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 II (the “Trust”) described in this report (each such series is referred to as a “Fund” and collectively, 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 web page 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 the prospectus, the statement of additional information, and other Fund regulatory filings.

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Shareholder Letter

First Trust Exchange-Traded AlphaDEX^® Fund II

Semi-Annual Letter from the Chairman and CEO

June 30, 2023

Dear Shareholders,

First Trust is pleased to provide you with the semi-annual report for the First Trust Exchange-Traded AlphaDEX^® Fund II (the “Funds”), which contains detailed information about the Funds for the six months ended June 30, 2023.

One economic topic that continues to dominate headlines is whether the Federal Reserve (the “Fed”) will be able to pull off a “soft landing” for the U.S. economy, raising interest rates just high enough to curb inflation, but not so high that they stunt economic growth and cause a recession. Historically, soft landings are exceedingly rare. Over the past 60 years, the Fed has only been able to orchestrate this phenomenon once. This occurred between February 1994 and February 1995 when the Fed doubled the Federal Funds target rate (upper bound), raising it from 3.0% to 6.0%. For comparative purposes, the Federal Funds target rate (upper bound) stood at 5.25% on June 30, 2023, a full 500 basis points above its most recent low of 0.25% on March 15, 2022. Inflation, as measured by the rate of change in the Consumer Price Index (“CPI”), appears to be declining. The CPI stood at 3.0% on June 30, 2023, substantially lower than its most recent peak of 9.1% on June 30, 2022. Despite the Fed’s tighter monetary policy, the U.S. economy continues to show resilience, with gross domestic product (“GDP”) growing in each of the past three quarters.

I am continually amazed by the efficiencies that technological advances can have on production. Take, for example, the recent interest in artificial intelligence (“AI”). The U.S. Census Bureau reported that construction spending by manufacturers in the U.S. has more than doubled in the past year, reaching an annual rate of nearly $190 billion in April 2023, according to Bloomberg. Manufacturing now accounts for close to 13% of all non-government construction, its highest share on record. A portion of the growth in U.S. manufacturing is due to the CHIPS and Science Act, which provided nearly $280 billion in funding to boost domestic research and manufacturing of semiconductors in the U.S. We have also seen the excitement regarding developments in AI drive the S&P 500^® Index (the “Index”) higher this year. Year-to-date through June 30, 2023, the Index posted a total return of 16.89%. When the stock market increases by 20% or more from its most recent low, it is often referred to as a “bull market.” On June 8, 2023, the Index closed at 4,293.93, 20.04% above its most recent low of 3,577.03 (which occurred on October 12, 2022).

The U.S. economy has been resilient, posting positive changes to GDP even as monetary policy tightened significantly. That said, there are also economic indicators that point to the potential for weakness over the coming quarters. The Conference Board, a non-profit business membership and research group organization, reported that its Leading Economic Index, which is composed of 10 economic indicators whose changes tend to precede changes in the overall economy, fell by 0.7% to a reading of 106.1 in June 2023, according to Reuters. The result represents the fifteenth consecutive monthly decline in the index, the longest streak of month-over-month decreases since just before the financial crisis in 2007. From our perspective, even if the Fed can pull off a soft landing, it is likely to be a very bumpy ride.

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.

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Market Overview

First Trust Exchange-Traded AlphaDEX^® Fund II

Semi-Annual Report

June 30, 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 Global Economy/Investing

As we head into the second half of 2023, a hot topic of discussion appears to be whether the Federal Reserve (the “Fed”) will resume interest rate hikes at their upcoming meeting on July 26, 2023. Central to this discussion is the pace of inflation. Inflation, as measured by the trailing 12-month rate of change in the Consumer Price Index, stood at 3.0% on June 30, 2023, a significant decline from its high of 9.1% where it stood on June 30, 2022 (the year prior), according to the U.S. Bureau of Labor Statistics. In what is known as a “soft landing,” the Fed intends to tighten monetary policy just enough to reduce inflation to 2.0%, but not so much that they cause a retraction in economic growth. Central banks across the globe have been locked in a similar battle. In a signal that inflation may have to decline further, just four of the ten countries that comprise the so-called “Group of Ten” had inflation rates that were below central bank policy rates as of July 25, 2023.

Inflation and other economic concerns appear to be having an impact on the growth rate of the global economy. 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 2023, a trend they are quick to note is not likely to last. In 2024, the IMF estimates that U.S. 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.

Foreign Stocks and Bonds

The broader foreign stock indices posted positive total returns over the past six months. Between December 30, 2022, and June 30, 2023, the MSCI World ex USA and MSCI Emerging Markets equity indices posted total returns of 11.29% (USD) and 4.89% (USD), respectively, according to Bloomberg. The major foreign bond indices were also up over the same period. The Bloomberg Global Aggregate Index of higher quality debt posted a total return of 1.43% (USD), while the Bloomberg EM Hard Currency Aggregate Index of emerging markets debt increased by 3.55% (USD), according to Bloomberg. The U.S. Dollar fell by just 0.59% over the past six months against a basket of major currencies, as measured by the U.S. Dollar Index.

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Fund Performance Overview (Unaudited)

First Trust Asia Pacific ex-Japan AlphaDEX^® Fund (FPA)

The First Trust Asia Pacific ex-Japan 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^® Asia Pacific Ex-Japan Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the securities that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC (the “Nasdaq”) under the ticker symbol “FPA.” The Fund commenced trading on April 19, 2011.

The Index employs the AlphaDEX^® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq DM Asia Pacific Ex-Japan 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
	6 Months Ended 6/30/23	1 Year Ended 6/30/23	5 Years Ended 6/30/23	10 Years Ended 6/30/23	Inception (4/18/11) to 6/30/23	5 Years Ended 6/30/23	10 Years Ended 6/30/23	Inception (4/18/11) to 6/30/23
Fund Performance
NAV	5.32%	5.38%	-0.79%	3.97%	2.01%	-3.88%	47.67%	27.50%
Market Price	6.68%	5.80%	-0.65%	4.10%	2.05%	-3.21%	49.48%	28.03%
Index Performance
Nasdaq AlphaDEX^® Asia Pacific Ex-Japan Index⁽¹⁾	6.04%	6.89%	0.20%	N/A	N/A	1.00%	N/A	N/A
Nasdaq DM Asia Pacific Ex-Japan Index⁽¹⁾	3.87%	8.20%	2.52%	N/A	N/A	13.28%	N/A	N/A
MSCI Pacific ex-Japan Index	0.32%	5.85%	2.66%	4.34%	3.43%	14.05%	52.89%	50.98%

(See Notes to Fund Performance Overview Page 34.)

⁽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.

Nasdaq^®and Nasdaq AlphaDEX^® Asia Pacific Ex-Japan 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.

