-------------------------------------------------------------------------------- FIRST TRUST FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND Semi-Annual Report January 31, 2022 -------------------------------------------------------------------------------- AlphaDEX(R) Style Funds ----------------------- First Trust Large Cap Core AlphaDEX(R) Fund (FEX) First Trust Mid Cap Core AlphaDEX(R) Fund (FNX) First Trust Small Cap Core AlphaDEX(R) Fund (FYX) First Trust Large Cap Value AlphaDEX(R) Fund (FTA) First Trust Large Cap Growth AlphaDEX(R) Fund (FTC) First Trust Multi Cap Value AlphaDEX(R) Fund (FAB) First Trust Multi Cap Growth AlphaDEX(R) Fund (FAD) First Trust Mid Cap Value AlphaDEX(R) Fund (FNK) First Trust Mid Cap Growth AlphaDEX(R) Fund (FNY) First Trust Small Cap Value AlphaDEX(R) Fund (FYT) First Trust Small Cap Growth AlphaDEX(R) Fund (FYC) AlphaDEX(R) FAMILY OF ETFs AlphaDEX(R) is a registered trademark of First Trust Portfolios L.P. -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS SEMI-ANNUAL REPORT JANUARY 31, 2022 Shareholder Letter......................................................... 2 Market Overview............................................................ 3 Fund Performance Overview First Trust Large Cap Core AlphaDEX(R) Fund (FEX).................... 4 First Trust Mid Cap Core AlphaDEX(R) Fund (FNX)...................... 6 First Trust Small Cap Core AlphaDEX(R) Fund (FYX).................... 8 First Trust Large Cap Value AlphaDEX(R) Fund (FTA)................... 10 First Trust Large Cap Growth AlphaDEX(R) Fund (FTC).................. 12 First Trust Multi Cap Value AlphaDEX(R) Fund (FAB)................... 14 First Trust Multi Cap Growth AlphaDEX(R) Fund (FAD).................. 16 First Trust Mid Cap Value AlphaDEX(R) Fund (FNK)..................... 18 First Trust Mid Cap Growth AlphaDEX(R) Fund (FNY).................... 20 First Trust Small Cap Value AlphaDEX(R) Fund (FYT)................... 22 First Trust Small Cap Growth AlphaDEX(R) Fund (FYC).................. 24 Notes to Fund Performance Overview......................................... 26 Understanding Your Fund Expenses........................................... 27 Portfolio of Investments First Trust Large Cap Core AlphaDEX(R) Fund (FEX).................... 29 First Trust Mid Cap Core AlphaDEX(R) Fund (FNX)...................... 35 First Trust Small Cap Core AlphaDEX(R) Fund (FYX).................... 43 First Trust Large Cap Value AlphaDEX(R) Fund (FTA)................... 52 First Trust Large Cap Growth AlphaDEX(R) Fund (FTC).................. 56 First Trust Multi Cap Value AlphaDEX(R) Fund (FAB)................... 60 First Trust Multi Cap Growth AlphaDEX(R) Fund (FAD).................. 70 First Trust Mid Cap Value AlphaDEX(R) Fund (FNK)..................... 80 First Trust Mid Cap Growth AlphaDEX(R) Fund (FNY).................... 85 First Trust Small Cap Value AlphaDEX(R) Fund (FYT)................... 90 First Trust Small Cap Growth AlphaDEX(R) Fund (FYC).................. 96 Statements of Assets and Liabilities....................................... 102 Statements of Operations................................................... 105 Statements of Changes in Net Assets........................................ 108 Financial Highlights....................................................... 112 Notes to Financial Statements.............................................. 118 Additional Information..................................................... 127 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 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(R) Fund (the "Trust") described in this report (each such series is referred to as a "Fund" and collectively, as the "Funds") to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue reliance on these forward-looking statements, which reflect the judgment of the Advisor and its representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof. PERFORMANCE AND RISK DISCLOSURE There is no assurance that any Fund described in this report will achieve its investment objective. Each Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund's shares may therefore be less than what you paid for them. Accordingly, you can lose money investing in a Fund. See "Risk Considerations" in the Additional Information section of this report for a discussion of certain other risks in investing in the Funds. Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please visit www.ftportfolios.com or speak with your financial advisor. Investment returns, net asset value and share price will fluctuate and Fund shares, when sold, may be worth more or less than their original cost. The Advisor may also periodically provide additional information on Fund performance on each Fund's webpage at www.ftportfolios.com. HOW TO READ THIS REPORT This report contains information that may help you evaluate your investment. It includes details about each Fund and presents data and analysis that provide insight into each Fund's performance and investment approach. By reading the market overview by Robert F. Carey, Chief Market Strategist of the Advisor, you may obtain an understanding of how the market environment affected the performance of each Fund. The statistical information that follows may help you understand each Fund's performance compared to that of relevant market benchmarks. It is important to keep in mind that the opinions expressed by personnel of the Advisor are just that: informed opinions. They should not be considered to be promises or advice. The opinions, like the statistics, cover the period through the date on the cover of this report. The material risks of investing in each Fund are spelled out in its prospectus, statement of additional information, and other Fund regulatory filings. Page 1 -------------------------------------------------------------------------------- SHAREHOLDER LETTER -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO JANUARY 31, 2022 Dear Shareholders: First Trust is pleased to provide you with the semi-annual report for the Style Funds of the First Trust Exchange-Traded AlphaDEX(R) Fund (the "Funds"), which contains detailed information about the Funds for the six-month period ended January 31, 2022. It is times like these that really test the resolve of investors. Since the start of November 2021, we have seen the major U.S. stock indices decline markedly from their all-time highs. Many pundits and experts are calling for additional near-term selling pressure due to robust inflation and the prospects for multiple interest rate hikes from the Federal Reserve (the "Fed"), with anticipation that rate increases could begin as early as March 2022. For the record, Brian Wesbury, Chief Economist at First Trust, has been steadfast in his belief that the Fed is already behind the curve with respect to inflation and interest rates, which means the Fed may have a little chasing to do at some point to deliver on its mandate of price stability. In January 2022, the Consumer Price Index stood at 7.5% on a trailing 12-month basis, the highest it has been since 1982, according to the U.S. Bureau of Labor Statistics ("BLS"). The spike in inflation over the past year is primarily rooted in a massive increase in the U.S. money supply, in my opinion. It was brought to bear to mitigate the economic fallout from the coronavirus ("COVID-19") pandemic. The disruption of the global supply chain and the overall lack of goods available for consumption are also contributing to the spike in inflation, and both happen to be collateral damage from the pandemic. Remember, the definition of inflation is "too many dollars chasing too few goods." This is the climate we are in today. It has been roughly two years since the onset of the COVID-19 pandemic and we are still battling this stubborn virus. There is, however, some good news to report. Despite the recommendation from the Centers for Disease Control and Prevention that masks continue to be worn indoors, as of mid-February 2022, many states had terminated their divisive mask mandates, and more could do so soon. Providing that the number of cases continues to shrink in the U.S., and we do not encounter any other significant variants like Omicron, we could attempt another run at fully reopening the U.S. economy (such an attempt was made in 2021 prior to the onset of the Omicron variant). Reopening the economy could prove to be a positive, and much needed, influence on getting more people back to work. This is especially relevant for those parents staying at home due to a shortage of daycare services or for those with children still e-learning. The U.S. finished 2021 with 10.9 million job openings, well above the 10-year average of 6.0 million, according to the BLS. Lastly, we believe that politics, both domestic and foreign, could influence the markets in 2022. The most pressing issue currently is the conflict between Russia and Ukraine. The prevailing concern is that a Russian invasion could boost uncertainty and increase volatility in the markets, particularly the energy market. A war could conceivably push the price of oil higher, putting additional strain on inflation. On the domestic front, as it stands, the Biden Administration's Build Back Better Act does not have the support of enough Democrats in the Senate to pass. It included substantial tax hikes primarily targeting the wealthy to pay for the nearly $2 trillion price tag. At best, the hope is to split it up into smaller bills to see if pieces of it can pass. That leads us to the second domestic political issue: the midterm elections in November 2022. If the Republicans can win back control of the House and the Senate, I would expect gridlock to persist throughout the last two years of President Joe Biden's term. The good news is that gridlock is a normal byproduct of our system of checks and balances. The markets have experienced it, and investors have navigated it, plenty of times. The bottom line is that we need to reopen the economy and get people back to work. 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, /s/ James A. Bowen Chairman of the Board of Trustees Chief Executive Officer of First Trust Advisors L.P. Page 2 -------------------------------------------------------------------------------- MARKET OVERVIEW -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SEMI-ANNUAL REPORT JANUARY 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 U.S./GLOBAL ECONOMY Suffice it to say, the most unintended consequence of the trillions of dollars of subsidies and stimulus payments funneled into the U.S. economy by the Federal government to help mitigate the fallout from the coronavirus ("COVID-19") pandemic is robust inflation. It was likely unintended since significant portions of the U.S. economy were not fully reopened, making it challenging to accurately forecast where consumer sentiment would stand. One key measure of inflation is the Consumer Price Index ("CPI"). The CPI stood at 7.5% on a trailing 12-month basis in January 2022, up from 5.4% in July 2021, and way up from 1.4% in January 2021, according to data from the U.S. Bureau of Labor Statistics. The CPI has not been this elevated since 1982. The surge in inflation looks as though it is here to stay. Federal Reserve (the "Fed") Chairman Jerome Powell has changed his expectations on inflation from characterizing it as transitory to it being more persistent in nature. In the hopes of keeping inflation from becoming entrenched, the Fed began expediting the tapering of its monthly bond buying program in December 2021. This program has been successful at pushing down intermediate and longer maturity bond yields and keeping them artificially low to help stimulate economic activity. The Fed will reduce its purchases of Treasuries and mortgage-backed securities by $30 billion per month. At that pace, the Fed should be done buying bonds in the open market by the end of March 2022. They also foresee hiking short-term interest rates at least three times in 2022, but some Wall Street firms are predicting even more hikes. The Federal Funds target rate (upper bound) is currently at 0.25%. The global growth forecast from the International Monetary Fund ("IMF") released in January 2022 sees real gross domestic product growth rising by 4.4% worldwide in 2022, down from its 5.9% projection for 2021. The IMF is calling for a 4.0% growth rate for the U.S. in 2022, down from its 5.6% estimate for 2021. As has been the case for many years, Emerging Market and Developing Economies are expected to grow faster than Advanced Economies in 2022. Their 2022 growth rate estimates are 4.8% and 3.9%, respectively. While global growth is expected to slow some in 2022, there does not appear to be any threat of recession in the foreseeable future. Having said that, we encourage investors to monitor the direction of inflation in the months ahead to see whether the Fed's anticipated rate hikes are effective at curbing it. If not, the Fed may need to raise interest rates more aggressively later. STYLE/EQUITY INVESTING For the six-month period ended January 31, 2022, the S&P 500(R) Index (the "Index") posted a total return of 3.44%, according to Bloomberg. Large-capitalization ("cap") value stocks outperformed large-cap growth stocks in the period. The S&P 500(R) Value Index posted a total return of 4.83%, compared to 1.95% for the S&P 500(R) Growth Index during the same period. The S&P MidCap 400(R) Index posted a total return of -1.89% in the same period. Mid-cap value stocks outperformed mid-cap growth stocks in the same period. The S&P MidCap 400(R) Value Index posted a total return of 2.23%, compared to -6.00% for the S&P MidCap 400(R) Growth Index in the period. The S&P SmallCap 600(R) Index posted a total return of -2.49% in the period. Small-cap value stocks outperformed small-cap growth stocks in the period. The S&P SmallCap 600(R) Value Index posted a total return of 0.31%, compared to -5.29% for the S&P SmallCap 600(R) Growth Index during the same period. The Index closed at 4,515.55 on January 31, 2022, 5.86% below its all-time high, according to Bloomberg. A Bloomberg survey of 24 equity strategists found that their average 2022 year-end price target for the Index was 4,933 as of February 17, 2022 (most recent release). The highest and lowest estimates were 5,330 and 4,200, respectively. Brian Wesbury, Chief Economist at First Trust, has a year-end price target of 5,250. Index earnings projections are positive for 2022 and 2023. Keep in mind that these forecasts are subject to change. As of February 4, 2022, Bloomberg's consensus year-over-year earnings growth rate estimates for 2022 and 2023 stood at 7.07% and 9.97%, respectively. These estimates are more in line with the historical norm for the Index than the 49.51% estimated earnings growth rate for 2021, which reflects a robust rebound from the COVID-19-induced 12.44% plunge in earnings in 2020. ETFGI, an independent research and consultancy firm, reported that total assets invested in exchange-traded funds ("ETFs") and related exchange-traded products ("ETPs") listed globally stood at an all-time high of $10.27 trillion in December 2021, up from $7.99 trillion a year ago, according to its own release. Total assets of U.S. listed ETFs/ETPs stood at an all-time high of $7.21 trillion, up from $5.47 trillion a year ago. Page 3 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) The First Trust Large Cap Core AlphaDEX(R) 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(R) Large Cap Core 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 Stock Market LLC under the ticker symbol "FEX." The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 500 Large Cap Index that 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 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/22 1/31/22 1/31/22 1/31/22 to 1/31/22 1/31/22 1/31/22 to 1/31/22 FUND PERFORMANCE NAV 0.73% 18.91% 13.13% 13.27% 8.80% 85.30% 247.79% 246.52% Market Price 0.71% 18.89% 13.11% 13.26% 8.80% 85.15% 247.34% 246.50% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Large Cap Core Index(1) 1.03% 19.64% 13.83% N/A N/A 91.14% N/A N/A Nasdaq US 500 Large Cap Index(1) 2.01% 20.44% 16.87% N/A N/A 118.07% N/A N/A S&P 500(R) Index 3.44% 23.29% 16.78% 15.43% 9.96% 117.21% 319.82% 305.02% ----------------------------------------------------------------------------------------------------------------------------------- (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. (See Notes to Fund Performance Overview on page 26.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 18.2% Information Technology 17.6 Health Care 12.7 Industrials 10.3 Consumer Discretionary 9.3 Utilities 6.7 Energy 5.8 Materials 5.5 Real Estate 4.9 Consumer Staples 4.9 Communication Services 4.1 ------- Total 100.0% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- EOG Resources, Inc. 0.6% ConocoPhillips 0.6 Chevron Corp. 0.5 Archer-Daniels-Midland Co. 0.5 ViacomCBS, Inc., Class B 0.5 Cheniere Energy, Inc. 0.5 Fox Corp., Class A 0.5 Citizens Financial Group, Inc. 0.5 Citigroup, Inc. 0.5 Aflac, Inc. 0.5 ------- Total 5.2% ======= ----------------------------- Nasdaq(R) and the 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(R) 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 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) (CONTINUED) PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2011 - JANUARY 31, 2022 First Trust Large Cap Core S&P 500(R) AlphaDEX(R) Fund Index 7/11 $10,000 $10,000 1/12 10,073 10,271 7/12 10,220 10,913 1/13 11,751 11,994 7/13 13,429 13,641 1/14 14,434 14,576 7/14 15,824 15,952 1/15 16,444 16,649 7/15 17,037 17,739 1/16 15,254 16,538 7/16 17,650 18,736 1/17 18,905 19,853 7/17 20,593 21,741 1/18 23,573 25,095 7/18 23,418 25,271 1/19 22,163 24,515 7/19 24,235 27,291 1/20 25,201 29,832 7/20 24,710 30,555 1/21 29,464 34,978 7/21 34,780 41,689 1/22 35,035 43,123 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 5 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) The First Trust Mid Cap Core AlphaDEX(R) 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(R) Mid Cap Core 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 Stock Market LLC under the ticker symbol "FNX." The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 600 Mid Cap Index that 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 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/22 1/31/22 1/31/22 1/31/22 to 1/31/22 1/31/22 1/31/22 to 1/31/22 FUND PERFORMANCE NAV -2.03% 14.75% 12.15% 11.90% 9.20% 77.38% 207.95% 265.84% Market Price -2.03% 14.74% 12.17% 11.90% 9.20% 77.55% 207.83% 265.82% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Mid Cap Core Index(1) -1.72% 15.47% 12.86% N/A N/A 83.14% N/A N/A Nasdaq US 600 Mid Cap Index(1) -6.00% 7.58% 11.72% N/A N/A 74.03% N/A N/A S&P MidCap 400(R) Index -1.89% 14.05% 11.04% 12.63% 9.28% 68.80% 228.47% 269.89% ----------------------------------------------------------------------------------------------------------------------------------- (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. (See Notes to Fund Performance Overview on page 26.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 20.9% Industrials 16.8 Consumer Discretionary 15.1 Information Technology 8.4 Materials 8.4 Real Estate 8.1 Health Care 7.8 Energy 3.9 Utilities 3.8 Consumer Staples 3.7 Communication Services 3.1 ------- Total 100.0% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- APA Corp. 0.5% Kohl's Corp. 0.5 Discovery, Inc., Class A 0.5 Diamondback Energy, Inc. 0.5 Continental Resources, Inc. 0.5 Ovintiv, Inc. 0.5 Targa Resources Corp. 0.4 Antero Resources Corp. 0.4 HollyFrontier Corp. 0.4 Enstar Group Ltd. 0.4 ------- Total 4.6% ======= ----------------------------- Nasdaq(R) and the 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(R) 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 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) (CONTINUED) PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2011 - JANUARY 31, 2022 First Trust Mid Cap S&P MidCap Core AlphaDEX(R) Fund 400(R) Index 7/11 $10,000 $10,000 1/12 10,160 10,003 7/12 10,067 10,120 1/13 11,754 11,860 7/13 13,359 13,460 1/14 14,590 14,453 7/14 15,162 15,194 1/15 15,422 16,025 7/15 16,002 16,910 1/16 13,771 14,952 7/16 16,124 17,845 1/17 17,636 19,462 7/17 18,479 20,466 1/18 21,037 22,889 7/18 21,681 23,441 1/19 20,383 21,862 7/19 21,946 23,629 1/20 22,325 24,328 7/20 20,656 22,790 1/21 27,266 28,814 7/21 31,937 33,492 1/22 31,288 32,855 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 7 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) The First Trust Small Cap Core AlphaDEX(R) 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(R) Small Cap Core 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 Stock Market LLC under the ticker symbol "FYX." The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 700 Small Cap Index that 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 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/22 1/31/22 1/31/22 1/31/22 to 1/31/22 1/31/22 1/31/22 to 1/31/22 FUND PERFORMANCE NAV -0.66% 12.46% 11.83% 11.81% 8.49% 74.90% 205.27% 232.18% Market Price -0.68% 12.37% 11.81% 11.80% 8.48% 74.75% 205.07% 231.97% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Small Cap Core Index(1) -0.33% 13.20% 12.57% N/A N/A 80.79% N/A N/A Nasdaq US 700 Small Cap Index(1) -7.07% 3.60% 11.42% N/A N/A 71.69% N/A N/A S&P SmallCap 600(R) Index -2.49% 10.65% 10.83% 12.92% 9.20% 67.20% 236.99% 265.78% ----------------------------------------------------------------------------------------------------------------------------------- (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. (See Notes to Fund Performance Overview on page 26.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 24.4% Industrials 16.0 Consumer Discretionary 14.1 Information Technology 9.6 Real Estate 7.4 Health Care 7.1 Energy 5.5 Consumer Staples 4.5 Materials 4.4 Communication Services 3.6 Utilities 3.4 ------- Total 100.0% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- AMC Networks, Inc., Class A 0.4% PDC Energy, Inc. 0.4 Whiting Petroleum Corp. 0.4 NMI Holdings, Inc., Class A 0.4 SM Energy Co. 0.4 Matson, Inc. 0.4 Emergent BioSolutions, Inc. 0.4 Oasis Petroleum, Inc. 0.4 Primoris Services Corp. 0.4 CNO Financial Group, Inc. 0.4 ------- Total 4.0% ======= ----------------------------- Nasdaq(R) and the 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(R) 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 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) (CONTINUED) PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2011 - JANUARY 31, 2022 First Trust Small Cap S&P SmallCap Core AlphaDEX(R) Fund 600(R) Index 7/11 $10,000 $10,000 1/12 10,403 10,344 7/12 10,142 10,400 1/13 11,800 11,943 7/13 13,852 14,017 1/14 15,201 15,340 7/14 15,189 15,564 1/15 15,546 16,284 7/15 16,019 17,427 1/16 13,704 15,521 7/16 16,371 18,465 1/17 18,158 20,851 7/17 18,996 21,727 1/18 21,095 24,303 7/18 22,738 26,743 1/19 20,719 23,999 7/19 21,252 24,938 1/20 21,325 25,571 7/20 19,438 22,775 1/21 28,238 31,500 7/21 31,969 35,748 1/22 31,759 34,860 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 9 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) The First Trust Large Cap Value AlphaDEX(R) 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(R) Large Cap Value 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 Stock Market LLC under the ticker symbol "FTA." The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 500 Large Cap Value Index that 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 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/22 1/31/22 1/31/22 1/31/22 to 1/31/22 1/31/22 1/31/22 to 1/31/22 FUND PERFORMANCE NAV 6.81% 27.14% 9.99% 11.61% 7.80% 60.97% 200.07% 202.26% Market Price 6.78% 27.10% 9.98% 11.61% 7.79% 60.89% 199.87% 202.16% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Large Cap Value Index(1) 7.15% 27.99% 10.69% N/A N/A 66.18% N/A N/A Nasdaq US 500 Large Cap Value Index(1) 5.34% 26.22% 12.72% N/A N/A 82.01% N/A N/A S&P 500(R) Index 3.44% 23.29% 16.78% 15.43% 9.96% 117.21% 319.82% 305.02% S&P 500(R) Value Index 4.83% 24.85% 11.38% 12.56% 7.08% 71.44% 226.47% 173.84% ----------------------------------------------------------------------------------------------------------------------------------- (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. (See Notes to Fund Performance Overview on page 26.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 24.7% Utilities 11.4 Industrials 10.0 Health Care 9.6 Information Technology 8.7 Consumer Discretionary 7.5 Energy 7.2 Consumer Staples 6.7 Materials 6.6 Communication Services 6.4 Real Estate 1.2 ------- Total 100.0% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- EOG Resources, Inc. 1.1% ConocoPhillips 1.1 ViacomCBS, Inc., Class B 1.0 Fox Corp., Class A 1.0 Citigroup, Inc. 1.0 Travelers (The) Cos., Inc. 1.0 Dow, Inc. 0.9 LyondellBasell Industries N.V., Class A 0.9 Berkshire Hathaway, Inc., Class B 0.9 Tyson Foods, Inc., Class A 0.9 ------- Total 9.8% ======= ----------------------------- Nasdaq(R) and the 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(R) 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 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) (CONTINUED) PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2011 - JANUARY 31, 2022 First Trust Large Cap S&P 500(R) S&P 500(R) Value AlphaDEX(R) Fund Index Value Index 7/11 $10,000 $10,000 $10,000 1/12 10,348 10,271 10,288 7/12 10,496 10,913 10,774 1/13 12,284 11,994 12,291 7/13 13,975 13,641 14,038 1/14 14,757 14,576 14,622 7/14 16,415 15,952 16,043 1/15 16,554 16,649 16,355 7/15 16,367 17,739 17,102 1/16 14,415 16,538 15,768 7/16 16,848 18,736 18,091 1/17 19,287 19,853 19,591 7/17 20,780 21,741 20,686 1/18 23,186 25,095 23,383 7/18 22,468 25,271 22,843 1/19 21,322 24,513 22,194 7/19 22,322 27,288 24,276 1/20 23,159 29,828 26,257 7/20 20,129 30,554 23,615 1/21 24,425 34,975 26,903 7/21 29,071 41,689 32,040 1/22 31,051 43,123 33,588 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 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) The First Trust Large Cap Growth AlphaDEX(R) 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(R) Large Cap Growth 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 Stock Market LLC under the ticker symbol "FTC." The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 500 Large Cap Growth Index that 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 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/22 1/31/22 1/31/22 1/31/22 to 1/31/22 1/31/22 1/31/22 to 1/31/22 FUND PERFORMANCE NAV -6.22% 9.49% 16.27% 14.76% 9.55% 112.45% 296.12% 283.19% Market Price -6.27% 9.50% 16.26% 14.75% 9.54% 112.39% 295.93% 283.00% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Large Cap Growth Index(1) -5.97% 10.14% 16.98% N/A N/A 119.05% N/A N/A Nasdaq US 500 Large Cap Growth Index(1) -0.26% 16.80% 20.38% N/A N/A 152.83% N/A N/A S&P 500(R) Index 3.44% 23.29% 16.78% 15.43% 9.96% 117.21% 319.82% 305.02% S&P 500(R) Growth Index 1.95% 21.58% 21.24% 17.71% 12.45% 161.93% 410.88% 463.17% ----------------------------------------------------------------------------------------------------------------------------------- (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. (See Notes to Fund Performance Overview on page 26.