First Trust Exchange-Traded AlphaDEX® Fund II
Annual Report
December 31, 2022
 

First Trust Asia Pacific ex-Japan AlphaDEX® Fund (FPA)
First Trust Europe AlphaDEX® Fund (FEP)
First Trust Latin America AlphaDEX® Fund (FLN)
First Trust Brazil AlphaDEX® Fund (FBZ)
First Trust China AlphaDEX® Fund (FCA)
First Trust Japan AlphaDEX® Fund (FJP)
First Trust Developed Markets ex-US AlphaDEX® Fund (FDT)
First Trust Emerging Markets AlphaDEX® Fund (FEM)
First Trust Germany AlphaDEX® Fund (FGM)
First Trust United Kingdom AlphaDEX® Fund (FKU)
First Trust India NIFTY 50 Equal Weight ETF (NFTY)
First Trust Switzerland AlphaDEX® Fund (FSZ)
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund (FDTS)
First Trust Emerging Markets Small Cap AlphaDEX® Fund (FEMS)
First Trust Eurozone AlphaDEX® ETF (FEUZ)
AlphaDEX® is a registered trademark of First Trust Portfolios L.P.


Table of Contents
First Trust Exchange-Traded AlphaDEX® Fund II
Annual Report
December 31, 2022

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Fund Performance Overview

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Portfolio of Investments

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Table of Contents
Caution Regarding Forward-Looking Statements
This report contains certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. (“First Trust” or the “Advisor”) and its representatives, taking into account the information currently available to them. Forward-looking statements include all statements that do not relate solely to current or historical fact. For example, forward-looking statements include the use of words such as “anticipate,” “estimate,” “intend,” “expect,” “believe,” “plan,” “may,” “should,” “would” or other words that convey uncertainty of future events or outcomes.
Forward-looking statements involve known and unknown risks, uncertainties and other factors that may cause the actual results, performance or achievements of any series of First Trust Exchange-Traded AlphaDEX® Fund II (the “Trust”) described in this report (each such series is referred to as a “Fund” and collectively, the “Funds”) to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue reliance on these forward-looking statements, which reflect the judgment of the Advisor and its representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof.
Performance and Risk Disclosure
There is no assurance that any Fund described in this report will achieve its investment objective. Each Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund’s shares may therefore be less than what you paid for them. Accordingly, you can lose money by investing in a Fund. See “Risk Considerations” in the Additional Information section of this report for a discussion of certain other risks of investing in the Funds.
Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please visit www.ftportfolios.com or speak with your financial advisor. Investment returns, net asset value and share price will fluctuate and Fund shares, when sold, may be worth more or less than their original cost.
The Advisor may also periodically provide additional information on Fund performance on each Fund’s web page at www.ftportfolios.com.
How to Read This Report
This report contains information that may help you evaluate your investment. It includes details about each Fund and presents data and analysis that provide insight into each Fund’s performance and investment approach.
By reading the market overview by Robert F. Carey, Chief Market Strategist of the Advisor, you may obtain an understanding of how the market environment affected the performance of each Fund. The statistical information that follows may help you understand each Fund’s performance compared to that of relevant market benchmarks.
It is important to keep in mind that the opinions expressed by personnel of the Advisor are just that: informed opinions. They should not be considered to be promises or advice. The opinions, like the statistics, cover the period through the date on the cover of this report. The material risks of investing in each Fund are spelled out in the prospectus, the statement of additional information, and other Fund regulatory filings.
Page 1

Table of Contents
Shareholder Letter
First Trust Exchange-Traded AlphaDEX® Fund II
Annual Letter from the Chairman and CEO
December 31, 2022
Dear Shareholders,
First Trust is pleased to provide you with the annual report for the First Trust Exchange-Traded AlphaDEX® Fund II (the “Funds”), which contains detailed information about the Funds for the twelve months ended December 31, 2022.
The past year was filled with challenges, several of which surely tested the resolve of even the most seasoned investors. The year began with the same headwinds that existed at the end of 2021, namely: stubbornly high inflation and rising interest rates. When Russia invaded Ukraine in late February 2022, we added war, geopolitical tension, and potential food and energy shortages to the list. Considering the bleak backdrop at the start of the year, it probably does not surprise you to read that with a total return of -18.11%, 2022 was the worst year for the S&P 500® Index since 2008. Even the bond market struggled to provide a haven to weary investors. The Bloomberg U.S. Aggregate Bond Index posted a total return of -13.01% for the year; its worst total return in 45 years.
A common topic of discussion in 2022 was whether central banks around the world had tightened monetary policy enough to quell inflation without causing excess damage to their economies. In the U.S., the Federal Reserve (the “Fed”) described this as a “soft landing,” stating it was their intent to keep the labor market strong but to increase interest rates enough to bring inflation down to 2.0%. True to their word, over the course of seven interest rate hikes, the Fed increased the Federal Funds target rate (upper bound) from 0.25% (where it stood in March 2022) to 4.50% as of December 2022. This is the highest the Federal Funds rate has been since 2008.
The economic impact of the Fed’s tighter monetary policy quickly became evident. Excluding the economic contraction from COVID-19 in 2020, the U.S. experienced its first decline in the gross domestic product (“GDP”) growth rate since March 2014. Data from the U.S. Bureau of Economic Analysis indicates that annualized real GDP growth rates over the first three quarters of 2022 were -1.6%, -0.6%, and 3.2%, respectively. Thankfully, inflation, as measured by the trailing 12-month rate on the Consumer Price Index (“CPI”), appears to be responding to the Fed’s tightening. After peaking at 9.1% in June 2022, the CPI rate fell to 6.5% at the end of December 2022. For comparative purposes, the CPI rate has averaged 2.5% over the past 30 years. Job creation has provided a respite from dreary economic data in recent months, but that could quickly change. Nearly 125,000 employees have lost their jobs since June 2022 as more than 120 U.S. companies announced layoffs, according to Forbes. The jury is still out on whether the Fed will be able to pull off a soft landing, but the job market will tell the tale, in my opinion.
Since 1928, the S&P 500® Index has only fallen for two consecutive years on four occasions: The Great Depression, World War II, the oil crisis of the 1970s and the burst of the dot-com bubble in the early 2000s. As we enter 2023, the U.S. economy has significant obstacles to overcome to avoid a recession and another negative year. We will be watching and reporting on what transpires.
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

Table of Contents
Market Overview
First Trust Exchange-Traded AlphaDEX® Fund II
Annual Report
December 31, 2022
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 Economy/Investing
The Federal Reserve (the “Fed”) remained steadfast in its battle with stubbornly high inflation in 2022. The Federal Funds target rate (upper bound), which stood at a mere 0.25% in January 2022 closed the year at 4.50%, its highest level in over a decade. Fortunately, it appears that inflation, as measured by the Consumer Price Index (“CPI”) is responding to the Fed’s tightening. After peaking at 9.1% on a trailing 12-month basis in June 2022, the CPI fell to 6.5% in December 2022. While we were glad to see a decline in the CPI, it still stands significantly higher than the Fed’s stated goal of 2.0%, suggesting that further action by the Fed may be warranted, in my opinion.
Inflation was not a strictly domestic phenomenon in 2022. The headline inflation rates in the countries that make up the G-10 are still significantly higher than their target rates. In Sweden and the U.K., for example, headline inflation stood at 12.3% and 10.7%, respectively, as of January 17, 2023. The central banks of both countries have a target inflation rate of 2.0%. The war between Russia and Ukraine, which began in late February 2022, still rages on, pressuring global food and energy prices and causing geopolitical unrest across the globe. Furthermore, China’s COVID-19 lockdowns may have ended, but the country’s larger-than-expected waves of COVID-19 infections pose a threat to the re-emergence of the Chinese economy.
The global growth forecast from the International Monetary Fund (“IMF”) released in October 2022 projected a 2.7% real gross domestic product (“GDP”) growth rate for 2023, down from 3.2% in 2022. The IMF is calling for a 1.0% growth rate for the U.S. GDP in 2023, down from its 1.6% estimate for 2022. As has been the case for many years, Emerging Market and Developing Economies are expected to grow faster than Advanced Economies. Their 2023 growth rate estimates are 3.7% and 1.1%, respectively.
Investors continued to funnel capital into exchange-traded funds (“ETFs”) and related exchange-traded products (“ETPs”) in 2022 despite the sharp sell-off in the markets. ETFGI, an independent research and consultancy firm, reported that total assets invested in ETFs/ETPs listed in the U.S. stood at $6.51 trillion as of year-end, down 9.8% from $7.21 trillion at the end of 2021, according to its own release. Net inflows to ETFs/ETPs listed in the U.S. stood at $607.23 billion in 2022, their second highest level on record, surpassed only by the $919.78 billion of inflows in 2021.
Foreign Stocks and Bonds
The U.S. dollar appreciated by 8.21% against a basket of major currencies in 2022, as measured by the U.S. Dollar Index (“DXY”), according to Bloomberg. The DXY Index closed 2022 at a reading of 103.52, significantly above its 20-year average of 88.53. The stronger U.S. dollar likely had a negative influence on the returns of unhedged foreign securities held by U.S. investors.
The Bloomberg EM Hard Currency Aggregate Index of emerging markets debt posted a total return of -16.60% (USD), while the Bloomberg Global Aggregate Index of higher quality debt declined 16.25% (USD). With respect to equities, the MSCI Emerging Markets Index of stocks posted a total return of -20.09% (USD), while the MSCI World ex USA Index declined by 14.29% (USD) on a total return basis, according to Bloomberg.
Page 3

