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.

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

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.

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

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.

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

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.

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

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.

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

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.

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

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.

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

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.

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

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 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 Solutions, Inc. (a)	12,659,989
116,872	Grand Canyon Education, Inc. (a)	12,686,456
		25,346,445
	Entertainment — 4.9%
220,655	Live Nation Entertainment, Inc. (a)	19,362,476
27,381	Netflix, Inc. (a)	12,019,438

Shares	Description	Value

	Entertainment (Continued)
346,614	Playtika Holding Corp. (a)	$4,138,571
99,766	ROBLOX Corp., Class A (a)	3,915,816
125,220	Spotify Technology S.A. (a)	18,709,120
45,036	Walt Disney (The) Co. (a)	4,003,250
111,202	World Wrestling Entertainment, Inc., Class A	11,676,210
		73,824,881
	Ground Transportation — 4.4%
87,920	Avis Budget Group, Inc. (a)	19,367,897
1,093,198	Hertz Global Holdings, Inc. (a)	18,420,386
419,268	Lyft, Inc., Class A (a)	5,328,896
465,697	Uber Technologies, Inc. (a)	23,033,374
		66,150,553
	Hotels, Restaurants & Leisure — 22.1%
94,125	Airbnb, Inc., Class A (a)	14,324,884
4,473	Booking Holdings, Inc. (a)	13,288,388
173,887	Boyd Gaming Corp.	11,879,960
315,540	Caesars Entertainment, Inc. (a)	18,623,171
7,515	Chipotle Mexican Grill, Inc. (a)	14,746,534
34,210	Choice Hotels International, Inc.	4,472,957
86,669	Churchill Downs, Inc.	10,040,604
72,198	Darden Restaurants, Inc.	12,195,686
756,642	DraftKings, Inc., Class A (a)	24,046,083
147,032	Expedia Group, Inc. (a)	18,015,831
55,244	Hilton Worldwide Holdings, Inc.	8,589,890
35,092	Hyatt Hotels Corp., Class A	4,433,874
138,653	Las Vegas Sands Corp. (a)	8,292,836
87,555	Marriott International, Inc., Class A	17,669,474
131,055	Marriott Vacations Worldwide Corp.	16,841,878
274,643	MGM Resorts International	13,943,625
923,467	Norwegian Cruise Line Holdings Ltd. (a)	20,380,917
836,625	Penn Entertainment, Inc. (a)	21,994,871
193,794	Royal Caribbean Cruises Ltd. (a)	21,144,863
107,431	Texas Roadhouse, Inc.	11,983,928
199,340	Travel + Leisure Co.	8,119,118
31,942	Vail Resorts, Inc.	7,522,022
184,867	Wendy’s (The) Co.	3,972,792
80,347	Wingstop, Inc.	13,544,897
58,639	Wyndham Hotels & Resorts, Inc.	4,569,151
76,140	Wynn Resorts Ltd.	8,297,737
		332,935,971
	Household Durables — 8.6%
165,203	D.R. Horton, Inc.	20,984,085
77,106	Garmin Ltd.	8,164,754
407,236	Leggett & Platt, Inc.	11,915,726
160,432	Lennar Corp., Class A	20,347,591

See Notes to Financial Statements

Page 25

First Trust Consumer Discretionary AlphaDEX® Fund (FXD)
Portfolio of Investments (Continued)
July 31, 2023

Shares	Description	Value
COMMON STOCKS (Continued)
	Household Durables (Continued)
2,534	NVR, Inc. (a)	$15,980,519
258,806	PulteGroup, Inc.	21,840,638
200,689	Tempur Sealy International, Inc.	8,956,750
254,252	Toll Brothers, Inc.	20,424,063
		128,614,126
	Leisure Products — 1.5%
205,777	Mattel, Inc. (a)	4,383,050
132,999	Polaris, Inc.	18,066,584
		22,449,634
	Media — 5.9%
354,776	Fox Corp., Class A	11,867,257
104,221	Interpublic Group of (The) Cos., Inc.	3,567,485
491,393	Liberty Media Corp.-Liberty SiriusXM (a)	15,641,039
102,104	New York Times (The) Co., Class A	4,161,759
412,390	News Corp., Class A	8,173,570
96,563	Nexstar Media Group, Inc.	18,030,243
42,262	Omnicom Group, Inc.	3,576,211
887,594	Sirius XM Holdings, Inc. (b)	4,526,729
208,271	Trade Desk (The), Inc., Class A (a)	19,006,812
		88,551,105
	Passenger Airlines — 3.8%
75,603	Alaska Air Group, Inc. (a)	3,676,574
1,120,629	American Airlines Group, Inc. (a)	18,770,536
422,885	Delta Air Lines, Inc.	19,562,660
222,084	Southwest Airlines Co.	7,586,389
146,561	United Airlines Holdings, Inc. (a)	7,959,728
		57,555,887
	Specialty Retail — 18.0%
228,785	Advance Auto Parts, Inc.	17,019,316
97,699	AutoNation, Inc. (a)	15,727,585
1,611	AutoZone, Inc. (a)	3,998,051
107,226	Bath & Body Works, Inc.	3,973,796
98,124	Best Buy Co., Inc.	8,149,198
96,072	CarMax, Inc. (a)	7,936,508
121,665	Dick’s Sporting Goods, Inc.	17,154,765
20,457	Five Below, Inc. (a)	4,262,011
154,702	Floor & Decor Holdings, Inc., Class A (a)	17,767,525
900,520	Gap (The), Inc.	9,275,356
66,106	Lithia Motors, Inc.	20,527,896
35,629	Lowe’s Cos., Inc.	8,346,806
64,616	Murphy USA, Inc.	19,839,050
8,417	O’Reilly Automotive, Inc. (a)	7,792,374

Shares	Description	Value

	Specialty Retail (Continued)
96,518	Penske Automotive Group, Inc.	$15,579,936
903,545	Petco Health & Wellness Co., Inc. (a)	7,372,927
36,600	RH (a)	14,207,022
35,853	Ross Stores, Inc.	4,110,188
94,841	TJX (The) Cos., Inc.	8,206,592
8,540	Ulta Beauty, Inc. (a)	3,798,592
692,052	Victoria’s Secret & Co. (a)	14,180,145
309,242	Wayfair, Inc., Class A (a)	24,080,675
128,518	Williams-Sonoma, Inc.	17,817,736
		271,124,050
	Textiles, Apparel & Luxury Goods — 10.0%
448,122	Capri Holdings Ltd. (a)	16,540,183
166,147	Carter’s, Inc.	12,462,686
156,167	Columbia Sportswear Co.	12,276,288
71,513	Crocs, Inc. (a)	7,748,433
30,478	Deckers Outdoor Corp. (a)	16,570,584
21,252	Lululemon Athletica, Inc. (a)	8,044,520
141,961	PVH Corp.	12,725,384
65,214	Ralph Lauren Corp.	8,564,555
381,775	Skechers U.S.A., Inc., Class A (a)	21,219,054
281,834	Tapestry, Inc.	12,161,137
2,784,486	Under Armour, Inc., Class A (a)	22,442,957
		150,755,781
	Trading Companies & Distributors — 1.1%
96,094	SiteOne Landscape Supply, Inc. (a)	16,335,980
	Total Common Stocks	1,503,022,500
	(Cost $1,329,517,285)
MONEY MARKET FUNDS — 0.1%
401,181	Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 5.23% (c) (d)	401,181
1,691,679	Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.13% (c)	1,691,679
	Total Money Market Funds	2,092,860
	(Cost $2,092,860)

See Notes to Financial Statements

Page 26

First Trust Consumer Discretionary AlphaDEX® Fund (FXD)
Portfolio of Investments (Continued)
July 31, 2023

Principal Value	Description	Value
REPURCHASE AGREEMENTS — 0.3%
$3,966,383	BNP Paribas S.A., 5.24% (c), dated 07/31/23, due 08/01/23, with a maturity value of $3,966,960. Collateralized by U.S. Treasury Securities, interest rates of 1.75% to 3.88%, due 12/31/24 to 03/31/25. The value of the collateral including accrued interest is $4,045,799. (d)	$3,966,383
	(Cost $3,966,383)


	Total Investments — 100.3%	1,509,081,743
	(Cost $1,335,576,528)
	Net Other Assets and Liabilities — (0.3)%	(4,903,187 )
	Net Assets — 100.0%	$1,504,178,556

(a)	Non-income producing security.
(b)	All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities, including those sold and pending settlement, is $4,242,777 and the total value of the collateral held by the Fund is $4,367,564.
(c)	Rate shown reflects yield as of July 31, 2023.
(d)	This security serves as collateral for securities on loan.

Valuation Inputs

A summary of the inputs used to value the Fund’s investments as of July 31, 2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):

	Total Value at 7/31/2023	Level 1 Quoted Prices	Level 2 Significant Observable Inputs	Level 3 Significant Unobservable Inputs
Common Stocks*	$1,503,022,500	$1,503,022,500	$—	$—
Money Market Funds	2,092,860	2,092,860	—	—
Repurchase Agreements	3,966,383	—	3,966,383	—
Total Investments	$1,509,081,743	$1,505,115,360	$3,966,383	$—

*	See Portfolio of Investments for industry breakout.

Offsetting Assets and Liabilities

Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements).

The Fund’s loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows:

Securities Lending Agency Agreement
Total gross amount presented on the Statements of Assets and Liabilities(1)	$4,242,777
Non-cash Collateral(2)	(4,242,777 )
Net Amount	$—

(1)	The amount presented on the Statements of Assets and Liabilities, which is included in “Investments, at value,” is not offset and is shown on a gross basis.
(2)	At July 31, 2023, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments.

The Fund’s investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows:

Repurchase Agreements
Total gross amount presented on the Statements of Assets and Liabilities(3)	$3,966,383
Non-cash Collateral(4)	(3,966,383 )
Net Amount	$—

(3)	The amount is included in “Investments, at value” on the Statements of Assets and Liabilities.
(4)	At July 31, 2023, the value of the collateral received from each seller exceeded the value of the repurchase agreements.

See Notes to Financial Statements

Page 27

First Trust Consumer Staples AlphaDEX® Fund (FXG)
Portfolio of Investments
July 31, 2023

Shares	Description	Value
COMMON STOCKS — 99.9%
	Beverages — 9.0%
178,399	Celsius Holdings, Inc. (a)	$25,814,335
88,398	Coca-Cola (The) Co.	5,474,488
21,627	Constellation Brands, Inc., Class A	5,899,846
170,236	Keurig Dr Pepper, Inc.	5,789,726
185,344	Monster Beverage Corp. (a)	10,655,427
28,739	PepsiCo, Inc.	5,387,413
		59,021,235
	Chemicals — 2.4%
278,701	Corteva, Inc.	15,727,098
	Consumer Staples Distribution & Retail — 17.3%
731,872	Albertsons Cos., Inc., Class A	15,903,579
109,135	Casey’s General Stores, Inc.	27,574,049
173,906	Grocery Outlet Holding Corp. (a)	5,817,156
453,034	Kroger (The) Co.	22,035,574
353,461	Performance Food Group Co. (a)	21,122,829
143,484	Sysco Corp.	10,949,264
241,963	US Foods Holding Corp. (a)	10,339,079
		113,741,530
	Food Products — 53.5%
352,246	Archer-Daniels-Midland Co.	29,926,820
282,095	Bunge Ltd.	30,655,264
349,362	Campbell Soup Co.	16,007,767
473,588	Conagra Brands, Inc.	15,538,422
333,795	Darling Ingredients, Inc. (a)	23,115,304
641,864	Flowers Foods, Inc.	15,860,459
242,657	Freshpet, Inc. (a)	17,844,996
208,205	General Mills, Inc.	15,561,242
42,636	Hershey (The) Co.	9,862,133
397,056	Hormel Foods Corp.	16,231,649
251,214	Ingredion, Inc.	27,950,069
599,795	Kraft Heinz (The) Co.	21,700,583
185,234	Lamb Weston Holdings, Inc.	19,195,799
145,961	Mondelez International, Inc., Class A	10,820,089
1,238,523	Pilgrim’s Pride Corp. (a)	30,678,215
245,729	Post Holdings, Inc. (a)	20,960,684
521,472	Tyson Foods, Inc., Class A	29,056,420
		350,965,915
	Health Care Providers & Services — 10.5%
138,315	AmerisourceBergen Corp.	25,851,073
308,008	CVS Health Corp.	23,005,118
49,831	McKesson Corp.	20,051,994
		68,908,185
	Household Products — 3.9%
106,217	Church & Dwight Co., Inc.	10,161,780

Shares	Description	Value

	Household Products (Continued)
33,471	Clorox (The) Co.	$5,070,187
38,557	Kimberly-Clark Corp.	4,977,709
35,080	Procter & Gamble (The) Co.	5,483,004
		25,692,680
	Tobacco — 3.3%
235,019	Altria Group, Inc.	10,674,563
109,056	Philip Morris International, Inc.	10,875,064
		21,549,627
	Total Common Stocks	655,606,270
	(Cost $631,780,054)
MONEY MARKET FUNDS — 0.1%
715,715	Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.13% (b)	715,715
	(Cost $715,715)


	Total Investments — 100.0%	656,321,985
	(Cost $632,495,769)
	Net Other Assets and Liabilities — 0.0%	205,613
	Net Assets — 100.0%	$656,527,598

(a)	Non-income producing security.
(b)	Rate shown reflects yield as of July 31, 2023.

Valuation Inputs

A summary of the inputs used to value the Fund’s investments as of July 31, 2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):

	Total Value at 7/31/2023	Level 1 Quoted Prices	Level 2 Significant Observable Inputs	Level 3 Significant Unobservable Inputs
Common Stocks*	$655,606,270	$655,606,270	$—	$—
Money Market Funds	715,715	715,715	—	—
Total Investments	$656,321,985	$656,321,985	$—	$—

*	See Portfolio of Investments for industry breakout.

See Notes to Financial Statements

Page 28

First Trust Energy AlphaDEX® Fund (FXN)
Portfolio of Investments
July 31, 2023

Shares	Description	Value
COMMON STOCKS — 99.9%
	Electrical Equipment — 1.7%
486,951	ChargePoint Holdings, Inc. (a) (b)	$4,216,996
411,963	Plug Power, Inc. (a) (b)	5,404,954
		9,621,950
	Energy Equipment & Services — 8.1%
135,405	Baker Hughes Co.	4,846,145
259,496	Halliburton Co.	10,141,104
800,546	NOV, Inc.	16,074,964
174,276	Schlumberger Ltd.	10,167,262
257,546	TechnipFMC PLC (a)	4,723,393
		45,952,868
	Oil, Gas & Consumable Fuels — 88.6%
737,972	Antero Midstream Corp.	8,811,386
929,291	Antero Resources Corp. (a)	24,858,534
250,524	APA Corp.	10,143,717
56,194	Cheniere Energy, Inc.	9,095,561
255,747	Chesapeake Energy Corp.	21,569,702
108,817	Chevron Corp.	17,808,990
123,941	ConocoPhillips	14,590,335
845,899	Coterra Energy, Inc.	23,296,058
265,631	Devon Energy Corp.	14,344,074
130,339	Diamondback Energy, Inc.	19,201,542
259,039	DT Midstream, Inc.	13,863,767
112,197	EOG Resources, Inc.	14,869,468
520,333	EQT Corp.	21,947,646
119,728	Exxon Mobil Corp.	12,839,631
31,481	Hess Corp.	4,776,612
479,747	HF Sinclair Corp.	24,990,021
745,700	Kinder Morgan, Inc.	13,206,347
743,757	Marathon Oil Corp.	19,538,496
146,839	Marathon Petroleum Corp.	19,532,524
159,830	New Fortress Energy, Inc.	4,563,147
218,380	Occidental Petroleum Corp.	13,786,329
138,696	ONEOK, Inc.	9,298,180
562,166	Ovintiv, Inc.	25,910,231
300,839	PDC Energy, Inc.	22,830,672
179,501	Phillips 66	20,023,337
82,632	Pioneer Natural Resources Co.	18,647,563
582,353	Range Resources Corp.	18,303,355
3,560,967	Southwestern Energy Co. (a)	23,075,066
112,490	Targa Resources Corp.	9,223,055
145,957	Valero Energy Corp.	18,815,317
262,347	Williams (The) Cos., Inc.	9,037,854
		502,798,517

Shares	Description	Value

	Semiconductors & Semiconductor Equipment — 1.5%
25,554	Enphase Energy, Inc. (a)	$3,879,864
22,521	First Solar, Inc. (a)	4,670,855
		8,550,719
	Total Common Stocks	566,924,054
	(Cost $552,795,144)
MONEY MARKET FUNDS — 0.2%
792,796	Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 5.23% (c) (d)	792,796
629,876	Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.13% (c)	629,876
	Total Money Market Funds	1,422,672
	(Cost $1,422,672)

Principal Value	Description	Value
REPURCHASE AGREEMENTS — 1.4%
$7,838,182	BNP Paribas S.A., 5.24% (c), dated 07/31/23, due 08/01/23, with a maturity value of $7,839,323. Collateralized by U.S. Treasury Securities, interest rates of 1.75% to 3.88%, due 12/31/24 to 03/31/25. The value of the collateral including accrued interest is $7,995,121. (d)	7,838,182
	(Cost $7,838,182)


	Total Investments — 101.5%	576,184,908
	(Cost $562,055,998)
	Net Other Assets and Liabilities — (1.5)%	(8,497,535 )
	Net Assets — 100.0%	$567,687,373

(a)	Non-income producing security.
(b)	All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities, including those sold and pending settlement, is $9,101,175 and the total value of the collateral held by the Fund is $8,630,978.
(c)	Rate shown reflects yield as of July 31, 2023.
(d)	This security serves as collateral for securities on loan.

See Notes to Financial Statements

Page 29

First Trust Energy AlphaDEX® Fund (FXN)
Portfolio of Investments (Continued)
July 31, 2023

Valuation Inputs

A summary of the inputs used to value the Fund’s investments as of July 31, 2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):

	Total Value at 7/31/2023	Level 1 Quoted Prices	Level 2 Significant Observable Inputs	Level 3 Significant Unobservable Inputs
Common Stocks*	$566,924,054	$566,924,054	$—	$—
Money Market Funds	1,422,672	1,422,672	—	—
Repurchase Agreements	7,838,182	—	7,838,182	—
Total Investments	$576,184,908	$568,346,726	$7,838,182	$—

*	See Portfolio of Investments for industry breakout.

Offsetting Assets and Liabilities

Securities Lending Agency Agreement
Total gross amount presented on the Statements of Assets and Liabilities(1)	$9,101,175
Non-cash Collateral(2)	(8,630,978 )
Net Amount	$470,197

(1)

The amount presented on the Statements of Assets and

Liabilities, which is included in “Investments, at value,” is not

offset and is shown on a gross basis.

(2)

The collateral requirements are determined at the beginning

of each business day based on the market value of the loaned

securities from the end of the prior day. On July 31, 2023, the

last business day of the period, there was sufficient collateral

based on the end of day market value from the prior business

day; however, as a result of market movement from July 28 to

July 31, the value of the related securities loaned was above

the collateral value received. See Note 2D - Securities

Lending in the Notes to Financial Statements.

The Fund’s investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows:

Repurchase Agreements
Total gross amount presented on the Statements of Assets and Liabilities(3)	$7,838,182
Non-cash Collateral(4)	(7,838,182 )
Net Amount	$—

(3)	The amount is included in “Investments, at value” on the Statements of Assets and Liabilities.
(4)	At July 31, 2023, the value of the collateral received from each seller exceeded the value of the repurchase agreements.

