First Trust Exchange-Traded AlphaDEX® Fund
Annual Report
July 31, 2023
AlphaDEX® Style Funds
First Trust Large Cap Core AlphaDEX® Fund (FEX)
First Trust Mid Cap Core AlphaDEX® Fund (FNX)
First Trust Small Cap Core AlphaDEX® Fund (FYX)
First Trust Large Cap Value AlphaDEX® Fund (FTA)
First Trust Large Cap Growth AlphaDEX® Fund (FTC)
First Trust Multi Cap Value AlphaDEX® Fund (FAB)
First Trust Multi Cap Growth AlphaDEX® Fund (FAD)
First Trust Mid Cap Value AlphaDEX® Fund (FNK)
First Trust Mid Cap Growth AlphaDEX® Fund (FNY)
First Trust Small Cap Value AlphaDEX® Fund (FYT)
First Trust Small Cap Growth AlphaDEX® Fund (FYC)
AlphaDEX® is a registered trademark of First Trust Portfolios L.P.

Table of Contents
First Trust Exchange-Traded AlphaDEX® Fund
Style Funds
Annual Report
July 31, 2023
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150

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® 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 by investing in a Fund. See “Risk Considerations” in the Additional Information section of this report for a discussion of certain other risks of investing in the Funds.
Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please visit www.ftportfolios.com or speak with your financial advisor. Investment returns, net asset value and share price will fluctuate and Fund shares, when sold, may be worth more or less than their original cost.
The Advisor may also periodically provide additional information on Fund performance on each Fund’s webpage at www.ftportfolios.com.
How to Read This Report
This report contains information that may help you evaluate your investment. It includes details about each Fund and presents data and analysis that provide insight into each Fund’s performance and investment approach.
By reading the market overview by Robert F. Carey, Chief Market Strategist of the Advisor, you may obtain an understanding of how the market environment affected the performance of each Fund. The statistical information that follows may help you understand each Fund’s performance compared to that of relevant market benchmarks.
It is important to keep in mind that the opinions expressed by personnel of the Advisor are just that:informed opinions. They should not be considered to be promises or advice. The opinions, like the statistics, cover the period through the date on the cover of this report. The material risks of investing in each Fund are spelled out in its prospectus, statement of additional information, and other Fund regulatory filings.
Page 1

Shareholder Letter
First Trust Exchange-Traded AlphaDEX® Fund
Annual Letter from the Chairman and CEO
July 31, 2023
Dear Shareholders,
First Trust is pleased to provide you with the annual report for the Style Funds of the First Trust Exchange-Traded AlphaDEX® Fund (the “Funds”), which contains detailed information about the Funds for the twelve months ended July 31, 2023.
In a widely unexpected announcement, Fitch Ratings (“Fitch”), a provider of credit ratings, commentary, and research, downgraded the credit rating of the United States government from its highest rating of AAA to its second-highest rating of AA+ on August 1, 2023. The move marks the first time the U.S. government’s credit rating has been downgraded since 2011. Fitch cited the heightened potential of a near-term economic recession in the U.S. as well as the rising interest burden of government debt as two factors that contributed to their decision to implement the downgrade. We will leave it to the pundits to debate whether the downgrade was warranted or not. What we would like to see is a reduction in government spending. As of June 30, 2023, the U.S. government’s deficit stood at $1.39 trillion, already above the 2022 full year deficit of $1.37 trillion, according to Brian Wesbury, Chief Economist at First Trust. As Fitch noted in the press release of its downgrade, the interest burden on U.S. government debt, among other factors, is expected to catapult the general government deficit to 6.3% of gross domestic product (“GDP”) in 2023, up from 3.7% in 2022.
The Federal Reserve (the “Fed”) has made significant progress in its battle with rising prices. Inflation, as measured by the twelve-month trailing rate on the Consumer Price Index (“CPI”), stood at 3.2% on July 31, 2023, down significantly from its most recent high of 9.1% set on June 30, 2022, but up from 3.0% on June 30, 2023. While a reduction in the CPI is welcome, the metric remains well-above the Fed’s goal of 2.0%. Should the CPI remain stubbornly high, it may prompt further increases to the Federal Funds target rate over the coming months, which could hamper economic growth, in our opinion. That said, U.S. GDP has remained resilient, growing over each of the last four quarters (through June 30, 2023).
Whether the U.S. can avoid an economic recession over the coming months remains to be seen. As mentioned above, despite tighter monetary policy, the U.S. economy posted positive changes to GDP over each of the last four quarters. We continue to hope for a “soft landing,” but also keep our eyes fixated on the data.
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,
James A. Bowen
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
Page 2

