First Trust Exchange-Traded AlphaDEX® Fund II
Semi-Annual Report
June 30, 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
Semi-Annual Report
June 30, 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
Semi-Annual Letter from the Chairman and CEO
June 30, 2022
Dear Shareholders,
First Trust is pleased to provide you with the semi-annual report for the First Trust Exchange-Traded AlphaDEX® Fund II (the “Funds”), which contains detailed information about the Funds for the six months ended June 30, 2022.
The trillions of dollars of stimulus funneled into the U.S. financial system by the Federal government throughout the bulk of the coronavirus (“COVID-19”) pandemic was effective in bolstering economic activity, as reflected by some impressive gross domestic product (“GDP”) statistics. It also fueled inflation. I will touch on that angle as well. Data from the U.S. Bureau of Economic Analysis indicates that annualized real GDP growth rates over the four quarters comprising 2021 were 6.3%, 6.7%, 2.3% and 6.9%, respectively. It appears, however, that the upside from those stimulus dollars may be waning. In the first two quarters of 2022, the U.S. economy contracted. Real GDP declined by an annualized 1.6% in the first quarter and declined by an annualized 0.9% in the second quarter. The war between Russia and Ukraine, which commenced in late February 2022, China’s COVID-19 shutdown this year and the ongoing supply chain bottlenecks have also provided a drag on the global economy and securities markets, in my opinion. While the standard definition of a recession is two consecutive quarters of negative GDP growth, the official arbiter of declaring recessions in the U.S. belongs to the National Bureau of Economic Research, and it factors in additional economic indicators in its evaluation process. Even if we were to experience a recession, it does not necessarily mean it will be deep in scope. Currently, the Federal Reserve (the “Fed”) is still hoping to orchestrate a soft landing for the economy, though it admits it will be challenging.
In addition to the recent decline in economic activity, the financial media is paying a good deal of attention to the inverted yield curve in the Treasury market, particularly the spread between the yields on the 2-Year and 10-Year Treasury Note (“T-Note”). As of July 27, 2022, the closing yield on the 2-Year T-Note was 3.00%, 21 basis points (“bps”) above the 2.79% yield on the 10-Year T-Note. The current inversion has only been in play in earnest since July 5, 2022. Yields on shorter-maturity bonds should be lower than those further out on the curve. For the 30-year period ended July 27, 2022, the average yield on the 10-Year T-Note was 113 bps higher than the average yield on the 2-Year T-Note. Historically, such inversions have portended that a recession is likely to arrive in the next 12-24 months. At its meeting on July 27, 2022, the Fed raised the Federal Funds target rate by 75 bps to combat the spike in inflation. The target rate currently sits at 2.50%, marking the upper bound of its 2.25% to 2.50% range. The Fed’s next meeting is scheduled for September 20-21, 2022.
In the current climate, the number one goal is to tame inflation. The Fed has made it clear that it is committed to doing so. The Consumer Price Index stood at a trailing 12-month rate of 9.1% in June 2022, its highest level since 1981. Surging inflation is the number one concern of Americans. It is certainly going to be a hot button issue in the upcoming mid-term elections in November. A recent CNN poll revealed that 75% of Americans consider inflation their top economic concern and only 25% approve of President Joe Biden’s efforts to curtail it. This dovetails into another concern: the markets. With respect to returns, on a year-to-date and 12-month basis, all the major domestic and foreign stock and bond indices were sitting in negative territory, based on their respective total returns through June 30, 2022. Sell-offs are a natural part of market cycles. We all know that prices do not go up in a straight line. As previously noted, the Fed, the economy and the markets are battling some significant headwinds. The good news is we know what they are. Suffice it to say, it will take some time to remedy them. Stay the course!
Thank you for giving First Trust the opportunity to play a role in your financial future. We value our relationship with you and will report on the Funds again in six months.
Sincerely,
James A. Bowen
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
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Table of Contents
Market Overview
First Trust Exchange-Traded AlphaDEX® Fund II
Semi-Annual Report (Unaudited)
June 30, 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 Global Economy/Investing
As we head into the second half of 2022, the latest hot topic appears to be whether or not the U.S. economy is on the cusp of a recession. After all, real gross domestic product (“GDP”) declined by an annualized 1.6% in the first quarter of 2022, according to data from the U.S. Bureau of Economic Analysis. The technical definition of a recession is two consecutive quarters of negative GDP growth. Opinions on this topic vary. Some pundits believe the U.S. economy is already in a recession. Brian Wesbury, Chief Economist at First Trust, is not one of them. Wesbury notes that the official arbiter of recessions, the National Bureau of Economic Research, considers other factors beyond just real GDP, including the job market, manufacturing activity and real income. While subject to change, Wesbury does not currently foresee a recession arriving until late 2023 or 2024. Investors should monitor the actions of the Federal Reserve (the “Fed”) over the next few months. We are anticipating additional interest rate hikes by the Fed to combat the surge in inflation, which reached 9.1% on a trailing 12-month basis in June 2022, as measured by the Consumer Price Index.
Economic headwinds extend beyond what is transpiring in the U.S. Two of the most critical events to surface so far in 2022 are the war between Russia and Ukraine, which commenced in late February 2022, and the coronavirus-induced shutdown in China. The war has helped drive the relative value of the U.S. Dollar higher against other major world currencies, in our opinion. We will touch on the U.S. Dollar later. A strong U.S. Dollar can put downward pressure on commodity prices. Historically speaking, it is common for foreign investors to funnel capital into U.S. assets when wars break out or during periods of great uncertainty. The U.S. is still viewed by many as a safe haven for capital. An end to the Russian conflict and the reopening of China’s economy would be a net gain for the economy, in our opinion.
The global growth forecast from the International Monetary Fund (“IMF”) released in April 2022 projected a 3.6% real GDP growth rate for 2022, down from 6.1% in 2021. The IMF is calling for a 3.7% growth rate for the U.S. in 2022, down from 5.7% the previous year. Advanced Economies are expected to register a 3.3% growth rate, down from 5.2%. While the gap has narrowed from prior years, Emerging Market and Developing Economies are still expected to grow faster than Advanced Economies. Their 2022 growth rate estimate is 3.8%, down from 6.8% a year ago.
We believe that global mergers and acquisitions (“M&A”) activity is a useful barometer for gauging the state of the global economy. When activity is elevated, it signals that CEOs are willing to assume risk in order to grow their businesses. Data from Refinitiv, a global provider of financial market data and infrastructure, indicates that global M&A activity totaled $2.2 trillion through the first half of 2022. While that is a good showing, the dollar volume was down 20% from the same period a year ago. The U.S. accounted for 44% of total M&A activity in the first half of 2022. Full-year 2021 set the record for global M&A. Deal activity reached an all-time high of $5.90 trillion.
Investors continued to funnel capital into exchange-traded funds (“ETFs”) and related exchange-traded products (“ETPs”) in the first half of 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 $6.18 trillion at the close of June 2022, down from $7.21 trillion at the end of 2021. In the first half of 2022, net inflows to ETFs/ETPs listed in the U.S. totaled $307.49 billion, with $158.73 billion of it flowing to equity funds. Total assets invested in ETFs/ETPs listed globally stood at $8.86 trillion, down from $10.27 trillion at the end of 2021. In the first half of this year, net inflows to ETFs/ETPs listed globally totaled $463.81 billion, with $277.22 billion of it flowing to equity funds.
Foreign Stocks and Bonds
The U.S. Dollar rose by 9.43% against a basket of major currencies in the first half of 2022, as measured by the U.S. Dollar Index (“DXY”), according to Bloomberg. The DXY Index closed at a reading of 104.69 on June 30, 2022, significantly above its 20-year average of 88.49. The stronger U.S. Dollar had a negative influence on the returns of foreign securities held by U.S. investors, provided they were unhedged.
The Bloomberg EM Hard Currency Aggregate Index of emerging markets debt posted a total return of -18.50% (USD), while the Bloomberg Global Aggregate Index of higher quality debt declined by 13.91% (USD). With respect to equities, the MSCI Emerging Markets Index of stocks posted a total return of -17.63% (USD), while the MSCI World ex USA Index was down 18.76% (USD) on a total return basis, according to Bloomberg.
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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
  6 Months
Ended
6/30/22
1 Year
Ended
6/30/22
5 Years
Ended
6/30/22
10 Years
Ended
6/30/22
Inception
(4/18/11)
to 6/30/22
  5 Years
Ended
6/30/22
10 Years
Ended
6/30/22
Inception
(4/18/11)
to 6/30/22
Fund Performance                  
NAV -15.67% -24.34% -1.02% 4.10% 1.72%   -4.98% 49.38% 20.99%
Market Price -14.56% -24.00% -1.06% 4.08% 1.72%   -5.17% 49.12% 21.01%
Index Performance                  
Nasdaq AlphaDEX® Asia Pacific Ex-Japan Index(1) -15.18% -24.06% -0.02% N/A N/A   -0.11% N/A N/A
Nasdaq DM Asia Pacific Ex-Japan Index(1) -17.06% -22.59% 2.19% N/A N/A   11.44% N/A N/A
MSCI Pacific ex-Japan Index -10.85% -14.85% 3.21% 4.95% 3.22%   17.10% 62.14% 42.64%
(See Notes to Fund Performance Overview Page 34.)

