in the transaction. An additional variable fee of up to three
times the Creation Transaction Fee may be charged to approximate additional
expenses incurred by a Fund with respect to transactions effected outside of the
clearing process (i.e., through a DTC Participant) or to the extent that cash is
used in lieu of securities to purchase Creation Units. The Creation Transaction
Fee may increase or decrease with changes in each Fund's portfolio. The price
for each Creation Unit will equal the daily NAV per Share of a Fund on the
transaction date times the number of Shares in a Creation Unit plus the fees
described above and, if applicable, any transfer taxes.
Authorized Participants redeeming Creation Units must pay to BNYM, as transfer
agent, a standard redemption transaction fee (the "Redemption Transaction Fee"),
which is based on the number of different securities in a Creation Unit of each
Fund. The Redemption Transaction Fee is applicable to each redemption
transaction regardless of the number of Creation Units redeemed in the
transaction. An additional variable fee of up to three times the Redemption
Transaction Fee may be charged to approximate additional expenses incurred by a
Fund with respect to redemptions effected outside of the clearing process or to
the extent that redemptions are for cash. The Redemption Transaction Fee may
increase or decrease with changes in each Fund's portfolio. Each Fund reserves
the right to effect redemptions in cash. A shareholder may request cash
redemption in lieu of securities; however, a Fund may, in its discretion, reject
any such request.
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2020
6. DISTRIBUTION PLAN
The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule
12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are
authorized to pay an amount up to 0.25% of their average daily net assets each
year to reimburse FTP, the distributor of the Funds, for amounts expended to
finance activities primarily intended to result in the sale of Creation Units or
the provision of investor services. FTP may also use this amount to compensate
securities dealers or other persons that are Authorized Participants for
providing distribution assistance, including broker-dealer and shareholder
support and educational and promotional services.
No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual
arrangement, no 12b-1 fees will be paid any time before November 30, 2021.
7. INDEMNIFICATION
The Trust, on behalf of the Funds, has a variety of indemnification obligations
under contracts with its service providers. The Trust's maximum exposure under
these arrangements is unknown. However, the Trust has not had prior claims or
losses pursuant to these contracts and expects the risk of loss to be remote.
8. SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Funds
through the date the financial statements were issued, and has determined that
there was the following subsequent event:
The Board of Trustees of the Trust has approved a transaction to combine FMK
with First Trust Dow 30 Equal Weight ETF ("EDOW"), an exchange-traded index fund
that seeks investment results that correspond generally to the price and yield
(before fees and expenses) of an equity index called the Dow Jones Industrial
Average Equal Weight Index. Pursuant to this transaction, FMK shareholders will
become shareholders of EDOW.
In order for the transaction to occur, the shareholders of FMK and shareholders
of EDOW must approve the transaction. If approved, shares of FMK would be
exchanged, on a tax-free basis for federal income tax purposes, for shares of
EDOW with an equal aggregate net asset value, and FMK shareholders will become
shareholders of EDOW.
A special meeting of shareholders of FMK for the purpose of voting on the
transaction was held on September 14, 2020 and will reconvene on Monday,
September 28, 2020 at 12:15 p.m. Central time at the offices of FTA at 120 East
Liberty Drive, Suite 400, in Wheaton, Illinois in order to allow shareholders
additional time to vote. If the required approval is obtained, it is anticipated
that the transaction will be consummated shortly after the special shareholder
meeting.
FMK will continue sales and redemptions of shares as described in FMK's
prospectus.
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
--------------------------------------------------------------------------------
TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF FIRST TRUST EXCHANGE-TRADED
ALPHADEX(R) FUND:
OPINION ON THE FINANCIAL STATEMENTS AND FINANCIAL HIGHLIGHTS
We have audited the accompanying statements of assets and liabilities of First
Trust Large Cap Core AlphaDEX(R) Fund, First Trust Mid Cap Core AlphaDEX(R)
Fund, First Trust Small Cap Core AlphaDEX(R) Fund, First Trust Large Cap Value
AlphaDEX(R) Fund, First Trust Large Cap Growth AlphaDEX(R) Fund, First Trust
Multi Cap Value AlphaDEX(R) Fund, First Trust Multi Cap Growth AlphaDEX(R) Fund,
First Trust Mid Cap Value AlphaDEX(R) Fund, First Trust Mid Cap Growth
AlphaDEX(R) Fund, First Trust Small Cap Value AlphaDEX(R) Fund, First Trust
Small Cap Growth AlphaDEX(R) Fund, and First Trust Mega Cap AlphaDEX(R) Fund
(the "Funds"), each a series of the First Trust Exchange-Traded AlphaDEX(R)
Fund, including the portfolios of investments, as of July 31, 2020, the related
statements of operations for the year then ended, the statements of changes in
net assets for each of the two years in the period then ended, and the financial
highlights for each of the five years in the period then ended, and the related
notes. In our opinion, the financial statements and financial highlights present
fairly, in all material respects, the financial position of the Funds as of July
31, 2020, and the results of their operations for the year then ended, the
changes in their net assets for each of the two years in the period then ended,
and the financial highlights for each of the five years in the period then ended
in conformity with accounting principles generally accepted in the United States
of America.
BASIS FOR OPINION
These financial statements and financial highlights are the responsibility of
the Funds' management. Our responsibility is to express an opinion on the Funds'
financial statements and financial highlights based on our audits. We are a
public accounting firm registered with the Public Company Accounting Oversight
Board (United States) (PCAOB) and are required to be independent with respect to
the Funds in accordance with the U.S. federal securities laws and the applicable
rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those
standards require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements and financial highlights are
free of material misstatement, whether due to error or fraud. The Funds are not
required to have, nor were we engaged to perform, an audit of its internal
control over financial reporting. As part of our audits we are required to
obtain an understanding of internal control over financial reporting but not for
the purpose of expressing an opinion on the effectiveness of the Funds' internal
control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material
misstatement of the financial statements and financial highlights, whether due
to error or fraud, and performing procedures that respond to those risks. Such
procedures included examining, on a test basis, evidence regarding the amounts
and disclosures in the financial statements and financial highlights. Our audits
also included evaluating the accounting principles used and significant
estimates made by management, as well as evaluating the overall presentation of
the financial statements and financial highlights. Our procedures included
confirmation of securities owned as of July 31, 2020, by correspondence with the
custodian and brokers. We believe that our audits provide a reasonable basis for
our opinion.
/s/ Deloitte & Touche LLP
Chicago, Illinois
September 23, 2020
We have served as the auditor of one or more First Trust investment companies
since 2001.
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ADDITIONAL INFORMATION
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2020 (UNAUDITED)
PROXY VOTING POLICIES AND PROCEDURES
A description of the policies and procedures that the Trust uses to determine
how to vote proxies and information on how each Fund voted proxies relating to
its portfolio securities during the most recent 12-month period ended June 30 is
available (1) without charge, upon request, by calling (800) 988-5891; (2) on
each Fund's website at www.ftportfolios.com; and (3) on the Securities and
Exchange Commission's ("SEC") website at www.sec.gov.