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Information Technology 31.5% Health Care 16.1 Consumer Discretionary 12.7 Financials 10.6 Real Estate 9.1 Industrials 7.7 Materials 4.5 Energy 3.9 Communication Services 2.0 Consumer Staples 1.5 Utilities 0.4 ------- Total 100.0% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Cheniere Energy, Inc. 1.1% Blackstone, Inc. 1.0 AbbVie, Inc. 1.0 Apple, Inc. 1.0 QUALCOMM, Inc. 1.0 KKR & Co., Inc. 1.0 AutoZone, Inc. 1.0 HCA Healthcare, Inc. 0.9 Carlyle Group (The), Inc. 0.9 O'Reilly Automotive, Inc. 0.9 ------- Total 9.8% ======= ----------------------------- Nasdaq(R) and the 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(R) 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 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) (CONTINUED) PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2011 - JANUARY 31, 2022 First Trust Large Cap S&P 500(R) S&P 500(R) Growth AlphaDEX(R) Fund Index Growth Index 7/11 $10,000 $10,000 $10,000 1/12 9,688 10,271 10,264 7/12 9,811 10,913 11,038 1/13 10,986 11,994 11,743 7/13 12,600 13,641 13,300 1/14 13,838 14,576 14,556 7/14 14,979 15,952 15,892 1/15 16,083 16,649 16,944 7/15 17,574 17,739 18,354 1/16 16,101 16,538 17,267 7/16 18,272 18,736 19,324 1/17 18,065 19,853 20,020 7/17 19,933 21,741 22,604 1/18 23,492 25,095 26,562 7/18 23,957 25,271 27,489 1/19 22,474 24,515 26,635 7/19 25,670 27,291 30,116 1/20 26,815 29,832 33,220 7/20 29,804 30,555 37,508 1/21 35,048 34,978 43,131 7/21 40,923 41,689 51,430 1/22 38,376 43,123 52,437 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 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) The First Trust Multi Cap Value AlphaDEX(R) 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(R) Multi Cap Value 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 Stock Market LLC under the ticker symbol "FAB." The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select value stocks from the Nasdaq US 500 Large Cap Index, Nasdaq US 600 Mid Cap Index, and Nasdaq US 700 Small Cap Index (together, the "Nasdaq US Multi Cap Value Index") that 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 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/22 1/31/22 1/31/22 1/31/22 to 1/31/22 1/31/22 1/31/22 to 1/31/22 FUND PERFORMANCE NAV 5.00% 26.35% 9.57% 11.03% 7.92% 57.96% 184.65% 207.37% Market Price 4.97% 26.38% 9.57% 11.02% 7.92% 57.96% 184.44% 207.23% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Multi Cap Value Index(1) 5.37% 27.29% 10.38% N/A N/A 63.83% N/A N/A Nasdaq US Multi Cap Value Index(1) 4.71% 25.90% 12.39% N/A N/A 79.30% N/A N/A S&P Composite 1500(R) Index 2.98% 22.41% 16.24% 15.18% 9.92% 112.24% 310.92% 303.16% S&P Composite 1500(R) Value Index 4.54% 24.61% 11.22% 12.54% 7.24% 70.20% 225.87% 179.98% ----------------------------------------------------------------------------------------------------------------------------------- (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. (See Notes to Fund Performance Overview on page 26.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 27.1% Industrials 13.1 Consumer Discretionary 11.4 Utilities 8.4 Information Technology 7.2 Materials 6.9 Health Care 6.6 Communication Services 5.5 Consumer Staples 5.4 Energy 5.3 Real Estate 3.1 ------- Total 100.0% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- EOG Resources, Inc. 0.6% ConocoPhillips 0.6 ViacomCBS, Inc., Class B 0.5 Fox Corp., Class A 0.5 Citigroup, Inc. 0.5 Travelers (The) Cos., Inc. 0.5 Dow, Inc. 0.5 LyondellBasell Industries N.V., Class A 0.5 Berkshire Hathaway, Inc., Class B 0.5 Tyson Foods, Inc., Class A 0.5 ------- Total 5.2% ======= ----------------------------- Nasdaq(R) and the 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(R) 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 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) (CONTINUED) PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2011 - JANUARY 31, 2022 First Trust Multi Cap S&P Composite S&P Composite 1500(R) Value AlphaDEX(R) Fund 1500(R) Index Value Index 7/11 $10,000 $10,000 $10,000 1/12 10,439 10,251 10,284 7/12 10,363 10,827 10,718 1/13 12,218 11,981 12,273 7/13 14,086 13,639 14,039 1/14 15,090 14,593 14,681 7/14 16,252 15,877 16,036 1/15 16,250 16,587 16,368 7/15 16,132 17,663 17,081 1/16 13,928 16,377 15,689 7/16 16,451 18,652 18,110 1/17 18,811 19,848 19,689 7/17 19,652 21,638 20,727 1/18 21,737 24,899 23,361 7/18 21,674 25,168 22,984 1/19 20,361 24,292 22,216 7/19 20,890 26,941 24,199 1/20 21,344 29,292 26,031 7/20 18,333 29,746 23,280 1/21 23,517 34,411 26,894 7/21 28,298 40,905 32,057 1/22 29,715 42,123 33,512 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 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) The First Trust Multi Cap Growth AlphaDEX(R) 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(R) Multi Cap Growth 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 Stock Market LLC under the ticker symbol "FAD." The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 500 Large Cap Index, Nasdaq US 600 Mid Cap Index and Nasdaq US 700 Small Cap Index (together the "Nasdaq US Multi Cap Growth Index") that 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 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 1/31/22 1/31/22 1/31/22 1/31/22 to 1/31/22 1/31/22 1/31/22 to 1/31/22 FUND PERFORMANCE NAV -7.71% 3.61% 15.64% 14.01% 9.63% 106.80% 271.06% 287.31% Market Price -7.85% 3.54% 15.61% 14.00% 9.62% 106.54% 270.77% 286.88% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Multi Cap Growth Index(1) -7.42% 4.27% 16.45% N/A N/A 114.10% N/A N/A Nasdaq US Multi Cap Growth Index(1) -1.65% 13.97% 19.50% N/A N/A 143.66% N/A N/A S&P Composite 1500(R) Index 2.98% 22.41% 16.24% 15.18% 9.92% 112.24% 310.92% 303.16% S&P Composite 1500(R) Growth Index 1.38% 20.22% 20.41% 17.29% 12.26% 153.11% 392.85% 449.82% ----------------------------------------------------------------------------------------------------------------------------------- (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. (See Notes to Fund Performance Overview on page 26.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Information Technology 23.9% Health Care 16.1 Consumer Discretionary 14.2 Financials 11.6 Industrials 9.9 Real Estate 9.5 Materials 4.8 Energy 4.7 Communication Services 2.4 Consumer Staples 2.1 Utilities 0.8 ------- Total 100.0% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Cheniere Energy, Inc. 0.6% Blackstone, Inc. 0.5 AbbVie, Inc. 0.5 Apple, Inc. 0.5 QUALCOMM, Inc. 0.5 KKR & Co., Inc. 0.5 AutoZone, Inc. 0.5 HCA Healthcare, Inc. 0.5 Carlyle Group (The), Inc. 0.5 O'Reilly Automotive, Inc. 0.5 ------- Total 5.1% ======= ----------------------------- Nasdaq(R) and the 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(R) 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 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) (CONTINUED) PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2011 - JANUARY 31, 2022 First Trust Multi Cap S&P Composite S&P Composite 1500(R) Growth AlphaDEX(R) Fund 1500(R) Index Growth Index 7/11 $10,000 $10,000 $10,000 1/12 9,806 10,251 10,228 7/12 9,890 10,827 10,926 1/13 11,136 11,981 11,731 7/13 12,660 13,639 13,291 1/14 13,959 14,593 14,531 7/14 14,513 15,877 15,752 1/15 15,445 16,587 16,807 7/15 16,818 17,663 18,220 1/16 15,064 16,377 17,027 7/16 17,265 18,652 19,143 1/17 17,593 19,848 19,915 7/17 19,310 21,638 22,360 1/18 22,579 24,899 26,193 7/18 23,714 25,170 27,136 1/19 22,059 24,294 26,162 7/19 24,819 26,942 29,484 1/20 25,602 29,290 32,349 7/20 27,360 29,745 36,166 1/21 35,120 34,411 41,928 7/21 39,425 40,905 49,722 1/22 36,384 42,123 50,407 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 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) The First Trust Mid Cap Value AlphaDEX(R) 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(R) Mid Cap Value 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 Stock Market LLC under the ticker symbol "FNK." The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 600 Mid Cap Value Index that 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 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (4/19/11) Ended Ended (4/19/11) 1/31/22 1/31/22 1/31/22 1/31/22 to 1/31/22 1/31/22 1/31/22 to 1/31/22 FUND PERFORMANCE NAV 3.72% 28.35% 8.41% 10.26% 9.46% 49.74% 165.56% 165.10% Market Price 3.77% 28.42% 8.40% 10.27% 9.46% 49.65% 165.82% 165.09% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Mid Cap Value Index(1) 4.12% 29.34% 9.23% N/A N/A 55.46% N/A N/A Nasdaq US 600 Mid Cap Value Index(1) 1.65% 25.09% 9.12% N/A N/A 54.74% N/A N/A S&P MidCap 400(R) Value Index 2.23% 24.04% 9.89% 12.40% 11.15% 60.22% 221.84% 212.85% ----------------------------------------------------------------------------------------------------------------------------------- (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. (See Notes to Fund Performance Overview on page 26.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 28.2% Consumer Discretionary 16.6 Industrials 15.7 Materials 8.4 Utilities 5.9 Information Technology 5.6 Real Estate 4.7 Communication Services 4.3 Health Care 4.1 Consumer Staples 4.1 Energy 2.4 ------- Total 100.0% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Kohl's Corp. 0.9% Discovery, Inc., Class A 0.9 HollyFrontier Corp. 0.8 Enstar Group Ltd. 0.8 Radian Group, Inc. 0.8 Bunge Ltd. 0.8 MGIC Investment Corp. 0.8 IAC/InterActiveCorp. 0.8 Old Republic International Corp. 0.8 Westrock Co. 0.8 ------- Total 8.2% ======= ----------------------------- Nasdaq(R) and the 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(R) 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 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) (CONTINUED) PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2011 - JANUARY 31, 2022 First Trust Mid Cap S&P MidCap 400(R) Value AlphaDEX(R) Fund Value Index 7/11 $10,000 $10,000 1/12 10,371 10,145 7/12 10,322 10,300 1/13 12,224 12,149 7/13 14,077 13,942 1/14 15,228 14,931 7/14 16,090 15,980 1/15 15,797 16,508 7/15 15,949 16,912 1/16 13,601 15,005 7/16 16,145 18,232 1/17 18,394 20,378 7/17 18,684 20,951 1/18 20,519 22,874 7/18 20,702 23,569 1/19 19,528 22,226 7/19 19,821 23,516 1/20 19,782 24,052 7/20 16,215 20,366 1/21 21,459 26,324 7/21 26,554 31,940 1/22 27,542 32,652 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 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) The First Trust Mid Cap Growth AlphaDEX(R) 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(R) Mid Cap Growth 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 Stock Market LLC under the ticker symbol "FNY." The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 600 Mid Cap Growth Index that 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 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (4/19/11) Ended Ended (4/19/11) 1/31/22 1/31/22 1/31/22 1/31/22 to 1/31/22 1/31/22 1/31/22 to 1/31/22 FUND PERFORMANCE NAV -10.90% -3.30% 15.46% 13.08% 11.86% 105.20% 241.78% 235.07% Market Price -10.93% -3.38% 15.44% 13.06% 11.85% 104.98% 241.34% 234.82% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Mid Cap Growth Index(1) -10.57% -2.59% 16.31% N/A N/A 112.85% N/A N/A Nasdaq US 600 Mid Cap Growth Index(1) -14.10% -9.03% 13.24% N/A N/A 86.22% N/A N/A S&P MidCap 400(R) Growth Index -6.00% 4.62% 11.75% 12.54% 11.35% 74.24% 225.99% 218.79% ----------------------------------------------------------------------------------------------------------------------------------- (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. (See Notes to Fund Performance Overview on page 26.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Health Care 16.0% Information Technology 14.9 Consumer Discretionary 14.3 Industrials 13.6 Financials 12.8 Real Estate 10.7 Materials 7.0 Energy 5.2 Communication Services 2.7 Consumer Staples 2.2 Utilities 0.6 ------- Total 100.0% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- APA Corp. 1.0% Diamondback Energy, Inc. 1.0 Ovintiv, Inc. 1.0 Targa Resources Corp. 0.9 Antero Resources Corp. 0.9 LPL Financial Holdings, Inc. 0.9 Houlihan Lokey, Inc. 0.9 Sealed Air Corp. 0.8 Dick's Sporting Goods, Inc. 0.8 Ares Management Corp., Class A 0.8 ------- Total 9.0% ======= ----------------------------- Nasdaq(R) and the 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(R) 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 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) (CONTINUED) PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2011 - JANUARY 31, 2022 First Trust Mid Cap S&P MidCap 400(R) Growth AlphaDEX(R) Fund Growth Index 7/11 $10,000 $10,000 1/12 9,922 9,868 7/12 9,789 9,951 1/13 11,183 11,589 7/13 12,438 13,011 1/14 13,776 14,009 7/14 13,991 14,475 1/15 14,822 15,554 7/15 15,938 16,863 1/16 13,909 14,858 7/16 15,943 17,423 1/17 16,528 18,461 7/17 18,005 19,812 1/18 21,300 22,661 7/18 22,519 23,053 1/19 21,047 21,284 7/19 23,964 23,472 1/20 24,866 24,293 7/20 26,427 24,733 1/21 35,070 30,748 7/21 38,059 34,221 1/22 33,912 32,169 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 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) The First Trust Small Cap Value AlphaDEX(R) 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(R) Small Cap Value 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 Stock Market LLC under the ticker symbol "FYT." The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 700 Small Cap Value 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 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (4/19/11) Ended Ended (4/19/11) 1/31/22 1/31/22 1/31/22 1/31/22 to 1/31/22 1/31/22 1/31/22 to 1/31/22 FUND PERFORMANCE NAV 2.34% 21.32% 9.75% 10.40% 10.29% 59.21% 168.91% 187.50% Market Price 2.44% 21.34% 9.76% 10.40% 10.29% 59.33% 168.97% 187.56% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Small Cap Value Index(1) 2.75% 22.26% 10.56% N/A N/A 65.18% N/A N/A Nasdaq US 700 Small Cap Value Index(1) 0.24% 20.94% 10.39% N/A N/A 63.95% N/A N/A S&P SmallCap 600(R) Value Index 0.31% 17.88% 9.52% 12.16% 11.57% 57.58% 215.14% 225.59% ----------------------------------------------------------------------------------------------------------------------------------- (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. (See Notes to Fund Performance Overview on page 26.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 31.9% Industrials 17.1 Consumer Discretionary 13.5 Real Estate 5.7 Materials 5.6 Information Technology 5.4 Communication Services 4.9 Energy 4.9 Consumer Staples 4.3 Utilities 4.2 Health Care 2.5 ------- Total 100.0% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- AMC Networks, Inc., Class A 0.8% NMI Holdings, Inc., Class A 0.8 Emergent BioSolutions, Inc. 0.7 Oasis Petroleum, Inc. 0.7 Primoris Services Corp. 0.7 CNO Financial Group, Inc. 0.7 TEGNA, Inc. 0.7 SiriusPoint Ltd. 0.7 Encore Capital Group, Inc. 0.7 Apollo Commercial Real Estate Finance, Inc. 0.7 ------- Total 7.2% ======= ----------------------------- Nasdaq(R) and the 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(R) 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 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) (CONTINUED) PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2011 - JANUARY 31, 2022 First Trust Small Cap S&P SmallCap 600(R) Value AlphaDEX(R) Fund Value Index 7/11 $10,000 $10,000 1/12 10,767 10,528 7/12 10,076 10,426 1/13 12,029 12,172 7/13 14,342 14,322 1/14 15,687 15,569 7/14 16,043 16,022 1/15 16,109 16,461 7/15 15,740 17,019 1/16 13,182 15,258 7/16 15,865 18,541 1/17 18,187 21,056 7/17 18,309 21,620 1/18 20,023 24,085 7/18 21,030 26,100 1/19 19,146 23,292 7/19 18,992 23,888 1/20 19,320 24,169 7/20 17,123 19,991 1/21 23,865 28,148 7/21 28,290 33,079 1/22 28,954 33,181 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 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) The First Trust Small Cap Growth AlphaDEX(R) 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(R) Small Cap Growth 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 Stock Market LLC under the ticker symbol "FYC." The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 700 Small Cap Growth 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 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (4/19/11) Ended Ended (4/19/11) 1/31/22 1/31/22 1/31/22 1/31/22 to 1/31/22 1/31/22 1/31/22 to 1/31/22 FUND PERFORMANCE NAV -6.57% -0.36% 13.60% 13.11% 11.92% 89.16% 242.88% 236.92% Market Price -6.61% -0.41% 13.57% 13.11% 11.91% 88.93% 242.64% 236.51% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Small Cap Growth Index(1) -6.17% 0.39% 14.49% N/A N/A 96.71% N/A N/A Nasdaq US 700 Small Cap Growth Index(1) -13.84% -11.68% 12.08% N/A N/A 76.85% N/A N/A S&P SmallCap 600(R) Growth Index -5.29% 3.70% 11.90% 13.53% 12.65% 75.42% 255.79% 261.32% ----------------------------------------------------------------------------------------------------------------------------------- (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. (See Notes to Fund Performance Overview on page 26.) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Information Technology 18.2% Consumer Discretionary 17.7 Health Care 16.2 Financials 12.5 Industrials 10.0 Real Estate 8.4 Energy 5.7 Consumer Staples 3.8 Communication Services 3.0 Materials 2.5 Utilities 2.0 ------- Total 100.0% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- PDC Energy, Inc. 0.9% Matador Resources Co. 0.9 Magnolia Oil & Gas Corp., Class A 0.8 SM Energy Co. 0.8 Matson, Inc. 0.8 Dillard's, Inc., Class A 0.7 Meta Financial Group, Inc. 0.7 Signet Jewelers Ltd. 0.7 Atkore, Inc. 0.7 Vector Group Ltd. 0.7 ------- Total 7.7% ======= ----------------------------- Nasdaq(R) and the 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(R) 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 24 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) (CONTINUED) PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2011 - JANUARY 31, 2022 First Trust Small Cap S&P SmallCap 600(R) Growth AlphaDEX(R) Fund Growth Index 7/11 $10,000 $10,000 1/12 9,905 10,173 7/12 10,239 10,381 1/13 11,430 11,731 7/13 13,119 13,735 1/14 14,529 15,134 7/14 14,105 15,121 1/15 14,755 16,100 7/15 16,245 17,810 1/16 14,301 15,766 7/16 16,819 18,394 1/17 17,953 20,634 7/17 19,698 21,796 1/18 22,186 24,475 7/18 24,790 27,360 1/19 22,398 24,731 7/19 23,820 26,044 1/20 23,546 27,018 7/20 22,685 25,632 1/21 34,086 34,907 7/21 36,349 38,219 1/22 33,960 36,195 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 -------------------------------------------------------------------------------- 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. For certain Funds the total returns would have been lower if certain fees had not been waived and expenses reimbursed by the Advisor. Each Fund's per share net asset value ("NAV") is the value of one share of the Fund and is computed by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of outstanding shares. The price used to calculate market return ("Market Price") is determined by using the midpoint of the national best bid and offer price ("NBBO") as of the time that the Fund's NAV is calculated. Under SEC rules, the NBBO consists of the highest displayed buy and lowest sell prices among the various exchanges trading the Fund at the time the Fund's NAV is calculated. Prior to January 1, 2019, the price used was the midpoint between the highest bid and the lowest offer on the stock exchange on which shares of the Fund were listed for trading as of the time that the Fund's NAV was calculated. Since shares of each Fund did not trade in the secondary market until after the Fund's inception, for the period 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 26 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS UNDERSTANDING YOUR FUND EXPENSES JANUARY 31, 2022 (UNAUDITED) As a shareholder of First Trust Large Cap Core AlphaDEX(R) Fund, First Trust Mid Cap Core AlphaDEX(R) Fund, First Trust Small Cap Core AlphaDEX(R) Fund, First Trust Large Cap Value AlphaDEX(R) Fund, First Trust Large Cap Growth AlphaDEX(R) Fund, First Trust Multi Cap Value AlphaDEX(R) Fund, First Trust Multi Cap Growth AlphaDEX(R) Fund, First Trust Mid Cap Value AlphaDEX(R) Fund, First Trust Mid Cap Growth AlphaDEX(R) Fund, First Trust Small Cap Value AlphaDEX(R) Fund, or First Trust Small Cap Growth AlphaDEX(R) Fund (each a "Fund" and collectively, the "Funds"), you incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees, if any, and other Fund expenses. This Example is intended to help you understand your ongoing costs of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held through the six-month period ended January 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. ------------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH AUGUST 1, 2021 JANUARY 31, 2022 PERIOD (a) PERIOD (b) ------------------------------------------------------------------------------------------------------------------------- FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) Actual $1,000.00 $1,007.30 0.59% $2.99 Hypothetical (5% return before expenses) $1,000.00 $1,022.23 0.59% $3.01 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) Actual $1,000.00 $ 979.70 0.59% $2.94 Hypothetical (5% return before expenses) $1,000.00 $1,022.23 0.59% $3.01 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) Actual $1,000.00 $ 993.40 0.59% $2.96 Hypothetical (5% return before expenses) $1,000.00 $1,022.23 0.59% $3.01 FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) Actual $1,000.00 $1,068.10 0.59% $3.08 Hypothetical (5% return before expenses) $1,000.00 $1,022.23 0.59% $3.01 FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) Actual $1,000.00 $ 937.80 0.59% $2.88 Hypothetical (5% return before expenses) $1,000.00 $1,022.23 0.59% $3.01 Page 27 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS UNDERSTANDING YOUR FUND EXPENSES (CONTINUED) JANUARY 31, 2022 (UNAUDITED) ------------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH AUGUST 1, 2021 JANUARY 31, 2022 PERIOD (a) PERIOD (b) ------------------------------------------------------------------------------------------------------------------------- FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) Actual $1,000.00 $1,050.00 0.68% $3.51 Hypothetical (5% return before expenses) $1,000.00 $1,021.78 0.68% $3.47 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) Actual $1,000.00 $ 922.90 0.62% $3.00 Hypothetical (5% return before expenses) $1,000.00 $1,022.08 0.62% $3.16 FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) Actual $1,000.00 $1,037.20 0.70% $3.59 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57 FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) Actual $1,000.00 $ 891.00 0.70% $3.34 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57 FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) Actual $1,000.00 $1,023.40 0.70% $3.57 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57 FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) Actual $1,000.00 $ 934.30 0.70% $3.41 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% $3.57 (a) These expense ratios reflect expense caps for certain Funds. See Note 3 in Notes to Financial Statements. (b) Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (August 1, 2021 through January 31, 2022), multiplied by 184/365 (to reflect the six-month period). Page 28 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 1.7% 15,839 General Dynamics Corp. $ 3,359,452 15,483 L3Harris Technologies, Inc. 3,240,437 9,290 Lockheed Martin Corp. 3,615,018 11,373 Northrop Grumman Corp. 4,206,873 25,577 Raytheon Technologies Corp. 2,306,789 42,767 Textron, Inc. 2,910,722 --------------- 19,639,291 --------------- AIR FREIGHT & LOGISTICS -- 0.7% 40,977 Expeditors International of Washington, Inc. 4,691,047 8,512 FedEx Corp. 2,092,760 5,134 United Parcel Service, Inc., Class B 1,038,146 --------------- 7,821,953 --------------- AIRLINES -- 0.1% 25,689 Southwest Airlines Co. (a) 1,149,840 --------------- AUTO COMPONENTS -- 0.2% 20,016 Aptiv PLC (a) 2,733,785 --------------- AUTOMOBILES -- 1.1% 158,962 Ford Motor Co. 3,226,928 93,857 General Motors Co. (a) 4,949,080 5,208 Tesla, Inc. (a) 4,878,438 --------------- 13,054,446 --------------- BANKS -- 5.0% 74,212 Bank of America Corp. 3,424,142 91,122 Citigroup, Inc. 5,933,865 116,460 Citizens Financial Group, Inc. 5,994,196 101,084 Fifth Third Bancorp 4,511,379 5,328 First Republic Bank 924,887 214,117 Huntington Bancshares, Inc. 3,224,602 27,800 JPMorgan Chase & Co. 4,131,080 190,326 KeyCorp 4,769,570 28,663 M&T Bank Corp. 4,854,939 16,465 PNC Financial Services Group (The), Inc. 3,391,625 50,485 Regions Financial Corp. 1,158,126 6,490 SVB Financial Group (a) 3,789,511 75,189 Truist Financial Corp. 4,723,373 58,780 U.S. Bancorp 3,420,408 91,750 Wells Fargo & Co. 4,936,150 --------------- 59,187,853 --------------- BEVERAGES -- 0.3% 18,586 Coca-Cola (The) Co. 1,133,932 59,717 Keurig Dr Pepper, Inc. 2,266,260 --------------- 3,400,192 --------------- BIOTECHNOLOGY -- 2.3% 32,513 AbbVie, Inc. 4,450,704 9,784 Amgen, Inc. 2,222,338 13,761 Biogen, Inc. (a) 3,109,986 75,785 Gilead Sciences, Inc. 5,204,914 20,427 Horizon Therapeutics PLC (a) 1,906,452 29,987 Incyte Corp. (a) 2,228,934 8,667 Moderna, Inc. (a) 1,467,583 SHARES DESCRIPTION VALUE --------------------------------------------------------------- BIOTECHNOLOGY (CONTINUED) 5,229 Regeneron Pharmaceuticals, Inc. (a) $ 3,182,317 15,036 Vertex Pharmaceuticals, Inc. (a) 3,654,500 --------------- 27,427,728 --------------- BUILDING PRODUCTS -- 0.5% 40,580 Carrier Global Corp. 1,934,854 54,140 Johnson Controls International PLC 3,934,354 --------------- 5,869,208 --------------- CAPITAL MARKETS -- 4.5% 75,795 Bank of New York Mellon (The) Corp. 4,491,612 1,203 BlackRock, Inc. 989,997 42,528 Blackstone, Inc. 5,612,420 100,232 Carlyle Group (The), Inc. 5,116,844 52,346 Charles Schwab (The) Corp. 4,590,744 164,312 Franklin Resources, Inc. 5,253,055 8,631 Goldman Sachs Group (The), Inc. 3,061,243 24,140 Intercontinental Exchange, Inc. 3,057,572 73,862 KKR & Co., Inc. 5,256,020 2,819 Moody's Corp. 966,917 11,213 Morgan Stanley 1,149,781 1,796 MSCI, Inc. 962,871 15,722 Nasdaq, Inc. 2,817,540 9,202 Northern Trust Corp. 1,073,321 32,885 Raymond James Financial, Inc. 3,481,535 2,332 S&P Global, Inc. 968,293 35,502 State Street Corp. 3,354,939 5,596 T. Rowe Price Group, Inc. 864,190 --------------- 53,068,894 --------------- CHEMICALS -- 3.2% 7,234 Air Products and Chemicals, Inc. 2,040,856 9,415 Albemarle Corp. 2,078,267 32,743 Celanese Corp. 5,098,412 93,109 Corteva, Inc. 4,476,681 97,017 Dow, Inc. 5,794,825 68,121 DuPont de Nemours, Inc. 5,218,069 18,205 Eastman Chemical Co. 2,165,121 59,664 LyondellBasell Industries N.V., Class A 5,771,299 12,765 PPG Industries, Inc. 1,993,893 12,500 Sherwin-Williams (The) Co. 3,581,375 --------------- 38,218,798 --------------- COMMERCIAL SERVICES & SUPPLIES -- 0.6% 4,968 Cintas Corp. 1,945,121 14,516 Copart, Inc. (a) 1,876,193 15,784 Republic Services, Inc. 2,014,985 6,595 Waste Management, Inc. 992,152 --------------- 6,828,451 --------------- COMMUNICATIONS EQUIPMENT -- 0.8% 38,281 Arista Networks, Inc. (a) 4,758,711 See Notes to Financial Statements Page 29 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMUNICATIONS EQUIPMENT (CONTINUED) 34,735 Cisco Systems, Inc. $ 1,933,697 12,152 Motorola Solutions, Inc. 2,818,535 --------------- 9,510,943 --------------- CONSTRUCTION MATERIALS -- 0.4% 9,993 Martin Marietta Materials, Inc. 3,888,476 5,301 Vulcan Materials Co. 1,008,833 --------------- 4,897,309 --------------- CONSUMER FINANCE -- 1.6% 115,581 Ally Financial, Inc. 5,515,526 13,454 American Express Co. 2,419,298 37,926 Capital One Financial Corp. 5,564,882 118,619 Synchrony Financial 5,051,983 --------------- 18,551,689 --------------- CONTAINERS & PACKAGING -- 0.7% 10,163 Avery Dennison Corp. 2,087,683 117,131 International Paper Co. 5,651,571 --------------- 7,739,254 --------------- DISTRIBUTORS -- 0.8% 7,850 Genuine Parts Co. 1,045,855 73,333 LKQ Corp. 4,025,248 9,722 Pool Corp. 4,630,103 --------------- 9,701,206 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.5% 18,403 Berkshire Hathaway, Inc., Class B (a) 5,760,507 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.9% 178,953 AT&T, Inc. 4,563,301 105,904 Verizon Communications, Inc. 5,637,270 --------------- 10,200,571 --------------- ELECTRIC UTILITIES -- 4.1% 53,713 Alliant Energy Corp. 3,215,260 49,480 American Electric Power Co., Inc. 4,472,992 41,966 Duke Energy Corp. 4,408,948 48,375 Edison International 3,037,466 39,079 Entergy Corp. 4,367,860 64,163 Evergy, Inc. 4,168,028 36,289 Eversource Energy 3,247,503 76,216 Exelon Corp. 4,416,717 79,386 FirstEnergy Corp. 3,331,037 362,621 PG&E Corp. (a) 4,637,923 73,224 PPL Corp. 2,173,288 48,143 Southern (The) Co. 3,345,457 48,768 Xcel Energy, Inc. 3,397,179 --------------- 48,219,658 --------------- ELECTRICAL EQUIPMENT -- 0.8% 7,484 AMETEK, Inc. 1,023,587 12,737 Eaton Corp. PLC 2,017,923 35,513 Emerson Electric Co. 3,265,420 SHARES DESCRIPTION VALUE --------------------------------------------------------------- ELECTRICAL EQUIPMENT (CONTINUED) 3,127 Generac Holdings, Inc. (a) $ 883,002 9,464 Rockwell Automation, Inc. 2,737,178 --------------- 9,927,110 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.3% 50,334 Amphenol Corp., Class A 4,006,083 26,873 CDW Corp. 5,080,341 118,244 Corning, Inc. 4,970,978 26,648 Keysight Technologies, Inc. (a) 4,498,715 20,463 TE Connectivity Ltd. 2,926,414 2,520 Teledyne Technologies, Inc. (a) 1,062,003 12,622 Trimble, Inc. (a) 910,803 7,397 Zebra Technologies Corp., Class A (a) 3,765,961 --------------- 27,221,298 --------------- ENERGY EQUIPMENT & SERVICES -- 0.6% 45,742 Baker Hughes Co. 1,255,160 48,121 Halliburton Co. 1,479,240 110,239 Schlumberger N.V. 4,307,038 --------------- 7,041,438 --------------- ENTERTAINMENT -- 0.8% 66,169 Activision Blizzard, Inc. 5,228,013 27,585 Live Nation Entertainment, Inc. (a) 3,020,833 6,193 Take-Two Interactive Software, Inc. (a) 1,011,565 --------------- 9,260,411 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 4.7% 4,937 Alexandria Real Estate Equities, Inc. 961,925 3,762 