Table of Contents
Fund Performance Overview (Unaudited)
First Trust Asia Pacific ex-Japan AlphaDEX® Fund (FPA)
The First Trust Asia Pacific ex-Japan AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the Nasdaq AlphaDEX® Asia Pacific Ex-Japan Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks, depositary receipts, real estate investment trusts and preferred shares that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC (the “Nasdaq”) under the ticker symbol “FPA.” The Fund commenced trading on April 19, 2011.
The Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq DM Asia Pacific Ex-Japan Index which may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
Performance  
    Average Annual Total Returns   Cumulative Total Returns
  1 Year
Ended
12/31/22
5 Years
Ended
12/31/22
10 Years
Ended
12/31/22
Inception
(4/18/11)
to 12/31/22
  5 Years
Ended
12/31/22
10 Years
Ended
12/31/22
Inception
(4/18/11)
to 12/31/22
Fund Performance                
NAV -15.62% -3.25% 2.36% 1.65%   -15.22% 26.30% 21.06%
Market Price -15.27% -3.26% 2.17% 1.57%   -15.28% 23.93% 20.01%
Index Performance                
Nasdaq AlphaDEX® Asia Pacific Ex-Japan Index(1) -14.51% -2.24% N/A N/A   -10.70% N/A N/A
Nasdaq DM Asia Pacific Ex-Japan Index(1) -13.59% 0.83% N/A N/A   4.21% N/A N/A
MSCI Pacific ex-Japan Index -5.94% 2.18% 3.81% 3.55%   11.38% 45.32% 50.50%
(See Notes to Fund Performance Overview Page 34.)
Performance Review
The Fund generated a net asset value (“NAV”) return of -15.62% during the 12-month period covered by this report. During the same period, the MSCI Pacific ex-Japan Index (the “Benchmark”) generated a return of -5.94%. During the same period, the Fund was most heavily weighted toward investments in Australia and South Korea, which had average weights of 33.4% and 41.7%, respectively. The largest negative contribution to the Fund’s return was from South Korea, which contributed -10.4% during the period. This compares only to the -1.6% contribution from Australia, the Fund’s second largest holding. Investments in Singapore generated a contribution of 0.8% to the Fund’s return, the greatest positive contribution of any country for the period. The Fund’s currency exposure caused -3.5% of underperformance during the period.

(1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods.
Nasdaq® and Nasdaq AlphaDEX® Asia Pacific Ex-Japan Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 4

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Asia Pacific ex-Japan AlphaDEX® Fund (FPA) (Continued)
Sector Allocation % of Total
Long-Term
Investments
Materials 23.3%
Industrials 16.9
Real Estate 13.5
Energy 9.7
Information Technology 8.3
Consumer Discretionary 6.5
Financials 5.3
Consumer Staples 5.0
Communication Services 4.9
Health Care 3.7
Utilities 2.9
Total 100.0%
Top Ten Holdings % of Total
Long-Term
Investments
POSCO Holdings, Inc. 2.2%
Samsung Electronics Co., Ltd. 1.7
Sembcorp Industries Ltd. 1.7
BlueScope Steel Ltd. 1.7
South32 Ltd. 1.7
S-Oil Corp. 1.7
Hyundai Glovis Co., Ltd. 1.7
New Hope Corp., Ltd. 1.7
Whitehaven Coal Ltd. 1.6
POSCO Chemical Co., Ltd. 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 index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter), is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
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Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Europe AlphaDEX® Fund (FEP)
The First Trust Europe AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the Nasdaq AlphaDEX® Europe Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks, depositary receipts, real estate investment trusts and preferred shares that comprise the Index. The shares of the Fund are listed and trade on the Nasdaq under the ticker symbol “FEP.” The Fund commenced trading on April 19, 2011.
The Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq DM Europe Index which may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
Performance  
    Average Annual Total Returns   Cumulative Total Returns
  1 Year
Ended
12/31/22
5 Years
Ended
12/31/22
10 Years
Ended
12/31/22
Inception
(4/18/11)
to 12/31/22
  5 Years
Ended
12/31/22
10 Years
Ended
12/31/22
Inception
(4/18/11)
to 12/31/22
Fund Performance                
NAV -22.87% -0.93% 4.87% 3.41%   -4.55% 60.83% 48.06%
Market Price -22.73% -0.98% 4.63% 3.37%   -4.82% 57.28% 47.34%
Index Performance                
Nasdaq AlphaDEX® Europe Index(1) -22.82% -0.40% N/A N/A   -2.00% N/A N/A
Nasdaq DM Europe Index(1) -16.42% 1.51% N/A N/A   7.80% N/A N/A
MSCI Europe Index -15.06% 1.87% 4.58% 3.93%   9.70% 56.53% 56.96%
(See Notes to Fund Performance Overview Page 34.)
Performance Review
The Fund generated a NAV return of -22.87% during the 12-month period covered by this report. During the same period, the MSCI Europe Index (the “Benchmark”) generated a return of -15.06%. During the same period, the Fund was most heavily weighted toward investments in the United Kingdom, which had an average weight of 21.7%. The largest negative contribution to the Fund’s return was from Sweden, which contributed -5.5% during the period. Investments in Ireland generated a contribution of 0.8% to the Fund’s return, the greatest positive contribution of any country. The Fund’s currency exposure caused -5.8% of underperformance during the period.