PORTFOLIO HOLDINGS
Each Fund files portfolio holdings information for each month in a fiscal
quarter within 60 days after the end of the relevant fiscal quarter on Form
N-PORT. Portfolio holdings information for the third month of each fiscal
quarter will be publicly available on the SEC's website at www.sec.gov. Each
Fund's complete schedule of portfolio holdings for the second and fourth
quarters of each fiscal year is included in the semi-annual and annual reports
to shareholders, respectively, and is filed with the SEC on Form N-CSR. The
semi-annual and annual report for each Fund is available to investors within 60
days after the period to which it relates. Each Fund's Forms N-PORT and Forms
N-CSR are available on the SEC's website listed above.
FEDERAL TAX INFORMATION
For the taxable year ended July 31, 2020, the following percentages of income
dividend paid by the Funds qualify for the dividends received deduction
available to corporations:
Dividends Received
Deduction
---------------------
First Trust Large Cap Core AlphaDEX(R) Fund 100.00%
First Trust Mid Cap Core AlphaDEX(R) Fund 100.00%
First Trust Small Cap Core AlphaDEX(R) Fund 74.61%
First Trust Large Cap Value AlphaDEX(R) Fund 100.00%
First Trust Large Cap Growth AlphaDEX(R) Fund 100.00%
First Trust Multi Cap Value AlphaDEX(R) Fund 100.00%
First Trust Multi Cap Growth AlphaDEX(R) Fund 100.00%
First Trust Mid Cap Value AlphaDEX(R) Fund 94.05%
First Trust Mid Cap Growth AlphaDEX(R) Fund 100.00%
First Trust Small Cap Value AlphaDEX(R) Fund 77.81%
First Trust Small Cap Growth AlphaDEX(R) Fund 100.00%
First Trust Mega Cap AlphaDEX(R) Fund 100.00%
For the taxable year ended July 31, 2020, the following percentages of income
dividend paid by the Funds are hereby designated as qualified dividend income:
Qualified Dividend
Income
---------------------
First Trust Large Cap Core AlphaDEX(R) Fund 100.00%
First Trust Mid Cap Core AlphaDEX(R) Fund 100.00%
First Trust Small Cap Core AlphaDEX(R) Fund 74.61%
First Trust Large Cap Value AlphaDEX(R) Fund 100.00%
First Trust Large Cap Growth AlphaDEX(R) Fund 100.00%
First Trust Multi Cap Value AlphaDEX(R) Fund 100.00%
First Trust Multi Cap Growth AlphaDEX(R) Fund 100.00%
First Trust Mid Cap Value AlphaDEX(R) Fund 94.37%
First Trust Mid Cap Growth AlphaDEX(R) Fund 100.00%
First Trust Small Cap Value AlphaDEX(R) Fund 78.79%
First Trust Small Cap Growth AlphaDEX(R) Fund 100.00%
First Trust Mega Cap AlphaDEX(R) Fund 100.00%
A portion of each of the First Trust Exchange-Traded AlphaDEX Style Funds' 2020
ordinary dividends (including short-term capital gains) paid to its shareholders
during the fiscal year ended July 31, 2020, may be eligible for the Qualified
Business Income Deduction (QBI) under Code Section 199A for the aggregate
dividends each Fund received from the underlying Real Estate Investment Trusts
(REITs) these Funds invest in.
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ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2020 (UNAUDITED)
RISK CONSIDERATIONS
RISKS ARE INHERENT IN ALL INVESTING. CERTAIN GENERAL RISKS THAT MAY BE
APPLICABLE TO A FUND ARE IDENTIFIED BELOW, BUT NOT ALL OF THE MATERIAL RISKS
RELEVANT TO EACH FUND ARE INCLUDED IN THIS REPORT AND NOT ALL OF THE RISKS BELOW
APPLY TO EACH FUND. THE MATERIAL RISKS OF INVESTING IN EACH FUND ARE SPELLED OUT
IN ITS PROSPECTUS, STATEMENT OF ADDITIONAL INFORMATION AND OTHER REGULATORY
FILINGS. BEFORE INVESTING, YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE,
RISKS, CHARGES AND EXPENSES, AND READ EACH FUND'S PROSPECTUS AND STATEMENT OF
ADDITIONAL INFORMATION CAREFULLY. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT
WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO
REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND.
CONCENTRATION RISK. To the extent that a fund is able to invest a large
percentage of its assets in a single asset class or the securities of issuers
within the same country, state, region, industry or sector, an adverse economic,
business or political development may affect the value of the fund's investments
more than if the fund were more broadly diversified. A fund that tracks an index
will be concentrated to the extent the fund's corresponding index is
concentrated. A concentration makes a fund more susceptible to any single
occurrence and may subject the fund to greater market risk than a fund that is
not concentrated.
CREDIT RISK. Credit risk is the risk that an issuer of a security will be unable
or unwilling to make dividend, interest and/or principal payments when due and
the related risk that the value of a security may decline because of concerns
about the issuer's ability to make such payments.
CYBER SECURITY RISK. The funds are susceptible to potential operational risks
through breaches in cyber security. A breach in cyber security refers to both
intentional and unintentional events that may cause a fund to lose proprietary
information, suffer data corruption or lose operational capacity. Such events
could cause a fund to incur regulatory penalties, reputational damage,
additional compliance costs associated with corrective measures and/or financial
loss. In addition, cyber security breaches of a fund's third-party service
providers, such as its administrator, transfer agent, custodian, or sub-advisor,
as applicable, or issuers in which the fund invests, can also subject a fund to
many of the same risks associated with direct cyber security breaches.
DERIVATIVES RISK. To the extent a fund uses derivative instruments such as
futures contracts, options contracts and swaps, the fund may experience losses
because of adverse movements in the price or value of the underlying asset,
index or rate, which may be magnified by certain features of the derivative.
These risks are heightened when a fund's portfolio managers use derivatives to
enhance the fund's return or as a substitute for a position or security, rather
than solely to hedge (or offset) the risk of a position or security held by the
fund.
EQUITY SECURITIES RISK. To the extent a fund invests in equity securities, the
value of the fund's shares will fluctuate with changes in the value of the
equity securities. Equity securities prices fluctuate for several reasons,
including changes in investors' perceptions of the financial condition of an
issuer or the general condition of the relevant stock market, such as market
volatility, or when political or economic events affecting the issuers occur. In
addition, common stock prices may be particularly sensitive to rising interest
rates, as the cost of capital rises and borrowing costs increase. Equity
securities may decline significantly in price over short or extended periods of
time, and such declines may occur in the equity market as a whole, or they may
occur in only a particular country, company, industry or sector of the market.