American Tower Corp. 946,143 8,714 AvalonBay Communities, Inc. 2,128,220 9,555 Boston Properties, Inc. 1,070,924 18,478 Camden Property Trust 2,958,143 5,273 Crown Castle International Corp. 962,375 18,667 Digital Realty Trust, Inc. 2,785,676 67,068 Duke Realty Corp. 3,875,189 25,108 Equity LifeStyle Properties, Inc. 1,965,705 12,161 Equity Residential 1,079,046 3,124 Essex Property Trust, Inc. 1,038,730 14,561 Extra Space Storage, Inc. 2,885,845 91,483 Healthpeak Properties, Inc. 3,235,754 48,547 Invitation Homes, Inc. 2,038,003 14,391 Mid-America Apartment Communities, Inc. 2,974,332 26,149 Prologis, Inc. 4,100,686 8,813 Public Storage 3,159,725 5,658 SBA Communications Corp. 1,841,340 20,666 Simon Property Group, Inc. 3,042,035 15,724 Sun Communities, Inc. 2,971,207 43,058 Ventas, Inc. 2,282,935 12,833 Welltower, Inc. 1,111,723 106,903 Weyerhaeuser Co. 4,322,088 Page 30 See Notes to Financial Statements FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 26,826 WP Carey, Inc. $ 2,081,698 --------------- 55,819,447 --------------- FOOD & STAPLES RETAILING -- 0.7% 72,949 Kroger (The) Co. 3,179,847 84,399 Walgreens Boots Alliance, Inc. 4,199,694 7,606 Walmart, Inc. 1,063,395 --------------- 8,442,936 --------------- FOOD PRODUCTS -- 3.1% 81,415 Archer-Daniels-Midland Co. 6,106,125 128,908 Conagra Brands, Inc. 4,480,842 49,001 General Mills, Inc. 3,365,389 11,377 Hershey (The) Co. 2,242,065 45,096 Hormel Foods Corp. 2,140,707 51,252 Kellogg Co. 3,228,876 122,626 Kraft Heinz (The) Co. 4,390,011 11,392 McCormick & Co., Inc. 1,142,732 49,791 Mondelez International, Inc., Class A 3,337,491 63,134 Tyson Foods, Inc., Class A 5,738,249 --------------- 36,172,487 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.6% 31,280 Abbott Laboratories 3,986,949 3,065 ABIOMED, Inc. (a) 906,842 1,676 Align Technology, Inc. (a) 829,553 25,641 Baxter International, Inc. 2,190,767 8,753 Becton, Dickinson and Co. 2,224,487 25,907 Boston Scientific Corp. (a) 1,111,410 4,100 Dexcom, Inc. (a) 1,764,968 25,486 Edwards Lifesciences Corp. (a) 2,783,071 71,876 Hologic, Inc. (a) 5,048,570 1,672 IDEXX Laboratories, Inc. (a) 848,206 6,125 Intuitive Surgical, Inc. (a) 1,740,603 21,276 Medtronic PLC 2,201,853 6,700 Teleflex, Inc. 2,078,273 25,989 Zimmer Biomet Holdings, Inc. 3,197,167 --------------- 30,912,719 --------------- HEALTH CARE PROVIDERS & SERVICES -- 2.8% 7,124 Anthem, Inc. 3,141,613 21,373 Cardinal Health, Inc. 1,102,206 13,356 Centene Corp. (a) 1,038,562 23,965 Cigna Corp. 5,522,974 42,674 CVS Health Corp. 4,545,208 21,418 HCA Healthcare, Inc. 5,141,391 7,119 Humana, Inc. 2,794,207 17,513 Laboratory Corp. of America Holdings (a) 4,752,328 31,807 Quest Diagnostics, Inc. 4,294,581 2,192 UnitedHealth Group, Inc. 1,035,873 --------------- 33,368,943 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE -- 1.7% 11,768 Caesars Entertainment, Inc. (a) $ 896,016 630 Chipotle Mexican Grill, Inc. (a) 935,915 14,611 Darden Restaurants, Inc. 2,043,641 7,800 Domino's Pizza, Inc. 3,546,270 6,091 Expedia Group, Inc. (a) 1,116,419 14,111 Hilton Worldwide Holdings, Inc. (a) 2,047,647 8,212 McDonald's Corp. 2,130,603 73,568 MGM Resorts International 3,142,825 9,408 Starbucks Corp. 924,995 23,776 Yum! Brands, Inc. 2,976,042 --------------- 19,760,373 --------------- HOUSEHOLD DURABLES -- 1.1% 50,741 D.R. Horton, Inc. 4,527,112 47,372 Lennar Corp., Class A 4,552,923 745 NVR, Inc. (a) 3,968,779 --------------- 13,048,814 --------------- HOUSEHOLD PRODUCTS -- 0.6% 21,475 Church & Dwight Co., Inc. 2,204,409 12,895 Colgate-Palmolive Co. 1,063,193 7,701 Kimberly-Clark Corp. 1,060,042 13,455 Procter & Gamble (The) Co. 2,158,855 --------------- 6,486,499 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.1% 45,291 AES (The) Corp. 1,004,554 --------------- INDUSTRIAL CONGLOMERATES -- 0.4% 24,784 3M Co. 4,114,640 5,279 Honeywell International, Inc. 1,079,450 --------------- 5,194,090 --------------- INSURANCE -- 6.6% 94,242 Aflac, Inc. 5,920,282 46,772 Allstate (The) Corp. 5,643,977 96,778 American International Group, Inc. 5,588,930 10,984 Aon PLC, Class A 3,036,417 123,797 Arch Capital Group Ltd. (a) 5,734,277 6,486 Arthur J. Gallagher & Co. 1,024,399 15,659 Brown & Brown, Inc. 1,037,879 28,466 Chubb Ltd. 5,615,773 48,300 Cincinnati Financial Corp. 5,691,189 79,705 Hartford Financial Services Group (The), Inc. 5,728,398 4,461 Markel Corp. (a) 5,499,253 25,327 Marsh & McLennan Cos., Inc. 3,891,240 70,447 MetLife, Inc. 4,724,176 45,648 Principal Financial Group, Inc. 3,335,043 42,887 Progressive (The) Corp. 4,660,101 40,671 Prudential Financial, Inc. 4,537,663 35,177 Travelers (The) Cos., Inc. 5,845,714 --------------- 77,514,711 --------------- INTERACTIVE MEDIA & SERVICES -- 0.3% 1,518 Alphabet, Inc., Class A (a) 4,107,814 --------------- See Notes to Financial Statements Page 31 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) INTERNET & DIRECT MARKETING RETAIL -- 0.5% 82,750 eBay, Inc. $ 4,970,793 5,026 Etsy, Inc. (a) 789,484 --------------- 5,760,277 --------------- IT SERVICES -- 3.6% 2,654 Accenture PLC, Class A 938,401 28,210 Akamai Technologies, Inc. (a) 3,231,455 8,927 Automatic Data Processing, Inc. 1,840,480 33,475 Cloudflare, Inc., Class A (a) 3,226,990 37,215 Cognizant Technology Solutions Corp., Class A 3,178,905 8,233 EPAM Systems, Inc. (a) 3,920,061 20,166 Fidelity National Information Services, Inc. 2,418,307 21,208 Fiserv, Inc. (a) 2,241,686 9,834 FleetCor Technologies, Inc. (a) 2,343,049 13,167 Gartner, Inc. (a) 3,869,650 24,425 Global Payments, Inc. 3,660,819 16,468 International Business Machines Corp. 2,199,631 6,238 MongoDB, Inc. (a) 2,527,076 24,189 Paychex, Inc. 2,848,497 9,746 Snowflake, Inc., Class A (a) 2,688,921 4,336 VeriSign, Inc. (a) 941,692 --------------- 42,075,620 --------------- LIFE SCIENCES TOOLS & SERVICES -- 3.1% 6,895 Agilent Technologies, Inc. 960,611 78,350 Avantor, Inc. (a) 2,924,805 7,282 Bio-Rad Laboratories, Inc., Class A (a) 4,367,234 2,127 Bio-Techne Corp. 800,624 2,920 Charles River Laboratories International, Inc. (a) 962,899 10,035 Danaher Corp. 2,867,903 19,504 IQVIA Holdings, Inc. (a) 4,776,530 2,593 Mettler-Toledo International, Inc. (a) 3,818,659 27,369 PerkinElmer, Inc. 4,712,121 8,248 Thermo Fisher Scientific, Inc. 4,794,562 5,907 Waters Corp. (a) 1,890,949 9,385 West Pharmaceutical Services, Inc. 3,690,370 --------------- 36,567,267 --------------- MACHINERY -- 3.3% 10,647 Caterpillar, Inc. 2,146,009 20,181 Cummins, Inc. 4,457,579 6,419 Deere & Co. 2,416,112 12,121 Dover Corp. 2,059,479 72,130 Fortive Corp. 5,088,050 4,657 IDEX Corp. 1,003,304 4,461 Illinois Tool Works, Inc. 1,043,517 88,941 Ingersoll Rand, Inc. 4,999,374 25,281 Otis Worldwide Corp. 2,159,756 49,878 PACCAR, Inc. 4,638,155 SHARES DESCRIPTION VALUE --------------------------------------------------------------- MACHINERY (CONTINUED) 10,380 Parker-Hannifin Corp. $ 3,217,904 23,339 Stanley Black & Decker, Inc. 4,076,157 23,897 Westinghouse Air Brake Technologies Corp. 2,124,443 --------------- 39,429,839 --------------- MEDIA -- 1.8% 109,335 Comcast Corp., Class A 5,465,657 149,128 Fox Corp., Class A 6,056,088 45,062 Omnicom Group, Inc. 3,395,872 182,332 ViacomCBS, Inc., Class B 6,099,005 --------------- 21,016,622 --------------- METALS & MINING -- 1.2% 131,866 Freeport-McMoRan, Inc. 4,908,053 70,980 Newmont Corp. 4,341,847 48,206 Nucor Corp. 4,888,088 --------------- 14,137,988 --------------- MULTILINE RETAIL -- 0.6% 9,334 Dollar General Corp. 1,945,953 23,495 Dollar Tree, Inc. (a) 3,083,014 9,510 Target Corp. 2,096,289 --------------- 7,125,256 --------------- MULTI-UTILITIES -- 2.5% 37,093 Ameren Corp. 3,291,633 157,730 CenterPoint Energy, Inc. 4,473,223 50,756 CMS Energy Corp. 3,267,671 51,597 Consolidated Edison, Inc. 4,460,561 42,027 Dominion Energy, Inc. 3,389,898 27,620 DTE Energy Co. 3,326,276 24,960 Sempra Energy 3,448,474 34,013 WEC Energy Group, Inc. 3,300,621 --------------- 28,958,357 --------------- OIL, GAS & CONSUMABLE FUELS -- 5.2% 54,258 Cheniere Energy, Inc. 6,071,470 46,892 Chevron Corp. 6,158,326 76,237 ConocoPhillips 6,756,123 99,936 Devon Energy Corp. 5,053,764 61,946 EOG Resources, Inc. 6,905,740 35,971 Exxon Mobil Corp. 2,732,357 14,866 Hess Corp. 1,371,983 277,568 Kinder Morgan, Inc. 4,818,581 68,795 Marathon Petroleum Corp. 4,936,041 75,927 Occidental Petroleum Corp. 2,860,170 74,920 ONEOK, Inc. 4,546,146 24,205 Pioneer Natural Resources Co. 5,298,232 29,305 Valero Energy Corp. 2,431,436 42,265 Williams (The) Cos., Inc. 1,265,414 --------------- 61,205,783 --------------- PERSONAL PRODUCTS -- 0.2% 8,918 Estee Lauder (The) Cos., Inc., Class A 2,780,543 --------------- PHARMACEUTICALS -- 1.8% 8,596 Catalent, Inc. (a) 893,382 15,937 Eli Lilly & Co. 3,910,780 Page 32 See Notes to Financial Statements FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) PHARMACEUTICALS (CONTINUED) 12,868 Johnson & Johnson $ 2,217,028 28,720 Merck & Co., Inc. 2,340,106 74,551 Pfizer, Inc. 3,928,092 325,367 Viatris, Inc. 4,870,744 18,039 Zoetis, Inc. 3,604,012 --------------- 21,764,144 --------------- PROFESSIONAL SERVICES -- 0.8% 15,037 Equifax, Inc. 3,605,271 7,905 Jacobs Engineering Group, Inc. 1,029,073 49,518 Leidos Holdings, Inc. 4,429,385 4,811 Verisk Analytics, Inc. 943,582 --------------- 10,007,311 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.2% 20,285 CBRE Group, Inc., Class A (a) 2,055,682 --------------- ROAD & RAIL -- 1.1% 58,540 CSX Corp. 2,003,239 10,769 J.B. Hunt Transport Services, Inc. 2,073,463 7,395 Norfolk Southern Corp. 2,011,366 15,353 Old Dominion Freight Line, Inc. 4,635,531 4,368 Union Pacific Corp. 1,068,194 14,215 XPO Logistics, Inc. (a) 940,607 --------------- 12,732,400 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 4.9% 38,241 Advanced Micro Devices, Inc. (a) 4,369,034 27,976 Applied Materials, Inc. 3,865,724 6,616 Broadcom, Inc. 3,876,182 6,016 Enphase Energy, Inc. (a) 845,068 15,883 Entegris, Inc. 1,903,419 106,851 Intel Corp. 5,216,466 10,235 KLA Corp. 3,984,178 4,591 Lam Research Corp. 2,708,323 50,317 Marvell Technology, Inc. 3,592,634 12,641 Microchip Technology, Inc. 979,425 59,075 Micron Technology, Inc. 4,860,100 4,463 Monolithic Power Systems, Inc. 1,798,277 18,711 NVIDIA Corp. 4,581,575 14,496 NXP Semiconductors N.V. 2,978,058 81,018 ON Semiconductor Corp. (a) 4,780,062 24,073 QUALCOMM, Inc. 4,231,070 26,921 Teradyne, Inc. 3,161,333 --------------- 57,730,928 --------------- SOFTWARE -- 4.0% 2,744 ANSYS, Inc. (a) 932,987 13,251 Bill.com Holdings, Inc. (a) 2,493,971 17,718 Cadence Design Systems, Inc. (a) 2,695,617 30,895 Datadog, Inc., Class A (a) 4,514,068 15,312 Fortinet, Inc. (a) 4,551,339 3,340 HubSpot, Inc. (a) 1,632,592 6,845 Intuit, Inc. 3,800,549 SHARES DESCRIPTION VALUE --------------------------------------------------------------- SOFTWARE (CONTINUED) 6,545 Microsoft Corp. $ 2,035,364 12,619 Oracle Corp. 1,024,158 7,907 Palo Alto Networks, Inc. (a) 4,091,082 1,696 ServiceNow, Inc. (a) 993,483 26,850 SS&C Technologies Holdings, Inc. 2,144,509 8,960 Synopsys, Inc. (a) 2,782,080 36,028 Trade Desk (The), Inc., Class A (a) 2,505,387 4,092 Tyler Technologies, Inc. (a) 1,938,790 15,393 Unity Software, Inc. (a) 1,618,574 18,996 VMware, Inc., Class A 2,440,606 17,125 Zscaler, Inc. (a) 4,403,009 --------------- 46,598,165 --------------- SPECIALTY RETAIL -- 2.9% 2,624 AutoZone, Inc. (a) 5,212,183 78,847 Bath & Body Works, Inc. 4,420,951 54,162 Best Buy Co., Inc. 5,377,203 3,775 Burlington Stores, Inc. (a) 894,411 16,902 CarMax, Inc. (a) 1,878,995 2,652 Home Depot (The), Inc. 973,231 21,289 Lowe's Cos., Inc. 5,052,944 7,791 O'Reilly Automotive, Inc. (a) 5,077,784 19,260 Ross Stores, Inc. 1,882,665 4,612 Tractor Supply Co. 1,006,846 5,337 Ulta Beauty, Inc. (a) 1,941,281 --------------- 33,718,494 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 2.0% 24,792 Apple, Inc. 4,333,146 78,374 Dell Technologies, Inc., Class C (a) 4,452,427 348,939 Hewlett Packard Enterprise Co. 5,698,174 87,648 HP, Inc. 3,219,311 23,929 NetApp, Inc. 2,070,098 84,386 Western Digital Corp. (a) 4,366,131 --------------- 24,139,287 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.3% 13,205 NIKE, Inc., Class B 1,955,264 30,062 VF Corp. 1,960,343 --------------- 3,915,607 --------------- TRADING COMPANIES & DISTRIBUTORS -- 0.3% 17,181 Fastenal Co. 973,819 3,312 United Rentals, Inc. (a) 1,060,237 2,123 W.W. Grainger, Inc. 1,051,119 --------------- 3,085,175 --------------- WATER UTILITIES -- 0.1% 5,827 American Water Works Co., Inc. 936,982 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.3% 37,957 T-Mobile US, Inc. (a) 4,105,809 --------------- See Notes to Financial Statements Page 33 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- TOTAL COMMON STOCKS -- 99.9% $ 1,178,112,756 (Cost $1,010,681,850) --------------- MONEY MARKET FUNDS -- 0.1% 760,492 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (b) 760,492 (Cost $760,492) --------------- TOTAL INVESTMENTS -- 100.0% 1,178,873,248 (Cost $1,011,442,342) NET OTHER ASSETS AND LIABILITIES -- 0.0% 160,332 --------------- NET ASSETS -- 100.0% $ 1,179,033,580 =============== (a) Non-income producing security. (b) Rate shown reflects yield as of January 31, 2022. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 1/31/2022 PRICES INPUTS INPUTS -------------------------------------------------------------------- Common Stocks*.................................. $ 1,178,112,756 $ 1,178,112,756 $ -- $ -- Money Market Funds.............................. 760,492 760,492 -- -- -------------------------------------------------------------------- Total Investments............................... $ 1,178,873,248 $ 1,178,873,248 $ -- $ -- ==================================================================== * See Portfolio of Investments for industry breakout. Page 34 See Notes to Financial Statements FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 1.1% 5,015 Axon Enterprise, Inc. (a) $ 701,749 32,894 BWX Technologies, Inc. 1,464,112 17,036 Curtiss-Wright Corp. 2,262,210 24,741 Howmet Aerospace, Inc. 769,198 16,868 Huntington Ingalls Industries, Inc. 3,157,690 18,276 Spirit AeroSystems Holdings, Inc., Class A 801,037 14,388 Woodward, Inc. 1,586,565 --------------- 10,742,561 --------------- AIR FREIGHT & LOGISTICS -- 0.2% 14,633 C.H. Robinson Worldwide, Inc. 1,531,344 --------------- AIRLINES -- 0.2% 30,229 Alaska Air Group, Inc. (a) 1,654,735 55,301 JetBlue Airways Corp. (a) 809,054 --------------- 2,463,789 --------------- AUTO COMPONENTS -- 1.5% 87,363 BorgWarner, Inc. 3,830,868 23,147 Fox Factory Holding Corp. (a) 3,080,171 67,789 Gentex Corp. 2,128,575 147,745 Goodyear Tire & Rubber (The) Co. (a) 3,062,754 17,217 Lear Corp. 2,880,748 --------------- 14,983,116 --------------- AUTOMOBILES -- 0.6% 83,575 Harley-Davidson, Inc. 2,889,188 37,942 Thor Industries, Inc. 3,588,934 --------------- 6,478,122 --------------- BANKS -- 5.3% 67,697 Bank OZK 3,171,604 22,396 BOK Financial Corp. 2,296,710 27,156 Comerica, Inc. 2,519,534 22,912 Commerce Bancshares, Inc. 1,578,866 12,492 Cullen/Frost Bankers, Inc. 1,761,497 30,026 East West Bancorp, Inc. 2,592,445 950 First Citizens BancShares, Inc., Class A 740,126 30,979 First Financial Bankshares, Inc. 1,455,703 192,892 First Horizon Corp. 3,300,382 13,913 Glacier Bancorp, Inc. 722,502 69,735 PacWest Bancorp 3,237,796 16,491 Pinnacle Financial Partners, Inc. 1,594,844 38,396 Popular, Inc. 3,423,771 32,675 Prosperity Bancshares, Inc. 2,393,444 7,303 Signature Bank 2,224,713 29,491 SouthState Corp. 2,489,335 65,801 Synovus Financial Corp. 3,274,258 22,265 UMB Financial Corp. 2,191,989 65,117 United Bankshares, Inc. 2,300,584 171,815 Valley National Bancorp 2,391,665 42,307 Webster Financial Corp. 2,403,461 21,947 Western Alliance Bancorp 2,176,923 49,873 Zions Bancorp N.A. 3,382,387 --------------- 53,624,539 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- BEVERAGES -- 0.2% 10,560 Celsius Holdings, Inc. (a) $ 504,029 33,979 Molson Coors Beverage Co., Class B 1,619,439 --------------- 2,123,468 --------------- BIOTECHNOLOGY -- 1.2% 16,656 Apellis Pharmaceuticals, Inc. (a) 670,737 22,857 Biohaven Pharmaceutical Holding Co., Ltd. (a) 3,037,010 8,913 BioMarin Pharmaceutical, Inc. (a) 789,959 86,158 Exelixis, Inc. (a) 1,559,460 19,584 Halozyme Therapeutics, Inc. (a) 677,802 5,503 Novavax, Inc. (a) 515,631 8,745 Sarepta Therapeutics, Inc. (a) 625,880 14,577 United Therapeutics Corp. (a) 2,942,659 37,616 Vir Biotechnology, Inc. (a) 1,291,357 --------------- 12,110,495 --------------- BUILDING PRODUCTS -- 3.4% 18,346 A.O. Smith Corp. 1,402,001 28,924 Advanced Drainage Systems, Inc. 3,271,015 5,947 Allegion PLC 729,875 27,125 Armstrong World Industries, Inc. 2,685,918 68,123 AZEK (The) Co., Inc. (a) 2,250,103 45,939 Builders FirstSource, Inc. (a) 3,123,393 3,173 Carlisle Cos., Inc. 708,975 22,099 Fortune Brands Home & Security, Inc. 2,081,063 4,855 Lennox International, Inc. 1,376,975 43,507 Owens Corning 3,859,071 121,013 Resideo Technologies, Inc. (a) 2,998,702 11,324 Simpson Manufacturing Co., Inc. 1,277,234 29,160 Trex Co., Inc. (a) 2,667,265 42,794 UFP Industries, Inc. 3,417,529 86,537 Zurn Water Solutions Corp. 2,642,840 --------------- 34,491,959 --------------- CAPITAL MARKETS -- 4.0% 14,360 Affiliated Managers Group, Inc. 2,099,576 48,449 Ares Management Corp., Class A 3,862,354 12,078 Cboe Global Markets, Inc. 1,431,605 17,391 Evercore, Inc., Class A 2,170,745 6,481 FactSet Research Systems, Inc. 2,734,269 38,036 Houlihan Lokey, Inc. 4,042,466 19,830 Interactive Brokers Group, Inc., Class A 1,352,208 68,417 Invesco Ltd. 1,550,329 101,480 Jefferies Financial Group, Inc. 3,718,227 54,146 Lazard Ltd., Class A 2,362,931 19,677 LPL Financial Holdings, Inc. 3,390,741 9,210 Morningstar, Inc. 2,647,046 51,690 SEI Investments Co. 3,029,551 44,731 Stifel Financial Corp. 3,350,352 23,591 Tradeweb Markets, Inc., Class A 1,999,809 --------------- 39,742,209 --------------- See Notes to Financial Statements Page 35 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) CHEMICALS -- 3.8% 21,943 Ashland Global Holdings, Inc. $ 2,107,406 42,224 Avient Corp. 2,101,488 47,554 Axalta Coating Systems Ltd. (a) 1,408,074 18,683 Balchem Corp. 2,745,280 11,124 CF Industries Holdings, Inc. 766,110 70,394 Chemours (The) Co. 2,302,588 129,734 Element Solutions, Inc. 2,911,231 14,332 FMC Corp. 1,581,823 112,885 Huntsman Corp. 4,044,669 100,215 Mosaic (The) Co. 4,003,589 68,453 Olin Corp. 3,468,513 3,412 Quaker Chemical Corp. 713,688 7,796 RPM International, Inc. 690,804 9,783 Scotts Miracle-Gro (The) Co. 1,479,190 105,590 Valvoline, Inc. 3,478,135 40,537 Westlake Chemical Corp. 3,998,975 --------------- 37,801,563 --------------- COMMERCIAL SERVICES & SUPPLIES -- 0.6% 280,911 ADT, Inc. 2,132,115 23,679 Clean Harbors, Inc. (a) 2,191,491 13,203 Stericycle, Inc. (a) 775,544 4,637 Tetra Tech, Inc. 645,424 --------------- 5,744,574 --------------- COMMUNICATIONS EQUIPMENT -- 0.6% 30,694 Ciena Corp. (a) 2,035,319 3,217 F5, Inc. (a) 667,914 22,052 Juniper Networks, Inc. 767,851 29,780 Lumentum Holdings, Inc. (a) 3,022,074 --------------- 6,493,158 --------------- CONSTRUCTION & ENGINEERING -- 1.4% 30,558 API Group Corp. (a) 681,443 18,544 EMCOR Group, Inc. 2,210,630 34,134 MasTec, Inc. (a) 2,939,961 13,736 Quanta Services, Inc. 1,410,962 12,573 Valmont Industries, Inc. 2,731,233 96,412 WillScot Mobile Mini Holdings Corp. (a) 3,571,101 --------------- 13,545,330 --------------- CONSTRUCTION MATERIALS -- 0.3% 23,655 Eagle Materials, Inc. 3,450,082 --------------- CONSUMER FINANCE -- 1.0% 3,436 Credit Acceptance Corp. (a) 1,853,928 78,685 OneMain Holdings, Inc. 4,064,867 120,103 SLM Corp. 2,202,689 15,615 Upstart Holdings, Inc. (a) 1,702,191 --------------- 9,823,675 --------------- CONTAINERS & PACKAGING -- 2.1% 12,860 AptarGroup, Inc. 1,508,478 32,021 Berry Global Group, Inc. (a) 2,158,856 7,118 Crown Holdings, Inc. 814,299 121,150 Graphic Packaging Holding Co. 2,290,947 SHARES DESCRIPTION VALUE --------------------------------------------------------------- CONTAINERS & PACKAGING (CONTINUED) 23,135 Packaging Corp. of America $ 3,484,825 58,359 Sealed Air Corp. 3,963,743 55,146 Silgan Holdings, Inc. 2,469,438 88,761 Westrock Co. 4,097,208 --------------- 20,787,794 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.6% 21,486 Frontdoor, Inc. (a) 779,942 45,939 Grand Canyon Education, Inc. (a) 3,844,175 22,187 Service Corp. International 1,369,382 --------------- 5,993,499 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.7% 43,489 Apollo Global Management, Inc. 3,044,230 59,378 Voya Financial, Inc. 4,035,329 --------------- 7,079,559 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.7% 133,518 Frontier Communications Parent, Inc. (a) 3,559,590 19,073 Iridium Communications, Inc. (a) 684,339 250,992 Lumen Technologies, Inc. 3,102,261 --------------- 7,346,190 --------------- ELECTRIC UTILITIES -- 1.8% 56,928 Hawaiian Electric Industries, Inc. 2,419,440 20,849 IDACORP, Inc. 2,297,977 91,397 NRG Energy, Inc. 3,649,482 82,074 OGE Energy Corp. 3,112,246 55,779 Pinnacle West Capital Corp. 3,882,776 59,522 Portland General Electric Co. 3,127,286 --------------- 18,489,207 --------------- ELECTRICAL EQUIPMENT -- 0.9% 11,159 Acuity Brands, Inc. 2,137,283 29,882 EnerSys 2,239,058 7,561 Hubbell, Inc. 1,416,100 4,627 Regal Rexnord Corp. 733,287 22,958 Sunrun, Inc. (a) 595,301 94,612 Vertiv Holdings Co. 1,973,606 --------------- 9,094,635 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.3% 29,325 Arrow Electronics, Inc. (a) 3,636,300 23,050 II-VI, Inc. (a) 1,461,370 9,149 IPG Photonics Corp. (a) 1,413,246 11,493 Itron, Inc. (a) 712,566 33,580 Jabil, Inc. 2,064,834 5,005 Littelfuse, Inc. 1,351,200 6,886 TD SYNNEX Corp. 720,069 76,878 Vontier Corp. 2,161,041 --------------- 13,520,626 --------------- Page 36 See Notes to Financial Statements FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) ENERGY EQUIPMENT & SERVICES -- 0.3% 116,896 ChampionX Corp. (a) $ 2,618,470 --------------- ENTERTAINMENT -- 0.2% 36,473 Warner Music Group Corp., Class A 1,550,103 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 7.6% 11,035 Agree Realty Corp. 721,468 13,746 American Campus Communities, Inc. 718,366 36,115 American Homes 4 Rent, Class A 1,413,180 24,015 Americold Realty Trust 683,227 28,810 Apartment Income REIT Corp. 1,521,744 92,974 Brixmor Property Group, Inc. 2,357,821 58,650 Cousins Properties, Inc. 2,261,544 41,513 CubeSmart 2,106,370 23,507 Douglas Emmett, Inc. 733,888 13,824 EastGroup Properties, Inc. 2,763,556 17,330 Federal Realty Investment Trust 2,209,402 35,687 First Industrial Realty Trust, Inc. 2,169,056 16,184 Gaming and Leisure Properties, Inc. 731,193 24,890 Healthcare Realty Trust, Inc. 772,088 47,169 Healthcare Trust of America, Inc., Class A 1,535,351 35,322 Highwoods Properties, Inc. 1,523,085 45,285 Host Hotels & Resorts, Inc. (a) 785,242 8,985 Innovative Industrial Properties, Inc. 1,780,737 60,193 Iron Mountain, Inc. 2,764,063 54,859 JBG SMITH Properties 1,503,137 59,245 Kilroy Realty Corp. 3,791,680 159,734 Kimco Realty Corp. 3,875,147 12,983 Lamar Advertising Co., Class A 1,437,997 20,564 Life Storage, Inc. 2,775,112 99,977 Medical Properties Trust, Inc. 2,275,476 49,146 National Retail Properties, Inc. 2,181,099 34,139 National Storage Affiliates Trust 2,101,597 106,453 Omega Healthcare Investors, Inc. 3,351,140 12,828 PS Business Parks, Inc. 2,141,763 39,024 Rayonier, Inc. 1,425,937 20,901 Regency Centers Corp. 1,499,647 38,836 Rexford Industrial Realty, Inc. 2,841,630 17,126 Ryman Hospitality Properties, Inc. (a) 1,513,938 19,724 Safehold, Inc. 1,220,916 54,498 SL Green Realty Corp. 3,952,195 49,025 Spirit Realty Capital, Inc. 2,326,726 49,259 STAG Industrial, Inc. 2,104,837 45,783 STORE Capital Corp. 1,451,779 27,699 Terreno Realty Corp. 2,071,054 18,812 Vornado Realty Trust 771,480 --------------- 76,165,668 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- FOOD & STAPLES RETAILING -- 0.7% 52,169 Albertsons Cos., Inc., Class A $ 1,468,557 11,760 BJ's Wholesale Club Holdings, Inc. (a) 722,887 11,971 Casey's General Stores, Inc. 2,248,274 34,320 Performance Food Group Co. (a) 1,447,961 45,218 US Foods Holding Corp. (a) 1,594,387 --------------- 7,482,066 --------------- FOOD PRODUCTS -- 2.2% 42,175 Bunge Ltd. 4,169,421 54,359 Campbell Soup Co. 2,398,319 22,730 Darling Ingredients, Inc. (a) 1,449,492 57,335 Flowers Foods, Inc. 1,612,834 16,297 Ingredion, Inc. 1,543,326 23,191 J.M. Smucker (The) Co. 3,260,191 9,511 Lancaster Colony Corp. 1,510,061 27,924 Pilgrim's Pride Corp. (a) 781,034 13,971 Post Holdings, Inc. (a) 1,478,411 1,001 Seaboard Corp. 3,823,810 --------------- 22,026,899 --------------- GAS UTILITIES -- 0.9% 22,548 Atmos Energy Corp. 2,417,596 36,949 National Fuel Gas Co. 2,243,913 85,763 UGI Corp. 3,889,352 --------------- 8,550,861 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.5% 69,905 Envista Holdings Corp. (a) 3,022,692 10,907 Globus Medical, Inc., Class A (a) 727,824 6,636 ICU Medical, Inc. (a) 1,415,857 17,256 Inari Medical, Inc. (a) 1,269,351 11,756 Integra LifeSciences Holdings Corp. (a) 761,084 17,341 Neogen Corp. (a) 632,426 8,223 Penumbra, Inc. (a) 1,858,480 11,667 Quidel Corp. (a) 1,205,901 8,831 Shockwave Medical, Inc. (a) 1,280,230 26,159 Tandem Diabetes Care, Inc. (a) 3,089,640 --------------- 15,263,485 --------------- HEALTH CARE PROVIDERS & SERVICES -- 3.0% 9,730 Amedisys, Inc. (a) 1,314,523 32,187 AMN Healthcare Services, Inc. (a) 3,261,831 10,718 Apollo Medical Holdings, Inc. (a) (b) 551,763 2,976 Chemed Corp. 1,395,476 6,921 DaVita, Inc. (a) 750,029 36,201 Encompass Health Corp. 2,245,910 18,758 Ensign Group (The), Inc. 1,414,916 17,801 HealthEquity, Inc. (a) 951,285 30,471 Henry Schein, Inc. (a) 2,294,466 11,477 LHC Group, Inc. (a) 1,424,296 95,638 Premier, Inc., Class A 3,655,284 15,640 Progyny, Inc. (a) 633,420 30,895 R1 RCM, Inc. (a) 734,683 26,785 Select Medical Holdings Corp. 622,215 See Notes to Financial Statements Page 37 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 29,489 Surgery Partners, Inc. (a) $ 1,258,296 48,201 Tenet Healthcare Corp. (a) 3,572,658 30,368 Universal Health Services, Inc., Class B 3,949,662 --------------- 30,030,713 --------------- HEALTH CARE TECHNOLOGY -- 0.6% 6,847 Inspire Medical Systems, Inc. (a) 1,515,173 533,285 Multiplan Corp. (a) 2,149,138 17,457 Omnicell, Inc. (a) 2,620,994 --------------- 6,285,305 --------------- HOTELS, RESTAURANTS & LEISURE -- 1.2% 21,371 Aramark 732,812 48,040 Boyd Gaming Corp. (a) 2,856,458 5,048 Choice Hotels International, Inc. 723,883 9,807 Churchill Downs, Inc. 2,062,412 11,784 Scientific Games Corp. (a) 679,937 17,642 Texas Roadhouse, Inc. 1,506,450 14,247 Travel + Leisure Co. 809,230 33,018 Wendy's (The) Co. 760,405 9,114 Wingstop, Inc. 1,396,720 --------------- 11,528,307 --------------- HOUSEHOLD DURABLES -- 3.0% 6,442 Helen of Troy Ltd. (a) 1,348,504 76,529 Leggett & Platt, Inc. 3,049,681 25,489 LGI Homes, Inc. (a) 3,173,635 21,613 Mohawk Industries, Inc. (a) 3,412,044 144,227 Newell Brands, Inc. 3,347,509 68,884 PulteGroup, Inc. 3,629,498 26,426 Sonos, Inc. (a) 666,464 83,723 Tempur Sealy International, Inc. 3,333,013 54,391 Toll Brothers, Inc. 3,207,437 5,707 TopBuild Corp. (a) 1,327,733 16,780 Whirlpool Corp. 3,526,988 --------------- 30,022,506 --------------- HOUSEHOLD PRODUCTS -- 0.2% 75,238 Reynolds Consumer Products, Inc. 2,277,454 --------------- INSURANCE -- 7.0% 4,719 Alleghany Corp. (a) 3,133,416 28,673 American Financial Group, Inc. 3,735,518 15,158 Assurant, Inc. 2,311,747 57,829 Axis Capital Holdings Ltd. 3,295,096 71,461 CNA Financial Corp. 3,280,775 15,902 Enstar Group Ltd. (a) 4,215,302 8,175 Erie Indemnity Co., Class A 1,505,017 11,499 Everest Re Group Ltd. 3,258,817 75,459 Fidelity National Financial, Inc. 3,799,361 50,332 First American Financial Corp. 3,750,237 33,611 Globe Life, Inc. 3,438,405 24,036 Hanover Insurance Group (The), Inc. 3,316,007 26,791 Kemper Corp. 1,606,924 SHARES DESCRIPTION VALUE --------------------------------------------------------------- INSURANCE (CONTINUED) 46,146 Lincoln National Corp. $ 3,229,297 54,535 Loews Corp. 3,253,558 160,188 Old Republic International Corp. 4,105,618 15,414 Primerica, Inc. 2,378,997 21,577 Reinsurance Group of America, Inc. 2,477,687 4,650 RenaissanceRe Holdings Ltd. 730,841 21,074 RLI Corp. 2,208,134 38,442 Selective Insurance Group, Inc. 3,033,074 17,893 Trupanion, Inc. (a) 1,704,308 160,253 Unum Group 4,067,221 28,674 W.R. Berkley Corp. 2,422,953 --------------- 70,258,310 --------------- INTERACTIVE MEDIA & SERVICES -- 0.6% 30,123 IAC/InterActiveCorp. (a) 4,112,994 7,103 Ziff Davis, Inc. (a) 746,241 12,266 ZoomInfo Technologies, Inc. (a) 648,381 --------------- 5,507,616 --------------- INTERNET & DIRECT MARKETING RETAIL -- 0.4% 518,082 Qurate Retail, Inc., Series A 3,642,117 --------------- IT SERVICES -- 1.8% 59,146 Alliance Data Systems Corp. 4,083,440 97,854 DXC