First Trust Exchange-Traded AlphaDEX® Fund
Annual Report
July 31, 2023
AlphaDEX® Sector Funds
First Trust Consumer Discretionary AlphaDEX® Fund (FXD)
First Trust Consumer Staples AlphaDEX® Fund (FXG)
First Trust Energy AlphaDEX® Fund (FXN)
First Trust Financials AlphaDEX® Fund (FXO)
First Trust Health Care AlphaDEX® Fund (FXH)
First Trust Industrials/Producer Durables AlphaDEX® Fund (FXR)
First Trust Materials AlphaDEX® Fund (FXZ)
First Trust Technology AlphaDEX® Fund (FXL)
First Trust Utilities AlphaDEX® Fund (FXU)
AlphaDEX® is a registered trademark of First Trust Portfolios L.P.

Table of Contents
First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
Annual Report
July 31, 2023
2
3
4
6
8
10
12
14
16
18
20
22
23
25
28
29
31
34
36
39
40
43
44
46
48
52
61
70
71
79
81

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 Sector 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. 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.
Sector/Equity Investing
The major U.S. stock indices delivered positive results over the past twelve months. The S&P 500®, the S&P MidCap 400® and S&P SmallCap 600® Indices posted total returns of 13.02%, 10.47% and 5.26%, respectively, for the twelve-month period ended July 31, 2023. Nine of the eleven major sectors that comprise the Index were up on a total return basis. The top performer was the Information Technology sector, up 26.85%, while the worst showing came from the Real Estate sector, down 10.63%.
Page 3

Fund Performance Overview (Unaudited)
First Trust Consumer Discretionary AlphaDEX® Fund (FXD)
The First Trust Consumer Discretionary 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 StrataQuant® Consumer Discretionary Index (the “Consumer Discretionary Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks that comprise the Consumer Discretionary Index. The shares of the Fund are listed and trade on the NYSE Arca, Inc. (the “NYSE Arca” or the “Exchange”) under the ticker symbol “FXD.”
The Consumer Discretionary Index is a modified equal-dollar weighted index designed by ICE Data Indices, LLC or its affiliates (“IDI”) to objectively identify and select stocks from the Russell 1000® Index in the consumer discretionary sector that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX® selection methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
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
16.93%
7.14%
8.04%
7.56%
41.18%
116.66%
226.25%
Market Price
16.97%
7.14%
8.04%
7.56%
41.20%
116.63%
226.30%
Index Performance
StrataQuant® Consumer Discretionary
Index
17.74%
7.80%
8.73%
8.30%
45.57%
130.90%
264.60%
Russell 1000® Index
12.95%
11.92%
12.44%
9.24%
75.60%
222.94%
319.78%
S&P 500® Consumer Discretionary Index
7.43%
10.09%
12.62%
11.08%
61.73%
228.32%
450.60%
Russell 1000® Consumer Discretionary
Index(1)
9.23%
10.79%
12.38%
N/A
66.93%
221.17%
N/A
(1)
On or about September 18, 2008, Russell Investment Group (“Russell”) began calculating its Russell U.S. Indices using an enhanced Russell
sector scheme, the Russell Global Sectors (“RGS”). The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell
officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. In addition to the implementation of the RGS,
Russell changed the name of the Russell 1000® Consumer Discretionary and Services Index to the Russell 1000® Consumer Discretionary
Index. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000® Consumer Discretionary Index
because performance data does not exist for each of the entire periods using solely the U.S. sector scheme, or alternatively, using solely the RGS.
(See Notes to Fund Performance Overview on page 22.)
Performance Review
The Fund generated a net asset value (“NAV”) return of 16.93% during the period covered by this report. During the same period, the S&P 500® Consumer Discretionary Index (the “Benchmark”) generated a return of 7.43%. The Specialty Retail industry received an allocation of 19.9% in the Fund, which was the greatest allocation to any industry during the period covered by this report. Investments in this industry contributed 3.1% to the Fund’s return. Investments in Hotels, Restaurants & Leisure had the largest positive contribution to the Fund’s return, contributing 4.6% during the period with a 15.4% weighting in the Fund. The Fund had very few negative contributions to the Fund’s return, with the largest coming from the Consumer Staples Distribution and Retail industry at -0.3%.

Source ICE Data Indices, LLC (“ICE Data”), is used with permission. “StrataQuant®” is a service/trade mark of ICE Data or its affiliates. Frank Russell Company is the source and owner of the trademarks, service marks and copyrights related to the Russell Indices. Russell®, Russell 1000® and Russell 3000® are all registered trademarks of Frank Russell Company. Russell 1000® and Russell 3000® are being utilized in the indices under license. These trademarks have been licensed along with the StrataQuant® Consumer Discretionary Index (“Index”) for use by First Trust Portfolios L.P. (“FTP”) in connection with the First Trust Consumer Discretionary AlphaDEX® Fund (“FXD”). Neither FTP, the Trust, nor FXD is sponsored, endorsed, sold or promoted by ICE Data, its affiliates or its Third Party Suppliers including without limitation Frank Russell Company (“ICE Data and its Suppliers”). ICE Data and its Suppliers make no representations or warranties regarding the advisability of investing in securities generally, in FXD particularly, the Trust or the ability of the Index to track general stock market performance. ICE Data’s only relationship to FTP is the licensing of certain trademarks, trade names and the Index or components thereof. The Index is determined, composed and calculated by ICE Data without regard to FTP or FXD or its holders. ICE Data has no obligation to take the needs of FTP or the holders of FXD into consideration in determining, composing or calculating the Index. ICE Data is not responsible for and has not participated in the determination of the timing of, prices of, or quantities of FXD to be issued or in the determination or calculation of the equation by which FXD is to be priced, sold, purchased, or redeemed. Except for certain custom index calculation services, all information provided by ICE Data is general in nature and not tailored to the needs of FTP or any other person, entity or group of persons. ICE Data has no obligation or liability in connection with the administration, marketing, or trading of FXD. ICE Data is not an investment advisor. Inclusion of a security within an index is not a recommendation by ICE Data to buy, sell, or hold such security, nor is it considered to be investment advice.
ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS, EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM (“INDEX DATA”). ICE DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND THE INDEX DATA, WHICH ARE PROVIDED ON AN “AS IS” BASIS AND YOUR USE IS AT YOUR OWN RISK.
Page 4