(1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods.
Nasdaq® and Nasdaq AlphaDEX® 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 22.6%
Industrials 18.3
Real Estate 14.1
Financials 9.8
Information Technology 8.1
Energy 6.6
Consumer Discretionary 6.0
Consumer Staples 5.0
Communication Services 4.7
Utilities 3.0
Health Care 1.8
Total 100.0%
Top Ten Holdings % of Total
Long-Term
Investments
Jardine Cycle & Carriage Ltd. 2.2%
Ampol Ltd. 2.0
Keppel Corp., Ltd. 1.9
Kerry Properties Ltd. 1.9
WH Group Ltd. 1.9
Nine Dragons Paper Holdings Ltd. 1.9
LG Corp. 1.9
Sino Land Co., Ltd. 1.8
Woodside Energy Group Ltd. 1.8
Hopson Development Holdings Ltd. 1.7
Total 19.0%

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 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
  6 Months
Ended
6/30/22
1 Year
Ended
6/30/22
5 Years
Ended
6/30/22
10 Years
Ended
6/30/22
Inception
(4/18/11)
to 6/30/22
  5 Years
Ended
6/30/22
10 Years
Ended
6/30/22
Inception
(4/18/11)
to 6/30/22
Fund Performance                  
NAV -26.13% -23.28% 0.75% 6.37% 3.17%   3.83% 85.35% 41.79%
Market Price -25.32% -23.35% 0.76% 6.34% 3.21%   3.85% 84.91% 42.40%
Index Performance                  
Nasdaq AlphaDEX® Europe Index(1) -26.37% -23.29% 1.37% N/A N/A   7.04% N/A N/A
Nasdaq DM Europe Index(1) -21.87% -19.02% 1.86% N/A N/A   9.64% N/A N/A
MSCI Europe Index -20.79% -17.61% 2.16% 5.44% 3.46%   11.29% 69.81% 46.37%
(See Notes to Fund Performance Overview Page 34.)