See Notes to Financial Statements

Page 30

First Trust Financials AlphaDEX® Fund (FXO)
Portfolio of Investments
July 31, 2023

Shares	Description	Value
COMMON STOCKS — 99.9%
	Banks — 44.6%
376,220	Bank of America Corp.	$12,039,040
268,758	Bank OZK (a)	11,752,787
133,614	BOK Financial Corp.	11,902,335
293,049	Citigroup, Inc.	13,966,715
413,867	Citizens Financial Group, Inc.	13,351,349
133,057	Columbia Banking System, Inc.	2,973,824
318,508	Comerica, Inc.	17,186,692
55,407	Commerce Bancshares, Inc.	2,946,544
50,196	Cullen/Frost Bankers, Inc.	5,450,282
204,465	East West Bancorp, Inc.	12,719,768
943,499	F.N.B. Corp.	12,067,352
411,819	Fifth Third Bancorp	11,983,933
10,520	First Citizens BancShares, Inc., Class A	15,057,276
449,487	First Hawaiian, Inc.	9,299,886
957,731	First Horizon Corp.	13,053,874
1,001,272	Huntington Bancshares, Inc.	12,255,569
37,108	JPMorgan Chase & Co.	5,861,580
1,460,184	KeyCorp	17,974,865
87,218	M&T Bank Corp.	12,198,310
1,200,360	New York Community Bancorp, Inc.	16,648,993
190,537	Pinnacle Financial Partners, Inc.	14,461,758
64,274	PNC Financial Services Group (The), Inc.	8,798,468
222,942	Popular, Inc.	16,174,442
191,108	Prosperity Bancshares, Inc.	12,100,959
605,709	Regions Financial Corp.	12,338,292
356,810	Synovus Financial Corp.	12,095,859
444,552	Truist Financial Corp.	14,768,018
245,015	U.S. Bancorp	9,722,195
285,932	Webster Financial Corp.	13,530,302
126,452	Wells Fargo & Co.	5,837,024
369,953	Western Alliance Bancorp (a)	19,219,058
111,472	Wintrust Financial Corp.	9,403,778
502,312	Zions Bancorp N.A. (a)	19,213,434
		398,354,561
	Capital Markets — 22.2%
90,007	Affiliated Managers Group, Inc.	12,478,570
16,241	Ameriprise Financial, Inc.	5,659,176
56,010	Ares Management Corp., Class A	5,557,312
181,835	Bank of New York Mellon (The) Corp.	8,248,036
463,246	Blue Owl Capital, Inc.	5,707,191
168,916	Carlyle Group (The), Inc.	6,021,855
87,333	Evercore, Inc., Class A	11,795,195
404,102	Franklin Resources, Inc.	11,815,942
25,102	Goldman Sachs Group (The), Inc.	8,933,049

Shares	Description	Value

	Capital Markets (Continued)
27,441	Houlihan Lokey, Inc.	$2,739,984
802,627	Invesco Ltd.	13,484,134
495,119	Janus Henderson Group PLC	14,531,743
244,059	Jefferies Financial Group, Inc.	8,978,931
12,406	LPL Financial Holdings, Inc.	2,845,440
7,760	Moody’s Corp.	2,737,340
63,194	Morgan Stanley	5,786,043
72,788	Northern Trust Corp.	5,831,774
26,010	Raymond James Financial, Inc.	2,862,921
20,189	S&P Global, Inc.	7,964,762
90,518	SEI Investments Co.	5,701,729
147,494	State Street Corp.	10,684,465
135,667	Stifel Financial Corp.	8,620,281
72,266	T. Rowe Price Group, Inc.	8,907,507
631,582	Virtu Financial, Inc., Class A	11,722,162
345,065	XP, Inc., Class A (b)	9,320,206
		198,935,748
	Consumer Finance — 5.0%
499,522	Ally Financial, Inc.	15,255,402
5,319	Credit Acceptance Corp. (b)	2,960,555
69,280	Discover Financial Services	7,312,504
247,056	OneMain Holdings, Inc.	11,236,107
496,031	SLM Corp.	8,025,782
		44,790,350
	Financial Services — 4.3%
175,649	Apollo Global Management, Inc.	14,352,280
854,467	MGIC Investment Corp.	14,303,778
602,321	Rocket Cos., Inc., Class A (a) (b)	6,583,368
37,634	Voya Financial, Inc.	2,794,701
		38,034,127
	Insurance — 21.6%
77,324	Aflac, Inc.	5,593,618
22,717	American Financial Group, Inc.	2,762,614
234,484	American International Group, Inc.	14,134,696
180,253	Arch Capital Group Ltd. (b)	14,003,856
12,288	Arthur J. Gallagher & Co.	2,639,462
48,361	Assured Guaranty Ltd.	2,891,021
50,133	Axis Capital Holdings Ltd.	2,763,331
284,945	Brighthouse Financial, Inc. (b)	14,854,183
117,597	Brown & Brown, Inc.	8,284,709
28,026	Chubb Ltd.	5,728,795
7,899	Everest Group Ltd.	2,847,668
149,912	Fidelity National Financial, Inc.	5,872,053
47,319	First American Financial Corp.	2,999,078
24,618	Globe Life, Inc.	2,761,401
112,404	Hartford Financial Services Group (The), Inc.	8,079,600
36,048	Kinsale Capital Group, Inc.	13,432,566
136,331	Loews Corp.	8,541,137
14,353	Marsh & McLennan Cos., Inc.	2,704,392

See Notes to Financial Statements

Page 31

First Trust Financials AlphaDEX® Fund (FXO)
Portfolio of Investments (Continued)
July 31, 2023

Shares	Description	Value
COMMON STOCKS (Continued)
	Insurance (Continued)
95,468	MetLife, Inc.	$6,011,620
214,418	Old Republic International Corp.	5,911,504
40,933	Primerica, Inc.	8,706,449
106,740	Principal Financial Group, Inc.	8,525,324
19,459	Reinsurance Group of America, Inc.	2,731,071
14,458	RenaissanceRe Holdings Ltd.	2,700,176
59,319	RLI Corp.	7,913,748
120,227	Ryan Specialty Holdings, Inc. (b)	5,210,638
31,078	Travelers (The) Cos., Inc.	5,364,374
282,858	Unum Group	13,749,727
45,307	W.R. Berkley Corp.	2,794,989
11,450	Willis Towers Watson PLC	2,419,728
		192,933,528
	Mortgage REITs — 1.6%
577,204	Rithm Capital Corp.	5,818,216
417,279	Starwood Property Trust, Inc.	8,654,367
		14,472,583
	Professional Services — 0.6%
32,584	Broadridge Financial Solutions, Inc.	5,471,505
	Total Common Stocks	892,992,402
	(Cost $930,749,547)
MONEY MARKET FUNDS — 0.6%
3,950,268	Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 5.23% (c) (d)	3,950,268
1,164,194	Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.13% (c)	1,164,194
	Total Money Market Funds	5,114,462
	(Cost $5,114,462)

Principal Value	Description	Value
REPURCHASE AGREEMENTS — 4.3%
$39,055,361	BNP Paribas S.A., 5.24% (c), dated 07/31/23, due 08/01/23, with a maturity value of $39,061,046. Collateralized by U.S. Treasury Securities, interest rates of 1.75% to 3.88%, due 12/31/24 to 03/31/25. The value of the collateral including accrued interest is $39,837,341. (d)	$39,055,361
	(Cost $39,055,361)


	Total Investments — 104.8%	937,162,225
	(Cost $974,919,370)
	Net Other Assets and Liabilities — (4.8)%	(43,138,110 )
	Net Assets — 100.0%	$894,024,115

(a)	All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities, including those sold and pending settlement, is $41,647,544 and the total value of the collateral held by the Fund is $43,005,629.
(b)	Non-income producing security.
(c)	Rate shown reflects yield as of July 31, 2023.
(d)	This security serves as collateral for securities on loan.

Valuation Inputs

A summary of the inputs used to value the Fund’s investments as of July 31, 2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):

	Total Value at 7/31/2023	Level 1 Quoted Prices	Level 2 Significant Observable Inputs	Level 3 Significant Unobservable Inputs
Common Stocks*	$892,992,402	$892,992,402	$—	$—
Money Market Funds	5,114,462	5,114,462	—	—
Repurchase Agreements	39,055,361	—	39,055,361	—
Total Investments	$937,162,225	$898,106,864	$39,055,361	$—

*	See Portfolio of Investments for industry breakout.

See Notes to Financial Statements

Page 32

First Trust Financials AlphaDEX® Fund (FXO)
Portfolio of Investments (Continued)
July 31, 2023

Offsetting Assets and Liabilities

Securities Lending Agency Agreement
Total gross amount presented on the Statements of Assets and Liabilities(1)	$41,647,544
Non-cash Collateral(2)	(41,647,544 )
Net Amount	$—

(1)	The amount presented on the Statements of Assets and Liabilities, which is included in “Investments, at value,” is not offset and is shown on a gross basis.
(2)	At July 31, 2023, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments.

The Fund’s investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows:

Repurchase Agreements
Total gross amount presented on the Statements of Assets and Liabilities(3)	$39,055,361
Non-cash Collateral(4)	(39,055,361 )
Net Amount	$—

(3)	The amount is included in “Investments, at value” on the Statements of Assets and Liabilities.
(4)	At July 31, 2023, the value of the collateral received from each seller exceeded the value of the repurchase agreements.

See Notes to Financial Statements

Page 33

First Trust Health Care AlphaDEX® Fund (FXH)
Portfolio of Investments
July 31, 2023

Shares	Description	Value
COMMON STOCKS — 100.0%
	Biotechnology — 18.6%
82,026	Amgen, Inc.	$19,206,388
333,178	Apellis Pharmaceuticals, Inc. (a)	8,579,333
106,555	Biogen, Inc. (a)	28,790,095
323,243	Exact Sciences Corp. (a)	31,529,122
317,660	Exelixis, Inc. (a)	6,261,079
315,064	Gilead Sciences, Inc.	23,988,973
97,518	Incyte Corp. (a)	6,213,847
55,988	Karuna Therapeutics, Inc. (a)	11,184,723
249,816	Moderna, Inc. (a)	29,393,351
374,259	Natera, Inc. (a)	16,923,992
33,794	Regeneron Pharmaceuticals, Inc. (a)	25,072,107
63,083	Seagen, Inc. (a)	12,098,058
131,596	Ultragenyx Pharmaceutical, Inc. (a)	5,674,419
137,497	United Therapeutics Corp. (a)	33,373,272
69,001	Vertex Pharmaceuticals, Inc. (a)	24,311,812
		282,600,571
	Health Care Equipment & Supplies — 23.9%
55,682	Abbott Laboratories	6,199,077
51,497	Align Technology, Inc. (a)	19,460,202
22,994	Becton, Dickinson & Co.	6,406,588
188,950	Dexcom, Inc. (a)	23,535,612
64,354	Edwards Lifesciences Corp. (a)	5,281,533
189,348	Enovis Corp. (a)	12,099,337
717,553	Envista Holdings Corp. (a)	24,690,999
305,871	Globus Medical, Inc., Class A (a)	18,434,845
224,917	Hologic, Inc. (a)	17,862,908
12,088	IDEXX Laboratories, Inc. (a)	6,705,576
93,496	Inspire Medical Systems, Inc. (a)	26,909,084
590,373	Integra LifeSciences Holdings Corp. (a)	26,844,260
71,013	Intuitive Surgical, Inc. (a)	23,036,617
110,674	Masimo Corp. (a)	13,535,430
137,809	Medtronic PLC	12,094,118
88,219	Penumbra, Inc. (a)	26,762,116
293,048	QuidelOrtho Corp. (a)	25,600,673
106,347	Shockwave Medical, Inc. (a)	27,714,028
79,590	Stryker Corp.	22,556,602
50,164	Teleflex, Inc.	12,599,692
41,693	Zimmer Biomet Holdings, Inc.	5,759,888
		364,089,185
	Health Care Providers & Services — 26.8%
228,672	Acadia Healthcare Co., Inc. (a)	18,071,948
350,087	agilon health, Inc. (a)	6,704,166
132,776	Amedisys, Inc. (a)	12,061,372
320,953	Cardinal Health, Inc.	29,357,571

Shares	Description	Value

	Health Care Providers & Services (Continued)
270,000	Centene Corp. (a)	$18,384,300
11,207	Chemed Corp.	5,839,856
86,535	Cigna Group (The)	25,536,479
302,106	DaVita, Inc. (a)	30,811,791
54,654	Elevance Health, Inc.	25,776,466
448,273	Encompass Health Corp.	29,599,466
100,014	HCA Healthcare, Inc.	27,284,819
224,556	Henry Schein, Inc. (a)	17,692,767
40,731	Humana, Inc.	18,607,143
117,122	Laboratory Corp. of America Holdings	25,055,909
60,456	Molina Healthcare, Inc. (a)	18,408,247
1,097,342	Premier, Inc., Class A	30,451,240
172,752	Quest Diagnostics, Inc.	23,357,798
74,594	Tenet Healthcare Corp. (a)	5,574,410
25,261	UnitedHealth Group, Inc.	12,791,413
192,384	Universal Health Services, Inc., Class B	26,733,681
		408,100,842
	Health Care Technology — 1.2%
178,439	Doximity, Inc., Class A (a)	6,375,626
61,401	Veeva Systems, Inc., Class A (a)	12,539,312
		18,914,938
	Life Sciences Tools & Services — 17.5%
217,426	10X Genomics, Inc., Class A (a)	13,693,490
100,965	Agilent Technologies, Inc.	12,294,508
886,636	Avantor, Inc. (a)	18,238,103
74,366	Bio-Techne Corp.	6,202,124
86,618	Charles River Laboratories International, Inc. (a)	18,149,936
75,882	Danaher Corp.	19,354,463
97,051	ICON PLC (a)	24,399,592
54,015	IQVIA Holdings, Inc. (a)	12,086,396
1,953,501	Maravai LifeSciences Holdings, Inc., Class A (a)	22,094,096
126,379	Medpace Holdings, Inc. (a)	31,995,371
269,619	QIAGEN N.V. (a)	12,623,562
42,913	Repligen Corp. (a)	7,362,154
102,206	Revvity, Inc.	12,566,228
644,428	Sotera Health Co. (a)	12,231,243
432,167	Syneos Health, Inc. (a)	18,328,203
11,634	Thermo Fisher Scientific, Inc.	6,383,110
47,616	West Pharmaceutical Services, Inc.	17,524,593
		265,527,172
	Pharmaceuticals — 12.0%
379,702	Bristol-Myers Squibb Co.	23,613,667
140,002	Catalent, Inc. (a)	6,792,897

See Notes to Financial Statements

Page 34

First Trust Health Care AlphaDEX® Fund (FXH)
Portfolio of Investments (Continued)
July 31, 2023

Shares	Description	Value
COMMON STOCKS (Continued)
	Pharmaceuticals (Continued)
2,413,717	Elanco Animal Health, Inc. (a)	$29,133,564
38,831	Eli Lilly & Co.	17,650,631
36,676	Johnson & Johnson	6,144,330
105,217	Merck & Co., Inc.	11,221,393
583,422	Organon & Co.	12,823,616
357,615	Perrigo Co. PLC	13,103,014
827,496	Pfizer, Inc.	29,839,506
3,041,333	Viatris, Inc.	32,025,236
		182,347,854
	Total Common Stocks	1,521,580,562
	(Cost $1,434,694,719)
MONEY MARKET FUNDS — 0.0%
870,307	Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.13% (b)	870,307
	(Cost $870,307)


	Total Investments — 100.0%	1,522,450,869
	(Cost $1,435,565,026)
	Net Other Assets and Liabilities — (0.0)%	(631,139 )
	Net Assets — 100.0%	$1,521,819,730

(a)	Non-income producing security.
(b)	Rate shown reflects yield as of July 31, 2023.

Valuation Inputs

A summary of the inputs used to value the Fund’s investments as of July 31, 2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):

	Total Value at 7/31/2023	Level 1 Quoted Prices	Level 2 Significant Observable Inputs	Level 3 Significant Unobservable Inputs
Common Stocks*	$1,521,580,562	$1,521,580,562	$—	$—
Money Market Funds	870,307	870,307	—	—
Total Investments	$1,522,450,869	$1,522,450,869	$—	$—

*	See Portfolio of Investments for industry breakout.

See Notes to Financial Statements

Page 35

First Trust Industrials/Producer Durables AlphaDEX® Fund (FXR)
Portfolio of Investments
July 31, 2023

Shares	Description	Value
COMMON STOCKS — 99.9%
	Aerospace & Defense — 7.3%
21,662	Axon Enterprise, Inc. (a)	$4,027,615
60,048	Boeing (The) Co. (a)	14,342,465
177,175	BWX Technologies, Inc.	12,225,075
23,011	Curtiss-Wright Corp.	4,403,385
40,806	General Dynamics Corp.	9,123,405
49,613	HEICO Corp.	8,730,896
55,715	Huntington Ingalls Industries, Inc.	12,796,064
27,821	Northrop Grumman Corp.	12,380,345
89,613	RTX Corp.	7,879,671
144,801	Spirit AeroSystems Holdings, Inc., Class A	4,607,568
259,605	Textron, Inc.	20,189,481
19,632	TransDigm Group, Inc.	17,663,303
		128,369,273
	Air Freight & Logistics — 2.8%
93,042	C.H. Robinson Worldwide, Inc.	9,320,948
104,685	Expeditors International of Washington, Inc.	13,326,401
51,152	FedEx Corp.	13,808,482
70,740	United Parcel Service, Inc., Class B	13,237,576
		49,693,407
	Banks — 1.2%
2,781,577	NU Holdings Ltd., Class A (a)	22,141,353
	Building Products — 8.6%
120,622	A.O. Smith Corp.	8,760,776
154,311	Advanced Drainage Systems, Inc.	18,824,399
146,289	Allegion PLC	17,095,333
119,505	Armstrong World Industries, Inc.	9,244,907
161,372	Builders FirstSource, Inc. (a)	23,306,958
49,432	Carlisle Cos., Inc.	13,702,550
176,599	Carrier Global Corp.	10,516,470
328,930	Hayward Holdings, Inc. (a)	4,394,505
73,661	Masco Corp.	4,469,750
168,173	Owens Corning	23,542,538
66,296	Trane Technologies PLC	13,222,074
64,471	Trex Co., Inc. (a)	4,457,525
		151,537,785
	Chemicals — 3.0%
535,122	Axalta Coating Systems Ltd. (a)	17,123,904
122,885	DuPont de Nemours, Inc.	9,539,562
85,504	PPG Industries, Inc.	12,304,026
47,758	Sherwin-Williams (The) Co.	13,205,087
		52,172,579

Shares	Description	Value

	Commercial Services & Supplies — 2.2%
17,661	Cintas Corp.	$8,866,528
100,927	MSA Safety, Inc.	16,753,882
77,443	Tetra Tech, Inc.	13,104,130
		38,724,540
	Construction & Engineering — 4.8%
118,769	EMCOR Group, Inc.	25,540,086
1,048,075	MDU Resources Group, Inc.	23,183,419
111,716	Quanta Services, Inc.	22,524,180
14,519	Valmont Industries, Inc.	3,843,905
183,690	WillScot Mobile Mini Holdings Corp. (a)	8,807,935
		83,899,525
	Construction Materials — 2.4%
117,730	Eagle Materials, Inc.	21,705,880
97,351	Vulcan Materials Co.	21,465,896
		43,171,776
	Consumer Finance — 3.3%
100,789	American Express Co.	17,021,246
160,534	Capital One Financial Corp.	18,785,689
647,011	Synchrony Financial	22,347,760
		58,154,695
	Containers & Packaging — 6.2%
1,270,569	Amcor PLC	13,036,038
36,482	AptarGroup, Inc.	4,431,104
272,885	Berry Global Group, Inc.	17,893,069
48,654	Crown Holdings, Inc.	4,513,145
730,643	Graphic Packaging Holding Co.	17,681,560
166,059	Packaging Corp. of America	25,465,148
187,215	Silgan Holdings, Inc.	8,209,378
297,481	Sonoco Products Co.	17,444,286
		108,673,728
	Diversified Consumer Services — 0.8%
2,102,864	ADT, Inc.	13,416,272
	Electrical Equipment — 4.9%
107,661	Acuity Brands, Inc.	17,789,904
66,191	Hubbell, Inc.	20,651,592
169,898	nVent Electric PLC	8,984,206
57,041	Regal Rexnord Corp.	8,908,663
53,289	Rockwell Automation, Inc.	17,920,558
281,843	Sensata Technologies Holding PLC	11,907,867
		86,162,790