ETF RISK. The shares of an ETF trade like common stock and represent an interest
in a portfolio of securities. The risks of owning an ETF generally reflect the
risks of owning the underlying securities, although lack of liquidity in an ETF
could result in it being more volatile and ETFs have management fees that
increase their costs. Shares of an ETF trade on an exchange at market prices
rather than net asset value, which may cause the shares to trade at a price
greater than net asset value (premium) or less than net asset value (discount).
In times of market stress, decisions by market makers to reduce or step away
from their role of providing a market for an ETF's shares, or decisions by an
ETF's authorized participants that they are unable or unwilling to proceed with
creation and/or redemption orders of an ETF's shares, could result in shares of
the ETF trading at a discount to net asset value and in greater than normal
intraday bid-ask spreads.
FIXED INCOME SECURITIES RISK. To the extent a fund invests in fixed income
securities, the fund will be subject to credit risk, income risk, interest rate
risk, liquidity risk and prepayment risk. Income risk is the risk that income
from a fund's fixed income investments could decline during periods of falling
interest rates. Interest rate risk is the risk that the value of a fund's fixed
income securities will decline because of rising interest rates. Liquidity risk
is the risk that a security cannot be purchased or sold at the time desired, or
cannot be purchased or sold without adversely affecting the price. Prepayment
risk is the risk that the securities will be redeemed or prepaid by the issuer,
resulting in lower interest payments received by the fund. In addition to these
risks, high yield securities, or "junk" bonds, are subject to greater market
fluctuations and risk of loss than securities with higher ratings, and the
market for high yield securities is generally smaller and less liquid than that
for investment grade securities.
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ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2020 (UNAUDITED)
INDEX CONSTITUENT RISK. Certain funds may be a constituent of one or more
indices. As a result, such a fund may be included in one or more index-tracking
exchange-traded funds or mutual funds. Being a component security of such a
vehicle could greatly affect the trading activity involving a fund, the size of
the fund and the market volatility of the fund. Inclusion in an index could
significantly increase demand for the fund and removal from an index could
result in outsized selling activity in a relatively short period of time. As a
result, a fund's net asset value could be negatively impacted and the fund's
market price may be significantly below its net asset value during certain
periods.
INDEX PROVIDER RISK. To the extent a fund seeks to track an index, it is subject
to Index Provider Risk. There is no assurance that the Index Provider will
compile the Index accurately, or that the Index will be determined, maintained,
constructed, reconstituted, rebalanced, composed, calculated or disseminated
accurately. To correct any such error, the Index Provider may carry out an
unscheduled rebalance or other modification of the Index constituents or
weightings, which may increase the fund's costs. The Index Provider does not
provide any representation or warranty in relation to the quality, accuracy or
completeness of data in the Index, and it does not guarantee that the Index will
be calculated in accordance with its stated methodology. Losses or costs
associated with any Index Provider errors generally will be borne by the fund
and its shareholders.
INVESTMENT COMPANIES RISK. To the extent a fund invests in the securities of
other investment vehicles, the fund will incur additional fees and expenses that
would not be present in a direct investment in those investment vehicles.
Furthermore, the fund's investment performance and risks are directly related to
the investment performance and risks of the investment vehicles in which the
fund invests.
LIBOR RISK. To the extent a fund invests in floating or variable rate
obligations that use the London Interbank Offered Rate ("LIBOR") as a reference
interest rate, it is subject to LIBOR Risk. In 2017, the United Kingdom's
Financial Conduct Authority announced that LIBOR will cease to be available for
use after 2021. The unavailability or replacement of LIBOR may affect the value,
liquidity or return on certain fund investments and may result in costs incurred
in connection with closing out positions and entering into new trades. Any
potential effects of the transition away from LIBOR on the fund or on certain
instruments in which the fund invests can be difficult to ascertain, and they
may vary depending on a variety of factors. Any such effects of the transition
away from LIBOR, as well as other unforeseen effects, could result in losses to
the fund.
MANAGEMENT RISK. To the extent that a fund is actively managed, it is subject to
management risk. In managing an actively-managed fund's investment portfolio,
the fund's portfolio managers will apply investment techniques and risk analyses
that may not have the desired result. There can be no guarantee that a fund will
meet its investment objective.
MARKET RISK. Securities held by a fund, as well as shares of a fund itself, are
subject to market fluctuations caused by factors such as general economic
conditions, political events, regulatory or market developments, changes in
interest rates and perceived trends in securities prices. Shares of a fund could
decline in value or underperform other investments as a result of the risk of
loss associated with these market fluctuations. In addition, local, regional or
global events such as war, acts of terrorism, spread of infectious diseases or
other public health issues, recessions, or other events could have a significant
negative impact on a fund and its investments. Such events may affect certain
geographic regions, countries, sectors and industries more significantly than
others. The outbreak of the respiratory disease designated as COVID-19 in
December 2019 has caused significant volatility and declines in global financial
markets, which have caused losses for investors. The COVID-19 pandemic may last
for an extended period of time and will continue to impact the economy for the
foreseeable future.
NON-U.S. SECURITIES RISK. To the extent a fund invests in non-U.S. securities,
it is subject to additional risks not associated with securities of domestic
issuers. Non-U.S. securities are subject to higher volatility than securities of
domestic issuers due to: possible adverse political, social or economic
developments; restrictions on foreign investment or exchange of securities; lack
of liquidity; currency exchange rates; excessive taxation; government seizure of
assets; different legal or accounting standards; and less government supervision
and regulation of exchanges in foreign countries. Investments in non-U.S.
securities may involve higher costs than investments in U.S. securities,
including higher transaction and custody costs, as well as additional taxes
imposed by non-U.S. governments. These risks may be heightened for securities of
companies located, or with significant operations, in emerging market countries.
PASSIVE INVESTMENT RISK. To the extent a fund seeks to track an index, the fund
will invest in the securities included in, or representative of, the index
regardless of their investment merit. A fund generally will not attempt to take
defensive positions in declining markets.
NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2020 (UNAUDITED)
REMUNERATION
First Trust Advisors L.P. ("First Trust") is authorised and regulated by the
U.S. Securities and Exchange Commission and is entitled to market shares of the
First Trust Exchange-Traded AlphaDEX(R) Fund funds it manages (the "Funds") in
certain member states in the European Economic Area in accordance with the
cooperation arrangements in Article 42 of the Alternative Investment Fund
Managers Directive (the "Directive"). First Trust is required under the
Directive to make disclosures in respect of remuneration. The following
disclosures are made in line with First Trust's interpretation of currently
available regulatory guidance on remuneration disclosures.
During the year ended December 31, 2019, the amount of remuneration paid (or to
be paid) by First Trust Advisors L.P. in respect of the Funds is $2,280,220.