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Fund Performance Overview (Unaudited) (Continued)

First Trust Asia Pacific ex-Japan AlphaDEX^® Fund (FPA) (Continued)

Sector Allocation	% of Total Long-Term Investments
Industrials	22.5%
Materials	20.8
Information Technology	10.9
Consumer Discretionary	10.2
Energy	9.2
Real Estate	5.8
Financials	5.4
Consumer Staples	5.0
Communication Services	4.4
Utilities	3.7
Health Care	2.1
Total	100.0%

Top Ten Holdings	% of Total Long-Term Investments
Ecopro Co., Ltd.	2.5%
POSCO Future M Co., Ltd.	2.1
Hanwha Aerospace Co., Ltd.	2.1
Hyundai Glovis Co., Ltd.	2.0
CosmoAM&T Co., Ltd.	2.0
Ecopro BM Co., Ltd.	1.8
Kia Corp.	1.8
POSCO Holdings, Inc.	1.7
Sembcorp Industries Ltd.	1.7
Woodside Energy Group Ltd.	1.7
Total	19.4%

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.

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Fund Performance Overview (Unaudited) (Continued)

First Trust Europe AlphaDEX^® Fund (FEP)

The First Trust Europe 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^® Europe Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the securities that comprise the Index. The shares of the Fund are listed and trade on the Nasdaq under the ticker symbol “FEP.” The Fund commenced trading on April 19, 2011.

The Index employs the AlphaDEX^® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq DM Europe 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
	6 Months Ended 6/30/23	1 Year Ended 6/30/23	5 Years Ended 6/30/23	10 Years Ended 6/30/23	Inception (4/18/11) to 6/30/23	5 Years Ended 6/30/23	10 Years Ended 6/30/23	Inception (4/18/11) to 6/30/23
Fund Performance
NAV	8.97%	13.78%	0.80%	5.25%	4.00%	4.08%	66.81%	61.34%
Market Price	9.38%	13.18%	0.81%	5.17%	3.99%	4.13%	65.53%	61.17%
Index Performance
Nasdaq AlphaDEX^® Europe Index⁽¹⁾	9.54%	14.83%	1.41%	N/A	N/A	7.25%	N/A	N/A
Nasdaq DM Europe Index⁽¹⁾	12.92%	20.80%	4.71%	N/A	N/A	25.90%	N/A	N/A
MSCI Europe Index	13.59%	21.81%	5.19%	5.70%	4.85%	28.76%	74.01%	78.29%

(See Notes to Fund Performance Overview Page 34.)

⁽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.

Nasdaq^®and Nasdaq AlphaDEX^® Europe 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.

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Fund Performance Overview (Unaudited) (Continued)

First Trust Europe AlphaDEX^® Fund (FEP) (Continued)

Sector Allocation	% of Total Long-Term Investments
Industrials	25.2%
Materials	17.7
Consumer Discretionary	16.8
Financials	10.4
Energy	7.9
Utilities	5.3
Consumer Staples	4.6
Communication Services	4.4
Information Technology	4.2
Real Estate	1.9
Health Care	1.6
Total	100.0%

Top Ten Holdings	% of Total Long-Term Investments
Mytilineos S.A.	1.0%
Centrica PLC	1.0
3i Group PLC	1.0
A2A S.p.A.	1.0
Heidelberg Materials AG	1.0
Bayerische Motoren Werke AG	0.9
International Consolidated Airlines Group S.A.	0.9
Faurecia SE	0.9
voestalpine AG	0.9
Associated British Foods PLC	0.9
Total	9.5%

Frequency Distribution of Discounts and Premiums

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Fund Performance Overview (Unaudited) (Continued)

First Trust Latin America AlphaDEX^® Fund (FLN)

The First Trust Latin America 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^® Latin America Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the securities that comprise the Index. The shares of the Fund are listed and trade on the Nasdaq under the ticker symbol “FLN.” The Fund commenced trading on April 19, 2011.

The Index employs the AlphaDEX^® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq Latin America 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
	6 Months Ended 6/30/23	1 Year Ended 6/30/23	5 Years Ended 6/30/23	10 Years Ended 6/30/23	Inception (4/18/11) to 6/30/23	5 Years Ended 6/30/23	10 Years Ended 6/30/23	Inception (4/18/11) to 6/30/23
Fund Performance
NAV	16.84%	23.01%	5.10%	1.71%	-0.02%	28.25%	18.46%	-0.19%
Market Price	17.12%	23.02%	5.22%	1.70%	-0.01%	28.96%	18.32%	-0.13%
Index Performance
Nasdaq AlphaDEX^® Latin America Index⁽¹⁾	17.36%	24.80%	6.36%	N/A	N/A	36.12%	N/A	N/A
Nasdaq Latin America Index⁽¹⁾	22.58%	33.59%	4.75%	0.60%	N/A	26.13%	6.13%	N/A
MSCI EM Latin America Index	18.52%	29.84%	4.79%	1.13%	-1.29%	26.33%	11.94%	-14.64%

(See Notes to Fund Performance Overview Page 34.)

⁽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.

Nasdaq^®and Nasdaq AlphaDEX^® Latin America 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.

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Fund Performance Overview (Unaudited) (Continued)

First Trust Latin America AlphaDEX^® Fund (FLN) (Continued)

Sector Allocation	% of Total Long-Term Investments
Consumer Staples	23.5%
Materials	20.2
Industrials	17.7
Financials	15.3
Energy	7.4
Utilities	6.6
Real Estate	3.8
Communication Services	3.7
Consumer Discretionary	1.8
Total	100.0%

Top Ten Holdings	% of Total Long-Term Investments
Banco do Brasil S.A.	4.1%
Petroleo Brasileiro S.A. (Preference Shares)	4.1
Enel Chile S.A.	3.6
Grupo Carso S.A.B. de C.V., Series A1	3.6
Empresas CMPC S.A.	3.5
Gerdau S.A. (Preference Shares)	3.2
Coca-Cola Femsa S.A.B. de C.V.	3.2
Cencosud S.A.	3.1
Grupo Comercial Chedraui S.A. de C.V.	3.0
Grupo Aeroportuario del Centro Norte S.A.B. de C.V.	2.9
Total	34.3%

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 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

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Fund Performance Overview (Unaudited) (Continued)

First Trust Brazil AlphaDEX^® Fund (FBZ)

The First Trust Brazil 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^® Brazil Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the securities that comprise the Index. The shares of the Fund are listed and trade on the Nasdaq under the ticker symbol “FBZ.” The Fund commenced trading on April 19, 2011.

The Index employs the AlphaDEX^® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq Brazil 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
	6 Months Ended 6/30/23	1 Year Ended 6/30/23	5 Years Ended 6/30/23	10 Years Ended 6/30/23	Inception (4/18/11) to 6/30/23	5 Years Ended 6/30/23	10 Years Ended 6/30/23	Inception (4/18/11) to 6/30/23
Fund Performance
NAV	14.19%	24.65%	7.50%	1.74%	-1.60%	43.55%	18.80%	-17.83%
Market Price	14.44%	25.08%	7.51%	1.72%	-1.60%	43.65%	18.61%	-17.88%
Index Performance
Nasdaq AlphaDEX^® Brazil Index⁽¹⁾	14.82%	26.16%	9.35%	N/A	N/A	56.32%	N/A	N/A
Nasdaq Brazil Index⁽¹⁾	22.92%	33.72%	6.44%	1.47%	N/A	36.63%	15.69%	N/A
MSCI Brazil Index	16.84%	29.81%	6.27%	1.78%	-2.09%	35.56%	19.35%	-22.76%

(See Notes to Fund Performance Overview Page 34.)