Fund Performance Overview (Unaudited) (Continued)
First Trust Consumer Discretionary AlphaDEX® Fund (FXD) (Continued)
Sector Allocation
% of Total
Long-Term
Investments
Consumer Discretionary
77.2%
Industrials
10.9
Communication Services
10.8
Consumer Staples
1.1
Total
100.0%
Top Ten Holdings
% of Total
Long-Term
Investments
Wayfair, Inc., Class A
1.6%
DraftKings, Inc., Class A
1.6
Uber Technologies, Inc.
1.5
Under Armour, Inc., Class A
1.5
Thor Industries, Inc.
1.5
Harley-Davidson, Inc.
1.5
Penn Entertainment, Inc.
1.5
PulteGroup, Inc.
1.5
Skechers U.S.A., Inc., Class A
1.4
Royal Caribbean Cruises Ltd.
1.4
Total
15.0%
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 5

Fund Performance Overview (Unaudited) (Continued)
First Trust Consumer Staples AlphaDEX® Fund (FXG)
The First Trust Consumer Staples 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 StrataQuant® Consumer Staples Index (the “Consumer Staples Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks that comprise the Consumer Staples Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol “FXG.”
The Consumer Staples Index is a modified equal-dollar weighted index designed by IDI to objectively identify and select stocks from the Russell 1000® Index in the consumer staples sector that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX® selection methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
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
2.87%
8.61%
8.56%
9.04%
51.16%
127.38%
307.50%
Market Price
2.84%
8.63%
8.55%
9.04%
51.24%
127.17%
307.35%
Index Performance
StrataQuant® Consumer Staples Index
3.47%
9.25%
9.24%
9.80%
55.66%
141.98%
355.95%
Russell 1000® Index
12.95%
11.92%
12.44%
9.24%
75.60%
222.94%
319.78%
S&P 500® Consumer Staples Index
5.41%
10.66%
9.41%
9.67%
65.93%
145.73%
347.27%
Russell 1000® Consumer Staples Index(1)
5.48%
9.67%
8.78%
N/A
58.63%
131.93%
N/A
(1)
On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS
and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its
indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000®
Consumer Staples Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme, or
alternatively, using solely the RGS.
(See Notes to Fund Performance Overview on page 22.)
Performance Review
The Fund generated a NAV return of 2.87% during the period covered by this report. During the same period, the S&P 500® Consumer Staples Index (the “Benchmark”) generated a return of 5.41%. The Food Products industry received an allocation in the Fund of 47.5% during the period covered by this report. This was by far the greatest allocation to any industry in the Fund during the period and it contributed 1.0% to the Fund’s overall return. A larger return contribution, however, came from the Health Care Providers & Services industry. With just an average weight during the period of 10.1%, it contributed 1.3% to the Fund’s return. The industry with the greatest drag on Fund’s return was the in Household Products industry, which received an allocation of 5.8% and contributed -0.8% to the Fund’s overall return for the period.

Source ICE Data Indices, LLC (“ICE Data”), is used with permission. “StrataQuant®” is a service/trade mark of ICE Data or its affiliates. Frank Russell Company is the source and owner of the trademarks, service marks and copyrights related to the Russell Indices. Russell®, Russell 1000® and Russell 3000® are all registered trademarks of Frank Russell Company. Russell 1000® and Russell 3000® are being utilized in the indices under license. These trademarks have been licensed along with the StrataQuant® Consumer Staples Index (“Index”) for use by First Trust Portfolios L.P. (“FTP”) in connection with the First Trust Consumer Staples AlphaDEX® Fund (“FXG”). Neither FTP, the Trust, nor FXG is sponsored, endorsed, sold or promoted by ICE Data, its affiliates or its Third Party Suppliers including without limitation Frank Russell Company (“ICE Data and its Suppliers”). ICE Data and its Suppliers make no representations or warranties regarding the advisability of investing in securities generally, in FXG particularly, the Trust or the ability of the Index to track general stock market performance. ICE Data’s only relationship to FTP is the licensing of certain trademarks, trade names and the Index or components thereof. The Index is determined, composed and calculated by ICE Data without regard to FTP or FXG or its holders. ICE Data has no obligation to take the needs of FTP or the holders of FXG into consideration in determining, composing or calculating the Index. ICE Data is not responsible for and has not participated in the determination of the timing of, prices of, or quantities of FXG to be issued or in the determination or calculation of the equation by which FXG is to be priced, sold, purchased, or redeemed. Except for certain custom index calculation services, all information provided by ICE Data is general in nature and not tailored to the needs of FTP or any other person, entity or group of persons. ICE Data has no obligation or liability in connection with the administration, marketing, or trading of FXG. ICE Data is not an investment advisor. Inclusion of a security within an index is not a recommendation by ICE Data to buy, sell, or hold such security, nor is it considered to be investment advice.
ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS, EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM (“INDEX DATA”). ICE DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND THE INDEX DATA, WHICH ARE PROVIDED ON AN “AS IS” BASIS AND YOUR USE IS AT YOUR OWN RISK.
Page 6

Fund Performance Overview (Unaudited) (Continued)
First Trust Consumer Staples AlphaDEX® Fund (FXG) (Continued)
Sector Allocation
% of Total
Long-Term
Investments
Consumer Staples
87.1%
Health Care
10.5
Materials
2.4
Total
100.0%
Top Ten Holdings
% of Total
Long-Term
Investments
Pilgrim’s Pride Corp.
4.7%
Bunge Ltd.
4.7
Archer-Daniels-Midland Co.
4.6
Tyson Foods, Inc., Class A
4.4
Ingredion, Inc.
4.3
Casey’s General Stores, Inc.
4.2
AmerisourceBergen Corp.
3.9
Celsius Holdings, Inc.
3.9
Darling Ingredients, Inc.
3.5
CVS Health Corp.
3.5
Total
41.7%
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
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 Energy AlphaDEX® Fund (FXN)
The First Trust Energy 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 StrataQuant® Energy Index (the “Energy Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks that comprise the Energy Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol “FXN.”
The Energy Index is a modified equal-dollar weighted index designed by IDI to objectively identify and select stocks from the Russell 1000® Index in the energy sector that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX® selection methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
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
6.38%
3.09%
-0.62%
0.60%
16.42%
-6.02%
10.12%
Market Price
6.45%
3.08%
-0.62%
0.60%
16.37%
-6.05%
10.13%
Index Performance
StrataQuant® Energy Index
7.04%
3.74%
-0.05%
1.23%
20.13%
-0.45%
21.86%
Russell 1000® Index
12.95%
11.92%
12.44%
9.24%
75.60%
222.94%
319.78%
S&P 500® Energy Index
16.25%
7.83%
4.62%
4.88%
45.80%
57.05%
116.67%
Russell 1000® Energy Index(1)
13.37%
7.20%
4.00%
N/A
41.55%
47.98%
N/A
(1)
On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS
and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its
indices using the U.S. sector scheme. In addition to the implementation of the RGS, Russell combined the Russell 1000® Integrated Oils Index
and the Russell 1000® Other Energy Index into one index, the Russell 1000® Energy Index. Consequently, performance data is not available for
all the periods shown in the table for the Russell 1000® Energy Index because this index did not exist until on or about September 18, 2008.
(See Notes to Fund Performance Overview on page 22.)
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 500® Energy Index (the “Benchmark”) generated a return of 16.25%. The Oil, Gas, & Consumable Fuels industry received the greatest allocation of any industry in the Fund during the period covered by this report. During the period, this industry’s allocation in the Fund was 90.8% and contributed 8.8% to the Fund’s overall return. The Electrical Equipment industry had the largest negative contribution toward the Fund’s return. This industry received an allocation of 1.0% and caused -0.7% contribution to overall Fund return during the period.