See Notes to Financial Statements

Page 36

First Trust Industrials/Producer Durables AlphaDEX® Fund (FXR)
Portfolio of Investments (Continued)
July 31, 2023

Shares	Description	Value
COMMON STOCKS (Continued)
	Electronic Equipment, Instruments & Components — 2.4%
25,240	Keysight Technologies, Inc. (a)	$4,065,659
30,136	Littelfuse, Inc.	9,179,426
21,351	Teledyne Technologies, Inc. (a)	8,210,100
79,840	Trimble, Inc. (a)	4,295,392
545,087	Vontier Corp.	16,859,541
		42,610,118
	Financial Services — 5.0%
108,040	Euronet Worldwide, Inc. (a)	9,493,475
100,515	Fiserv, Inc. (a)	12,685,998
69,929	FleetCor Technologies, Inc. (a)	17,406,027
10,748	Mastercard, Inc., Class A	4,237,721
258,541	Shift4 Payments, Inc., Class A (a)	17,836,744
17,797	Visa, Inc., Class A	4,230,881
1,081,017	Western Union (The) Co.	13,166,787
48,219	WEX, Inc. (a)	9,130,268
		88,187,901
	Ground Transportation — 9.4%
257,441	CSX Corp.	8,577,934
70,046	J.B. Hunt Transport Services, Inc.	14,285,181
395,008	Knight-Swift Transportation Holdings, Inc.	23,996,736
65,861	Landstar System, Inc.	13,408,641
38,714	Norfolk Southern Corp.	9,043,203
34,293	Old Dominion Freight Line, Inc.	14,385,571
258,834	Ryder System, Inc.	26,439,893
64,092	Saia, Inc. (a)	27,119,889
764,161	Schneider National, Inc., Class B	23,543,801
20,655	Union Pacific Corp.	4,792,373
		165,593,222
	Household Durables — 1.8%
85,095	Mohawk Industries, Inc. (a)	9,049,002
82,502	TopBuild Corp. (a)	22,599,773
		31,648,775
	Industrial Conglomerates — 1.4%
175,417	3M Co.	19,558,996
38,481	General Electric Co.	4,396,069
		23,955,065
	IT Services — 0.2%
13,697	Accenture PLC, Class A	4,333,046
	Leisure Products — 1.2%
253,306	Brunswick Corp.	21,862,841
	Machinery — 14.3%
166,996	AGCO Corp.	22,227,168

Shares	Description	Value

	Machinery (Continued)
388,712	Allison Transmission Holdings, Inc.	$22,813,507
51,533	Caterpillar, Inc.	13,665,006
1,219,258	CNH Industrial N.V.	17,508,545
51,725	Cummins, Inc.	13,489,880
21,665	Deere & Co.	9,307,284
140,434	Donaldson Co., Inc.	8,823,468
59,454	Dover Corp.	8,678,500
131,927	Esab Corp.	9,063,385
113,778	Flowserve Corp.	4,296,257
146,850	Graco, Inc.	11,649,610
16,899	Illinois Tool Works, Inc.	4,449,845
136,042	ITT, Inc.	13,549,783
110,491	Lincoln Electric Holdings, Inc.	22,176,649
85,773	Middleby (The) Corp. (a)	13,024,630
48,816	Oshkosh Corp.	4,494,489
47,484	Otis Worldwide Corp.	4,319,145
209,888	PACCAR, Inc.	18,077,653
65,431	Pentair PLC	4,547,454
60,924	Snap-on, Inc.	16,598,135
38,543	Westinghouse Air Brake Technologies Corp.	4,565,033
37,532	Xylem, Inc.	4,231,733
		251,557,159
	Marine Transportation — 0.5%
114,081	Kirby Corp. (a)	9,295,320
	Paper & Forest Products — 1.3%
292,703	Louisiana-Pacific Corp.	22,283,479
	Professional Services — 4.7%
157,324	Booz Allen Hamilton Holding Corp.	19,048,790
17,967	Equifax, Inc.	3,666,705
22,223	FTI Consulting, Inc. (a)	3,892,581
233,662	Genpact Ltd.	8,432,862
73,842	Jacobs Solutions, Inc.	9,260,525
221,126	ManpowerGroup, Inc.	17,442,419
233,410	Robert Half, Inc.	17,307,351
18,701	Verisk Analytics, Inc.	4,281,407
		83,332,640
	Semiconductors & Semiconductor Equipment — 0.2%
39,103	MKS Instruments, Inc.	4,268,875
	Software — 0.7%
15,667	Fair Isaac Corp. (a)	13,128,476
	Trading Companies & Distributors — 9.3%
524,412	Air Lease Corp.	22,203,604

See Notes to Financial Statements

Page 37

First Trust Industrials/Producer Durables AlphaDEX® Fund (FXR)
Portfolio of Investments (Continued)
July 31, 2023

Shares	Description	Value
COMMON STOCKS (Continued)
	Trading Companies & Distributors (Continued)
560,221	Core & Main, Inc., Class A (a)	$17,708,586
139,514	Ferguson PLC	22,548,253
184,269	MSC Industrial Direct Co., Inc., Class A	18,596,427
49,274	United Rentals, Inc.	22,896,642
27,832	W.W. Grainger, Inc.	20,553,654
57,532	Watsco, Inc.	21,758,027
98,052	WESCO International, Inc.	17,214,990
		163,480,183
	Total Common Stocks	1,761,654,823
	(Cost $1,536,123,138)
MONEY MARKET FUNDS — 0.1%
1,589,023	Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.13% (b)	1,589,023
	(Cost $1,589,023)


	Total Investments — 100.0%	1,763,243,846
	(Cost $1,537,712,161)
	Net Other Assets and Liabilities — (0.0)%	(627,941 )
	Net Assets — 100.0%	$1,762,615,905

(a)	Non-income producing security.
(b)	Rate shown reflects yield as of July 31, 2023.

Valuation Inputs

A summary of the inputs used to value the Fund’s investments as of July 31, 2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):

	Total Value at 7/31/2023	Level 1 Quoted Prices	Level 2 Significant Observable Inputs	Level 3 Significant Unobservable Inputs
Common Stocks*	$1,761,654,823	$1,761,654,823	$—	$—
Money Market Funds	1,589,023	1,589,023	—	—
Total Investments	$1,763,243,846	$1,763,243,846	$—	$—

*	See Portfolio of Investments for industry breakout.

See Notes to Financial Statements

Page 38

First Trust Materials AlphaDEX® Fund (FXZ)
Portfolio of Investments
July 31, 2023

Shares	Description	Value
COMMON STOCKS — 100.0%
	Aerospace & Defense — 0.7%
60,708	Hexcel Corp.	$4,290,841
	Chemicals — 54.3%
15,408	Air Products and Chemicals, Inc.	4,704,525
82,751	Albemarle Corp.	17,566,382
159,303	Ashland, Inc.	14,553,922
159,419	Celanese Corp.	19,989,548
379,886	CF Industries Holdings, Inc.	31,181,043
375,314	Chemours (The) Co.	13,879,112
346,606	Dow, Inc.	19,572,841
165,374	Eastman Chemical Co.	14,152,707
74,158	Ecolab, Inc.	13,581,296
480,734	Element Solutions, Inc.	10,076,185
88,465	FMC Corp.	8,512,987
512,404	Huntsman Corp.	15,254,267
57,987	International Flavors & Fragrances, Inc.	4,906,280
24,221	Linde PLC	9,462,418
201,026	LyondellBasell Industries N.V., Class A	19,873,430
753,483	Mosaic (The) Co.	30,711,967
34,431	NewMarket Corp.	15,552,483
359,222	Olin Corp.	20,719,925
73,613	Scotts Miracle-Gro (The) Co.	5,155,855
220,739	Westlake Corp.	30,351,612
		319,758,785
	Containers & Packaging — 6.8%
53,722	Avery Dennison Corp.	9,885,385
829,042	International Paper Co.	29,895,255
		39,780,640
	Machinery — 3.2%
21,219	RBC Bearings, Inc. (a)	4,796,555
151,267	Timken (The) Co.	14,046,654
		18,843,209
	Metals & Mining — 31.1%
136,019	Alcoa Corp.	4,922,528
1,101,444	Cleveland-Cliffs, Inc. (a)	19,440,486
230,752	Freeport-McMoRan, Inc.	10,303,077
403,413	MP Materials Corp. (a)	9,621,400
108,185	Newmont Corp.	4,643,300
160,820	Nucor Corp.	27,675,514
67,970	Reliance Steel & Aluminum Co.	19,905,694
80,414	Royal Gold, Inc.	9,660,938
64,329	Southern Copper Corp.	5,624,928
1,301,852	SSR Mining, Inc.	18,954,965
242,102	Steel Dynamics, Inc.	25,803,231
1,054,450	United States Steel Corp.	26,888,475
		183,444,536

Shares	Description	Value

	Trading Companies & Distributors — 3.9%
156,473	Fastenal Co.	$9,170,882
386,305	Univar Solutions, Inc. (a)	13,961,063
		23,131,945
	Total Common Stocks	589,249,956
	(Cost $625,813,257)
MONEY MARKET FUNDS — 0.1%
560,531	Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.13% (b)	560,531
	(Cost $560,531)


	Total Investments — 100.1%	589,810,487
	(Cost $626,373,788)
	Net Other Assets and Liabilities — (0.1)%	(365,349 )
	Net Assets — 100.0%	$589,445,138

(a)	Non-income producing security.
(b)	Rate shown reflects yield as of July 31, 2023.

Valuation Inputs

A summary of the inputs used to value the Fund’s investments as of July 31, 2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):

	Total Value at 7/31/2023	Level 1 Quoted Prices	Level 2 Significant Observable Inputs	Level 3 Significant Unobservable Inputs
Common Stocks*	$589,249,956	$589,249,956	$—	$—
Money Market Funds	560,531	560,531	—	—
Total Investments	$589,810,487	$589,810,487	$—	$—

*	See Portfolio of Investments for industry breakout.

See Notes to Financial Statements

Page 39

First Trust Technology AlphaDEX® Fund (FXL)
Portfolio of Investments
July 31, 2023

Shares	Description	Value
COMMON STOCKS — 100.0%
	Communications Equipment — 0.3%
26,908	F5, Inc. (a)	$4,257,922
	Electrical Equipment — 1.7%
794,407	Vertiv Holdings Co.	20,662,526
	Electronic Equipment, Instruments & Components — 8.7%
46,327	Amphenol Corp., Class A	4,091,137
137,384	Arrow Electronics, Inc. (a)	19,582,715
390,039	Avnet, Inc.	18,916,892
77,197	Coherent Corp. (a)	3,656,050
224,629	Corning, Inc.	7,623,908
182,317	Jabil, Inc.	20,177,023
274,251	National Instruments Corp.	16,180,809
167,468	TD SYNNEX Corp.	16,530,766
		106,759,300
	Financial Services — 1.6%
871,842	Toast, Inc., Class A (a)	19,241,553
	Hotels, Restaurants & Leisure — 1.9%
257,491	DoorDash, Inc., Class A (a)	23,377,608
	Interactive Media & Services — 2.5%
65,756	Alphabet, Inc., Class A (a)	8,727,136
54,854	Meta Platforms, Inc., Class A (a)	17,476,484
143,946	Pinterest, Inc., Class A (a)	4,172,995
		30,376,615
	IT Services — 9.4%
87,582	Akamai Technologies, Inc. (a)	8,276,499
79,625	Amdocs Ltd.	7,456,085
240,813	Cloudflare, Inc., Class A (a)	16,560,710
301,432	Cognizant Technology Solutions Corp., Class A	19,903,555
294,573	DXC Technology Co. (a)	8,144,943
22,469	Gartner, Inc. (a)	7,944,814
43,796	Globant S.A. (a)	7,652,475
47,878	MongoDB, Inc. (a)	20,271,545
67,090	Snowflake, Inc., Class A (a)	11,922,564
61,859	Twilio, Inc., Class A (a)	4,084,550
17,416	VeriSign, Inc. (a)	3,673,905
		115,891,645
	Professional Services — 6.5%
23,093	CACI International, Inc., Class A (a)	8,092,711
58,765	Ceridian HCM Holding, Inc. (a)	4,161,149
243,684	Concentrix Corp.	20,284,256
680,293	Dun & Bradstreet Holdings, Inc.	8,041,063
181,471	KBR, Inc.	11,158,652
88,958	Leidos Holdings, Inc.	8,320,242

Shares	Description	Value

	Professional Services (Continued)
12,251	Paycom Software, Inc.	$4,517,679
69,977	Science Applications International Corp.	8,491,009
129,884	SS&C Technologies Holdings, Inc.	7,565,743
		80,632,504
	Semiconductors & Semiconductor Equipment — 21.4%
138,196	Advanced Micro Devices, Inc. (a)	15,809,622
261,553	Allegro MicroSystems, Inc. (a)	13,498,750
40,403	Analog Devices, Inc.	8,061,611
108,911	Applied Materials, Inc.	16,509,819
22,685	Broadcom, Inc.	20,385,875
145,741	Cirrus Logic, Inc. (a)	11,775,873
177,562	Entegris, Inc.	19,480,327
182,820	GLOBALFOUNDRIES, Inc. (a) (b)	11,643,806
117,688	Intel Corp.	4,209,700
32,456	KLA Corp.	16,680,761
24,487	Lam Research Corp.	17,593,665
122,895	Lattice Semiconductor Corp. (a)	11,176,071
175,711	Microchip Technology, Inc.	16,506,291
29,139	Monolithic Power Systems, Inc.	16,302,979
27,910	NVIDIA Corp.	13,042,064
83,220	ON Semiconductor Corp. (a)	8,966,955
99,181	QUALCOMM, Inc.	13,108,753
177,771	Skyworks Solutions, Inc.	20,331,669
35,350	Teradyne, Inc.	3,992,429
21,861	Texas Instruments, Inc.	3,934,980
		263,012,000
	Software — 40.8%
24,145	Adobe, Inc. (a)	13,187,275
11,916	ANSYS, Inc. (a)	4,076,464
152,953	AppLovin Corp., Class A (a)	4,802,724
290,282	Bentley Systems, Inc., Class B	15,640,394
67,124	Cadence Design Systems, Inc. (a)	15,707,687
557,278	Confluent, Inc., Class A (a)	19,248,382
26,796	Crowdstrike Holdings, Inc., Class A (a)	4,331,841
120,009	Datadog, Inc., Class A (a)	14,007,450
47,030	Dolby Laboratories, Inc., Class A	4,167,328
505,588	DoubleVerify Holdings, Inc. (a)	21,285,255
442,688	Dropbox, Inc., Class A (a)	11,930,442
305,848	Dynatrace, Inc. (a)	16,726,827
122,754	Elastic N.V. (a)	8,157,003
47,732	Five9, Inc. (a)	4,188,483

See Notes to Financial Statements

Page 40

First Trust Technology AlphaDEX® Fund (FXL)
Portfolio of Investments (Continued)
July 31, 2023

Shares	Description	Value
COMMON STOCKS (Continued)
	Software (Continued)
208,255	Fortinet, Inc. (a)	$16,185,579
848,624	Gen Digital, Inc.	16,505,737
154,001	Gitlab, Inc., Class A (a)	7,643,070
36,981	HubSpot, Inc. (a)	21,469,320
8,589	Intuit, Inc.	4,394,991
98,446	Manhattan Associates, Inc. (a)	18,765,777
34,670	Microsoft Corp.	11,646,346
261,321	nCino, Inc. (a)	8,453,734
312,341	NCR Corp. (a)	8,395,726
60,139	New Relic, Inc. (a)	5,050,473
420,909	Nutanix, Inc., Class A (a)	12,711,452
165,232	Oracle Corp.	19,370,147
1,283,593	Palantir Technologies, Inc., Class A (a)	25,466,485
77,013	Palo Alto Networks, Inc. (a)	19,250,170
181,443	Procore Technologies, Inc. (a)	13,762,452
27,656	PTC, Inc. (a)	4,032,521
55,886	Salesforce, Inc. (a)	12,574,909
21,009	ServiceNow, Inc. (a)	12,248,247
148,383	Splunk, Inc. (a)	16,074,330
27,116	Synopsys, Inc. (a)	12,251,009
294,739	Teradata Corp. (a)	16,755,912
18,899	Tyler Technologies, Inc. (a)	7,495,910
362,551	Unity Software, Inc. (a)	16,619,338
54,777	VMware, Inc., Class A (a)	8,634,499
69,689	Workday, Inc., Class A (a)	16,525,353
80,700	Zscaler, Inc. (a)	12,942,666
		502,683,708
	Technology Hardware, Storage & Peripherals — 5.2%
60,867	Apple, Inc.	11,957,322
937,023	Hewlett Packard Enterprise Co.	16,285,460
128,150	HP, Inc.	4,207,165
154,535	NetApp, Inc.	12,055,275
534,424	Pure Storage, Inc., Class A (a)	19,768,344
		64,273,566
	Total Common Stocks	1,231,168,947
	(Cost $993,879,017)
MONEY MARKET FUNDS — 0.1%
767,377	Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 5.23% (c) (d)	767,377
757,236	Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.13% (c)	757,236
	Total Money Market Funds	1,524,613
	(Cost $1,524,613)

Principal Value	Description	Value
REPURCHASE AGREEMENTS — 0.6%
$7,586,874	BNP Paribas S.A., 5.24% (c), dated 07/31/23, due 08/01/23, with a maturity value of $7,587,979. Collateralized by U.S. Treasury Securities, interest rates of 1.75% to 3.88%, due 12/31/24 to 03/31/25. The value of the collateral including accrued interest is $7,738,781. (d)	$7,586,874
	(Cost $7,586,874)


	Total Investments — 100.7%	1,240,280,434
	(Cost $1,002,990,504)
	Net Other Assets and Liabilities — (0.7)%	(9,197,769 )
	Net Assets — 100.0%	$1,231,082,665

(a)	Non-income producing security.
(b)	All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities, including those sold and pending settlement, is $8,304,412 and the total value of the collateral held by the Fund is $8,354,251.
(c)	Rate shown reflects yield as of July 31, 2023.
(d)	This security serves as collateral for securities on loan.

Valuation Inputs

A summary of the inputs used to value the Fund’s investments as of July 31, 2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):

	Total Value at 7/31/2023	Level 1 Quoted Prices	Level 2 Significant Observable Inputs	Level 3 Significant Unobservable Inputs
Common Stocks*	$1,231,168,947	$1,231,168,947	$—	$—
Money Market Funds	1,524,613	1,524,613	—	—
Repurchase Agreements	7,586,874	—	7,586,874	—
Total Investments	$1,240,280,434	$1,232,693,560	$7,586,874	$—

*	See Portfolio of Investments for industry breakout.

See Notes to Financial Statements

Page 41

First Trust Technology AlphaDEX® Fund (FXL)
Portfolio of Investments (Continued)
July 31, 2023

Offsetting Assets and Liabilities

Securities Lending Agency Agreement
Total gross amount presented on the Statements of Assets and Liabilities(1)	$8,304,412
Non-cash Collateral(2)	(8,304,412 )
Net Amount	$—

(1)	The amount presented on the Statements of Assets and Liabilities, which is included in “Investments, at value,” is not offset and is shown on a gross basis.
(2)	At July 31, 2023, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments.

The Fund’s investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows:

Repurchase Agreements
Total gross amount presented on the Statements of Assets and Liabilities(3)	$7,586,874
Non-cash Collateral(4)	(7,586,874 )
Net Amount	$—

(3)	The amount is included in “Investments, at value” on the Statements of Assets and Liabilities.
(4)	At July 31, 2023, the value of the collateral received from each seller exceeded the value of the repurchase agreements.