(1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods.
Nasdaq® and Nasdaq AlphaDEX® Europe Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 6

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Europe AlphaDEX® Fund (FEP) (Continued)
Sector Allocation % of Total
Long-Term
Investments
Financials 17.8%
Materials 15.8
Industrials 14.3
Consumer Discretionary 14.0
Energy 9.2
Real Estate 9.1
Consumer Staples 6.8
Utilities 5.8
Communication Services 3.7
Health Care 2.9
Information Technology 0.6
Total 100.0%
Top Ten Holdings % of Total
Long-Term
Investments
Covestro AG 0.9%
Tenaris S.A. 0.9
Eni S.p.A. 0.9
3i Group PLC 0.9
TotalEnergies SE 0.9
Commerzbank AG 0.9
Hannover Rueck SE 0.9
Beazley PLC 0.9
Bayerische Motoren Werke AG 0.9
ArcelorMittal S.A. 0.9
Total 9.0%

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 index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter), is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
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Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Latin America AlphaDEX® Fund (FLN)
The First Trust Latin America AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the Nasdaq AlphaDEX® Latin America Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks, depositary receipts, real estate investment trusts and preferred shares that comprise the Index. The shares of the Fund are listed and trade on the Nasdaq under the ticker symbol “FLN.” The Fund commenced trading on April 19, 2011.
The Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq Latin America Index which may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
Performance  
    Average Annual Total Returns   Cumulative Total Returns
  1 Year
Ended
12/31/22
5 Years
Ended
12/31/22
10 Years
Ended
12/31/22
Inception
(4/18/11)
to 12/31/22
  5 Years
Ended
12/31/22
10 Years
Ended
12/31/22
Inception
(4/18/11)
to 12/31/22
Fund Performance                
NAV 2.17% -0.47% -1.03% -1.34%   -2.34% -9.85% -14.58%
Market Price 2.58% -0.48% -1.19% -1.35%   -2.38% -11.31% -14.73%
Index Performance                
Nasdaq AlphaDEX® Latin America Index(1) 3.05% 0.82% N/A N/A   4.18% N/A N/A
Nasdaq Latin America Index(1) 5.49% -2.09% -3.04% N/A   -10.00% -26.58% N/A
MSCI EM Latin America Index 8.92% -1.08% -2.15% -2.77%   -5.30% -19.53% -27.98%
(See Notes to Fund Performance Overview Page 34.)
Performance Review
The Fund generated a NAV return of 2.17% during the 12-month period covered by this report. During the same period, the MSCI EM Latin America Index (the “Benchmark”) generated a return of 8.92%. During the same period, the Fund was most heavily weighted toward investments in Brazil, which had an average weight of 56.7%. Investments in Brazil generated a contribution of 3.3% to the Fund’s return, which was the greatest positive contribution of any country. The largest negative contribution to the Fund’s return was from Colombia, which contributed -0.2% during the period. The Fund’s currency exposure caused 5.3% of overperformance during the period.

(1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods.
Nasdaq® and Nasdaq AlphaDEX® Latin America Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 8

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Latin America AlphaDEX® Fund (FLN) (Continued)
Sector Allocation % of Total
Long-Term
Investments
Materials 25.5%
Consumer Staples 16.1
Financials 14.5
Utilities 13.1
Energy 10.6
Industrials 6.8
Consumer Discretionary 6.3
Communication Services 3.8
Health Care 2.6
Real Estate 0.7
Total 100.0%
Top Ten Holdings % of Total
Long-Term
Investments
Petro Rio S.A. 4.3%
Gerdau S.A. (Preference Shares) 3.9
Empresas Copec S.A. 3.6
Cia Sud Americana de Vapores S.A. 3.6
Equatorial Energia S.A. 3.2
Vale S.A. 3.2
Cia Paranaense de Energia, Class B (Preference Shares) 3.1
Grupo Bimbo S.A.B. de C.V., Series A 3.0
Cia Siderurgica Nacional S.A. 2.9
Banco do Brasil S.A. 2.9
Total 33.7%

Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter), is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
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Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Brazil AlphaDEX® Fund (FBZ)
The First Trust Brazil AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the Nasdaq AlphaDEX® Brazil Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks, depositary receipts, real estate investment trusts and preferred shares that comprise the Index. The shares of the Fund are listed and trade on the Nasdaq under the ticker symbol “FBZ.” The Fund commenced trading on April 19, 2011.
The Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq Brazil Index which may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
Performance  
    Average Annual Total Returns   Cumulative Total Returns
  1 Year
Ended
12/31/22
5 Years
Ended
12/31/22
10 Years
Ended
12/31/22
Inception
(4/18/11)
to 12/31/22
  5 Years
Ended
12/31/22
10 Years
Ended
12/31/22
Inception
(4/18/11)
to 12/31/22
Fund Performance                
NAV 1.45% 0.71% -1.43% -2.77%   3.62% -13.43% -28.04%
Market Price 1.27% 0.66% -1.58% -2.80%   3.37% -14.69% -28.24%
Index Performance                
Nasdaq AlphaDEX® Brazil Index(1) 2.31% 2.59% N/A N/A   13.67% N/A N/A
Nasdaq Brazil Index(1) 7.14% -2.27% -2.63% N/A   -10.86% -23.38% N/A
MSCI Brazil Index 14.15% -0.82% -1.75% -3.47%   -4.03% -16.22% -33.89%
(See Notes to Fund Performance Overview Page 34.)
Performance Review
The Fund generated a NAV return of 1.45% during the 12-month period covered by this report. During the same period, the MSCI Brazil Index (the “Benchmark”) generated a return of 14.15%. The Materials sector received the greatest allocation of any sector in the Fund with an allocation of 25.2%. Investments in this sector contributed -2.1% to the Fund’s return, which was the greatest drag of any sector in the Fund. The greatest positive contribution came from investments in the Energy sector with a contribution of 4.3% to the Fund’s return. The total currency effect to the Fund during the period covered by this report was 8.7%.

(1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods.
Nasdaq® and Nasdaq AlphaDEX® Brazil Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 10

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Brazil AlphaDEX® Fund (FBZ) (Continued)
Sector Allocation % of Total
Long-Term
Investments
Materials 25.7%
Utilities 22.8
Financials 13.4
Consumer Staples 11.5
Energy 11.0
Health Care 3.7
Information Technology 3.5
Communication Services 3.4
Industrials 2.9
Consumer Discretionary 1.5
Real Estate 0.6
Total 100.0%
Top Ten Holdings % of Total
Long-Term
Investments
Petro Rio S.A. 5.3%
Gerdau S.A. (Preference Shares) 4.1
Hypera S.A. 3.7
Bradespar S.A. (Preference Shares) 3.7
Cia Paranaense de Energia, Class B (Preference Shares) 3.6
Cielo S.A. 3.5
Metalurgica Gerdau S.A. (Preference Shares) 3.4
Banco do Brasil S.A. 3.3
Cia Siderurgica Nacional S.A. 2.9
Vale S.A. 2.9
Total 36.4%

Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter), is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 11

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust China AlphaDEX® Fund (FCA)
The First Trust China AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the Nasdaq AlphaDEX® China Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks, depositary receipts, real estate investment trusts and preferred shares that comprise the Index. The shares of the Fund are listed and trade on the Nasdaq under the ticker symbol “FCA.” The Fund commenced trading on April 19, 2011.
The Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq China Index which may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
Performance  
    Average Annual Total Returns   Cumulative Total Returns
  1 Year
Ended
12/31/22
5 Years
Ended
12/31/22
10 Years
Ended
12/31/22
Inception
(4/18/11)
to 12/31/22
  5 Years
Ended
12/31/22
10 Years
Ended
12/31/22
Inception
(4/18/11)
to 12/31/22
Fund Performance                
NAV -17.10% -2.16% 2.24% 0.58%   -10.33% 24.81% 6.96%
Market Price -17.58% -2.22% 1.99% 0.48%   -10.62% 21.73% 5.73%
Index Performance                
Nasdaq AlphaDEX® China Index(1) -16.04% -1.28% N/A N/A   -6.22% N/A N/A
Nasdaq China Index(1) -20.26% -5.66% 2.00% N/A   -25.25% 21.91% N/A
MSCI China Index -21.93% -4.54% 2.43% 1.63%   -20.74% 27.08% 20.83%
(See Notes to Fund Performance Overview Page 34.)
Performance Review
The Fund generated a NAV return of -17.10% during the 12-month period covered by this report. During the same period, the MSCI China Index (the “Benchmark”) generated a return of -21.93%. During the same period, the Materials sector carried more weight, at 18.1%, than any other sector in the Fund. The Materials sector also had the greatest impact on the Fund’s return, with a -3.8% contribution to the Fund’s return. The most positive contribution to the Fund’s return came from investments in the Energy sector, which received an 8.5% weight and contributed 1.9% to the Fund’s return. The Fund’s currency exposure was negligible with less than a 0.1% impact on performance for the period.