⁽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.

Nasdaq^®and Nasdaq AlphaDEX^® Brazil 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.

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Fund Performance Overview (Unaudited) (Continued)

First Trust Brazil AlphaDEX^® Fund (FBZ) (Continued)

Sector Allocation	% of Total Long-Term Investments
Financials	21.5%
Utilities	17.1
Materials	16.3
Consumer Staples	14.5
Energy	12.7
Industrials	8.2
Communication Services	5.3
Health Care	2.0
Information Technology	1.7
Consumer Discretionary	0.7
Total	100.0%

Top Ten Holdings	% of Total Long-Term Investments
Porto Seguro S.A.	4.0%
Petroleo Brasileiro S.A. (Preference Shares)	3.9
Itausa S.A. (Preference Shares)	3.7
PRIO S.A.	3.2
M. Dias Branco S.A.	3.1
Metalurgica Gerdau S.A. (Preference Shares)	3.0
EDP - Energias do Brasil S.A.	3.0
Telefonica Brasil S.A.	2.9
Ultrapar Participacoes S.A.	2.9
Gerdau S.A. (Preference Shares)	2.9
Total	32.6%

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

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Fund Performance Overview (Unaudited) (Continued)

First Trust China AlphaDEX^® Fund (FCA)

The First Trust China 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^® China Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the securities that comprise the Index. The shares of the Fund are listed and trade on the Nasdaq under the ticker symbol “FCA.” The Fund commenced trading on April 19, 2011.

The Index employs the AlphaDEX^® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq China 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
	6 Months Ended 6/30/23	1 Year Ended 6/30/23	5 Years Ended 6/30/23	10 Years Ended 6/30/23	Inception (4/18/11) to 6/30/23	5 Years Ended 6/30/23	10 Years Ended 6/30/23	Inception (4/18/11) to 6/30/23
Fund Performance
NAV	-3.97%	-15.60%	-2.63%	3.99%	0.22%	-12.47%	47.94%	2.71%
Market Price	-3.41%	-16.88%	-2.72%	4.11%	0.17%	-12.87%	49.58%	2.12%
Index Performance
Nasdaq AlphaDEX^® China Index⁽¹⁾	-3.77%	-14.86%	-1.85%	N/A	N/A	-8.92%	N/A	N/A
Nasdaq China Index⁽¹⁾	-6.31%	-17.00%	-6.33%	2.33%	N/A	-27.88%	25.90%	N/A
MSCI China Index	-5.46%	-16.82%	-5.27%	3.05%	1.10%	-23.73%	34.98%	14.24%

(See Notes to Fund Performance Overview Page 34.)

⁽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.

Nasdaq^®and Nasdaq AlphaDEX^® China 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.

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Table of Contents

Fund Performance Overview (Unaudited) (Continued)

First Trust China AlphaDEX^® Fund (FCA) (Continued)

Sector Allocation	% of Total Long-Term Investments
Materials	18.1%
Industrials	17.3
Energy	15.4
Health Care	14.9
Financials	10.1
Real Estate	5.7
Consumer Staples	5.1
Information Technology	4.3
Utilities	4.1
Consumer Discretionary	2.8
Communication Services	2.2
Total	100.0%

Top Ten Holdings	% of Total Long-Term Investments
PetroChina Co., Ltd., Class H	4.4%
Beijing Enterprises Holdings Ltd.	4.1
Zijin Mining Group Co., Ltd., Class H	3.9
China Resources Pharmaceutical Group Ltd.	3.9
Jiangxi Copper Co., Ltd., Class H	3.8
Inner Mongolia Yitai Coal Co., Ltd., Class B	3.7
Sinopharm Group Co., Ltd., Class H	3.5
China Petroleum & Chemical Corp., Class H	3.5
COSCO SHIPPING Holdings Co., Ltd., Class H	3.2
Kingboard Holdings Ltd.	3.1
Total	37.1%

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

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Fund Performance Overview (Unaudited) (Continued)

First Trust Japan AlphaDEX^® Fund (FJP)

The First Trust Japan 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^® Japan Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the securities that comprise the Index. The shares of the Fund are listed and trade on the Nasdaq under the ticker symbol “FJP.” The Fund commenced trading on April 19, 2011.

The Index employs the AlphaDEX^® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq Japan 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
	6 Months Ended 6/30/23	1 Year Ended 6/30/23	5 Years Ended 6/30/23	10 Years Ended 6/30/23	Inception (4/18/11) to 6/30/23	5 Years Ended 6/30/23	10 Years Ended 6/30/23	Inception (4/18/11) to 6/30/23
Fund Performance
NAV	13.00%	18.55%	-0.92%	3.07%	3.08%	-4.49%	35.30%	44.85%
Market Price	14.95%	18.85%	-0.76%	3.07%	3.12%	-3.73%	35.26%	45.42%
Index Performance
Nasdaq AlphaDEX^® Japan Index⁽¹⁾	13.37%	18.74%	-0.41%	N/A	N/A	-2.05%	N/A	N/A
Nasdaq Japan Index⁽¹⁾	12.43%	17.87%	2.47%	5.29%	N/A	12.99%	67.49%	N/A
MSCI Japan Index	13.00%	18.14%	3.13%	5.23%	5.61%	16.66%	66.46%	94.73%

(See Notes to Fund Performance Overview Page 34.)

⁽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.

Nasdaq^®and Nasdaq AlphaDEX^® Japan 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

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Fund Performance Overview (Unaudited) (Continued)

First Trust Japan AlphaDEX^® Fund (FJP) (Continued)

Sector Allocation	% of Total Long-Term Investments
Industrials	36.0%
Consumer Discretionary	16.3
Financials	13.4
Materials	12.4
Information Technology	10.2
Energy	4.3
Utilities	3.4
Consumer Staples	3.1
Real Estate	0.3
Health Care	0.3
Communication Services	0.3
Total	100.0%

Top Ten Holdings	% of Total Long-Term Investments
Mitsubishi Corp.	2.2%
Marubeni Corp.	2.2
Toppan, Inc.	2.2
Sumitomo Forestry Co., Ltd.	2.0
Mitsui & Co., Ltd.	1.9
Sumitomo Corp.	1.9
JFE Holdings, Inc.	1.8
Nippon Steel Corp.	1.8
Kawasaki Kisen Kaisha Ltd.	1.7
Sojitz Corp.	1.7
Total	19.4%

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 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

Page 15

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Fund Performance Overview (Unaudited) (Continued)

First Trust Developed Markets ex-US AlphaDEX^® Fund (FDT)

The First Trust Developed Markets ex-US 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^® Developed Markets Ex-US Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the securities that comprise the Index. The shares of the Fund are listed and trade on the Nasdaq under the ticker symbol “FDT.” The Fund commenced trading on April 19, 2011.