Source ICE Data Indices, LLC (“ICE Data”), is used with permission. “StrataQuant®” is a service/trade mark of ICE Data or its affiliates. Frank Russell Company is the source and owner of the trademarks, service marks and copyrights related to the Russell Indices. Russell®, Russell 1000® and Russell 3000® are all registered trademarks of Frank Russell Company. Russell 1000® and Russell 3000® are being utilized in the indices under license. These trademarks have been licensed along with the StrataQuant® Energy Index (“Index”) for use by First Trust Portfolios L.P. (“FTP”) in connection with the First Trust Energy AlphaDEX® Fund (“FXN”). Neither FTP, the Trust, nor FXN is sponsored, endorsed, sold or promoted by ICE Data, its affiliates or its Third Party Suppliers including without limitation Frank Russell Company (“ICE Data and its Suppliers”). ICE Data and its Suppliers make no representations or warranties regarding the advisability of investing in securities generally, in FXN particularly, the Trust or the ability of the Index to track general stock market performance. ICE Data’s only relationship to FTP is the licensing of certain trademarks, trade names and the Index or components thereof. The Index is determined, composed and calculated by ICE Data without regard to FTP or FXN or its holders. ICE Data has no obligation to take the needs of FTP or the holders of FXN into consideration in determining, composing or calculating the Index. ICE Data is not responsible for and has not participated in the determination of the timing of, prices of, or quantities of FXN to be issued or in the determination or calculation of the equation by which FXN is to be priced, sold, purchased, or redeemed. Except for certain custom index calculation services, all information provided by ICE Data is general in nature and not tailored to the needs of FTP or any other person, entity or group of persons. ICE Data has no obligation or liability in connection with the administration, marketing, or trading of FXN. ICE Data is not an investment advisor. Inclusion of a security within an index is not a recommendation by ICE Data to buy, sell, or hold such security, nor is it considered to be investment advice.
ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS, EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM (“INDEX DATA”). ICE DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND THE INDEX DATA, WHICH ARE PROVIDED ON AN “AS IS” BASIS AND YOUR USE IS AT YOUR OWN RISK.
Page 8

Fund Performance Overview (Unaudited) (Continued)
First Trust Energy AlphaDEX® Fund (FXN) (Continued)
Sector Allocation
% of Total
Long-Term
Investments
Energy
96.8%
Industrials
1.7
Information Technology
1.5
Total
100.0%
Top Ten Holdings
% of Total
Long-Term
Investments
Ovintiv, Inc.
4.6%
HF Sinclair Corp.
4.4
Antero Resources Corp.
4.4
Coterra Energy, Inc.
4.1
Southwestern Energy Co.
4.1
PDC Energy, Inc.
4.0
EQT Corp.
3.9
Chesapeake Energy Corp.
3.8
Phillips 66
3.5
Marathon Oil Corp.
3.4
Total
40.2%
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 9

Fund Performance Overview (Unaudited) (Continued)
First Trust Financials AlphaDEX® Fund (FXO)
The First Trust Financials 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 StrataQuant® Financials Index (the “Financials Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks and real estate investment trusts (“REITs”) that comprise the Financials Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol “FXO.”
The Financials Index is a modified equal-dollar weighted index designed by IDI to objectively identify and select stocks from the Russell 1000® Index in the financial services sector that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX® selection methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
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
3.24%
8.01%
9.92%
6.64%
47.02%
157.51%
183.81%
Market Price
3.24%
8.00%
9.91%
6.64%
46.94%
157.19%
183.72%
Index Performance
StrataQuant® Financials Index
3.80%
8.73%
10.66%
7.46%
51.93%
175.44%
221.55%
Russell 1000® Index
12.95%
11.92%
12.44%
9.24%
75.60%
222.94%
319.78%
S&P 500® Financials Index
7.09%
7.11%
10.06%
3.05%
40.97%
160.90%
62.92%
Russell 1000® Financials Index(1)
8.51%
10.22%
11.59%
N/A
62.70%
199.32%
N/A
(1)
On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS
and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its
indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000®
Financials Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme, or alternatively, using
solely the RGS. On September 18, 2020, the name of the Russell 1000® Financial Services Index was changed to Russell 1000® Financials
Index.
(See Notes to Fund Performance Overview on page 22.)
Performance Review
The Fund generated a NAV return of 3.24% during the period covered by this report. During the same period, the S&P 500® Financials Index (the “Benchmark”) generated a return of 7.09%. The greatest allocation in the Fund was 28.4% to the Banking industry. Investments in this industry caused a -1.1% contribution the Fund’s overall return. This was the largest negative contribution to the Fund’s return. The industry with the greatest contribution to the Fund’s return were investments in the Insurance industry. This industry received an allocation of 26.6% and contributed 4.3% to the Fund’s return during the period.