(1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods.
Nasdaq® and Nasdaq AlphaDEX® China Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 12

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust China AlphaDEX® Fund (FCA) (Continued)
Sector Allocation % of Total
Long-Term
Investments
Industrials 19.6%
Materials 19.5
Real Estate 14.8
Energy 9.9
Information Technology 9.7
Utilities 7.5
Consumer Discretionary 6.9
Health Care 6.3
Financials 4.3
Consumer Staples 0.8
Communication Services 0.7
Total 100.0%
Top Ten Holdings % of Total
Long-Term
Investments
China Resources Pharmaceutical Group Ltd. 4.7%
China Conch Venture Holdings Ltd. 3.9
China Coal Energy Co., Ltd., Class H 3.8
Yuexiu Property Co., Ltd. 3.7
Kunlun Energy Co., Ltd. 3.4
C&D International Investment Group Ltd. 3.4
Kingboard Holdings Ltd. 3.3
Inner Mongolia Yitai Coal Co., Ltd., Class B 3.2
Yankuang Energy Group Co., Ltd., Class H 3.0
Inner Mongolia ERDOS Resources Co., Ltd., Class B 2.9
Total 35.3%

Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter), is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 13

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Japan AlphaDEX® Fund (FJP)
The First Trust Japan AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the Nasdaq AlphaDEX® Japan Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks, depositary receipts, real estate investment trusts and preferred shares that comprise the Index. The shares of the Fund are listed and trade on the Nasdaq under the ticker symbol “FJP.” The Fund commenced trading on April 19, 2011.
The Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq Japan Index which may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
Performance  
    Average Annual Total Returns   Cumulative Total Returns
  1 Year
Ended
12/31/22
5 Years
Ended
12/31/22
10 Years
Ended
12/31/22
Inception
(4/18/11)
to 12/31/22
  5 Years
Ended
12/31/22
10 Years
Ended
12/31/22
Inception
(4/18/11)
to 12/31/22
Fund Performance                
NAV -12.04% -4.56% 3.49% 2.14%   -20.79% 40.94% 28.18%
Market Price -13.15% -4.80% 3.29% 2.03%   -21.81% 38.28% 26.51%
Index Performance                
Nasdaq AlphaDEX® Japan Index(1) -12.24% -4.09% N/A N/A   -18.84% N/A N/A
Nasdaq Japan Index(1) -15.52% -0.31% 5.59% N/A   -1.55% 72.30% N/A
MSCI Japan Index -16.65% 0.23% 5.55% 4.76%   1.14% 71.68% 72.32%
(See Notes to Fund Performance Overview Page 34.)
Performance Review
The Fund generated a NAV return of -12.04% during the 12-month period covered by this report. During the same period, the MSCI Japan Index (the “Benchmark”) generated a return of -16.65%. During the same period, the Industrials sector received the greatest allocation, with an average weight of 31.6%. The greatest drag on the Fund’s performance was the Information Technology sector, with an average weight of 8.7% and a -4.3% contribution to the Fund’s return. During the period, no sectors contributed positively to the Fund’s return. The total currency effect to the Fund during the period covered by this report was -12.2%.

(1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods.
Nasdaq® and Nasdaq AlphaDEX® Japan Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 14

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Japan AlphaDEX® Fund (FJP) (Continued)
Sector Allocation % of Total
Long-Term
Investments
Industrials 32.1%
Consumer Discretionary 18.9
Materials 15.4
Financials 9.8
Information Technology 5.5
Utilities 5.3
Energy 4.6
Consumer Staples 3.3
Real Estate 2.3
Health Care 2.2
Communication Services 0.6
Total 100.0%
Top Ten Holdings % of Total
Long-Term
Investments
Nippon Steel Corp. 2.0%
Mitsubishi Motors Corp. 1.9
Mitsubishi Heavy Industries Ltd. 1.9
Sumitomo Metal Mining Co., Ltd. 1.8
JFE Holdings, Inc. 1.8
Mitsui OSK Lines Ltd. 1.8
Sojitz Corp. 1.8
Mitsui & Co., Ltd. 1.7
Mitsui Chemicals, Inc. 1.7
Kawasaki Kisen Kaisha Ltd. 1.7
Total 18.1%

Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter), is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 15

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Developed Markets ex-US AlphaDEX® Fund (FDT)
The First Trust Developed Markets ex-US AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the Nasdaq AlphaDEX® Developed Markets Ex-US Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks, depositary receipts, real estate investment trusts and preferred shares that comprise the Index. The shares of the Fund are listed and trade on the Nasdaq under the ticker symbol “FDT.” The Fund commenced trading on April 19, 2011.
The Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq Developed Markets Ex-US Index which may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
Performance  
    Average Annual Total Returns   Cumulative Total Returns
  1 Year
Ended
12/31/22
5 Years
Ended
12/31/22
10 Years
Ended
12/31/22
Inception
(4/18/11)
to 12/31/22
  5 Years
Ended
12/31/22
10 Years
Ended
12/31/22
Inception
(4/18/11)
to 12/31/22
Fund Performance                
NAV -18.57% -2.42% 3.21% 2.05%   -11.53% 37.11% 26.83%
Market Price -18.86% -2.52% 3.10% 2.02%   -11.99% 35.77% 26.36%
Index Performance                
Nasdaq AlphaDEX® Developed Markets Ex-US Index(1) -18.23% -1.71% N/A N/A   -8.24% N/A N/A
Nasdaq Developed Markets Ex-US Index(1) -15.51% 1.23% 4.56% N/A   6.32% 56.27% N/A
MSCI World ex USA Index -14.29% 1.79% 4.59% 3.86%   9.29% 56.59% 55.77%
(See Notes to Fund Performance Overview Page 34.)
Performance Review
The Fund generated a NAV return of -18.57% during the 12-month period covered by this report. During the same period, the MSCI World ex USA Index (the “Benchmark”) generated a return of -14.29%. The two largest allocations by country during the period were Japan, with an allocation of 23.5%, and Canada which received a 14.3% allocation. However, the largest contribution toward the Fund’s return came from South Korea, which was weighted at 9.5% and contributed -3.0% to the Fund’s overall return. Portfolio returns were widely distributed as the Fund allocated to over 30 countries during the period. The largest positive contribution to the Fund’s return came from investments in Ireland, which contributed 0.4% to the Fund’s return. The total currency effect to the Fund during the period covered by this report was -6.7%.

(1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods.
Nasdaq® and Nasdaq AlphaDEX® Developed Markets Ex-US Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 16

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Developed Markets ex-US AlphaDEX® Fund (FDT) (Continued)
Sector Allocation % of Total
Long-Term
Investments
Materials 19.8%
Industrials 18.6
Energy 13.5
Consumer Discretionary 12.0
Real Estate 10.0
Financials 9.2
Consumer Staples 5.7
Utilities 4.5
Information Technology 3.4
Communication Services 2.3
Health Care 1.0
Total 100.0%
Top Ten Holdings % of Total
Long-Term
Investments
Kawasaki Kisen Kaisha Ltd. 0.7%
POSCO Holdings, Inc. 0.7
Mitsui OSK Lines Ltd. 0.7
Nippon Yusen KK 0.7
Mitsui & Co., Ltd. 0.7
3i Group PLC 0.6
Marubeni Corp. 0.6
Beazley PLC 0.6
Sojitz Corp. 0.6
Bayerische Motoren Werke AG 0.6
Total 6.5%

Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter), is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 17