The Index employs the AlphaDEX^® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq Developed Markets Ex-US 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
	6 Months Ended 6/30/23	1 Year Ended 6/30/23	5 Years Ended 6/30/23	10 Years Ended 6/30/23	Inception (4/18/11) to 6/30/23	5 Years Ended 6/30/23	10 Years Ended 6/30/23	Inception (4/18/11) to 6/30/23
Fund Performance
NAV	8.43%	10.75%	-0.28%	3.81%	2.65%	-1.41%	45.29%	37.52%
Market Price	8.90%	10.09%	-0.21%	3.87%	2.65%	-1.02%	46.16%	37.61%
Index Performance
Nasdaq AlphaDEX^® Developed Markets Ex-US Index⁽¹⁾	9.12%	11.86%	0.48%	N/A	N/A	2.41%	N/A	N/A
Nasdaq Developed Markets Ex-US Index⁽¹⁾	10.55%	16.22%	3.95%	5.31%	N/A	21.39%	67.75%	N/A
MSCI World ex USA Index	11.29%	17.41%	4.58%	5.40%	4.61%	25.09%	69.19%	73.36%

(See Notes to Fund Performance Overview Page 34.)

⁽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.

Nasdaq^®and Nasdaq AlphaDEX^® Developed Markets Ex-US 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

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Fund Performance Overview (Unaudited) (Continued)

First Trust Developed Markets ex-US AlphaDEX^® Fund (FDT) (Continued)

Sector Allocation	% of Total Long-Term Investments
Industrials	27.2%
Materials	17.7
Consumer Discretionary	16.6
Energy	11.6
Information Technology	7.9
Financials	6.5
Utilities	4.8
Consumer Staples	3.7
Communication Services	2.2
Real Estate	1.6
Health Care	0.2
Total	100.0%

Top Ten Holdings	% of Total Long-Term Investments
Ecopro Co., Ltd.	0.8%
Renesas Electronics Corp.	0.7
Marubeni Corp.	0.7
Mytilineos S.A.	0.7
Hyundai Glovis Co., Ltd.	0.7
West Fraser Timber Co., Ltd.	0.7
Centrica PLC	0.7
3i Group PLC	0.6
Advantest Corp.	0.6
ARC Resources Ltd.	0.6
Total	6.8%

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

Page 17

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Fund Performance Overview (Unaudited) (Continued)

First Trust Emerging Markets AlphaDEX^® Fund (FEM)

The First Trust Emerging Markets 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^® Emerging Markets Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the securities that comprise the Index. The shares of the Fund are listed and trade on the Nasdaq under the ticker symbol “FEM.” The Fund commenced trading on April 19, 2011.

The Index employs the AlphaDEX^® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq Emerging Markets 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
	6 Months Ended 6/30/23	1 Year Ended 6/30/23	5 Years Ended 6/30/23	10 Years Ended 6/30/23	Inception (4/18/11) to 6/30/23	5 Years Ended 6/30/23	10 Years Ended 6/30/23	Inception (4/18/11) to 6/30/23
Fund Performance
NAV	2.27%	5.68%	0.05%	2.48%	0.60%	0.24%	27.71%	7.56%
Market Price	3.62%	5.59%	0.35%	2.64%	0.66%	1.79%	29.80%	8.38%
Index Performance
Nasdaq AlphaDEX^® Emerging Markets Index⁽¹⁾	2.54%	6.93%	0.89%	N/A	N/A	4.51%	N/A	N/A
Nasdaq Emerging Markets Index⁽¹⁾	5.57%	5.07%	2.17%	3.68%	N/A	11.34%	43.51%	N/A
MSCI Emerging Markets Index	4.89%	1.75%	0.93%	2.95%	1.15%	4.74%	33.76%	15.01%

(See Notes to Fund Performance Overview Page 34.)

⁽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.

Nasdaq^®and Nasdaq AlphaDEX^® Emerging Markets 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

Table of Contents

Fund Performance Overview (Unaudited) (Continued)

First Trust Emerging Markets AlphaDEX^® Fund (FEM) (Continued)

Sector Allocation	% of Total Long-Term Investments
Industrials	16.6%
Materials	16.0
Information Technology	14.0
Energy	13.6
Consumer Staples	9.5
Consumer Discretionary	9.1
Financials	7.9
Utilities	5.4
Real Estate	3.4
Health Care	2.4
Communication Services	2.1
Total	100.0%

Top Ten Holdings	% of Total Long-Term Investments
Wistron Corp.	2.4%
Hisense Home Appliances Group Co., Ltd., Class H	1.7
Petroleo Brasileiro S.A. (Preference Shares)	1.5
Wiwynn Corp.	1.4
MOL Hungarian Oil & Gas PLC	1.3
Enel Chile S.A.	1.3
Polski Koncern Naftowy ORLEN S.A.	1.3
PetroChina Co., Ltd., Class H	1.3
Global Unichip Corp.	1.3
Inventec Corp.	1.2
Total	14.7%

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 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

Page 19

Table of Contents

Fund Performance Overview (Unaudited) (Continued)

First Trust Germany AlphaDEX^® Fund (FGM)

The First Trust Germany 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^® Germany Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the securities that comprise the Index. The shares of the Fund are listed and trade on the Nasdaq under the ticker symbol “FGM.” The Fund commenced trading on February 15, 2012.

The Index employs the AlphaDEX^® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq Germany 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
	6 Months Ended 6/30/23	1 Year Ended 6/30/23	5 Years Ended 6/30/23	10 Years Ended 6/30/23	Inception (2/14/12) to 6/30/23	5 Years Ended 6/30/23	10 Years Ended 6/30/23	Inception (2/14/12) to 6/30/23
Fund Performance
NAV	11.84%	19.00%	-0.89%	3.88%	4.53%	-4.35%	46.34%	65.54%
Market Price	12.34%	18.96%	-0.80%	3.95%	4.54%	-3.93%	47.29%	65.71%
Index Performance
Nasdaq AlphaDEX^® Germany Index⁽¹⁾	12.14%	19.53%	-0.57%	N/A	N/A	-2.82%	N/A	N/A
Nasdaq Germany Index⁽¹⁾	17.30%	27.26%	1.44%	3.89%	N/A	7.42%	46.51%	N/A
MSCI Germany Index	17.89%	28.37%	1.77%	4.07%	4.98%	9.19%	48.98%	73.84%

(See Notes to Fund Performance Overview Page 34.)

⁽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.