This figure is comprised of $141,572 paid (or to be paid) in fixed compensation
and $2,138,648 paid (or to be paid) in variable compensation. There were a total
of 15 beneficiaries of the remuneration described above. Those amounts include
$1,331,600 paid (or to be paid) to senior management of First Trust Advisors
L.P. and $948,620 paid (or to be paid) to other employees whose professional
activities have a material impact on the risk profiles of First Trust Advisors
L.P. or the Funds (collectively, "Code Staff").
Code Staff included in the aggregated figures disclosed above are rewarded in
line with First Trust's remuneration policy (the "Remuneration Policy") which is
determined and implemented by First Trust's senior management. The Remuneration
Policy reflects First Trust's ethos of good governance and encapsulates the
following principal objectives:
i. to provide a clear link between remuneration and performance of
First Trust and to avoid rewarding for failure;
ii. to promote sound and effective risk management consistent with the
risk profiles of the Funds managed by First Trust; and
iii. to remunerate staff in line with the business strategy, objectives,
values and interests of First Trust and the Funds managed by First
Trust in a manner that avoids conflicts of interest.
First Trust assesses various risk factors which it is exposed to when
considering and implementing remuneration for Code Staff and considers whether
any potential award to such person(s) would give rise to a conflict of interest.
First Trust does not reward failure, or consider the taking of risk or failure
to take risk in its remuneration of Code Staff.
First Trust assesses performance for the purposes of determining payments in
respect of performance-related remuneration of Code Staff by reference to a
broad range of measures including (i) individual performance (using financial
and non-financial criteria), and (ii) the overall performance of First Trust.
Remuneration is not based upon the performance of the Funds.
The elements of remuneration are balanced between fixed and variable and the
senior management sets fixed salaries at a level sufficient to ensure that
variable remuneration incentivises and rewards strong individual performance but
does not encourage excessive risk taking.
No individual is involved in setting his or her own remuneration.
ADVISORY AGREEMENT
BOARD CONSIDERATIONS REGARDING CONTINUATION OF INVESTMENT MANAGEMENT AGREEMENT
The Board of Trustees of First Trust Exchange-Traded AlphaDEX(R) Fund (the
"Trust"), including the Independent Trustees, unanimously approved the
continuation of the Investment Management Agreements (as applicable to a
specific Fund, the "Agreement" and collectively, the "Agreements") with First
Trust Advisors L.P. (the "Advisor") on behalf of the following twelve series of
the Trust (each a "Fund" and collectively, the "Funds"):
First Trust Large Cap Core AlphaDEX(R) Fund (FEX)
First Trust Mid Cap Core AlphaDEX(R) Fund (FNX)
First Trust Small Cap Core AlphaDEX(R) Fund (FYX)
First Trust Multi Cap Growth AlphaDEX(R) Fund (FAD)
First Trust Multi Cap Value AlphaDEX(R) Fund (FAB)
First Trust Large Cap Growth AlphaDEX(R) Fund (FTC)
First Trust Large Cap Value AlphaDEX(R) Fund (FTA)
First Trust Mid Cap Growth AlphaDEX(R) Fund (FNY)
First Trust Mid Cap Value AlphaDEX(R) Fund (FNK)
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2020 (UNAUDITED)
First Trust Small Cap Growth AlphaDEX(R) Fund (FYC)
First Trust Small Cap Value AlphaDEX(R) Fund (FYT)
First Trust Mega Cap AlphaDEX(R) Fund (FMK)
The Board approved the continuation of the Agreement for each Fund for a
one-year period ending June 30, 2021 at a meeting held on June 8, 2020. The
Board determined for each Fund that the continuation of the Agreement is in the
best interests of the Fund in light of the nature, extent and quality of the
services provided and such other matters as the Board considered to be relevant
in the exercise of its reasonable business judgment.
To reach this determination for each Fund, the Board considered its duties under
the Investment Company Act of 1940, as amended (the "1940 Act"), as well as
under the general principles of state law, in reviewing and approving advisory
contracts; the requirements of the 1940 Act in such matters; the fiduciary duty
of investment advisors with respect to advisory agreements and compensation; the
standards used by courts in determining whether investment company boards have
fulfilled their duties; and the factors to be considered by the Board in voting
on such agreements. At meetings held on May 11, 2020 and June 8, 2020, the
Board, including the Independent Trustees, reviewed materials provided by the
Advisor responding to requests for information from counsel to the Independent
Trustees, submitted on behalf of the Independent Trustees, that, among other
things, outlined: the services provided by the Advisor to each Fund (including
the relevant personnel responsible for these services and their experience); the
advisory or unitary fee rate payable by each Fund as compared to fees charged to
a peer group of funds (the "Expense Group") and a broad peer universe of funds
(the "Expense Universe"), each assembled by Broadridge Financial Solutions, Inc.
("Broadridge"), an independent source, and as compared to fees charged to other
clients of the Advisor, including other exchange-traded funds ("ETFs") managed
by the Advisor; the expense ratio of each Fund as compared to expense ratios of
the funds in the Fund's Expense Group and Expense Universe; performance
information for each Fund, including comparisons of each Fund's performance to
that of one or more relevant benchmark indexes and to that of a performance
group of funds and a broad performance universe of funds (the "Performance
Universe"), each assembled by Broadridge; the nature of expenses incurred in
providing services to each Fund and the potential for the Advisor to realize
economies of scale, if any; profitability and other financial data for the
Advisor; any fall-out benefits to the Advisor and its affiliate, First Trust
Portfolios L.P. ("FTP"); and information on the Advisor's compliance program.
The Board reviewed initial materials with the Advisor at the meeting held on May
11, 2020, prior to which the Independent Trustees and their counsel met
separately to discuss the information provided by the Advisor. Following the May
meeting, counsel to the Independent Trustees, on behalf of the Independent
Trustees, requested certain clarifications and supplements to the materials
provided, and the information provided in response to those requests was
considered at an executive session of the Independent Trustees and their counsel
held prior to the June 8, 2020 meeting, as well as at the meeting held that day.
The Board considered supplemental information provided by the Advisor on the
operations of the Advisor and the performance of the Funds since the onset of
the COVID-19 pandemic. The Board applied its business judgment to determine
whether the arrangement between the Trust and the Advisor continues to be a
reasonable business arrangement from each Fund's perspective. The Board
determined that, given the totality of the information provided with respect to
the Agreements, the Board had received sufficient information to renew the
Agreements. The Board considered that shareholders chose to invest or remain
invested in a Fund knowing that the Advisor manages the Fund and knowing the
Fund's advisory or unitary fee.
In reviewing the Agreement for each Fund, the Board considered the nature,
extent and quality of the services provided by the Advisor under the Agreement.