(1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods.
Nasdaq® and Nasdaq AlphaDEX® Europe Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
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 23.8%
Materials 16.3
Industrials 11.2
Consumer Discretionary 10.7
Energy 9.9
Utilities 7.6
Real Estate 6.6
Communication Services 4.7
Health Care 4.2
Consumer Staples 4.0
Information Technology 1.0
Total 100.0%
Top Ten Holdings % of Total
Long-Term
Investments
Repsol S.A. 1.1%
Leonardo S.p.A. 1.0
Bank of Ireland Group PLC 1.0
Prosus N.V. 1.0
Shell PLC 1.0
OCI N.V. 0.9
Centrica PLC 0.9
Equinor ASA 0.9
Aker BP ASA 0.9
Saab AB, Class B 0.9
Total 9.6%

Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the 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
  6 Months
Ended
6/30/22
1 Year
Ended
6/30/22
5 Years
Ended
6/30/22
10 Years
Ended
6/30/22
Inception
(4/18/11)
to 6/30/22
  5 Years
Ended
6/30/22
10 Years
Ended
6/30/22
Inception
(4/18/11)
to 6/30/22
Fund Performance                  
NAV -2.95% -14.11% 1.46% -0.49% -1.85%   7.53% -4.83% -18.86%
Market Price -2.33% -13.71% 1.54% -0.52% -1.84%   7.94% -5.11% -18.82%
Index Performance                  
Nasdaq AlphaDEX® Latin America Index(1) -3.09% -13.42% 2.79% N/A N/A   14.73% N/A N/A
Nasdaq Latin America Index(1) -3.20% -22.16% -1.60% N/A N/A   -7.74% N/A N/A
MSCI EM Latin America Index -0.57% -16.08% -0.58% -2.18% -3.68%   -2.85% -19.79% -34.26%
(See Notes to Fund Performance Overview Page 34.)

(1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods.
Nasdaq® and Nasdaq AlphaDEX® Latin America Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
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 24.7%
Utilities 17.2
Financials 16.6
Industrials 10.1
Energy 8.8
Consumer Staples 7.0
Communication Services 6.8
Consumer Discretionary 5.8
Health Care 3.0
Total 100.0%
Top Ten Holdings % of Total
Long-Term
Investments
Sociedad Quimica y Minera de Chile S.A., Class B (Preference Shares) 4.1%
Cia Sud Americana de Vapores S.A. 4.0
Empresas Copec S.A. 3.8
Banco do Brasil S.A. 3.7
El Puerto de Liverpool S.A.B. de C.V. 3.6
Cia Paranaense de Energia, Class B (Preference Shares) 3.4
Cia Energetica de Minas Gerais (Preference Shares) 3.4
Petroleo Brasileiro S.A. (Preference Shares) 3.2
Empresas CMPC S.A. 3.0
Hypera S.A. 3.0
Total 35.2%

Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter), is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
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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
  6 Months
Ended
6/30/22
1 Year
Ended
6/30/22
5 Years
Ended
6/30/22
10 Years
Ended
6/30/22
Inception
(4/18/11)
to 6/30/22
  5 Years
Ended
6/30/22
10 Years
Ended
6/30/22
Inception
(4/18/11)
to 6/30/22
Fund Performance                  
NAV -7.07% -25.22% 3.09% -1.80% -3.65%   16.45% -16.61% -34.08%
Market Price -7.34% -25.81% 3.05% -1.79% -3.69%   16.22% -16.54% -34.34%
Index Performance                  
Nasdaq AlphaDEX® Brazil Index(1) -6.89% -23.95% 5.20% N/A N/A   28.86% N/A N/A
Nasdaq Brazil Index(1) -1.52% -29.98% -0.11% N/A N/A   -0.53% N/A N/A
MSCI Brazil Index 2.75% -23.30% 0.80% -2.00% -4.53%   4.09% -18.27% -40.49%
(See Notes to Fund Performance Overview Page 34.)

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

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Brazil AlphaDEX® Fund (FBZ) (Continued)
Sector Allocation % of Total
Long-Term
Investments
Utilities 26.3%
Materials 24.3
Financials 14.1
Consumer Staples 14.1
Energy 9.6
Industrials 5.4
Consumer Discretionary 2.8
Communication Services 2.3
Health Care 1.1
Total 100.0%
Top Ten Holdings % of Total
Long-Term
Investments
Cia Paranaense de Energia, Class B (Preference Shares) 4.1%
Petroleo Brasileiro S.A. (Preference Shares) 3.8
EDP - Energias do Brasil S.A. 3.8
Cia de Transmissao de Energia Electrica Paulista (Preference Shares) 3.7
Transmissora Alianca de Energia Eletrica S.A. 3.3
JBS S.A. 3.2
Gerdau S.A. (Preference Shares) 3.2
Vale S.A. 3.1
Itausa S.A. (Preference Shares) 2.9
Neoenergia S.A. 2.9
Total 34.0%

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.
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
  6 Months
Ended
6/30/22
1 Year
Ended
6/30/22
5 Years
Ended
6/30/22
10 Years
Ended
6/30/22
Inception
(4/18/11)
to 6/30/22
  5 Years
Ended
6/30/22
10 Years
Ended
6/30/22
Inception
(4/18/11)
to 6/30/22
Fund Performance                  
NAV -5.68% -14.86% 5.24% 5.65% 1.77%   29.12% 73.27% 21.70%
Market Price -4.22% -13.54% 5.52% 5.75% 1.86%   30.85% 74.88% 22.86%
Index Performance                  
Nasdaq AlphaDEX® China Index(1) -5.10% -15.37% 6.19% N/A N/A   35.05% N/A N/A
Nasdaq China Index(1) -9.99% -31.96% 0.72% N/A N/A   3.65% N/A N/A
MSCI China Index -11.26% -31.79% 2.14% 5.49% 2.87%   11.16% 70.65% 37.34%
(See Notes to Fund Performance Overview Page 34.)