Market Overview
First Trust Exchange-Traded AlphaDEX® Fund
Annual Report
July 31, 2023 
Robert F. Carey, CFA
Senior Vice President and Chief Market Strategist
First Trust Advisors L.P.
Mr. Carey is responsible for the overall management of research and analysis of the First Trust product line. Mr. Carey has more than 30 years of experience as an Equity and Fixed-Income Analyst and is a recipient of the Chartered Financial Analyst (“CFA”) designation. He is a graduate of the University of Illinois at Champaign-Urbana with a B.S. in Physics. He is also a member of the Investment Analysts Society of Chicago and the CFA Institute. Mr. Carey has appeared as a guest on such programs as Bloomberg TV, CNBC, and WBBM Radio, and has been quoted by several publications, including The Wall Street Journal, The Wall Street Reporter, Bloomberg News Service and Registered Rep.
State of the U.S./Global Economy
A new bull market was ushered in when the S&P 500® Index (the “Index”) closed at 4,293.93 on June 8, 2023, 20.04% above its most recent low of 3,577.03 which occurred on October 12, 2022. Driven by developments in Artificial Intelligence and a myriad of positive economic data, the Index has had an exceptional year so far in 2023. That said, the Federal Reserve (the “Fed”) continues to battle stubbornly high inflation. Inflation, as measured by the 12-month change in the rate of the Consumer Price Index, stood at 3.2% on July 31, 2023, up from 3.0% on June 30, 2023, and 1.2 percentage points higher than the Fed’s 2.0% goal rate for the metric. Suffice it to say, inflation is not just a domestic issue. Ten of the eleven countries that comprise the so-called “Group of Ten” reported headline inflation numbers greater than their target rates in August 2023, with Switzerland being the only outlier. As many investors may know, the Fed has been working on orchestrating a “soft landing” for the U.S. economy, raising interest rates just enough to quell inflation, but not so high as to cause an economic recession. Soft landings have been very difficult to engineer. Since its inception, the Fed has only been able to pull off a soft landing once.
The latest global growth forecast from the International Monetary Fund (“IMF”) released in July 2023 sees real gross domestic product (“GDP”) rising by 3.0% worldwide in 2023, down from 3.5% in 2022. In the U.S., the IMF forecasts real GDP could grow by 1.8% in 2023, down from 2.1% in 2022. The IMF notes that July’s U.S. real GDP figure reflects resilient consumer consumption in the first quarter of the year, a trend they are quick to note is not likely to last. In 2024, the IMF estimates that U.S. real GDP could fall to just 1.0%. Overall, Advanced Economies are projected to register a 1.5% growth rate in 2023, before declining to 1.4% in 2024. Emerging Market and Developing Economies are projected to grow faster than Advanced Economies. The IMF estimates their growth rate to register 4.0% and 4.1% in 2023 and 2024, respectively.
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 a record $10.51 trillion on June 30, 2023 (most recent data), according to its own release. Net inflows to ETFs/ETPs listed globally totaled $376.19 billion in the first six months of 2023. June marked the 49th consecutive month of net inflows into the category. Equity ETFs reported $162.77 billion in net inflows year-to-date (“YTD”) through June 30, 2023, significantly lower than the $277.33 billion in net inflows over the same period last year. Fixed income ETFs saw net inflows of $142.01 billion YTD, higher than the $84.47 billion in net inflows over the same period last year.
Style/Equity Investing
For the 12-month period ended July 31, 2023, the Index posted a total return of 13.02%, according to data from Bloomberg. Value stocks significantly outperformed growth stocks over the period. The S&P 500® Value Index posted a total return of 17.16%, compared to 8.00% for the S&P 500® Growth Index. The S&P MidCap 400® Index posted a total return of 10.47% for the same period. The S&P MidCap 400® Value Index posted a total return of 10.96%, compared to 9.81% for the S&P MidCap 400® Growth Index. The S&P SmallCap 600® Index posted a total return of 5.26% over the same period. As was the case with the other two market caps, value stocks outperformed growth stocks. The S&P SmallCap 600® Value Index posted a total return of 6.26% compared to 4.07% for the S&P SmallCap 600® Growth Index over the period.
Page 3

Fund Performance Overview (Unaudited)
First Trust Large Cap Core AlphaDEX® Fund (FEX)
The First Trust Large Cap Core AlphaDEX® 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® 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 is owned, developed, maintained and sponsored by Nasdaq, Inc. (the “Index Provider”). According to the Index Provider, the Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 500 Large CapTM 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
Ended
7/31/23
5 Years
Ended
7/31/23
10 Years
Ended
7/31/23
Inception
(5/8/07)
to 7/31/23
5 Years
Ended
7/31/23
10 Years
Ended
7/31/23
Inception
(5/8/07)
to 7/31/23
Fund Performance
NAV
8.86%
9.02%
10.38%
8.15%
54.02%
168.59%
256.77%
Market Price
8.86%
9.02%
10.38%
8.15%
53.99%
168.47%
256.87%
Index Performance
Nasdaq AlphaDEX® Large Cap Core
Index(1)
9.50%
9.68%
N/A
N/A
58.74%
N/A
N/A
Nasdaq US 500 Large CapTM Index(1)
13.13%
12.15%
N/A
N/A
77.46%
N/A
N/A
S&P 500® Index
13.02%
12.20%
12.66%
9.28%
77.78%
229.36%
321.99%
(1)
Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the
entire periods.
(See Notes to Fund Performance Overview on page 26.)
Performance Review
The Fund generated a net asset value (“NAV”) return of 8.86% during the period covered by this report. During the same period, the S&P 500® Index (the “Benchmark”) generated a return of 13.02%. During the period covered by this report, the Fund allocated 15.2% to the Financials sector, the largest allocation during the period. The 14.7% allocation to the Industrial sector contributed 2.9% to the Fund’s return, the greatest contribution of any sector. The least contributing sector to the Fund’s return came from the Real Estate sector, which contributed -0.3% during the period.