The Board considered that the Advisor is responsible for the overall management
and administration of the Trust and each Fund and reviewed all of the services
provided by the Advisor to the Funds, as well as the background and experience
of the persons responsible for such services. In reviewing the services
provided, the Board noted the compliance program that had been developed by the
Advisor and considered that it includes a robust program for monitoring the
Advisor's and each Fund's compliance with the 1940 Act, as well as each Fund's
compliance with its investment objective, policies and restrictions. The Board
also considered a report from the Advisor with respect to its risk management
functions related to the operation of the Funds. Finally, as part of the Board's
consideration of the Advisor's services, the Advisor, in its written materials
and at the May 11, 2020 meeting, described to the Board the scope of its ongoing
investment in additional infrastructure and personnel to maintain and improve
the quality of services provided to the Funds and the other funds in the First
Trust Fund Complex. In light of the information presented and the considerations
made, the Board concluded that the nature, extent and quality of the services
provided to the Trust and each Fund by the Advisor under the Agreements have
been and are expected to remain satisfactory and that the Advisor has managed
each Fund consistent with its investment objective, policies and restrictions.
For FEX, FNX, FYX, FAD, FAB, FTC and FTA (the "Non-Unitary Fee Funds"), the
Board considered the advisory fee rate payable by each Non-Unitary Fee Fund
under the applicable Agreement for the services provided. The Board considered
that the Advisor agreed to extend the current expense cap for each Non-Unitary
Fee Fund through November 30, 2021. For each Non-Unitary Fee Fund, the Board
noted that expenses reimbursed and fees waived by the Advisor are subject to
recovery by the Advisor for up to three years from the date the fee was waived
or expense was incurred, but no reimbursement payment will be made by the
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2020 (UNAUDITED)
Non-Unitary Fee Fund if it would result in the Non-Unitary Fee Fund exceeding
(i) the applicable expense limitation in place for the most recent fiscal year
for which such expense limitation was in place, (ii) the applicable expense
limitation in place at the time the fees were waived, or (iii) the current
expense limitation.
For FNY, FNK, FYC, FYT and FMK (the "Unitary Fee Funds"), the Board considered
the unitary fee rate payable by each Unitary Fee Fund under the applicable
Agreement for the services provided. The Board considered that as part of the
unitary fee the Advisor is responsible for each Unitary Fee Fund's expenses,
including the cost of transfer agency, custody, fund administration, legal,
audit and other services and license fees, if any, but excluding the fee payment
under the applicable Agreement and interest, taxes, brokerage commissions and
other expenses connected with the execution of portfolio transactions,
distribution and service fees pursuant to a Rule 12b-1 plan, if any, and
extraordinary expenses, if any.
The Board received and reviewed information showing the advisory or unitary fee
rates and expense ratios of the peer funds in the Expense Groups, as well as
advisory and unitary fee rates charged by the Advisor to other fund (including
ETFs) and non-fund clients, as applicable. Because each Fund's Expense Group
included peer funds that pay a unitary fee and because each Unitary Fee Fund
pays a unitary fee, the Board determined that expense ratios were the most
relevant comparative data point. Based on the information provided, the Board
noted that the total (net) expense ratio of each Non-Unitary Fee Fund and the
unitary fee rate for each Unitary Fee Fund were above the median total (net)
expense ratio of the peer funds in each Fund's respective Expense Group. With
respect to the Expense Groups, the Board, at the May 11, 2020 meeting, discussed
with Broadridge its methodology for assembling peer groups and discussed with
the Advisor limitations in creating peer groups for index ETFs, including
differences in underlying indexes and index-tracking methodologies that can
result in greater management complexities across seemingly comparable ETFs, and
different business models that may affect the pricing of services among ETF
sponsors. The Board took these limitations and differences into account in
considering the peer data. With respect to fees charged to other non-ETF
clients, the Board considered differences between the Funds and other non-ETF
clients that limited their comparability. In considering the advisory and
unitary fee rates overall, the Board also considered the Advisor's statement
that it seeks to meet investor needs through innovative and value-added
investment solutions and the Advisor's demonstrated long-term commitment to each
Fund and the other funds in the First Trust Fund Complex.
The Board considered performance information for each Fund. The Board noted the
process it has established for monitoring each Fund's performance and portfolio
risk on an ongoing basis, which includes quarterly performance reporting from
the Advisor for the Funds. The Board determined that this process continues to
be effective for reviewing each Fund's performance. The Board received and
reviewed information for periods ended December 31, 2019 regarding the
performance of each Fund's underlying index, the correlation between each Fund's
performance and that of its underlying index, each Fund's tracking difference
and each Fund's excess return as compared to its benchmark index. The Board
noted that, effective April 8, 2016, each Fund changed its underlying index to
an index developed and maintained by Nasdaq, Inc. using the AlphaDEX(R) stock
selection methodology, and that the performance information included a blend of
the old and new indexes. The Board considered the Advisor's explanations of how
the AlphaDEX(R) stock selection methodology impacts Fund performance in various
market environments, and the Advisor's statement that AlphaDEX(R) is designed to
provide long-term outperformance. Based on the information provided and its
ongoing review of performance, the Board concluded that each Fund was correlated
to its underlying index and that the tracking difference for each Fund was
within a reasonable range. In addition, the Board reviewed data prepared by
Broadridge comparing each Fund's performance to that of its respective
Performance Universe and to that of a broad-based benchmark index, but given
each Fund's objective of seeking investment results that correspond generally to
the performance of its underlying index, the Board placed more emphasis on its
review of correlation and tracking difference.
On the basis of all the information provided on the fees, expenses and
performance of each Fund and the ongoing oversight by the Board, the Board
concluded that the advisory or unitary fee for each Fund continues to be
reasonable and appropriate in light of the nature, extent and quality of the
services provided by the Advisor to each Fund under the Agreements.
The Board considered information and discussed with the Advisor whether there
were any economies of scale in connection with providing advisory services to
the Funds and noted the Advisor's statement that it believes its expenses will
likely increase over the next twelve months as the Advisor continues to hire
personnel and build infrastructure, including technology, to improve the
services to the Funds. For the Unitary Fee Funds, the Board noted that any
reduction in fixed costs associated with the management of the Unitary Fee Funds
would benefit the Advisor, but that the unitary fee structure provides a level
of certainty in expenses for the Unitary Fee Funds. The Board considered the
revenues and allocated costs (including the allocation methodology) of the
Advisor in serving as investment advisor to each Fund for the twelve months
ended December 31, 2019 and the estimated profitability level for each Fund
calculated by the Advisor based on such data, as well as complex-wide and
product-line profitability data, for the same period. The Board noted the
inherent limitations in the profitability analysis and concluded that, based on
the information provided, the Advisor's profitability level for each Fund was
not unreasonable. In addition, the Board considered fall-out benefits described
by the Advisor that may be realized from its relationship with the Funds. The
Board considered that the Advisor had identified as a fall-out benefit to the
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
JULY 31, 2020 (UNAUDITED)
Advisor and FTP their exposure to investors and brokers who, absent their
exposure to the Funds, may have had no dealings with the Advisor or FTP, and
noted that the Advisor does not utilize soft dollars in connection with the
Funds. The Board concluded that the character and amount of potential fall-out
benefits to the Advisor were not unreasonable.