Technology Co. (a) 2,943,448 6,609 Euronet Worldwide, Inc. (a) 884,879 29,672 Genpact Ltd. 1,476,182 18,559 GoDaddy, Inc., Class A (a) 1,405,102 4,717 Jack Henry & Associates, Inc. 791,560 39,537 Maximus, Inc. 3,057,001 17,394 TTEC Holdings, Inc. 1,393,085 88,283 Western Union (The) Co. 1,669,432 --------------- 17,704,129 --------------- LEISURE PRODUCTS -- 1.1% 31,271 Brunswick Corp. 2,839,094 15,474 Hasbro, Inc. 1,431,036 146,101 Mattel, Inc. (a) 3,056,433 28,660 Polaris, Inc. 3,226,829 9,508 YETI Holdings, Inc. (a) 623,535 --------------- 11,176,927 --------------- LIFE SCIENCES TOOLS & SERVICES -- 1.0% 28,153 Bruker Corp. 1,874,990 37,590 Maravai LifeSciences Holdings, Inc., Class A (a) 1,087,103 14,474 Medpace Holdings, Inc. (a) 2,568,556 8,921 Repligen Corp. (a) 1,769,391 30,676 Syneos Health, Inc. (a) 2,778,018 --------------- 10,078,058 --------------- MACHINERY -- 4.1% 33,937 AGCO Corp. 3,977,416 86,657 Allison Transmission Holdings, Inc. 3,292,099 4,938 Chart Industries, Inc. (a) 601,794 34,261 Colfax Corp. (a) 1,408,812 Page 38 See Notes to Financial Statements FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 30,964 Crane Co. $ 3,205,084 26,578 Donaldson Co., Inc. 1,479,332 77,204 Flowserve Corp. 2,518,395 197,985 Gates Industrial Corp. PLC (a) 3,062,828 19,536 Graco, Inc. 1,417,532 7,706 ITT, Inc. 708,336 5,129 John Bean Technologies Corp. 692,415 5,646 Lincoln Electric Holdings, Inc. 721,785 16,009 Middleby (The) Corp. (a) 2,964,867 6,171 Nordson Corp. 1,435,004 27,946 Oshkosh Corp. 3,180,534 14,625 Snap-on, Inc. 3,045,656 45,461 Timken (The) Co. 3,036,795 7,882 Toro (The) Co. 761,244 20,278 Watts Water Technologies, Inc., Class A 3,106,792 --------------- 40,616,720 --------------- MEDIA -- 1.7% 167,265 Discovery, Inc., Class A (a) (b) 4,668,366 121,377 DISH Network Corp., Class A (a) 3,811,238 42,055 Interpublic Group of (The) Cos., Inc. 1,494,635 16,303 New York Times (The) Co., Class A 652,609 176,486 News Corp., Class A 3,925,048 15,647 Nexstar Media Group, Inc., Class A 2,587,701 --------------- 17,139,597 --------------- METALS & MINING -- 1.8% 66,087 Alcoa Corp. 3,747,794 180,866 Cleveland-Cliffs, Inc. (a) 3,100,043 24,272 Reliance Steel & Aluminum Co. 3,710,703 7,485 Royal Gold, Inc. 760,102 63,435 Steel Dynamics, Inc. 3,521,911 165,368 United States Steel Corp. 3,426,425 --------------- 18,266,978 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 1.0% 52,360 AGNC Investment Corp. 779,640 503,507 Annaly Capital Management, Inc. 3,977,705 77,154 Blackstone Mortgage Trust, Inc., Class A 2,424,179 294,112 New Residential Investment Corp. 3,132,293 --------------- 10,313,817 --------------- MULTILINE RETAIL -- 1.1% 79,721 Kohl's Corp. 4,760,141 120,318 Macy's, Inc. 3,080,141 34,813 Nordstrom, Inc. (a) 783,292 46,151 Ollie's Bargain Outlet Holdings, Inc. (a) 2,212,479 --------------- 10,836,053 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- MULTI-UTILITIES -- 0.9% 44,636 Black Hills Corp. $ 3,023,643 102,138 MDU Resources Group, Inc. 2,999,793 85,564 NiSource, Inc. 2,496,757 --------------- 8,520,193 --------------- OIL, GAS & CONSUMABLE FUELS -- 3.7% 224,996 Antero Resources Corp. (a) 4,394,172 146,427 APA Corp. 4,862,841 87,968 Continental Resources, Inc. 4,569,058 41,446 Coterra Energy, Inc. 907,667 36,509 Diamondback Energy, Inc. 4,605,975 120,116 HollyFrontier Corp. 4,223,279 191,835 Marathon Oil Corp. 3,735,027 116,838 Ovintiv, Inc. 4,533,314 75,371 Targa Resources Corp. 4,452,919 630 Texas Pacific Land Corp. 677,250 --------------- 36,961,502 --------------- PAPER & FOREST PRODUCTS -- 0.3% 50,255 Louisiana-Pacific Corp. 3,338,942 --------------- PERSONAL PRODUCTS -- 0.3% 299,994 Coty, Inc., Class A (a) 2,543,949 19,239 Herbalife Nutrition Ltd. (a) 817,850 --------------- 3,361,799 --------------- PHARMACEUTICALS -- 0.4% 6,181 Jazz Pharmaceuticals PLC (a) 858,603 77,584 Organon & Co. 2,475,705 20,243 Perrigo Co. PLC 770,651 --------------- 4,104,959 --------------- PROFESSIONAL SERVICES -- 1.9% 25,527 ASGN, Inc. (a) 2,932,286 18,574 Booz Allen Hamilton Holding Corp. 1,425,183 11,700 CACI International, Inc., Class A (a) 2,895,282 38,433 Dun & Bradstreet Holdings, Inc. (a) 770,966 13,493 Exponent, Inc. 1,281,565 15,399 FTI Consulting, Inc. (a) 2,245,328 24,273 ManpowerGroup, Inc. 2,545,510 14,122 Robert Half International, Inc. 1,599,458 28,263 Science Applications International Corp. 2,318,414 16,532 TriNet Group, Inc. (a) 1,408,526 --------------- 19,422,518 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.5% 46,749 eXp World Holdings, Inc. (b) 1,268,768 7,737 Howard Hughes (The) Corp. (a) 745,150 11,695 Jones Lang LaSalle, Inc. (a) 2,932,989 --------------- 4,946,907 --------------- ROAD & RAIL -- 1.5% 5,422 AMERCO 3,301,727 18,986 Avis Budget Group, Inc. (a) 3,344,953 See Notes to Financial Statements Page 39 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) ROAD & RAIL (CONTINUED) 64,612 Knight-Swift Transportation Holdings, Inc. $ 3,655,747 8,798 Landstar System, Inc. 1,407,680 11,682 Saia, Inc. (a) 3,320,959 --------------- 15,031,066 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.9% 127,066 Amkor Technology, Inc. 2,797,993 15,274 Azenta, Inc. 1,288,209 25,672 Cirrus Logic, Inc. (a) 2,296,104 40,877 Lattice Semiconductor Corp. (a) 2,257,228 30,172 MACOM Technology Solutions Holdings, Inc. (a) 1,846,828 13,564 MKS Instruments, Inc. 2,106,896 16,956 Power Integrations, Inc. 1,368,519 15,259 Silicon Laboratories, Inc. (a) 2,520,634 10,879 Synaptics, Inc. (a) 2,288,398 7,045 Wolfspeed, Inc. (a) 663,921 --------------- 19,434,730 --------------- SOFTWARE -- 2.0% 21,127 Asana, Inc., Class A (a) 1,108,745 19,000 Black Knight, Inc. (a) 1,417,400 56,599 CDK Global, Inc. 2,432,059 29,887 Datto Holding Corp. (a) 744,485 12,911 Digital Turbine, Inc. (a) 570,021 8,270 Dolby Laboratories, Inc., Class A 726,519 5,064 Manhattan Associates, Inc. (a) 677,918 19,588 NCR Corp. (a) 745,519 28,647 New Relic, Inc. (a) 3,011,946 3,335 Paylocity Holding Corp. (a) 680,273 20,075 Rapid7, Inc. (a) 1,933,825 16,290 Sailpoint Technologies Holdings, Inc. (a) 630,260 20,336 Smartsheet, Inc., Class A (a) 1,265,306 42,899 Tenable Holdings, Inc. (a) 2,205,009 18,542 Teradata Corp. (a) 747,984 12,069 Workiva, Inc. (a) 1,427,521 --------------- 20,324,790 --------------- SPECIALTY RETAIL -- 3.6% 6,567 Advance Auto Parts, Inc. 1,520,326 62,202 American Eagle Outfitters, Inc. (b) 1,420,072 33,696 AutoNation, Inc. (a) 3,672,864 34,242 Dick's Sporting Goods, Inc. (b) 3,951,527 15,224 Five Below, Inc. (a) 2,496,736 24,227 Floor & Decor Holdings, Inc., Class A (a) 2,633,959 90,246 Foot Locker, Inc. 4,032,191 5,308 GameStop Corp., Class A (a) (b) 578,200 178,467 Gap (The), Inc. 3,224,899 33,284 Leslie's, Inc. (a) 693,306 13,260 Lithia Motors, Inc. 3,873,644 16,409 National Vision Holdings, Inc. (a) 670,800 SHARES DESCRIPTION VALUE --------------------------------------------------------------- SPECIALTY RETAIL (CONTINUED) 36,724 Penske Automotive Group, Inc. $ 3,732,260 1,469 RH (a) 591,743 18,625 Williams-Sonoma, Inc. 2,990,057 --------------- 36,082,584 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.6% 96,772 Pure Storage, Inc., Class A (a) 2,563,490 173,914 Xerox Holdings Corp. 3,671,325 --------------- 6,234,815 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 2.1% 31,121 Carter's, Inc. 2,897,988 24,246 Columbia Sportswear Co. 2,251,726 24,566 Crocs, Inc. (a) 2,520,963 4,300 Deckers Outdoor Corp. (a) 1,376,989 29,535 PVH Corp. 2,806,120 19,877 Ralph Lauren Corp. 2,203,167 72,579 Skechers U.S.A., Inc., Class A (a) 3,048,318 38,794 Tapestry, Inc. 1,472,232 111,489 Under Armour, Inc., Class A (a) 2,099,338 --------------- 20,676,841 --------------- THRIFTS & MORTGAGE FINANCE -- 1.9% 86,480 Essent Group Ltd. 3,946,947 273,054 MGIC Investment Corp. 4,144,960 257,980 New York Community Bancorp, Inc. 3,008,047 56,426 PennyMac Financial Services, Inc. 3,537,910 186,343 Radian Group, Inc. 4,172,220 --------------- 18,810,084 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.5% 89,021 Air Lease Corp. 3,543,926 28,104 MSC Industrial Direct Co., Inc., Class A 2,294,411 16,251 SiteOne Landscape Supply, Inc. (a) 2,927,130 138,887 Univar Solutions, Inc. (a) 3,680,505 2,516 Watsco, Inc. 710,921 17,952 WESCO International, Inc. (a) 2,188,169 --------------- 15,345,062 --------------- WATER UTILITIES -- 0.3% 58,668 Essential Utilities, Inc. 2,859,478 --------------- TOTAL COMMON STOCKS -- 99.9% 1,002,259,923 (Cost $887,844,771) --------------- MONEY MARKET FUNDS -- 0.5% 3,298,548 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (c) (d) 3,298,548 Page 40 See Notes to Financial Statements FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- MONEY MARKET FUNDS (CONTINUED) 1,450,879 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (c) $ 1,450,879 --------------- TOTAL MONEY MARKET FUNDS -- 0.5% 4,749,427 (Cost $4,749,427) --------------- PRINCIPAL VALUE DESCRIPTION VALUE --------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.4% $ 4,075,597 BNP Paribas S.A., 0.03% (c), dated 01/31/22, due 02/01/22, with a maturity value of $4,075,600. Collateralized by U.S. Treasury Note, interest rate of 1.13%, due 02/28/25. The value of the collateral including accrued interest is $4,164,945. (d) 4,075,597 (Cost $4,075,597) --------------- TOTAL INVESTMENTS -- 100.8% 1,011,084,947 (Cost $896,669,795) NET OTHER ASSETS AND LIABILITIES -- (0.8)% (7,655,338) --------------- NET ASSETS -- 100.0% $ 1,003,429,609 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $7,336,239 and the total value of the collateral held by the Fund is $7,374,145. (c) Rate shown reflects yield as of January 31, 2022. (d) This security serves as collateral for securities on loan. --------------------------------- OFFSETTING ASSETS AND LIABILITIES --------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT --------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 7,336,239 Non-cash Collateral(2) (7,336,239) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value," is not offset and is shown on a gross basis. (2) At January 31, 2022, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS --------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 4,075,597 Non-cash Collateral(4) (4,075,597) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At January 31, 2022, the value of the collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 41 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 1/31/2022 PRICES INPUTS INPUTS -------------------------------------------------------------------- Common Stocks*.................................. $ 1,002,259,923 $ 1,002,259,923 $ -- $ -- Money Market Funds.............................. 4,749,427 4,749,427 -- -- Repurchase Agreements........................... 4,075,597 -- 4,075,597 -- -------------------------------------------------------------------- Total Investments............................... $ 1,011,084,947 $ 1,007,009,350 $ 4,075,597 $ -- ==================================================================== * See Portfolio of Investments for industry breakout. Page 42 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 0.5% 41,399 Maxar Technologies, Inc. $ 1,076,788 11,099 Mercury Systems, Inc. (a) 631,755 22,648 Moog, Inc., Class A 1,726,684 36,329 Parsons Corp. (a) 1,106,218 --------------- 4,541,445 --------------- AIR FREIGHT & LOGISTICS -- 0.8% 104,025 Air Transport Services Group, Inc. (a) 2,793,071 32,473 Atlas Air Worldwide Holdings, Inc. (a) 2,608,556 5,048 Forward Air Corp. 536,603 21,767 Hub Group, Inc., Class A (a) 1,648,197 --------------- 7,586,427 --------------- AIRLINES -- 0.8% 6,535 Allegiant Travel Co. (a) 1,167,543 77,767 SkyWest, Inc. (a) 2,966,811 27,974 Spirit Airlines, Inc. (a) 600,602 67,296 Sun Country Airlines Holdings, Inc. (a) 1,788,727 131,734 Wheels Up Experience, Inc. (a) (b) 503,224 --------------- 7,026,907 --------------- AUTO COMPONENTS -- 1.4% 51,067 Adient PLC (a) 2,143,282 107,142 Dana, Inc. 2,320,696 10,818 Dorman Products, Inc. (a) 1,012,889 28,134 Gentherm, Inc. (a) 2,458,630 11,764 LCI Industries 1,448,972 37,878 Patrick Industries, Inc. 2,439,343 5,499 Visteon Corp. (a) 558,204 8,951 XPEL, Inc. (a) (c) 558,184 --------------- 12,940,200 --------------- AUTOMOBILES -- 0.3% 40,793 Winnebago Industries, Inc. 2,631,964 --------------- BANKS -- 11.6% 12,302 Ameris Bancorp 606,612 108,235 Associated Banc-Corp. 2,586,816 65,566 Atlantic Union Bankshares Corp. 2,669,848 17,325 BancFirst Corp. 1,298,509 14,595 Bank of Hawaii Corp. 1,256,192 57,788 BankUnited, Inc. 2,412,649 30,225 Banner Corp. 1,877,275 41,038 Cadence Bank 1,279,154 42,656 Cathay General Bancorp 1,926,345 74,724 Columbia Banking System, Inc. 2,598,153 16,414 Community Bank System, Inc. 1,172,288 85,650 CVB Financial Corp. 1,886,869 31,433 Eagle Bancorp, Inc. 1,885,037 30,303 Eastern Bankshares, Inc. 645,151 25,960 Enterprise Financial Services Corp. 1,286,058 201,566 F.N.B. Corp. 2,604,233 41,849 FB Financial Corp. 1,863,117 133,076 First BanCorp 1,936,256 SHARES DESCRIPTION VALUE --------------------------------------------------------------- BANKS (CONTINUED) 100,289 First Financial Bancorp $ 2,528,286 67,099 First Hawaiian, Inc. 1,902,257 45,091 First Interstate BancSystem, Inc., Class A 1,657,094 58,366 First Merchants Corp. 2,476,469 143,824 Fulton Financial Corp. 2,581,641 48,882 Hancock Whitney Corp. 2,577,059 48,309 Heartland Financial USA, Inc. 2,513,517 86,974 Hilltop Holdings, Inc. 2,872,751 75,306 Home BancShares, Inc. 1,774,209 166,214 Hope Bancorp, Inc. 2,784,085 7,500 Independent Bank Corp. 632,625 25,416 Independent Bank Group, Inc. 1,929,583 57,680 International Bancshares Corp. 2,424,290 7,628 Lakeland Financial Corp. 609,706 35,012 Live Oak Bancshares, Inc. 2,060,806 40,982 Meta Financial Group, Inc. 2,436,790 47,606 NBT Bancorp, Inc. 1,841,400 129,500 Northwest Bancshares, Inc. 1,827,245 134,933 Old National Bancorp 2,473,322 30,538 Pacific Premier Bancorp, Inc. 1,168,079 8,901 Park National Corp. 1,205,729 64,428 Renasant Corp. 2,369,662 50,854 Sandy Spring Bancorp, Inc. 2,405,903 34,542 Seacoast Banking Corp. of Florida 1,260,783 21,589 ServisFirst Bancshares, Inc. 1,832,258 16,500 Silvergate Capital Corp., Class A (a) 1,777,710 82,658 Simmons First National Corp., Class A 2,364,019 40,580 Texas Capital Bancshares, Inc. (a) 2,544,366 77,398 TowneBank 2,428,749 25,666 Triumph Bancorp, Inc. (a) 2,245,262 75,322 Trustmark Corp. 2,453,991 51,023 United Community Banks, Inc. 1,805,704 30,731 Veritex Holdings, Inc. 1,233,850 69,879 WesBanco, Inc. 2,480,006 21,176 Westamerica BanCorp 1,229,902 20,191 Wintrust Financial Corp. 1,980,131 --------------- 104,479,801 --------------- BEVERAGES -- 0.3% 4,935 Coca-Cola Consolidated, Inc. 2,827,755 --------------- BIOTECHNOLOGY -- 2.7% 26,189 ACADIA Pharmaceuticals, Inc. (a) 588,991 59,202 Alector, Inc. (a) 938,944 52,920 Amicus Therapeutics, Inc. (a) 497,977 30,207 Arcus Biosciences, Inc. (a) 930,376 83,790 Avid Bioservices, Inc. (a) 1,581,117 88,268 BioCryst Pharmaceuticals, Inc. (a) 1,363,741 31,639 Celldex Therapeutics, Inc. (a) 981,125 40,232 Cytokinetics, Inc. (a) 1,335,300 70,306 Emergent BioSolutions, Inc. (a) 3,290,321 See Notes to Financial Statements Page 43 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) BIOTECHNOLOGY (CONTINUED) 20,885 Global Blood Therapeutics, Inc. (a) $ 602,532 262,113 Ironwood Pharmaceuticals, Inc. (a) 2,922,560 28,884 Kymera Therapeutics, Inc. (a) 1,213,128 7,913 Ligand Pharmaceuticals, Inc. (a) 986,197 12,899 Morphic Holding, Inc. (a) 547,305 254,158 OPKO Health, Inc. (a) 795,514 66,151 Organogenesis Holdings, Inc. (a) 508,701 17,874 Protagonist Therapeutics, Inc. (a) 523,529 24,746 Prothena Corp. PLC (a) 843,344 15,346 PTC Therapeutics, Inc. (a) 617,216 71,845 Sage Therapeutics, Inc. (a) 2,832,130 14,837 Veracyte, Inc. (a) 451,193 --------------- 24,351,241 --------------- BUILDING PRODUCTS -- 0.8% 15,391 AAON, Inc. 988,872 175,245 Cornerstone Building Brands, Inc. (a) 2,584,864 10,114 CSW Industrials, Inc. 1,122,654 18,333 Gibraltar Industries, Inc. (a) 1,004,648 69,566 JELD-WEN Holding, Inc. (a) 1,641,757 --------------- 7,342,795 --------------- CAPITAL MARKETS -- 3.1% 12,831 Artisan Partners Asset Management, Inc., Class A 554,427 23,319 AssetMark Financial Holdings, Inc. (a) 559,423 34,394 B. Riley Financial, Inc. 2,117,639 131,453 BGC Partners, Inc., Class A 554,732 119,385 Brightsphere Investment Group, Inc. 2,576,328 19,823 Cohen & Steers, Inc. 1,655,815 65,063 Federated Hermes, Inc. 2,154,236 40,940 Focus Financial Partners, Inc., Class A (a) 2,061,738 197,943 Golub Capital BDC, Inc. (b) 3,103,746 17,699 Hamilton Lane, Inc., Class A 1,601,052 39,112 Moelis & Co., Class A 2,208,655 17,119 Piper Sandler Cos. 2,640,092 8,252 PJT Partners, Inc., Class A 572,029 44,111 StepStone Group, Inc., Class A 1,544,326 63,606 Virtu Financial, Inc., Class A 1,967,334 8,230 Virtus Investment Partners, Inc. 2,153,626 --------------- 28,025,198 --------------- CHEMICALS -- 2.1% 43,503 Cabot Corp. 2,392,230 15,094 H.B. Fuller Co. 1,083,296 17,051 Ingevity Corp. (a) 1,123,832 20,300 Innospec, Inc. 1,887,088 122,169 Kronos Worldwide, Inc. 1,753,125 75,216 Livent Corp. (a) 1,730,720 33,425 Minerals Technologies, Inc. 2,338,747 3,566 NewMarket Corp. 1,205,558 6,107 Sensient Technologies Corp. 517,507 SHARES DESCRIPTION VALUE --------------------------------------------------------------- CHEMICALS (CONTINUED) 14,753 Stepan Co. $ 1,625,191 58,260 Trinseo PLC 3,119,240 --------------- 18,776,534 --------------- COMMERCIAL SERVICES & SUPPLIES -- 2.3% 44,892 ABM Industries, Inc. 1,871,547 34,022 Brady Corp., Class A 1,766,422 173,652 BrightView Holdings, Inc. (a) 2,304,362 18,645 Brink's (The) Co. 1,301,048 21,469 Casella Waste Systems, Inc., Class A (a) 1,631,215 57,107 Deluxe Corp. 1,718,921 109,738 Harsco Corp. (a) 1,722,887 103,079 Healthcare Services Group, Inc. 1,875,007 43,610 HNI Corp. 1,829,003 117,398 KAR Auction Services, Inc. (a) 1,669,400 31,194 MillerKnoll, Inc. 1,204,712 8,714 UniFirst Corp. 1,656,444 --------------- 20,550,968 --------------- COMMUNICATIONS EQUIPMENT -- 0.8% 38,217 Calix, Inc. (a) 1,921,551 63,738 Infinera Corp. (a) 536,674 36,955 NetScout Systems, Inc. (a) 1,165,930 54,896 Viasat, Inc. (a) 2,416,522 69,381 Viavi Solutions, Inc. (a) 1,142,011 --------------- 7,182,688 --------------- CONSTRUCTION & ENGINEERING -- 1.3% 30,023 Ameresco, Inc., Class A (a) 1,519,464 34,796 Arcosa, Inc. 1,623,581 12,355 Comfort Systems USA, Inc. 1,109,232 6,518 Dycom Industries, Inc. (a) 549,402 31,589 Granite Construction, Inc. 1,136,572 27,646 MYR Group, Inc. (a) 2,599,554 127,451 Primoris Services Corp. 3,278,040 --------------- 11,815,845 --------------- CONSTRUCTION MATERIALS -- 0.2% 60,911 Summit Materials, Inc., Class A (a) 2,165,995 --------------- CONSUMER FINANCE -- 1.7% 49,208 Encore Capital Group, Inc. (a) 3,173,916 16,340 FirstCash Holdings, Inc. 1,138,898 33,732 Green Dot Corp., Class A (a) 1,069,642 50,557 LendingClub Corp. (a) 948,449 4,986 LendingTree, Inc. (a) 607,494 115,222 Navient Corp. 2,008,319 25,031 Nelnet, Inc., Class A 2,215,994 48,697 PRA Group, Inc. (a) 2,264,411 54,201 PROG Holdings, Inc. (a) 2,157,742 --------------- 15,584,865 --------------- CONTAINERS & PACKAGING -- 1.0% 50,626 Greif, Inc., Class A 2,995,034 101,621 O-I Glass, Inc. (a) 1,352,576 192,824 Pactiv Evergreen, Inc. 2,111,423 Page 44 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) CONTAINERS & PACKAGING (CONTINUED) 81,325 Ranpak Holdings Corp. (a) $ 2,184,389 --------------- 8,643,422 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.9% 62,036 Adtalem Global Education, Inc. (a) 1,825,099 4,853 Graham Holdings Co., Class B 2,888,117 42,274 Strategic Education, Inc. 2,522,067 62,499 Vivint Smart Home, Inc. (a) 449,993 --------------- 7,685,276 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.3% 86,948 Cannae Holdings, Inc. (a) 2,597,137 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.3% 268,095 Liberty Latin America Ltd., Class C (a) 2,898,107 --------------- ELECTRIC UTILITIES -- 0.5% 36,851 ALLETE, Inc. 2,352,199 14,865 MGE Energy, Inc. 1,150,997 17,116 Otter Tail Corp. 1,085,155 --------------- 4,588,351 --------------- ELECTRICAL EQUIPMENT -- 0.9% 27,488 Atkore, Inc. (a) 2,962,657 27,874 Bloom Energy Corp., Class A (a) 420,340 21,357 Encore Wire Corp. 2,406,720 155,009 GrafTech International Ltd. 1,624,494 9,628 Vicor Corp. (a) 908,209 --------------- 8,322,420 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.5% 6,711 Advanced Energy Industries, Inc. 578,354 74,125 Avnet, Inc. 2,991,685 11,474 Badger Meter, Inc. 1,160,825 18,599 Belden, Inc. 1,040,614 11,469 Insight Enterprises, Inc. (a) 1,079,806 104,710 Knowles Corp. (a) 2,220,899 49,724 Methode Electronics, Inc. 2,189,348 19,677 OSI Systems, Inc. (a) 1,632,010 19,122 Plexus Corp. (a) 1,482,337 73,714 Sanmina Corp. (a) 2,787,864 205,117 TTM Technologies, Inc. (a) 2,760,875 139,746 Vishay Intertechnology, Inc. 2,894,140 --------------- 22,818,757 --------------- ENERGY EQUIPMENT & SERVICES -- 0.9% 16,031 Cactus, Inc., Class A 776,862 27,398 Core Laboratories N.V. 730,705 25,791 Helmerich & Payne, Inc. 740,202 63,016 Liberty Oilfield Services, Inc., Class A (a) 762,494 217,013 Patterson-UTI Energy, Inc. 2,161,449 SHARES DESCRIPTION VALUE --------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES (CONTINUED) 885,874 Transocean Ltd. (a) (b) $ 2,790,503 --------------- 7,962,215 --------------- ENTERTAINMENT -- 0.1% 8,691 Madison Square Garden Entertainment Corp. (a) 615,584 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 6.3% 56,002 Acadia Realty Trust 1,108,280 16,289 American Assets Trust, Inc. 585,915 75,699 Apple Hospitality REIT, Inc. 1,221,025 136,645 Brandywine Realty Trust 1,757,255 49,256 Broadstone Net Lease, Inc. 1,138,306 26,774 CareTrust REIT, Inc. 567,877 65,561 Corporate Office Properties Trust 1,656,071 63,606 DiamondRock Hospitality Co. (a) 594,716 220,138 DigitalBridge Group, Inc. (a) 1,607,007 26,671 Easterly Government Properties, Inc. 559,291 25,741 EPR Properties 1,131,832 23,600 Equity Commonwealth (a) 614,544 42,404 Essential Properties Realty Trust, Inc. 1,125,826 41,567 Four Corners Property Trust, Inc. 1,125,219 120,010 Global Net Lease, Inc. 1,720,943 74,212 Hudson Pacific Properties, Inc. 1,753,630 70,993 Independence Realty Trust, Inc. 1,632,129 97,606 Industrial Logistics Properties Trust 2,238,106 94,659 iStar, Inc. (b) 2,032,329 28,067 Kite Realty Group Trust 586,039 71,617 LTC Properties, Inc. 2,583,225 156,529 LXP Industrial Trust 2,330,717 35,373 Macerich (The) Co. 585,069 42,542 National Health Investors, Inc. 2,460,204 29,166 NexPoint Residential Trust, Inc. 2,312,864 45,582 Outfront Media, Inc. 1,132,257 219,876 Paramount Group, Inc. 1,910,722 27,323 Pebblebrook Hotel Trust 591,543 64,922 Physicians Realty Trust 1,185,476 133,025 Piedmont Office Realty Trust, Inc., Class A 2,362,524 50,751 PotlatchDeltic Corp. 2,729,896 62,372 Retail Opportunity Investments Corp. 1,155,753 43,881 RLJ Lodging Trust 607,752 90,290 Sabra Health Care REIT, Inc. 1,228,847 38,614 SITE Centers Corp. 571,873 52,108 Sunstone Hotel Investors, Inc. (a) 589,341 95,110 Tanger Factory Outlet Centers, Inc. (b) 1,617,821 130,890 Uniti Group, Inc. 1,578,533 64,341 Urban Edge Properties 1,173,580 33,257 Veris Residential, Inc. (a) 548,741 See Notes to Financial Statements Page 45 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 70,937 Washington Real Estate Investment Trust $ 1,746,469 33,751 Xenia Hotels & Resorts, Inc. (a) 585,242 --------------- 56,344,789 --------------- FOOD & STAPLES RETAILING -- 0.8% 43,229 Grocery Outlet Holding Corp. (a) 1,097,152 25,063 PriceSmart, Inc. 1,789,749 82,379 Sprouts Farmers Market, Inc. (a) 2,235,766 49,817 United Natural Foods, Inc. (a) 1,931,903 --------------- 7,054,570 --------------- FOOD PRODUCTS -- 1.4% 39,782 B&G Foods, Inc. (b) 1,237,220 16,524 Cal-Maine Foods, Inc. 644,436 110,733 Fresh Del Monte Produce, Inc. 3,081,699 14,344 Hain Celestial Group (The), Inc. (a) 523,986 89,802 Hostess Brands, Inc. (a) 1,842,737 3,872 J & J Snack Foods Corp. 587,344 58,817 Simply Good Foods (The) Co. (a) 2,072,123 45,245 TreeHouse Foods, Inc. (a) 1,752,339 38,322 Utz Brands, Inc. 617,368 --------------- 12,359,252 --------------- GAS UTILITIES -- 1.5% 4,192 Chesapeake Utilities Corp. 570,992 29,773 New Jersey Resources Corp. 1,197,172 50,122 Northwest Natural Holding Co. 2,372,776 23,635 ONE Gas, Inc. 1,840,930 93,606 South Jersey Industries, Inc. 2,342,022 34,902 Southwest Gas Holdings, Inc. 2,379,619 37,490 Spire, Inc. 2,471,341 --------------- 13,174,852 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.1% 8,791 AtriCure, Inc. (a) 577,041 17,631 Avanos Medical, Inc. (a) 533,514 10,914 Axonics, Inc. (a) 517,651 16,401 BioLife Solutions, Inc. (a) 489,406 8,625 CONMED Corp. 1,186,627 20,662 CryoPort, Inc. (a) 863,052 11,523 Haemonetics Corp. (a) 557,137 3,348 Heska Corp. (a) 460,618 14,285 Integer Holdings Corp. (a) 1,120,087 84,633 Lantheus Holdings, Inc. (a) 2,150,525 9,811 Merit Medical Systems, Inc. (a) 544,020 11,648 NuVasive, Inc. (a) 605,812 13,264 Outset Medical, Inc. (a) 493,288 --------------- 10,098,778 --------------- HEALTH CARE PROVIDERS & SERVICES -- 2.1% 24,990 AdaptHealth Corp. (a) 472,311 105,570 Agiliti, Inc. (a) (b) 2,019,554 SHARES DESCRIPTION VALUE --------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 82,602 Aveanna Healthcare Holdings, Inc. (a) $ 453,485 137,773 Community Health Systems, Inc. (a) 1,748,339 11,754 CorVel Corp. (a) 2,070,114 30,609 Covetrus, Inc. (a) 553,105 30,383 Fulgent Genetics, Inc. (a) 1,940,562 22,465 MEDNAX, Inc. (a) 549,269 4,121 ModivCare, Inc. (a) 477,748 107,465 Option Care Health, Inc. (a) 2,511,457 56,208 Owens & Minor, Inc. 2,365,795 62,480 Patterson Cos., Inc. 1,792,551 60,900 RadNet, Inc. (a) 1,568,175 --------------- 18,522,465 --------------- HEALTH CARE TECHNOLOGY -- 0.4% 132,519 Allscripts Healthcare Solutions, Inc. (a) 2,679,534 44,181 Evolent Health, Inc., Class A (a) 1,047,532 --------------- 3,727,066 --------------- HOTELS, RESTAURANTS & LEISURE -- 2.0% 16,061 Bally's Corp. (a) 574,020 29,134 Bloomin' Brands, Inc. (a) 592,294 33,411 Brinker International, Inc. (a) 1,109,579 15,614 Cheesecake Factory (The), Inc. (a) 557,108 9,501 Cracker Barrel Old Country Store, Inc. 1,131,949 47,753 Dave & Buster's Entertainment, Inc. (a) 1,709,080 57,261 Everi Holdings, Inc. (a) 1,132,050 46,919 Hilton Grand Vacations, Inc. (a) 2,292,462 6,987 Jack in the Box, Inc. 636,167 13,738 Papa John's International, Inc. 1,695,956 44,448 Red Rock Resorts, Inc., Class A 1,978,825 47,119 SeaWorld Entertainment, Inc. (a) 2,807,350 43,068 Six Flags Entertainment Corp. (a) 1,700,755 --------------- 17,917,595 --------------- HOUSEHOLD DURABLES -- 3.2% 3,850 Cavco Industries, Inc. (a) 1,037,344 37,366 Century Communities, Inc. 2,460,551 21,875 Installed Building Products, Inc. 2,423,531 27,836 iRobot Corp. (a) 1,823,815 68,326 KB Home 2,886,774 67,335 La-Z-Boy, Inc. 2,471,868 54,741 M.D.C. Holdings, Inc. 2,774,821 49,151 M/I Homes, Inc. (a) 2,604,512 25,040 Meritage Homes Corp. (a) 2,554,831 38,699 Skyline Champion Corp. (a) 2,605,991 87,422 Taylor Morrison Home Corp. (a) 2,682,981 109,582 Tri Pointe Homes, Inc. (a) 2,609,147 --------------- 28,936,166 --------------- Page 46 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) HOUSEHOLD PRODUCTS -- 0.5% 51,099 Central Garden & Pet Co., Class A (a) $ 2,214,120 15,244 Energizer Holdings, Inc. 573,327 12,019 Spectrum Brands Holdings, Inc. 1,074,258 2,500 WD-40 Co. 555,650 --------------- 4,417,355 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.3% 50,897 Clearway Energy, Inc., Class C 1,714,211 7,707 Ormat Technologies, Inc. 525,309 --------------- 2,239,520 --------------- INSURANCE -- 3.4% 62,822 American Equity Investment Life Holding Co. 2,584,497 31,556 Argo Group International Holdings Ltd. 1,791,750 48,703 Assured Guaranty Ltd. 2,595,383 11,800 Brighthouse Financial, Inc. (a) 642,510 128,199 CNO Financial Group, Inc. 3,197,283 754,633 Genworth Financial, Inc., Class A (a) 2,943,069 4,701 Goosehead Insurance, Inc., Class A 463,425 63,178 Horace Mann Educators Corp. 2,401,396 10,280 Kinsale Capital Group, Inc. 2,059,290 57,600 Mercury General Corp. 3,148,416 375,922 SiriusPoint Ltd. (a) 3,184,059 38,331 Stewart Information Services Corp. 2,737,983 2,412 White Mountains Insurance Group Ltd. 2,510,795 --------------- 30,259,856 --------------- INTERACTIVE MEDIA & SERVICES -- 0.3% 54,509 Cargurus, Inc. (a) 1,738,837 16,868 Yelp, Inc. (a) 582,621 --------------- 2,321,458 --------------- INTERNET & DIRECT MARKETING RETAIL -- 0.3% 20,715 Overstock.com, Inc. (a) 993,077 21,816 Revolve Group, Inc. (a) 1,075,965 11,026 Shutterstock, Inc. 1,069,191 --------------- 3,138,233 --------------- IT SERVICES -- 1.5% 21,217 CSG Systems