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

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust China AlphaDEX® Fund (FCA) (Continued)
Sector Allocation % of Total
Long-Term
Investments
Materials 15.2%
Utilities 15.2
Energy 14.2
Industrials 13.7
Information Technology 10.3
Consumer Discretionary 9.3
Financials 9.0
Real Estate 7.2
Health Care 2.2
Consumer Staples 2.0
Communication Services 1.7
Total 100.0%
Top Ten Holdings % of Total
Long-Term
Investments
China Hongqiao Group Ltd. 3.9%
China Overseas Land & Investment Ltd. 3.9
China Power International Development Ltd. 3.5
Dongfeng Motor Group Co., Ltd., Class H 3.4
China State Construction International Holdings Ltd. 3.3
China Coal Energy Co., Ltd., Class H 3.2
Kunlun Energy Co., Ltd. 3.2
PetroChina Co., Ltd., Class H 3.2
Angang Steel Co., Ltd., Class H 3.1
Kingboard Holdings Ltd. 2.9
Total 33.6%

Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the 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 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
  6 Months
Ended
6/30/22
1 Year
Ended
6/30/22
5 Years
Ended
6/30/22
10 Years
Ended
6/30/22
Inception
(4/18/11)
to 6/30/22
  5 Years
Ended
6/30/22
10 Years
Ended
6/30/22
Inception
(4/18/11)
to 6/30/22
Fund Performance                  
NAV -16.15% -17.39% -2.67% 2.80% 1.81%   -12.64% 31.81% 22.19%
Market Price -16.00% -17.30% -2.72% 2.82% 1.82%   -12.90% 32.00% 22.36%
Index Performance                  
Nasdaq AlphaDEX® Japan Index(1) -16.21% -17.35% -2.09% N/A N/A   -10.03% N/A N/A
Nasdaq Japan Index(1) -19.41% -19.75% 1.23% N/A N/A   6.33% N/A N/A
MSCI Japan Index -20.27% -19.93% 1.76% 5.59% 4.56%   9.13% 72.25% 64.83%
(See Notes to Fund Performance Overview Page 34.)

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

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Japan AlphaDEX® Fund (FJP) (Continued)
Sector Allocation % of Total
Long-Term
Investments
Industrials 32.2%
Consumer Discretionary 15.3
Materials 13.7
Financials 12.4
Information Technology 10.0
Energy 6.0
Utilities 4.7
Communication Services 2.9
Health Care 1.6
Consumer Staples 1.2
Total 100.0%
Top Ten Holdings % of Total
Long-Term
Investments
Inpex Corp. 2.5%
Kawasaki Kisen Kaisha Ltd. 2.0
Idemitsu Kosan Co., Ltd. 1.9
Mitsubishi Corp. 1.9
Mitsui & Co., Ltd. 1.9
Marubeni Corp. 1.9
Mitsui OSK Lines Ltd. 1.8
Mitsubishi Heavy Industries Ltd. 1.8
Nippon Yusen KK 1.8
Nippon Steel Corp. 1.7
Total 19.2%

Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter), is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 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
  6 Months
Ended
6/30/22
1 Year
Ended
6/30/22
5 Years
Ended
6/30/22
10 Years
Ended
6/30/22
Inception
(4/18/11)
to 6/30/22
  5 Years
Ended
6/30/22
10 Years
Ended
6/30/22
Inception
(4/18/11)
to 6/30/22
Fund Performance                  
NAV -20.27% -20.93% -0.14% 4.56% 1.95%   -0.71% 56.17% 24.18%
Market Price -19.74% -20.42% -0.08% 4.59% 2.01%   -0.38% 56.64% 24.99%
Index Performance                  
Nasdaq AlphaDEX® Developed Markets Ex-US Index(1) -20.23% -20.78% 0.67% N/A N/A   3.42% N/A N/A
Nasdaq Developed Markets Ex-US Index(1) -19.63% -18.62% 2.23% N/A N/A   11.65% N/A N/A
MSCI World ex USA Index -18.76% -16.76% 2.66% 5.37% 3.54%   14.04% 68.69% 47.64%
(See Notes to Fund Performance Overview Page 34.)