Nasdaq^®and Nasdaq AlphaDEX^® Germany 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

Table of Contents

Fund Performance Overview (Unaudited) (Continued)

First Trust Germany AlphaDEX^® Fund (FGM) (Continued)

Sector Allocation	% of Total Long-Term Investments
Materials	25.2%
Consumer Discretionary	18.4
Industrials	15.7
Financials	12.6
Utilities	7.8
Consumer Staples	7.0
Communication Services	5.0
Real Estate	4.6
Health Care	3.7
Total	100.0%

Top Ten Holdings	% of Total Long-Term Investments
E.ON SE	4.9%
Deutsche Lufthansa AG	4.7
Mercedes-Benz Group AG	4.7
Bayerische Motoren Werke AG	4.2
Porsche Automobil Holding SE (Preference Shares)	4.2
thyssenkrupp AG	3.9
Suedzucker AG	3.9
K+S AG	3.4
LEG Immobilien SE	3.4
Heidelberg Materials AG	3.3
Total	40.6%

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

Page 21

Table of Contents

Fund Performance Overview (Unaudited) (Continued)

First Trust United Kingdom AlphaDEX^® Fund (FKU)

The First Trust United Kingdom 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^® United Kingdom Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the securities that comprise the Index. The shares of the Fund are listed and trade on the Nasdaq under the ticker symbol “FKU.” The Fund commenced trading on February 15, 2012.

The Index employs the AlphaDEX^® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq United Kingdom 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
	6 Months Ended 6/30/23	1 Year Ended 6/30/23	5 Years Ended 6/30/23	10 Years Ended 6/30/23	Inception (2/14/12) to 6/30/23	5 Years Ended 6/30/23	10 Years Ended 6/30/23	Inception (2/14/12) to 6/30/23
Fund Performance
NAV	7.12%	10.72%	-0.19%	3.02%	4.27%	-0.96%	34.64%	60.95%
Market Price	6.78%	10.05%	-0.32%	2.98%	4.22%	-1.57%	34.07%	60.02%
Index Performance
Nasdaq AlphaDEX^® United Kingdom Index⁽¹⁾	8.37%	12.72%	0.90%	N/A	N/A	4.56%	N/A	N/A
Nasdaq United Kingdom Index⁽¹⁾	8.68%	14.23%	2.29%	3.94%	N/A	11.98%	47.15%	N/A
MSCI United Kingdom Index	8.43%	13.19%	2.83%	3.88%	4.12%	14.96%	46.28%	58.29%

(See Notes to Fund Performance Overview Page 34.)

⁽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.

Nasdaq^®and Nasdaq AlphaDEX^® United Kingdom 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

Table of Contents

Fund Performance Overview (Unaudited) (Continued)

First Trust United Kingdom AlphaDEX^® Fund (FKU) (Continued)

Sector Allocation	% of Total Long-Term Investments
Consumer Discretionary	21.3%
Financials	19.0
Industrials	13.5
Materials	12.6
Communication Services	7.1
Utilities	6.5
Real Estate	6.3
Consumer Staples	5.7
Energy	4.3
Health Care	3.2
Information Technology	0.5
Total	100.0%

Top Ten Holdings	% of Total Long-Term Investments
3i Group PLC	3.2%
International Consolidated Airlines Group S.A.	2.9
Centrica PLC	2.8
Taylor Wimpey PLC	2.2
Shell PLC	2.2
Kingfisher PLC	2.2
Rolls-Royce Holdings PLC	2.1
BP PLC	2.1
UNITE Group (The) PLC	2.1
Segro PLC	2.1
Total	23.9%

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

Page 23

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Fund Performance Overview (Unaudited) (Continued)

First Trust India NIFTY 50 Equal Weight ETF (NFTY)

The First Trust India NIFTY 50 Equal Weight ETF (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 NIFTY 50 Equal Weight Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the securities that comprise the Index. The shares of the Fund are listed and trade on the Nasdaq under the ticker symbol “NFTY.” The Fund commenced trading on February 15, 2012.

The Index is an equally weighted total return index designed to provide diversified exposure to the NIFTY 50 Index, the main index for Indian equity securities. The NIFTY 50 Index is a market capitalization-weighted index comprising the 50 largest and most liquid Indian equity securities listed on the National Stock Exchange of India. All constituents of the NIFTY 50 Index will be included in the Index, but will be equally weighted.

Performance
			Average Annual Total Returns			Cumulative Total Returns
	6 Months Ended 6/30/23	1 Year Ended 6/30/23	5 Years Ended 6/30/23	10 Years Ended 6/30/23	Inception (2/14/12) to 6/30/23	5 Years Ended 6/30/23	10 Years Ended 6/30/23	Inception (2/14/12) to 6/30/23
Fund Performance
NAV	8.66%	18.94%	7.19%	6.92%	6.35%	41.51%	95.18%	101.49%
Market Price	9.65%	19.99%	7.45%	7.28%	6.50%	43.20%	101.98%	104.66%
Index Performance
NIFTY 50 Equal Weight Index*	10.21%	23.61%	10.41%	N/A	N/A	64.09%	N/A	N/A
NIFTY 50 Index	6.32%	16.92%	9.58%	10.31%	8.10%	57.99%	166.88%	142.53%
MSCI India Index	5.11%	14.16%	8.76%	8.87%	6.93%	52.16%	133.98%	114.37%

(See Notes to Fund Performance Overview Page 34.)

On April 17, 2018, the Fund’s underlying index changed from the Nasdaq AlphaDEX^® Taiwan Index to the Index. On July 14, 2015, the Fund’s underlying index changed from the Defined Taiwan Index to the Nasdaq AlphaDEX^® Taiwan Index. Therefore, the Fund’s performance and total returns shown for the periods prior to April 17, 2018, are not necessarily indicative of the performance that the Fund, based on the current index, would have generated. Since the Fund’s new underlying index had an inception date of September 29, 2017, it was not in existence for all the periods disclosed.

The First Trust India NIFTY 50 Equal Weight ETF (the “Product”) offered by First Trust is not sponsored, endorsed, sold or promoted by NSE INDICES LIMITED (formerly known as India Index Services & Products Limited (IISL)). NSE INDICES LIMITED does not make any representation or warranty, express or implied (including warranties of merchantability or fitness for particular purpose or use) and disclaims all liability to the owners of the Product or any member of the public regarding the advisability of investing in securities generally or in the Product linked to the NIFTY 50 Equal Weight Index or particularly in the ability of the NIFTY 50 Equal Weight Index to track general stock market performance in India. Please read the full Disclaimers in relation to the NIFTY 50 Equal Weight Index in the Prospectus and Statement of Additional Information.