Nasdaq® 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® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 4

Fund Performance Overview (Unaudited) (Continued)
First Trust Large Cap Core AlphaDEX® Fund (FEX) (Continued)
Sector Allocation
% of Total
Long-Term
Investments
Industrials
18.0%
Information Technology
17.8
Financials
16.3
Consumer Discretionary
9.8
Health Care
7.4
Utilities
7.2
Materials
6.7
Energy
5.4
Consumer Staples
4.9
Real Estate
3.3
Communication Services
3.2
Total
100.0%
Top Ten Holdings
% of Total
Long-Term
Investments
KeyCorp
0.6%
Palantir Technologies, Inc., Class A
0.6
Citizens Financial Group, Inc.
0.5
Ovintiv, Inc.
0.5
Phillips 66
0.5
Mosaic (The) Co.
0.5
Packaging Corp. of America
0.5
MGM Resorts International
0.5
Bunge Ltd.
0.5
Westlake Corp.
0.5
Total
5.2%
Performance figures assume reinvestment of
all distributions and do not reflect the
deduction of taxes that a shareholder would
pay on Fund distributions or the redemption
or sale of Fund shares. An index is a statistical
composite that tracks a specified financial
market or sector. Unlike the Fund, the index
does not actually hold a portfolio of securities
and therefore does not incur the expenses
incurred by the Fund. These expenses
negatively impact the performance of the
Fund. The Fund’s past performance does not
predict future performance.
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 5

Fund Performance Overview (Unaudited) (Continued)
First Trust Mid Cap Core AlphaDEX® Fund (FNX)
The First Trust Mid Cap Core AlphaDEX® 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® 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 is owned, developed, maintained and sponsored by Nasdaq, Inc. (the “Index Provider”). According to the Index Provider, the Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 600 Mid CapTM 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
Ended
7/31/23
5 Years
Ended
7/31/23
10 Years
Ended
7/31/23
Inception
(5/8/07)
to 7/31/23
5 Years
Ended
7/31/23
10 Years
Ended
7/31/23
Inception
(5/8/07)
to 7/31/23
Fund Performance
NAV
10.70%
8.98%
9.57%
8.74%
53.74%
149.46%
289.69%
Market Price
10.71%
9.01%
9.57%
8.74%
53.91%
149.38%
289.75%
Index Performance
Nasdaq AlphaDEX® Mid Cap Core Index(1)
11.38%
9.67%
N/A
N/A
58.66%
N/A
N/A
Nasdaq US 600 Mid CapTM Index(1)
9.81%
7.48%
N/A
N/A
43.41%
N/A
N/A
S&P MidCap 400® Index
10.47%
8.28%
9.99%
8.79%
48.87%
159.22%
292.77%
(1)
Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the
entire periods.
(See Notes to Fund Performance Overview on page 26.)
Performance Review
The Fund generated a NAV return of 10.7% during the period covered by this report. During the same period, the S&P MidCap 400® Index (the “Benchmark”) generated a return of 10.47%. During the period covered by this report, the Industrials sector received the largest allocation within the Fund at a weight of 19.6%. This sector also generated the largest contribution to the Fund’s return at 4.6%. The least contributing sector to the Fund’s return during the period was the Communication Services sector, which generated a -0.7% contribution to the Fund’s return.

Nasdaq® 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® 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® Fund (FNX) (Continued)
Sector Allocation
% of Total
Long-Term
Investments
Industrials
21.3%
Financials
19.3
Consumer Discretionary
17.6
Information Technology
10.6
Energy
6.4
Health Care
6.3
Materials
6.3
Real Estate
3.8
Consumer Staples
3.7
Utilities
2.4
Communication Services
2.3
Total
100.0%
Top Ten Holdings
% of Total
Long-Term
Investments
Western Alliance Bancorp
0.5%
SoFi Technologies, Inc.
0.5
Super Micro Computer, Inc.
0.5
Weatherford International PLC
0.4
Saia, Inc.
0.4
New York Community Bancorp, Inc.
0.4
Signet Jewelers Ltd.
0.4
Ryder System, Inc.
0.4
DISH Network Corp., Class A
0.4
DraftKings, Inc., Class A
0.4
Total
4.3%
Performance figures assume reinvestment of
all distributions and do not reflect the
deduction of taxes that a shareholder would
pay on Fund distributions or the redemption
or sale of Fund shares. An index is a statistical
composite that tracks a specified financial
market or sector. Unlike the Fund, the index
does not actually hold a portfolio of securities
and therefore does not incur the expenses
incurred by the Fund. These expenses
negatively impact the performance of the
Fund. The Fund’s past performance does not
predict future performance.
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 7

Fund Performance Overview (Unaudited) (Continued)
First Trust Small Cap Core AlphaDEX® Fund (FYX)
The First Trust Small Cap Core AlphaDEX® 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® 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 is owned, developed, maintained and sponsored by Nasdaq, Inc. (the “Index Provider”). According to the Index Provider, the Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 700 Small CapTM 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
Ended
7/31/23
5 Years
Ended
7/31/23
10 Years
Ended
7/31/23
Inception
(5/8/07)
to 7/31/23
5 Years
Ended
7/31/23
10 Years
Ended
7/31/23
Inception
(5/8/07)
to 7/31/23
Fund Performance
NAV
6.16%
6.89%
8.64%
7.67%
39.55%
129.09%
231.92%
Market Price
6.21%
6.90%
8.64%
7.67%
39.61%
129.11%
231.97%
Index Performance
Nasdaq AlphaDEX® Small Cap Core
Index(1)
6.88%
7.62%
N/A
N/A
44.35%
N/A
N/A
Nasdaq US 700 Small CapTM Index(1)
8.21%
6.32%
N/A
N/A
35.88%
N/A
N/A
S&P SmallCap 600® Index
5.26%
5.70%
9.67%
8.40%
31.92%
151.73%
270.23%
(1)
Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the
entire periods.
(See Notes to Fund Performance Overview on page 26.)
Performance Review
The Fund generated a NAV return of 6.16% during the period covered by this report. During the same period, the S&P SmallCap 600® Index (the “Benchmark”) generated a return of 5.26%. The Fund allocated the greatest weight to the Financials sector. Investments in this sector received an allocation of 20.1%. This sector and the Real Estate sector each contributed -0.9% to the Fund’s return, which were the greatest drags of any sector. The Consumer Discretionary sector generated a 3.1% contribution to the Fund’s return, which was the greatest of any sector.