(1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods.
Nasdaq® and Nasdaq AlphaDEX® 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 21.8%
Industrials 17.7
Energy 14.8
Financials 13.5
Consumer Discretionary 9.5
Real Estate 6.9
Consumer Staples 4.3
Utilities 4.2
Communication Services 3.2
Information Technology 3.0
Health Care 1.1
Total 100.0%
Top Ten Holdings % of Total
Long-Term
Investments
Cenovus Energy, Inc. 0.8%
Suncor Energy, Inc. 0.7
MEG Energy Corp. 0.7
Crescent Point Energy Corp. 0.7
WH Group Ltd. 0.7
Imperial Oil Ltd. 0.6
Prosus N.V. 0.6
Nine Dragons Paper Holdings Ltd. 0.6
LG Corp. 0.6
ARC Resources Ltd. 0.6
Total 6.6%

Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the 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 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
  6 Months
Ended
6/30/22
1 Year
Ended
6/30/22
5 Years
Ended
6/30/22
10 Years
Ended
6/30/22
Inception
(4/18/11)
to 6/30/22
  5 Years
Ended
6/30/22
10 Years
Ended
6/30/22
Inception
(4/18/11)
to 6/30/22
Fund Performance                  
NAV -17.10% -20.16% 1.71% 2.37% 0.16%   8.87% 26.41% 1.78%
Market Price -15.90% -19.23% 1.81% 2.42% 0.23%   9.41% 27.05% 2.64%
Index Performance                  
Nasdaq AlphaDEX® Emerging Markets Index(1) -17.89% -20.58% 2.66% N/A N/A   14.05% N/A N/A
Nasdaq Emerging Markets Index(1) -14.90% -21.96% 2.65% N/A N/A   13.97% N/A N/A
MSCI Emerging Markets Index -17.63% -25.28% 2.18% 3.06% 1.10%   11.38% 35.23% 13.03%
(See Notes to Fund Performance Overview Page 34.)

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

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Emerging Markets AlphaDEX® Fund (FEM) (Continued)
Sector Allocation % of Total
Long-Term
Investments
Materials 22.1%
Industrials 14.1
Energy 13.0
Utilities 11.2
Financials 10.4
Information Technology 10.1
Consumer Discretionary 7.2
Real Estate 4.3
Consumer Staples 3.6
Communication Services 3.0
Health Care 1.0
Total 100.0%
Top Ten Holdings % of Total
Long-Term
Investments
BYD Electronic International Co., Ltd. 1.7%
China Coal Energy Co., Ltd., Class H 1.5
Adaro Energy Indonesia Tbk PT 1.4
Naspers Ltd., Class N 1.4
Dongfeng Motor Group Co., Ltd., Class H 1.3
Cia Sud Americana de Vapores S.A. 1.2
Sasol Ltd. 1.2
Kunlun Energy Co., Ltd. 1.2
Greentown China Holdings Ltd. 1.2
Beijing Enterprises Holdings Ltd. 1.2
Total 13.3%

Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter), is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 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
  6 Months
Ended
6/30/22
1 Year
Ended
6/30/22
5 Years
Ended
6/30/22
10 Years
Ended
6/30/22
Inception
(2/14/12)
to 6/30/22
  5 Years
Ended
6/30/22
10 Years
Ended
6/30/22
Inception
(2/14/12)
to 6/30/22
Fund Performance                  
NAV -34.57% -37.89% -2.45% 4.27% 3.23%   -11.67% 51.93% 39.11%
Market Price -34.48% -37.98% -2.48% 4.27% 3.25%   11.80% 51.96% 39.29%
Index Performance                  
Nasdaq AlphaDEX® Germany Index(1) -34.81% -38.05% -2.13% N/A N/A   -10.22% N/A N/A
Nasdaq Germany Index(1) -28.36% -31.82% -3.12% N/A N/A   -14.66% N/A N/A
MSCI Germany Index -28.68% -31.16% -2.70% 3.97% 2.97%   -12.78% 47.62% 35.42%
(See Notes to Fund Performance Overview Page 34.)

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

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Germany AlphaDEX® Fund (FGM) (Continued)
Sector Allocation % of Total
Long-Term
Investments
Consumer Discretionary 21.9%
Materials 17.8
Financials 13.4
Health Care 11.8
Real Estate 8.9
Utilities 8.3
Communication Services 7.7
Industrials 5.7
Information Technology 4.5
Total 100.0%
Top Ten Holdings % of Total
Long-Term
Investments
Talanx AG 5.1%
Bayerische Motoren Werke AG 5.0
Porsche Automobil Holding SE (Preference Shares) 4.5
Aurubis AG 4.4
Hannover Rueck SE 4.0
E.ON SE 3.9
Mercedes-Benz Group AG 3.9
LEG Immobilien SE 3.9
HeidelbergCement AG 3.7
Covestro AG 3.6
Total 42.0%

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.
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
  6 Months
Ended
6/30/22
1 Year
Ended
6/30/22
5 Years
Ended
6/30/22
10 Years
Ended
6/30/22
Inception
(2/14/12)
to 6/30/22
  5 Years
Ended
6/30/22
10 Years
Ended
6/30/22
Inception
(2/14/12)
to 6/30/22
Fund Performance                  
NAV -26.00% -24.31% 0.82% 4.09% 3.67%   4.15% 49.30% 45.37%
Market Price -26.36% -24.78% 0.81% 4.00% 3.68%   4.13% 48.07% 45.41%
Index Performance                  
Nasdaq AlphaDEX® United Kingdom Index(1) -25.89% -23.68% 1.90% N/A N/A   9.85% N/A N/A
Nasdaq United Kingdom Index(1) -13.44% -9.73% 1.67% N/A N/A   8.65% N/A N/A
MSCI United Kingdom Index -8.84% -4.00% 2.24% 3.75% 3.29%   11.74% 44.50% 39.84%
(See Notes to Fund Performance Overview Page 34.)