International, Inc. 1,204,489 36,691 EVERTEC, Inc. 1,601,195 16,891 ExlService Holdings, Inc. (a) 2,035,703 23,639 Perficient, Inc. (a) 2,477,840 45,378 Rackspace Technology, Inc. (a) 567,679 215,381 SolarWinds Corp. 2,929,182 64,028 Switch, Inc., Class A 1,641,038 79,230 Verra Mobility Corp. (a) 1,255,003 --------------- 13,712,129 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- LEISURE PRODUCTS -- 0.8% 57,578 Acushnet Holdings Corp. $ 2,688,892 35,574 Malibu Boats, Inc., Class A (a) 2,335,789 66,338 Vista Outdoor, Inc. (a) 2,559,320 --------------- 7,584,001 --------------- MACHINERY -- 3.7% 12,461 Alamo Group, Inc. 1,755,132 13,822 Albany International Corp., Class A 1,157,040 35,557 Altra Industrial Motion Corp. 1,716,692 39,358 Barnes Group, Inc. 1,777,801 30,140 Enerpac Tool Group Corp. 537,999 11,105 EnPro Industries, Inc. 1,166,247 13,585 ESCO Technologies, Inc. 1,083,811 52,299 Evoqua Water Technologies Corp. (a) 2,118,110 28,208 Federal Signal Corp. 1,100,676 6,465 Franklin Electric Co., Inc. 561,162 29,061 Helios Technologies, Inc. 2,226,944 35,273 Hillenbrand, Inc. 1,639,489 56,861 Hillman Solutions Corp. (a) 510,043 10,608 Kadant, Inc. 2,216,860 51,067 Kennametal, Inc. 1,765,386 8,043 Lindsay Corp. 1,015,429 98,670 Meritor, Inc. (a) 2,274,344 41,189 Mueller Industries, Inc. 2,127,824 84,898 Mueller Water Products, Inc., Class A 1,090,939 23,807 Proto Labs, Inc. (a) 1,194,635 20,486 SPX Corp. (a) 1,068,959 15,087 Tennant Co. 1,164,264 41,722 Terex Corp. 1,740,642 20,241 Trinity Industries, Inc. 581,524 --------------- 33,591,952 --------------- MARINE -- 0.4% 10,288 Kirby Corp. (a) 670,572 33,946 Matson, Inc. 3,315,166 --------------- 3,985,738 --------------- MEDIA -- 2.0% 152,432 Advantage Solutions, Inc. (a) 1,109,705 88,741 AMC Networks, Inc., Class A (a) 3,783,029 151,600 Gray Television, Inc. 3,160,860 29,053 iHeartMedia, Inc., Class A (a) 585,418 32,020 John Wiley & Sons, Inc., Class A 1,625,015 23,126 Sinclair Broadcast Group, Inc., Class A 635,502 25,558 TechTarget, Inc. (a) 2,119,781 164,670 TEGNA, Inc. 3,188,011 85,212 WideOpenWest, Inc. (a) 1,585,795 --------------- 17,793,116 --------------- METALS & MINING -- 1.1% 38,371 Allegheny Technologies, Inc. (a) 701,806 41,883 Carpenter Technology Corp. 1,202,880 242,560 Coeur Mining, Inc. (a) 1,137,606 84,218 Commercial Metals Co. 2,816,250 See Notes to Financial Statements Page 47 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) METALS & MINING (CONTINUED) 13,014 Kaiser Aluminum Corp. $ 1,246,090 55,912 Worthington Industries, Inc. 3,029,312 --------------- 10,133,944 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 2.0% 232,239 Apollo Commercial Real Estate Finance, Inc. 3,170,062 33,364 Arbor Realty Trust, Inc. 584,204 202,671 Chimera Investment Corp. 2,938,729 670,233 MFA Financial, Inc. 3,103,179 821,574 New York Mortgage Trust, Inc. 3,080,903 141,087 PennyMac Mortgage Investment Trust 2,514,170 529,682 Two Harbors Investment Corp. 3,045,672 --------------- 18,436,919 --------------- MULTILINE RETAIL -- 0.7% 67,842 Big Lots, Inc. 2,843,258 12,475 Dillard's, Inc., Class A 3,165,157 --------------- 6,008,415 --------------- MULTI-UTILITIES -- 0.6% 57,542 Avista Corp. 2,558,317 42,774 NorthWestern Corp. 2,486,025 --------------- 5,044,342 --------------- OIL, GAS & CONSUMABLE FUELS -- 4.6% 71,557 California Resources Corp. 3,049,759 38,809 Callon Petroleum Co. (a) 1,918,717 44,456 CNX Resources Corp. (a) 659,283 31,921 Denbury, Inc. (a) 2,398,544 236,462 Equitrans Midstream Corp. 1,917,707 17,585 Green Plains, Inc. (a) 537,046 129,570 Magnolia Oil & Gas Corp., Class A 2,802,599 66,225 Matador Resources Co. 2,964,893 70,232 Murphy Oil Corp. 2,219,331 24,259 Oasis Petroleum, Inc. 3,285,396 62,655 PDC Energy, Inc. 3,713,562 137,128 Range Resources Corp. (a) 2,639,714 72,014 Renewable Energy Group, Inc. (a) 2,899,284 103,674 SM Energy Co. 3,401,544 262,338 Southwestern Energy Co. (a) 1,154,287 47,253 Whiting Petroleum Corp. (a) 3,508,535 69,278 World Fuel Services Corp. 1,954,333 --------------- 41,024,534 --------------- PERSONAL PRODUCTS -- 1.2% 40,116 Edgewell Personal Care Co. 1,837,313 28,590 Inter Parfums, Inc. 2,829,552 8,755 Medifast, Inc. 1,739,706 60,223 Nu Skin Enterprises, Inc., Class A 2,902,147 18,119 USANA Health Sciences, Inc. (a) 1,731,814 --------------- 11,040,532 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- PHARMACEUTICALS -- 0.8% 57,339 Harmony Biosciences Holdings, Inc. (a) $ 2,056,176 58,392 Intra-Cellular Therapies, Inc. (a) 2,773,036 10,158 Pacira BioSciences, Inc. (a) 637,618 30,236 Prestige Consumer Healthcare, Inc. (a) 1,706,822 --------------- 7,173,652 --------------- PROFESSIONAL SERVICES -- 0.8% 31,251 CBIZ, Inc. (a) 1,207,226 11,920 ICF International, Inc. 1,125,129 5,175 Insperity, Inc. 556,468 32,288 Korn Ferry 2,143,277 33,524 ManTech International Corp., Class A 2,421,774 --------------- 7,453,874 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 1.2% 51,194 Kennedy-Wilson Holdings, Inc. 1,149,817 35,635 Marcus & Millichap, Inc. (a) 1,668,074 163,437 Newmark Group, Inc., Class A 2,502,221 181,812 Realogy Holdings Corp. (a) 2,999,898 46,974 St. Joe (The) Co. 2,278,709 --------------- 10,598,719 --------------- ROAD & RAIL -- 1.1% 15,299 ArcBest Corp. 1,353,043 37,079 Ryder System, Inc. 2,713,812 113,573 Schneider National, Inc., Class B 2,907,469 64,124 Werner Enterprises, Inc. 2,859,289 --------------- 9,833,613 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.4% 15,065 Ambarella, Inc. (a) 2,111,360 64,190 Cohu, Inc. (a) 2,116,986 27,833 Diodes, Inc. (a) 2,582,624 13,369 FormFactor, Inc. (a) 571,391 40,538 MaxLinear, Inc. (a) 2,433,091 30,191 Onto Innovation, Inc. (a) 2,763,684 83,191 Rambus, Inc. (a) 2,100,573 20,621 Semtech Corp. (a) 1,466,153 10,448 SiTime Corp. (a) 2,435,324 53,283 Ultra Clean Holdings, Inc. (a) 2,686,529 --------------- 21,267,715 --------------- SOFTWARE -- 2.0% 17,615 ACI Worldwide, Inc. (a) 605,428 7,207 Alarm.com Holdings, Inc. (a) 537,426 15,811 Altair Engineering, Inc., Class A (a) 994,828 30,873 Avaya Holdings Corp. (a) 562,506 15,480 Blackbaud, Inc. (a) 1,054,807 70,018 Box, Inc., Class A (a) 1,829,570 8,870 CommVault Systems, Inc. (a) 598,370 7,703 Envestnet, Inc. (a) 569,560 8,532 InterDigital, Inc. 588,964 32,162 Jamf Holding Corp. (a) 1,063,276 Page 48 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 55,805 Marathon Digital Holdings, Inc. (a) (b) $ 1,313,650 26,714 Ping Identity Holding Corp. (a) 528,670 25,325 Progress Software Corp. 1,152,541 13,363 Qualys, Inc. (a) 1,712,335 27,373 Riot Blockchain, Inc. (a) (b) 436,326 6,739 Sprout Social, Inc., Class A (a) 463,980 8,588 SPS Commerce, Inc. (a) 1,063,624 11,641 Verint Systems, Inc. (a) 597,532 64,650 Xperi Holding Corp. 1,090,645 65,446 Zuora, Inc., Class A (a) 1,088,367 --------------- 17,852,405 --------------- SPECIALTY RETAIL -- 3.6% 52,649 Abercrombie & Fitch Co., Class A (a) 2,053,311 69,619 Academy Sports & Outdoors, Inc. (a) 2,708,179 14,154 Asbury Automotive Group, Inc. (a) 2,278,369 41,922 Bed Bath & Beyond, Inc. (a) 680,813 24,838 Boot Barn Holdings, Inc. (a) 2,284,351 43,340 Buckle (The), Inc. 1,631,318 30,261 Camping World Holdings, Inc., Class A 1,004,665 15,657 Group 1 Automotive, Inc. 2,658,715 20,979 Monro, Inc. 1,043,286 6,134 Murphy USA, Inc. 1,206,312 62,247 ODP (The) Corp. (a) 2,753,185 25,449 Rent-A-Center, Inc. 1,072,675 99,335 Sally Beauty Holdings, Inc. (a) 1,705,582 35,116 Signet Jewelers Ltd. 3,024,541 7,980 Sleep Number Corp. (a) 570,570 61,805 Sonic Automotive, Inc., Class A 3,152,673 104,098 Urban Outfitters, Inc. (a) 2,989,695 --------------- 32,818,240 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.4% 28,377 3D Systems Corp. (a) 507,948 37,533 Avid Technology, Inc. (a) 1,177,035 29,095 Corsair Gaming, Inc. (a) (b) 568,516 41,722 Super Micro Computer, Inc. (a) 1,690,576 --------------- 3,944,075 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.8% 35,780 Kontoor Brands, Inc. 1,763,596 48,843 Levi Strauss & Co., Class A 1,071,127 24,086 Oxford Industries, Inc. 1,984,446 52,615 Steven Madden Ltd. 2,164,581 --------------- 6,983,750 --------------- THRIFTS & MORTGAGE FINANCE -- 2.2% 32,798 Axos Financial, Inc. (a) 1,689,097 107,899 Capitol Federal Financial, Inc. 1,200,916 58,605 Columbia Financial, Inc. (a) 1,240,668 73,451 Mr. Cooper Group, Inc. (a) 2,949,058 SHARES DESCRIPTION VALUE --------------------------------------------------------------- THRIFTS & MORTGAGE FINANCE (CONTINUED) 139,876 NMI Holdings, Inc., Class A (a) $ 3,460,532 100,949 Provident Financial Services, Inc. 2,439,937 20,258 Walker & Dunlop, Inc. 2,682,362 54,934 Washington Federal, Inc. 1,923,789 48,783 WSFS Financial Corp. 2,555,253 --------------- 20,141,612 --------------- TOBACCO -- 0.3% 266,225 Vector Group Ltd. 2,957,760 --------------- TRADING COMPANIES & DISTRIBUTORS -- 2.4% 11,902 Applied Industrial Technologies, Inc. 1,166,158 42,634 Beacon Roofing Supply, Inc. (a) 2,339,328 42,923 Boise Cascade Co. 3,014,053 17,600 GATX Corp. 1,838,320 44,836 Global Industrial Co. 1,567,467 40,677 GMS, Inc. (a) 2,081,849 15,619 Herc Holdings, Inc. 2,506,068 22,848 McGrath RentCorp 1,741,246 43,942 Rush Enterprises, Inc., Class A 2,321,016 50,742 Triton International Ltd. 3,065,832 --------------- 21,641,337 --------------- WATER UTILITIES -- 0.7% 17,726 American States Water Co. 1,634,869 25,517 California Water Service Group 1,584,350 15,244 Middlesex Water Co. 1,543,303 16,699 SJW Group 1,149,893 --------------- 5,912,415 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 1.0% 119,854 Shenandoah Telecommunications Co. 2,729,076 151,677 Telephone and Data Systems, Inc. 3,003,205 96,962 United States Cellular Corp. (a) 2,968,976 --------------- 8,701,257 --------------- TOTAL COMMON STOCKS -- 100.0% 900,109,898 (Cost $832,948,228) --------------- MONEY MARKET FUNDS -- 0.5% 3,850,282 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (d) (e) 3,850,282 899,663 Morgan Stanley Institutional . Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (d) 899,663 --------------- TOTAL MONEY MARKET FUNDS -- 0.5% 4,749,945 (Cost $4,749,945) --------------- See Notes to Financial Statements Page 49 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) PRINCIPAL VALUE DESCRIPTION VALUE --------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.5% $ 4,757,305 BNP Paribas S.A., 0.03% (d), dated 01/31/22, due 02/01/22, with a maturity value of $4,757,309. Collateralized by U.S. Treasury Note, interest rate of 1.13%, due 02/28/25. The value of the collateral including accrued interest is $4,861,597. (e) $ 4,757,305 (Cost $4,757,305) --------------- TOTAL INVESTMENTS -- 101.0% 909,617,148 (Cost $842,455,478) NET OTHER ASSETS AND LIABILITIES -- (1.0)% (9,008,676) --------------- NET ASSETS -- 100.0% $ 900,608,472 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $8,657,308 and the total value of the collateral held by the Fund is $8,607,587. (c) This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933, as amended. (d) Rate shown reflects yield as of January 31, 2022. (e) This security serves as collateral for securities on loan. --------------------------------- OFFSETTING ASSETS AND LIABILITIES --------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT --------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 8,657,308 Non-cash Collateral(2) (8,607,587) --------------- Net Amount $ 49,721 =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value," is not offset and is shown on a gross basis. (2) The collateral requirements are determined at the beginning of each business day based on the market value of the loaned securities from the end of the prior day. On January 31, 2022, the last business day of the period, there was sufficient collateral based on the end of day market value from the prior business day; however, as a result of market movement from January 28 to January 31, the value of the related securities loaned was above the collateral value received. See Note 2D - Securities Lending in the Notes to Financial Statements. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS --------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 4,757,305 Non-cash Collateral(4) (4,757,305) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At January 31, 2022, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 50 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 1/31/2022 PRICES INPUTS INPUTS -------------------------------------------------------------------- Common Stocks*.................................. $ 900,109,898 $ 900,109,898 $ -- $ -- Money Market Funds.............................. 4,749,945 4,749,945 -- -- Repurchase Agreements........................... 4,757,305 -- 4,757,305 -- -------------------------------------------------------------------- Total Investments............................... $ 909,617,148 $ 904,859,843 $ 4,757,305 $ -- ==================================================================== * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 51 FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 2.8% 30,461 General Dynamics Corp. $ 6,460,778 29,779 L3Harris Technologies, Inc. 6,232,447 17,860 Lockheed Martin Corp. 6,949,862 16,401 Northrop Grumman Corp. 6,066,730 50,510 Raytheon Technologies Corp. 4,555,497 56,311 Textron, Inc. 3,832,526 --------------- 34,097,840 --------------- AIR FREIGHT & LOGISTICS -- 0.2% 9,869 United Parcel Service, Inc., Class B 1,995,611 --------------- AUTOMOBILES -- 1.2% 209,292 Ford Motor Co. 4,248,628 185,362 General Motors Co. (a) 9,774,138 --------------- 14,022,766 --------------- BANKS -- 7.9% 142,704 Bank of America Corp. 6,584,363 179,958 Citigroup, Inc. 11,718,865 184,003 Citizens Financial Group, Inc. 9,470,634 145,785 Fifth Third Bancorp 6,506,384 411,735 Huntington Bancshares, Inc. 6,200,729 40,091 JPMorgan Chase & Co. 5,957,523 375,879 KeyCorp 9,419,528 56,613 M&T Bank Corp. 9,589,110 31,663 PNC Financial Services Group (The), Inc. 6,522,261 108,441 Truist Financial Corp. 6,812,264 113,033 U.S. Bancorp 6,577,390 181,204 Wells Fargo & Co. 9,748,775 --------------- 95,107,826 --------------- BEVERAGES -- 0.2% 57,415 Keurig Dr Pepper, Inc. 2,178,899 --------------- BIOTECHNOLOGY -- 2.0% 9,406 Amgen, Inc. 2,136,479 18,118 Biogen, Inc. (a) 4,094,668 119,735 Gilead Sciences, Inc. 8,223,399 59,221 Incyte Corp. (a) 4,401,897 19,797 Vertex Pharmaceuticals, Inc. (a) 4,811,661 --------------- 23,668,104 --------------- BUILDING PRODUCTS -- 0.2% 39,016 Carrier Global Corp. 1,860,283 --------------- CAPITAL MARKETS -- 2.5% 149,693 Bank of New York Mellon (The) Corp. 8,870,807 324,499 Franklin Resources, Inc. 10,374,233 43,296 Raymond James Financial, Inc. 4,583,748 68,266 State Street Corp. 6,451,137 --------------- 30,279,925 --------------- CHEMICALS -- 5.0% 6,956 Air Products and Chemicals, Inc. 1,962,427 64,667 Celanese Corp. 10,069,298 183,883 Corteva, Inc. 8,841,095 191,604 Dow, Inc. 11,444,507 134,537 DuPont de Nemours, Inc. 10,305,534 SHARES DESCRIPTION VALUE --------------------------------------------------------------- CHEMICALS (CONTINUED) 35,949 Eastman Chemical Co. $ 4,275,415 117,835 LyondellBasell Industries N.V., Class A 11,398,179 12,270 PPG Industries, Inc. 1,916,574 --------------- 60,213,029 --------------- COMMUNICATIONS EQUIPMENT -- 0.3% 68,596 Cisco Systems, Inc. 3,818,739 --------------- CONSUMER FINANCE -- 2.8% 228,266 Ally Financial, Inc. 10,892,853 12,934 American Express Co. 2,325,792 74,900 Capital One Financial Corp. 10,990,077 234,267 Synchrony Financial 9,977,432 --------------- 34,186,154 --------------- CONTAINERS & PACKAGING -- 0.9% 231,326 International Paper Co. 11,161,480 --------------- DISTRIBUTORS -- 0.7% 144,830 LKQ Corp. 7,949,719 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.9% 36,345 Berkshire Hathaway, Inc., Class B (a) 11,376,712 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.7% 353,420 AT&T, Inc. 9,012,210 209,156 Verizon Communications, Inc. 11,133,374 --------------- 20,145,584 --------------- ELECTRIC UTILITIES -- 7.4% 103,288 Alliant Energy Corp. 6,182,820 97,720 American Electric Power Co., Inc. 8,833,888 60,524 Duke Energy Corp. 6,358,651 93,025 Edison International 5,841,040 77,180 Entergy Corp. 8,626,409 126,715 Evergy, Inc. 8,231,406 69,789 Eversource Energy 6,245,418 150,525 Exelon Corp. 8,722,924 104,521 FirstEnergy Corp. 4,385,701 716,155 PG&E Corp. (a) 9,159,622 144,616 PPL Corp. 4,292,203 92,577 Southern (The) Co. 6,433,176 93,778 Xcel Energy, Inc. 6,532,575 --------------- 89,845,833 --------------- ELECTRICAL EQUIPMENT -- 0.7% 14,388 AMETEK, Inc. 1,967,847 12,244 Eaton Corp. PLC 1,939,817 46,753 Emerson Electric Co. 4,298,938 --------------- 8,206,602 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.3% 233,525 Corning, Inc. 9,817,391 39,351 TE Connectivity Ltd. 5,627,587 --------------- 15,444,978 --------------- Page 52 See Notes to Financial Statements FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) ENERGY EQUIPMENT & SERVICES -- 0.5% 145,142 Schlumberger N.V. $ 5,670,698 --------------- ENTERTAINMENT -- 1.0% 130,683 Activision Blizzard, Inc. 10,325,264 11,906 Take-Two Interactive Software, Inc. (a) 1,944,726 --------------- 12,269,990 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 0.9% 120,447 Healthpeak Properties, Inc. 4,260,210 41,399 Ventas, Inc. 2,194,975 52,978 WP Carey, Inc. 4,111,093 --------------- 10,566,278 --------------- FOOD & STAPLES RETAILING -- 1.0% 140,275 Kroger (The) Co. 6,114,587 121,722 Walgreens Boots Alliance, Inc. 6,056,887 --------------- 12,171,474 --------------- FOOD PRODUCTS -- 4.9% 128,633 Archer-Daniels-Midland Co. 9,647,475 254,588 Conagra Brands, Inc. 8,849,479 94,229 General Mills, Inc. 6,471,648 10,934 Hershey (The) Co. 2,154,763 43,362 Hormel Foods Corp. 2,058,394 67,480 Kellogg Co. 4,251,240 242,178 Kraft Heinz (The) Co. 8,669,972 95,745 Mondelez International, Inc., Class A 6,417,787 124,686 Tyson Foods, Inc., Class A 11,332,711 --------------- 59,853,469 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.0% 24,656 Baxter International, Inc. 2,106,609 8,413 Becton, Dickinson and Co. 2,138,080 141,949 Hologic, Inc. (a) 9,970,498 20,460 Medtronic PLC 2,117,405 6,448 Teleflex, Inc. 2,000,105 49,980 Zimmer Biomet Holdings, Inc. 6,148,539 --------------- 24,481,236 --------------- HEALTH CARE PROVIDERS & SERVICES -- 3.0% 9,378 Anthem, Inc. 4,135,604 41,100 Cardinal Health, Inc. 2,119,527 47,327 Cigna Corp. 10,906,981 61,546 CVS Health Corp. 6,555,265 9,372 Humana, Inc. 3,678,510 62,820 Quest Diagnostics, Inc. 8,481,956 --------------- 35,877,843 --------------- HOTELS, RESTAURANTS & LEISURE -- 0.3% 28,858 Darden Restaurants, Inc. 4,036,369 --------------- HOUSEHOLD DURABLES -- 2.0% 100,209 D.R. Horton, Inc. 8,940,647 93,558 Lennar Corp., Class A 8,991,860 SHARES DESCRIPTION VALUE --------------------------------------------------------------- HOUSEHOLD DURABLES (CONTINUED) 1,074 NVR, Inc. (a) $ 5,721,434 --------------- 23,653,941 --------------- HOUSEHOLD PRODUCTS -- 0.5% 20,643 Church & Dwight Co., Inc. 2,119,004 24,796 Colgate-Palmolive Co. 2,044,430 14,812 Kimberly-Clark Corp. 2,038,872 --------------- 6,202,306 --------------- INDUSTRIAL CONGLOMERATES -- 0.5% 35,746 3M Co. 5,934,551 --------------- INSURANCE -- 10.5% 148,897 Aflac, Inc. 9,353,709 92,371 Allstate (The) Corp. 11,146,409 191,129 American International Group, Inc. 11,037,700 244,493 Arch Capital Group Ltd. (a) 11,324,916 56,223 Chubb Ltd. 11,091,673 95,387 Cincinnati Financial Corp. 11,239,450 157,410 Hartford Financial Services Group (The), Inc. 11,313,057 8,804 Markel Corp. (a) 10,853,043 101,599 MetLife, Inc. 6,813,229 87,775 Principal Financial Group, Inc. 6,412,841 61,853 Progressive (The) Corp. 6,720,947 80,323 Prudential Financial, Inc. 8,961,637 69,476 Travelers (The) Cos., Inc. 11,545,522 --------------- 127,814,133 --------------- INTERNET & DIRECT MARKETING RETAIL -- 0.8% 163,426 eBay, Inc. 9,817,000 --------------- IT SERVICES -- 2.4% 37,145 Akamai Technologies, Inc. (a) 4,254,960 71,565 Cognizant Technology Solutions Corp., Class A 6,113,082 39,825 Fidelity National Information Services, Inc. 4,775,814 20,394 Fiserv, Inc. (a) 2,155,646 9,453 FleetCor Technologies, Inc. (a) 2,252,272 46,966 Global Payments, Inc. 7,039,264 15,839 International Business Machines Corp. 2,115,615 --------------- 28,706,653 --------------- LIFE SCIENCES TOOLS & SERVICES -- 0.7% 14,379 Bio-Rad Laboratories, Inc., Class A (a) 8,623,518 --------------- MACHINERY -- 3.8% 10,232 Caterpillar, Inc. 2,062,362 39,860 Cummins, Inc. 8,804,277 11,653 Dover Corp. 1,979,961 113,959 Fortive Corp. 8,038,668 8,579 Illinois Tool Works, Inc. 2,006,800 71,937 PACCAR, Inc. 6,689,422 13,662 Parker-Hannifin Corp. 4,235,356 46,092 Stanley Black & Decker, Inc. 8,049,968 See Notes to Financial Statements Page 53 FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 47,198 Westinghouse Air Brake Technologies Corp. $ 4,195,902 --------------- 46,062,716 --------------- MEDIA -- 3.2% 172,740 Comcast Corp., Class A 8,635,273 294,514 Fox Corp., Class A 11,960,213 86,651 Omnicom Group, Inc. 6,530,019 360,097 ViacomCBS, Inc., Class B 12,045,245 --------------- 39,170,750 --------------- METALS & MINING -- 0.7% 140,183 Newmont Corp. 8,574,994 --------------- MULTILINE RETAIL -- 0.5% 8,976 Dollar General Corp. 1,871,317 30,937 Dollar Tree, Inc. (a) 4,059,553 --------------- 5,930,870 --------------- MULTI-UTILITIES -- 4.0% 71,329 Ameren Corp. 6,329,736 311,504 CenterPoint Energy, Inc. 8,834,253 97,599 CMS Energy Corp. 6,283,424 101,901 Consolidated Edison, Inc. 8,809,342 55,334 Dominion Energy, Inc. 4,463,240 36,370 DTE Energy Co. 4,380,039 32,861 Sempra Energy 4,540,076 44,786 WEC Energy Group, Inc. 4,346,033 --------------- 47,986,143 --------------- OIL, GAS & CONSUMABLE FUELS -- 6.7% 74,087 Chevron Corp. 9,729,846 150,565 ConocoPhillips 13,343,070 197,369 Devon Energy Corp. 9,980,950 122,346 EOG Resources, Inc. 13,639,132 34,581 Exxon Mobil Corp. 2,626,773 548,178 Kinder Morgan, Inc. 9,516,370 135,864 Marathon Petroleum Corp. 9,748,242 47,797 Pioneer Natural Resources Co. 10,462,285 28,177 Valero Energy Corp. 2,337,846 --------------- 81,384,514 --------------- PHARMACEUTICALS -- 2.0% 25,410 Johnson & Johnson 4,377,889 27,609 Merck & Co., Inc. 2,249,581 147,231 Pfizer, Inc. 7,757,601 642,575 Viatris, Inc. 9,619,348 --------------- 24,004,419 --------------- PROFESSIONAL SERVICES -- 0.5% 71,414 Leidos Holdings, Inc. 6,387,982 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.3% 40,060 CBRE Group, Inc., Class A (a) 4,059,680 --------------- ROAD & RAIL -- 1.1% 115,614 CSX Corp. 3,956,311 21,266 J.B. Hunt Transport Services, Inc. 4,094,556 SHARES DESCRIPTION VALUE --------------------------------------------------------------- ROAD & RAIL (CONTINUED) 7,104 Norfolk Southern Corp. $ 1,932,217 8,399 Union Pacific Corp. 2,053,975 27,337 XPO Logistics, Inc. (a) 1,808,889 --------------- 13,845,948 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.6% 211,019 Intel Corp. 10,301,948 116,668 Micron Technology, Inc. 9,598,276 --------------- 19,900,224 --------------- SOFTWARE -- 0.7% 53,025 SS&C Technologies Holdings, Inc. 4,235,107 37,516 VMware, Inc., Class A 4,820,055 --------------- 9,055,162 --------------- SPECIALTY RETAIL -- 1.8% 85,572 Best Buy Co., Inc. 8,495,588 33,380 CarMax, Inc. (a) 3,710,855 5,103 Home Depot (The), Inc. 1,872,699 18,517 Ross Stores, Inc. 1,810,037 8,869 Tractor Supply Co. 1,936,191 10,539 Ulta Beauty, Inc. (a) 3,833,456 --------------- 21,658,826 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 2.3% 689,131 Hewlett Packard Enterprise Co. 11,253,509 230,796 HP, Inc. 8,477,137 166,656 Western Digital Corp. (a) 8,622,782 --------------- 28,353,428 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.3% 59,373 VF Corp. 3,871,713 --------------- TRADING COMPANIES & DISTRIBUTORS -- 0.2% 4,086 W.W. Grainger, Inc. 2,023,019 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.5% 54,738 T-Mobile US, Inc. (a) 5,921,009 --------------- TOTAL COMMON STOCKS -- 99.9% 1,209,430,940 (Cost $1,067,501,809) --------------- MONEY MARKET FUNDS -- 0.1% 1,583,973 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (b) 1,583,973 (Cost $1,583,973) --------------- TOTAL INVESTMENTS -- 100.0% 1,211,014,913 (Cost $1,069,085,782) NET OTHER ASSETS AND LIABILITIES -- 0.0% 406,580 --------------- NET ASSETS -- 100.0% $ 1,211,421,493 =============== Page 54 See Notes to Financial Statements FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) (a) Non-income producing security. (b) Rate shown reflects yield as of January 31, 2022. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 1/31/2022 PRICES INPUTS INPUTS -------------------------------------------------------------------- Common Stocks*.................................. $ 1,209,430,940 $ 1,209,430,940 $ -- $ -- Money Market Funds.............................. 