Nasdaq® 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® 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® Fund (FYX) (Continued)
Sector Allocation
% of Total
Long-Term
Investments
Financials
23.7%
Industrials
16.4
Consumer Discretionary
13.3
Health Care
9.1
Information Technology
8.7
Energy
7.6
Real Estate
7.5
Consumer Staples
4.8
Materials
4.4
Communication Services
3.3
Utilities
1.2
Total
100.0%
Top Ten Holdings
% of Total
Long-Term
Investments
Sphere Entertainment Co.
0.5%
Hudson Pacific Properties, Inc.
0.4
Bread Financial Holdings, Inc.
0.4
MillerKnoll, Inc.
0.4
Eagle Bancorp, Inc.
0.4
Hope Bancorp, Inc.
0.4
Opendoor Technologies, Inc.
0.4
Dime Community Bancshares, Inc.
0.4
Heartland Financial USA, Inc.
0.4
Rocket Lab USA, Inc.
0.4
Total
4.1%
Performance figures assume reinvestment of
all distributions and do not reflect the
deduction of taxes that a shareholder would
pay on Fund distributions or the redemption
or sale of Fund shares. An index is a statistical
composite that tracks a specified financial
market or sector. Unlike the Fund, the index
does not actually hold a portfolio of securities
and therefore does not incur the expenses
incurred by the Fund. These expenses
negatively impact the performance of the
Fund. The Fund’s past performance does not
predict future performance.
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 9

Fund Performance Overview (Unaudited) (Continued)
First Trust Large Cap Value AlphaDEX® Fund (FTA)
The First Trust Large Cap Value AlphaDEX® 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® 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 is owned, developed, maintained and sponsored by Nasdaq, Inc. (the “Index Provider”). According to the Index Provider, the Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 500 Large Cap ValueTM 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
Ended
7/31/23
5 Years
Ended
7/31/23
10 Years
Ended
7/31/23
Inception
(5/8/07)
to 7/31/23
5 Years
Ended
7/31/23
10 Years
Ended
7/31/23
Inception
(5/8/07)
to 7/31/23
Fund Performance
NAV
8.90%
7.57%
8.76%
7.33%
44.05%
131.60%
215.08%
Market Price
8.90%
7.56%
8.75%
7.33%
43.97%
131.41%
215.06%
Index Performance
Nasdaq AlphaDEX® Large Cap Value
Index(1)
9.57%
8.24%
N/A
N/A
48.61%
N/A
N/A
Nasdaq US 500 Large Cap ValueTM
Index(1)
11.59%
10.29%
N/A
N/A
63.21%
N/A
N/A
S&P 500® Index
13.02%
12.20%
12.66%
9.28%
77.78%
229.36%
321.99%
S&P 500® Value Index
17.16%
10.44%
10.33%
7.13%
64.29%
167.32%
205.97%
(1)
Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the
entire periods.
(See Notes to Fund Performance Overview on page 26.)
Performance Review
The Fund generated a NAV return of 8.90% during the period covered by this report. During the same period, the S&P 500® Value Index (the “Benchmark”) generated a return of 17.16%. During the period covered by this report, the Fund’s largest allocation was to the Financials sector with a weight of 23.8%. The Industrials sector generated the largest contribution to the Fund’s return at 2.4%. The Fund’s only negative contributing sectors for the period were the Real Estate and Utilities sectors, with each generating a contribution between 0.0% and -0.1% to the Fund’s return.

Nasdaq® 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® 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® Fund (FTA) (Continued)
Sector Allocation
% of Total
Long-Term
Investments
Financials
24.9%
Industrials
12.8
Utilities
12.4
Materials
9.1
Health Care
7.7
Consumer Staples
7.5
Consumer Discretionary
6.8
Information Technology
6.0
Energy
4.9
Communication Services
4.7
Real Estate
3.2
Total
100.0%
Top Ten Holdings
% of Total
Long-Term
Investments
KeyCorp
1.1%
Citizens Financial Group, Inc.
1.1
Ovintiv, Inc.
1.0
Phillips 66
1.0
Mosaic (The) Co.
1.0
Packaging Corp. of America
1.0
Bunge Ltd.
1.0
Westlake Corp.
1.0
Regions Financial Corp.
1.0
Marathon Oil Corp.
1.0
Total
10.2%
Performance figures assume reinvestment of
all distributions and do not reflect the
deduction of taxes that a shareholder would
pay on Fund distributions or the redemption
or sale of Fund shares. An index is a statistical
composite that tracks a specified financial
market or sector. Unlike the Fund, the indices
do not actually hold a portfolio of securities
and therefore do not incur the expenses
incurred by the Fund. These expenses
negatively impact the performance of the
Fund. The Fund’s past performance does not
predict future performance.
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 11