(1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods.
Nasdaq® and Nasdaq AlphaDEX® 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 22.3%
Materials 14.5
Consumer Discretionary 13.3
Industrials 12.2
Communication Services 10.3
Consumer Staples 9.4
Utilities 6.3
Energy 4.1
Real Estate 3.9
Information Technology 2.9
Health Care 0.8
Total 100.0%
Top Ten Holdings % of Total
Long-Term
Investments
Investec PLC 3.3%
Centrica PLC 3.1
Rio Tinto PLC 2.8
Anglo American PLC 2.7
BP PLC 2.6
Imperial Brands PLC 2.5
BT Group PLC 2.4
Frasers Group PLC 2.4
Endeavour Mining PLC 2.3
SSE PLC 2.2
Total 26.3%

Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter), is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 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. All constituents of the NIFTY 50 Index will be included in the Index, but will be equally weighted.
Performance  
      Average Annual Total Returns   Cumulative Total Returns
  6 Months
Ended
6/30/22
1 Year
Ended
6/30/22
5 Years
Ended
6/30/22
10 Years
Ended
6/30/22
Inception
(2/14/12)
to 6/30/22
  5 Years
Ended
6/30/22
10 Years
Ended
6/30/22
Inception
(2/14/12)
to 6/30/22
Fund Performance                  
NAV -12.71% -5.23% 4.34% 6.22% 5.21%   23.68% 82.88% 69.40%
Market Price -12.24% -4.80% 4.61% 6.28% 5.28%   25.29% 83.87% 70.57%
Index Performance                  
NIFTY 50 Equal Weight Index* -13.40% -4.12% N/A N/A N/A   N/A N/A N/A
NIFTY 50 Index -13.73% -4.25% 7.68% 9.20% 7.29%   44.77% 141.13% 107.44%
(See Notes to Fund Performance Overview Page 34.)

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

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 21.8%
Materials 16.0
Consumer Discretionary 13.9
Health Care 10.0
Consumer Staples 10.0
Information Technology 9.9
Energy 8.3
Utilities 4.1
Industrials 4.0
Communication Services 2.0
Total 100.0%
Top Ten Holdings % of Total
Long-Term
Investments
Oil & Natural Gas Corp., Ltd. 2.2%
Reliance Industries Ltd. 2.1
NTPC Ltd. 2.1
Hindalco Industries Ltd. 2.1
Coal India Ltd. 2.1
Dr. Reddy’s Laboratories Ltd. 2.1
Larsen & Toubro Ltd. 2.0
ITC Ltd. 2.0
State Bank of India 2.0
Mahindra & Mahindra Ltd. 2.0
Total 20.7%

Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter), is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 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
  6 Months
Ended
6/30/22
1 Year
Ended
6/30/22
5 Years
Ended
6/30/22
10 Years
Ended
6/30/22
Inception
(2/14/12)
to 6/30/22
  5 Years
Ended
6/30/22
10 Years
Ended
6/30/22
Inception
(2/14/12)
to 6/30/22
Fund Performance                  
NAV -24.23% -18.10% 3.69% 8.63% 7.72%   19.88% 128.91% 116.18%
Market Price -23.72% -17.65% 3.73% 8.66% 7.76%   20.07% 129.42% 117.04%
Index Performance                  
Nasdaq AlphaDEX® Switzerland Index(1) -24.77% -18.34% 4.07% N/A N/A   22.05% N/A N/A
Nasdaq Switzerland Index(1) -20.54% -13.61% 5.27% N/A N/A   29.26% N/A N/A
MSCI Switzerland Index -19.99% -12.68% 5.88% 8.25% 7.70%   33.05% 121.00% 115.90%
(See Notes to Fund Performance Overview Page 34.)

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

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Switzerland AlphaDEX® Fund (FSZ) (Continued)
Sector Allocation % of Total
Long-Term
Investments
Financials 24.0%
Industrials 18.0
Materials 14.3
Health Care 13.1
Real Estate 8.9
Consumer Staples 6.1
Consumer Discretionary 5.6
Communication Services 4.3
Utilities 3.6
Information Technology 2.1
Total 100.0%
Top Ten Holdings % of Total
Long-Term
Investments
Clariant AG 5.1%
PSP Swiss Property AG 5.0
Holcim AG 4.7
Helvetia Holding AG 4.4
Swisscom AG 4.3
SFS Group AG 4.1
UBS Group AG 4.0
Swiss Prime Site AG 4.0
Cie Financiere Richemont S.A., Class A 3.9
BKW AG 3.6
Total 43.1%

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 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
  6 Months
Ended
6/30/22
1 Year
Ended
6/30/22
5 Years
Ended
6/30/22
10 Years
Ended
6/30/22
Inception
(2/15/12)
to 6/30/22
  5 Years
Ended
6/30/22
10 Years
Ended
6/30/22
Inception
(2/15/12)
to 6/30/22
Fund Performance                  
NAV -20.05% -21.36% 1.27% 5.41% 4.12%   6.50% 69.31% 51.98%
Market Price -19.57% -21.17% 1.43% 5.53% 4.14%   7.36% 71.33% 52.27%
Index Performance                  
Nasdaq AlphaDEX® Developed Markets Ex-US Small Cap Index(1) -20.14% -21.23% 2.14% N/A N/A   11.16% N/A N/A
Nasdaq Developed Markets Ex-US Small Cap Index(1) -21.55% -22.70% 0.59% N/A N/A   2.97% N/A N/A
MSCI World ex-USA Small Cap Index -23.87% -23.02% 2.16% 6.70% 5.66%   11.29% 91.20% 77.01%
(See Notes to Fund Performance Overview Page 34.)