1,583,973 1,583,973 -- -- -------------------------------------------------------------------- Total Investments............................... $ 1,211,014,913 $ 1,211,014,913 $ -- $ -- ==================================================================== * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 55 FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.9% AIR FREIGHT & LOGISTICS -- 1.2% 83,496 Expeditors International of Washington, Inc. $ 9,558,622 17,342 FedEx Corp. 4,263,704 --------------- 13,822,326 --------------- AUTO COMPONENTS -- 0.5% 39,716 Aptiv PLC (a) 5,424,411 --------------- AUTOMOBILES -- 0.9% 10,608 Tesla, Inc. (a) 9,936,726 --------------- BANKS -- 1.5% 21,719 First Republic Bank 3,770,201 205,756 Regions Financial Corp. 4,720,043 13,229 SVB Financial Group (a) 7,724,413 --------------- 16,214,657 --------------- BEVERAGES -- 0.4% 36,886 Coca-Cola (The) Co. 2,250,415 22,734 Monster Beverage Corp. (a) 1,971,492 --------------- 4,221,907 --------------- BIOTECHNOLOGY -- 2.9% 82,819 AbbVie, Inc. 11,337,093 12,872 Alnylam Pharmaceuticals, Inc. (a) 1,771,187 60,790 Horizon Therapeutics PLC (a) 5,673,531 25,799 Moderna, Inc. (a) 4,368,545 14,204 Regeneron Pharmaceuticals, Inc. (a) 8,644,412 --------------- 31,794,768 --------------- BUILDING PRODUCTS -- 0.7% 110,326 Johnson Controls International PLC 8,017,390 --------------- CAPITAL MARKETS -- 7.6% 4,904 BlackRock, Inc. 4,035,698 86,660 Blackstone, Inc. 11,436,520 204,255 Carlyle Group (The), Inc. 10,427,218 106,672 Charles Schwab (The) Corp. 9,355,135 17,124 Goldman Sachs Group (The), Inc. 6,073,540 65,588 Intercontinental Exchange, Inc. 8,307,376 150,517 KKR & Co., Inc. 10,710,790 5,588 Moody's Corp. 1,916,684 45,691 Morgan Stanley 4,685,155 3,564 MSCI, Inc. 1,910,732 31,196 Nasdaq, Inc. 5,590,635 18,261 Northern Trust Corp. 2,129,963 9,510 S&P Global, Inc. 3,948,742 22,812 T. Rowe Price Group, Inc. 3,522,857 --------------- 84,051,045 --------------- CHEMICALS -- 1.4% 28,024 Albemarle Corp. 6,186,018 31,846 Sherwin-Williams (The) Co. 9,124,197 --------------- 15,310,215 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES -- 0.7% 10,126 Cintas Corp. $ 3,964,633 29,577 Copart, Inc. (a) 3,822,827 --------------- 7,787,460 --------------- COMMUNICATIONS EQUIPMENT -- 1.6% 78,009 Arista Networks, Inc. (a) 9,697,299 33,016 Motorola Solutions, Inc. 7,657,731 --------------- 17,355,030 --------------- CONSTRUCTION MATERIALS -- 0.7% 20,370 Martin Marietta Materials, Inc. 7,926,374 --------------- CONSUMER FINANCE -- 0.2% 18,902 Discover Financial Services 2,187,907 --------------- CONTAINERS & PACKAGING -- 0.6% 30,245 Avery Dennison Corp. 6,212,928 --------------- DISTRIBUTORS -- 0.8% 19,809 Pool Corp. 9,434,036 --------------- ELECTRICAL EQUIPMENT -- 1.0% 12,745 Generac Holdings, Inc. (a) 3,598,933 25,716 Rockwell Automation, Inc. 7,437,582 --------------- 11,036,515 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 3.5% 128,217 Amphenol Corp., Class A 10,204,791 43,802 CDW Corp. 8,280,768 54,297 Keysight Technologies, Inc. (a) 9,166,420 51,445 Trimble, Inc. (a) 3,712,271 15,073 Zebra Technologies Corp., Class A (a) 7,673,966 --------------- 39,038,216 --------------- ENTERTAINMENT -- 0.9% 74,945 Live Nation Entertainment, Inc. (a) 8,207,227 3,629 Netflix, Inc. (a) 1,550,091 --------------- 9,757,318 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 9.1% 9,793 Alexandria Real Estate Equities, Inc. 1,908,068 7,462 American Tower Corp. 1,876,693 17,758 AvalonBay Communities, Inc. 4,337,036 36,669 Camden Property Trust 5,870,340 10,462 Crown Castle International Corp. 1,909,420 37,041 Digital Realty Trust, Inc. 5,527,629 136,664 Duke Realty Corp. 7,896,446 51,166 Equity LifeStyle Properties, Inc. 4,005,786 24,134 Equity Residential 2,141,410 6,196 Essex Property Trust, Inc. 2,060,170 39,570 Extra Space Storage, Inc. 7,842,378 144,490 Invitation Homes, Inc. 6,065,690 39,099 Mid-America Apartment Communities, Inc. 8,080,981 53,282 Prologis, Inc. 8,355,683 Page 56 See Notes to Financial Statements FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 17,487 Public Storage $ 6,269,614 11,532 SBA Communications Corp. 3,752,974 41,005 Simon Property Group, Inc. 6,035,936 42,729 Sun Communities, Inc. 8,074,072 217,845 Weyerhaeuser Co. 8,807,474 --------------- 100,817,800 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 3.0% 63,739 Abbott Laboratories 8,124,173 6,081 ABIOMED, Inc. (a) 1,799,185 6,820 Align Technology, Inc. (a) 3,375,627 5,212 Cooper (The) Cos., Inc. 2,075,940 39,144 DENTSPLY SIRONA, Inc. 2,091,073 8,353 Dexcom, Inc. (a) 3,595,799 50,566 Edwards Lifesciences Corp. (a) 5,521,807 3,314 IDEXX Laboratories, Inc. (a) 1,681,192 12,481 Intuitive Surgical, Inc. (a) 3,546,851 7,454 Masimo Corp. (a) 1,638,911 --------------- 33,450,558 --------------- HEALTH CARE PROVIDERS & SERVICES -- 1.8% 43,643 HCA Healthcare, Inc. 10,476,502 35,685 Laboratory Corp. of America Holdings (a) 9,683,482 --------------- 20,159,984 --------------- HOTELS, RESTAURANTS & LEISURE -- 4.5% 13,112 Airbnb, Inc., Class A (a) 2,018,855 70,043 Caesars Entertainment, Inc. (a) 5,333,074 2,569 Chipotle Mexican Grill, Inc. (a) 3,816,455 15,897 Domino's Pizza, Inc. 7,227,571 24,816 Expedia Group, Inc. (a) 4,548,525 41,995 Hilton Worldwide Holdings, Inc. (a) 6,093,894 16,733 McDonald's Corp. 4,341,377 145,972 MGM Resorts International 6,235,924 38,352 Starbucks Corp. 3,770,769 47,174 Yum! Brands, Inc. 5,904,769 --------------- 49,291,213 --------------- HOUSEHOLD DURABLES -- 0.2% 16,033 Garmin Ltd. 1,994,826 --------------- HOUSEHOLD PRODUCTS -- 0.6% 40,043 Procter & Gamble (The) Co. 6,424,899 --------------- INSURANCE -- 1.3% 21,799 Aon PLC, Class A 6,026,115 51,609 Marsh & McLennan Cos., Inc. 7,929,207 --------------- 13,955,322 --------------- INTERACTIVE MEDIA & SERVICES -- 0.9% 3,095 Alphabet, Inc., Class A (a) 8,375,287 6,493 Meta Platforms, Inc., Class A (a) 2,033,997 --------------- 10,409,284 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- INTERNET & DIRECT MARKETING RETAIL -- 0.7% 1,351 Amazon.com, Inc. (a) $ 4,041,476 20,487 Etsy, Inc. (a) 3,218,098 --------------- 7,259,574 --------------- IT SERVICES -- 4.5% 26,569 Automatic Data Processing, Inc. 5,477,731 13,516 Block, Inc. (a) 1,652,871 68,224 Cloudflare, Inc., Class A (a) 6,576,793 16,778 EPAM Systems, Inc. (a) 7,988,677 33,545 Gartner, Inc. (a) 9,858,540 12,379 MongoDB, Inc. (a) 5,014,857 47,988 Paychex, Inc. 5,651,067 19,333 Snowflake, Inc., Class A (a) 5,333,975 8,605 VeriSign, Inc. (a) 1,868,834 --------------- 49,423,345 --------------- LIFE SCIENCES TOOLS & SERVICES -- 6.5% 28,100 Agilent Technologies, Inc. 3,914,892 155,455 Avantor, Inc. (a) 5,803,135 4,223 Bio-Techne Corp. 1,589,580 11,904 Charles River Laboratories International, Inc. (a) 3,925,463 27,272 Danaher Corp. 7,794,065 39,746 IQVIA Holdings, Inc. (a) 9,733,795 5,290 Mettler-Toledo International, Inc. (a) 7,790,477 55,770 PerkinElmer, Inc. 9,601,921 16,811 Thermo Fisher Scientific, Inc. 9,772,234 12,034 Waters Corp. (a) 3,852,324 19,122 West Pharmaceutical Services, Inc. 7,519,153 --------------- 71,297,039 --------------- MACHINERY -- 2.0% 19,110 Deere & Co. 7,193,004 181,244 Ingersoll Rand, Inc. 10,187,725 51,519 Otis Worldwide Corp. 4,401,268 --------------- 21,781,997 --------------- MEDIA -- 0.2% 3,350 Charter Communications, Inc., Class A (a) 1,987,689 --------------- METALS & MINING -- 1.8% 268,709 Freeport-McMoRan, Inc. 10,001,349 98,235 Nucor Corp. 9,961,029 --------------- 19,962,378 --------------- MULTILINE RETAIL -- 0.4% 19,376 Target Corp. 4,271,052 --------------- OIL, GAS & CONSUMABLE FUELS -- 3.9% 110,564 Cheniere Energy, Inc. 12,372,112 88,496 Hess Corp. 8,167,296 225,977 Occidental Petroleum Corp. 8,512,553 152,673 ONEOK, Inc. 9,264,198 172,250 Williams (The) Cos., Inc. 5,157,165 --------------- 43,473,324 --------------- See Notes to Financial Statements Page 57 FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) PERSONAL PRODUCTS -- 0.5% 17,692 Estee Lauder (The) Cos., Inc., Class A $ 5,516,189 --------------- PHARMACEUTICALS -- 1.9% 35,018 Bristol-Myers Squibb Co. 2,272,318 35,030 Catalent, Inc. (a) 3,640,668 32,481 Eli Lilly & Co. 7,970,512 36,759 Zoetis, Inc. 7,344,081 --------------- 21,227,579 --------------- PROFESSIONAL SERVICES -- 1.0% 30,634 Equifax, Inc. 7,344,808 18,416 TransUnion 1,899,058 9,543 Verisk Analytics, Inc. 1,871,668 --------------- 11,115,534 --------------- ROAD & RAIL -- 0.8% 31,285 Old Dominion Freight Line, Inc. 9,445,880 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 10.9% 77,923 Advanced Micro Devices, Inc. (a) 8,902,703 71,259 Applied Materials, Inc. 9,846,569 13,482 Broadcom, Inc. 7,898,834 24,522 Enphase Energy, Inc. (a) 3,444,605 47,274 Entegris, Inc. 5,665,316 26,068 KLA Corp. 10,147,490 12,470 Lam Research Corp. 7,356,302 102,529 Marvell Technology, Inc. 7,320,571 51,521 Microchip Technology, Inc. 3,991,847 13,274 Monolithic Power Systems, Inc. 5,348,493 38,131 NVIDIA Corp. 9,336,757 39,388 NXP Semiconductors N.V. 8,091,871 165,096 ON Semiconductor Corp. (a) 9,740,664 13,961 Qorvo, Inc. (a) 1,916,566 61,324 QUALCOMM, Inc. 10,778,306 14,079 Skyworks Solutions, Inc. 2,062,855 54,863 Teradyne, Inc. 6,442,562 11,592 Texas Instruments, Inc. 2,080,648 --------------- 120,372,959 --------------- SOFTWARE -- 9.0% 5,445 ANSYS, Inc. (a) 1,851,354 26,290 Bill.com Holdings, Inc. (a) 4,948,041 35,156 Cadence Design Systems, Inc. (a) 5,348,634 62,960 Datadog, Inc., Class A (a) 9,199,086 36,185 Dynatrace, Inc. (a) 1,985,109 31,204 Fortinet, Inc. (a) 9,275,077 6,799 HubSpot, Inc. (a) 3,323,351 13,943 Intuit, Inc. 7,741,572 19,480 Microsoft Corp. 6,057,890 84,053 NortonLifeLock, Inc. 2,186,219 51,433 Oracle Corp. 4,174,302 16,114 Palo Alto Networks, Inc. (a) 8,337,384 3,366 ServiceNow, Inc. (a) 1,971,735 24,349 Synopsys, Inc. (a) 7,560,364 71,487 Trade Desk (The), Inc., Class A (a) 4,971,206 SHARES DESCRIPTION VALUE --------------------------------------------------------------- SOFTWARE (CONTINUED) 12,181 Tyler Technologies, Inc. (a) $ 5,771,358 31,370 Unity Software, Inc. (a) 3,298,556 7,996 Workday, Inc., Class A (a) 2,023,068 34,897 Zscaler, Inc. (a) 8,972,368 --------------- 98,996,674 --------------- SPECIALTY RETAIL -- 4.3% 5,344 AutoZone, Inc. (a) 10,615,055 160,670 Bath & Body Works, Inc. 9,008,767 22,468 Burlington Stores, Inc. (a) 5,323,343 9,422 Carvana Co. (a) 1,526,929 43,377 Lowe's Cos., Inc. 10,295,531 15,877 O'Reilly Automotive, Inc. (a) 10,347,835 --------------- 47,117,460 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 2.0% 63,151 Apple, Inc. 11,037,532 116,629 Dell Technologies, Inc., Class C (a) 6,625,693 48,763 NetApp, Inc. 4,218,487 --------------- 21,881,712 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.5% 39,305 NIKE, Inc., Class B 5,819,891 --------------- TRADING COMPANIES & DISTRIBUTORS -- 0.2% 6,577 United Rentals, Inc. (a) 2,105,429 --------------- WATER UTILITIES -- 0.3% 23,745 American Water Works Co., Inc. 3,818,196 --------------- TOTAL COMMON STOCKS -- 99.9% 1,102,907,016 (Cost $978,537,749) --------------- MONEY MARKET FUNDS -- 0.1% 1,116,965 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (b) 1,116,965 (Cost $1,116,965) --------------- TOTAL INVESTMENTS -- 100.0% 1,104,023,981 (Cost $979,654,714) NET OTHER ASSETS AND LIABILITIES -- (0.0)% (102,832) --------------- NET ASSETS -- 100.0% $ 1,103,921,149 =============== (a) Non-income producing security. (b) Rate shown reflects yield as of January 31, 2022. Page 58 See Notes to Financial Statements FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 1/31/2022 PRICES INPUTS INPUTS -------------------------------------------------------------------- Common Stocks*.................................. $ 1,102,907,016 $ 1,102,907,016 $ -- $ -- Money Market Funds.............................. 1,116,965 1,116,965 -- -- -------------------------------------------------------------------- Total Investments............................... $ 1,104,023,981 $ 1,104,023,981 $ -- $ -- ==================================================================== * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 59 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 1.9% 2,979 BWX Technologies, Inc. $ 132,595 1,029 Curtiss-Wright Corp. 136,641 2,025 General Dynamics Corp. 429,502 1,528 Huntington Ingalls Industries, Inc. 286,042 1,980 L3Harris Technologies, Inc. 414,394 1,188 Lockheed Martin Corp. 462,286 1,367 Maxar Technologies, Inc. 35,556 1,016 Moog, Inc., Class A 77,460 1,091 Northrop Grumman Corp. 403,561 1,200 Parsons Corp. (a) 36,540 3,360 Raytheon Technologies Corp. 303,038 3,745 Textron, Inc. 254,885 651 Woodward, Inc. 71,786 --------------- 3,044,286 --------------- AIR FREIGHT & LOGISTICS -- 0.5% 7,002 Air Transport Services Group, Inc. (a) 188,004 2,186 Atlas Air Worldwide Holdings, Inc. (a) 175,601 1,325 C.H. Robinson Worldwide, Inc. 138,661 977 Hub Group, Inc., Class A (a) 73,979 657 United Parcel Service, Inc., Class B 132,852 --------------- 709,097 --------------- AIRLINES -- 0.2% 1,369 Alaska Air Group, Inc. (a) 74,939 216 Allegiant Travel Co. (a) 38,590 4,188 SkyWest, Inc. (a) 159,772 3,020 Sun Country Airlines Holdings, Inc. (a) 80,272 --------------- 353,573 --------------- AUTO COMPONENTS -- 0.8% 6,329 BorgWarner, Inc. 277,527 7,212 Dana, Inc. 156,212 357 Dorman Products, Inc. (a) 33,426 4,093 Gentex Corp. 128,520 13,380 Goodyear Tire & Rubber (The) Co. (a) 277,367 528 LCI Industries 65,034 1,169 Lear Corp. 195,597 2,040 Patrick Industries, Inc. 131,376 --------------- 1,265,059 --------------- AUTOMOBILES -- 1.0% 13,920 Ford Motor Co. 282,576 12,328 General Motors Co. (a) 650,056 5,676 Harley-Davidson, Inc. 196,219 3,436 Thor Industries, Inc. 325,011 2,197 Winnebago Industries, Inc. 141,750 --------------- 1,595,612 --------------- BANKS -- 9.2% 7,285 Associated Banc-Corp. 174,112 4,413 Atlantic Union Bankshares Corp. 179,697 572 BancFirst Corp. 42,871 SHARES DESCRIPTION VALUE --------------------------------------------------------------- BANKS (CONTINUED) 9,491 Bank of America Corp. $ 437,915 4,598 Bank OZK 215,416 2,862 BankUnited, Inc. 119,489 1,996 Banner Corp. 123,972 2,028 BOK Financial Corp. 207,971 2,817 Cathay General Bancorp 127,216 11,969 Citigroup, Inc. 779,421 12,238 Citizens Financial Group, Inc. 629,890 3,701 Columbia Banking System, Inc. 128,684 2,459 Comerica, Inc. 228,146 1,038 Commerce Bancshares, Inc. 71,529 566 Cullen/Frost Bankers, Inc. 79,812 3,843 CVB Financial Corp. 84,661 2,076 Eagle Bancorp, Inc. 124,498 1,813 East West Bancorp, Inc. 156,534 2,001 Eastern Bankshares, Inc. 42,601 1,747 Enterprise Financial Services Corp. 86,546 9,984 F.N.B. Corp. 128,993 1,878 FB Financial Corp. 83,609 9,696 Fifth Third Bancorp 432,732 8,788 First BanCorp 127,865 6,750 First Financial Bancorp 170,168 3,011 First Hawaiian, Inc. 85,362 17,469 First Horizon Corp. 298,895 2,023 First Interstate BancSystem, Inc., Class A 74,345 2,891 First Merchants Corp. 122,665 7,124 Fulton Financial Corp. 127,876 2,421 Hancock Whitney Corp. 127,635 2,393 Heartland Financial USA, Inc. 124,508 4,683 Hilltop Holdings, Inc. 154,680 3,379 Home BancShares, Inc. 79,609 11,188 Hope Bancorp, Inc. 187,399 27,384 Huntington Bancshares, Inc. 412,403 1,141 Independent Bank Group, Inc. 86,625 2,857 International Bancshares Corp. 120,080 2,667 JPMorgan Chase & Co. 396,316 24,999 KeyCorp 626,475 3,765 M&T Bank Corp. 637,716 3,144 NBT Bancorp, Inc. 121,610 8,552 Northwest Bancshares, Inc. 120,669 9,083 Old National Bancorp 166,491 6,315 PacWest Bancorp 293,205 294 Park National Corp. 39,825 2,106 PNC Financial Services Group (The), Inc. 433,815 3,477 Popular, Inc. 310,044 2,959 Prosperity Bancshares, Inc. 216,747 3,191 Renasant Corp. 117,365 2,519 Sandy Spring Bancorp, Inc. 119,174 1,141 Seacoast Banking Corp. of Florida 41,647 4,094 Simmons First National Corp., Class A 117,088 2,671 SouthState Corp. 225,459 4,469 Synovus Financial Corp. 222,377 Page 60 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) BANKS (CONTINUED) 2,010 Texas Capital Bancshares, Inc. (a) $ 126,027 5,210 TowneBank 163,490 7,212 Truist Financial Corp. 453,058 3,731 Trustmark Corp. 121,556 7,518 U.S. Bancorp 437,472 1,344 UMB Financial Corp. 132,317 5,897 United Bankshares, Inc. 208,341 2,290 United Community Banks, Inc. 81,043 15,560 Valley National Bancorp 216,595 2,554 Webster Financial Corp. 145,093 12,052 Wells Fargo & Co. 648,398 4,703 WesBanco, Inc. 166,909 699 Westamerica BanCorp 40,598 1,333 Wintrust Financial Corp. 130,727 4,516 Zions Bancorp N.A. 306,275 --------------- 14,570,352 --------------- BEVERAGES -- 0.1% 3,819 Keurig Dr Pepper, Inc. 144,931 1,539 Molson Coors Beverage Co., Class B 73,349 --------------- 218,280 --------------- BIOTECHNOLOGY -- 1.4% 626 Amgen, Inc. 142,190 1,205 Biogen, Inc. (a) 272,330 4,732 Emergent BioSolutions, Inc. (a) 221,458 3,901 Exelixis, Inc. (a) 70,608 7,964 Gilead Sciences, Inc. 546,967 3,939 Incyte Corp. (a) 292,786 14,114 Ironwood Pharmaceuticals, Inc. (a) 157,371 8,392 OPKO Health, Inc. (a) 26,267 4,836 Sage Therapeutics, Inc. (a) 190,635 1,317 Vertex Pharmaceuticals, Inc. (a) 320,097 --------------- 2,240,709 --------------- BUILDING PRODUCTS -- 1.1% 831 A.O. Smith Corp. 63,505 3,328 Builders FirstSource, Inc. (a) 226,271 2,595 Carrier Global Corp. 123,730 11,796 Cornerstone Building Brands, Inc. (a) 173,991 1,334 Fortune Brands Home & Security, Inc. 125,623 605 Gibraltar Industries, Inc. (a) 33,154 3,122 JELD-WEN Holding, Inc. (a) 73,679 3,940 Owens Corning 349,478 8,219 Resideo Technologies, Inc. (a) 203,667 1,026 Simpson Manufacturing Co., Inc. 115,722 3,100 UFP Industries, Inc. 247,566 --------------- 1,736,386 --------------- CAPITAL MARKETS -- 2.2% 9,956 Bank of New York Mellon (The) Corp. 589,993 SHARES DESCRIPTION VALUE --------------------------------------------------------------- CAPITAL MARKETS (CONTINUED) 8,036 Brightsphere Investment Group, Inc. $ 173,417 547 Cboe Global Markets, Inc. 64,836 3,223 Federated Hermes, Inc. 106,713 21,582 Franklin Resources, Inc. 689,976 13,324 Golub Capital BDC, Inc. (b) 208,920 9,190 Jefferies Financial Group, Inc. 336,722 4,904 Lazard Ltd., Class A 214,011 2,880 Raymond James Financial, Inc. 304,906 3,511 SEI Investments Co. 205,780 4,541 State Street Corp. 429,124 3,038 Stifel Financial Corp. 227,546 --------------- 3,551,944 --------------- CHEMICALS -- 4.2% 463 Air Products and Chemicals, Inc. 130,622 1,325 Ashland Global Holdings, Inc. 127,253 2,549 Avient Corp. 126,864 2,153 Axalta Coating Systems Ltd. (a) 63,750 2,155 Cabot Corp. 118,503 4,301 Celanese Corp. 669,709 4,250 Chemours (The) Co. 139,018 12,230 Corteva, Inc. 588,018 12,743 Dow, Inc. 761,139 8,948 DuPont de Nemours, Inc. 685,417 2,391 Eastman Chemical Co. 284,362 649 FMC Corp. 71,630 498 H.B. Fuller Co. 35,741 10,223 Huntsman Corp. 366,290 563 Ingevity Corp. (a) 37,107 911 Innospec, Inc. 84,687 5,482 Kronos Worldwide, Inc. 78,667 7,837 LyondellBasell Industries N.V., Class A 758,073 2,250 Minerals Technologies, Inc. 157,433 9,075 Mosaic (The) Co. 362,546 240 NewMarket Corp. 81,137 816 PPG Industries, Inc. 127,459 886 Scotts Miracle-Gro (The) Co. 133,963 974 Stepan Co. 107,296 3,921 Trinseo PLC 209,930 3,671 Westlake Chemical Corp. 362,144 --------------- 6,668,758 --------------- COMMERCIAL SERVICES & SUPPLIES -- 0.7% 2,014 ABM Industries, Inc. 83,964 16,960 ADT, Inc. 128,726 1,527 Brady Corp., Class A 79,282 11,689 BrightView Holdings, Inc. (a) 155,113 1,430 Clean Harbors, Inc. (a) 132,346 3,771 Deluxe Corp. 113,507 4,924 Harsco Corp. (a) 77,307 4,625 Healthcare Services Group, Inc. 84,129 1,957 HNI Corp. 82,077 7,753 KAR Auction Services, Inc. (a) 110,248 391 UniFirst Corp. 74,325 --------------- 1,121,024 --------------- See Notes to Financial Statements Page 61 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMUNICATIONS EQUIPMENT -- 0.5% 1,853 Ciena Corp. (a) $ 122,872 4,562 Cisco Systems, Inc. 253,967 2,023 Lumentum Holdings, Inc. (a) 205,294 2,487 NetScout Systems, Inc. (a) 78,465 2,719 Viasat, Inc. (a) 119,690 --------------- 780,288 --------------- CONSTRUCTION & ENGINEERING -- 0.5% 2,298 Arcosa, Inc. 107,225 408 Comfort Systems USA, Inc. 36,630 1,120 EMCOR Group, Inc. 133,515 1,043 Granite Construction, Inc. 37,527 2,318 MasTec, Inc. (a) 199,649 8,579 Primoris Services Corp. 220,652 622 Quanta Services, Inc. 63,892 --------------- 799,090 --------------- CONSUMER FINANCE -- 2.2% 15,182 Ally Financial, Inc. 724,485 860 American Express Co. 154,645 4,982 Capital One Financial Corp. 731,009 311 Credit Acceptance Corp. (a) 167,803 3,312 Encore Capital Group, Inc. (a) 213,624 540 FirstCash Holdings, Inc. 37,638 1,685 Nelnet, Inc., Class A 149,173 7,126 OneMain Holdings, Inc. 368,129 2,412 PRA Group, Inc. (a) 112,158 3,648 PROG Holdings, Inc. (a) 145,227 15,581 Synchrony Financial 663,595 --------------- 3,467,486 --------------- CONTAINERS & PACKAGING -- 1.5% 582 AptarGroup, Inc. 68,269 2,900 Berry Global Group, Inc. (a) 195,518 7,314 Graphic Packaging Holding Co. 138,308 3,408 Greif, Inc., Class A 201,617 15,385 International Paper Co. 742,326 3,356 O-I Glass, Inc. (a) 44,668 1,571 Packaging Corp. of America 236,640 12,979 Pactiv Evergreen, Inc. 142,120 4,994 Silgan Holdings, Inc. 223,631 8,038 Westrock Co. 371,034 --------------- 2,364,131 --------------- DISTRIBUTORS -- 0.3% 9,632 LKQ Corp. 528,700 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.5% 2,784 Adtalem Global Education, Inc. (a) 81,905 327 Graham Holdings Co., Class B 194,604 3,328 Grand Canyon Education, Inc. (a) 278,487 1,005 Service Corp. International 62,029 2,845 Strategic Education, Inc. 169,733 --------------- 786,758 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES -- 0.8% 2,417 Berkshire Hathaway, Inc., Class B (a) $ 756,569 5,853 Cannae Holdings, Inc. (a) 174,829 5,377 Voya Financial, Inc. 365,421 --------------- 1,296,819 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.3% 23,505 AT&T, Inc. 599,377 12,091 Frontier Communications Parent, Inc. (a) 322,346 14,436 Liberty Latin America Ltd., Class C (a) 156,053 22,730 Lumen Technologies, Inc. 280,943 13,911 Verizon Communications, Inc. 740,483 --------------- 2,099,202 --------------- ELECTRIC UTILITIES -- 4.8% 1,825 ALLETE, Inc. 116,490 6,869 Alliant Energy Corp. 411,178 6,499 American Electric Power Co., Inc. 587,510 4,025 Duke Energy Corp. 422,866 6,187 Edison International 388,482 5,133 Entergy Corp. 573,715 8,428 Evergy, Inc. 547,483 4,641 Eversource Energy 415,323 10,011 Exelon Corp. 580,137 6,952 FirstEnergy Corp. 291,706 3,437 Hawaiian Electric Industries, Inc. 146,073 1,259 IDACORP, Inc. 138,767 491 MGE Energy, Inc. 38,018 8,277 NRG Energy, Inc. 330,501 5,574 OGE Energy Corp. 211,366 565 Otter Tail Corp. 35,821 47,630 PG&E Corp. (a) 609,188 4,041 Pinnacle West Capital Corp. 281,294 5,390 Portland General Electric Co. 283,191 9,618 PPL Corp. 285,462 6,157 Southern (The) Co. 427,850 6,237 Xcel Energy, Inc. 434,469 --------------- 7,556,890 --------------- ELECTRICAL EQUIPMENT -- 0.7% 674 Acuity Brands, Inc. 129,091 957 AMETEK, Inc. 130,889 814 Eaton Corp. PLC 128,962 3,110 Emerson Electric Co. 285,964 1,150 Encore Wire Corp. 129,594 1,804 EnerSys 135,174 10,237 GrafTech International Ltd. 107,284 --------------- 1,046,958 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.9% 2,124 Arrow Electronics, Inc. (a) 263,376 4,990 Avnet, Inc. 201,396 614 Belden, Inc. 34,353 Page 62 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS (CONTINUED) 15,531 Corning, Inc. $ 652,923 379 Insight Enterprises, Inc. (a) 35,683 414 IPG Photonics Corp. (a) 63,951 2,027 Jabil, Inc. 124,640 5,186 Knowles Corp. (a) 109,995 453 Littelfuse, Inc. 122,297 2,463 Methode Electronics, Inc. 108,446 883 OSI Systems, Inc. (a) 73,236 858 Plexus Corp. (a) 66,512 4,962 Sanmina Corp. (a) 187,663 2,617 TE Connectivity Ltd. 374,257 11,045 TTM Technologies, Inc. (a) 148,666 9,406 Vishay Intertechnology, Inc. 194,798 6,962 Vontier Corp. 195,702 --------------- 2,957,894 --------------- ENERGY EQUIPMENT & SERVICES -- 0.5% 3,529 ChampionX Corp. (a) 79,050 1,703 Helmerich & Payne, Inc. 48,876 9,738 Patterson-UTI Energy, Inc. 96,990 9,653 Schlumberger N.V. 377,143 59,628 Transocean Ltd. (a) 187,828 --------------- 789,887 --------------- ENTERTAINMENT -- 0.5% 8,691 Activision Blizzard, Inc. 686,676 792 Take-Two Interactive Software, Inc. (a) 129,365 --------------- 816,041 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 2.7% 6,132 Brandywine Realty Trust 78,858 1,626 Broadstone Net Lease, Inc. 37,577 2,942 Corporate Office Properties Trust 74,315 3,541 Cousins Properties, Inc. 136,541 850 EPR Properties 37,375 1,559 Equity Commonwealth (a) 40,596 7,925 Global Net Lease, Inc. 113,645 8,011 Healthpeak Properties, Inc. 283,349 1,599 Highwoods Properties, Inc. 68,949 3,330 Hudson Pacific Properties, Inc. 78,688 4,834 Industrial Logistics Properties Trust 110,844 5,365 Kilroy Realty Corp. 343,360 11,573 Kimco Realty Corp. 280,761 3,547 LTC Properties, Inc. 127,940 7,753 LXP Industrial Trust 115,442 6,036 Medical Properties Trust, Inc. 137,379 2,107 National Health Investors, Inc. 121,848 2,967 National Retail Properties, Inc. 131,675 9,640 Omega Healthcare Investors, Inc. 303,467 14,521 Paramount Group, Inc. 126,187 2,144 Physicians Realty Trust 39,149 SHARES DESCRIPTION VALUE --------------------------------------------------------------- EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 6,589 Piedmont Office Realty Trust, Inc., Class A $ 117,021 2,733 PotlatchDeltic Corp. 147,008 946 Regency Centers Corp. 67,876 2,981 Sabra Health Care REIT, Inc. 40,571 4,933 SL Green Realty Corp. 357,741 2,960 Spirit Realty Capital, Inc. 140,482 2,073 STORE Capital Corp. 65,735 2,753 Ventas, Inc. 145,964 3,183 Washington Real Estate Investment Trust 78,365 3,524 WP Carey, Inc. 273,462 --------------- 4,222,170 --------------- FOOD & STAPLES RETAILING -- 0.9% 2,362 Albertsons Cos., Inc., Class A 66,490 1,065 BJ's Wholesale Club Holdings, Inc. (a) 65,466 723 Casey's General Stores, Inc. 135,787 9,330 Kroger (The) Co. 406,695 1,125 PriceSmart, Inc. 80,336 5,545 Sprouts Farmers Market, Inc. (a) 150,491 3,353 United Natural Foods, Inc. (a) 130,029 8,096 Walgreens Boots Alliance, Inc. 402,857 --------------- 1,438,151 --------------- FOOD PRODUCTS -- 3.7% 8,555 Archer-Daniels-Midland Co. 641,625 1,314 B&G Foods, Inc. 40,865 3,819 Bunge Ltd. 377,546 4,923 Campbell Soup Co. 217,203 16,932 Conagra Brands, Inc. 588,556 2,596 Flowers Foods, Inc. 73,025 7,454 Fresh Del Monte Produce, Inc. 207,445 6,267 General Mills, Inc. 430,418 728 Hershey (The) Co. 143,467 2,884 Hormel Foods Corp. 136,903 4,030 Hostess Brands, Inc. (a) 82,696 738 Ingredion, Inc. 69,889 1,575 J.M. Smucker (The) Co. 221,414 4,488 Kellogg Co. 282,744 16,107 Kraft Heinz (The) Co. 576,631 431 Lancaster Colony Corp. 68,430 6,368 Mondelez International, Inc., Class A 426,847 633 Post Holdings, Inc. (a) 66,984 91 Seaboard Corp. 347,619 2,988 TreeHouse Foods, Inc. (a) 115,725 8,293 Tyson Foods, Inc., Class A 753,751 --------------- 5,869,783 --------------- GAS UTILITIES -- 0.9% 2,042 Atmos Energy Corp. 218,943 3,346 National Fuel Gas Co. 203,203 3,374 Northwest Natural Holding Co. 159,725 1,060 ONE Gas, Inc. 82,563 6,301 South Jersey Industries, Inc. 157,651 2,349 Southwest Gas Holdings, Inc. 160,155 See Notes to Financial Statements Page 63 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) GAS UTILITIES (CONTINUED) 2,523 Spire, Inc. $ 166,316 7,767 UGI Corp. 352,234 --------------- 1,500,790 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.2% 1,640 Baxter International, Inc. 140,122 560 Becton, Dickinson and Co. 142,318 4,748 Envista Holdings Corp. (a) 205,304 9,441 Hologic, Inc. (a) 663,136 301 ICU Medical, Inc. (a) 64,221 472 Integer Holdings Corp. (a) 37,010 1,361 Medtronic PLC 140,850 428 Teleflex, Inc. 132,761 3,324 Zimmer Biomet Holdings, Inc. 408,918 --------------- 1,934,640 --------------- HEALTH CARE PROVIDERS & SERVICES -- 2.3% 441 Amedisys, Inc. (a) 59,579 624 Anthem, Inc. 275,178 2,734 Cardinal Health, Inc. 140,992 135 Chemed Corp. 63,303 3,148 Cigna Corp. 725,488 4,093 CVS Health Corp. 435,945 2,186 Encompass Health Corp. 135,619 1,840 Henry Schein, Inc. (a) 138,552 623 Humana, Inc. 244,528 520 LHC Group, Inc. (a) 64,532 2,804 Patterson Cos., Inc. 80,447 8,661 Premier, Inc., Class A 331,023 4,178 Quest Diagnostics, Inc. 564,114 2,750 Universal Health Services, Inc., Class B 357,665 --------------- 3,616,965 --------------- HEALTH CARE TECHNOLOGY -- 0.1% 32,197 Multiplan Corp. (a) 129,754 --------------- HOTELS, RESTAURANTS & LEISURE -- 0.2% 2,249 Brinker International, Inc. (a) 74,689 314 Cracker Barrel Old Country Store, Inc. 37,410 1,919 Darden Restaurants, Inc. 268,411 --------------- 380,510 --------------- HOUSEHOLD DURABLES -- 3.2% 127 Cavco Industries, Inc. (a) 34,219 2,515 Century Communities, Inc. 165,613 6,665 D.R. Horton, Inc. 594,651 292 Helen of Troy Ltd. (a) 61,124 1,249 iRobot Corp. (a) 81,834 4,599 KB Home 194,308 4,533 La-Z-Boy, Inc. 166,406 5,198 Leggett & Platt, Inc. 207,140 6,222 Lennar Corp., Class A 597,996 2,308 LGI Homes, Inc. (a) 287,369 3,685 M.D.C. Holdings, Inc. 186,793 SHARES DESCRIPTION VALUE --------------------------------------------------------------- HOUSEHOLD DURABLES (CONTINUED) 3,308 M/I Homes, Inc. (a) $ 175,291 1,685 Meritage Homes Corp. (a) 171,921 1,957 Mohawk Industries, Inc. (a) 308,952 9,796 Newell Brands, Inc. 227,365 71 NVR, Inc. (a) 378,233 6,238 PulteGroup, Inc. 328,680 5,884 Taylor Morrison Home Corp. (a) 180,580 3,941 Toll Brothers, Inc. 232,401 259 TopBuild Corp. (a) 60,256 7,376 Tri Pointe Homes, Inc. (a) 175,623 1,216 Whirlpool Corp. 255,591 --------------- 5,072,346 --------------- HOUSEHOLD PRODUCTS -- 0.5% 2,531 Central Garden & Pet Co., Class A (a) 109,668 1,373 Church & Dwight Co., Inc. 140,939 1,649 Colgate-Palmolive Co. 135,960 1,007 Energizer Holdings, Inc. 37,873 985 Kimberly-Clark Corp. 135,585 4,542 Reynolds Consumer Products, Inc. 137,486 397 Spectrum Brands Holdings, Inc. 35,484 --------------- 732,995 --------------- INDUSTRIAL CONGLOMERATES -- 0.3% 2,377 3M Co. 394,630 --------------- INSURANCE -- 9.8% 9,903 Aflac, Inc. 622,106 427 Alleghany Corp. (a) 283,528 6,144 Allstate (The) Corp. 741,396 4,229 American Equity Investment Life Holding Co. 173,981 2,077 American Financial Group, Inc. 270,592 12,712 American International Group, Inc. 734,118 16,261 Arch Capital Group Ltd. (a) 753,210 1,416 Argo Group International Holdings Ltd. 80,400 915 Assurant, Inc. 139,547 3,278 Assured Guaranty Ltd. 174,685 5,237 Axis Capital Holdings Ltd. 298,404 779 Brighthouse Financial, Inc. (a) 42,417 3,739 Chubb Ltd. 737,630 6,344 Cincinnati Financial Corp. 747,514 6,472 CNA Financial Corp. 297,129 8,629 CNO Financial Group, Inc. 215,207 1,440 Enstar Group Ltd. (a) 381,715 370 Erie Indemnity Co., Class A 68,117 1,041 Everest Re Group Ltd. 295,019 6,834 Fidelity National Financial, Inc. 344,092 4,558 First American Financial Corp. 339,617 50,795 Genworth Financial, Inc., Class A (a) 198,100 2,283 Globe Life, Inc. 233,551 1,632 Hanover Insurance Group (The), Inc. 225,151 10,469 Hartford Financial Services Group (The), Inc. 752,407 Page 64 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 4,253 Horace Mann Educators Corp. $ 161,657 1,213 Kemper Corp. 72,756 4,179 Lincoln National Corp. 292,446 4,939 Loews Corp. 294,661 586 Markel Corp. (a) 722,386 3,877 Mercury General Corp. 211,917 6,757 MetLife, Inc. 453,124 14,507 Old Republic International Corp. 371,814 465 Primerica, Inc. 71,768 5,838 Principal Financial Group, Inc. 426,524 4,114 Progressive (The) Corp. 447,027 5,342 Prudential Financial, Inc. 596,007 1,954 Reinsurance Group of America, Inc. 224,378 3,481 Selective Insurance Group, Inc. 274,651 25,304 SiriusPoint Ltd. (a) 214,325 2,580 Stewart Information Services Corp. 184,289 4,621 Travelers (The) Cos., Inc. 767,918 11,610 Unum Group 294,662 1,731 W.R. Berkley Corp. 146,269 162 White Mountains Insurance Group Ltd. 168,636 --------------- 15,546,848 --------------- INTERACTIVE MEDIA & SERVICES -- 0.2% 2,728 IAC/InterActiveCorp. (a) 372,481 --------------- INTERNET & DIRECT MARKETING RETAIL -- 0.6% 10,869 eBay, Inc. 652,901 684 Overstock.com, Inc. (a) 32,791 46,918 Qurate Retail, Inc., Series A 329,833 --------------- 1,015,525 --------------- IT SERVICES -- 2.1% 2,470 Akamai Technologies, Inc. (a) 282,939 5,356 Alliance Data Systems Corp. 369,778 4,760 Cognizant Technology Solutions Corp., Class A 406,599 701 CSG Systems International, Inc. 39,796 8,862 DXC Technology Co. (a) 266,569 2,649 Fidelity National Information Services, Inc. 317,668 1,356 Fiserv, Inc. (a) 143,329 629 FleetCor Technologies, Inc. (a) 149,866 1,344 Genpact Ltd. 66,864 3,124 Global Payments, Inc. 468,225 1,053 International Business Machines Corp. 140,649 2,685 Maximus, Inc. 207,604 14,497 SolarWinds Corp. 197,159 11,992 Western Union (The) Co. 226,769 --------------- 3,283,814 --------------- LEISURE PRODUCTS -- 0.3% 701 Hasbro, Inc. 64,828 1,762 Malibu Boats, Inc., Class A (a) 115,693 SHARES DESCRIPTION VALUE --------------------------------------------------------------- LEISURE PRODUCTS (CONTINUED) 2,595 Polaris, Inc. $ 292,171 --------------- 472,692 --------------- LIFE SCIENCES TOOLS & SERVICES -- 0.4% 957 Bio-Rad Laboratories, Inc., Class A (a) 573,942 --------------- MACHINERY -- 3.9% 2,459 AGCO Corp. 288,195 559 Alamo Group, Inc. 78,735 456 Albany International Corp., Class A 38,172 5,886 Allison Transmission Holdings, Inc. 223,609 1,596 Altra Industrial Motion Corp. 77,055 1,766 Barnes Group, Inc. 79,770 681 Caterpillar, Inc. 137,262 1,551 Colfax Corp. (a) 63,777 2,103 Crane Co. 217,682 2,651 Cummins, Inc. 585,553 1,203 Donaldson Co., Inc. 66,959 775 Dover Corp. 131,680 367 EnPro Industries, Inc. 38,542 449 ESCO Technologies, Inc. 35,821 931 Federal Signal Corp. 36,328 2,331 Flowserve Corp. 76,037 7,579 Fortive Corp. 534,623 427 Franklin Electric Co., Inc. 37,064 17,930 Gates Industrial Corp. PLC (a) 277,377 1,583 Hillenbrand, Inc. 73,578 570 Illinois Tool Works, Inc. 133,334 2,292 Kennametal, Inc. 79,234 511 Lincoln Electric Holdings, Inc. 65,326 6,641 Meritor, Inc. (a) 153,075 2,772 Mueller Industries, Inc. 143,202 279 Nordson Corp. 64,879 1,898 Oshkosh Corp. 216,011 4,784 PACCAR, Inc. 444,864 909 Parker-Hannifin Corp. 281,799 786 Proto Labs, Inc. (a) 39,441 1,324 Snap-on, Inc. 275,723 676 SPX Corp. (a) 35,274 3,066 Stanley Black & Decker, Inc. 535,477 498 Tennant Co. 38,431 4,117 Timken (The) Co. 275,016 3,139 Westinghouse Air Brake Technologies Corp. 279,057 --------------- 6,157,962 --------------- MEDIA -- 2.8% 5,033 Advantage Solutions, Inc. (a) 36,640 5,973 AMC Networks, Inc., Class A (a) 254,629 11,489 Comcast Corp., Class A 574,335 15,148 Discovery, Inc., Class A (a) (b) 422,781 10,992 DISH Network Corp., Class A (a) 345,149 19,588 Fox Corp., Class A 795,469 10,204 Gray Television, Inc. 212,753 See Notes to Financial Statements Page 65 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) MEDIA (CONTINUED) 1,437 John Wiley & Sons, Inc., Class A $ 72,928 12,786 News Corp., Class A 284,360 5,763 Omnicom Group, Inc. 434,300 11,084 TEGNA, Inc. 214,586 23,949 ViacomCBS, Inc., Class B 801,094 --------------- 4,449,024 --------------- METALS & MINING -- 1.2% 1,383 Carpenter Technology Corp. 39,720 8,009 Coeur Mining, Inc. (a) 37,562 4,535 Commercial Metals Co. 151,650 9,323 Newmont Corp. 570,288 2,198 Reliance Steel & Aluminum Co. 336,030 5,745 Steel Dynamics, Inc. 318,962 14,976 United States Steel Corp. 310,303 3,764 Worthington Industries, Inc. 203,934 --------------- 1,968,449 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 1.3% 45,598 Annaly Capital Management, Inc. 360,224 15,632 Apollo Commercial Real Estate Finance, Inc. 213,377 6,987 Blackstone Mortgage Trust, Inc., Class A 219,531 13,642 Chimera Investment Corp. 197,809 45,114 MFA Financial, Inc. 208,878 26,635 New Residential Investment Corp. 283,663 55,300 New York Mortgage Trust, Inc. 207,375 6,988 PennyMac Mortgage Investment Trust 124,526 35,653 Two Harbors Investment Corp. 205,005 --------------- 2,020,388 --------------- MULTILINE RETAIL -- 0.9% 4,566 Big Lots, Inc. 191,361 597 Dollar General Corp. 124,463 2,057 Dollar Tree, Inc. (a) 269,919 7,220 Kohl's Corp. 431,106 10,896 Macy's, Inc. 278,938 4,180 Ollie's Bargain Outlet Holdings, Inc. (a) 200,389 --------------- 1,496,176 --------------- MULTI-UTILITIES -- 2.6% 4,744 Ameren Corp. 420,982 3,873 Avista Corp. 172,194 3,032 Black Hills Corp. 205,388 20,718 CenterPoint Energy, Inc. 587,562 6,491 CMS Energy Corp. 417,891 6,777 Consolidated Edison, Inc. 585,872 3,680 Dominion Energy, Inc. 296,829 2,419 DTE Energy Co. 291,320 9,250 MDU Resources Group, Inc. 271,672 5,166 NiSource, Inc. 150,744 2,879 NorthWestern Corp. 167,327 SHARES DESCRIPTION VALUE --------------------------------------------------------------- MULTI-UTILITIES (CONTINUED) 2,186 Sempra Energy $ 302,018 2,978 WEC Energy Group, Inc. 288,985 --------------- 4,158,784 --------------- OIL, GAS & CONSUMABLE FUELS -- 4.8% 3,853 California Resources Corp. 164,215 4,927 Chevron Corp. 647,063 10,014 ConocoPhillips 887,441 6,373 Continental Resources, Inc. 331,014 13,127 Devon Energy Corp. 663,832 8,137 EOG Resources, Inc. 907,113 15,916 Equitrans Midstream Corp. 129,079 2,300 Exxon Mobil Corp. 174,708 10,878 HollyFrontier Corp. 382,470 36,459 Kinder Morgan, Inc. 632,928 17,373 Marathon Oil Corp. 338,252 9,036 Marathon Petroleum Corp. 648,333 4,638 Murphy Oil Corp. 146,561 1,633 Oasis Petroleum, Inc. 221,157 3,179 Pioneer Natural Resources Co. 695,851 4,847 Renewable Energy Group, Inc. (a) 195,140 1,874 Valero Energy Corp. 155,486 2,544 Whiting Petroleum Corp. (a) 188,892 4,575 World Fuel Services Corp. 129,061 --------------- 7,638,596 --------------- PERSONAL PRODUCTS -- 0.2% 2,649 Edgewell Personal Care Co. 121,324 3,243 Nu Skin Enterprises, Inc., Class A 156,280 813 USANA Health Sciences, Inc. (a) 77,707 --------------- 355,311 --------------- PHARMACEUTICALS -- 1.2% 1,690 Johnson & Johnson 291,170 1,837 Merck & Co., Inc. 149,679 9,368 Organon & Co. 298,933 9,792 Pfizer, Inc. 515,940 1,357 Prestige Consumer Healthcare, Inc. (a) 76,603 42,737 Viatris, Inc. 639,773 --------------- 1,972,098 --------------- PROFESSIONAL SERVICES -- 1.1% 1,734 ASGN, Inc. (a) 199,185 841 Booz Allen Hamilton Holding Corp. 64,530 1,060 CACI International, Inc., Class A (a) 262,308 1,032 CBIZ, Inc. (a) 39,866 930 FTI Consulting, Inc. (a) 135,603 394 ICF International, Inc. 37,190 4,750 Leidos Holdings, Inc. 424,887 1,465 ManpowerGroup, Inc. 153,634 1,661 ManTech International Corp., Class A 119,991 639 Robert Half International, Inc. 72,373 Page 66 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) PROFESSIONAL SERVICES (CONTINUED) 1,706 Science Applications International Corp. $ 139,943 749 TriNet Group, Inc. (a) 63,815 --------------- 1,713,325 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.5% 2,664 CBRE Group, Inc., Class A (a) 269,970 794 Jones Lang LaSalle, Inc. (a) 199,127 1,599 Marcus & Millichap, Inc. (a) 74,849 12,238 Realogy Holdings Corp. (a) 201,927 --------------- 745,873 --------------- ROAD & RAIL -- 1.2% 687 ArcBest Corp. 60,758 7,689 CSX Corp. 263,118 1,414 J.B. Hunt Transport Services, Inc. 272,252 5,851 Knight-Swift Transportation Holdings, Inc. 331,050 797 Landstar System, Inc. 127,520 473 Norfolk Southern Corp. 128,651 1,997 Ryder System, Inc. 146,160 6,116 Schneider National, Inc., Class B 156,570 559 Union Pacific Corp. 136,703 3,453 Werner Enterprises, Inc. 153,969 1,818 XPO Logistics, Inc. (a) 120,297 --------------- 1,897,048 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 0.8% 14,035 Intel Corp. 685,189 7,760 Micron Technology, Inc. 638,415 --------------- 1,323,604 --------------- SOFTWARE -- 0.5% 3,417 CDK Global, Inc. 146,829 3,527 SS&C Technologies Holdings, Inc. 281,701 2,495 VMware, Inc., Class A 320,558 --------------- 749,088 --------------- SPECIALTY RETAIL -- 2.7% 297 Advance Auto Parts, Inc. 68,758 953 Asbury Automotive Group, Inc. (a) 153,404 3,052 AutoNation, Inc. (a) 332,668 5,691 Best Buy Co., Inc. 565,003 2,037 Camping World Holdings, Inc., Class A 67,628 2,220 CarMax, Inc. (a) 246,797 8,173 Foot Locker, Inc. 365,170 12,122 Gap (The), Inc. 219,045 1,054 Group 1 Automotive, Inc. 178,980 339 Home Depot (The), Inc. 124,406 1,201 Lithia Motors, Inc. 350,848 693 Monro, Inc. 34,463 413 Murphy USA, Inc. 81,221 SHARES DESCRIPTION VALUE --------------------------------------------------------------- SPECIALTY RETAIL (CONTINUED) 4,190 ODP (The) Corp. (a) $ 185,324 2,661 Penske Automotive Group, Inc. 270,437 1,232 Ross Stores, Inc. 120,428 6,560 Sally Beauty Holdings, Inc. (a) 112,635 4,160 Sonic Automotive, Inc., Class A 212,202 590 Tractor Supply Co. 128,803 701 Ulta Beauty, Inc. (a) 254,982 7,007 Urban Outfitters, Inc. (a) 201,241 --------------- 4,274,443 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.4% 45,833 Hewlett Packard Enterprise Co. 748,453 15,350 HP, Inc. 563,806 1,872 Super Micro Computer, Inc. (a) 75,853 11,084 Western Digital Corp. (a) 573,486 12,600 Xerox Holdings Corp. 265,986 --------------- 2,227,584 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.7% 2,114 Carter's, Inc. 196,855 1,464 Columbia Sportswear Co. 135,962 2,675 PVH Corp. 254,152 1,200 Ralph Lauren Corp. 133,008 4,930 Skechers U.S.A., Inc., Class A (a) 207,060 3,949 VF Corp. 257,514 --------------- 1,184,551 --------------- THRIFTS & MORTGAGE FINANCE -- 1.6% 3,563 Capitol Federal Financial, Inc. 39,656 7,832 Essent Group Ltd. 357,452 24,728 MGIC Investment Corp. 375,371 4,944 Mr. Cooper Group, Inc. (a) 198,502 23,363 New York Community Bancorp, Inc. 272,413 9,415 NMI Holdings, Inc., Class A (a) 232,927 5,110 PennyMac Financial Services, Inc. 320,397 5,000 Provident Financial Services, Inc. 120,850 16,875 Radian Group, Inc. 377,831 3,628 Washington Federal, Inc. 127,053 3,284 WSFS Financial Corp. 172,016 --------------- 2,594,468 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.1% 8,062 Air Lease Corp. 320,948 393 Applied Industrial Technologies, Inc. 38,506 2,112 Beacon Roofing Supply, Inc. (a) 115,885 2,889 Boise Cascade Co. 202,866 790 GATX Corp. 82,515 2,015 GMS, Inc. (a) 103,128 1,509 McGrath RentCorp 115,001 1,697 MSC Industrial Direct Co., Inc., Class A 138,543 See Notes to Financial Statements Page 67 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) TRADING COMPANIES & DISTRIBUTORS (CONTINUED) 2,958 Rush Enterprises, Inc., Class A $ 156,242 2,732 Triton International Ltd. 165,067 272 W.W. Grainger, Inc. 134,670 228 Watsco, Inc. 64,424 1,084 WESCO International, Inc. (a) 132,129 --------------- 1,769,924 --------------- WATER UTILITIES -- 0.0% 552 SJW Group 38,011 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.6% 8,067 Shenandoah Telecommunications Co. 183,686 10,209 Telephone and Data Systems, Inc. 202,138 3,641 T-Mobile US, Inc. (a) 393,847 6,527 United States Cellular Corp. (a) 199,857 --------------- 979,528 --------------- TOTAL COMMON STOCKS -- 99.8% 158,637,495 (Cost $150,728,688) --------------- MONEY MARKET FUNDS -- 0.3% 200,422 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (c) (d) 200,422 262,420 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (c) 262,420 --------------- TOTAL MONEY MARKET FUNDS -- 0.3% 462,842 (Cost $462,842) --------------- PRINCIPAL VALUE DESCRIPTION VALUE --------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.2% $ 247,637 BNP Paribas S.A., 0.03% (c), dated 01/31/22, due 02/01/22, with a maturity value of $247,637. Collateralized by U.S. Treasury Note, interest rate of 1.13%, due 02/28/25. The value of the collateral including accrued interest is $253,065. (d) 247,637 (Cost $247,637) --------------- TOTAL INVESTMENTS -- 100.3% 159,347,974 (Cost $151,439,167) NET OTHER ASSETS AND LIABILITIES -- (0.3)% (467,553) --------------- NET ASSETS -- 100.0% $ 158,880,421 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $449,488 and the total value of the collateral held by the Fund is $448,059. (c) Rate shown reflects yield as of January 31, 2022. (d) This security serves as collateral for securities on loan. --------------------------------- OFFSETTING ASSETS AND LIABILITIES --------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT --------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 449,488 Non-cash Collateral(2) (448,059) --------------- Net Amount $ 1,429 =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value," is not offset and is shown on a gross basis. (2) The collateral requirements are determined at the beginning of each business day based on the market value of the loaned securities from the end of the prior day. On January 31, 2022, the last business day of the period, there was sufficient collateral based on the end of day market value from the prior business day; however, as a result of market movement from January 28 to January 31, the value of the related securities loaned was above the collateral value received. See Note 2D - Securities Lending in the Notes to Financial Statements. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS --------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 247,637 Non-cash Collateral(4) (247,637) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At January 31, 2022, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 68 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 1/31/2022 PRICES INPUTS INPUTS -------------------------------------------------------------------- Common Stocks*.................................. $ 158,637,495 $ 158,637,495 $ -- $ -- Money Market Funds.............................. 462,842 462,842 -- -- Repurchase Agreements........................... 247,637 -- 247,637 -- -------------------------------------------------------------------- Total Investments............................... $ 159,347,974 $ 159,100,337 $ 247,637 $ -- ==================================================================== * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 69 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 0.2% 1,060 AeroVironment, Inc. (a) $ 60,335 1,479 Axon Enterprise, Inc. (a) 206,956 3,388 Kratos Defense & Security Solutions, Inc. (a) 56,783 5,390 Spirit AeroSystems Holdings, Inc., Class A 236,244 --------------- 560,318 --------------- AIR FREIGHT & LOGISTICS -- 0.6% 8,764 Expeditors International of Washington, Inc. 1,003,303 1,820 FedEx Corp. 447,465 --------------- 1,450,768 --------------- AIRLINES -- 0.1% 6,466 American Airlines Group, Inc. (a) 106,495 6,132 Spirit Airlines, Inc. (a) 131,654 --------------- 238,149 --------------- AUTO COMPONENTS -- 0.7% 6,996 Adient PLC (a) 293,622 4,169 Aptiv PLC (a) 569,402 3,413 Fox Factory Holding Corp. (a) 454,168 3,084 Gentherm, Inc. (a) 269,511 1,963 XPEL, Inc. (a) (b) 122,412 --------------- 1,709,115 --------------- AUTOMOBILES -- 0.4% 1,114 Tesla, Inc. (a) 1,043,506 --------------- BANKS -- 2.3% 2,697 Ameris Bancorp 132,989 280 First Citizens BancShares, Inc., Class A 218,142 4,568 First Financial Bankshares, Inc. 214,650 2,280 First Republic Bank 395,785 4,103 Glacier Bancorp, Inc. 213,069 3,838 Live Oak Bancshares, Inc. 225,905 5,615 Meta Financial Group, Inc. 333,868 4,926 Pacific Premier Bancorp, Inc. 188,419 3,648 Pinnacle Financial Partners, Inc. 352,798 21,596 Regions Financial Corp. 495,412 3,155 ServisFirst Bancshares, Inc. 267,765 1,436 Signature Bank 437,449 1,808 Silvergate Capital Corp., Class A (a) 194,794 1,388 SVB Financial Group (a) 810,453 2,813 Triumph Bancorp, Inc. (a) 246,081 4,957 Veritex Holdings, Inc. 199,024 4,315 Western Alliance Bancorp 428,005 --------------- 5,354,608 --------------- BEVERAGES -- 0.5% 230 Boston Beer (The) Co., Inc., Class A (a) 96,791 3,115 Celsius Holdings, Inc. (a) 148,679 3,871 Coca-Cola (The) Co. 236,170 541 Coca-Cola Consolidated, Inc. 309,993 2,387 Monster Beverage Corp. (a) 207,001 SHARES DESCRIPTION VALUE --------------------------------------------------------------- BEVERAGES (CONTINUED) 2,562 National Beverage Corp. $ 114,444 --------------- 1,113,078 --------------- BIOTECHNOLOGY -- 3.9% 8,693 AbbVie, Inc. 1,189,985 5,741 ACADIA Pharmaceuticals, Inc. (a) 129,115 9,550 Alector, Inc. (a) 151,463 4,993 Alkermes PLC (a) 127,322 1,352 Alnylam Pharmaceuticals, Inc. (a) 186,035 11,601 Amicus Therapeutics, Inc. (a) 109,165 7,369 Apellis Pharmaceuticals, Inc. (a) 296,750 3,311 Arcus Biosciences, Inc. (a) 101,979 1,752 Arrowhead Pharmaceuticals, Inc. (a) 92,436 11,480 Avid Bioservices, Inc. (a) 216,628 1,457 Beam Therapeutics, Inc. (a) 100,839 14,238 BioCryst Pharmaceuticals, Inc. (a) 219,977 3,371 Biohaven Pharmaceutical Holding Co., Ltd. (a) 447,905 2,629 BioMarin Pharmaceutical, Inc. (a) 233,008 1,084 Blueprint Medicines Corp. (a) 83,576 3,468 Celldex Therapeutics, Inc. (a) 107,543 1,532 CRISPR Therapeutics AG (a) 97,665 4,326 Cytokinetics, Inc. (a) 143,580 6,728 Deciphera Pharmaceuticals, Inc. (a) 56,717 2,604 Denali Therapeutics, Inc. (a) 89,109 1,985 Fate Therapeutics, Inc. (a) 82,397 4,578 Global Blood Therapeutics, Inc. (a) 132,075 5,776 Halozyme Therapeutics, Inc. (a) 199,907 6,381 Horizon Therapeutics PLC (a) 595,539 2,413 Insmed, Inc. (a) 54,727 4,221 Kymera Therapeutics, Inc. (a) 177,282 4,095 MacroGenics, Inc. (a) 50,573 792 Mirati Therapeutics, Inc. (a) 94,486 2,707 Moderna, Inc. (a) 458,376 2,828 Morphic Holding, Inc. (a) 119,992 4,855 Myriad Genetics, Inc. (a) 127,638 1,243 Natera, Inc. (a) 87,818 1,623 Novavax, Inc. (a) 152,075 7,114 Organogenesis Holdings, Inc. (a) 54,707 3,918 Protagonist Therapeutics, Inc. (a) 114,758 3,992 Prothena Corp. PLC (a) 136,047 3,364 PTC Therapeutics, Inc. (a) 135,300 1,491 Regeneron Pharmaceuticals, Inc. (a) 907,408 2,579 Sarepta Therapeutics, Inc. (a) 184,579 1,381 Ultragenyx Pharmaceutical, Inc. (a) 96,573 2,150 United Therapeutics Corp. (a) 434,021 3,252 Veracyte, Inc. (a) 98,893 Page 70 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) BIOTECHNOLOGY (CONTINUED) 1,673 Vericel Corp. (a) $ 59,525 8,321 Vir Biotechnology, Inc. (a) 285,660 --------------- 9,021,153 --------------- BUILDING PRODUCTS -- 1.6% 2,483 AAON, Inc. 159,533 4,265 Advanced Drainage Systems, Inc. 482,329 1,754 Allegion PLC 215,268 4,000 Armstrong World Industries, Inc. 396,080 10,046 AZEK (The) Co., Inc. (a) 331,819 1,632 CSW Industrials, Inc. 181,152 11,580 Johnson Controls International PLC 841,519 1,074 Lennox International, Inc. 304,608 4,300 Trex Co., Inc. (a) 393,321 15,952 Zurn Water Solutions Corp. 487,174 --------------- 3,792,803 --------------- CAPITAL MARKETS -- 6.8% 2,824 Affiliated Managers Group, Inc. 412,897 7,145 Ares Management Corp., Class A 569,599 4,139 Artisan Partners Asset Management, Inc., Class A 178,846 3,770 B. Riley Financial, Inc. 232,119 514 BlackRock, Inc. 422,991 9,096 Blackstone, Inc. 1,200,399 21,439 Carlyle Group (The), Inc. 1,094,461 11,196 Charles Schwab (The) Corp. 981,889 2,132 Cohen & Steers, Inc. 178,086 3,419 Evercore, Inc., Class A 426,760 956 FactSet Research Systems, Inc. 403,327 4,487 Focus Financial Partners, Inc., Class A (a) 225,965 1,797 Goldman Sachs Group (The), Inc. 637,360 1,903 Hamilton Lane, Inc., Class A 172,145 5,609 Houlihan Lokey, Inc. 596,125 4,387 Interactive Brokers Group, Inc., Class A 299,150 6,884 Intercontinental Exchange, Inc. 871,927 15,134 Invesco Ltd. 342,936 15,798 KKR & Co., Inc. 1,124,186 3,627 LPL Financial Holdings, Inc. 625,005 4,287 Moelis & Co., Class A 242,087 587 Moody's Corp. 201,341 4,796 Morgan Stanley 491,782 1,698 Morningstar, Inc. 488,022 374 MSCI, Inc. 200,509 3,274 Nasdaq, Inc. 586,734 1,916 Northern Trust Corp. 223,482 1,877 Piper Sandler Cos. 289,471 1,809 PJT Partners, Inc., Class A 125,400 998 S&P Global, Inc. 414,390 6,447 StepStone Group, Inc., Class A 225,710 2,394 T. Rowe Price Group, Inc. 369,705 SHARES DESCRIPTION VALUE --------------------------------------------------------------- CAPITAL MARKETS (CONTINUED) 4,639 Tradeweb Markets, Inc., Class A $ 393,248 9,295 Virtu Financial, Inc., Class A 287,494 902 Virtus Investment Partners, Inc. 236,035 --------------- 15,771,583 --------------- CHEMICALS -- 1.7% 2,941 Albemarle Corp. 649,196 21,466 Amyris, Inc. (a) 97,885 2,755 Balchem Corp. 404,820 19,132 Element Solutions, Inc. 429,322 8,089 Livent Corp. (a) 186,128 10,095 Olin Corp. 511,514 1,006 Quaker Chemical Corp. 210,425 3,342 Sherwin-Williams (The) Co. 957,516 15,571 Valvoline, Inc. 512,909 --------------- 3,959,715 --------------- COMMERCIAL SERVICES & SUPPLIES -- 0.7% 3,007 Brink's (The) Co. 209,829 3,137 Casella Waste Systems, Inc., Class A (a) 238,349 918 Cimpress PLC (a) 61,708 1,062 Cintas Corp. 415,805 3,105 Copart, Inc. (a) 401,321 4,588 IAA, Inc. (a) 210,727 --------------- 1,537,739 --------------- COMMUNICATIONS EQUIPMENT -- 1.1% 8,188 Arista Networks, Inc. (a) 1,017,850 4,189 Calix, Inc. (a) 210,623 10,519 CommScope Holding Co., Inc. (a) 98,773 20,563 Infinera Corp. (a) 173,141 3,465 Motorola Solutions, Inc. 803,672 11,192 Viavi Solutions, Inc. (a) 184,220 --------------- 2,488,279 --------------- CONSTRUCTION & ENGINEERING -- 0.6% 3,291 Ameresco, Inc., Class A (a) 166,558 3,030 MYR Group, Inc. (a) 284,911 1,854 Valmont Industries, Inc. 402,744 14,218 WillScot Mobile Mini Holdings Corp. (a) 526,635 --------------- 1,380,848 --------------- CONSTRUCTION MATERIALS -- 0.7% 3,488 Eagle Materials, Inc. 508,725 2,137 Martin Marietta Materials, Inc. 831,549 8,345 Summit Materials, Inc., Class A (a) 296,748 --------------- 1,637,022 --------------- CONSUMER FINANCE -- 0.6% 1,983 Discover Financial Services 229,532 8,155 LendingClub Corp. (a) 152,988 12,629 Navient Corp. 220,124 23,615 SLM Corp. 433,099 See Notes to Financial Statements Page 71 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) CONSUMER FINANCE (CONTINUED) 2,303 Upstart Holdings, Inc. (a) $ 251,050 --------------- 1,286,793 --------------- CONTAINERS & PACKAGING -- 0.6% 3,175 Avery Dennison Corp. 652,208 8,914 Ranpak Holdings Corp. (a) 239,430 8,606 Sealed Air Corp. 584,520 --------------- 1,476,158 --------------- DISTRIBUTORS -- 0.4% 2,079 Pool Corp. 990,124 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.1% 3,275 2U, Inc. (a) 52,858 20,164 Vivint Smart Home, Inc. (a) 145,181 4,075 WW International, Inc. (a) 51,345 --------------- 249,384 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.2% 8,017 Apollo Global Management, Inc. 561,190 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.1% 916 Bandwidth, Inc., Class A (a) 57,351 56,667 Globalstar, Inc. (a) 60,633 5,625 Iridium Communications, Inc. (a) 201,825 --------------- 319,809 --------------- ELECTRICAL EQUIPMENT -- 0.9% 4,190 Array Technologies, Inc. (a) 44,163 3,013 Atkore, Inc. (a) 324,741 2,480 Blink Charging Co. (a) (c) 51,857 6,110 Bloom Energy Corp., Class A (a) 92,139 1,338 Generac Holdings, Inc. (a) 377,824 2,699 Rockwell Automation, Inc. 780,605 18,603 Vertiv Holdings Co. 388,059 1,553 Vicor Corp. (a) 146,494 --------------- 2,205,882 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.1% 1,472 Advanced Energy Industries, Inc. 126,857 13,457 Amphenol Corp., Class A 1,071,043 1,851 Badger Meter, Inc. 187,266 4,598 CDW Corp. 869,252 5,099 II-VI, Inc. (a) 323,276 5,700 Keysight Technologies, Inc. (a) 962,274 2,745 nLight, Inc. (a) 56,794 1,246 PAR Technology Corp. (a) 46,725 5,400 Trimble, Inc. (a) 389,664 1,582 Zebra Technologies Corp., Class A (a) 805,428 --------------- 4,838,579 --------------- ENTERTAINMENT -- 0.7% 4,078 Cinemark Holdings, Inc. (a) 61,578 SHARES DESCRIPTION VALUE --------------------------------------------------------------- ENTERTAINMENT (CONTINUED) 7,867 Live Nation Entertainment, Inc. (a) $ 861,515 380 Netflix, Inc. (a) 162,313 8,068 Warner Music Group Corp., Class A 342,890 1,332 World Wrestling Entertainment, Inc., Class A 66,520 18,145 Zynga, Inc., Class A (a) 164,575 --------------- 1,659,391 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 9.0% 6,138 Acadia Realty Trust 121,471 3,255 Agree Realty Corp. 212,812 1,028 Alexandria Real Estate Equities, Inc. 200,296 7,989 American Homes 4 Rent, Class A 312,610 784 American Tower Corp. 197,176 4,248 Apartment Income REIT Corp. 224,379 1,864 AvalonBay Communities, Inc. 455,245 18,281 Brixmor Property Group, Inc. 463,606 3,848 Camden Property Trust 616,026 5,869 CareTrust REIT, Inc. 124,482 1,098 Crown Castle International Corp. 200,396 8,162 CubeSmart 414,140 13,943 DiamondRock Hospitality Co. (a) 130,367 3,888 Digital Realty Trust, Inc. 580,206 32,172 DigitalBridge Group, Inc. (a) 234,856 14,345 Duke Realty Corp. 828,854 5,846 Easterly Government Properties, Inc. 122,591 2,039 EastGroup Properties, Inc. 407,616 7,386 Empire State Realty Trust, Inc., Class A 65,883 5,371 Equity LifeStyle Properties, Inc. 420,496 2,533 Equity Residential 224,753 4,648 Essential Properties Realty Trust, Inc. 123,404 651 Essex Property Trust, Inc. 216,458 4,153 Extra Space Storage, Inc. 823,083 2,556 Federal Realty Investment Trust 325,864 7,017 First Industrial Realty Trust, Inc. 426,493 6,705 Four Corners Property Trust, Inc. 181,504 4,773 Gaming and Leisure Properties, Inc. 215,644 10,375 Independence Realty Trust, Inc. 238,521 1,325 Innovative Industrial Properties, Inc. 262,602 15,166 Invitation Homes, Inc. 636,669 11,096 Iron Mountain, Inc. 509,528 10,375 iStar, Inc. (c) 222,751 6,152 Kite Realty Group Trust 128,454 2,872 Lamar Advertising Co., Class A 318,103 3,033 Life Storage, Inc. 409,303 7,754 Macerich (The) Co. 128,251 Page 72 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 4,104 Mid-America Apartment Communities, Inc. $ 848,215 6,713 National Storage Affiliates Trust 413,252 3,197 NexPoint Residential Trust, Inc. 253,522 7,353 Outfront Media, Inc. 182,649 5,593 Prologis, Inc. 877,094 1,892 PS Business Parks, Inc. 315,888 1,836 Public Storage 658,261 6,836 Retail Opportunity Investments Corp. 126,671 5,727 Rexford Industrial Realty, Inc. 419,045 3,788 Ryman Hospitality Properties, Inc. (a) 334,859 4,363 Safehold, Inc. 270,070 1,210 SBA Communications Corp. 393,782 7,478 Service Properties Trust 63,937 4,304 Simon Property Group, Inc. 633,549 8,465 SITE Centers Corp. 125,367 9,686 STAG Industrial, Inc. 413,883 4,484 Sun Communities, Inc. 847,297 10,228 Tanger Factory Outlet Centers, Inc. 173,978 5,446 Terreno Realty Corp. 407,197 19,129 Uniti Group, Inc. 230,696 10,379 Urban Edge Properties 189,313 22,865 Weyerhaeuser Co. 924,432 --------------- 20,827,850 --------------- FOOD PRODUCTS -- 0.4% 6,704 Darling Ingredients, Inc. (a) 427,514 6,447 Simply Good Foods (The) Co. (a) 227,128 12,364 Utz Brands, Inc. 199,184 --------------- 853,826 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 3.0% 6,690 Abbott Laboratories 852,707 638 ABIOMED, Inc. (a) 188,765 716 Align Technology, Inc. (a) 354,391 1,927 AtriCure, Inc. (a) 126,488 2,393 Axonics, Inc. (a) 113,500 3,595 BioLife Solutions, Inc. (a) 107,275 1,391 CONMED Corp. 191,374 547 Cooper (The) Cos., Inc. 217,870 3,333 CryoPort, Inc. (a) 139,220 4,108 DENTSPLY SIRONA, Inc. 219,449 877 Dexcom, Inc. (a) 377,531 5,308 Edwards Lifesciences Corp. (a) 579,634 1,479 Glaukos Corp. (a) 78,742 3,217 Globus Medical, Inc., Class A (a) 214,671 360 Heska Corp. (a) 49,529 348 IDEXX Laboratories, Inc. (a) 176,540 3,817 Inari Medical, Inc. (a) 280,779 1,933 Inogen, Inc. (a) 57,468 3,467 Integra LifeSciences Holdings Corp. (a) 224,454 SHARES DESCRIPTION VALUE --------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 1,310 Intuitive Surgical, Inc. (a) $ 372,276 9,276 Lantheus Holdings, Inc. (a) 235,703 783 Masimo Corp. (a) 172,158 5,115 Neogen Corp. (a) 186,544 2,907 Outset Medical, Inc. (a) 108,111 1,617 Penumbra, Inc. (a) 365,458 2,581 Quidel Corp. (a) 266,772 1,954 Shockwave Medical, Inc. (a) 283,271 1,543 Silk Road Medical, Inc. (a) 50,626 3,858 Tandem Diabetes Care, Inc. (a) 455,668 --------------- 7,046,974 --------------- HEALTH CARE PROVIDERS & SERVICES -- 3.1% 3,826 Acadia Healthcare Co., Inc. (a) 201,439 5,478 AdaptHealth Corp. (a) 103,534 11,571 Agiliti, Inc. (a) 221,353 4,747 AMN Healthcare Services, Inc. (a) 481,061 4,741 Apollo Medical Holdings, Inc. (a) 244,067 20,135 Community Health Systems, Inc. (a) 255,513 1,288 CorVel Corp. (a) 226,843 2,042 DaVita, Inc. (a) 221,292 4,150 Ensign Group (The), Inc. 313,034 3,330 Fulgent Genetics, Inc. (a) 212,687 4,581 HCA Healthcare, Inc. 1,099,669 3,746 Laboratory Corp. of America Holdings (a) 1,016,515 1,330 ModivCare, Inc. (a) 154,187 11,779 Option Care Health, Inc. (a) 275,275 7,701 Owens & Minor, Inc. 324,135 4,613 Progyny, Inc. (a) 186,826 9,112 R1 RCM, Inc. (a) 216,683 8,900 RadNet, Inc. (a) 229,175 3,950 Select Medical Holdings Corp. 91,758 8,697 Surgery Partners, Inc. (a) 371,101 7,108 Tenet Healthcare Corp. (a) 526,845 1,402 US Physical Therapy, Inc. 135,672 --------------- 7,108,664 --------------- HEALTH CARE TECHNOLOGY -- 0.6% 14,525 Allscripts Healthcare Solutions, Inc. (a) 293,696 4,086 Certara, Inc. (a) 109,219 7,127 Evolent Health, Inc., Class A (a) 168,981 2,011 GoodRx Holdings, Inc., Class A (a) 48,284 1,659 Health Catalyst, Inc. (a) 49,521 1,514 Inspire Medical Systems, Inc. (a) 335,033 2,574 Omnicell, Inc. (a) 386,460 1,578 Phreesia, Inc. (a) 49,218 --------------- 1,440,412 --------------- HOTELS, RESTAURANTS & LEISURE -- 4.2% 1,377 Airbnb, Inc., Class A (a) 212,017 See Notes to Financial Statements Page 73 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE (CONTINUED) 3,521 Bally's Corp. (a) $ 125,841 6,387 Bloomin' Brands, Inc. (a) 129,848 8,855 Boyd Gaming Corp. (a) 526,518 7,352 Caesars Entertainment, Inc. (a) 559,781 3,423 Cheesecake Factory (The), Inc. (a) 122,133 269 Chipotle Mexican Grill, Inc. (a) 399,621 1,928 Churchill Downs, Inc. 405,458 6,979 Dave & Buster's Entertainment, Inc. (a) 249,778 1,669 Domino's Pizza, Inc. 758,811 9,237 Everi Holdings, Inc. (a) 182,615 2,605 Expedia