Fund Performance Overview (Unaudited) (Continued)
First Trust Large Cap Growth AlphaDEX® Fund (FTC)
The First Trust Large Cap Growth AlphaDEX® 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® 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 is owned, developed, maintained and sponsored by Nasdaq, Inc. (the “Index Provider”). According to the Index Provider, the Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 500 Large Cap GrowthTM 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
Ended
7/31/23
5 Years
Ended
7/31/23
10 Years
Ended
7/31/23
Inception
(5/8/07)
to 7/31/23
5 Years
Ended
7/31/23
10 Years
Ended
7/31/23
Inception
(5/8/07)
to 7/31/23
Fund Performance
NAV
8.71%
9.86%
11.77%
8.62%
60.00%
204.21%
282.73%
Market Price
8.59%
9.82%
11.76%
8.62%
59.75%
203.88%
282.42%
Index Performance
Nasdaq AlphaDEX® Large Cap Growth
Index(1)
9.36%
10.51%
N/A
N/A
64.79%
N/A
N/A
Nasdaq US 500 Large Cap GrowthTM
Index(1)
14.26%
13.71%
N/A
N/A
90.12%
N/A
N/A
S&P 500® Index
13.02%
12.20%
12.66%
9.28%
77.78%
229.36%
321.99%
S&P 500® Growth Index
8.00%
12.92%
14.27%
10.98%
83.62%
279.50%
442.10%
(1)
Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the
entire periods.
(See Notes to Fund Performance Overview on page 26.)
Performance Review
The Fund generated a NAV return of 8.71% during the period covered by this report. During the same period, the S&P 500® Growth Index (the “Benchmark”) generated a return of 8.00%. During the period covered by this report, the Fund allocated 20.4% to the Information Technology sector, which was the largest sector weight for the Fund, as well as the greatest contribution to the Fund’s return with a 5.0% contribution. The Fund’s allocation to the Real Estate sector was the most negative contributor with a -1.0% contribution to the Fund’s return for the period.

Nasdaq® 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® 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® Fund (FTC) (Continued)
Sector Allocation
% of Total
Long-Term
Investments
Information Technology
30.1%
Industrials
22.4
Consumer Discretionary
12.9
Financials
7.6
Energy
7.0
Health Care
7.0
Materials
4.5
Real Estate
3.2
Consumer Staples
2.0
Utilities
1.8
Communication Services
1.5
Total
100.0%
Top Ten Holdings
% of Total
Long-Term
Investments
Palantir Technologies, Inc., Class A
1.1%
MGM Resorts International
1.0
Uber Technologies, Inc.
1.0
ON Semiconductor Corp.
1.0
Lam Research Corp.
1.0
Booking Holdings, Inc.
1.0
Marriott International, Inc., Class A
1.0
HubSpot, Inc.
1.0
NXP Semiconductors N.V.
1.0
Reliance Steel & Aluminum Co.
0.9
Total
10.0%
Performance figures assume reinvestment of
all distributions and do not reflect the
deduction of taxes that a shareholder would
pay on Fund distributions or the redemption
or sale of Fund shares. An index is a statistical
composite that tracks a specified financial
market or sector. Unlike the Fund, the indices
do not actually hold a portfolio of securities
and therefore do not incur the expenses
incurred by the Fund. These expenses
negatively impact the performance of the
Fund. The Fund’s past performance does not
predict future performance.
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 13

Fund Performance Overview (Unaudited) (Continued)
First Trust Multi Cap Value AlphaDEX® Fund (FAB)
The First Trust Multi Cap Value AlphaDEX® 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® 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 is owned, developed, maintained and sponsored by Nasdaq, Inc. (the “Index Provider”). According to the Index Provider, the Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select value stocks from the Nasdaq US 500 Large CapTM Index, Nasdaq US 600 Mid CapTM Index, and Nasdaq US 700 Small CapTM 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
Ended
7/31/23
5 Years
Ended
7/31/23
10 Years
Ended
7/31/23
Inception
(5/8/07)
to 7/31/23
5 Years
Ended
7/31/23
10 Years
Ended
7/31/23
Inception
(5/8/07)
to 7/31/23
Fund Performance
NAV
9.19%
7.60%
8.30%
7.50%
44.26%
122.00%
223.45%
Market Price
9.22%
7.62%
8.30%
7.50%
44.34%
121.95%
223.61%
Index Performance
Nasdaq AlphaDEX® Multi Cap Value
Index(1)
9.91%
8.37%
N/A
N/A
49.44%
N/A
N/A
Nasdaq US Multi Cap Value Index(1)
11.29%
9.94%
N/A
N/A
60.61%
N/A
N/A
S&P Composite 1500® Index
12.68%
11.77%
12.40%
9.25%
74.45%
221.93%
320.24%
S&P Composite 1500® Value Index
16.51%
10.17%
10.27%
7.26%
62.32%
165.76%
211.71%
(1)
Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the
entire periods.
(See Notes to Fund Performance Overview on page 26.)
Performance Review
The Fund generated a NAV return of 9.19% during the period covered by this report. During the same period, the S&P Composite 1500® Value Index (the “Benchmark”) generated a return of 16.51%. During the period covered by this report, the Fund’s greatest sector allocation went to investments in the Financials sector. These investments received an allocation of 24.8%. The Industrials sector contributed 2.8% to the Fund’s return, the greatest of any sector. The Real Estate sector was the largest drag on the Fund, contributing -0.3% to the Fund’s return for the period.

Nasdaq® 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® 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® Fund (FAB) (Continued)
Sector Allocation
% of Total
Long-Term
Investments
Financials
28.7%
Industrials
13.6
Consumer Discretionary
11.1
Materials
8.0
Utilities
7.4
Consumer Staples
5.9
Information Technology
5.5
Health Care
5.5
Energy
5.5
Real Estate
4.8
Communication Services
4.0
Total
100.0%
Top Ten Holdings
% of Total
Long-Term
Investments
KeyCorp
0.6%
Citizens Financial Group, Inc.
0.5
Ovintiv, Inc.
0.5
Phillips 66
0.5
Mosaic (The) Co.
0.5
Packaging Corp. of America
0.5
Bunge Ltd.
0.5
Westlake Corp.
0.5
Regions Financial Corp.
0.5
Marathon Oil Corp.
0.5
Total
5.1%
Performance figures assume reinvestment of
all distributions and do not reflect the
deduction of taxes that a shareholder would
pay on Fund distributions or the redemption
or sale of Fund shares. An index is a statistical
composite that tracks a specified financial
market or sector. Unlike the Fund, the indices
do not actually hold a portfolio of securities
and therefore do not incur the expenses
incurred by the Fund. These expenses
negatively impact the performance of the
Fund. The Fund’s past performance does not
predict future performance.
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 15