See Notes to Financial Statements

Page 42

First Trust Utilities AlphaDEX® Fund (FXU)
Portfolio of Investments
July 31, 2023

Shares	Description	Value
COMMON STOCKS — 99.9%
	Commercial Services & Supplies — 4.0%
30,362	Clean Harbors, Inc. (a)	$5,047,986
16,294	Republic Services, Inc.	2,462,186
53,746	Stericycle, Inc. (a)	2,283,668
14,390	Waste Management, Inc.	2,356,938
		12,150,778
	Electric Utilities — 49.1%
142,683	Alliant Energy Corp.	7,667,784
88,932	American Electric Power Co., Inc.	7,536,098
331,211	Avangrid, Inc.	12,281,304
111,254	Duke Energy Corp.	10,415,600
71,882	Edison International	5,172,629
102,540	Entergy Corp.	10,530,858
213,629	Evergy, Inc.	12,811,331
105,582	Eversource Energy	7,636,746
245,064	Exelon Corp.	10,258,379
64,201	FirstEnergy Corp.	2,528,877
137,898	Hawaiian Electric Industries, Inc.	5,293,904
48,654	IDACORP, Inc.	5,002,604
33,638	NextEra Energy, Inc.	2,465,665
347,535	OGE Energy Corp.	12,563,390
577,783	PG&E Corp. (a)	10,174,759
122,563	Pinnacle West Capital Corp.	10,150,668
282,997	PPL Corp.	7,790,907
35,530	Southern (The) Co.	2,570,240
120,442	Xcel Energy, Inc.	7,555,327
		150,407,070
	Electrical Equipment — 3.5%
559,019	Sunrun, Inc. (a)	10,610,181
	Gas Utilities — 6.8%
64,366	Atmos Energy Corp.	7,833,986
242,990	National Fuel Gas Co.	12,905,199
		20,739,185
	Independent Power and Renewable Electricity Producers — 12.1%
395,942	Brookfield Renewable Corp., Class A	12,341,512
436,980	Clearway Energy, Inc., Class C	11,540,642
475,431	Vistra Corp.	13,340,594
		37,222,748
	Multi-Utilities — 23.5%
91,685	Ameren Corp.	7,854,654
171,253	CenterPoint Energy, Inc.	5,153,003
42,485	CMS Energy Corp.	2,594,559
138,056	Consolidated Edison, Inc.	13,095,992
96,388	Dominion Energy, Inc.	5,161,577
45,376	DTE Energy Co.	5,186,477

Shares	Description	Value

	Multi-Utilities (Continued)
365,046	NiSource, Inc.	$10,162,881
159,466	Public Service Enterprise Group, Inc.	10,065,494
51,430	Sempra	7,664,098
56,573	WEC Energy Group, Inc.	5,083,650
		72,022,385
	Water Utilities — 0.9%
62,539	Essential Utilities, Inc.	2,644,774
	Total Common Stocks	305,797,121
	(Cost $314,144,226)
MONEY MARKET FUNDS — 0.1%
295,889	Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.13% (b)	295,889
	(Cost $295,889)


	Total Investments — 100.0%	306,093,010
	(Cost $314,440,115)
	Net Other Assets and Liabilities — (0.0)%	(23,616 )
	Net Assets — 100.0%	$306,069,394

(a)	Non-income producing security.
(b)	Rate shown reflects yield as of July 31, 2023.

Valuation Inputs

A summary of the inputs used to value the Fund’s investments as of July 31, 2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):

	Total Value at 7/31/2023	Level 1 Quoted Prices	Level 2 Significant Observable Inputs	Level 3 Significant Unobservable Inputs
Common Stocks*	$305,797,121	$305,797,121	$—	$—
Money Market Funds	295,889	295,889	—	—
Total Investments	$306,093,010	$306,093,010	$—	$—

*	See Portfolio of Investments for industry breakout.

See Notes to Financial Statements

Page 43

First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
Statements of Assets and Liabilities
July 31, 2023

	First Trust Consumer Discretionary AlphaDEX® Fund (FXD)	First Trust Consumer Staples AlphaDEX® Fund (FXG)	First Trust Energy AlphaDEX® Fund (FXN)
ASSETS:
Investments, at value	$1,509,081,743	$656,321,985	$576,184,908
Receivables:
Capital shares sold	17,156,467	—	—
Dividends	410,504	766,699	631,480
Securities lending income	119,741	34	29,391
Reclaims	1,619	—	—
Investment securities sold	—	—	—
Prepaid expenses	2,523	2,905	8,319
Total Assets	1,526,772,597	657,091,623	576,854,098

LIABILITIES:
Payables:
Investment securities purchased	17,147,100	—	—
Collateral for securities on loan	4,367,564	—	8,630,978
Investment advisory fees	615,682	281,552	230,394
Licensing fees	176,224	91,082	80,433
Audit and tax fees	29,111	28,997	31,032
Shareholder reporting fees	21,446	32,027	61,807
Trustees’ fees	618	608	689
Capital shares redeemed	—	—	—
Other liabilities	236,296	129,759	131,392
Total Liabilities	22,594,041	564,025	9,166,725
NET ASSETS	$1,504,178,556	$656,527,598	$567,687,373

NET ASSETS consist of:
Paid-in capital	$1,815,841,077	$909,142,710	$1,076,475,453
Par value	262,000	102,000	329,000
Accumulated distributable earnings (loss)	(311,924,521 )	(252,717,112 )	(509,117,080 )
NET ASSETS	$1,504,178,556	$656,527,598	$567,687,373
NET ASSET VALUE, per share	$57.41	$64.37	$17.25
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)	26,200,002	10,200,002	32,900,002
Investments, at cost	$1,335,576,528	$632,495,769	$562,055,998
Securities on loan, at value	$4,242,777	$—	$9,101,175

See Notes to Financial Statements

Page 44

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)

$937,162,225	$1,522,450,869	$1,763,243,846	$589,810,487	$1,240,280,434	$306,093,010

2,074,302	—	15,427,358	—	—	—
600,792	603,163	699,927	332,628	96,764	263,871
41,408	—	—	—	10,373	—
—	—	—	—	—	4,535
—	—	—	3,371,332	—	1,625,585
4,287	4,649	4,860	4,086	4,237	2,659
939,883,014	1,523,058,681	1,779,375,991	593,518,533	1,240,391,808	307,989,660



2,071,523	—	15,415,880	—	—	—
43,005,629	—	—	—	8,354,251	—
371,522	655,543	731,402	248,437	507,497	134,359
122,932	208,865	219,523	155,443	152,454	43,562
29,225	29,206	29,246	29,029	29,093	28,980
55,377	63,387	59,072	63,535	44,209	23,355
599	643	643	634	624	594
—	—	—	3,372,503	—	1,626,268
202,092	281,307	304,320	203,814	221,015	63,148
45,858,899	1,238,951	16,760,086	4,073,395	9,309,143	1,920,266
$894,024,115	$1,521,819,730	$1,762,615,905	$589,445,138	$1,231,082,665	$306,069,394


$1,370,307,613	$2,085,885,408	$1,969,487,081	$889,424,533	$1,728,017,684	$517,978,951
215,500	143,000	285,000	86,500	102,550	94,000
(476,498,998 )	(564,208,678 )	(207,156,176 )	(300,065,895 )	(497,037,569 )	(212,003,557 )
$894,024,115	$1,521,819,730	$1,762,615,905	$589,445,138	$1,231,082,665	$306,069,394
$41.49	$106.42	$61.85	$68.14	$120.05	$32.56
21,550,002	14,300,002	28,500,002	8,650,002	10,255,000	9,400,002
$974,919,370	$1,435,565,026	$1,537,712,161	$626,373,788	$1,002,990,504	$314,440,115
$41,647,544	$—	$—	$—	$8,304,412	$—

See Notes to Financial Statements

Page 45

First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
Statements of Operations
For the Year Ended July 31, 2023

	First Trust Consumer Discretionary AlphaDEX® Fund (FXD)	First Trust Consumer Staples AlphaDEX® Fund (FXG)	First Trust Energy AlphaDEX® Fund (FXN)
INVESTMENT INCOME:
Dividends	$8,881,850	$17,252,512	$47,799,597
Securities lending income (net of fees)	236,763	104	134,140
Foreign withholding tax	(2,428 )	—	—
Total investment income	9,116,185	17,252,616	47,933,737

EXPENSES:
Investment advisory fees	3,441,623	3,390,095	6,597,347
Accounting and administration fees	335,085	340,314	613,493
Licensing fees	275,330	271,208	527,788
Custodian fees	54,698	54,525	96,333
Transfer agent fees	31,715	33,901	54,095
Audit and tax fees	31,002	29,516	31,628
Legal fees	14,819	22,459	50,016
Shareholder reporting fees	10,387	95,595	199,867
Listing fees	9,790	8,830	15,068
Trustees’ fees and expenses	8,000	8,250	8,841
Other expenses	11,052	10,897	28,705
Total expenses	4,223,501	4,265,590	8,223,181
NET INVESTMENT INCOME (LOSS)	4,892,684	12,987,026	39,710,556

NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments	(57,880,474 )	(20,042,996 )	(17,385,175 )
In-kind redemptions	18,755,093	24,739,087	204,267,778
Net realized gain (loss)	(39,125,381 )	4,696,091	186,882,603
Net change in unrealized appreciation (depreciation) on investments	233,009,394	(2,826,324 )	(215,859,342 )
NET REALIZED AND UNREALIZED GAIN (LOSS)	193,884,013	1,869,767	(28,976,739 )
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$198,776,697	$14,856,793	$10,733,817

See Notes to Financial Statements

Page 46

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)

$42,203,262	$12,268,570	$22,568,005	$31,213,098	$8,682,205	$10,225,301
1,559,971	167,350	83,452	925	244,520	2,534
(53,358 )	—	—	(194,527 )	—	(27,843 )
43,709,875	12,435,920	22,651,457	31,019,496	8,926,725	10,199,992


5,933,523	7,693,304	7,881,258	7,037,988	5,286,169	1,840,420
573,363	716,990	732,206	658,919	523,836	185,318
474,682	615,464	630,501	563,039	422,893	147,233
111,727	116,371	114,443	106,266	90,786	27,692
53,937	63,467	64,406	58,827	51,267	18,404
30,723	30,839	31,059	29,729	31,529	29,428
48,458	50,254	51,076	52,319	25,074	12,498
128,002	153,279	136,330	174,151	53,379	64,733
10,658	8,830	10,645	8,830	8,834	8,834
8,600	8,780	8,805	8,992	8,429	8,010
20,895	26,692	27,213	24,386	21,382	7,212
7,394,568	9,484,270	9,687,942	8,723,446	6,523,578	2,349,782
36,315,307	2,951,650	12,963,515	22,296,050	2,403,147	7,850,210



(217,493,230 )	(40,936,671 )	(147,309,478 )	(95,579,764 )	(111,011,632 )	(10,404,497 )
(58,210,419 )	44,320,717	122,888,403	(4,599,972 )	19,848,110	19,181,409
(275,703,649 )	3,384,046	(24,421,075 )	(100,179,736 )	(91,163,522 )	8,776,912
23,420,964	(35,025,625 )	241,729,327	113,097,946	247,503,716	(35,308,860 )
(252,282,685 )	(31,641,579 )	217,308,252	12,918,210	156,340,194	(26,531,948 )
$(215,967,378 )	$(28,689,929 )	$230,271,767	$35,214,260	$158,743,341	$(18,681,738 )

See Notes to Financial Statements

Page 47

First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
Statements of Changes in Net Assets

	First Trust Consumer Discretionary AlphaDEX® Fund (FXD)		First Trust Consumer Staples AlphaDEX® Fund (FXG)
	Year Ended 7/31/2023	Year Ended 7/31/2022	Year Ended 7/31/2023	Year Ended 7/31/2022
OPERATIONS:
Net investment income (loss)	$4,892,684	$12,047,240	$12,987,026	$5,452,882
Net realized gain (loss)	(39,125,381 )	154,046,852	4,696,091	12,107,920
Net change in unrealized appreciation (depreciation)	233,009,394	(441,734,956 )	(2,826,324 )	14,116,145
Net increase (decrease) in net assets resulting from operations	198,776,697	(275,640,864 )	14,856,793	31,676,947

DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations	(4,813,851 )	(13,315,221 )	(13,063,057 )	(4,675,407 )

SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold	1,142,163,400	821,836,474	187,021,189	502,041,230
Cost of shares redeemed	(226,064,609 )	(2,086,899,315 )	(182,940,815 )	(125,700,060 )
Net increase (decrease) in net assets resulting from shareholder transactions	916,098,791	(1,265,062,841 )	4,080,374	376,341,170
Total increase (decrease) in net assets	1,110,061,637	(1,554,018,926 )	5,874,110	403,342,710

NET ASSETS:
Beginning of period	394,116,919	1,948,135,845	650,653,488	247,310,778
End of period	$1,504,178,556	$394,116,919	$656,527,598	$650,653,488

CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period	7,950,002	31,750,002	10,200,002	4,400,002
Shares sold	22,750,000	14,350,000	2,950,000	7,850,000
Shares redeemed	(4,500,000 )	(38,150,000 )	(2,950,000 )	(2,050,000 )
Shares outstanding, end of period	26,200,002	7,950,002	10,200,002	10,200,002

See Notes to Financial Statements

Page 48

First Trust Energy AlphaDEX® Fund (FXN)		First Trust Financials AlphaDEX® Fund (FXO)		First Trust Health Care AlphaDEX® Fund (FXH)
Year Ended 7/31/2023	Year Ended 7/31/2022	Year Ended 7/31/2023	Year Ended 7/31/2022	Year Ended 7/31/2023	Year Ended 7/31/2022

$39,710,556	$20,991,279	$36,315,307	$29,707,133	$2,951,650	$1,824,839
186,882,603	102,779,022	(275,703,649 )	143,892,144	3,384,046	(4,568,756 )
(215,859,342 )	205,525,000	23,420,964	(214,313,440 )	(35,025,625 )	(177,329,197 )
10,733,817	329,295,301	(215,967,378 )	(40,714,163 )	(28,689,929 )	(180,073,114 )


(40,310,566 )	(19,922,141 )	(36,401,587 )	(28,346,142 )	(4,384,241 )	—


611,336,353	1,605,588,558	1,466,464,796	604,854,268	248,534,264	252,759,574
(1,679,363,136 )	(578,637,025 )	(1,491,809,460 )	(676,942,289 )	(197,368,260 )	(173,706,436 )
(1,068,026,783 )	1,026,951,533	(25,344,664 )	(72,088,021 )	51,166,004	79,053,138
(1,097,603,532 )	1,336,324,693	(277,713,629 )	(141,148,326 )	18,091,834	(101,019,976 )


1,665,290,905	328,966,212	1,171,737,744	1,312,886,070	1,503,727,896	1,604,747,872
$567,687,373	$1,665,290,905	$894,024,115	$1,171,737,744	$1,521,819,730	$1,503,727,896


99,150,002	31,850,002	28,250,002	30,250,002	13,850,002	13,150,002
35,050,000	109,350,000	32,950,000	13,250,000	2,300,000	2,250,000
(101,300,000 )	(42,050,000 )	(39,650,000 )	(15,250,000 )	(1,850,000 )	(1,550,000 )
32,900,002	99,150,002	21,550,002	28,250,002	14,300,002	13,850,002

See Notes to Financial Statements

Page 49

First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
Statements of Changes in Net Assets (Continued)

	First Trust Industrials/Producer Durables AlphaDEX® Fund (FXR)		First Trust Materials AlphaDEX® Fund (FXZ)
	Year Ended 7/31/2023	Year Ended 7/31/2022	Year Ended 7/31/2023	Year Ended 7/31/2022
OPERATIONS:
Net investment income (loss)	$12,963,515	$12,729,384	$22,296,050	$16,484,011
Net realized gain (loss)	(24,421,075 )	(17,448,344 )	(100,179,736 )	75,814,579
Net change in unrealized appreciation (depreciation)	241,729,327	(177,157,775 )	113,097,946	(187,817,992 )
Net increase (decrease) in net assets resulting from operations	230,271,767	(181,876,735 )	35,214,260	(95,519,402 )

DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations	(13,417,111 )	(11,751,221 )	(25,653,523 )	(12,438,026 )

SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold	632,978,315	880,928,164	529,740,897	2,011,606,379
Cost of shares redeemed	(665,443,450 )	(876,678,313 )	(1,517,771,623 )	(796,095,645 )
Net increase (decrease) in net assets resulting from shareholder transactions	(32,465,135 )	4,249,851	(988,030,726 )	1,215,510,734
Total increase (decrease) in net assets	184,389,521	(189,378,105 )	(978,469,989 )	1,107,553,306

NET ASSETS:
Beginning of period	1,578,226,384	1,767,604,489	1,567,915,127	460,361,821
End of period	$1,762,615,905	$1,578,226,384	$589,445,138	$1,567,915,127

CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period	29,400,002	29,700,002	25,300,002	7,950,002
Shares sold	11,000,000	15,200,000	8,050,000	29,600,000
Shares redeemed	(11,900,000 )	(15,500,000 )	(24,700,000 )	(12,250,000 )
Shares outstanding, end of period	28,500,002	29,400,002	8,650,002	25,300,002

See Notes to Financial Statements

Page 50

First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
Financial Highlights
For a share outstanding throughout each period

First Trust Consumer Discretionary AlphaDEX® Fund (FXD)

	Year Ended July 31,
	2023	2022	2021	2020	2019
Net asset value, beginning of period	$49.57	$61.36	$39.70	$43.40	$42.42
Income from investment operations:
Net investment income (loss)	0.35 (a)	0.52	0.20	0.36	0.37
Net realized and unrealized gain (loss)	7.95	(11.78 )	21.61	(3.61 )	0.93
Total from investment operations	8.30	(11.26 )	21.81	(3.25 )	1.30
Distributions paid to shareholders from:
Net investment income	(0.46 )	(0.53 )	(0.15 )	(0.45 )	(0.32 )
Net asset value, end of period	$57.41	$49.57	$61.36	$39.70	$43.40
Total return (b)	16.93 %	(18.43 )%	54.99 %	(7.39 )%	3.13 %

Ratios to average net assets/supplemental data:
Net assets, end of period (in 000’s)	$1,504,179	$394,117	$1,948,136	$948,948	$384,117
Ratio of total expenses to average net assets	0.61 %	0.61 %	0.61 %	0.63 %	0.64 %
Ratio of net investment income (loss) to average net assets	0.71 %	0.82 %	0.38 %	0.77 %	0.90 %
Portfolio turnover rate (c)	110 %	76 %	88 %	115 %	97 %

(a)	Based on average shares outstanding.
(b)	Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year.
(c)	Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions.

See Notes to Financial Statements

Page 52

First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
Financial Highlights (Continued)
For a share outstanding throughout each period

First Trust Consumer Staples AlphaDEX® Fund (FXG)

	Year Ended July 31,
	2023	2022	2021	2020	2019
Net asset value, beginning of period	$63.79	$56.21	$48.76	$45.80	$46.50
Income from investment operations:
Net investment income (loss)	1.20 (a)	0.81	0.79	0.84	0.70
Net realized and unrealized gain (loss)	0.56	7.55	7.40	2.98	(0.32 )
Total from investment operations	1.76	8.36	8.19	3.82	0.38
Distributions paid to shareholders from:
Net investment income	(1.18 )	(0.78 )	(0.74 )	(0.86 )	(1.08 )
Net asset value, end of period	$64.37	$63.79	$56.21	$48.76	$45.80
Total return (b)	2.87 %	14.95 %	16.88 %	8.46 %	0.83 %

Ratios to average net assets/supplemental data:
Net assets, end of period (in 000’s)	$656,528	$650,653	$247,311	$258,429	$329,792
Ratio of total expenses to average net assets	0.63 %	0.63 %	0.64 %	0.63 %	0.64 %
Ratio of net investment income (loss) to average net assets	1.92 %	1.41 %	1.43 %	1.72 %	1.51 %
Portfolio turnover rate (c)	63 %	88 %	94 %	113 %	90 %

(a)	Based on average shares outstanding.
(b)	Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year.
(c)	Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions.