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Emerging Markets AlphaDEX® Fund (FEM)
The First Trust Emerging Markets AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the Nasdaq AlphaDEX® Emerging Markets Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks, depositary receipts, real estate investment trusts and preferred shares that comprise the Index. The shares of the Fund are listed and trade on the Nasdaq under the ticker symbol “FEM.” The Fund commenced trading on April 19, 2011.
The Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq Emerging Markets Index which may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
Performance  
    Average Annual Total Returns   Cumulative Total Returns
  1 Year
Ended
12/31/22
5 Years
Ended
12/31/22
10 Years
Ended
12/31/22
Inception
(4/18/11)
to 12/31/22
  5 Years
Ended
12/31/22
10 Years
Ended
12/31/22
Inception
(4/18/11)
to 12/31/22
Fund Performance                
NAV -14.33% -1.49% 1.25% 0.43%   -7.25% 13.19% 5.17%
Market Price -14.30% -1.65% 1.07% 0.38%   -7.99% 11.26% 4.59%
Index Performance                
Nasdaq AlphaDEX® Emerging Markets Index(1) -14.38% -0.58% N/A N/A   -2.88% N/A N/A
Nasdaq Emerging Markets Index(1) -15.31% -0.39% 2.18% N/A   -1.93% 24.04% N/A
MSCI Emerging Markets Index -20.09% -1.40% 1.44% 0.79%   -6.79% 15.33% 9.65%
(See Notes to Fund Performance Overview Page 34.)
Performance Review
The Fund generated a NAV return of -14.33% during the 12-month period covered by this report. During the same period, the MSCI Emerging Markets Index (the “Benchmark”) generated a return of -20.09%. During the period, the Fund was most heavily weighted toward investments in China, which had an average weight of 22.9%. The largest negative contribution to the Fund’s return was also from China, which contributed -5.4% during the period. Investments in Turkey generated a contribution of 6.4% to the Fund’s return, the greatest of any country. The Fund’s currency exposure caused -4.6% of underperformance during the period.

(1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods.
Nasdaq® and Nasdaq AlphaDEX® Emerging Markets Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 18

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Emerging Markets AlphaDEX® Fund (FEM) (Continued)
Sector Allocation % of Total
Long-Term
Investments
Industrials 21.2%
Materials 19.8
Energy 16.0
Financials 10.0
Information Technology 9.1
Consumer Discretionary 6.1
Utilities 5.8
Consumer Staples 4.8
Health Care 3.4
Real Estate 3.0
Communication Services 0.8
Total 100.0%
Top Ten Holdings % of Total
Long-Term
Investments
Turk Hava Yollari AO 1.9%
KOC Holding A.S. 1.8
Turkiye Petrol Rafinerileri A.S. 1.7
Akbank T.A.S. 1.6
Turkiye Is Bankasi A.S., Class C 1.6
Aselsan Elektronik Sanayi Ve Ticaret A.S. 1.6
Turkiye Sise ve Cam Fabrikalari A.S. 1.6
KGHM Polska Miedz S.A. 1.6
Ford Otomotiv Sanayi A.S. 1.5
Turkiye Garanti Bankasi A.S. 1.5
Total 16.4%

Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter), is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 19

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Germany AlphaDEX® Fund (FGM)
The First Trust Germany AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the Nasdaq AlphaDEX® Germany Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks, depositary receipts, real estate investment trusts and preferred shares that comprise the Index. The shares of the Fund are listed and trade on the Nasdaq under the ticker symbol “FGM.” The Fund commenced trading on February 15, 2012.
The Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq Germany Index which may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
Performance  
    Average Annual Total Returns   Cumulative Total Returns
  1 Year
Ended
12/31/22
5 Years
Ended
12/31/22
10 Years
Ended
12/31/22
Inception
(2/14/12)
to 12/31/22
  5 Years
Ended
12/31/22
10 Years
Ended
12/31/22
Inception
(2/14/12)
to 12/31/22
Fund Performance                
NAV -30.39% -4.76% 2.73% 3.67%   -21.63% 30.89% 48.02%
Market Price -30.61% -4.77% 2.64% 3.64%   -21.69% 29.74% 47.51%
Index Performance                
Nasdaq AlphaDEX® Germany Index(1) -30.51% -4.53% N/A N/A   -20.70% N/A N/A
Nasdaq Germany Index(1) -22.28% -3.41% 2.58% N/A   -15.94% 29.00% N/A
MSCI Germany Index -22.34% -3.02% 2.66% 3.64%   -14.23% 30.02% 47.46%
(See Notes to Fund Performance Overview Page 34.)
Performance Review
The Fund generated a NAV return of -30.39% during the 12-month period covered by this report. During the same period, the MSCI Germany Index (the “Benchmark”) generated a return of -22.34%. During the period, the Fund allocated 23.9% to the Consumer Discretionary sector, which was more than the weight given to any other sector. Investments in the Materials sector returned -33.5% during the period, and contributed -6.2% to the Fund’s return, which was the greatest drag on the portfolio of any sector. The Financials sector received a weight of 13.5% and contributed 1.7% to the Fund’s return, which was the greatest of any sector. The total currency effect to the Fund during the period covered by this report was -3.9%.

(1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods.
Nasdaq® and Nasdaq AlphaDEX® Germany Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 20

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Germany AlphaDEX® Fund (FGM) (Continued)
Sector Allocation % of Total
Long-Term
Investments
Consumer Discretionary 26.5%
Materials 22.7
Financials 17.1
Industrials 8.7
Utilities 6.7
Communication Services 6.0
Consumer Staples 5.2
Real Estate 4.3
Health Care 2.8
Total 100.0%
Top Ten Holdings % of Total
Long-Term
Investments
Talanx AG 4.9%
RWE AG 4.8
Bayerische Motoren Werke AG 4.6
Covestro AG 4.5
HUGO BOSS AG 4.3
Suedzucker AG 4.3
Commerzbank AG 4.3
Hella GmbH & Co., KGaA 3.8
HeidelbergCement AG 3.7
Mercedes-Benz Group AG 3.6
Total 42.8%

Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter), is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 21

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust United Kingdom AlphaDEX® Fund (FKU)
The First Trust United Kingdom AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the Nasdaq AlphaDEX® United Kingdom Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks, depositary receipts, real estate investment trusts and preferred shares that comprise the Index. The shares of the Fund are listed and trade on the Nasdaq under the ticker symbol “FKU.” The Fund commenced trading on February 15, 2012.
The Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq United Kingdom Index which may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
Performance  
    Average Annual Total Returns   Cumulative Total Returns
  1 Year
Ended
12/31/22
5 Years
Ended
12/31/22
10 Years
Ended
12/31/22
Inception
(2/14/12)
to 12/31/22
  5 Years
Ended
12/31/22
10 Years
Ended
12/31/22
Inception
(2/14/12)
to 12/31/22
Fund Performance                
NAV -23.52% -0.86% 2.61% 3.81%   -4.22% 29.34% 50.26%
Market Price -24.10% -0.73% 2.57% 3.79%   -3.62% 28.86% 49.85%
Index Performance                
Nasdaq AlphaDEX® United Kingdom Index(1) -22.91% 0.09% N/A N/A   0.47% N/A N/A
Nasdaq United Kingdom Index(1) -9.02% 0.41% 3.18% N/A   2.05% 36.80% N/A
MSCI United Kingdom Index -4.84% 0.96% 3.07% 3.54%   4.91% 35.27% 45.98%
(See Notes to Fund Performance Overview Page 34.)
Performance Review
The Fund generated a NAV return of -23.52% during the 12-month period covered by this report. During the same period, the MSCI United Kingdom Index (the “Benchmark”) generated a return of -4.84%. The greatest allocation to the Fund were investments in the Financials sector, which received an allocation of 23.8%. The -6.5% contribution to the Fund’s return came from investments in the Consumer Discretionary sector which was the greatest drag of any sector. Investments in the Energy sector contributed 0.6% to the Fund’s total return and was the only sector with a positive contribution. The Fund’s currency exposure had a -9.0% impact on the Fund’s return.