Page 24

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Fund Performance Overview (Unaudited) (Continued)

First Trust India NIFTY 50 Equal Weight ETF (NFTY) (Continued)

Sector Allocation	% of Total Long-Term Investments
Financials	22.1%
Consumer Discretionary	14.1
Materials	13.9
Information Technology	10.1
Health Care	9.9
Consumer Staples	9.8
Energy	8.0
Industrials	6.1
Utilities	4.0
Communication Services	2.0
Total	100.0%

Top Ten Holdings	% of Total Long-Term Investments
Sun Pharmaceutical Industries Ltd.	2.1%
Tata Motors Ltd.	2.1
Bajaj Auto Ltd.	2.1
Infosys Ltd.	2.1
JSW Steel Ltd.	2.0
IndusInd Bank Ltd.	2.0
Adani Enterprises Ltd.	2.0
Larsen & Toubro Ltd.	2.0
Mahindra & Mahindra Ltd.	2.0
HDFC Bank Ltd.	2.0
Total	20.4%

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 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

Page 25

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Fund Performance Overview (Unaudited) (Continued)

First Trust Switzerland AlphaDEX^® Fund (FSZ)

The First Trust Switzerland 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^® Switzerland Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the securities that comprise the Index. The shares of the Fund are listed and trade on the Nasdaq under the ticker symbol “FSZ.” The Fund commenced trading on February 15, 2012.

The Index employs the AlphaDEX^® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq Switzerland 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
	6 Months Ended 6/30/23	1 Year Ended 6/30/23	5 Years Ended 6/30/23	10 Years Ended 6/30/23	Inception (2/14/12) to 6/30/23	5 Years Ended 6/30/23	10 Years Ended 6/30/23	Inception (2/14/12) to 6/30/23
Fund Performance
NAV	13.24%	18.25%	6.00%	8.03%	8.60%	33.84%	116.48%	155.63%
Market Price	13.26%	17.64%	6.13%	8.07%	8.59%	34.62%	117.29%	155.32%
Index Performance
Nasdaq AlphaDEX^® Switzerland Index⁽¹⁾	12.95%	18.64%	6.48%	N/A	N/A	36.86%	N/A	N/A
Nasdaq Switzerland Index⁽¹⁾	11.34%	14.61%	8.81%	6.76%	N/A	52.55%	92.34%	N/A
MSCI Switzerland Index	11.01%	13.34%	9.31%	6.85%	8.19%	56.09%	93.95%	144.70%

(See Notes to Fund Performance Overview Page 34.)

⁽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.

Nasdaq^®and Nasdaq AlphaDEX^® Switzerland 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 26

Table of Contents

Fund Performance Overview (Unaudited) (Continued)

First Trust Switzerland AlphaDEX^® Fund (FSZ) (Continued)

Sector Allocation	% of Total Long-Term Investments
Industrials	27.3%
Financials	19.9
Health Care	14.5
Consumer Discretionary	11.9
Materials	9.1
Utilities	4.9
Real Estate	4.4
Communication Services	3.4
Consumer Staples	3.2
Information Technology	1.4
Total	100.0%

Top Ten Holdings	% of Total Long-Term Investments
BKW AG	4.9%
Holcim Ltd.	4.9
Lonza Group AG	4.6
Novartis AG	4.2
SFS Group AG	4.2
Dufry AG	4.1
Bucher Industries AG	4.0
Cie Financiere Richemont S.A., Class A	3.9
Swatch Group (The) AG	3.8
Kuehne + Nagel International AG	3.8
Total	42.4%

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 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

Page 27

Table of Contents

Fund Performance Overview (Unaudited) (Continued)

First Trust Developed Markets ex-US Small Cap AlphaDEX^® Fund (FDTS)

The First Trust Developed Markets ex-US Small Cap 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^® Developed Markets Ex-US Small Cap Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the securities that comprise the Index. The shares of the Fund are listed and trade on the Nasdaq under the ticker symbol “FDTS.” The Fund commenced trading on February 16, 2012.

The Index employs the AlphaDEX^® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq Developed Markets Ex-US Small Cap 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
	6 Months Ended 6/30/23	1 Year Ended 6/30/23	5 Years Ended 6/30/23	10 Years Ended 6/30/23	Inception (2/15/12) to 6/30/23	5 Years Ended 6/30/23	10 Years Ended 6/30/23	Inception (2/15/12) to 6/30/23
Fund Performance
NAV	4.19%	10.76%	1.16%	4.82%	4.69%	5.94%	60.17%	68.34%
Market Price	3.90%	9.96%	1.07%	4.80%	4.64%	5.47%	59.79%	67.44%
Index Performance
Nasdaq AlphaDEX^® Developed Markets Ex-US Small Cap Index⁽¹⁾	4.64%	11.64%	1.99%	N/A	N/A	10.37%	N/A	N/A
Nasdaq Developed Markets Ex-US Small Cap Index⁽¹⁾	5.65%	10.25%	0.84%	4.98%	N/A	4.28%	62.59%	N/A
MSCI World ex-USA Small Cap Index	5.50%	10.05%	1.83%	5.97%	6.04%	9.47%	78.59%	94.79%
MSCI World ex-USA Index	11.29%	17.41%	4.58%	5.40%	5.64%	25.09%	69.19%	86.70%

(See Notes to Fund Performance Overview Page 34.)

⁽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.

Nasdaq^®and Nasdaq AlphaDEX^® Developed Markets Ex-US Small Cap 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 28

Table of Contents

Fund Performance Overview (Unaudited) (Continued)

First Trust Developed Markets ex-US Small Cap AlphaDEX^® Fund (FDTS) (Continued)

Sector Allocation	% of Total Long-Term Investments
Industrials	23.6%
Materials	20.1
Consumer Discretionary	14.5
Energy	12.4
Information Technology	10.8
Real Estate	6.2
Financials	2.9
Consumer Staples	2.9
Health Care	2.6
Utilities	2.3
Communication Services	1.7
Total	100.0%

Top Ten Holdings	% of Total Long-Term Investments
Macnica Holdings, Inc.	0.7%
Youngone Corp.	0.6
Sungwoo Hitech Co., Ltd.	0.6
BW LPG Ltd.	0.6
Tsuburaya Fields Holdings, Inc.	0.6
Krosaki Harima Corp.	0.6
OCI Co., Ltd.	0.5
Posco DX Co., Ltd.	0.5
LX International Corp.	0.5
JVCKenwood Corp.	0.5
Total	5.7%

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 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

Page 29

Table of Contents

Fund Performance Overview (Unaudited) (Continued)

First Trust Emerging Markets Small Cap AlphaDEX^® Fund (FEMS)

The First Trust Emerging Markets Small Cap 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^® Emerging Markets Small Cap Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the securities that comprise the Index. The shares of the Fund are listed and trade on the Nasdaq under the ticker symbol “FEMS.” The Fund commenced trading on February 16, 2012.