Source ICE Data Indices, LLC (“ICE Data”), is used with permission. “StrataQuant®” is a service/trade mark of ICE Data or its affiliates. Frank Russell Company is the source and owner of the trademarks, service marks and copyrights related to the Russell Indices. Russell®, Russell 1000® and Russell 3000® are all registered trademarks of Frank Russell Company. Russell 1000® and Russell 3000® are being utilized in the indices under license. These trademarks have been licensed along with the StrataQuant® Financials Index (“Index”) for use by First Trust Portfolios L.P. (“FTP”) in connection with the First Trust Financials AlphaDEX® Fund (“FXO”). Neither FTP, the Trust, nor FXO is sponsored, endorsed, sold or promoted by ICE Data, its affiliates or its Third Party Suppliers including without limitation Frank Russell Company (“ICE Data and its Suppliers”). ICE Data and its Suppliers make no representations or warranties regarding the advisability of investing in securities generally, in FXO particularly, the Trust or the ability of the Index to track general stock market performance. ICE Data’s only relationship to FTP is the licensing of certain trademarks, trade names and the Index or components thereof. The Index is determined, composed and calculated by ICE Data without regard to FTP or FXO or its holders. ICE Data has no obligation to take the needs of FTP or the holders of FXO into consideration in determining, composing or calculating the Index. ICE Data is not responsible for and has not participated in the determination of the timing of, prices of, or quantities of FXO to be issued or in the determination or calculation of the equation by which FXO is to be priced, sold, purchased, or redeemed. Except for certain custom index calculation services, all information provided by ICE Data is general in nature and not tailored to the needs of FTP or any other person, entity or group of persons. ICE Data has no obligation or liability in connection with the administration, marketing, or trading of FXO. ICE Data is not an investment advisor. Inclusion of a security within an index is not a recommendation by ICE Data to buy, sell, or hold such security, nor is it considered to be investment advice.
ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS, EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM (“INDEX DATA”). ICE DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND THE INDEX DATA, WHICH ARE PROVIDED ON AN “AS IS” BASIS AND YOUR USE IS AT YOUR OWN RISK.
Page 10

Fund Performance Overview (Unaudited) (Continued)
First Trust Financials AlphaDEX® Fund (FXO) (Continued)
Sector Allocation
% of Total
Long-Term
Investments
Financials
99.4%
Industrials
0.6
Total
100.0%
Top Ten Holdings
% of Total
Long-Term
Investments
Western Alliance Bancorp
2.2%
Zions Bancorp N.A.
2.2
KeyCorp
2.0
Comerica, Inc.
1.9
New York Community Bancorp, Inc.
1.9
Popular, Inc.
1.8
Ally Financial, Inc.
1.7
First Citizens BancShares, Inc., Class A
1.7
Brighthouse Financial, Inc.
1.7
Truist Financial Corp.
1.7
Total
18.8%
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
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 Health Care AlphaDEX® Fund (FXH)
The First Trust Health Care 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 StrataQuant® Health Care Index (the “Health Care Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks that comprise the Health Care Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol “FXH.”
The Health Care Index is a modified equal-dollar weighted index designed by IDI to objectively identify and select stocks from the Russell 1000® Index in the health care sector that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX® selection methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
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
-1.69%
6.80%
9.62%
10.91%
38.97%
150.66%
437.22%
Market Price
-1.74%
6.80%
9.62%
10.91%
38.94%
150.46%
437.17%
Index Performance
StrataQuant® Health Care Index
-1.06%
7.52%
10.34%
11.70%
43.68%
167.61%
502.25%
Russell 1000® Index
12.95%
11.92%
12.44%
9.24%
75.60%
222.94%
319.78%
S&P 500® Health Care Index
3.03%
10.59%
12.10%
10.39%
65.43%
213.40%
397.53%
Russell 1000® Health Care Index(1)
3.16%
10.43%
12.15%
N/A
64.21%
214.88%
N/A
(1)
On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS
and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its
indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000®
Health Care Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme, or alternatively,
using solely the RGS.
(See Notes to Fund Performance Overview on page 22.)
Performance Review
The Fund generated a NAV return of -1.69% during the period covered by this report. During the same period, the S&P 500® Health Care Index (the “Benchmark”) generated a return of 3.03%. The Health Care Providers & Services industry and the Biotechnology industry had the two largest weights during the period, at 27.8% and 23.9%, respectively. The Biotechnology industry also had the largest contribution of any industry toward the Fund’s return, contributing 2.1%. The largest drag on Fund performance came from the Life Sciences Tools & Services industry at -1.9%.

Source ICE Data Indices, LLC (“ICE Data”), is used with permission. “StrataQuant®” is a service/trade mark of ICE Data or its affiliates. Frank Russell Company is the source and owner of the trademarks, service marks and copyrights related to the Russell Indices. Russell®, Russell 1000® and Russell 3000® are all registered trademarks of Frank Russell Company. Russell 1000® and Russell 3000® are being utilized in the indices under license. These trademarks have been licensed along with the StrataQuant® Health Care Index (“Index”) for use by First Trust Portfolios L.P. (“FTP”) in connection with the First Trust Health Care AlphaDEX® Fund (“FXH”). Neither FTP, the Trust, nor FXH is sponsored, endorsed, sold or promoted by ICE Data, its affiliates or its Third Party Suppliers including without limitation Frank Russell Company (“ICE Data and its Suppliers”). ICE Data and its Suppliers make no representations or warranties regarding the advisability of investing in securities generally, in FXH particularly, the Trust or the ability of the Index to track general stock market performance. ICE Data’s only relationship to FTP is the licensing of certain trademarks, trade names and the Index or components thereof. The Index is determined, composed and calculated by ICE Data without regard to FTP or FXH or its holders. ICE Data has no obligation to take the needs of FTP or the holders of FXH into consideration in determining, composing or calculating the Index. ICE Data is not responsible for and has not participated in the determination of the timing of, prices of, or quantities of FXH to be issued or in the determination or calculation of the equation by which FXH is to be priced, sold, purchased, or redeemed. Except for certain custom index calculation services, all information provided by ICE Data is general in nature and not tailored to the needs of FTP or any other person, entity or group of persons. ICE Data has no obligation or liability in connection with the administration, marketing, or trading of FXH. ICE Data is not an investment advisor. Inclusion of a security within an index is not a recommendation by ICE Data to buy, sell, or hold such security, nor is it considered to be investment advice.
ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS, EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM (“INDEX DATA”). ICE DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND THE INDEX DATA, WHICH ARE PROVIDED ON AN “AS IS” BASIS AND YOUR USE IS AT YOUR OWN RISK.
Page 12

Fund Performance Overview (Unaudited) (Continued)
First Trust Health Care AlphaDEX® Fund (FXH) (Continued)
Sector Allocation
% of Total
Long-Term
Investments
Health Care
100.0%
Total
100.0%
Top Ten Holdings
% of Total
Long-Term
Investments
United Therapeutics Corp.
2.2%
Viatris, Inc.
2.1
Medpace Holdings, Inc.
2.1
Exact Sciences Corp.
2.1
DaVita, Inc.
2.0
Premier, Inc., Class A
2.0
Pfizer, Inc.
2.0
Encompass Health Corp.
1.9
Moderna, Inc.
1.9
Cardinal Health, Inc.
1.9
Total
20.2%
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 13