Fund Performance Overview (Unaudited) (Continued)
First Trust Multi Cap Growth AlphaDEX® Fund (FAD)
The First Trust Multi Cap Growth AlphaDEX® 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® 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 is owned, developed, maintained and sponsored by Nasdaq, Inc. (the “Index Provider”). According to the Index Provider, the Index employs the AlphaDEX®  stock selection methodology which uses fundamental growth and value factors to objectively select growth stocks from the Nasdaq US 500 Large CapTM Index, Nasdaq US 600 Mid CapTM Index and Nasdaq US 700 Small CapTM 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
Ended
7/31/23
5 Years
Ended
7/31/23
10 Years
Ended
7/31/23
Inception
(5/8/07)
to 7/31/23
5 Years
Ended
7/31/23
10 Years
Ended
7/31/23
Inception
(5/8/07)
to 7/31/23
Fund Performance
NAV
8.50%
8.94%
11.14%
8.70%
53.47%
187.51%
287.46%
Market Price
8.53%
8.94%
11.15%
8.71%
53.45%
187.68%
287.67%
Index Performance
Nasdaq AlphaDEX® Multi Cap Growth
Index(1)
9.19%
9.67%
N/A
N/A
58.64%
N/A
N/A
Nasdaq US Multi Cap Growth Index(1)
13.79%
12.90%
N/A
N/A
83.43%
N/A
N/A
S&P Composite 1500® Index
12.68%
11.77%
12.40%
9.25%
74.45%
221.93%
320.24%
S&P Composite 1500® Growth Index
8.05%
12.44%
13.88%
10.85%
79.69%
266.88%
431.90%
(1)
Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the
entire periods.
(See Notes to Fund Performance Overview on page 26.)
Performance Review
The Fund generated a NAV return of 8.50% during the period covered by this report. During the same period, the S&P Composite 1500® Growth Index (the “Benchmark”) generated a return of 8.05%. The Industrials sector received the greatest allocation during the period, with an average weight of 18.3% and a 3.5% contribution to the Fund’s return. Investments in the Information Technology sector, with an average weight of 17.6%, contributed 3.7% to the Fund’s return, and were the greatest contributor to return of any sector during the period. The Real Estate sector was the greatest driver of negative Fund return, with a contribution of -0.9% to the Fund’s return.

Nasdaq® 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® 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® Fund (FAD) (Continued)
Sector Allocation
% of Total
Long-Term
Investments
Information Technology
23.2%
Industrials
22.8
Consumer Discretionary
14.5
Health Care
10.2
Energy
7.7
Financials
7.4
Materials
4.2
Real Estate
3.7
Consumer Staples
2.8
Communication Services
1.9
Utilities
1.6
Total
100.0%
Top Ten Holdings
% of Total
Long-Term
Investments
Palantir Technologies, Inc., Class A
0.6%
MGM Resorts International
0.5
Uber Technologies, Inc.
0.5
ON Semiconductor Corp.
0.5
Lam Research Corp.
0.5
Booking Holdings, Inc.
0.5
Marriott International, Inc., Class A
0.5
HubSpot, Inc.
0.5
NXP Semiconductors N.V.
0.5
Reliance Steel & Aluminum Co.
0.5
Total
5.1%
Performance figures assume reinvestment of
all distributions and do not reflect the
deduction of taxes that a shareholder would
pay on Fund distributions or the redemption
or sale of Fund shares. An index is a statistical
composite that tracks a specified financial
market or sector. Unlike the Fund, the indices
do not actually hold a portfolio of securities
and therefore do not incur the expenses
incurred by the Fund. These expenses
negatively impact the performance of the
Fund. The Fund’s past performance does not
predict future performance.
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 17

Fund Performance Overview (Unaudited) (Continued)
First Trust Mid Cap Value AlphaDEX® Fund (FNK)
The First Trust Mid Cap Value AlphaDEX® 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® 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 is owned, developed, maintained and sponsored by Nasdaq, Inc. (the “Index Provider”). According to the Index Provider, the Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 600 Mid Cap ValueTM 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
Ended
7/31/23
5 Years
Ended
7/31/23
10 Years
Ended
7/31/23
Inception
(4/19/11)
to 7/31/23
5 Years
Ended
7/31/23
10 Years
Ended
7/31/23
Inception
(4/19/11)
to 7/31/23
Fund Performance
NAV
11.95%
7.78%
7.90%
9.05%
45.47%
113.93%
189.87%
Market Price
11.87%
7.79%
7.90%
9.05%
45.48%
113.81%
189.80%
Index Performance
Nasdaq AlphaDEX® Mid Cap Value
Index(1)
12.81%
8.59%
N/A
N/A
51.00%
N/A
N/A
Nasdaq US 600 Mid Cap ValueTM Index(1)
10.82%
6.97%
N/A
N/A
40.05%
N/A
N/A
S&P MidCap 400® Value Index
10.96%
8.49%
9.77%
10.46%
50.28%
154.05%
239.39%
(1)
Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the
entire periods.
(See Notes to Fund Performance Overview on page 26.)
Performance Review
The Fund generated a NAV return of 11.95% during the period covered by this report. During the same period, the S&P MidCap 400® Value Index (the “Benchmark”) generated a return of 10.96%. The Fund allocated 23.8% to the Financials sector during the period covered by this report, more weight than was given to investments in any other sector. Investments in this sector accounted for a 4.7% contribution to the Fund’s return, the most of any sector. Investments in the Communication Services sector caused a -1.5% drag in the Fund during period, the largest negative contribution to return of any sector.