(1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods.
Nasdaq® and Nasdaq AlphaDEX® United Kingdom Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 22

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust United Kingdom AlphaDEX® Fund (FKU) (Continued)
Sector Allocation % of Total
Long-Term
Investments
Financials 26.9%
Consumer Discretionary 14.2
Materials 14.1
Consumer Staples 9.5
Real Estate 8.0
Health Care 7.3
Industrials 5.5
Energy 5.0
Utilities 4.8
Communication Services 2.9
Information Technology 1.8
Total 100.0%
Top Ten Holdings % of Total
Long-Term
Investments
Beazley PLC 2.9%
Glencore PLC 2.7
BP PLC 2.6
3i Group PLC 2.6
Centrica PLC 2.6
abrdn PLC 2.6
Shell PLC 2.4
Mediclinic International PLC 2.4
Kingfisher PLC 2.1
Rio Tinto PLC 2.0
Total 24.9%

Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter), is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 23

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust India NIFTY 50 Equal Weight ETF (NFTY)
The First Trust India NIFTY 50 Equal Weight ETF (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the NIFTY 50 Equal Weight Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks that comprise the Index. The shares of the Fund are listed and trade on the Nasdaq under the ticker symbol “NFTY.” The Fund commenced trading on February 15, 2012.
The Index is an equally weighted total return index designed to provide diversified exposure to the NIFTY 50 Index, the main index for Indian equity securities. The NIFTY 50 Index is a market capitalization-weighted index comprising the 50 largest and most liquid Indian equity securities listed on the National Stock Exchange of India. All constituents of the NIFTY 50 Index will be included in the Index, but will be equally weighted.
Performance  
    Average Annual Total Returns   Cumulative Total Returns
  1 Year
Ended
12/31/22
5 Years
Ended
12/31/22
10 Years
Ended
12/31/22
Inception
(2/14/12)
to 12/31/22
  5 Years
Ended
12/31/22
10 Years
Ended
12/31/22
Inception
(2/14/12)
to 12/31/22
Fund Performance                
NAV -4.45% 5.50% 6.30% 5.84%   30.70% 84.14% 85.43%
Market Price -3.97% 5.79% 6.25% 5.91%   32.48% 83.33% 86.65%
Index Performance                
NIFTY 50 Equal Weight Index* -2.86% N/A N/A N/A   N/A N/A N/A
NIFTY 50 Index -5.14% 7.25% 8.66% 7.88%   41.89% 129.44% 128.10%
(See Notes to Fund Performance Overview Page 34.)
Performance Review
The Fund generated a NAV return of -4.45% during the 12-month period covered by this report. During the same period, the NIFTY 50 Index (the “Benchmark”) generated a return of -5.14%. The Fund allocated the greatest weight to the Financials sector during the period. Investments in this sector received an allocation of 22.3%. The Information Technology sector generated the largest drag to the Fund’s return at -3.5%. The sector with the largest contribution to the Fund’s return was the Consumer Discretionary sector with a 0.8% contribution to the Fund’s return. The Fund’s currency exposure generated a -10.1% impact on the Fund’s return during the period covered by this report.

* On April 17, 2018, the Fund’s underlying index changed from the Nasdaq AlphaDEX® Taiwan Index to the Index. On July 14, 2015, the Fund’s underlying index changed from the Defined Taiwan Index to the Nasdaq AlphaDEX® Taiwan Index. Therefore, the Fund’s performance and total returns shown for the periods prior to April 17, 2018, are not necessarily indicative of the performance that the Fund, based on the current index, would have generated. Since the Fund’s new underlying index had an inception date of September 29, 2017, it was not in existence for all the periods disclosed.
The First Trust India NIFTY 50 Equal Weight ETF (the “Product”) offered by First Trust is not sponsored, endorsed, sold or promoted by NSE INDICES LIMITED (formerly known as India Index Services & Products Limited (IISL)). NSE INDICES LIMITED does not make any representation or warranty, express or implied (including warranties of merchantability or fitness for particular purpose or use) and disclaims all liability to the owners of the Product or any member of the public regarding the advisability of investing in securities generally or in the Product linked to the NIFTY 50 Equal Weight Index or particularly in the ability of the NIFTY 50 Equal Weight Index to track general stock market performance in India. Please read the full Disclaimers in relation to the NIFTY 50 Equal Weight Index in the Prospectus and Statement of Additional Information.
Page 24

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust India NIFTY 50 Equal Weight ETF (NFTY) (Continued)
Sector Allocation % of Total
Long-Term
Investments
Financials 22.1%
Consumer Discretionary 14.1
Materials 14.0
Information Technology 10.0
Consumer Staples 9.9
Health Care 9.8
Energy 8.1
Industrials 6.0
Utilities 4.0
Communication Services 2.0
Total 100.0%
Top Ten Holdings % of Total
Long-Term
Investments
Titan Co., Ltd. 2.1%
Adani Enterprises Ltd. 2.0
State Bank of India 2.0
Coal India Ltd. 2.0
Wipro Ltd. 2.0
IndusInd Bank Ltd. 2.0
Bharat Petroleum Corp., Ltd. 2.0
Hero MotoCorp Ltd. 2.0
Tata Steel Ltd. 2.0
Oil & Natural Gas Corp., Ltd. 2.0
Total 20.1%

Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter), is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 25

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Switzerland AlphaDEX® Fund (FSZ)
The First Trust Switzerland AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the Nasdaq AlphaDEX® Switzerland Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks, depositary receipts, real estate investment trusts and preferred shares that comprise the Index. The shares of the Fund are listed and trade on the Nasdaq under the ticker symbol “FSZ.” The Fund commenced trading on February 15, 2012.
The Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq Switzerland Index which may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
Performance  
    Average Annual Total Returns   Cumulative Total Returns
  1 Year
Ended
12/31/22
5 Years
Ended
12/31/22
10 Years
Ended
12/31/22
Inception
(2/14/12)
to 12/31/22
  5 Years
Ended
12/31/22
10 Years
Ended
12/31/22
Inception
(2/14/12)
to 12/31/22
Fund Performance                
NAV -20.88% 2.93% 7.45% 7.77%   15.56% 105.15% 125.75%
Market Price -20.77% 2.86% 7.35% 7.76%   15.15% 103.30% 125.43%
Index Performance                
Nasdaq AlphaDEX® Switzerland Index(1) -20.98% 3.36% N/A N/A   17.95% N/A N/A
Nasdaq Switzerland Index(1) -18.21% 5.03% 6.67% N/A   27.79% 90.73% N/A
MSCI Switzerland Index -18.32% 5.53% 6.84% 7.54%   30.88% 93.78% 120.42%
(See Notes to Fund Performance Overview Page 34.)
Performance Review
The Fund generated a NAV return of -20.88% during the 12-month period covered by this report. During the same period, the MSCI Switzerland Index (the “Benchmark”) generated a return of -18.32%. During the same period, the Fund was most heavily weighted toward the Financials sector at 23.2%, with the Industrials sector a close second at 22.5%. The Industrials sector contributed -7.8% to the Fund’s overall return, the most negative of any sector. No sector contributed positively to the Fund’s total return. The total currency effect to the Fund during the period covered by this report was -0.3%.

(1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods.
Nasdaq® and Nasdaq AlphaDEX® Switzerland Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 26

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Switzerland AlphaDEX® Fund (FSZ) (Continued)
Sector Allocation % of Total
Long-Term
Investments
Industrials 24.8%
Financials 23.8
Health Care 14.3
Consumer Staples 8.0
Consumer Discretionary 7.7
Materials 7.4
Real Estate 5.8
Communication Services 3.2
Utilities 3.1
Information Technology 1.9
Total 100.0%
Top Ten Holdings % of Total
Long-Term
Investments
Holcim AG 4.8%
Swatch Group (The) AG 4.8
Zurich Insurance Group AG 4.4
Novartis AG 4.2
Galenica AG 4.2
PSP Swiss Property AG 4.2
Helvetia Holding AG 4.0
Bucher Industries AG 3.8
Baloise Holding AG 3.8
UBS Group AG 3.7
Total 41.9%

Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter), is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 27