The Index employs the AlphaDEX^® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq Emerging Markets Small Cap 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
	6 Months Ended 6/30/23	1 Year Ended 6/30/23	5 Years Ended 6/30/23	10 Years Ended 6/30/23	Inception (2/15/12) to 6/30/23	5 Years Ended 6/30/23	10 Years Ended 6/30/23	Inception (2/15/12) to 6/30/23
Fund Performance
NAV	-4.58%	9.60%	3.59%	4.64%	5.40%	19.29%	57.40%	81.94%
Market Price	-4.93%	9.01%	3.75%	4.78%	5.41%	20.23%	59.46%	81.96%
Index Performance
Nasdaq AlphaDEX^® Emerging Markets Small Cap Index⁽¹⁾	-3.60%	11.95%	5.16%	N/A	N/A	28.62%	N/A	N/A
Nasdaq Emerging Markets Small Cap Index⁽¹⁾	5.19%	7.66%	4.27%	4.96%	N/A	23.27%	62.24%	N/A
MSCI Emerging Markets Small Cap Index	10.50%	13.28%	4.93%	4.63%	3.99%	27.23%	57.23%	56.10%
MSCI Emerging Markets Index	4.89%	1.75%	0.93%	2.95%	1.88%	4.74%	33.76%	23.62%

(See Notes to Fund Performance Overview Page 34.)

⁽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.

Nasdaq^®and Nasdaq AlphaDEX^® Emerging Markets Small Cap 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 30

Table of Contents

Fund Performance Overview (Unaudited) (Continued)

First Trust Emerging Markets Small Cap AlphaDEX^® Fund (FEMS) (Continued)

Sector Allocation	% of Total Long-Term Investments
Industrials	18.6%
Information Technology	16.6
Materials	13.8
Consumer Discretionary	11.5
Energy	8.8
Consumer Staples	7.6
Real Estate	6.7
Utilities	6.7
Communication Services	4.7
Financials	2.8
Health Care	2.2
Total	100.0%

Top Ten Holdings	% of Total Long-Term Investments
Asia Vital Components Co., Ltd.	1.3%
Marcopolo S.A. (Preference Shares)	1.2
Mitac Holdings Corp.	1.1
Tecnoglass, Inc.	1.0
JHSF Participacoes S.A.	1.0
Indah Kiat Pulp & Paper Tbk PT	1.0
Media Nusantara Citra Tbk PT	0.9
Sercomm Corp.	0.9
Cia Brasileira de Distribuicao	0.9
WinWay Technology Co., Ltd.	0.9
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

Page 31

Table of Contents

Fund Performance Overview (Unaudited) (Continued)

First Trust Eurozone AlphaDEX^® ETF (FEUZ)

The First Trust Eurozone AlphaDEX^® ETF (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^® Eurozone Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the securities that comprise the Index. The shares of the Fund are listed and trade on the Nasdaq under the ticker symbol “FEUZ.” The Fund commenced trading on October 22, 2014.

The Index employs the AlphaDEX^® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq Eurozone 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
	6 Months Ended 6/30/23	1 Year Ended 6/30/23	5 Years Ended 6/30/23	Inception (10/21/14) to 6/30/23	5 Years Ended 6/30/23	Inception (10/21/14) to 6/30/23
Fund Performance
NAV	11.67%	19.47%	1.16%	5.17%	5.93%	55.01%
Market Price	12.66%	18.98%	1.17%	5.15%	6.00%	54.77%
Index Performance
Nasdaq AlphaDEX^® Eurozone Index	12.19%	20.44%	1.72%	5.72%	8.92%	62.21%
Nasdaq Eurozone Index	16.92%	27.64%	4.29%	5.34%	23.35%	57.10%
MSCI EMU Index	17.86%	29.49%	4.63%	5.36%	25.39%	57.37%

(See Notes to Fund Performance Overview Page 34.)

Nasdaq^®and Nasdaq AlphaDEX^® Eurozone 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 32

Table of Contents

Fund Performance Overview (Unaudited) (Continued)

First Trust Eurozone AlphaDEX^® ETF (FEUZ) (Continued)

Sector Allocation	% of Total Long-Term Investments
Industrials	23.9%
Consumer Discretionary	16.5
Materials	15.9
Financials	13.4
Energy	7.8
Utilities	6.0
Information Technology	5.7
Communication Services	4.6
Consumer Staples	2.9
Health Care	2.5
Real Estate	0.8
Total	100.0%

Top Ten Holdings	% of Total Long-Term Investments
Mytilineos S.A.	1.4%
A2A S.p.A.	1.3
Heidelberg Materials AG	1.2
Bayerische Motoren Werke AG	1.2
thyssenkrupp AG	1.2
Forvia	1.2
HUGO BOSS AG	1.2
Technip Energies NV	1.2
Banco Bilbao Vizcaya Argentaria S.A.	1.2
National Bank of Greece S.A.	1.2
Total	12.3%

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 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

Page 33

Table of Contents

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.

Each Fund’s per share net asset value (“NAV”) is the value of one share of the Fund and is computed by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of outstanding shares. The price used to calculate market return (“Market Price”) is determined by using the midpoint of the national best bid and offer price (“NBBO”) as of the time that the Fund’s NAV is calculated. Under SEC rules, the NBBO consists of the highest displayed buy and lowest sell prices among the various exchanges trading the Fund at the time the Fund’s NAV is calculated. Prior to January 1, 2019, the price used was the midpoint between the highest bid and the lowest offer on the stock exchange on which shares of the Fund were listed for trading as of the time that the Fund’s NAV was calculated. Since shares of each Fund did not trade in the secondary market until after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund, the NAV of each Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that all distributions have been reinvested in each Fund at NAV and Market Price, respectively.

An index is a statistical composite that tracks a specified financial market or sector. Unlike each Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by each Fund. These expenses negatively impact the performance of each Fund. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. The total returns presented reflect the reinvestment of dividends on securities in the indices. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. The investment return and principal value of shares of each Fund will vary with changes in market conditions. Shares of each Fund may be worth more or less than their original cost when they are redeemed or sold in the market. Each Fund’s past performance is no guarantee of future performance.

Page 34

Table of Contents

First Trust Exchange-Traded AlphaDEX^® Fund II

Understanding Your Fund Expenses

June 30, 2023 (Unaudited)

As a shareholder of First Trust Asia Pacific ex-Japan AlphaDEX^® Fund, First Trust Europe AlphaDEX^® Fund, First Trust Latin America AlphaDEX^® Fund, First Trust Brazil AlphaDEX^® Fund, First Trust China AlphaDEX^® Fund, First Trust Japan AlphaDEX^® Fund, First Trust Developed Markets ex-US AlphaDEX^® Fund, First Trust Emerging Markets AlphaDEX^® Fund, First Trust Germany AlphaDEX^® Fund, First Trust United Kingdom AlphaDEX^® Fund, First Trust India NIFTY 50 Equal Weight ETF, First Trust Switzerland AlphaDEX^® Fund, First Trust Developed Markets ex-US Small Cap AlphaDEX^® Fund, First Trust Emerging Markets Small Cap AlphaDEX^® Fund or First Trust Eurozone AlphaDEX^® ETF (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 (in U.S. dollars) 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 June 30, 2023.

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.