See Notes to Financial Statements

Page 53

First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
Financial Highlights (Continued)
For a share outstanding throughout each period

First Trust Energy AlphaDEX® Fund (FXN)

	Year Ended July 31,
	2023	2022	2021	2020	2019
Net asset value, beginning of period	$16.80	$10.33	$6.54	$10.88	$17.10
Income from investment operations:
Net investment income (loss)	0.52 (a)	0.27	0.31	0.16	0.16
Net realized and unrealized gain (loss)	0.50 (b)	6.46	3.81	(4.31 )	(6.25 )
Total from investment operations	1.02	6.73	4.12	(4.15 )	(6.09 )
Distributions paid to shareholders from:
Net investment income	(0.57 )	(0.26 )	(0.33 )	(0.19 )	(0.13 )
Net asset value, end of period	$17.25	$16.80	$10.33	$6.54	$10.88
Total return (c)	6.38 %	65.76 %	66.66 %	(38.32 )%	(35.77 )%

Ratios to average net assets/supplemental data:
Net assets, end of period (in 000’s)	$567,687	$1,665,291	$328,966	$615,795	$122,374
Ratio of total expenses to average net assets	0.62 %	0.61 %	0.64 %	0.64 %	0.65 %
Ratio of net investment income (loss) to average net assets	3.01 %	2.34 %	1.70 %	2.39 %	1.17 %
Portfolio turnover rate (d)	58 %	79 %	71 %	165 %	99 %

(a)	Based on average shares outstanding.
(b)	The per share amount does not correlate with the aggregate realized and unrealized gain (loss) due to the timing of the Fund share sales and repurchases in relation to market value fluctuation of the underlying investments.
(c)	Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year.
(d)	Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions.

See Notes to Financial Statements

Page 54

First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
Financial Highlights (Continued)
For a share outstanding throughout each period

First Trust Financials AlphaDEX® Fund (FXO)

	Year Ended July 31,
	2023	2022	2021	2020	2019
Net asset value, beginning of period	$41.48	$43.40	$25.87	$32.35	$32.04
Income from investment operations:
Net investment income (loss)	1.28 (a)	0.92	0.81	0.72	0.65
Net realized and unrealized gain (loss)	(0.05 )	(1.97 )	17.55	(6.37 )	0.25
Total from investment operations	1.23	(1.05 )	18.36	(5.65 )	0.90
Distributions paid to shareholders from:
Net investment income	(1.22 )	(0.87 )	(0.83 )	(0.83 )	(0.59 )
Net asset value, end of period	$41.49	$41.48	$43.40	$25.87	$32.35
Total return (b)	3.24 %	(2.52 )%	71.99 %	(17.56 )%	3.03 %

Ratios to average net assets/supplemental data:
Net assets, end of period (in 000’s)	$894,024	$1,171,738	$1,312,886	$538,172	$988,353
Ratio of total expenses to average net assets	0.62 %	0.62 %	0.61 %	0.62 %	0.63 %
Ratio of net investment income (loss) to average net assets	3.06 %	2.10 %	2.25 %	2.36 %	2.06 %
Portfolio turnover rate (c)	78 %	64 %	86 %	90 %	81 %

(a)	Based on average shares outstanding.
(b)	Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year.
(c)	Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions.

See Notes to Financial Statements

Page 55

First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
Financial Highlights (Continued)
For a share outstanding throughout each period

First Trust Health Care AlphaDEX® Fund (FXH)

	Year Ended July 31,
	2023	2022	2021	2020	2019
Net asset value, beginning of period	$108.57	$122.03	$95.29	$77.62	$76.80
Income from investment operations:
Net investment income (loss)	0.21 (a)	0.13	(0.15 )	0.01	(0.11 )
Net realized and unrealized gain (loss)	(2.06 )	(13.59 )	26.89	17.66	0.93
Total from investment operations	(1.85 )	(13.46 )	26.74	17.67	0.82
Distributions paid to shareholders from:
Net investment income	(0.30 )	—	—	—	—
Net asset value, end of period	$106.42	$108.57	$122.03	$95.29	$77.62
Total return (b)	(1.69 )%	(11.03 )%	28.08 %	22.75 %	1.07 %

Ratios to average net assets/supplemental data:
Net assets, end of period (in 000’s)	$1,521,820	$1,503,728	$1,604,748	$1,348,309	$1,183,740
Ratio of total expenses to average net assets	0.62 %	0.61 %	0.61 %	0.61 %	0.62 %
Ratio of net investment income (loss) to average net assets	0.19 %	0.12 %	(0.14 )%	0.01 %	(0.11 )%
Portfolio turnover rate (c)	94 %	88 %	103 %	107 %	123 %

(a)	Based on average shares outstanding.
(b)	Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year.
(c)	Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions.

See Notes to Financial Statements

Page 56

First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
Financial Highlights (Continued)
For a share outstanding throughout each period

First Trust Industrials/Producer Durables AlphaDEX® Fund (FXR)

	Year Ended July 31,
	2023	2022	2021	2020	2019
Net asset value, beginning of period	$53.68	$59.52	$39.13	$42.49	$41.28
Income from investment operations:
Net investment income (loss)	0.45 (a)	0.42	0.33	0.58	0.30
Net realized and unrealized gain (loss)	8.18	(5.87 )	20.42	(3.29 )	1.17
Total from investment operations	8.63	(5.45 )	20.75	(2.71 )	1.47
Distributions paid to shareholders from:
Net investment income	(0.46 )	(0.39 )	(0.36 )	(0.65 )	(0.26 )
Net asset value, end of period	$61.85	$53.68	$59.52	$39.13	$42.49
Total return (b)	16.23 %	(9.16 )%	53.21 %	(6.30 )%	3.67 %

Ratios to average net assets/supplemental data:
Net assets, end of period (in 000’s)	$1,762,616	$1,578,226	$1,767,604	$179,979	$378,173
Ratio of total expenses to average net assets	0.61 %	0.61 %	0.61 %	0.64 %	0.63 %
Ratio of net investment income (loss) to average net assets	0.82 %	0.74 %	0.55 %	1.30 %	0.71 %
Portfolio turnover rate (c)	81 %	77 %	91 %	97 %	79 %

(a)	Based on average shares outstanding.
(b)	Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year.
(c)	Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions.

See Notes to Financial Statements

Page 57

First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
Financial Highlights (Continued)
For a share outstanding throughout each period

First Trust Materials AlphaDEX® Fund (FXZ)

	Year Ended July 31,
	2023	2022	2021	2020	2019
Net asset value, beginning of period	$61.97	$57.91	$35.85	$38.48	$43.31
Income from investment operations:
Net investment income (loss)	1.00 (a)	0.89	0.72	0.71	0.50
Net realized and unrealized gain (loss)	6.50	3.93 (b)	22.05	(2.57 )	(4.88 )
Total from investment operations	7.50	4.82	22.77	(1.86 )	(4.38 )
Distributions paid to shareholders from:
Net investment income	(1.33 )	(0.76 )	(0.71 )	(0.77 )	(0.45 )
Net asset value, end of period	$68.14	$61.97	$57.91	$35.85	$38.48
Total return (c)	12.41 %	8.37 %	64.02 %	(4.78 )%	(10.08 )%

Ratios to average net assets/supplemental data:
Net assets, end of period (in 000’s)	$589,445	$1,567,915	$460,362	$96,795	$167,369
Ratio of total expenses to average net assets	0.62 %	0.61 %	0.64 %	0.67 %	0.65 %
Ratio of net investment income (loss) to average net assets	1.58 %	1.69 %	1.39 %	1.95 %	1.27 %
Portfolio turnover rate (d)	35 %	60 %	77 %	84 %	82 %

(a)	Based on average shares outstanding.
(b)	The per share amount does not correlate with the aggregate realized and unrealized gain (loss) due to the timing of the Fund share sales and repurchases in relation to market value fluctuation of the underlying investments.
(c)	Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year.
(d)	Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions.

See Notes to Financial Statements

Page 58

First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
Financial Highlights (Continued)
For a share outstanding throughout each period

First Trust Technology AlphaDEX® Fund (FXL)

	Year Ended July 31,
	2023	2022	2021	2020	2019
Net asset value, beginning of period	$104.35	$125.53	$89.44	$69.32	$56.54
Income from investment operations:
Net investment income (loss)	0.23 (a)	0.34	(0.06 )	0.11	0.31
Net realized and unrealized gain (loss)	15.73	(21.21 )	36.15	20.17	12.75
Total from investment operations	15.96	(20.87 )	36.09	20.28	13.06
Distributions paid to shareholders from:
Net investment income	(0.26 )	(0.31 )	—	(0.16 )	(0.28 )
Net asset value, end of period	$120.05	$104.35	$125.53	$89.44	$69.32
Total return (b)	15.36 %	(16.64 )%	40.34 %	29.33 %	23.20 %

Ratios to average net assets/supplemental data:
Net assets, end of period (in 000’s)	$1,231,083	$1,143,164	$2,668,074	$2,205,109	$2,395,347
Ratio of total expenses to average net assets	0.62 %	0.61 %	0.61 %	0.61 %	0.61 %
Ratio of net investment income (loss) to average net assets	0.23 %	0.27 %	(0.05 )%	0.16 %	0.50 %
Portfolio turnover rate (c)	104 %	91 %	92 %	110 %	91 %

(a)	Based on average shares outstanding.
(b)	Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year.
(c)	Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions.

See Notes to Financial Statements

Page 59

First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
Financial Highlights (Continued)
For a share outstanding throughout each period

First Trust Utilities AlphaDEX® Fund (FXU)

	Year Ended July 31,
	2023	2022	2021	2020	2019
Net asset value, beginning of period	$34.33	$30.82	$27.54	$28.87	$26.37
Income from investment operations:
Net investment income (loss)	0.70 (a)	0.69	0.68	1.05	0.63
Net realized and unrealized gain (loss)	(1.75 )	3.47	3.32	(1.29 )	2.43
Total from investment operations	(1.05 )	4.16	4.00	(0.24 )	3.06
Distributions paid to shareholders from:
Net investment income	(0.72 )	(0.65 )	(0.72 )	(1.09 )	(0.56 )
Net asset value, end of period	$32.56	$34.33	$30.82	$27.54	$28.87
Total return (b)	(3.01 )%	13.69 %	14.80 %	(0.70 )%	11.71 %

Ratios to average net assets/supplemental data:
Net assets, end of period (in 000’s)	$306,069	$396,558	$174,146	$229,988	$1,349,541
Ratio of total expenses to average net assets	0.64 %	0.64 %	0.64 %	0.62 %	0.63 %
Ratio of net investment income (loss) to average net assets	2.13 %	2.22 %	2.33 %	2.42 %	2.23 %
Portfolio turnover rate (c)	46 %	48 %	38 %	64 %	60 %

(a)	Based on average shares outstanding.
(b)	Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year.
(c)	Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions.

See Notes to Financial Statements

Page 60

Notes to Financial Statements

First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
July 31, 2023

1. Organization

First Trust Exchange-Traded AlphaDEX® Fund (the “Trust”) is an open-end management investment company organized as a Massachusetts business trust on December 6, 2006, and is registered with the Securities and Exchange Commission under the Investment Company Act of 1940, as amended (the “1940 Act”).

The Trust currently consists of twenty exchange-traded funds considered either a Sector Fund or a Style Fund. This report covers the nine Sector Funds (each a “Fund” and collectively, the “Funds”) listed below. The shares of each Sector Fund are listed and traded on NYSE Arca, Inc.

First Trust Consumer Discretionary AlphaDEX® Fund – (ticker “FXD”)

First Trust Consumer Staples AlphaDEX® Fund – (ticker “FXG”)

First Trust Energy AlphaDEX® Fund – (ticker “FXN”)

First Trust Financials AlphaDEX® Fund – (ticker “FXO”)

First Trust Health Care AlphaDEX® Fund – (ticker “FXH”)

First Trust Industrials/Producer Durables AlphaDEX® Fund – (ticker “FXR”)

First Trust Materials AlphaDEX® Fund – (ticker “FXZ”)

First Trust Technology AlphaDEX® Fund – (ticker “FXL”)

First Trust Utilities AlphaDEX® Fund – (ticker “FXU”)

Each Fund represents a separate series of shares of beneficial interest in the Trust. Unlike conventional mutual funds, each Fund issues and redeems shares on a continuous basis at net asset value (“NAV”), only in large blocks of shares known as “Creation Units.” The investment objective of each Fund is to seek investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of the following indices:

Fund	Index
First Trust Consumer Discretionary AlphaDEX® Fund	StrataQuant® Consumer Discretionary Index(1)
First Trust Consumer Staples AlphaDEX® Fund	StrataQuant® Consumer Staples Index(1)
First Trust Energy AlphaDEX® Fund	StrataQuant® Energy Index(1)
First Trust Financials AlphaDEX® Fund	StrataQuant® Financials Index(1)
First Trust Health Care AlphaDEX® Fund	StrataQuant® Health Care Index(1)
First Trust Industrials/Producer Durables AlphaDEX® Fund	StrataQuant® Industrials Index(1)
First Trust Materials AlphaDEX® Fund	StrataQuant® Materials Index(1)
First Trust Technology AlphaDEX® Fund	StrataQuant® Technology Index(1)
First Trust Utilities AlphaDEX® Fund	StrataQuant® Utilities Index(1)

(1)

This index is developed, maintained and sponsored by ICE Data Indices, LLC or its affiliates (“IDI”), and licensed to First Trust

Portfolios L.P. (“FTP”), the distributor of the Trust, by IDI. IDI is a successor-in-interest to previous entities that maintained the

index in NYSE Group, Inc. and American Stock Exchange LLC.

2. Significant Accounting Policies

The Funds are each considered an investment company and follow accounting and reporting guidance under Financial Accounting Standards Board Accounting Standards Codification Topic 946, “Financial Services-Investment Companies.” The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of the financial statements. The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.

A. Portfolio Valuation

Each Fund’s NAV is determined daily as of the close of regular trading on the New York Stock Exchange (“NYSE”), normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. If the NYSE closes early on a valuation day, the NAV is determined as of that time. Each Fund’s NAV is calculated by dividing the value of all assets of each Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding.

Page 61

Notes to Financial Statements (Continued)

First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
July 31, 2023

Each Fund’s investments are valued daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value. Market value prices represent readily available market quotations such as last sale or official closing prices from a national or foreign exchange (i.e., a regulated market) and are primarily obtained from third-party pricing services. Fair value prices represent any prices not considered market value prices and are either obtained from a third-party pricing service or are determined by the Pricing Committee of the Funds’ investment advisor, First Trust Advisors L.P. (“First Trust” or the “Advisor”), in accordance with valuation procedures approved by the Trust’s Board of Trustees, and in accordance with provisions of the 1940 Act and rules thereunder. Investments valued by the Advisor’s Pricing Committee, if any, are footnoted as such in the footnotes to the Portfolio of Investments. Each Fund’s investments are valued as follows:

Common stocks and other equity securities listed on any national or foreign exchange (excluding The Nasdaq Stock Market LLC (“Nasdaq”) and the London Stock Exchange Alternative Investment Market (“AIM”)) are valued at the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the securities exchange representing the primary exchange for such securities.

Shares of open-end funds are valued based on NAV per share.

Equity securities traded in an over-the-counter market are valued at the close price or the last trade price.

Overnight repurchase agreements are valued at amortized cost when it represents the most appropriate reflection of fair market value.

Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Advisor’s Pricing Committee at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a third-party pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market or fair value price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund’s NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the third-party pricing service, does not reflect the security’s fair value. As a general principle, the current fair value of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. When fair value prices are used, generally they will differ from market quotations or official closing prices on the applicable exchanges. A variety of factors may be considered in determining the fair value of such securities, including, but not limited to, the following:

the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price;

the type of security;

the size of the holding;

the initial cost of the security;

transactions in comparable securities;

price quotes from dealers and/or third-party pricing services;

relationships among various securities;

information obtained by contacting the issuer, analysts, or the appropriate stock exchange;

an analysis of the issuer’s financial statements;

10)

the existence of merger proposals or tender offers that might affect the value of the security; and

11)

other relevant factors.

In addition, differences between the prices used to calculate a Fund’s NAV and the prices used by such Fund’s corresponding index could result in a difference between a Fund’s performance and the performance of its underlying index.

The Funds are subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows:

Page 62

Notes to Financial Statements (Continued)

First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
July 31, 2023

• Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis.

• Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following:

o Quoted prices for similar investments in active markets.

o Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly.

o Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates).

o Inputs that are derived principally from or corroborated by observable market data by correlation or other means.

• Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment.

The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value each Fund’s investments as of July 31, 2023, is included with each Fund’s Portfolio of Investments.

B. Securities Transactions and Investment Income

Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, if any, is recorded on the accrual basis.

Withholding taxes and tax reclaims on foreign dividends have been provided for in accordance with each Fund’s understanding of the applicable country’s tax rules and rates.

Distributions received from a Fund’s investments in real estate investment trusts (“REITs”) may be comprised of return of capital, capital gains and income. The actual character of the amounts received during the year is not known until after the REITs’ fiscal year end. A Fund records the character of distributions received from the REITs during the year based on estimates available. The characterization of distributions received by a Fund may be subsequently revised based on information received from the REITs after their tax reporting periods conclude.

C. Offsetting on the Statements of Assets and Liabilities

Offsetting Assets and Liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset on the Statements of Assets and Liabilities and disclose instruments and transactions subject to master netting or similar agreements. These disclosure requirements are intended to help investors and other financial statement users better assess the effect or potential effect of offsetting arrangements on a Fund’s financial position. The transactions subject to offsetting disclosures are derivative instruments, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions.

This disclosure, if applicable, is included within each Fund’s Portfolio of Investments under the heading “Offsetting Assets and Liabilities.” For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting arrangements (“MNAs”) or similar agreements on the Statements of Assets and Liabilities. MNAs provide the right, in the event of default (including bankruptcy and insolvency), for the non-defaulting counterparty to liquidate the collateral and calculate the net exposure to the defaulting party or request additional collateral.

D. Securities Lending

The Funds may lend securities representing up to 33 1/3% of the value of their total assets to broker-dealers, banks and other institutions to generate additional income. When a Fund loans its portfolio securities, it will receive, at the inception of each loan, collateral equal to at least 102% (for domestic securities) or 105% (for international securities) of the market value of the loaned securities. The collateral amount is valued at the beginning of each business day and is compared to the market value of the loaned securities from the prior business day to determine if additional collateral is required. If additional collateral is required, a request is sent to the borrower. Securities lending involves the risk that the Fund may lose money because the borrower of the Fund’s loaned securities fails to return the securities in a timely manner or at all. The Fund could also lose money in the event of (i) a decline in the

Page 63

Notes to Financial Statements (Continued)

First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
July 31, 2023

value of the collateral provided for the loaned securities, (ii) a decline in the value of any investments made with cash collateral or (iii) an increase in the value of the loaned securities if the borrower does not increase the collateral accordingly and the borrower fails to return the securities. These events could also trigger adverse tax consequences for the Funds.

Under the Funds’ Securities Lending Agency Agreement, the securities lending agent will generally bear the risk that a borrower may default on its obligation to return loaned securities. Brown Brothers Harriman & Co. (“BBH”) acts as the Funds’ securities lending agent and is responsible for executing the lending of the portfolio securities to creditworthy borrowers. The Funds, however, will be responsible for the risks associated with the investment of cash collateral. A Fund may lose money on its investment of cash collateral, which may affect its ability to repay the collateral to the borrower without the use of other Fund assets. Each Fund that engages in securities lending receives compensation (net of any rebate and securities lending agent fees) for lending its securities. Compensation can be in the form of fees received from the securities lending agent or dividends or interest earned from the investment of cash collateral. The fees received from the securities lending agent are accrued daily. The dividend and interest earned on the securities loaned is accounted for in the same manner as other dividend and interest income. At July 31, 2023, only FXD, FXN, FXO, and FXL had securities in the securities lending program. During the fiscal year ended July 31, 2023, all the Funds participated in the securities lending program.