(1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods.
Nasdaq® and Nasdaq AlphaDEX® 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
Materials 21.7%
Energy 17.5
Industrials 15.7
Consumer Discretionary 12.3
Information Technology 8.2
Real Estate 6.6
Financials 6.1
Communication Services 3.7
Consumer Staples 3.5
Health Care 3.0
Utilities 1.7
Total 100.0%
Top Ten Holdings % of Total
Long-Term
Investments
OCI Co., Ltd. 0.6%
Cosmo Energy Holdings Co., Ltd. 0.6
Baytex Energy Corp. 0.6
Toho Titanium Co., Ltd. 0.6
DL Holdings Co., Ltd. 0.5
Whitehaven Coal Ltd. 0.5
BW LPG Ltd. 0.5
Grange Resources Ltd. 0.5
Enerplus Corp. 0.5
Sembcorp Industries Ltd. 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 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 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
  6 Months
Ended
6/30/22
1 Year
Ended
6/30/22
5 Years
Ended
6/30/22
10 Years
Ended
6/30/22
Inception
(2/15/12)
to 6/30/22
  5 Years
Ended
6/30/22
10 Years
Ended
6/30/22
Inception
(2/15/12)
to 6/30/22
Fund Performance                  
NAV -11.76% -20.93% 3.62% 6.32% 5.01%   19.46% 84.63% 65.99%
Market Price -11.11% -20.47% 3.66% 6.30% 5.07%   19.70% 84.18% 66.92%
Index Performance                  
Nasdaq AlphaDEX® Emerging Markets Small Cap Index(1) -11.51% -20.34% 5.29% N/A N/A   29.40% N/A N/A
Nasdaq Emerging Markets Small Cap Index(1) -15.75% -18.04% 3.75% N/A N/A   20.23% N/A N/A
MSCI Emerging Markets Small Cap Index -20.03% -20.72% 3.48% 4.31% 3.14%   18.65% 52.48% 37.80%
(See Notes to Fund Performance Overview Page 34.)

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

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Emerging Markets Small Cap AlphaDEX® Fund (FEMS) (Continued)
Sector Allocation % of Total
Long-Term
Investments
Materials 19.6%
Industrials 18.4
Information Technology 11.3
Energy 10.0
Consumer Discretionary 9.8
Real Estate 8.8
Utilities 6.3
Consumer Staples 5.8
Financials 3.7
Communication Services 3.5
Health Care 2.8
Total 100.0%
Top Ten Holdings % of Total
Long-Term
Investments
Inner Mongolia Yitai Coal Co., Ltd., Class B 1.4%
Pegasus Hava Tasimaciligi A.S. 1.3
Turk Hava Yollari AO 1.2
Turkiye Sise ve Cam Fabrikalari A.S. 1.2
Aygaz A.S. 1.2
Aksa Akrilik Kimya Sanayii A.S. 1.1
Turkiye Petrol Rafinerileri A.S. 1.0
Semirara Mining & Power Corp. 1.0
Arcelik A.S. 1.0
Indo Tambangraya Megah Tbk PT 1.0
Total 11.4%

Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter), is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 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
  6 Months
Ended
6/30/22
1 Year
Ended
6/30/22
5 Years
Ended
6/30/22
Inception
(10/21/14)
to 6/30/22
  5 Years
Ended
6/30/22
Inception
(10/21/14)
to 6/30/22
Fund Performance              
NAV -24.89% -23.89% -0.40% 3.44%   -2.00% 29.75%
Market Price -24.21% -23.86% -0.51% 3.48%   -2.54% 30.08%
Index Performance              
Nasdaq AlphaDEX® Eurozone Index -25.06% -23.89% 0.12% 3.95%   0.62% 34.68%
Nasdaq Eurozone Index -24.84% -23.86% 0.27% 2.74%   1.38% 23.08%
MSCI EMU Index -25.23% -24.02% 0.48% 2.57%   2.40% 21.53%
(See Notes to Fund Performance Overview Page 34.)

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

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Eurozone AlphaDEX® ETF (FEUZ) (Continued)
Sector Allocation % of Total
Long-Term
Investments
Financials 21.2%
Materials 14.6
Consumer Discretionary 13.4
Industrials 11.6
Energy 8.8
Utilities 8.6
Communication Services 6.5
Real Estate 5.4
Health Care 4.9
Consumer Staples 3.8
Information Technology 1.2
Total 100.0%
Top Ten Holdings % of Total
Long-Term
Investments
Prosus N.V. 1.6%
Repsol S.A. 1.5
TotalEnergies SE 1.4
Leonardo S.p.A. 1.4
Bank of Ireland Group PLC 1.3
OCI N.V. 1.2
Jeronimo Martins SGPS S.A. 1.2
Bayerische Motoren Werke AG 1.2
Rheinmetall AG 1.2
Tenaris S.A. 1.1
Total 13.1%

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 33

Table of Contents
Notes to Fund Performance Overview (Unaudited)
Total returns for the periods since inception are calculated from the inception date of each Fund. “Average Annual Total Returns” represent the average annual change in value of an investment over the periods indicated. “Cumulative Total Returns” represent the total change in value of an investment over the periods indicated.
Each Fund’s per share net asset value (“NAV”) is the value of one share of the Fund and is computed by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of outstanding shares. The price used to calculate market return (“Market Price”) is determined by using the midpoint of the national best bid and offer price (“NBBO”) as of the time that the Fund’s NAV is calculated. Under SEC rules, the NBBO consists of the highest displayed buy and lowest sell prices among the various exchanges trading the Fund at the time the Fund’s NAV is calculated. Prior to January 1, 2019, the price used was the midpoint between the highest bid and the lowest offer on the stock exchange on which shares of the Fund were listed for trading as of the time that the Fund’s NAV was calculated. Since shares of each Fund did not trade in the secondary market until after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund, the NAV of each Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that all distributions have been reinvested in each Fund at NAV and Market Price, respectively.
An index is a statistical composite that tracks a specified financial market or sector. Unlike each Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by each Fund. These expenses negatively impact the performance of each Fund. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. The total returns presented reflect the reinvestment of dividends on securities in the indices. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. The investment return and principal value of shares of each Fund will vary with changes in market conditions. Shares of each Fund may be worth more or less than their original cost when they are redeemed or sold in the market. Each Fund’s past performance is no guarantee of future performance.
Page 34