Fund Performance Overview (Unaudited) (Continued)
First Trust Industrials/Producer Durables AlphaDEX® Fund (FXR)
The First Trust Industrials/Producer Durables 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 StrataQuant® Industrials Index (the “Industrials Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks that comprise the Industrials Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol “FXR.”
The Industrials Index is a modified equal-dollar weighted index designed by IDI to objectively identify and select stocks from the Russell 1000® Index in the industrials and producer durables sectors that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX® selection methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
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
16.23%
9.46%
10.81%
8.09%
57.13%
179.10%
253.26%
Market Price
16.25%
9.45%
10.81%
8.09%
57.08%
179.03%
253.32%
Index Performance
StrataQuant® Industrials Index
17.15%
10.18%
11.57%
8.86%
62.38%
198.80%
296.48%
Russell 1000® Index
12.95%
11.92%
12.44%
9.24%
75.60%
222.94%
319.78%
S&P 500® Industrials Index
17.62%
9.59%
11.29%
8.65%
58.09%
191.32%
284.45%
Russell 1000® Industrials Index(1)
13.38%
7.45%
10.45%
N/A
43.23%
170.09%
N/A
(1)
On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS
and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its
indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000®
Industrials Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme, or alternatively,
using solely the RGS. On September 18, 2020, the name of the Russell 1000® Producer Durables Index was changed to Russell 1000® Industrials
Index.
(See Notes to Fund Performance Overview on page 22.)
Performance Review
The Fund generated a NAV return of 16.23% during the period covered by this report. During the same period, the S&P 500® Industrials Index (the “Benchmark”) generated a return of 17.62%. The industry with the greatest allocation in the Fund was the Machinery industry, which carried an average weight of 17.3% and contributed 3.8% to the Fund’s overall return, which was the best of any industry during the period covered by this report. The worst contribution to the Fund’s return came from investments in the IT Services industry. These securities contributed -0.7% to the Fund’s return during the period.

Source ICE Data Indices, LLC (“ICE Data”), is used with permission. “StrataQuant®” is a service/trade mark of ICE Data or its affiliates. Frank Russell Company is the source and owner of the trademarks, service marks and copyrights related to the Russell Indices. Russell®, Russell 1000® and Russell 3000® are all registered trademarks of Frank Russell Company. Russell 1000® and Russell 3000® are being utilized in the indices under license. These trademarks have been licensed along with the StrataQuant® Industrials Index (“Index”) for use by First Trust Portfolios L.P. (“FTP”) in connection with the First Trust Industrials/Producer Durables AlphaDEX® Fund (“FXR”). Neither FTP, the Trust, nor FXR is sponsored, endorsed, sold or promoted by ICE Data, its affiliates or its Third Party Suppliers including without limitation Frank Russell Company (“ICE Data and its Suppliers”). ICE Data and its Suppliers make no representations or warranties regarding the advisability of investing in securities generally, in FXR particularly, the Trust or the ability of the Index to track general stock market performance. ICE Data’s only relationship to FTP is the licensing of certain trademarks, trade names and the Index or components thereof. The Index is determined, composed and calculated by ICE Data without regard to FTP or FXR or its holders. ICE Data has no obligation to take the needs of FTP or the holders of FXR into consideration in determining, composing or calculating the Index. ICE Data is not responsible for and has not participated in the determination of the timing of, prices of, or quantities of FXR to be issued or in the determination or calculation of the equation by which FXR is to be priced, sold, purchased, or redeemed. Except for certain custom index calculation services, all information provided by ICE Data is general in nature and not tailored to the needs of FTP or any other person, entity or group of persons. ICE Data has no obligation or liability in connection with the administration, marketing, or trading of FXR. ICE Data is not an investment advisor. Inclusion of a security within an index is not a recommendation by ICE Data to buy, sell, or hold such security, nor is it considered to be investment advice.
ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS, EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM (“INDEX DATA”). ICE DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND THE INDEX DATA, WHICH ARE PROVIDED ON AN “AS IS” BASIS AND YOUR USE IS AT YOUR OWN RISK.
Page 14

Fund Performance Overview (Unaudited) (Continued)
First Trust Industrials/Producer Durables AlphaDEX® Fund (FXR) (Continued)
Sector Allocation
% of Total
Long-Term
Investments
Industrials
70.1%
Materials
12.8
Financials
9.6
Consumer Discretionary
3.8
Information Technology
3.7
Total
100.0%
Top Ten Holdings
% of Total
Long-Term
Investments
Saia, Inc.
1.5%
Ryder System, Inc.
1.5
EMCOR Group, Inc.
1.4
Packaging Corp. of America
1.4
Knight-Swift Transportation Holdings, Inc.
1.4
Schneider National, Inc., Class B
1.3
Owens Corning
1.3
Builders FirstSource, Inc.
1.3
MDU Resources Group, Inc.
1.3
United Rentals, Inc.
1.3
Total
13.7%
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
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 Materials AlphaDEX® Fund (FXZ)
The First Trust Materials 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 StrataQuant® Materials Index (the “Materials Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks that comprise the Materials Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol “FXZ.”
The Materials Index is a modified equal-dollar weighted index designed by IDI to objectively identify and select stocks from the Russell 1000® Index in the materials and processing sector that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX® selection methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
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
12.41%
11.34%
10.93%
9.41%
71.11%
182.15%
330.19%
Market Price
12.41%
11.33%
10.92%
9.41%
71.03%
181.85%
330.19%
Index Performance
StrataQuant® Materials Index
13.01%
12.10%
11.69%
10.20%
77.02%
202.14%
383.75%
Russell 1000® Index
12.95%
11.92%
12.44%
9.24%
75.60%
222.94%
319.78%
S&P 500® Materials Index
12.16%
9.85%
10.07%
7.23%
59.95%
161.04%
210.60%
Russell 1000® Basic Materials Index(1)
14.62%
9.89%
10.27%
N/A
60.26%
165.92%
N/A
(1)
On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS
and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its
indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000®
Basic Materials Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme, or alternatively,
using solely the RGS. On September 18, 2020, the name of the Russell 1000® Materials and Processing Index was changed to Russell 1000®
Basic Materials Index.
(See Notes to Fund Performance Overview on page 22.)
Performance Review
The Fund generated a NAV return of 12.41% during the period covered by this report. During the same period, the S&P 500® Materials Index (the “Benchmark”) generated a return of 12.16%. Two industries received the majority of the Fund’s allocation during the period covered by this report. Investments in the Chemicals industry received an allocation of 50.6% and caused a 4.7% contribution to the Fund’s overall return. The Metals & Mining industry carried an average weight of 37.2% and contributed 7.3% to the Fund’s return, the greatest contribution of any industry during the period. No industry allocations had significant negative contributions toward the Fund’s return over the period. The least contribution came from the Containers & Packaging industry at -0.0%.