In the event of a default by a borrower with respect to any loan, BBH will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If, despite such efforts by BBH to exercise these remedies, a Fund sustains losses as a result of a borrower’s default, BBH will indemnify the Fund by purchasing replacement securities at its own expense, or paying the Fund an amount equal to the market value of the replacement securities, subject to certain limitations which are set forth in detail in the Securities Lending Agency Agreement between the Trust on behalf of the Funds and BBH.

E. Repurchase Agreements

Repurchase agreements involve the purchase of securities subject to the seller’s agreement to repurchase the securities at a mutually agreed upon date and price, under the terms of a Master Repurchase Agreement (“MRA”). During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of a Fund, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. The underlying securities for all repurchase agreements are held at the Funds’ custodian or designated sub-custodians under tri-party repurchase agreements.

MRAs govern transactions between a Fund and select counterparties. The MRAs contain provisions for, among other things, initiation, income payments, events of default, and maintenance of collateral for repurchase agreements.

Repurchase agreements received for lending securities are collateralized by U.S. Treasury securities. The U.S. Treasury securities are held in a joint custody account at BBH on behalf of the Funds participating in the securities lending program. In the event the counterparty defaults on the repurchase agreement, the U.S. Treasury securities can either be maintained as part of a Fund’s portfolio or sold for cash. A Fund could suffer a loss to the extent that the proceeds from the sale of the underlying collateral held by the Fund are less than the repurchase price and the Fund’s costs associated with the delay and enforcement of the MRA.

While the Funds may invest in repurchase agreements, any repurchase agreements held by the Funds during the fiscal year ended July 31, 2023, were received as collateral for lending securities.

F. Dividends and Distributions to Shareholders

Dividends from net investment income of each Fund, if any, are declared and paid quarterly, or as the Board of Trustees may determine from time to time. Distributions of net realized gains earned by each Fund, if any, are distributed at least annually. A Fund may also designate a portion of the amount paid to redeeming shareholders as a distribution for tax purposes.

Distributions from net investment income and realized capital gains are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These permanent differences are primarily due to the varying treatment of income and gain/loss on significantly modified portfolio securities held by the Funds and have no impact on net assets or NAV per share. Temporary differences, which arise from recognizing certain items of income, expense and gain/loss in different periods for financial statement and tax purposes, will reverse at some time in the future.

Page 64

Notes to Financial Statements (Continued)

First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
July 31, 2023

The tax character of distributions paid by each Fund during the fiscal year ended July 31, 2023 was as follows:

	Distributions paid from Ordinary Income	Distributions paid from Capital Gains	Distributions paid from Return of Capital
First Trust Consumer Discretionary AlphaDEX® Fund	$4,813,851	$—	$—
First Trust Consumer Staples AlphaDEX® Fund	13,063,057	—	—
First Trust Energy AlphaDEX® Fund	40,310,566	—	—
First Trust Financials AlphaDEX® Fund	36,401,587	—	—
First Trust Health Care AlphaDEX® Fund	4,384,241	—	—
First Trust Industrials/Producer Durables AlphaDEX® Fund	13,417,111	—	—
First Trust Materials AlphaDEX® Fund	25,653,523	—	—
First Trust Technology AlphaDEX® Fund	2,735,225	—	—
First Trust Utilities AlphaDEX® Fund	8,168,861	—	—

The tax character of distributions paid by each Fund during the fiscal year ended July 31, 2022 was as follows:

	Distributions paid from Ordinary Income	Distributions paid from Capital Gains	Distributions paid from Return of Capital
First Trust Consumer Discretionary AlphaDEX® Fund	$13,315,221	$—	$—
First Trust Consumer Staples AlphaDEX® Fund	4,675,407	—	—
First Trust Energy AlphaDEX® Fund	19,922,141	—	—
First Trust Financials AlphaDEX® Fund	28,346,142	—	—
First Trust Health Care AlphaDEX® Fund	—	—	—
First Trust Industrials/Producer Durables AlphaDEX® Fund	11,751,221	—	—
First Trust Materials AlphaDEX® Fund	12,438,026	—	—
First Trust Technology AlphaDEX® Fund	4,345,452	—	—
First Trust Utilities AlphaDEX® Fund	4,580,661	—	—

As of July 31, 2023, the components of distributable earnings on a tax basis for each Fund were as follows:

	Undistributed Ordinary Income	Accumulated Capital and Other Gain (Loss)	Net Unrealized Appreciation (Depreciation)
First Trust Consumer Discretionary AlphaDEX® Fund	$421,718	$(468,248,520 )	$155,902,281
First Trust Consumer Staples AlphaDEX® Fund	1,067,475	(273,317,250 )	19,532,663
First Trust Energy AlphaDEX® Fund	572,144	(517,973,838 )	8,284,614
First Trust Financials AlphaDEX® Fund	3,445,116	(435,702,005 )	(44,242,109 )
First Trust Health Care AlphaDEX® Fund	12,215	(643,402,809 )	79,181,916
First Trust Industrials/Producer Durables AlphaDEX® Fund	794,464	(412,619,937 )	204,669,297
First Trust Materials AlphaDEX® Fund	992,414	(259,606,707 )	(41,451,602 )
First Trust Technology AlphaDEX® Fund	—	(730,916,415 )	233,878,846
First Trust Utilities AlphaDEX® Fund	730,621	(201,998,346 )	(10,735,832 )

G. Income Taxes

Each Fund intends to continue to qualify as a regulated investment company by complying with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended, which includes distributing substantially all of its net investment income and net realized gains to shareholders. Accordingly, no provision has been made for federal and state income taxes. However, due to the timing and amount of distributions, each Fund may be subject to an excise tax of 4% of the amount by which approximately 98% of each Fund’s taxable income exceeds the distributions from such taxable income for the calendar year.

Page 65

Notes to Financial Statements (Continued)

First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
July 31, 2023

The Funds are subject to accounting standards that establish a minimum threshold for recognizing, and a system for measuring, the benefits of a tax position taken or expected to be taken in a tax return. The taxable years ended 2020, 2021, 2022, and 2023 remain open to federal and state audit. As of July 31, 2023, management has evaluated the application of these standards to the Funds and has determined that no provision for income tax is required in the Funds’ financial statements for uncertain tax positions.

Each Fund intends to utilize provisions of the federal income tax laws, which allow it to carry a realized capital loss forward indefinitely following the year of the loss and offset such loss against any future realized capital gains. Each Fund is subject to certain limitations under U.S. tax rules on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership. At July 31, 2023, for federal income tax purposes, each applicable Fund had a capital loss carryforward available that is shown in the following table, to the extent provided by regulations, to offset future capital gains. To the extent that these loss carryforwards are used to offset future capital gains, it is probable that the capital gains so offset will not be distributed to each applicable Fund’s shareholders.

	Non-Expiring Capital Loss Carryforwards
First Trust Consumer Discretionary AlphaDEX® Fund	$468,248,520
First Trust Consumer Staples AlphaDEX® Fund	273,317,250
First Trust Energy AlphaDEX® Fund	517,973,838
First Trust Financials AlphaDEX® Fund	435,702,005
First Trust Health Care AlphaDEX® Fund	643,402,809
First Trust Industrials/Producer Durables AlphaDEX® Fund	412,619,937
First Trust Materials AlphaDEX® Fund	259,606,707
First Trust Technology AlphaDEX® Fund	730,916,415
First Trust Utilities AlphaDEX® Fund	201,998,346

Certain losses realized during the current fiscal year may be deferred and treated as occurring on the first day of the following fiscal year for federal income tax purposes. For the fiscal year ended July 31, 2023, the Funds had no net late year ordinary or capital losses.

In order to present paid-in capital and accumulated distributable earnings (loss) (which consists of accumulated net investment income (loss), accumulated net realized gain (loss) on investments and net unrealized appreciation (depreciation) on investments) on the Statements of Assets and Liabilities that more closely represent their tax character, certain adjustments have been made to paid-in capital, accumulated net investment income (loss) and accumulated net realized gain (loss) on investments. These adjustments are primarily due to the difference between book and tax treatments of income and gains on various investment securities held by the Funds and in-kind transactions. The results of operations and net assets were not affected by these adjustments. For the fiscal year ended July 31, 2023, the adjustments for each Fund were as follows:

	Accumulated Net Investment Income (Loss)	Accumulated Net Realized Gain (Loss) on Investments	Paid-In Capital
First Trust Consumer Discretionary AlphaDEX® Fund	$—	$(9,547,690 )	$9,547,690
First Trust Consumer Staples AlphaDEX® Fund	—	(22,599,705 )	22,599,705
First Trust Energy AlphaDEX® Fund	—	(194,720,360 )	194,720,360
First Trust Financials AlphaDEX® Fund	854,490	94,520,289	(95,374,779 )
First Trust Health Care AlphaDEX® Fund	—	(42,163,398 )	42,163,398
First Trust Industrials/Producer Durables AlphaDEX® Fund	—	(115,739,840 )	115,739,840
First Trust Materials AlphaDEX® Fund	—	31,951,030	(31,951,030 )
First Trust Technology AlphaDEX® Fund	332,078	(16,850,482 )	16,518,404
First Trust Utilities AlphaDEX® Fund	—	(16,602,708 )	16,602,708

Page 66

Notes to Financial Statements (Continued)

First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
July 31, 2023

As of July 31, 2023, the aggregate cost, gross unrealized appreciation, gross unrealized depreciation, and net unrealized appreciation/(depreciation) on investments (including short positions and derivatives, if any) for federal income tax purposes were as follows:

	Tax Cost	Gross Unrealized Appreciation	Gross Unrealized (Depreciation)	Net Unrealized Appreciation (Depreciation)
First Trust Consumer Discretionary AlphaDEX® Fund	$1,353,179,462	$202,313,765	$(46,411,484 )	$155,902,281
First Trust Consumer Staples AlphaDEX® Fund	636,789,322	52,859,236	(33,326,573 )	19,532,663
First Trust Energy AlphaDEX® Fund	567,900,294	38,914,505	(30,629,891 )	8,284,614
First Trust Financials AlphaDEX® Fund	981,404,334	51,742,204	(95,984,313 )	(44,242,109 )
First Trust Health Care AlphaDEX® Fund	1,443,268,953	176,115,372	(96,933,456 )	79,181,916
First Trust Industrials/Producer Durables AlphaDEX® Fund	1,558,574,549	246,934,850	(42,265,553 )	204,669,297
First Trust Materials AlphaDEX® Fund	631,262,089	29,469,600	(70,921,202 )	(41,451,602 )
First Trust Technology AlphaDEX® Fund	1,006,401,588	256,397,190	(22,518,344 )	233,878,846
First Trust Utilities AlphaDEX® Fund	316,828,842	12,242,863	(22,978,695 )	(10,735,832 )

H. Expenses

Expenses that are directly related to one of the Funds are charged directly to the respective Fund. General expenses of the Trust are allocated to all the Funds based upon the net assets of each Fund.

FTP has entered into licensing agreements with IDI for each of the Funds. The license agreements allow for the use by FTP of certain trademarks and trade names of IDI. The Funds and First Trust are sub-licensees to the license agreement. The Funds are required to pay licensing fees, which are shown on the Statements of Operations.

3. Investment Advisory Fee, Affiliated Transactions and Other Fee Arrangements

First Trust, the investment advisor to the Funds, is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. The Charger Corporation is an Illinois corporation controlled by James A. Bowen, Chief Executive Officer of First Trust. First Trust is responsible for the selection and ongoing monitoring of the securities in each Fund’s portfolio, managing the Funds’ business affairs and providing certain administrative services necessary for the management of the Funds.

Effective November 1, 2022, the management fee payable by each Fund to First Trust for these services will be reduced at certain levels of each Fund’s net assets (“breakpoints”) and calculated pursuant to the schedule below:

Breakpoints
Fund net assets up to and including $2.5 billion	0.5000 %
Fund net assets greater than $2.5 billion up to and including $5 billion	0.4875 %
Fund net assets greater than $5 billion up to and including $7.5 billion	0.4750 %
Fund net assets greater than $7.5 billion up to and including $10 billion	0.4625 %
Fund net assets greater than $10 billion up to and including $15 billion	0.4500 %
Fund net assets greater than $15 billion	0.4250 %

Prior to November 1, 2022, First Trust was paid an annual management fee of 0.50% of each Fund’s average daily net assets.

The Trust and First Trust have entered into an Expense Reimbursement, Fee Waiver and Recovery Agreement (“Recovery Agreement”) in which First Trust has agreed to waive fees and/or reimburse Fund expenses to the extent that the operating expenses of each Fund (excluding interest expense, brokerage commissions and other trading expenses, acquired fund fees and expenses, taxes and extraordinary expenses) exceed 0.70% of average daily net assets per year (the “Expense Cap”). The Expense Cap will be in effect until at least November 30, 2024. For the fiscal year ended July 31, 2023, there were no fees waived or expenses reimbursed by First Trust for these Funds.

Page 67

Notes to Financial Statements (Continued)

First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
July 31, 2023

Prior to November 1, 2022, expenses reimbursed and fees waived by First Trust under the Recovery Agreement were subject to recovery by First Trust for up to three years from the date the fee or expense was incurred, but no reimbursement payment would be made by a Fund if it resulted in the Fund’s expenses exceeding (i) the applicable expense limitation in place for the most recent fiscal year for which such expense limitation was in place, (ii) the applicable expense limitation in place at the time the fees were waived, or (iii) the current expense limitation. These amounts would be included in “Expenses previously waived or reimbursed” on the Statements of Operations. Effective November 1, 2022, in connection with the introduction of breakpoints discussed above, First Trust has agreed to remove its ability to recover previous expenses borne and fees waived under the Recovery Agreement.

The Trust has multiple service agreements with The Bank of New York Mellon (“BNYM”). Under the service agreements, BNYM performs custodial, fund accounting, certain administrative services, and transfer agency services for each Fund. As custodian, BNYM is responsible for custody of each Fund’s assets. As fund accountant and administrator, BNYM is responsible for maintaining the books and records of each Fund’s securities and cash. As transfer agent, BNYM is responsible for maintaining shareholder records for each Fund. BNYM is a subsidiary of The Bank of New York Mellon Corporation, a financial holding company.

Each Trustee who is not an officer or employee of First Trust, any sub-advisor or any of their affiliates (“Independent Trustees”) is paid a fixed annual retainer that is allocated equally among each fund in the First Trust Fund Complex. Each Independent Trustee is also paid an annual per fund fee that varies based on whether the fund is a closed-end or other actively managed fund, a target outcome fund or an index fund.

Additionally, the Lead Independent Trustee and the Chairs of the Audit Committee, Nominating and Governance Committee and Valuation Committee are paid annual fees to serve in such capacities, with such compensation allocated pro rata among each fund in the First Trust Fund Complex based on net assets. Independent Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The Lead Independent Trustee and Committee Chairs rotate every three years. The officers and “Interested” Trustee receive no compensation from the Trust for acting in such capacities.

4. Purchases and Sales of Securities

For the fiscal year ended July 31, 2023, the cost of purchases and proceeds from sales of investments for each Fund, excluding short-term investments and in-kind transactions, were as follows:

	Purchases	Sales
First Trust Consumer Discretionary AlphaDEX® Fund	$801,285,842	$800,474,588
First Trust Consumer Staples AlphaDEX® Fund	425,902,149	424,928,249
First Trust Energy AlphaDEX® Fund	758,310,950	755,279,295
First Trust Financials AlphaDEX® Fund	891,953,700	891,850,073
First Trust Health Care AlphaDEX® Fund	1,445,211,874	1,445,629,478
First Trust Industrials/Producer Durables AlphaDEX® Fund	1,280,192,168	1,278,382,321
First Trust Materials AlphaDEX® Fund	478,354,658	483,146,098
First Trust Technology AlphaDEX® Fund	1,111,441,170	1,110,081,738
First Trust Utilities AlphaDEX® Fund	170,435,004	169,576,878

For the fiscal year ended July 31, 2023, the cost of in-kind purchases and proceeds from in-kind sales for each Fund were as follows:

	Purchases	Sales
First Trust Consumer Discretionary AlphaDEX® Fund	$1,139,452,550	$225,393,144
First Trust Consumer Staples AlphaDEX® Fund	186,176,839	182,493,713
First Trust Energy AlphaDEX® Fund	609,982,951	1,676,517,783
First Trust Financials AlphaDEX® Fund	1,462,798,642	1,487,189,186
First Trust Health Care AlphaDEX® Fund	248,273,324	197,091,792
First Trust Industrials/Producer Durables AlphaDEX® Fund	632,276,041	665,034,173
First Trust Materials AlphaDEX® Fund	528,961,802	1,514,292,835
First Trust Technology AlphaDEX® Fund	74,566,772	142,553,741
First Trust Utilities AlphaDEX® Fund	161,967,395	225,330,816

Page 68

Notes to Financial Statements (Continued)

First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
July 31, 2023

5. Creations, Redemptions and Transaction Fees

Each Fund generally issues and redeems its shares in primary market transactions through a creation and redemption mechanism and does not sell or redeem individual shares. Instead, financial entities known as “Authorized Participants” have contractual arrangements with a Fund or one of the Fund’s service providers to purchase and redeem Fund shares directly with the Fund in large blocks of shares known as “Creation Units.” Prior to the start of trading on every business day, a Fund publishes through the National Securities Clearing Corporation (“NSCC”) the “basket” of securities, cash or other assets that it will accept in exchange for a Creation Unit of the Fund’s shares. An Authorized Participant that wishes to effectuate a creation of a Fund’s shares deposits with the Fund the “basket” of securities, cash or other assets identified by the Fund that day, and then receives the Creation Unit of the Fund’s shares in return for those assets. After purchasing a Creation Unit, the Authorized Participant may continue to hold the Fund’s shares or sell them in the secondary market. The redemption process is the reverse of the purchase process:the Authorized Participant redeems a Creation Unit of a Fund’s shares for a basket of securities, cash or other assets. The combination of the creation and redemption process with secondary market trading in a Fund’s shares and underlying securities provides arbitrage opportunities that are designed to help keep the market price of a Fund’s shares at or close to the NAV per share of the Fund.

Each Fund imposes fees in connection with the purchase of Creation Units. These fees may vary based upon various fact-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price for each Creation Unit will equal the daily NAV per share of a Fund times the number of shares in a Creation Unit, plus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees, stamp taxes and part or all of the spread between the expected bid and offer side of the market related to the securities comprising the creation basket.

Each Fund also imposes fees in connection with the redemption of Creation Units. These fees may vary based upon various fact-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price received for each Creation Unit will equal the daily NAV per share of a Fund times the number of shares in a Creation Unit, minus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees, stamp taxes and part or all of the spread between the expected bid and offer side of the market related to the securities comprising the redemption basket. Investors who use the services of a broker or other such intermediary in addition to an Authorized Participant to effect a redemption of a Creation Unit may also be assessed an amount to cover the cost of such services. The redemption fee charged by a Fund will comply with Rule 22c-2 of the 1940 Act which limits redemption fees to no more than 2% of the value of the shares redeemed.

6. Distribution Plan

The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are authorized to pay an amount up to 0.25% of their average daily net assets each year to reimburse FTP, the distributor of the Funds, for amounts expended to finance activities primarily intended to result in the sale of Creation Units or the provision of investor services. FTP may also use this amount to compensate securities dealers or other persons that are Authorized Participants for providing distribution assistance, including broker-dealer and shareholder support and educational and promotional services.