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund (FDTS)
The First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the Nasdaq AlphaDEX® Developed Markets Ex-US Small Cap Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks, depositary receipts, real estate investment trusts and preferred shares that comprise the Index. The shares of the Fund are listed and trade on the Nasdaq under the ticker symbol “FDTS.” The Fund commenced trading on February 16, 2012.
The Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq Developed Markets Ex-US Small Cap Index which may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
Performance  
    Average Annual Total Returns   Cumulative Total Returns
  1 Year
Ended
12/31/22
5 Years
Ended
12/31/22
10 Years
Ended
12/31/22
Inception
(2/15/12)
to 12/31/22
  5 Years
Ended
12/31/22
10 Years
Ended
12/31/22
Inception
(2/15/12)
to 12/31/22
Fund Performance                
NAV -15.00% -0.84% 4.55% 4.51%   -4.13% 56.08% 61.58%
Market Price -14.88% -0.78% 4.44% 4.49%   -3.85% 54.46% 61.15%
Index Performance                
Nasdaq AlphaDEX® Developed Markets Ex-US Small Cap Index(1) -14.80% -0.08% N/A N/A   -0.40% N/A N/A
Nasdaq Developed Markets Ex-US Small Cap Index(1) -18.14% -0.81% 4.65% N/A   -3.99% 57.58% N/A
MSCI World ex-USA Small Cap Index -20.59% 0.45% 5.77% 5.80%   2.27% 75.21% 84.64%
(See Notes to Fund Performance Overview Page 34.)
Performance Review
The Fund generated a NAV return of -15.00% during the 12-month period covered by this report. During the same period, the MSCI World ex-USA Small Cap Index generated a return of -20.59%. The largest average weight by country was Japan at 27.44%, which contributed -2.2% toward the Fund’s return. Denmark, at 0.3%, was the largest positive contribution toward the Fund’s return. The most negative contribution to the Fund’s return came from investments in South Korea. These securities received an allocation of 18.0% and contributed -6.1% to the Fund’s overall return. The total currency effect to the Fund during the period covered by this report was -7.0%.

(1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods.
Nasdaq® and Nasdaq AlphaDEX® Developed Markets Ex-US Small Cap Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 28

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund (FDTS) (Continued)
Sector Allocation % of Total
Long-Term
Investments
Industrials 23.6%
Materials 20.0
Real Estate 12.6
Energy 11.5
Consumer Discretionary 11.0
Information Technology 6.9
Financials 4.5
Consumer Staples 3.3
Utilities 2.8
Health Care 2.1
Communication Services 1.7
Total 100.0%
Top Ten Holdings % of Total
Long-Term
Investments
Samchully Co., Ltd. 0.6%
Salzgitter AG 0.6
Torex Gold Resources, Inc. 0.6
voestalpine AG 0.6
Samhallsbyggnadsbolaget i Norden AB 0.5
Outokumpu OYJ 0.5
Pan Ocean Co., Ltd. 0.5
Hakuto Co., Ltd. 0.5
D/S Norden A/S 0.5
Bank of Georgia Group PLC 0.5
Total 5.4%

Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Frequency Distribution of Discounts and Premiums
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 29

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Emerging Markets Small Cap AlphaDEX® Fund (FEMS)
The First Trust Emerging Markets Small Cap AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the Nasdaq AlphaDEX® Emerging Markets Small Cap Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks, depositary receipts, real estate investment trusts and preferred shares that comprise the Index. The shares of the Fund are listed and trade on the Nasdaq under the ticker symbol “FEMS.” The Fund commenced trading on February 16, 2012.
The Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq Emerging Markets Small Cap Index which may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
Performance  
    Average Annual Total Returns   Cumulative Total Returns
  1 Year
Ended
12/31/22
5 Years
Ended
12/31/22
10 Years
Ended
12/31/22
Inception
(2/15/12)
to 12/31/22
  5 Years
Ended
12/31/22
10 Years
Ended
12/31/22
Inception
(2/15/12)
to 12/31/22
Fund Performance                
NAV 1.36% 2.64% 5.14% 6.11%   13.94% 65.00% 90.67%
Market Price 1.91% 2.62% 5.04% 6.15%   13.78% 63.54% 91.39%
Index Performance                
Nasdaq AlphaDEX® Emerging Markets Small Cap Index(1) 2.75% 4.16% N/A N/A   22.63% N/A N/A
Nasdaq Emerging Markets Small Cap Index(1) -13.78% 1.72% 4.07% N/A   8.91% 49.05% N/A
MSCI Emerging Markets Small Cap Index -18.02% 1.06% 3.21% 3.23%   5.41% 37.20% 41.27%
(See Notes to Fund Performance Overview Page 34.)
Performance Review
The Fund generated a NAV return of 1.36% during the 12-month period covered by this report. During the same period, the MSCI Emerging Markets Small Cap Index (the “Benchmark”) generated a return of -18.02%. During the period, the Fund was most heavily weighted toward investments in Taiwan and Turkey with an allocation of 19.1% and 18.1%, respectively. Investments in Taiwan contributed -6.5% to the Fund’s overall return, which was the most negative of any country. Investments in Turkey contributed 18.9% to the Fund’s return, which was the greatest of any country. The total currency effect to the Fund during the period covered by this report was -6.7%.

(1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods.
Nasdaq® and Nasdaq AlphaDEX® Emerging Markets Small Cap Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 30

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Emerging Markets Small Cap AlphaDEX® Fund (FEMS) (Continued)
Sector Allocation % of Total
Long-Term
Investments
Materials 19.2%
Industrials 17.1
Information Technology 13.3
Consumer Discretionary 9.3
Consumer Staples 9.1
Energy 8.8
Real Estate 6.1
Utilities 5.5
Financials 5.4
Communication Services 3.3
Health Care 2.9
Total 100.0%
Top Ten Holdings % of Total
Long-Term
Investments
Is Yatirim Menkul Degerler A.S. 1.6%
Dogan Sirketler Grubu Holding A.S. 1.5
Enerjisa Enerji A.S. 1.4
Pegasus Hava Tasimaciligi A.S. 1.4
Jastrzebska Spolka Weglowa S.A. 1.3
Hektas Ticaret TAS 1.3
Turk Traktor ve Ziraat Makineleri A.S. 1.3
Vestel Elektronik Sanayi ve Ticaret A.S. 1.2
Haci Omer Sabanci Holding A.S. 1.2
Cimsa Cimento Sanayi VE Ticare 1.2
Total 13.4%

Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Frequency Distribution of Discounts and Premiums
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 31

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Eurozone AlphaDEX® ETF (FEUZ)
The First Trust Eurozone AlphaDEX® ETF (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the Nasdaq AlphaDEX® Eurozone Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks, depositary receipts, real estate investment trusts and preferred shares that comprise the Index. The shares of the Fund are listed and trade on the Nasdaq under the ticker symbol “FEUZ.” The Fund commenced trading on October 22, 2014.
The Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq Eurozone Index which may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
Performance  
    Average Annual Total Returns   Cumulative Total Returns
  1 Year
Ended
12/31/22
5 Years
Ended
12/31/22
Inception
(10/21/14)
to 12/31/22
  5 Years
Ended
12/31/22
Inception
(10/21/14)
to 12/31/22
Fund Performance            
NAV -19.65% -1.60% 4.08%   -7.74% 38.80%
Market Price -19.96% -1.82% 3.95%   -8.76% 37.37%
Index Performance            
Nasdaq AlphaDEX® Eurozone Index -19.54% -1.14% 4.60%   -5.56% 44.59%
Nasdaq Eurozone Index -17.95% 0.35% 3.67%   1.75% 34.37%
MSCI EMU Index -17.86% 0.60% 3.59%   3.03% 33.52%
(See Notes to Fund Performance Overview Page 34.)
Performance Review
The Fund generated a NAV return of -19.65% during the 12-month period covered by this report. During the same period, the MSCI EMU Index (the “Benchmark”) generated a return of -17.86%. The two largest allocations by country during the same period were France, with an allocation of 24.9%, and Germany, with an allocation of 26.0%. Germany contributed -6.8% toward the Fund’s return, which was the largest contribution by country, while France contributed -3.5%. The largest positive contribution to the Fund’s return came from Irish investments, which contributed 0.9%. The total currency effect to the Fund during the period covered by this report was -4.4%.