Based on all of the information considered and the conclusions reached, the
Board, including the Independent Trustees, unanimously determined that the terms
of the Agreements continue to be fair and reasonable and that the continuation
of the Agreements is in the best interests of each Fund. No single factor was
determinative in the Board's analysis.
LIQUIDITY RISK MANAGEMENT PROGRAM
In accordance with Rule 22e-4 under the Investment Company Act of 1940, as
amended (the "1940 Act"), the Funds and each other fund in the First Trust Fund
Complex, other than the closed-end funds, have adopted and implemented a
liquidity risk management program (the "Program") reasonably designed to assess
and manage the funds' liquidity risk, i.e., the risk that a fund could not meet
requests to redeem shares issued by the fund without significant dilution of
remaining investors' interests in the fund. The Board of Trustees of the First
Trust Funds has appointed First Trust Advisors, L.P. (the "Advisor") as the
person designated to administer the Program, and in this capacity the Advisor
performs its duties primarily through the activities and efforts of the First
Trust Liquidity Committee.
Pursuant to the Program, the Liquidity Committee classifies the liquidity of
each fund's portfolio investments into one of the four liquidity categories
specified by Rule 22e-4: highly liquid investments, moderately liquid
investments, less liquid investments and illiquid investments. The Liquidity
Committee determines certain of the inputs for this classification process,
including reasonably anticipated trade sizes and significant investor dilution
thresholds. The Liquidity Committee also determines and periodically reviews a
highly liquid investment minimum for certain funds, monitors the funds' holdings
of assets classified as illiquid investments to seek to ensure they do not
exceed 15% of a fund's net assets and establishes policies and procedures
regarding redemptions in kind.
At the May 11, 2020 meeting of the Board of Trustees, as required by Rule 22e-4
and the Program, the Advisor provided the Board with a written report prepared
by the Advisor that addressed the operation of the Program during the period
from June 1, 2019 (the initial compliance date for certain requirements of Rule
22e-4) through the Liquidity Committee's annual meeting held on March 20, 2020
and assessed the Program's adequacy and effectiveness of implementation during
this period, including the operation of the highly liquid investment minimum for
each fund that is required under the Program to have one, and any material
changes to the Program. Note that because the Funds primarily hold assets that
are highly liquid investments, the Funds have not adopted a highly liquid
investment minimum.
As stated in the written report, during the review period, no fund breached the
15% limitation on illiquid investments, no fund with a highly liquid investment
minimum breached that minimum and no fund filed a Form N-LIQUID. The Advisor
concluded that each fund's investment strategy is appropriate for an open-end
fund; that the Program operated effectively in all material respects during the
review period; and that the Program is reasonably designed to assess and manage
the liquidity risk of each fund and to maintain compliance with Rule 22e-4.
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BOARD OF TRUSTEES AND OFFICERS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
JULY 31, 2020 (UNAUDITED)
The following tables identify the Trustees and Officers of the Trust. Unless
otherwise indicated, the address of all persons is 120 East Liberty Drive, Suite
400, Wheaton, IL 60187.
The Trust's statement of additional information includes additional information
about the Trustees and is available, without charge, upon request, by calling
(800) 988-5891.
NUMBER OF OTHER
PORTFOLIOS IN TRUSTEESHIPS OR
TERM OF OFFICE THE FIRST TRUST DIRECTORSHIPS
NAME, AND YEAR FIRST FUND COMPLEX HELD BY TRUSTEE
YEAR OF BIRTH AND ELECTED OR PRINCIPAL OCCUPATIONS OVERSEEN BY DURING PAST
POSITION WITH THE TRUST APPOINTED DURING PAST 5 YEARS TRUSTEE 5 YEARS
------------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
------------------------------------------------------------------------------------------------------------------------------------
Richard E. Erickson, Trustee o Indefinite Term Physician, Officer, Wheaton Orthopedics; 184 None
(1951) Limited Partner, Gundersen Real Estate
o Since Inception Limited Partnership (June 1992 to
December 2016); Member, Sportsmed
LLC (April 2007 to November 2015)
Thomas R. Kadlec, Trustee o Indefinite Term President, ADM Investors Services, Inc. 184 Director of ADM
(1957) (Futures Commission Merchant) Investor Services,
o Since Inception Inc., ADM Investor
Services
International,
Futures Industry
Association, and
National Futures
Association
Robert F. Keith, Trustee o Indefinite Term President, Hibs Enterprises (Financial 184 Director of Trust
(1956) and Management Consulting) Company of
o Since Inception Illinois
Niel B. Nielson, Trustee o Indefinite Term Senior Advisor (August 2018 to Present), 184 None
(1954) Managing Director and Chief Operating
o Since Inception Officer (January 2015 to August 2018),
Pelita Harapan Educational Foundation
(Educational Product and Services);
President and Chief Executive Officer
(June 2012 to September 2014), Servant
Interactive LLC (Educational Products
and Services); President and Chief
Executive Officer (June 2012 to
September 2014), Dew Learning LLC
(Educational Products and Services)
------------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEE
------------------------------------------------------------------------------------------------------------------------------------
James A. Bowen(1), Trustee, o Indefinite Term Chief Executive Officer, First Trust 184 None
Chairman of the Board Advisors L.P. and First Trust
(1955) o Since Inception Portfolios L.P.; Chairman of the
Board of Directors, BondWave LLC
(Software Development Company)
and Stonebridge Advisors LLC
(Investment Advisor)
-----------------------------
(1) Mr. Bowen is deemed an "interested person" of the Trust due to his
position as Chief Executive Officer of First Trust Advisors L.P.,
investment advisor of the Trust.
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BOARD OF TRUSTEES AND OFFICERS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
JULY 31, 2020 (UNAUDITED)
POSITION AND TERM OF OFFICE
NAME AND OFFICES AND LENGTH OF PRINCIPAL OCCUPATIONS
YEAR OF BIRTH WITH TRUST SERVICE DURING PAST 5 YEARS
------------------------------------------------------------------------------------------------------------------------------------
OFFICERS(2)
------------------------------------------------------------------------------------------------------------------------------------
James M. Dykas President and Chief Executive o Indefinite Term Managing Director and Chief Financial Officer
(1966) Officer (January 2016 to Present), Controller (January 2011 to
o Since January 2016 January 2016), Senior Vice President (April 2007 to
January 2016), First Trust Advisors L.P. and First
Trust Portfolios L.P.; Chief Financial Officer
(January 2016 to Present), BondWave LLC (Software
Development Company) and Stonebridge Advisors
LLC (Investment Advisor)
Donald P. Swade Treasurer, Chief Financial o Indefinite Term Senior Vice President (July 2016 to Present), Vice
(1972) Officer and Chief President (April 2012 to July 2016), First Trust
Accounting Officer o Since January 2016 Advisors L.P. and First Trust Portfolios L.P.