Table of Contents
First Trust Exchange-Traded AlphaDEX® Fund II
Understanding Your Fund Expenses
June 30, 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 June 30, 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
January 1, 2022
Ending
Account Value
June 30, 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 $843.30 0.80% $3.66
Hypothetical (5% return before expenses) $1,000.00 $1,020.83 0.80% $4.01
First Trust Europe AlphaDEX® Fund (FEP)
Actual $1,000.00 $738.70 0.80% $3.45
Hypothetical (5% return before expenses) $1,000.00 $1,020.83 0.80% $4.01
First Trust Latin America AlphaDEX® Fund (FLN)
Actual $1,000.00 $970.50 0.80% $3.91
Hypothetical (5% return before expenses) $1,000.00 $1,020.83 0.80% $4.01
First Trust Brazil AlphaDEX® Fund (FBZ)
Actual $1,000.00 $929.30 0.80% $3.83
Hypothetical (5% return before expenses) $1,000.00 $1,020.83 0.80% $4.01
First Trust China AlphaDEX® Fund (FCA)
Actual $1,000.00 $943.20 0.80% $3.85
Hypothetical (5% return before expenses) $1,000.00 $1,020.83 0.80% $4.01
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Table of Contents
First Trust Exchange-Traded AlphaDEX® Fund II
Understanding Your Fund Expenses (Continued)
June 30, 2022 (Unaudited)
  Beginning
Account Value
January 1, 2022
Ending
Account Value
June 30, 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 $838.50 0.80% $3.65
Hypothetical (5% return before expenses) $1,000.00 $1,020.83 0.80% $4.01
First Trust Developed Markets ex-US AlphaDEX® Fund (FDT)
Actual $1,000.00 $797.30 0.80% $3.57
Hypothetical (5% return before expenses) $1,000.00 $1,020.83 0.80% $4.01
First Trust Emerging Markets AlphaDEX® Fund (FEM)
Actual $1,000.00 $829.00 0.80% $3.63
Hypothetical (5% return before expenses) $1,000.00 $1,020.83 0.80% $4.01
First Trust Germany AlphaDEX® Fund (FGM)
Actual $1,000.00 $654.30 0.80% $3.28
Hypothetical (5% return before expenses) $1,000.00 $1,020.83 0.80% $4.01
First Trust United Kingdom AlphaDEX® Fund (FKU)
Actual $1,000.00 $740.00 0.80% $3.45
Hypothetical (5% return before expenses) $1,000.00 $1,020.83 0.80% $4.01
First Trust India NIFTY 50 Equal Weight ETF (NFTY)
Actual $1,000.00 $872.90 0.80% $3.72
Hypothetical (5% return before expenses) $1,000.00 $1,020.83 0.80% $4.01
First Trust Switzerland AlphaDEX® Fund (FSZ)
Actual $1,000.00 $757.70 0.80% $3.49
Hypothetical (5% return before expenses) $1,000.00 $1,020.83 0.80% $4.01
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund (FDTS)
Actual $1,000.00 $799.50 0.80% $3.57
Hypothetical (5% return before expenses) $1,000.00 $1,020.83 0.80% $4.01
First Trust Emerging Markets Small Cap AlphaDEX® Fund (FEMS)
Actual $1,000.00 $882.40 0.80% $3.73
Hypothetical (5% return before expenses) $1,000.00 $1,020.83 0.80% $4.01
First Trust Eurozone AlphaDEX® ETF (FEUZ)
Actual $1,000.00 $751.10 0.80% $3.47
Hypothetical (5% return before expenses) $1,000.00 $1,020.83 0.80% $4.01
    
(a) Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (January 1, 2022 through June 30, 2022), multiplied by 181/365 (to reflect the six-month period).
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First Trust Asia Pacific ex-Japan AlphaDEX® Fund (FPA)
Portfolio of Investments
June 30, 2022 (Unaudited)
Shares   Description   Value
COMMON STOCKS (a) – 95.0%
    Australia – 27.2%    
23,999   Allkem Ltd. (b)   $170,788
5,118   ALS Ltd.   37,729
11,191   Ampol Ltd.   264,413
55,755   Aurizon Holdings Ltd.   146,243
5,953   BHP Group Ltd.   169,499
16,438   BlueScope Steel Ltd.   180,407
44,531   Cleanaway Waste Management Ltd.   77,459
8,329   Computershare Ltd.   141,658
9,958   Fortescue Metals Group Ltd.   120,493
38,455   Harvey Norman Holdings Ltd.   98,477
4,878   IGO Ltd.   33,468
72,378   Incitec Pivot Ltd.   165,364
2,530   JB Hi-Fi Ltd.   67,164
19,120   Lynas Rare Earths Ltd. (b)   115,215
2,602   Mineral Resources Ltd.   86,694
25,541   Northern Star Resources Ltd.   120,587
8,599   Orica Ltd.   93,602
44,031   Origin Energy Ltd.   174,148
5,143   OZ Minerals Ltd.   63,047
64,292   Pilbara Minerals Ltd. (b)   101,625
11,927