No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual arrangement, no 12b-1 fees will be paid any time before November 30, 2024.

7. Indemnification

The Trust, on behalf of the Funds, has a variety of indemnification obligations under contracts with its service providers. The Trust’s maximum exposure under these arrangements is unknown. However, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.

8. Subsequent Events

Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements that have not already been disclosed.

Page 69

Report of Independent Registered Public Accounting Firm

To the Shareholders and the Board of Trustees of First Trust Exchange-Traded AlphaDEX® Fund:

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statements of assets and liabilities of First Trust Consumer Discretionary AlphaDEX® 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, and First Trust Utilities AlphaDEX® Fund (the “Funds”), each a series of the First Trust Exchange-Traded AlphaDEX® Fund, including the portfolios of investments, as of July 31, 2023, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the Funds as of July 31, 2023, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of July 31, 2023, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

Chicago, Illinois
September 22, 2023

We have served as the auditor of one or more First Trust investment companies since 2001.

Page 70

Additional Information

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

Proxy Voting Policies and Procedures

A description of the policies and procedures that the Trust uses to determine how to vote proxies and information on how each Fund voted proxies relating to its portfolio securities during the most recent 12-month period ended June 30 is available (1) without charge, upon request, by calling (800) 988-5891; (2) on each Fund’s website at www.ftportfolios.com; and (3) on the Securities and Exchange Commission’s (“SEC”) website at www.sec.gov.

Portfolio Holdings

Each Fund files portfolio holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be publicly available on the SEC’s website at www.sec.gov. Each Fund’s complete schedule of portfolio holdings for the second and fourth quarters of each fiscal year is included in the semi-annual and annual reports to shareholders, respectively, and is filed with the SEC on Form N-CSR. The semi-annual and annual report for each Fund is available to investors within 60 days after the period to which it relates. Each Fund’s Forms N-PORT and Forms N-CSR are available on the SEC’s website listed above.

Federal Tax Information

For the taxable year ended July 31, 2023, the following percentages of income dividend paid by the Funds qualify for the dividends received deduction available to corporations:

	Dividends Received Deduction
First Trust Consumer Discretionary AlphaDEX® Fund	100.00 %
First Trust Consumer Staples AlphaDEX® Fund	100.00 %
First Trust Energy AlphaDEX® Fund	100.00 %
First Trust Financials AlphaDEX® Fund	83.68 %
First Trust Health Care AlphaDEX® Fund	100.00 %
First Trust Industrials/Producer Durables AlphaDEX® Fund	100.00 %
First Trust Materials AlphaDEX® Fund	100.00 %
First Trust Technology AlphaDEX® Fund	100.00 %
First Trust Utilities AlphaDEX® Fund	100.00 %

For the taxable year ended July 31, 2023, the following percentages of income dividend paid by the Funds are hereby designated as qualified dividend income:

	Qualified Dividend Income
First Trust Consumer Discretionary AlphaDEX® Fund	100.00 %
First Trust Consumer Staples AlphaDEX® Fund	100.00 %
First Trust Energy AlphaDEX® Fund	100.00 %
First Trust Financials AlphaDEX® Fund	83.68 %
First Trust Health Care AlphaDEX® Fund	100.00 %
First Trust Industrials/Producer Durables AlphaDEX® Fund	100.00 %
First Trust Materials AlphaDEX® Fund	100.00 %
First Trust Technology AlphaDEX® Fund	100.00 %
First Trust Utilities AlphaDEX® Fund	100.00 %

A portion of each of the Funds’ 2023 ordinary dividends (including short-term capital gains) paid to its shareholders during the fiscal year ended July 31, 2023, may be eligible for the Qualified Business Income Deduction (QBI) under the Internal Revenue Code of 1986, as amended, Section 199A for the aggregate dividends each Fund received from the underlying Real Estate Investment Trusts (REITs) these Funds invest in.

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Risk Considerations

Risks are inherent in all investing. Certain general risks that may be applicable to a Fund are identified below, but not all of the material risks relevant to each Fund are included in this report and not all of the risks below apply to each Fund. The material risks of investing in each Fund are spelled out in its prospectus, statement of additional information and other regulatory filings. Before investing, you should consider each Fund’s investment objective, risks, charges and expenses, and read each Fund’s prospectus and statement of additional information carefully. You can download each Fund’s prospectus at www.ftportfolios.com or contact First Trust Portfolios L.P. at (800) 621-1675 to request a prospectus, which contains this and other information about each Fund.

Concentration Risk. To the extent that a fund is able to invest a significant percentage of its assets in a single asset class or the securities of issuers within the same country, state, region, industry or sector, an adverse economic, business or political development may affect the value of the fund’s investments more than if the fund were more broadly diversified. A fund that tracks an index will be concentrated to the extent the fund’s corresponding index is concentrated. A concentration makes a fund more susceptible to any single occurrence and may subject the fund to greater market risk than a fund that is more broadly diversified.

Credit Risk. Credit risk is the risk that an issuer of a security will be unable or unwilling to make dividend, interest and/or principal payments when due and the related risk that the value of a security may decline because of concerns about the issuer’s ability to make such payments.

Cyber Security Risk. The funds are susceptible to potential operational risks through breaches in cyber security. A breach in cyber security refers to both intentional and unintentional events that may cause a fund to lose proprietary information, suffer data corruption or lose operational capacity. Such events could cause a fund to incur regulatory penalties, reputational damage, additional compliance costs associated with corrective measures and/or financial loss. In addition, cyber security breaches of a fund’s third-party service providers, such as its administrator, transfer agent, custodian, or sub-advisor, as applicable, or issuers in which the fund invests, can also subject a fund to many of the same risks associated with direct cyber security breaches.

Defined Outcome Funds Risk. To the extent a fund’s investment strategy is designed to deliver returns tied to the price performance of an underlying ETF, an investor may not realize the returns the fund seeks to achieve if that investor does not hold shares for the entire target outcome period. In the event an investor purchases shares after the first day of the target outcome period or sells shares prior to the end of the target outcome period, the buffer that the fund seeks to provide against a decline in the value of the underlying ETF may not be available, the enhanced returns that the fund seeks to provide (if any) may not be available and the investor may not participate in a gain in the value of the underlying ETF up to the cap for the investor’s investment period. Additionally, the fund will not participate in gains of the underlying ETF above the cap and a shareholder may lose their entire investment. If the fund seeks enhanced returns, there are certain time periods when the value of the fund may fall faster than the value of the underlying ETF, and it is very unlikely that, on any given day during which the underlying ETF share price increases in value, the fund’s share price will increase at the same rate as the enhanced returns sought by the fund, which is designed for an entire target outcome period. Trading flexible exchange options involves risks different from, or possibly greater than, the risks associated with investing directly in securities, such as less liquidity and correlation and valuation risks. A fund may experience substantial downside from specific flexible exchange option positions and certain positions may expire worthless.

Derivatives Risk. To the extent a fund uses derivative instruments such as futures contracts, options contracts and swaps, the fund may experience losses because of adverse movements in the price or value of the underlying asset, index or rate, which may be magnified by certain features of the derivative. These risks are heightened when a fund’s portfolio managers use derivatives to enhance the fund’s return or as a substitute for a position or security, rather than solely to hedge (or offset) the risk of a position or security held by the fund.

Equity Securities Risk. To the extent a fund invests in equity securities, the value of the fund’s shares will fluctuate with changes in the value of the equity securities. Equity securities prices fluctuate for several reasons, including changes in investors’ perceptions of the financial condition of an issuer or the general condition of the relevant stock market, such as market volatility, or when political or economic events affecting the issuers occur. In addition, common stock prices may be particularly sensitive to rising interest rates, as the cost of capital rises and borrowing costs increase. Equity securities may decline significantly in price over short or extended periods of time, and such declines may occur in the equity market as a whole, or they may occur in only a particular country, company, industry or sector of the market.

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ETF Risk. The shares of an ETF trade like common stock and represent an interest in a portfolio of securities. The risks of owning an ETF generally reflect the risks of owning the underlying securities, although lack of liquidity in an ETF could result in it being more volatile and ETFs have management fees that increase their costs. Shares of an ETF trade on an exchange at market prices rather than net asset value, which may cause the shares to trade at a price greater than net asset value (premium) or less than net asset value (discount). In times of market stress, decisions by market makers to reduce or step away from their role of providing a market for an ETF’s shares, or decisions by an ETF’s authorized participants that they are unable or unwilling to proceed with creation and/or redemption orders of an ETF’s shares, could result in shares of the ETF trading at a discount to net asset value and in greater than normal intraday bid-ask spreads.

Fixed Income Securities Risk. To the extent a fund invests in fixed income securities, the fund will be subject to credit risk, income risk, interest rate risk, liquidity risk and prepayment risk. Income risk is the risk that income from a fund’s fixed income investments could decline during periods of falling interest rates. Interest rate risk is the risk that the value of a fund’s fixed income securities will decline because of rising interest rates. Liquidity risk is the risk that a security cannot be purchased or sold at the time desired, or cannot be purchased or sold without adversely affecting the price. Prepayment risk is the risk that the securities will be redeemed or prepaid by the issuer, resulting in lower interest payments received by the fund. In addition to these risks, high yield securities, or “junk” bonds, are subject to greater market fluctuations and risk of loss than securities with higher ratings, and the market for high yield securities is generally smaller and less liquid than that for investment grade securities.

Index or Model Constituent Risk. Certain funds may be a constituent of one or more indices or ETF models. As a result, such a fund may be included in one or more index-tracking exchange-traded funds or mutual funds. Being a component security of such a vehicle could greatly affect the trading activity involving a fund, the size of the fund and the market volatility of the fund. Inclusion in an index could increase demand for the fund and removal from an index could result in outsized selling activity in a relatively short period of time. As a result, a fund’s net asset value could be negatively impacted and the fund’s market price may be significantly below its net asset value during certain periods. In addition, index rebalances may potentially result in increased trading activity in a fund’s shares.

Index Provider Risk. To the extent a fund seeks to track an index, it is subject to Index Provider Risk. There is no assurance that the Index Provider will compile the Index accurately, or that the Index will be determined, maintained, constructed, reconstituted, rebalanced, composed, calculated or disseminated accurately. To correct any such error, the Index Provider may carry out an unscheduled rebalance or other modification of the Index constituents or weightings, which may increase the fund’s costs. The Index Provider does not provide any representation or warranty in relation to the quality, accuracy or completeness of data in the Index, and it does not guarantee that the Index will be calculated in accordance with its stated methodology. Losses or costs associated with any Index Provider errors generally will be borne by the fund and its shareholders.

Investment Companies Risk. To the extent a fund invests in the securities of other investment vehicles, the fund will incur additional fees and expenses that would not be present in a direct investment in those investment vehicles. Furthermore, the fund’s investment performance and risks are directly related to the investment performance and risks of the investment vehicles in which the fund invests.

LIBOR Risk. To the extent a fund invests in floating or variable rate obligations that use the London Interbank Offered Rate (“LIBOR”) as a reference interest rate, it is subject to LIBOR Risk. The United Kingdom’s Financial Conduct Authority, which regulates LIBOR, has ceased making LIBOR available as a reference rate over a phase-out period that began December 31, 2021. There is no assurance that any alternative reference rate, including the Secured Overnight Financing Rate (“SOFR”) will be similar to or produce the same value or economic equivalence as LIBOR or that instruments using an alternative rate will have the same volume or liquidity. The unavailability or replacement of LIBOR may affect the value, liquidity or return on certain fund investments and may result in costs incurred in connection with closing out positions and entering into new trades. Any potential effects of the transition away from LIBOR on the fund or on certain instruments in which the fund invests can be difficult to ascertain, and they may vary depending on a variety of factors, and they could result in losses to the fund.

Management Risk. To the extent that a fund is actively managed, it is subject to management risk. In managing an actively-managed fund’s investment portfolio, the fund’s portfolio managers will apply investment techniques and risk analyses that may not have the desired result. There can be no guarantee that a fund will meet its investment objective.

Market Risk. Market risk is the risk that a particular security, or shares of a fund in general, may fall in value. Securities held by a fund, as well as shares of a fund itself, are subject to market fluctuations caused by factors such as general economic conditions,

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political events, regulatory or market developments, changes in interest rates and perceived trends in securities prices. Shares of a fund could decline in value or underperform other investments as a result of the risk of loss associated with these market fluctuations. In addition, local, regional or global events such as war, acts of terrorism, spread of infectious diseases or other public health issues, recessions, or other events could have a significant negative impact on a fund and its investments. Such events may affect certain geographic regions, countries, sectors and industries more significantly than others. In February 2022, Russia invaded Ukraine which has caused and could continue to cause significant market disruptions and volatility within the markets in Russia, Europe, and the United States. The hostilities and sanctions resulting from those hostilities could have a significant impact on certain fund investments as well as fund performance. The COVID-19 global pandemic and the ensuing policies enacted by governments and central banks have caused and may continue to cause significant volatility and uncertainty in global financial markets. While the U.S. has resumed “reasonably” normal business activity, many countries continue to impose lockdown measures. Additionally, there is no guarantee that vaccines will be effective against emerging variants of the disease. These events also adversely affect the prices and liquidity of a fund’s portfolio securities or other instruments and could result in disruptions in the trading markets. Any of such circumstances could have a materially negative impact on the value of a fund’s shares and result in increased market volatility. During any such events, a fund’s shares may trade at increased premiums or discounts to their net asset value and the bid/ask spread on a fund’s shares may widen.

Non-U.S. Securities Risk. To the extent a fund invests in non-U.S. securities, it is subject to additional risks not associated with securities of domestic issuers. Non-U.S. securities are subject to higher volatility than securities of domestic issuers due to:possible adverse political, social or economic developments; restrictions on foreign investment or exchange of securities; capital controls; lack of liquidity; currency exchange rates; excessive taxation; government seizure of assets; the imposition of sanctions by foreign governments; different legal or accounting standards; and less government supervision and regulation of exchanges in foreign countries. Investments in non-U.S. securities may involve higher costs than investments in U.S. securities, including higher transaction and custody costs, as well as additional taxes imposed by non-U.S. governments. These risks may be heightened for securities of companies located, or with significant operations, in emerging market countries.

Operational Risk. Each fund is subject to risks arising from various operational factors, including, but not limited to, human error, processing and communication errors, errors of a fund’s service providers, counterparties or other third-parties, failed or inadequate processes and technology or systems failures. Each fund relies on third-parties for a range of services, including custody. Any delay or failure relating to engaging or maintaining such service providers may affect a fund’s ability to meet its investment objective. Although the funds and the funds’ investment advisor seek to reduce these operational risks through controls and procedures, there is no way to completely protect against such risks.

Passive Investment Risk. To the extent a fund seeks to track an index, the fund will invest in the securities included in, or representative of, the index regardless of their investment merit. A fund generally will not attempt to take defensive positions in declining markets.

Preferred Securities Risk. Preferred securities combine some of the characteristics of both common stocks and bonds. Preferred securities are typically subordinated to bonds and other debt securities in a company’s capital structure in terms of priority to corporate income, subjecting them to greater credit risk than those debt securities. Generally, holders of preferred securities have no voting rights with respect to the issuing company unless preferred dividends have been in arrears for a specified number of periods, at which time the preferred security holders may obtain limited rights. In certain circumstances, an issuer of preferred securities may defer payment on the securities and, in some cases, redeem the securities prior to a specified date. Preferred securities may also be substantially less liquid than other securities, including common stock.

Valuation Risk. The valuation of certain securities may carry more risk than that of common stock. Uncertainties in the conditions of the financial markets, unreliable reference data, lack of transparency and inconsistency of valuation models and processes may lead to inaccurate asset pricing. A fund may hold investments in sizes smaller than institutionally sized round lot positions (sometimes referred to as odd lots). However, third-party pricing services generally provide evaluations on the basis of institutionally-sized round lots. If a fund sells certain of its investments in an odd lot transaction, the sale price may be less than the value at which such securities have been held by the fund. Odd lots often trade at lower prices than institutional round lots. There is no assurance that the fund will be able to sell a portfolio security at the price established by the pricing service, which could result in a loss to the fund.

NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE

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Remuneration

First Trust Advisors L.P. (“First Trust”) is authorised and regulated by the U.S. Securities and Exchange Commission and is entitled to market shares of the First Trust Exchange-Traded AlphaDEX® Fund funds it manages (the “Funds”) in certain member states in the European Economic Area in accordance with the cooperation arrangements in Article 42 of the Alternative Investment Fund Managers Directive (the “Directive”). First Trust is required under the Directive to make disclosures in respect of remuneration. The following disclosures are made in line with First Trust’s interpretation of currently available regulatory guidance on remuneration disclosures.

During the year ended December 31, 2022, the amount of remuneration paid (or to be paid) by First Trust Advisors L.P. in respect of the Funds is $4,970,466. This figure is comprised of $192,688 paid (or to be paid) in fixed compensation and $4,777,778 paid (or to be paid) in variable compensation. There were a total of 24 beneficiaries of the remuneration described above. Those amounts include $2,621,438 paid (or to be paid) to senior management of First Trust Advisors L.P. and $2,349,028 paid (or to be paid) to other employees whose professional activities have a material impact on the risk profiles of First Trust Advisors L.P. or the Funds (collectively, “Code Staff”).

Code Staff included in the aggregated figures disclosed above are rewarded in line with First Trust’s remuneration policy (the “Remuneration Policy”) which is determined and implemented by First Trust’s senior management. The Remuneration Policy reflects First Trust’s ethos of good governance and encapsulates the following principal objectives:

to provide a clear link between remuneration and performance of First Trust and to avoid rewarding for failure;

ii.

to promote sound and effective risk management consistent with the risk profiles of the funds managed by First Trust; and

iii.

to remunerate staff in line with the business strategy, objectives, values and interests of First Trust and the funds managed by First Trust in a manner that avoids conflicts of interest.

First Trust assesses various risk factors which it is exposed to when considering and implementing remuneration for Code Staff and considers whether any potential award to such person(s) would give rise to a conflict of interest. First Trust does not reward failure, or consider the taking of risk or failure to take risk in its remuneration of Code Staff.

First Trust assesses performance for the purposes of determining payments in respect of performance-related remuneration of Code Staff by reference to a broad range of measures including (i) individual performance (using financial and non-financial criteria), and (ii) the overall performance of First Trust. Remuneration is not based upon the performance of the Funds.

The elements of remuneration are balanced between fixed and variable and the senior management sets fixed salaries at a level sufficient to ensure that variable remuneration incentivises and rewards strong individual performance but does not encourage excessive risk taking.

No individual is involved in setting his or her own remuneration.

Advisory Agreement

Board Considerations Regarding Approval of the Continuation of the Investment Management Agreement

The Board of Trustees of First Trust Exchange-Traded AlphaDEX® Fund (the “Trust”), including the Independent Trustees, unanimously approved the continuation of the Investment Management Agreement (the “Agreement”) with First Trust Advisors L.P. (the “Advisor”) on behalf of the following series of the Trust (each a “Fund” and collectively, the “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)

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The Board approved the continuation of the Agreement for each Fund for a one-year period ending June 30, 2024 at a meeting held on June 4–5, 2023. The Board determined for each Fund that the continuation of the Agreement is in the best interests of the Fund in light of the nature, extent and quality of the services provided and such other matters as the Board considered to be relevant in the exercise of its business judgment.