W. Scott Jardine Secretary and Chief o Indefinite Term General Counsel, First Trust Advisors L.P. and First
(1960) Legal Officer Trust Portfolios L.P.; Secretary and General Counsel,
o Since Inception BondWave LLC; Secretary, Stonebridge Advisors LLC
Daniel J. Lindquist Vice President o Indefinite Term Managing Director, First Trust Advisors L.P. and
(1970) First Trust Portfolios L.P.
o Since Inception
Kristi A. Maher Chief Compliance Officer o Indefinite Term Deputy General Counsel, First Trust Advisors L.P.
(1966) and Assistant Secretary and First Trust Portfolios L.P.
o Chief Compliance
Officer Since
January 2011
o Assistant Secretary
Since Inception
Roger F. Testin Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P.
(1966) and First Trust Portfolios L.P.
o Since Inception
Stan Ueland Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P.
(1970) and First Trust Portfolios L.P.
o Since Inception
-----------------------------
(2) The term "officer" means the president, vice president, secretary,
treasurer, controller or any other officer who performs a policy making
function.
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PRIVACY POLICY
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
JULY 31, 2020 (UNAUDITED)
PRIVACY POLICY
First Trust values our relationship with you and considers your privacy an
important priority in maintaining that relationship. We are committed to
protecting the security and confidentiality of your personal information.
SOURCES OF INFORMATION
We collect nonpublic personal information about you from the following sources:
o Information we receive from you and your broker-dealer, investment
advisor or financial representative through interviews,
applications, agreements or other forms;
o Information about your transactions with us, our affiliates or
others;
o Information we receive from your inquiries by mail, e-mail or
telephone; and
o Information we collect on our website through the use of "cookies".
For example, we may identify the pages on our website that your
browser requests or visits.
INFORMATION COLLECTED
The type of data we collect may include your name, address, social security
number, age, financial status, assets, income, tax information, retirement and
estate plan information, transaction history, account balance, payment history,
investment objectives, marital status, family relationships and other personal
information.
DISCLOSURE OF INFORMATION
We do not disclose any nonpublic personal information about our customers or
former customers to anyone, except as permitted by law. In addition to using
this information to verify your identity (as required under law), the permitted
uses may also include the disclosure of such information to unaffiliated
companies for the following reasons:
o In order to provide you with products and services and to effect
transactions that you request or authorize, we may disclose your
personal information as described above to unaffiliated financial
service providers and other companies that perform administrative or
other services on our behalf, such as transfer agents, custodians
and trustees, or that assist us in the distribution of investor
materials such as trustees, banks, financial representatives, proxy
services, solicitors and printers.
o We may release information we have about you if you direct us to do
so, if we are compelled by law to do so, or in other legally limited
circumstances (for example to protect your account from fraud).
In addition, in order to alert you to our other financial products and services,
we may share your personal information within First Trust.
USE OF WEBSITE ANALYTICS
We currently use third party analytics tools, Google Analytics and AddThis, to
gather information for purposes of improving First Trust's website and marketing
our products and services to you. These tools employ cookies, which are small
pieces of text stored in a file by your web browser and sent to websites that
you visit, to collect information, track website usage and viewing trends such
as the number of hits, pages visited, videos and PDFs viewed and the length of
user sessions in order to evaluate website performance and enhance navigation of
the website. We may also collect other anonymous information, which is generally
limited to technical and web navigation information such as the IP address of
your device, internet browser type and operating system for purposes of
analyzing the data to make First Trust's website better and more useful to our
users. The information collected does not include any personal identifiable
information such as your name, address, phone number or email address unless you
provide that information through the website for us to contact you in order to
answer your questions or respond to your requests. To find out how to opt-out of
these services click on: Google Analytics and AddThis.
CONFIDENTIALITY AND SECURITY
With regard to our internal security procedures, First Trust restricts access to
your nonpublic personal information to those First Trust employees who need to
know that information to provide products or services to you. We maintain
physical, electronic and procedural safeguards to protect your nonpublic
personal information.
POLICY UPDATES AND INQUIRIES
As required by federal law, we will notify you of our privacy policy annually.
We reserve the right to modify this policy at any time, however, if we do change
it, we will tell you promptly. For questions about our policy, or for additional
copies of this notice, please go to www.ftportfolios.com, or contact us at
1-800-621-1675 (First Trust Portfolios) or 1-800-222-6822 (First Trust
Advisors).
March 2020
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FIRST TRUST
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
STYLE FUNDS
--------------------------------------------------------------------------------
INVESTMENT ADVISOR
First Trust Advisors L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
ADMINISTRATOR, CUSTODIAN,
FUND ACCOUNTANT &
TRANSFER AGENT
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
111 S. Wacker Drive
Chicago, IL 60606
LEGAL COUNSEL
Chapman and Cutler LLP
111 W. Monroe Street
Chicago, IL 60603
[BLANK BACK COVER]
ITEM 2. CODE OF ETHICS.
(a) The registrant, as of the end of the period covered by this report, has
adopted a code of ethics that applies to the registrant's principal
executive officer, principal financial officer, principal accounting
officer or controller, or persons performing similar functions, regardless
of whether these individuals are employed by the registrant or a third
party.
(c) There have been no amendments, during the period covered by this report,
to a provision of the code of ethics that applies to the registrant's
principal executive officer, principal financial officer, principal
accounting officer or controller, or persons performing similar functions,
regardless of whether these individuals are employed by the registrant or
a third party, and that relates to any element of the code of ethics
description.
(d) The registrant, during the period covered by this report, has not granted
any waivers, including an implicit waiver, from a provision of the code of
ethics that applies to the registrant's principal executive officer,
principal financial officer, principal accounting officer or controller,
or persons performing similar functions, regardless of whether these
individuals are employed by the registrant or a third party, that relates
to one or more of the items set forth in paragraph (b) of this item's
instructions.
(e) Not applicable.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
As of the end of the period covered by the report, the registrant's board of
trustees has determined that Thomas R. Kadlec and Robert F. Keith are qualified
to serve as audit committee financial experts serving on its audit committee and
that each of them is "independent," as defined by Item 3 of Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Audit Fees (Registrant) -- The aggregate fees billed for each of the
last two fiscal years for professional services rendered by the principal
accountant for the audit of the registrant's annual financial statements or
services that are normally provided by the accountant in connection with
statutory and regulatory filings or engagements were $420,000 for 2019 and
$399,000 for 2020.
(b) Audit-Related Fees (Registrant) -- The aggregate fees billed in each
of the last two fiscal years for assurance and related services by the principal
accountant that are reasonably related to the performance of the audit of the
registrant's financial statements and are not reported under paragraph (a) of
this Item were $0 for 2019 and $0 for 2020.
Audit-Related Fees (Investment Adviser and Distributor) -- The aggregate
fees billed in each of the last two fiscal years for assurance and related
services by the principal accountant that are reasonably related to the
performance of the audit of the registrant's financial statements and are not
reported under paragraph (a) of this Item were $0 for 2019 and $0 for 2020.