Source ICE Data Indices, LLC (“ICE Data”), is used with permission. “StrataQuant®” is a service/trade mark of ICE Data or its affiliates. Frank Russell Company is the source and owner of the trademarks, service marks and copyrights related to the Russell Indices. Russell®, Russell 1000® and Russell 3000® are all registered trademarks of Frank Russell Company. Russell 1000® and Russell 3000® are being utilized in the indices under license. These trademarks have been licensed along with the StrataQuant® Materials Index (“Index”) for use by First Trust Portfolios L.P. (“FTP”) in connection with the First Trust Materials AlphaDEX® Fund (“FXZ”). Neither FTP, the Trust, nor FXZ is sponsored, endorsed, sold or promoted by ICE Data, its affiliates or its Third Party Suppliers including without limitation Frank Russell Company (“ICE Data and its Suppliers”). ICE Data and its Suppliers make no representations or warranties regarding the advisability of investing in securities generally, in FXZ particularly, the Trust or the ability of the Index to track general stock market performance. ICE Data’s only relationship to FTP is the licensing of certain trademarks, trade names and the Index or components thereof. The Index is determined, composed and calculated by ICE Data without regard to FTP or FXZ or its holders. ICE Data has no obligation to take the needs of FTP or the holders of FXZ into consideration in determining, composing or calculating the Index. ICE Data is not responsible for and has not participated in the determination of the timing of, prices of, or quantities of FXZ to be issued or in the determination or calculation of the equation by which FXZ is to be priced, sold, purchased, or redeemed. Except for certain custom index calculation services, all information provided by ICE Data is general in nature and not tailored to the needs of FTP or any other person, entity or group of persons. ICE Data has no obligation or liability in connection with the administration, marketing, or trading of FXZ. ICE Data is not an investment advisor. Inclusion of a security within an index is not a recommendation by ICE Data to buy, sell, or hold such security, nor is it considered to be investment advice.
ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS, EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM (“INDEX DATA”). ICE DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND THE INDEX DATA, WHICH ARE PROVIDED ON AN “AS IS” BASIS AND YOUR USE IS AT YOUR OWN RISK.
Page 16

Fund Performance Overview (Unaudited) (Continued)
First Trust Materials AlphaDEX® Fund (FXZ) (Continued)
Sector Allocation
% of Total
Long-Term
Investments
Materials
92.1%
Industrials
7.9
Total
100.0%
Top Ten Holdings
% of Total
Long-Term
Investments
CF Industries Holdings, Inc.
5.3%
Mosaic (The) Co.
5.2
Westlake Corp.
5.2
International Paper Co.
5.1
Nucor Corp.
4.7
United States Steel Corp.
4.6
Steel Dynamics, Inc.
4.4
Olin Corp.
3.5
Celanese Corp.
3.4
Reliance Steel & Aluminum Co.
3.4
Total
44.8%
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
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 Technology AlphaDEX® Fund (FXL)
The First Trust Technology 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 StrataQuant® Technology Index (the “Technology Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks that comprise the Technology Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol “FXL.”
The Technology Index is a modified equal-dollar weighted index designed by IDI to objectively identify and select stocks from the Russell 1000® Index in the technology sector that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX® selection methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
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
15.36%
16.54%
17.01%
11.99%
115.01%
380.93%
528.50%
Market Price
15.37%
16.54%
17.00%
11.99%
114.93%
380.55%
528.49%
Index Performance
StrataQuant® Technology Index
16.02%
17.23%
17.70%
12.78%
121.44%
410.39%
603.99%
Russell 1000® Index
12.95%
11.92%
12.44%
9.24%
75.60%
222.94%
319.78%
S&P 500® Information Technology Index
26.85%
21.96%
21.69%
15.39%
169.79%
611.86%
920.22%
Russell 1000® Technology Index(1)
29.00%
21.35%
21.13%
N/A
163.15%
579.76%
N/A
(1)
On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS
and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its
indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000®
Technology Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme, or alternatively,
using solely the RGS.
(See Notes to Fund Performance Overview on page 22.)
Performance Review
The Fund generated a NAV return of 15.36% during the period covered by this report. During the same period, the S&P 500® Information Technology Index (the “Benchmark”) generated a return of 26.85%. The Software industry received an allocation of 26.9% and contributed 4.5% to the Fund’s return. The Semiconductor industry was weighted at 25.2% and had the greatest contribution to the Fund’s performance during the period, contributing 7.4% to the Fund’s return. The largest drag on the Fund’s performance was from the Professional Services industry. While weighted at 6.4%, it contributed -0.6% to the Fund’s return during the period.

Source ICE Data Indices, LLC (“ICE Data”), is used with permission. “StrataQuant®” is a service/trade mark of ICE Data or its affiliates. Frank Russell Company is the source and owner of the trademarks, service marks and copyrights related to the Russell Indices. Russell®, Russell 1000® and Russell 3000® are all registered trademarks of Frank Russell Company. Russell 1000® and Russell 3000® are being utilized in the indices under license. These trademarks have been licensed along with the StrataQuant® Technology Index (“Index”) for use by First Trust Portfolios L.P. (“FTP”) in connection with the First Trust Technology AlphaDEX® Fund (“FXL”). Neither FTP, the Trust, nor FXL is sponsored, endorsed, sold or promoted by ICE Data, its affiliates or its Third Party Suppliers including without limitation Frank Russell Company (“ICE Data and its Suppliers”). ICE Data and its Suppliers make no representations or warranties regarding the advisability of investing in securities generally, in FXL particularly, the Trust or the ability of the Index to track general stock market performance. ICE Data’s only relationship to FTP is the licensing of certain trademarks, trade names and the Index or components thereof. The Index is determined, composed and calculated by ICE Data without regard to FTP or FXL or its holders. ICE Data has no obligation to take the needs of FTP or the holders of FXL into consideration in determining, composing or calculating the Index. ICE Data is not responsible for and has not participated in the determination of the timing of, prices of, or quantities of FXL to be issued or in the determination or calculation of the equation by which FXL is to be priced, sold, purchased, or redeemed. Except for certain custom index calculation services, all information provided by ICE Data is general in nature and not tailored to the needs of FTP or any other person, entity or group of persons. ICE Data has no obligation or liability in connection with the administration, marketing, or trading of FXL. ICE Data is not an investment advisor. Inclusion of a security within an index is not a recommendation by ICE Data to buy, sell, or hold such security, nor is it considered to be investment advice.
ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS, EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM (“INDEX DATA”). ICE DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND THE INDEX DATA, WHICH ARE PROVIDED ON AN “AS IS” BASIS AND YOUR USE IS AT YOUR OWN RISK.
Page 18