To reach this determination for each Fund, the Board considered its duties under the Investment Company Act of 1940, as amended (the “1940 Act”), as well as under the general principles of state law, in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. At meetings held on April 17, 2023 and June 4–5, 2023, the Board, including the Independent Trustees, reviewed materials provided by the Advisor responding to requests for information from counsel to the Independent Trustees, submitted on behalf of the Independent Trustees, that, among other things, outlined:the services provided by the Advisor to each Fund (including the relevant personnel responsible for these services and their experience); the advisory fee rate schedule payable by each Fund as compared to fees charged to a peer group of funds (the “Expense Group”) and a broad peer universe of funds (the “Expense Universe”), each assembled by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent source, and as compared to fees charged to other clients of the Advisor, including other exchange-traded funds (“ETFs”) managed by the Advisor; the expense ratio of each Fund as compared to expense ratios of the funds in the Fund’s Expense Group and Expense Universe; performance information for each Fund, including comparisons of each Fund’s performance to that of one or more relevant benchmark indexes and to that of a performance group of funds and a broad performance universe of funds (the “Performance Universe”), each assembled by Broadridge; the nature of expenses incurred in providing services to each Fund and the potential for the Advisor to realize economies of scale, if any; profitability and other financial data for the Advisor; any indirect benefits to the Advisor and its affiliate, First Trust Portfolios L.P. (“FTP”); and information on the Advisor’s compliance program. The Board reviewed initial materials with the Advisor at the meeting held on April 17, 2023, prior to which the Independent Trustees and their counsel met separately to discuss the information provided by the Advisor. Following the April meeting, counsel to the Independent Trustees, on behalf of the Independent Trustees, requested certain clarifications and supplements to the materials provided, and the information provided in response to those requests was considered at an executive session of the Independent Trustees and their counsel held prior to the June 4–5, 2023 meeting, as well as at the June meeting. The Board applied its business judgment to determine whether the arrangement between the Trust and the Advisor continues to be a reasonable business arrangement from each Fund’s perspective. The Board determined that, given the totality of the information provided with respect to the Agreement, the Board had received sufficient information to renew the Agreement. The Board considered that shareholders chose to invest or remain invested in a Fund knowing that the Advisor manages the Fund and knowing the Fund’s advisory fee.

In reviewing the Agreement for each Fund, the Board considered the nature, extent and quality of the services provided by the Advisor under the Agreement. The Board considered that the Advisor is responsible for the overall management and administration of the Trust and each Fund and reviewed all of the services provided by the Advisor to the Funds, as well as the background and experience of the persons responsible for such services. In reviewing the services provided, the Board noted the compliance program that had been developed by the Advisor and considered that it includes a robust program for monitoring the Advisor’s and each Fund’s compliance with the 1940 Act, as well as each Fund’s compliance with its investment objective, policies and restrictions. The Board also considered a report from the Advisor with respect to its risk management functions related to the operation of the Funds. Finally, as part of the Board’s consideration of the Advisor’s services, the Advisor, in its written materials and at the April 17, 2023 meeting, described to the Board the scope of its ongoing investment in additional personnel and infrastructure to maintain and improve the quality of services provided to the Funds and the other funds in the First Trust Fund Complex. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of the services provided to the Trust and each Fund by the Advisor under the Agreement have been and are expected to remain satisfactory and that the Advisor has managed each Fund consistent with its investment objective, policies and restrictions.

The Board considered the advisory fee rate schedule payable by each Fund under the Agreement for the services provided. The Board considered that the Advisor agreed to extend the current expense cap for each Fund through November 30, 2024. The Board received and reviewed information showing the fee rates and expense ratios of the peer funds in the Expense Groups, as well as advisory and unitary fee rates charged by the Advisor to other fund (including ETFs) and non-fund clients, as applicable. Because each Fund’s Expense Group included peer funds that pay a unitary fee, the Board determined that expense ratios were the most relevant comparative data point. Based on the information provided, the Board noted that the total (net) expense ratio for each Fund was above the median total (net) expense ratio of the peer funds in its respective Expense Group. With respect to the Expense Groups, the Board, at the April 17, 2023 meeting, discussed with Broadridge its methodology for assembling peer groups and discussed with the Advisor

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limitations in creating peer groups for index ETFs, including differences in underlying indexes and index-tracking methodologies that can result in greater management complexities across seemingly comparable ETFs, and different business models that may affect the pricing of services among ETF sponsors. The Board took these limitations and differences into account in considering the peer data. With respect to fees charged to other non-ETF clients, the Board considered differences between the Funds and other non-ETF clients that limited their comparability. In considering the advisory fee rate schedules overall, the Board also considered the Advisor’s statement that it seeks to meet investor needs through innovative and value-added investment solutions and the Advisor’s demonstrated long-term commitment to each Fund and the other funds in the First Trust Fund Complex.

The Board considered performance information for each Fund. The Board noted the process it has established for monitoring each Fund’s performance and portfolio risk on an ongoing basis, which includes quarterly performance reporting from the Advisor for the Funds. The Board determined that this process continues to be effective for reviewing each Fund’s performance. The Board received and reviewed information for periods ended December 31, 2022 regarding the performance of each Fund’s underlying index, the correlation between each Fund’s performance and that of its underlying index, each Fund’s tracking difference and each Fund’s excess return as compared to its benchmark index. The Board considered the Advisor’s explanations of how the AlphaDEX® stock selection methodology impacts Fund performance in various market environments, and the Advisor’s statement that AlphaDEX® is designed to provide long-term outperformance. Based on the information provided and its ongoing review of performance, the Board concluded that each Fund was correlated to its underlying index and that the tracking difference for each Fund was within a reasonable range. In addition, the Board reviewed data prepared by Broadridge comparing each Fund’s performance to that of its respective Performance Universe and to that of a broad-based benchmark index and noted the Advisor’s discussion of FXN’s performance at the April 17, 2023 meeting. However, given each Fund’s objective of seeking investment results that correspond generally to the performance of its underlying index, the Board placed more emphasis on its review of correlation and tracking difference.

On the basis of all the information provided on the fees, expenses and performance of each Fund and the ongoing oversight by the Board, the Board concluded that the advisory fee for each Fund continues to be reasonable and appropriate in light of the nature, extent and quality of the services provided by the Advisor to each Fund under the Agreement.

The Board considered information and discussed with the Advisor whether there were any economies of scale in connection with providing advisory services to the Funds at current asset levels and whether the Funds may benefit from any economies of scale. The Board noted that the advisory fee rate schedule for each Fund includes breakpoints pursuant to which the advisory fee rate will be reduced as assets of the Fund meet certain thresholds. The Board considered the Advisor’s statement that it believes that its expenses relating to providing advisory services to the Funds will increase during the next twelve months as the Advisor continues to build infrastructure and add new staff. The Board concluded that the advisory fee rate schedule for each Fund reflects an appropriate level of sharing of any economies of scale that may be realized in the management of the Fund at current asset levels. The Board considered the revenues and allocated costs (including the allocation methodology) of the Advisor in serving as investment advisor to each Fund for the twelve months ended December 31, 2022 and the estimated profitability level for each Fund calculated by the Advisor based on such data, as well as complex-wide and product-line profitability data, for the same period. The Board noted the inherent limitations in the profitability analysis and concluded that, based on the information provided, the Advisor’s profitability level for each Fund was not unreasonable. In addition, the Board considered indirect benefits described by the Advisor that may be realized from its relationship with the Funds. The Board considered that the Advisor had identified as an indirect benefit to the Advisor and FTP their exposure to investors and brokers who, absent their exposure to the Funds, may have had no dealings with the Advisor or FTP, and noted that the Advisor does not utilize soft dollars in connection with the Funds. The Board concluded that the character and amount of potential indirect benefits to the Advisor were not unreasonable.

Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, unanimously determined that the terms of the Agreement continue to be fair and reasonable and that the continuation of the Agreement is in the best interests of each Fund. No single factor was determinative in the Board’s analysis.

Liquidity Risk Management Program

In accordance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the “1940 Act”), the Funds and each other fund in the First Trust Fund Complex, other than the closed-end funds, have adopted and implemented a liquidity risk management program (the “Program”) reasonably designed to assess and manage the funds’ liquidity risk, i.e., the risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund. The Board of Trustees of the First Trust Funds has appointed First Trust Advisors, L.P. (the “Advisor”) as the person designated to administer the

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Program, and in this capacity the Advisor performs its duties primarily through the activities and efforts of the First Trust Liquidity Committee (the “Liquidity Committee”).

Pursuant to the Program, the Liquidity Committee classifies the liquidity of each fund’s portfolio investments into one of the four liquidity categories specified by Rule 22e-4: highly liquid investments, moderately liquid investments, less liquid investments and illiquid investments. The Liquidity Committee determines certain of the inputs for this classification process, including reasonably anticipated trade sizes and significant investor dilution thresholds. The Liquidity Committee also determines and periodically reviews a highly liquid investment minimum for certain funds, monitors the funds’ holdings of assets classified as illiquid investments to seek to ensure they do not exceed 15% of a fund’s net assets and establishes policies and procedures regarding redemptions in kind.

At the April 17, 2023 meeting of the Board of Trustees, as required by Rule 22e-4 and the Program, the Advisor provided the Board with a written report prepared by the Advisor that addressed the operation of the Program during the period from March 17, 2022 through the Liquidity Committee’s annual meeting held on March 23, 2023 and assessed the Program’s adequacy and effectiveness of implementation during this period, including the operation of the highly liquid investment minimum for each fund that is required under the Program to have one, and any material changes to the Program. Note that because the Funds primarily hold assets that are highly liquid investments, the Funds have not adopted any highly liquid investment minimums.

As stated in the written report, during the review period, two funds breached the 15% limitation on illiquid investments for one day each, as a result of an unscheduled week-long closure of the stock exchange in Istanbul following devastating earthquakes in February, causing all Turkish equities to be re-classified as “illiquid” for one day. Each fund filed a Form N-RN on the day after the breach occurred, and one day later after the breach was cured. No fund with a highly liquid investment minimum breached that minimum during the reporting period. The Advisor concluded that each fund’s investment strategy is appropriate for an open-end fund; that the Program operated effectively in all material respects during the review period; and that the Program is reasonably designed to assess and manage the liquidity risk of each fund and to maintain compliance with Rule 22e-4.

Board of Trustees

Effective September 10, 2023, the exchange-traded funds, closed-end funds, mutual funds and variable insurance funds (collectively, the “Funds”) advised by First Trust Advisors L.P. (“FTA”) announced the appointment of Ms. Bronwyn Wright as a Trustee of all Funds except the exchange-traded funds included in the First Trust Exchange-Traded Fund and the First Trust Dynamic Europe Equity Income Fund, a closed-end fund. Ms. Wright has acted as an independent director to a number of Irish collective investment funds since 2009. Ms. Wright is a former Managing Director of Citibank Europe plc and Head of Securities and Fund Services for Citi Ireland. In these positions, she was responsible for the management and strategic direction of Citi Ireland's securities and fund services business which included funds, custody, security finance/lending and global agency and trust. She also had responsibility for leading, managing and growing the Trustee, Custodian and Depositary business in Ireland, the United Kingdom, Luxembourg, Jersey and Cayman.

Page 78

Board of Trustees and Officers

First Trust Exchange-Traded AlphaDEX® Fund
July 31, 2023 (Unaudited)

The following tables identify the Trustees and Officers of the Trust. Unless otherwise indicated, the address of all persons is 120 East Liberty Drive, Suite 400, Wheaton, IL 60187.

The Trust’s statement of additional information includes additional information about the Trustees and is available, without charge, upon request, by calling (800) 988-5891.

Name, Year of Birth and Position with the Trust	Term of Office and Year First Elected or Appointed	Principal Occupations During Past 5 Years	Number of Portfolios in the First Trust Fund Complex Overseen by Trustee	Other Trusteeships or Directorships Held by Trustee During Past 5 Years
INDEPENDENT TRUSTEES
Richard E. Erickson, Trustee (1951)	• Indefinite Term • Since Inception	Physician, Edward-Elmhurst Medical Group; Physician and Officer, Wheaton Orthopedics (1990 to 2021)	238	None
Thomas R. Kadlec, Trustee (1957)	• Indefinite Term • Since Inception	Retired; President, ADM Investors Services, Inc. (Futures Commission Merchant) (2010 to July 2022)	238	Director, National Futures Association and ADMIS Singapore Ltd.; Formerly, Director of ADM Investor Services, Inc., ADM Investor Services International, ADMIS Hong Kong Ltd., and Futures Industry Association
Denise M. Keefe, Trustee (1964)	• Indefinite Term • Since 2021	Executive Vice President, Advocate Aurora Health and President, Advocate Aurora Continuing Health Division (Integrated Healthcare System)	238	Director and Board Chair of Advocate Home Health Services, Advocate Home Care Products and Advocate Hospice; Director and Board Chair of Aurora At Home (since 2018); Director of Advocate Physician Partners Accountable Care Organization; Director of RML Long Term Acute Care Hospitals; Director of Senior Helpers (since 2021); and Director of MobileHelp (since 2022)
Robert F. Keith, Trustee (1956)	• Indefinite Term • Since Inception	President, Hibs Enterprises (Financial and Management Consulting)	238	Formerly, Director of Trust Company of Illinois
Niel B. Nielson, Trustee (1954)	• Indefinite Term • Since Inception	Senior Advisor (2018 to Present), Managing Director and Chief Operating Officer (2015 to 2018), Pelita Harapan Educational Foundation (Educational Products and Services)	238	None
INTERESTED TRUSTEE
James A. Bowen(1), Trustee, Chairman of the Board (1955)	• Indefinite Term • Since Inception	Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P., Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor)	238	None

(1)

Mr. Bowen is deemed an “interested person” of the Trust due to his position as Chief Executive Officer of First Trust Advisors L.P., investment advisor of the Trust.

Page 79

Board of Trustees and Officers (Continued)

First Trust Exchange-Traded AlphaDEX® Fund
July 31, 2023 (Unaudited)

Name and Year of Birth	Position and Offices with Trust	Term of Office and Length of Service	Principal Occupations During Past 5 Years
OFFICERS(2)
James M. Dykas (1966)	President and Chief Executive Officer	• Indefinite Term • Since January 2016	Managing Director and Chief Financial Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor)
Derek D. Maltbie (1972)	Treasurer, Chief Financial Officer and Chief Accounting Officer	• Indefinite Term • Since 2023	Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P., July 2021 - present. Previously, Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P., 2014 - 2021.
W. Scott Jardine (1960)	Secretary and Chief Legal Officer	• Indefinite Term • Since Inception	General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC
Daniel J. Lindquist (1970)	Vice President	• Indefinite Term • Since Inception	Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P.
Kristi A. Maher (1966)	Chief Compliance Officer and Assistant Secretary	• Indefinite Term • Chief Compliance Officer Since January 2011 • Assistant Secretary Since Inception	Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.
Roger F. Testin (1966)	Vice President	• Indefinite Term • Since Inception	Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P.
Stan Ueland (1970)	Vice President	• Indefinite Term • Since Inception	Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P.

(2)

The term “officer” means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function.

Page 80

First Trust Exchange-Traded AlphaDEX® Fund
July 31, 2023 (Unaudited)

First Trust values our relationship with you and considers your privacy an important priority in maintaining that relationship. We are committed to protecting the security and confidentiality of your personal information.

Sources of Information

We collect nonpublic personal information about you from the following sources:

• Information we receive from you and your broker-dealer, investment professional or financial representative through interviews, applications, agreements or other forms;

• Information about your transactions with us, our affiliates or others;

• Information we receive from your inquiries by mail, e-mail or telephone; and

• Information we collect on our website through the use of “cookies.” For example, we may identify the pages on our website that your browser requests or visits.

Information Collected

The type of data we collect may include your name, address, social security number, age, financial status, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, investment objectives, marital status, family relationships and other personal information.

Disclosure of Information

We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law. In addition to using this information to verify your identity (as required under law), the permitted uses may also include the disclosure of such information to unaffiliated companies for the following reasons:

• In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers.

• We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud).

In addition, in order to alert you to our other financial products and services, we may share your personal information within First Trust.

Use of Website Analytics

We currently use third party analytics tools, Google Analytics and AddThis, to gather information for purposes of improving First Trust’s website and marketing our products and services to you. These tools employ cookies, which are small pieces of text stored in a file by your web browser and sent to websites that you visit, to collect information, track website usage and viewing trends such as the number of hits, pages visited, videos and PDFs viewed and the length of user sessions in order to evaluate website performance and enhance navigation of the website. We may also collect other anonymous information, which is generally limited to technical and web navigation information such as the IP address of your device, internet browser type and operating system for purposes of analyzing the data to make First Trust’s website better and more useful to our users. The information collected does not include any personal identifiable information such as your name, address, phone number or email address unless you provide that information through the website for us to contact you in order to answer your questions or respond to your requests. To find out how to opt-out of these services click on:Google Analytics and AddThis.

Confidentiality and Security

With regard to our internal security procedures, First Trust restricts access to your nonpublic personal information to those First Trust employees who need to know that information to provide products or services to you. We maintain physical, electronic and procedural safeguards to protect your nonpublic personal information.

Policy Updates and Inquiries

As required by federal law, we will notify you of our privacy policy annually. We reserve the right to modify this policy at any time, however, if we do change it, we will tell you promptly. For questions about our policy, or for additional copies of this notice, please go to www.ftportfolios.com, or contact us at 1-800-621-1675 (First Trust Portfolios) or 1-800-222-6822 (First Trust Advisors).

March 2023

Page 81

Shareholder Letter	2
Market Overview	3
Fund Performance Overview
First Trust Consumer Discretionary AlphaDEX® Fund (FXD)	4
First Trust Consumer Staples AlphaDEX® Fund (FXG)	6
First Trust Energy AlphaDEX® Fund (FXN)	8
First Trust Financials AlphaDEX® Fund (FXO)	10
First Trust Health Care AlphaDEX® Fund (FXH)	12
First Trust Industrials/Producer Durables AlphaDEX® Fund (FXR)	14
First Trust Materials AlphaDEX® Fund (FXZ)	16
First Trust Technology AlphaDEX® Fund (FXL)	18
First Trust Utilities AlphaDEX® Fund (FXU)	20
Notes to Fund Performance Overview	22
Understanding Your Fund Expenses	23
Portfolio of Investments
First Trust Consumer Discretionary AlphaDEX® Fund (FXD)	25
First Trust Consumer Staples AlphaDEX® Fund (FXG)	28
First Trust Energy AlphaDEX® Fund (FXN)	29
First Trust Financials AlphaDEX® Fund (FXO)	31
First Trust Health Care AlphaDEX® Fund (FXH)	34
First Trust Industrials/Producer Durables AlphaDEX® Fund (FXR)	36
First Trust Materials AlphaDEX® Fund (FXZ)	39
First Trust Technology AlphaDEX® Fund (FXL)	40
First Trust Utilities AlphaDEX® Fund (FXU)	43
Statements of Assets and Liabilities	44
Statements of Operations	46
Statements of Changes in Net Assets	48
Financial Highlights	52
Notes to Financial Statements	61
Report of Independent Registered Public Accounting Firm	70
Additional Information	71
Board of Trustees and Officers	79
Privacy Policy	81

First Trust Technology AlphaDEX® Fund (FXL)		First Trust Utilities AlphaDEX® Fund (FXU)
Year Ended 7/31/2023	Year Ended 7/31/2022	Year Ended 7/31/2023	Year Ended 7/31/2022

$2,403,147	$5,019,606	$7,850,210	$5,320,667
(91,163,522 )	252,346,513	8,776,912	(244,036 )
247,503,716	(502,005,673 )	(35,308,860 )	24,546,526
158,743,341	(244,639,554 )	(18,681,738 )	29,623,157


(2,735,225 )	(4,345,452 )	(8,168,861 )	(4,580,661 )


74,597,705	89,100,450	162,348,780	225,477,669
(142,687,202 )	(1,365,024,963 )	(225,986,529 )	(28,108,801 )
(68,089,497 )	(1,275,924,513 )	(63,637,749 )	197,368,868
87,918,619	(1,524,909,519 )	(90,488,348 )	222,411,364


1,143,164,046	2,668,073,565	396,557,742	174,146,378
$1,231,082,665	$1,143,164,046	$306,069,394	$396,557,742


10,955,000	21,255,000	11,550,002	5,650,002
750,000	700,000	4,850,000	6,800,000
(1,450,000 )	(11,000,000 )	(7,000,000 )	(900,000 )
10,255,000	10,955,000	9,400,002	11,550,002