Nasdaq® and Nasdaq AlphaDEX® Eurozone Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 32

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Eurozone AlphaDEX® ETF (FEUZ) (Continued)
Sector Allocation % of Total
Long-Term
Investments
Financials 19.1%
Industrials 16.2
Consumer Discretionary 13.2
Materials 13.0
Energy 8.7
Utilities 7.2
Real Estate 6.9
Consumer Staples 5.8
Communication Services 5.4
Health Care 3.1
Information Technology 1.4
Total 100.0%
Top Ten Holdings % of Total
Long-Term
Investments
Deutsche Lufthansa AG 1.3%
OMV AG 1.3
Repsol S.A. 1.2
Covestro AG 1.2
TotalEnergies SE 1.2
Tenaris S.A. 1.2
Eni S.p.A. 1.2
Commerzbank AG 1.2
Hannover Rueck SE 1.2
Bayerische Motoren Werke AG 1.2
Total 12.2%

Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter), is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
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Notes to Fund Performance Overview (Unaudited)
Total returns for the periods since inception are calculated from the inception date of each Fund. “Average Annual Total Returns” represent the average annual change in value of an investment over the periods indicated. “Cumulative Total Returns” represent the total change in value of an investment over the periods indicated.
Each Fund’s per share net asset value (“NAV”) is the value of one share of the Fund and is computed by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of outstanding shares. The price used to calculate market return (“Market Price”) is determined by using the midpoint of the national best bid and offer price (“NBBO”) as of the time that the Fund’s NAV is calculated. Under SEC rules, the NBBO consists of the highest displayed buy and lowest sell prices among the various exchanges trading the Fund at the time the Fund’s NAV is calculated. Prior to January 1, 2019, the price used was the midpoint between the highest bid and the lowest offer on the stock exchange on which shares of the Fund were listed for trading as of the time that the Fund’s NAV was calculated. Since shares of each Fund did not trade in the secondary market until after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund, the NAV of each Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that all distributions have been reinvested in each Fund at NAV and Market Price, respectively.
An index is a statistical composite that tracks a specified financial market or sector. Unlike each Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by each Fund. These expenses negatively impact the performance of each Fund. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. The total returns presented reflect the reinvestment of dividends on securities in the indices. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. The investment return and principal value of shares of each Fund will vary with changes in market conditions. Shares of each Fund may be worth more or less than their original cost when they are redeemed or sold in the market. Each Fund’s past performance is no guarantee of future performance.
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First Trust Exchange-Traded AlphaDEX® Fund II
Understanding Your Fund Expenses
December 31, 2022 (Unaudited)
As a shareholder of First Trust Asia Pacific ex-Japan AlphaDEX® Fund, First Trust Europe AlphaDEX® Fund, First Trust Latin America AlphaDEX® Fund, First Trust Brazil AlphaDEX® Fund, First Trust China AlphaDEX® Fund, First Trust Japan AlphaDEX® Fund, First Trust Developed Markets ex-US AlphaDEX® Fund, First Trust Emerging Markets AlphaDEX® Fund, First Trust Germany AlphaDEX® Fund, First Trust United Kingdom AlphaDEX® Fund, First Trust India NIFTY 50 Equal Weight ETF, First Trust Switzerland AlphaDEX® Fund, First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund, First Trust Emerging Markets Small Cap AlphaDEX® Fund or First Trust Eurozone AlphaDEX® ETF (each a “Fund” and collectively, the “Funds”), you incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees, if any, and other Fund expenses. This Example is intended to help you understand your ongoing costs (in U.S. dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held through the six-month period ended December 31, 2022.
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
July 1, 2022
Ending
Account Value
December 31, 2022
Annualized
Expense Ratio
Based on the
Six-Month
Period
Expenses Paid
During the
Six-Month
Period (a)
First Trust Asia Pacific ex-Japan AlphaDEX® Fund (FPA)
Actual $1,000.00 $1,000.60 0.80% $4.03
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
First Trust Europe AlphaDEX® Fund (FEP)
Actual $1,000.00 $1,044.20 0.80% $4.12
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
First Trust Latin America AlphaDEX® Fund (FLN)
Actual $1,000.00 $1,052.80 0.80% $4.14
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
First Trust Brazil AlphaDEX® Fund (FBZ)
Actual $1,000.00 $1,091.60 0.80% $4.22
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
First Trust China AlphaDEX® Fund (FCA)
Actual $1,000.00 $878.90 0.80% $3.79
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
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First Trust Exchange-Traded AlphaDEX® Fund II
Understanding Your Fund Expenses (Continued)
December 31, 2022 (Unaudited)
  Beginning
Account Value
July 1, 2022
Ending
Account Value
December 31, 2022
Annualized
Expense Ratio
Based on the
Six-Month
Period
Expenses Paid
During the
Six-Month
Period (a)
First Trust Japan AlphaDEX® Fund (FJP)
Actual $1,000.00 $1,049.10 0.80% $4.13
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
First Trust Developed Markets ex-US AlphaDEX® Fund (FDT)
Actual $1,000.00 $1,021.30 0.80% $4.08
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
First Trust Emerging Markets AlphaDEX® Fund (FEM)
Actual $1,000.00 $1,033.40 0.80% $4.10
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
First Trust Germany AlphaDEX® Fund (FGM)
Actual $1,000.00 $1,064.00 0.80% $4.16
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
First Trust United Kingdom AlphaDEX® Fund (FKU)
Actual $1,000.00 $1,033.60 0.80% $4.10
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
First Trust India NIFTY 50 Equal Weight ETF (NFTY)
Actual $1,000.00 $1,094.60 0.80% $4.22
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
First Trust Switzerland AlphaDEX® Fund (FSZ)
Actual $1,000.00 $1,044.30 0.80% $4.12
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund (FDTS)
Actual $1,000.00 $1,063.10 0.80% $4.16
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
First Trust Emerging Markets Small Cap AlphaDEX® Fund (FEMS)
Actual $1,000.00 $1,148.70 0.80% $4.33
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
First Trust Eurozone AlphaDEX® ETF (FEUZ)
Actual $1,000.00 $1,069.80 0.80% $4.17
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
    
(a) Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (July 1, 2022 through December 31, 2022), multiplied by 184/365 (to reflect the six-month period).
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First Trust Asia Pacific ex-Japan AlphaDEX® Fund (FPA)
Portfolio of Investments
December 31, 2022
Shares   Description   Value
COMMON STOCKS (a) – 90.0%
    Australia – 32.7%    
18,813   Allkem Ltd. (b)   $143,971
7,250   Ampol Ltd.   139,595
1,353   BHP Group Ltd.   42,034
17,154   BlueScope Steel Ltd.   196,679
18,269   Brambles Ltd.   150,132
57,690   Cleanaway Waste Management Ltd.   103,302
6,314   Computershare Ltd.   112,631
9,295   Fortescue Metals Group Ltd.   129,798
38,698   Harvey Norman Holdings Ltd.   108,815
15,215   IGO Ltd.   139,434
59,388   Incitec Pivot Ltd.   152,033
22,658   Insurance Australia Group Ltd.   73,277
45,054   Medibank Pvt Ltd.   90,491
2,378   Mineral Resources Ltd.   124,992
43,776   New Hope Corp., Ltd.   189,559
6,161   Newcrest Mining Ltd.   86,579
6,656   Northern Star Resources Ltd.   49,441
10,080   Origin Energy Ltd.   52,982
8,086   OZ Minerals Ltd.   153,599
57,141   Pilbara Minerals Ltd. (b)   145,892
2,077   Pro Medicus Ltd.   78,145
41,524   Qantas Airways Ltd. (b)   169,912
9,040   QBE Insurance Group Ltd.   82,660
1,675   Rio Tinto Ltd.   132,757
14,700   Santos Ltd.   71,461
6,149   Seven Group Holdings Ltd.   87,792
1,704   Sonic Healthcare Ltd.   34,770
71,781   South32 Ltd.   195,488
13,536   Telstra Corp., Ltd.   36,772
4,146   Treasury Wine Estates Ltd.   38,418
28,920   Whitehaven Coal Ltd.   185,481
2,004