Fund Performance Overview (Unaudited) (Continued)
First Trust Technology AlphaDEX® Fund (FXL) (Continued)
Sector Allocation
% of Total
Long-Term
Investments
Information Technology
85.8%
Industrials
8.2
Communication Services
2.5
Consumer Discretionary
1.9
Financials
1.6
Total
100.0%
Top Ten Holdings
% of Total
Long-Term
Investments
Palantir Technologies, Inc., Class A
2.1%
DoorDash, Inc., Class A
1.9
HubSpot, Inc.
1.7
DoubleVerify Holdings, Inc.
1.7
Vertiv Holdings Co.
1.7
Broadcom, Inc.
1.7
Skyworks Solutions, Inc.
1.7
Concentrix Corp.
1.6
MongoDB, Inc.
1.6
Jabil, Inc.
1.6
Total
17.3%
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
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 Utilities AlphaDEX® Fund (FXU)
The First Trust Utilities 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 StrataQuant® Utilities Index (the “Utilities Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks that comprise the Utilities Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol “FXU.”
The Utilities Index is a modified equal-dollar weighted index designed by IDI to objectively identify and select stocks from the Russell 1000® Index in the utilities sector that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX® selection methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
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
-3.01%
7.02%
7.75%
6.14%
40.42%
111.03%
163.03%
Market Price
-3.04%
7.03%
7.75%
6.14%
40.42%
111.03%
163.00%
Index Performance
StrataQuant® Utilities Index
-2.41%
7.70%
8.48%
6.96%
44.88%
125.78%
197.91%
Russell 1000® Index
12.95%
11.92%
12.44%
9.24%
75.60%
222.94%
319.78%
S&P 500® Utilities Index
-6.44%
8.36%
9.21%
6.77%
49.39%
141.27%
189.72%
Russell 1000® Utilities Index(1)
-5.52%
8.18%
7.97%
N/A
48.14%
115.25%
N/A
(1)
On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS
and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its
indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000®
Utilities Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme, or alternatively, using
solely the RGS.
(See Notes to Fund Performance Overview on page 22.)
Performance Review
The Fund generated a NAV return of -3.01% during the period covered by this report. During the same period, the S&P 500® Utilities Index (the “Benchmark”) generated a return of -6.44%. The Fund had an allocation of 51.9% to the Electric Utilities industry during the period which was by far the largest allocation of any industry during the period. The Electrical Equipment industry, however, had the largest positive contribution to the Fund’s return during the period. With an average weight of 7.4%, it contributed 1.1% to the Fund’s return. The Gas Utilities industry investments were the largest negative contributor to the Fund’s return at -2.2%.

Source ICE Data Indices, LLC (“ICE Data”), is used with permission. “StrataQuant®” is a service/trade mark of ICE Data or its affiliates. Frank Russell Company is the source and owner of the trademarks, service marks and copyrights related to the Russell Indices. Russell®, Russell 1000® and Russell 3000® are all registered trademarks of Frank Russell Company. Russell 1000® and Russell 3000® are being utilized in the indices under license. These trademarks have been licensed along with the StrataQuant® Utilities Index (“Index”) for use by First Trust Portfolios L.P. (“FTP”) in connection with the First Trust Utilities AlphaDEX® Fund (“FXU”). Neither FTP, the Trust, nor FXU is sponsored, endorsed, sold or promoted by ICE Data, its affiliates or its Third Party Suppliers including without limitation Frank Russell Company (“ICE Data and its Suppliers”). ICE Data and its Suppliers make no representations or warranties regarding the advisability of investing in securities generally, in FXU particularly, the Trust or the ability of the Index to track general stock market performance. ICE Data’s only relationship to FTP is the licensing of certain trademarks, trade names and the Index or components thereof. The Index is determined, composed and calculated by ICE Data without regard to FTP or FXU or its holders. ICE Data has no obligation to take the needs of FTP or the holders of FXU into consideration in determining, composing or calculating the Index. ICE Data is not responsible for and has not participated in the determination of the timing of, prices of, or quantities of FXU to be issued or in the determination or calculation of the equation by which FXU is to be priced, sold, purchased, or redeemed. Except for certain custom index calculation services, all information provided by ICE Data is general in nature and not tailored to the needs of FTP or any other person, entity or group of persons. ICE Data has no obligation or liability in connection with the administration, marketing, or trading of FXU. ICE Data is not an investment advisor. Inclusion of a security within an index is not a recommendation by ICE Data to buy, sell, or hold such security, nor is it considered to be investment advice.
ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS, EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM (“INDEX DATA”). ICE DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND THE INDEX DATA, WHICH ARE PROVIDED ON AN “AS IS” BASIS AND YOUR USE IS AT YOUR OWN RISK.
Page 20

Fund Performance Overview (Unaudited) (Continued)
First Trust Utilities AlphaDEX® Fund (FXU) (Continued)
Sector Allocation
% of Total
Long-Term
Investments
Utilities
92.6%
Industrials
7.4
Total
100.0%
Top Ten Holdings
% of Total
Long-Term
Investments
Vistra Corp.
4.4%
Consolidated Edison, Inc.
4.3
National Fuel Gas Co.
4.2
Evergy, Inc.
4.2
OGE Energy Corp.
4.1
Brookfield Renewable Corp., Class A
4.0
Avangrid, Inc.
4.0
Clearway Energy, Inc., Class C
3.8
Sunrun, Inc.
3.5
Entergy Corp.
3.4
Total
39.9%
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
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