(c) Tax Fees (Registrant) -- The aggregate fees billed in each of the last
two fiscal years for professional services rendered by the principal accountant
for tax compliance, tax advice, and tax planning to the registrant were $61,425
for 2019 and $62,950 for 2020. These fees were for tax consultation.
Tax Fees (Investment Adviser and Distributor) -- The aggregate fees billed
in each of the last two fiscal years for professional services rendered by the
principal accountant for tax compliance, tax advice, and tax planning to the
registrant's adviser and distributor were $0 for 2019 and $0 for 2020.
(d) All Other Fees (Registrant) -- The aggregate fees billed in each of
the last two fiscal years for products and services provided by the principal
accountant to the registrant, other than the services reported in paragraphs (a)
through (c) of this Item were $0 for 2019 and $0 for 2020.
All Other Fees (Investment Adviser and Distributor) -- The aggregate fees
billed in each of the last two fiscal years for products and services provided
by the principal accountant to the registrant's investment adviser and
distributor, other than the services reported in paragraphs (a) through (c) of
this Item were $0 for 2018 and $0 for 2019 for the Adviser and $0 for 2019 and
$0 for 2020 for the Distributor.
(e)(1) Disclose the audit committee's pre-approval policies and procedures
described in paragraph (c) (7) of Rule 2-01 of Regulation S-X.
Pursuant to its charter and its Audit and Non-Audit Services Pre-Approval
Policy, the Audit Committee (the "Committee") is responsible for the
pre-approval of all audit services and permitted non-audit services (including
the fees and terms thereof) to be performed for the registrant by its
independent auditors. The Chairman of the Committee is authorized to give such
pre-approvals on behalf of the Committee up to $25,000 and report any such
pre-approval to the full Committee.
The Committee is also responsible for the pre-approval of the independent
auditor's engagements for non-audit services with the registrant's adviser (not
including a sub-adviser whose role is primarily portfolio management and is
sub-contracted or overseen by another investment adviser) and any entity
controlling, controlled by or under common control with the investment adviser
that provides ongoing services to the registrant, if the engagement relates
directly to the operations and financial reporting of the registrant, subject to
the de minimis exceptions for non-audit services described in Rule 2-01 of
Regulation S-X. If the independent auditor has provided non-audit services to
the registrant's adviser (other than any sub-adviser whose role is primarily
portfolio management and is sub-contracted with or overseen by another
investment adviser) and any entity controlling, controlled by or under common
control with the investment adviser that provides ongoing services to the
registrant that were not pre-approved pursuant to its policies, the Committee
will consider whether the provision of such non-audit services is compatible
with the auditor's independence.
(e)(2) The percentage of services described in each of paragraphs (b)
through (d) for the registrant and the registrant's investment adviser and
distributor of this Item that were approved by the audit committee pursuant to
the pre-approval exceptions included in paragraph (c)(7)(i)(C) or
paragraph(C)(7)(ii) of Rule 2-01 of Regulation S-X are as follows:
Registrant: Adviser and Distributor:
----------- ------------------------
(b) 0% (b) 0%
(c) 0% (c) 0%
(d) 0% (d) 0%
(f) The percentage of hours expended on the principal accountant's
engagement to audit the registrant's financial statements for the most recent
fiscal year that were attributed to work performed by persons other than the
principal accountant's full-time, permanent employees was less than fifty
percent.
(g) The aggregate non-audit fees billed by the registrant's accountant for
services rendered to the registrant, and rendered to the registrant's investment
adviser (not including any sub-adviser whose role is primarily portfolio
management and is subcontracted with or overseen by another investment adviser),
and any entity controlling, controlled by, or under common control with the
adviser that provides ongoing services to the registrant for 2019 were $61,425
for the registrant, $33,300 for the registrant's investment adviser and $46,000
for the registrant's distributor, and for 2020 were $62,950 for the registrant,
$47,170 for the registrant's investment adviser and $70,330 for the registrant's
distributor.
(h) The registrant's audit committee of its Board of Trustees has
determined that the provision of non-audit services that were rendered to the
registrant's investment adviser (not including any sub-adviser whose role is
primarily portfolio management and is subcontracted with or overseen by another
investment adviser), and any entity controlling, controlled by, or under common
control with the investment adviser that provides ongoing services to the
registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule
2-01 of Regulation S-X is compatible with maintaining the principal accountant's
independence.
ITEMS 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
The registrant has a separately designated standing audit committee established
in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934.
The audit committee of the registrant is comprised of: Richard E. Erickson,
Thomas R. Kadlec, Robert F. Keith and Niel B. Nielson.
ITEM 6. INVESTMENTS.
(a) Schedule of Investments in securities of unaffiliated issuers as of the
close of the reporting period is included as part of the report to
shareholders filed under Item 1 of this form.
(b) Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which the shareholders
may recommend nominees to the registrant's board of directors, where those
changes were implemented after the registrant last provided disclosure in
response to the requirements of Item 407 (c) (2) (iv) of Regulation S-K (17 CFR
229.407) (as required by Item 22 (b) (15) of Schedule 14A (17 CFR 240.14a-101)),
or this Item.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive and principal financial officers, or
persons performing similar functions, have concluded that the registrant's
disclosure controls and procedures (as defined in Rule 30a-3(c) under the
Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR
270.30a-3 (c))) are effective, as of a date within 90 days of the filing
date of the report that includes the disclosure required by this
paragraph, based on their evaluation of these controls and procedures
required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and
Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as
amended (17 CFR 240.13a-15(b) or 240.15d-15 (b)).
(b) There were no changes in the registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR
270.30a-3(d)) that occurred during the period covered by this report that
have materially affected, or are reasonably likely to materially affect,
the registrant's internal control over financial reporting.
ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT
INVESTMENT COMPANIES.
Not applicable.
ITEM 13. EXHIBITS.
(a) (1) Code of ethics, or any amendment thereto, that is the subject of
disclosure required by Item 2 is attached hereto.
(a) (2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and
Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
(a) (3) Not applicable.
(a) (4) Not applicable.
(b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section
906 of the Sarbanes-Oxley Act of 2002 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(registrant) First Trust Exchange-Traded AlphaDEX(R) Fund
----------------------------------------------------
By (Signature and Title)* /s/ James M. Dykas
----------------------------------------
James M. Dykas, President and
Chief Executive Officer
(principal executive officer)
Date: October 9, 2020
-----------------
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ James M. Dykas
----------------------------------------
James M. Dykas, President and
Chief Executive Officer
(principal executive officer)
Date: October 9, 2020
-----------------
By (Signature and Title)* /s/ Donald P. Swade
----------------------------------------
Donald P. Swade, Treasurer,
Chief Financial Officer and
Chief Accounting Officer
(principal financial officer)
Date: October 9, 2020
-----------------
* Print the name and title of each signing officer under his or her signature.