	Beginning Account Value January 1, 2023	Ending Account Value June 30, 2023	Annualized Expense Ratio Based on the Six-Month Period	Expenses Paid During the Six-Month Period (a)
First Trust Asia Pacific ex-Japan AlphaDEX^® Fund (FPA)
Actual	$1,000.00	$1,053.20	0.80%	$4.07
Hypothetical (5% return before expenses)	$1,000.00	$1,020.83	0.80%	$4.01
First Trust Europe AlphaDEX^® Fund (FEP)
Actual	$1,000.00	$1,089.70	0.80%	$4.15
Hypothetical (5% return before expenses)	$1,000.00	$1,020.83	0.80%	$4.01
First Trust Latin America AlphaDEX^® Fund (FLN)
Actual	$1,000.00	$1,168.40	0.80%	$4.30
Hypothetical (5% return before expenses)	$1,000.00	$1,020.83	0.80%	$4.01
First Trust Brazil AlphaDEX^® Fund (FBZ)
Actual	$1,000.00	$1,141.90	0.80%	$4.25
Hypothetical (5% return before expenses)	$1,000.00	$1,020.83	0.80%	$4.01
First Trust China AlphaDEX^® Fund (FCA)
Actual	$1,000.00	$960.30	0.80%	$3.89
Hypothetical (5% return before expenses)	$1,000.00	$1,020.83	0.80%	$4.01

Page 35

Table of Contents

First Trust Exchange-Traded AlphaDEX^® Fund II

Understanding Your Fund Expenses (Continued)

June 30, 2023 (Unaudited)

	Beginning Account Value January 1, 2023	Ending Account Value June 30, 2023	Annualized Expense Ratio Based on the Six-Month Period	Expenses Paid During the Six-Month Period (a)
First Trust Japan AlphaDEX^® Fund (FJP)
Actual	$1,000.00	$1,130.00	0.80%	$4.22
Hypothetical (5% return before expenses)	$1,000.00	$1,020.83	0.80%	$4.01
First Trust Developed Markets ex-US AlphaDEX^® Fund (FDT)
Actual	$1,000.00	$1,084.30	0.80%	$4.13
Hypothetical (5% return before expenses)	$1,000.00	$1,020.83	0.80%	$4.01
First Trust Emerging Markets AlphaDEX^® Fund (FEM)
Actual	$1,000.00	$1,022.70	0.80%	$4.01
Hypothetical (5% return before expenses)	$1,000.00	$1,020.83	0.80%	$4.01
First Trust Germany AlphaDEX^® Fund (FGM)
Actual	$1,000.00	$1,118.40	0.80%	$4.20
Hypothetical (5% return before expenses)	$1,000.00	$1,020.83	0.80%	$4.01
First Trust United Kingdom AlphaDEX^® Fund (FKU)
Actual	$1,000.00	$1,071.20	0.80%	$4.11
Hypothetical (5% return before expenses)	$1,000.00	$1,020.83	0.80%	$4.01
First Trust India NIFTY 50 Equal Weight ETF (NFTY)
Actual	$1,000.00	$1,086.60	0.80%	$4.14
Hypothetical (5% return before expenses)	$1,000.00	$1,020.83	0.80%	$4.01
First Trust Switzerland AlphaDEX^® Fund (FSZ)
Actual	$1,000.00	$1,132.40	0.80%	$4.23
Hypothetical (5% return before expenses)	$1,000.00	$1,020.83	0.80%	$4.01
First Trust Developed Markets ex-US Small Cap AlphaDEX^® Fund (FDTS)
Actual	$1,000.00	$1,041.90	0.80%	$4.05
Hypothetical (5% return before expenses)	$1,000.00	$1,020.83	0.80%	$4.01
First Trust Emerging Markets Small Cap AlphaDEX^® Fund (FEMS)
Actual	$1,000.00	$954.20	0.80%	$3.88
Hypothetical (5% return before expenses)	$1,000.00	$1,020.83	0.80%	$4.01
First Trust Eurozone AlphaDEX^® ETF (FEUZ)
Actual	$1,000.00	$1,116.70	0.80%	$4.20
Hypothetical (5% return before expenses)	$1,000.00	$1,020.83	0.80%	$4.01

(a)	Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (January 1, 2023 through June 30, 2023), multiplied by 181/365 (to reflect the six-month period).

Page 36

Shares	Description	Value
COMMON STOCKS (a) – 96.6%
	Australia – 30.8%
31,316	AGL Energy Ltd. (b)	$226,172
14,147	Allkem Ltd. (b) (c)	152,138

Shareholder Letter	2
Market Overview	3
Fund Performance Overview
First Trust Asia Pacific ex-Japan AlphaDEX^® Fund (FPA)	4
First Trust Europe AlphaDEX^® Fund (FEP)	6
First Trust Latin America AlphaDEX^® Fund (FLN)	8
First Trust Brazil AlphaDEX^® Fund (FBZ)	10
First Trust China AlphaDEX^® Fund (FCA)	12
First Trust Japan AlphaDEX^® Fund (FJP)	14
First Trust Developed Markets ex-US AlphaDEX^® Fund (FDT)	16
First Trust Emerging Markets AlphaDEX^® Fund (FEM)	18
First Trust Germany AlphaDEX^® Fund (FGM)	20
First Trust United Kingdom AlphaDEX^® Fund (FKU)	22
First Trust India NIFTY 50 Equal Weight ETF (NFTY)	24
First Trust Switzerland AlphaDEX^® Fund (FSZ)	26
First Trust Developed Markets ex-US Small Cap AlphaDEX^® Fund (FDTS)	28
First Trust Emerging Markets Small Cap AlphaDEX^® Fund (FEMS)	30
First Trust Eurozone AlphaDEX^® ETF (FEUZ)	32
Notes to Fund Performance Overview	34
Understanding Your Fund Expenses	35
Portfolio of Investments
First Trust Asia Pacific ex-Japan AlphaDEX^® Fund (FPA)	37
First Trust Europe AlphaDEX^® Fund (FEP)	40
First Trust Latin America AlphaDEX^® Fund (FLN)	45
First Trust Brazil AlphaDEX^® Fund (FBZ)	47
First Trust China AlphaDEX^® Fund (FCA)	49
First Trust Japan AlphaDEX^® Fund (FJP)	52
First Trust Developed Markets ex-US AlphaDEX^® Fund (FDT)	56
First Trust Emerging Markets AlphaDEX^® Fund (FEM)	62
First Trust Germany AlphaDEX^® Fund (FGM)	67
First Trust United Kingdom AlphaDEX^® Fund (FKU)	69
First Trust India NIFTY 50 Equal Weight ETF (NFTY)	72
First Trust Switzerland AlphaDEX^® Fund (FSZ)	74
First Trust Developed Markets ex-US Small Cap AlphaDEX^® Fund (FDTS)	76
First Trust Emerging Markets Small Cap AlphaDEX^® Fund (FEMS)	83
First Trust Eurozone AlphaDEX^® ETF (FEUZ)	89
Statements of Assets and Liabilities	92
Statements of Operations	96
Statements of Changes in Net Assets	100
Financial Highlights	106
Notes to Financial Statements	121
Additional Information	132