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. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the Advisor.
Each Fund’s per share net asset value (“NAV”) is the value of one share of the Fund and is computed by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of outstanding shares. The price used to calculate market return (“Market Price”) is determined by using the midpoint of the national best bid and offer price (“NBBO”) as of the time that the Fund’s NAV is calculated. Under SEC rules, the NBBO consists of the highest displayed buy and lowest sell prices among the various exchanges trading the Fund at the time the Fund’s NAV is calculated. Prior to January 1, 2019, the price used was the midpoint between the highest bid and the lowest offer on the stock exchange on which shares of the Fund were listed for trading as of the time that the Fund’s NAV was calculated. Since shares of each Fund did not trade in the secondary market until after the Fund’s inception, for the period May 8, 2007 (inception) to May 10, 2007 (the first day of secondary market trading), the NAV of each Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that all distributions have been reinvested in each Fund at NAV and Market Price, respectively.
An index is a statistical composite that tracks a specified financial market or sector. Unlike each Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by each Fund. These expenses negatively impact the performance of each Fund. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. The total returns presented reflect the reinvestment of dividends on securities in the indices. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. The investment return and principal value of shares of each Fund will vary with changes in market conditions. Shares of each Fund may be worth more or less than their original cost when they are redeemed or sold in the market. Each Fund’s past performance is no guarantee of future performance. 
Page 22

First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
Understanding Your Fund Expenses
July 31, 2023 (Unaudited)

As a shareholder of First Trust Consumer Discretionary AlphaDEX® Fund, First Trust Consumer Staples AlphaDEX® Fund, First Trust Energy AlphaDEX® Fund, First Trust Financials AlphaDEX® Fund, First Trust Health Care AlphaDEX® Fund, First Trust Industrials/Producer Durables AlphaDEX® Fund, First Trust Materials AlphaDEX® Fund, First Trust Technology AlphaDEX® Fund or First Trust Utilities AlphaDEX® Fund (each a “Fund” and collectively, the “Funds”), you incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees, if any, and other Fund expenses. This Example is intended to help you understand your ongoing costs of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held through the six-month period ended July 31, 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
February 1, 2023
Ending
Account Value
July 31, 2023
Annualized
Expense Ratio
Based on the
Six-Month
Period
Expenses Paid
During the
Six-Month
Period (a)
First Trust Consumer Discretionary AlphaDEX® Fund (FXD)
Actual
$1,000.00
$1,047.00
0.61%
$3.10
Hypothetical (5% return before expenses)
$1,000.00
$1,021.77
0.61%
$3.06
First Trust Consumer Staples AlphaDEX® Fund (FXG)
Actual
$1,000.00
$1,021.70
0.63%
$3.16
Hypothetical (5% return before expenses)
$1,000.00
$1,021.67
0.63%
$3.16
First Trust Energy AlphaDEX® Fund (FXN)
Actual
$1,000.00
$1,016.50
0.64%
$3.20
Hypothetical (5% return before expenses)
$1,000.00
$1,021.62
0.64%
$3.21
First Trust Financials AlphaDEX® Fund (FXO)
Actual
$1,000.00
$926.30
0.62%
$2.96
Hypothetical (5% return before expenses)
$1,000.00
$1,021.72
0.62%
$3.11
First Trust Health Care AlphaDEX® Fund (FXH)
Actual
$1,000.00
$948.10
0.62%
$2.99
Hypothetical (5% return before expenses)
$1,000.00
$1,021.72
0.62%
$3.11
First Trust Industrials/Producer Durables AlphaDEX® Fund (FXR)
Actual
$1,000.00
$1,094.90
0.61%
$3.17
Hypothetical (5% return before expenses)
$1,000.00
$1,021.77
0.61%
$3.06
Page 23

First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
Understanding Your Fund Expenses (Continued)
July 31, 2023 (Unaudited)
 
Beginning
Account Value
February 1, 2023
Ending
Account Value
July 31, 2023
Annualized
Expense Ratio
Based on the
Six-Month
Period
Expenses Paid
During the
Six-Month
Period (a)
First Trust Materials AlphaDEX® Fund (FXZ)
Actual
$1,000.00
$976.80
0.62%
$3.04
Hypothetical (5% return before expenses)
$1,000.00
$1,021.72
0.62%
$3.11
First Trust Technology AlphaDEX® Fund (FXL)
Actual
$1,000.00
$1,183.20
0.62%
$3.36
Hypothetical (5% return before expenses)
$1,000.00
$1,021.72
0.62%
$3.11
First Trust Utilities AlphaDEX® Fund (FXU)
Actual
$1,000.00
$979.40
0.64%
$3.14
Hypothetical (5% return before expenses)
$1,000.00
$1,021.62
0.64%
$3.21
(a)
Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period
(February 1, 2023 through July 31, 2023), multiplied by 181/365 (to reflect the six-month period).
Page 24

First Trust Consumer Discretionary AlphaDEX® Fund (FXD)
Portfolio of Investments
July 31, 2023 
Shares
Description
Value
COMMON STOCKS — 99.9%
Automobile Components —
2.6%
366,195
BorgWarner, Inc.
$17,028,068
274,826
Gentex Corp.
9,228,657
84,024
Lear Corp.
13,003,554
 
39,260,279
Automobiles — 6.1%
797,244
Ford Motor Co.
10,531,593
521,369
General Motors Co.
20,004,928
570,978
Harley-Davidson, Inc.
22,045,461
61,437
Tesla, Inc. (a)
16,430,097
194,246
Thor Industries, Inc.
22,433,471
 
91,445,550
Broadline Retail — 5.0%
123,369
Amazon.com, Inc. (a)
16,491,968
693,241
Coupang, Inc. (a)
12,582,324
697,757
Kohl’s Corp.
19,851,187
1,252,579
Macy’s, Inc.
20,780,285
69,402
Ollie’s Bargain Outlet Holdings,
Inc. (a)
5,058,018
 
74,763,782
Commercial Services &
Supplies — 1.6%
132,244
Copart, Inc. (a)
11,689,047
67,014
RB Global, Inc.
4,321,063
187,752
Rollins, Inc.
7,665,914
 
23,676,024
Consumer Staples Distribution
& Retail — 1.1%
63,815
BJ’s Wholesale Club Holdings,
Inc. (a)
4,231,573
14,943
Costco Wholesale Corp.
8,378,092
28,013
Dollar Tree, Inc. (a)
4,323,246
 
16,932,911
Distributors — 1.5%
23,755
Genuine Parts Co.
3,699,129
207,008
LKQ Corp.
11,341,968
21,465
Pool Corp.
8,258,444
 
23,299,541
Diversified Consumer Services
— 1.7%
130,475
Bright Horizons Family