Nasdaq® 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® 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® Fund (FNK) (Continued)
Sector Allocation
% of Total
Long-Term
Investments
Financials
30.3%
Consumer Discretionary
16.5
Industrials
14.5
Materials
7.1
Energy
6.4
Information Technology
5.8
Real Estate
4.8
Health Care
4.0
Communication Services
3.7
Utilities
3.5
Consumer Staples
3.4
Total
100.0%
Top Ten Holdings
% of Total
Long-Term
Investments
Western Alliance Bancorp
1.0%
New York Community Bancorp, Inc.
0.9
Signet Jewelers Ltd.
0.9
Ryder System, Inc.
0.8
DISH Network Corp., Class A
0.8
Kilroy Realty Corp.
0.8
HF Sinclair Corp.
0.8
PBF Energy, Inc., Class A
0.8
SM Energy Co.
0.8
Hancock Whitney Corp.
0.8
Total
8.4%
Performance figures assume reinvestment of
all distributions and do not reflect the
deduction of taxes that a shareholder would
pay on Fund distributions or the redemption
or sale of Fund shares. An index is a statistical
composite that tracks a specified financial
market or sector. Unlike the Fund, the index
does not actually hold a portfolio of securities
and therefore does not incur the expenses
incurred by the Fund. These expenses
negatively impact the performance of the
Fund. The Fund’s past performance does not
predict future performance.
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 19

Fund Performance Overview (Unaudited) (Continued)
First Trust Mid Cap Growth AlphaDEX® Fund (FNY)
The First Trust Mid Cap Growth AlphaDEX® 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® 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 is owned, developed, maintained and sponsored by Nasdaq, Inc. (the “Index Provider”). According to the Index Provider, the Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 600 Mid Cap GrowthTM 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
Ended
7/31/23
5 Years
Ended
7/31/23
10 Years
Ended
7/31/23
Inception
(4/19/11)
to 7/31/23
5 Years
Ended
7/31/23
10 Years
Ended
7/31/23
Inception
(4/19/11)
to 7/31/23
Fund Performance
NAV
9.37%
8.99%
10.78%
10.54%
53.82%
178.47%
242.20%
Market Price
9.39%
8.99%
10.78%
10.54%
53.82%
178.24%
242.20%
Index Performance
Nasdaq AlphaDEX® Mid Cap Growth
Index(1)
10.11%
9.79%
N/A
N/A
59.55%
N/A
N/A
Nasdaq US 600 Mid Cap GrowthTM
Index(1)
8.85%
6.92%
N/A
N/A
39.74%
N/A
N/A
S&P MidCap 400® Growth Index
9.81%
7.66%
9.87%
10.22%
44.65%
156.30%
230.46%
(1)
Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the
entire periods.
(See Notes to Fund Performance Overview on page 26.)
Performance Review
The Fund generated a NAV return of 9.37% during the period covered by this report. During the same period, the S&P MidCap 400® Growth Index (the “Benchmark”) generated a return of 9.81%. During the period covered by this report, the Fund’s greatest allocation was to the Industrials sector, with an average weight of 21.4%. This sector also had the greatest contribution to the Fund’s return with a 5.4% contribution. The Health Care sector contributed -1.5% to the Fund’s return, which was the greatest drag of any sector to the Fund’s return.

Nasdaq® 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® 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® Fund (FNY) (Continued)
Sector Allocation
% of Total
Long-Term
Investments
Industrials
26.7%
Consumer Discretionary
18.8
Information Technology
16.7
Health Care
10.1
Energy
7.4
Financials
6.7
Materials
5.4
Consumer Staples
3.3
Real Estate
2.9
Utilities
1.2
Communication Services
0.8
Total
100.0%
Top Ten Holdings
% of Total
Long-Term
Investments
SoFi Technologies, Inc.
1.0%
Super Micro Computer, Inc.
1.0
Weatherford International PLC
0.9
Saia, Inc.
0.9
DraftKings, Inc., Class A
0.9
EMCOR Group, Inc.
0.8
Lennox International, Inc.
0.8
Floor & Decor Holdings, Inc., Class A
0.8
Hyatt Hotels Corp., Class A
0.8
Axcelis Technologies, Inc.
0.8
Total
8.7%
Performance figures assume reinvestment of
all distributions and do not reflect the
deduction of taxes that a shareholder would
pay on Fund distributions or the redemption
or sale of Fund shares. An index is a statistical
composite that tracks a specified financial
market or sector. Unlike the Fund, the index
does not actually hold a portfolio of securities
and therefore does not incur the expenses
incurred by the Fund. These expenses
negatively impact the performance of the
Fund. The Fund’s past performance does not
predict future performance.
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 21

Fund Performance Overview (Unaudited) (Continued)
First Trust Small Cap Value AlphaDEX® Fund (FYT)
The First Trust Small Cap Value AlphaDEX® 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® 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 and real estate investment trusts 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 is owned, developed, maintained and sponsored by Nasdaq, Inc. (the “Index Provider”). According to the Index Provider, the Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 700 Small Cap ValueTM 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 Total Returns
Cumulative Total Returns
 
1 Year
Ended
7/31/23
5 Years
Ended
7/31/23
10 Years
Ended
7/31/23
Inception
(4/19/11)
to 7/31/23
5 Years
Ended
7/31/23
10 Years
Ended
7/31/23
Inception
(4/19/11)
to 7/31/23
Fund Performance
NAV
5.61%
6.83%
7.39%
9.07%
39.16%
104.05%
190.57%
Market Price
5.68%
6.83%
7.39%
9.07%
39.17%
103.94%
190.53%
Index Performance
Nasdaq AlphaDEX® Small Cap Value
Index(1)
6.46%
7.66%
N/A
N/A
44.65%
N/A
N/A
Nasdaq US 700 Small Cap ValueTM
Index(1)
6.53%
6.83%
N/A
N/A
39.12%
N/A
N/A
S&P SmallCap 600® Value Index
6.26%
5.65%
9.14%
10.40%
31.64%
139.88%
237.13%
(1)
Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the
entire periods.
(See Notes to Fund Performance Overview on page 26.)
Performance Review
The Fund generated a NAV return of 5.61% during the period covered by this report. During the same period, the S&P SmallCap 600® Value Index (the “Benchmark”) generated a return of 6.26%. The Fund allocated the greatest weight to the Financials sector, which received an allocation of 28.7%. The Consumer Discretionary sector generated the largest contribution to the Fund’s return at 4.9%. The least contributing sector to the Fund’s return for the period was the Communication Services sector, which generated a -1.7% contribution.

Nasdaq® 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® 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® Fund (FYT) (Continued)
Sector Allocation
% of Total
Long-Term
Investments
Financials
35.6%
Industrials
14.4
Consumer Discretionary
13.6
Real Estate
9.0
Materials
6.6
Consumer Staples
5.5
Energy
5.4
Information Technology
3.7
Communication Services
2.6
Health Care
2.3
Utilities
1.3
Total
100.0%
Top Ten Holdings
% of Total
Long-Term
Investments
Hudson Pacific Properties, Inc.
0.8%
Bread Financial Holdings, Inc.
0.8
MillerKnoll, Inc.
0.8
Eagle Bancorp, Inc.
0.8
Hope Bancorp, Inc.
0.8
Dime Community Bancshares, Inc.
0.7
Heartland Financial USA, Inc.
0.7
Matson, Inc.
0.7
OceanFirst Financial Corp.
0.7
Par Pacific Holdings, Inc.
0.7
Total
7.5%
Performance figures assume reinvestment of
all distributions and do not reflect the
deduction of taxes that a shareholder would
pay on Fund distributions or the redemption
or sale of Fund shares. An index is a statistical
composite that tracks a specified financial
market or sector. Unlike the Fund, the index
does not actually hold a portfolio of securities
and therefore does not incur the expenses
incurred by the Fund. These expenses
negatively impact the performance of the
Fund. The Fund’s past performance does not
predict future performance.
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 23

Fund Performance Overview (Unaudited) (Continued)
First Trust Small Cap Growth AlphaDEX® Fund (FYC)
The First Trust Small Cap Growth AlphaDEX® 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® 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 is owned, developed, maintained and sponsored by Nasdaq, Inc. (the “Index Provider”). According to the Index Provider, the Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 700 Small Cap GrowthTM 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 Total Returns
Cumulative Total Returns
 
1 Year
Ended
7/31/23
5 Years
Ended
7/31/23
10 Years
Ended
7/31/23
Inception
(4/19/11)
to 7/31/23
5 Years
Ended
7/31/23
10 Years
Ended
7/31/23
Inception
(4/19/11)
to 7/31/23
Fund Performance
NAV
6.38%
5.85%
9.64%
10.12%
32.87%
151.09%
226.79%
Market Price
6.47%
5.84%
9.65%
10.12%
32.84%
151.19%
226.79%
Index Performance
Nasdaq AlphaDEX® Small Cap Growth
Index(1)
7.20%
6.68%
N/A
N/A
38.16%
N/A
N/A
Nasdaq US 700 Small Cap GrowthTM
Index(1)
10.08%
5.48%
N/A
N/A
30.57%
N/A
N/A
S&P SmallCap 600® Growth Index
4.07%
5.48%
10.03%
10.91%
30.57%
160.07%
256.59%
(1)
Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the
entire periods.
(See Notes to Fund Performance Overview on page 26.)
Performance Review
The Fund generated a NAV return of 6.38% during the period covered by this report. During the same period, the S&P SmallCap 600® Growth Index (the “Benchmark”) generated a return of 4.07%. The Health Care and Information Technology sectors received the greatest allocation in the Fund, with an average weight of 17.2% and 17.3%, respectively. The Energy sector generated the largest contribution to the Fund’s return at 2.8%. The least contributing sector to the Fund’s return was the Financials sector, which generated a -1.5% contribution to the Fund’s return for the period.

Nasdaq® 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® 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® Fund (FYC) (Continued)
Sector Allocation
% of Total
Long-Term
Investments
Health Care
18.3%
Industrials
18.1
Information Technology
15.5
Consumer Discretionary
12.0
Energy
10.1
Financials
7.9
Real Estate
6.2
Consumer Staples
4.4
Communication Services
4.1
Utilities
1.7
Materials
1.7
Total
100.0%
Top Ten Holdings
% of Total
Long-Term
Investments
Sphere Entertainment Co.
0.9%
Opendoor Technologies, Inc.
0.8
Rocket Lab USA, Inc.
0.7
Bridgebio Pharma, Inc.
0.7
CNX Resources Corp.
0.7
Cars.com, Inc.
0.7
Northern Oil and Gas, Inc.
0.7
Tidewater, Inc.
0.7
Modine Manufacturing Co.
0.7
Federal Agricultural Mortgage Corp., Class C
0.7
Total