Group, Inc. (a) 477,470 5,143 Hilton Grand Vacations, Inc. (a) 251,287 4,408 Hilton Worldwide Holdings, Inc. (a) 639,645 1,532 Jack in the Box, Inc. 139,489 1,756 McDonald's Corp. 455,594 15,321 MGM Resorts International 654,513 2,008 Papa John's International, Inc. 247,888 2,240 Penn National Gaming, Inc. (a) 102,166 6,090 Red Rock Resorts, Inc., Class A 271,127 3,475 Scientific Games Corp. (a) 200,507 5,165 SeaWorld Entertainment, Inc. (a) 307,731 1,857 Shake Shack, Inc., Class A (a) 122,692 6,294 Six Flags Entertainment Corp. (a) 248,550 4,025 Starbucks Corp. 395,738 3,902 Texas Roadhouse, Inc. 333,192 4,202 Travel + Leisure Co. 238,674 1,344 Wingstop, Inc. 205,968 1,366 Wynn Resorts Ltd. (a) 116,725 4,952 Yum! Brands, Inc. 619,842 --------------- 9,701,219 --------------- HOUSEHOLD DURABLES -- 0.6% 1,683 Garmin Ltd. 209,399 2,398 Installed Building Products, Inc. 265,674 4,242 Skyline Champion Corp. (a) 285,656 7,794 Sonos, Inc. (a) 196,565 12,346 Tempur Sealy International, Inc. 491,494 --------------- 1,448,788 --------------- HOUSEHOLD PRODUCTS -- 0.3% 4,203 Procter & Gamble (The) Co. 674,371 548 WD-40 Co. 121,799 --------------- 796,170 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.1% 7,438 Clearway Energy, Inc., Class C 250,512 --------------- INSURANCE -- 1.2% 2,288 Aon PLC, Class A 632,495 505 Goosehead Insurance, Inc., Class A 49,783 1,408 Kinsale Capital Group, Inc. 282,051 5,417 Marsh & McLennan Cos., Inc. 832,268 SHARES DESCRIPTION VALUE --------------------------------------------------------------- INSURANCE (CONTINUED) 1,015 Palomar Holdings, Inc. (a) $ 53,541 4,144 RLI Corp. 434,208 7,255 Selectquote, Inc. (a) 53,614 3,518 Trupanion, Inc. (a) 335,090 --------------- 2,673,050 --------------- INTERACTIVE MEDIA & SERVICES -- 0.8% 325 Alphabet, Inc., Class A (a) 879,473 7,966 Cargurus, Inc. (a) 254,115 4,236 fuboTV, Inc. (a) 45,495 681 Meta Platforms, Inc., Class A (a) 213,330 2,095 Ziff Davis, Inc. (a) 220,101 3,618 ZoomInfo Technologies, Inc. (a) 191,247 --------------- 1,803,761 --------------- INTERNET & DIRECT MARKETING RETAIL -- 0.6% 141 Amazon.com, Inc. (a) 421,797 1,969 Chewy, Inc., Class A (a) 93,744 37,340 ContextLogic, Inc., Class A (a) (c) 98,951 2,150 Etsy, Inc. (a) 337,722 5,662 RealReal (The), Inc. (a) 53,506 3,519 Revolve Group, Inc. (a) 173,557 1,779 Shutterstock, Inc. 172,510 3,474 Stitch Fix, Inc., Class A (a) 57,078 --------------- 1,408,865 --------------- IT SERVICES -- 3.3% 2,788 Automatic Data Processing, Inc. 574,802 1,419 Block, Inc. (a) 173,529 7,160 Cloudflare, Inc., Class A (a) 690,224 1,761 EPAM Systems, Inc. (a) 838,482 3,945 EVERTEC, Inc. 172,160 2,314 ExlService Holdings, Inc. (a) 278,883 3,521 Gartner, Inc. (a) 1,034,787 4,105 GoDaddy, Inc., Class A (a) 310,790 1,391 Jack Henry & Associates, Inc. 233,424 1,299 MongoDB, Inc. (a) 526,238 5,037 Paychex, Inc. 593,157 2,591 Perficient, Inc. (a) 271,589 9,948 Rackspace Technology, Inc. (a) 124,449 3,598 Repay Holdings Corp. (a) 64,368 7,652 Sabre Corp. (a) 70,016 2,005 Shift4 Payments, Inc., Class A (a) 105,704 2,030 Snowflake, Inc., Class A (a) 560,077 6,886 Switch, Inc., Class A 176,488 3,848 TTEC Holdings, Inc. 308,186 6,514 Unisys Corp. (a) 118,880 903 VeriSign, Inc. (a) 196,114 12,780 Verra Mobility Corp. (a) 202,435 --------------- 7,624,782 --------------- LEISURE PRODUCTS -- 0.9% 6,311 Acushnet Holdings Corp. 294,724 5,764 Brunswick Corp. 523,314 8,464 Callaway Golf Co. (a) 201,951 21,545 Mattel, Inc. (a) 450,721 Page 74 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) LEISURE PRODUCTS (CONTINUED) 7,271 Vista Outdoor, Inc. (a) $ 280,515 4,206 YETI Holdings, Inc. (a) 275,829 --------------- 2,027,054 --------------- LIFE SCIENCES TOOLS & SERVICES -- 4.1% 2,949 Agilent Technologies, Inc. 410,855 16,317 Avantor, Inc. (a) 609,114 3,616 Berkeley Lights, Inc. (a) 35,111 443 Bio-Techne Corp. 166,750 5,536 Bruker Corp. 368,698 1,249 Charles River Laboratories International, Inc. (a) 411,870 2,862 Danaher Corp. 817,931 4,172 IQVIA Holdings, Inc. (a) 1,021,723 8,315 Maravai LifeSciences Holdings, Inc., Class A (a) 240,470 2,668 Medpace Holdings, Inc. (a) 473,463 555 Mettler-Toledo International, Inc. (a) 817,337 5,854 PerkinElmer, Inc. 1,007,883 1,550 Quanterix Corp. (a) 47,182 1,315 Repligen Corp. (a) 260,817 2,882 Seer, Inc. (a) 45,334 4,931 Sotera Health Co. (a) 106,066 5,655 Syneos Health, Inc. (a) 512,117 1,764 Thermo Fisher Scientific, Inc. 1,025,413 1,264 Waters Corp. (a) 404,632 2,007 West Pharmaceutical Services, Inc. 789,192 --------------- 9,571,958 --------------- MACHINERY -- 2.3% 1,456 Chart Industries, Inc. (a) 177,443 2,005 Deere & Co. 754,682 5,732 Evoqua Water Technologies Corp. (a) 232,146 4,321 Graco, Inc. 313,532 3,185 Helios Technologies, Inc. 244,066 2,324 Hydrofarm Holdings Group, Inc. (a) 45,574 19,024 Ingersoll Rand, Inc. 1,069,339 1,163 Kadant, Inc. 243,044 1,297 Lindsay Corp. 163,746 2,951 Middleby (The) Corp. (a) 546,525 5,407 Otis Worldwide Corp. 461,920 575 RBC Bearings, Inc. (a) 103,770 6,098 Terex Corp. 254,409 3,487 Toro (The) Co. 336,774 2,990 Watts Water Technologies, Inc., Class A 458,098 --------------- 5,405,068 --------------- MARINE -- 0.2% 3,721 Matson, Inc. 363,393 --------------- MEDIA -- 0.8% 7,177 Altice USA, Inc., Class A (a) 103,492 66 Cable One, Inc. 101,952 SHARES DESCRIPTION VALUE --------------------------------------------------------------- MEDIA (CONTINUED) 351 Charter Communications, Inc., Class A (a) $ 208,262 6,369 iHeartMedia, Inc., Class A (a) 128,336 3,756 Magnite, Inc. (a) 50,969 3,077 Nexstar Media Group, Inc., Class A 508,874 5,070 Sinclair Broadcast Group, Inc., Class A 139,324 3,502 TechTarget, Inc. (a) 290,456 12,453 WideOpenWest, Inc. (a) 231,750 --------------- 1,763,415 --------------- METALS & MINING -- 1.6% 9,746 Alcoa Corp. 552,696 8,411 Allegheny Technologies, Inc. (a) 153,837 26,672 Cleveland-Cliffs, Inc. (a) 457,158 28,205 Freeport-McMoRan, Inc. 1,049,790 12,593 Hecla Mining Co. 62,461 2,099 Kaiser Aluminum Corp. 200,979 10,311 Nucor Corp. 1,045,536 1,104 Royal Gold, Inc. 112,111 --------------- 3,634,568 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 0.3% 23,164 AGNC Investment Corp. 344,912 7,314 Arbor Realty Trust, Inc. 128,068 4,779 Starwood Property Trust, Inc. 118,280 --------------- 591,260 --------------- MULTILINE RETAIL -- 0.4% 1,367 Dillard's, Inc., Class A 346,835 5,134 Nordstrom, Inc. (a) 115,515 2,034 Target Corp. 448,355 --------------- 910,705 --------------- OIL, GAS & CONSUMABLE FUELS -- 4.7% 11,997 Antero Midstream Corp. 119,370 33,180 Antero Resources Corp. (a) 648,005 21,593 APA Corp. 717,104 5,672 Callon Petroleum Co. (a) 280,424 11,605 Cheniere Energy, Inc. 1,298,600 3,499 Denbury, Inc. (a) 262,915 5,384 Diamondback Energy, Inc. 679,245 9,288 Hess Corp. 857,190 17,752 Magnolia Oil & Gas Corp., Class A 383,976 9,073 Matador Resources Co. 406,198 23,719 Occidental Petroleum Corp. 893,495 16,024 ONEOK, Inc. 972,336 17,230 Ovintiv, Inc. 668,524 6,867 PDC Energy, Inc. 407,007 15,030 Range Resources Corp. (a) 289,328 11,363 SM Energy Co. 372,820 42,318 Southwestern Energy Co. (a) 186,199 11,115 Targa Resources Corp. 656,674 21,342 Tellurian, Inc. (a) 53,568 93 Texas Pacific Land Corp. 99,975 See Notes to Financial Statements Page 75 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) OIL, GAS & CONSUMABLE FUELS (CONTINUED) 18,080 Williams (The) Cos., Inc. $ 541,315 --------------- 10,794,268 --------------- PAPER & FOREST PRODUCTS -- 0.2% 7,411 Louisiana-Pacific Corp. 492,387 --------------- PERSONAL PRODUCTS -- 0.8% 44,240 Coty, Inc., Class A (a) 375,155 1,858 Estee Lauder (The) Cos., Inc., Class A 579,306 8,512 Herbalife Nutrition Ltd. (a) 361,845 3,134 Inter Parfums, Inc. 310,172 1,280 Medifast, Inc. 254,349 --------------- 1,880,827 --------------- PHARMACEUTICALS -- 1.4% 3,676 Bristol-Myers Squibb Co. 238,536 3,677 Catalent, Inc. (a) 382,151 3,320 Corcept Therapeutics, Inc. (a) 62,316 3,409 Eli Lilly & Co. 836,535 7,856 Harmony Biosciences Holdings, Inc. (a) 281,716 6,400 Intra-Cellular Therapies, Inc. (a) 303,936 3,277 Pacira BioSciences, Inc. (a) 205,697 4,028 Revance Therapeutics, Inc. (a) 53,693 3,858 Zoetis, Inc. 770,790 --------------- 3,135,370 --------------- PROFESSIONAL SERVICES -- 0.8% 3,216 Equifax, Inc. 771,068 2,984 Exponent, Inc. 283,420 4,423 Korn Ferry 293,599 1,933 TransUnion 199,331 3,400 Upwork, Inc. (a) 92,480 1,002 Verisk Analytics, Inc. 196,522 --------------- 1,836,420 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.5% 10,341 eXp World Holdings, Inc. 280,655 8,258 Kennedy-Wilson Holdings, Inc. 185,475 17,914 Newmark Group, Inc., Class A 274,263 3,025 Redfin Corp. (a) 89,449 5,149 St. Joe (The) Co. 249,778 --------------- 1,079,620 --------------- ROAD & RAIL -- 1.1% 800 AMERCO 487,160 2,800 Avis Budget Group, Inc. (a) 493,304 3,284 Old Dominion Freight Line, Inc. 991,538 1,723 Saia, Inc. (a) 489,815 --------------- 2,461,817 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 8.2% 1,571 ACM Research, Inc., Class A (a) 125,130 8,179 Advanced Micro Devices, Inc. (a) 934,451 1,651 Ambarella, Inc. (a) 231,388 SHARES DESCRIPTION VALUE --------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 18,738 Amkor Technology, Inc. $ 412,611 7,479 Applied Materials, Inc. 1,033,448 3,379 Azenta, Inc. 284,985 1,415 Broadcom, Inc. 829,020 5,048 Cirrus Logic, Inc. (a) 451,493 7,036 Cohu, Inc. (a) 232,047 3,051 Diodes, Inc. (a) 283,102 2,573 Enphase Energy, Inc. (a) 361,429 4,962 Entegris, Inc. 594,646 1,332 First Solar, Inc. (a) 104,402 2,736 KLA Corp. 1,065,043 1,309 Lam Research Corp. 772,205 6,028 Lattice Semiconductor Corp. (a) 332,866 5,933 MACOM Technology Solutions Holdings, Inc. (a) 363,159 10,762 Marvell Technology, Inc. 768,407 4,444 MaxLinear, Inc. (a) 266,729 5,408 Microchip Technology, Inc. 419,012 2,667 MKS Instruments, Inc. 414,265 1,394 Monolithic Power Systems, Inc. 561,684 4,002 NVIDIA Corp. 979,930 4,134 NXP Semiconductors N.V. 849,289 17,329 ON Semiconductor Corp. (a) 1,022,411 3,309 Onto Innovation, Inc. (a) 302,906 3,751 Power Integrations, Inc. 302,743 1,466 Qorvo, Inc. (a) 201,252 6,436 QUALCOMM, Inc. 1,131,191 11,398 Rambus, Inc. (a) 287,800 3,013 Semtech Corp. (a) 214,224 2,250 Silicon Laboratories, Inc. (a) 371,678 1,145 SiTime Corp. (a) 266,888 1,477 Skyworks Solutions, Inc. 216,410 5,564 SunPower Corp. (a) 93,364 2,006 Synaptics, Inc. (a) 421,962 5,758 Teradyne, Inc. 676,162 1,216 Texas Instruments, Inc. 218,260 5,840 Ultra Clean Holdings, Inc. (a) 294,453 704 Universal Display Corp. 108,071 2,078 Wolfspeed, Inc. (a) 195,831 --------------- 18,996,347 --------------- SOFTWARE -- 7.8% 3,922 8x8, Inc. (a) 60,203 1,580 Alarm.com Holdings, Inc. (a) 117,821 2,550 Altair Engineering, Inc., Class A (a) 160,446 571 ANSYS, Inc. (a) 194,146 543 Appfolio, Inc., Class A (a) 62,586 4,673 Asana, Inc., Class A (a) 245,239 6,767 Avaya Holdings Corp. (a) 123,295 2,760 Bill.com Holdings, Inc. (a) 519,460 4,203 Black Knight, Inc. (a) 313,544 2,497 Blackbaud, Inc. (a) 170,146 1,121 Blackline, Inc. (a) 102,986 10,233 Box, Inc., Class A (a) 267,388 3,690 Cadence Design Systems, Inc. (a) 561,397 Page 76 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 858 Cerence, Inc. (a) $ 54,474 1,944 CommVault Systems, Inc. (a) 131,142 6,608 Datadog, Inc., Class A (a) 965,495 8,814 Datto Holding Corp. (a) 219,557 3,808 Digital Turbine, Inc. (a) 168,123 2,439 Dolby Laboratories, Inc., Class A 214,266 4,732 Dropbox, Inc., Class A (a) 117,117 3,798 Dynatrace, Inc. (a) 208,358 944 Elastic N.V. (a) 88,028 2,485 Envestnet, Inc. (a) 183,741 3,275 Fortinet, Inc. (a) 973,461 714 HubSpot, Inc. (a) 349,003 1,464 Intuit, Inc. 812,857 5,188 Jamf Holding Corp. (a) 171,515 6,621 Mandiant, Inc. (a) 99,911 1,494 Manhattan Associates, Inc. (a) 200,002 8,155 Marathon Digital Holdings, Inc. (a) (c) 191,969 2,045 Microsoft Corp. 635,954 213 MicroStrategy, Inc., Class A (a) (c) 78,386 5,778 NCR Corp. (a) 219,911 5,280 New Relic, Inc. (a) 555,139 8,822 NortonLifeLock, Inc. 229,460 3,645 Nutanix, Inc., Class A (a) 99,654 5,398 Oracle Corp. 438,102 1,891 PagerDuty, Inc. (a) 62,441 1,691 Palo Alto Networks, Inc. (a) 874,923 983 Paylocity Holding Corp. (a) 200,512 1,039 Pegasystems, Inc. 103,090 4,085 Progress Software Corp. 185,908 1,906 PROS Holdings, Inc. (a) 52,815 1,462 Q2 Holdings, Inc. (a) 95,396 1,437 Qualys, Inc. (a) 184,137 2,960 Rapid7, Inc. (a) 285,137 6,001 Riot Blockchain, Inc. (a) (c) 95,656 4,805 Sailpoint Technologies Holdings, Inc. (a) 185,905 353 ServiceNow, Inc. (a) 206,780 4,498 Smartsheet, Inc., Class A (a) 279,866 1,478 Sprout Social, Inc., Class A (a) 101,760 1,385 SPS Commerce, Inc. (a) 171,532 4,848 Sumo Logic, Inc. (a) 57,740 2,555 Synopsys, Inc. (a) 793,328 6,326 Tenable Holdings, Inc. (a) 325,156 5,469 Teradata Corp. (a) 220,619 7,503 Trade Desk (The), Inc., Class A (a) 521,759 1,278 Tyler Technologies, Inc. (a) 605,516 3,293 Unity Software, Inc. (a) 346,259 839 Workday, Inc., Class A (a) 212,275 1,780 Workiva, Inc. (a) 210,538 14,172 Xperi Holding Corp. 239,082 6,626 Yext, Inc. (a) 53,671 3,663 Zscaler, Inc. (a) 941,794 SHARES DESCRIPTION VALUE --------------------------------------------------------------- SOFTWARE (CONTINUED) 10,557 Zuora, Inc., Class A (a) $ 175,563 --------------- 18,093,440 --------------- SPECIALTY RETAIL -- 4.4% 7,694 Abercrombie & Fitch Co., Class A (a) 300,066 7,631 Academy Sports & Outdoors, Inc. (a) 296,846 13,759 American Eagle Outfitters, Inc. 314,118 562 AutoZone, Inc. (a) 1,116,329 16,865 Bath & Body Works, Inc. 945,621 9,190 Bed Bath & Beyond, Inc. (a) 149,246 2,722 Boot Barn Holdings, Inc. (a) 250,342 6,334 Buckle (The), Inc. 238,412 2,359 Burlington Stores, Inc. (a) 558,918 989 Carvana Co. (a) 160,277 5,049 Dick's Sporting Goods, Inc. 582,655 2,245 Five Below, Inc. (a) 368,180 4,466 Floor & Decor Holdings, Inc., Class A (a) 485,543 1,565 GameStop Corp., Class A (a) (c) 170,475 5,037 GrowGeneration Corp. (a) 42,512 14,725 Leslie's, Inc. (a) 306,722 4,554 Lowe's Cos., Inc. 1,080,892 7,260 National Vision Holdings, Inc. (a) 296,789 1,667 O'Reilly Automotive, Inc. (a) 1,086,467 4,105 Rent-A-Center, Inc. 173,026 433 RH (a) 174,421 3,849 Signet Jewelers Ltd. 331,514 2,574 Sleep Number Corp. (a) 184,041 3,433 Williams-Sonoma, Inc. 551,134 --------------- 10,164,546 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.4% 6,221 3D Systems Corp. (a) 111,356 6,628 Apple, Inc. 1,158,442 6,055 Avid Technology, Inc. (a) 189,885 6,378 Corsair Gaming, Inc. (a) (c) 124,626 12,241 Dell Technologies, Inc., Class C (a) 695,411 5,118 NetApp, Inc. 442,758 17,839 Pure Storage, Inc., Class A (a) 472,555 --------------- 3,195,033 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.4% 4,528 Crocs, Inc. (a) 464,663 1,268 Deckers Outdoor Corp. (a) 406,052 5,229 Kontoor Brands, Inc. 257,737 7,878 Levi Strauss & Co., Class A 172,765 4,126 NIKE, Inc., Class B 610,937 3,300 Oxford Industries, Inc. 271,887 7,209 Steven Madden Ltd. 296,578 8,581 Tapestry, Inc. 325,649 21,921 Under Armour, Inc., Class A (a) 412,772 --------------- 3,219,040 --------------- See Notes to Financial Statements Page 77 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) THRIFTS & MORTGAGE FINANCE -- 0.3% 3,527 Axos Financial, Inc. (a) $ 181,641 9,453 Columbia Financial, Inc. (a) 200,120 2,220 Walker & Dunlop, Inc. 293,950 --------------- 675,711 --------------- TOBACCO -- 0.1% 29,180 Vector Group Ltd. 324,190 --------------- TRADING COMPANIES & DISTRIBUTORS -- 0.8% 8,217 Custom Truck One Source, Inc. (a) (c) 67,544 6,552 Global Industrial Co. 229,058 1,712 Herc Holdings, Inc. 274,690 2,397 SiteOne Landscape Supply, Inc. (a) 431,748 690 United Rentals, Inc. (a) 220,883 20,481 Univar Solutions, Inc. (a) 542,746 --------------- 1,766,669 --------------- WATER UTILITIES -- 0.7% 2,591 American States Water Co. 238,968 2,493 American Water Works Co., Inc. 400,874 3,729 California Water Service Group 231,534 8,652 Essential Utilities, Inc. 421,698 2,228 Middlesex Water Co. 225,563 --------------- 1,518,637 --------------- TOTAL COMMON STOCKS -- 100.0% 231,532,610 (Cost $210,474,811) --------------- MONEY MARKET FUNDS -- 0.2% 287,480 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (d) (e) 287,480 88,347 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (d) 88,347 --------------- TOTAL MONEY MARKET FUNDS -- 0.2% 375,827 (Cost $375,827) --------------- PRINCIPAL VALUE DESCRIPTION VALUE --------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.1% $ 355,202 BNP Paribas S.A., 0.03% (d), dated 01/31/22, due 02/01/22, with a maturity value of $355,202. Collateralized by U.S. Treasury Note, interest rate of 1.13%, due 02/28/25. The value of the collateral including accrued interest is $362,989. (e) $ 355,202 (Cost $355,202) --------------- TOTAL INVESTMENTS -- 100.3% 232,263,639 (Cost $211,205,840) NET OTHER ASSETS AND LIABILITIES -- (0.3)% (723,393) --------------- NET ASSETS -- 100.0% $ 231,540,246 =============== (a) Non-income producing security. (b) This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933, as amended. (c) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $682,781 and the total value of the collateral held by the Fund is $642,682. (d) Rate shown reflects yield as of January 31, 2022. (e) This security serves as collateral for securities on loan. Page 78 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) --------------------------------- OFFSETTING ASSETS AND LIABILITIES --------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT --------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 682,781 Non-cash Collateral(2) (642,682) --------------- Net Amount $ 40,099 =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value," is not offset and is shown on a gross basis. (2) The collateral requirements are determined at the beginning of each business day based on the market value of the loaned securities from the end of the prior day. On January 31, 2022, the last business day of the period, there was sufficient collateral based on the end of day market value from the prior business day; however, as a result of market movement from January 28 to January 31, the value of the related securities loaned was above the collateral value received. See Note 2D - Securities Lending in the Notes to Financial Statements. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS --------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 355,202 Non-cash Collateral(4) (355,202) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At January 31, 2022, the value of the collateral received from each seller exceeded the value of the repurchase agreements. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 1/31/2022 PRICES INPUTS INPUTS -------------------------------------------------------------------- Common Stocks*.................................. $ 231,532,610 $ 231,532,610 $ -- $ -- Money Market Funds.............................. 375,827 375,827 -- -- Repurchase Agreements........................... 355,202 -- 355,202 -- -------------------------------------------------------------------- Total Investments............................... $ 232,263,639 $ 231,908,437 $ 355,202 $ -- ==================================================================== * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 79 FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 1.3% 13,766 BWX Technologies, Inc. $ 612,725 4,753 Curtiss-Wright Corp. 631,151 7,057 Huntington Ingalls Industries, Inc. 1,321,070 3,012 Woodward, Inc. 332,133 --------------- 2,897,079 --------------- AIR FREIGHT & LOGISTICS -- 0.3% 6,117 C.H. Robinson Worldwide, Inc. 640,144 --------------- AIRLINES -- 0.2% 6,328 Alaska Air Group, Inc. (a) 346,395 --------------- AUTO COMPONENTS -- 1.9% 29,249 BorgWarner, Inc. 1,282,569 18,912 Gentex Corp. 593,837 61,830 Goodyear Tire & Rubber (The) Co. (a) 1,281,736 5,405 Lear Corp. 904,364 --------------- 4,062,506 --------------- AUTOMOBILES -- 1.1% 26,230 Harley-Davidson, Inc. 906,771 15,878 Thor Industries, Inc. 1,501,900 --------------- 2,408,671 --------------- BANKS -- 7.5% 21,250 Bank OZK 995,563 9,374 BOK Financial Corp. 961,304 11,366 Comerica, Inc. 1,054,537 4,787 Commerce Bancshares, Inc. 329,872 2,607 Cullen/Frost Bankers, Inc. 367,613 8,376 East West Bancorp, Inc. 723,184 80,724 First Horizon Corp. 1,381,188 29,182 PacWest Bancorp 1,354,920 16,067 Popular, Inc. 1,432,694 13,675 Prosperity Bancshares, Inc. 1,001,694 12,342 SouthState Corp. 1,041,788 20,646 Synovus Financial Corp. 1,027,345 6,209 UMB Financial Corp. 611,276 27,251 United Bankshares, Inc. 962,778 71,898 Valley National Bancorp 1,000,820 11,802 Webster Financial Corp. 670,472 20,873 Zions Bancorp N.A. 1,415,607 --------------- 16,332,655 --------------- BEVERAGES -- 0.2% 7,111 Molson Coors Beverage Co., Class B 338,910 --------------- BIOTECHNOLOGY -- 0.2% 18,029 Exelixis, Inc. (a) 326,325 --------------- BUILDING PRODUCTS -- 2.8% 3,836 A.O. Smith Corp. 293,147 15,380 Builders FirstSource, Inc. (a) 1,045,686 6,166 Fortune Brands Home & Security, Inc. 580,652 18,209 Owens Corning 1,615,138 37,982 Resideo Technologies, Inc. (a) 941,194 SHARES DESCRIPTION VALUE --------------------------------------------------------------- BUILDING PRODUCTS (CONTINUED) 4,740 Simpson Manufacturing Co., Inc. $ 534,625 14,328 UFP Industries, Inc. 1,144,234 --------------- 6,154,676 --------------- CAPITAL MARKETS -- 2.2% 2,530 Cboe Global Markets, Inc. 299,881 42,467 Jefferies Financial Group, Inc. 1,555,991 22,663 Lazard Ltd., Class A 989,013 16,225 SEI Investments Co. 950,947 14,040 Stifel Financial Corp. 1,051,596 --------------- 4,847,428 --------------- CHEMICALS -- 3.7% 6,115 Ashland Global Holdings, Inc. 587,285 11,780 Avient Corp. 586,291 9,952 Axalta Coating Systems Ltd. (a) 294,679 19,641 Chemours (The) Co. 642,457 3,001 FMC Corp. 331,220 47,235 Huntsman Corp. 1,692,430 41,931 Mosaic (The) Co. 1,675,143 4,093 Scotts Miracle-Gro (The) Co. 618,862 16,967 Westlake Chemical Corp. 1,673,794 --------------- 8,102,161 --------------- COMMERCIAL SERVICES & SUPPLIES -- 0.6% 78,367 ADT, Inc. 594,806 6,609 Clean Harbors, Inc. (a) 611,663 --------------- 1,206,469 --------------- COMMUNICATIONS EQUIPMENT -- 0.7% 8,562 Ciena Corp. (a) 567,746 9,345 Lumentum Holdings, Inc. (a) 948,331 --------------- 1,516,077 --------------- CONSTRUCTION & ENGINEERING -- 0.8% 5,167 EMCOR Group, Inc. 615,958 10,715 MasTec, Inc. (a) 922,883 2,873 Quanta Services, Inc. 295,115 --------------- 1,833,956 --------------- CONSUMER FINANCE -- 1.1% 1,437 Credit Acceptance Corp. (a) 775,348 32,931 OneMain Holdings, Inc. 1,701,215 --------------- 2,476,563 --------------- CONTAINERS & PACKAGING -- 2.6% 2,689 AptarGroup, Inc. 315,420 13,400 Berry Global Group, Inc. (a) 903,428 33,801 Graphic Packaging Holding Co. 639,177 7,255 Packaging Corp. of America 1,092,820 23,078 Silgan Holdings, Inc. 1,033,433 37,145 Westrock Co. 1,714,613 --------------- 5,698,891 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.7% 15,380 Grand Canyon Education, Inc. (a) 1,286,998 Page 80 See Notes to Financial Statements FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) DIVERSIFIED CONSUMER SERVICES (CONTINUED) 4,643 Service Corp. International $ 286,566 --------------- 1,573,564 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.8% 24,852 Voya Financial, Inc. 1,688,942 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.3% 55,870 Frontier Communications Parent, Inc. (a) 1,489,494 105,033 Lumen Technologies, Inc. 1,298,208 --------------- 2,787,702 --------------- ELECTRIC UTILITIES -- 2.9% 15,881 Hawaiian Electric Industries, Inc. 674,943 5,815 IDACORP, Inc. 640,929 38,251 NRG Energy, Inc. 1,527,363 25,758 OGE Energy Corp. 976,743 18,677 Pinnacle West Capital Corp. 1,300,106 24,908 Portland General Electric Co. 1,308,666 --------------- 6,428,750 --------------- ELECTRICAL EQUIPMENT -- 0.6% 3,115 Acuity Brands, Inc. 596,616 8,338 EnerSys 624,766 --------------- 1,221,382 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.6% 9,815 Arrow Electronics, Inc. (a) 1,217,060 1,913 IPG Photonics Corp. (a) 295,501 9,371 Jabil, Inc. 576,223 2,094 Littelfuse, Inc. 565,317 32,174 Vontier Corp. 904,411 --------------- 3,558,512 --------------- ENERGY EQUIPMENT & SERVICES -- 0.2% 16,308 ChampionX Corp. (a) 365,299 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 4.3% 16,361 Cousins Properties, Inc. 630,880 7,392 Highwoods Properties, Inc. 318,743 24,793 Kilroy Realty Corp. 1,586,752 53,477 Kimco Realty Corp. 1,297,352 27,895 Medical Properties Trust, Inc. 634,890 13,709 National Retail Properties, Inc. 608,405 44,549 Omega Healthcare Investors, Inc. 1,402,403 4,373 Regency Centers Corp. 313,763 22,808 SL Green Realty Corp. 1,654,036 13,677 Spirit Realty Capital, Inc. 649,110 9,581 STORE Capital Corp. 303,814 --------------- 9,400,148 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- FOOD & STAPLES RETAILING -- 0.6% 10,916 Albertsons Cos., Inc., Class A $ 307,285 4,922 BJ's Wholesale Club Holdings, Inc. (a) 302,555 3,339 Casey's General Stores, Inc. 627,098 --------------- 1,236,938 --------------- FOOD PRODUCTS -- 3.0% 17,651 Bunge Ltd. 1,744,978 22,742 Campbell Soup Co. 1,003,377 11,995 Flowers Foods, Inc. 337,419 3,411 Ingredion, Inc. 323,022 7,281 J.M. Smucker (The) Co. 1,023,563 1,990 Lancaster Colony Corp. 315,952 2,925 Post Holdings, Inc. (a) 309,524 416 Seaboard Corp. 1,589,116 --------------- 6,646,951 --------------- GAS UTILITIES -- 1.6% 9,434 Atmos Energy Corp. 1,011,513 15,464 National Fuel Gas Co. 939,129 35,892 UGI Corp. 1,627,702 --------------- 3,578,344 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 0.6% 21,941 Envista Holdings Corp. (a) 948,729 1,391 ICU Medical, Inc. (a) 296,784 --------------- 1,245,513 --------------- HEALTH CARE PROVIDERS & SERVICES -- 2.4% 2,033 Amedisys, Inc. (a) 274,658 626 Chemed Corp. 293,538 10,098 Encompass Health Corp. 626,480 8,494 Henry Schein, Inc. (a) 639,598 2,400 LHC Group, Inc. (a) 297,840 40,017 Premier, Inc., Class A 1,529,450 12,709 Universal Health Services, Inc., Class B 1,652,932 --------------- 5,314,496 --------------- HEALTH CARE TECHNOLOGY -- 0.3% 148,772 Multiplan Corp. (a) 599,551 --------------- HOUSEHOLD DURABLES -- 4.2% 1,347 Helen of Troy Ltd. (a) 281,967 24,021 Leggett & Platt, Inc. 957,237 10,665 LGI Homes, Inc. (a) 1,327,899 9,043 Mohawk Industries, Inc. (a) 1,427,618 45,261 Newell Brands, Inc. 1,050,508 28,820 PulteGroup, Inc. 1,518,526 18,212 Toll Brothers, Inc. 1,073,962 1,197 TopBuild Corp. (a) 278,482 5,617 Whirlpool Corp. 1,180,637 --------------- 9,096,836 --------------- HOUSEHOLD PRODUCTS -- 0.3% 20,991 Reynolds Consumer Products, Inc. 635,398 --------------- See Notes to Financial Statements Page 81 FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE -- 11.1% 1,976 Alleghany Corp. (a) $ 1,312,064 9,599 American Financial Group, Inc. 1,250,558 4,222 Assurant, Inc. 643,897 24,202 Axis Capital Holdings Ltd. 1,379,030 29,906 CNA Financial Corp. 1,372,984 6,655 Enstar Group Ltd. (a) 1,764,107 1,711 Erie Indemnity Co., Class A 314,995 4,814 Everest Re Group Ltd. 1,364,288 31,572 Fidelity National Financial, Inc. 1,589,650 21,065 First American Financial Corp. 1,569,553 10,549 Globe Life, Inc. 1,079,163 7,541 Hanover Insurance Group (The), Inc. 1,040,356 5,606 Kemper Corp. 336,248 19,310 Lincoln National Corp. 1,351,314 22,821 Loews Corp. 1,361,501 67,038 Old Republic International Corp. 1,718,184 2,152 Primerica, Inc. 332,140 9,029 Reinsurance Group of America, Inc. 1,036,800 16,085 Selective Insurance Group, Inc. 1,269,107 53,652 Unum Group 1,361,688 7,999 W.R. Berkley Corp. 675,915 --------------- 24,123,542 --------------- INTERACTIVE MEDIA & SERVICES -- 0.8% 12,608 IAC/InterActiveCorp. (a) 1,721,496 --------------- INTERNET & DIRECT MARKETING RETAIL -- 0.7% 216,799 Qurate Retail, Inc., Series A 1,524,097 --------------- IT SERVICES -- 2.4% 24,755 Alliance Data Systems Corp. 1,709,085 40,950 DXC Technology Co. (a) 1,231,776 6,206 Genpact Ltd. 308,749 12,412 Maximus, Inc. 959,696 55,411 Western Union (The) Co. 1,047,822 --------------- 5,257,128 --------------- LEISURE PRODUCTS -- 0.8% 3,237 Hasbro, Inc. 299,358 11,992 Polaris, Inc. 1,350,179 --------------- 1,649,537 --------------- MACHINERY -- 4.5% 11,364 AGCO Corp. 1,331,861 27,192 Allison Transmission Holdings, Inc. 1,033,024 7,162 Colfax Corp. (a) 294,501 9,717 Crane Co. 1,005,807 5,564 Donaldson Co., Inc. 309,692 10,767 Flowserve Corp. 351,219 82,848 Gates Industrial Corp. PLC (a) 1,281,659 2,364 Lincoln Electric Holdings, Inc. 302,214 1,294 Nordson Corp. 300,907 8,770 Oshkosh Corp. 998,114 6,118 Snap-on, Inc. 1,274,073 SHARES DESCRIPTION VALUE --------------------------------------------------------------- MACHINERY (CONTINUED) 19,023 Timken (The) Co. $ 1,270,736 --------------- 9,753,807 --------------- MEDIA -- 2.2% 69,995 Discovery, Inc., Class A (a) (b) 1,953,561 50,796 DISH Network Corp., Class A (a) 1,594,994 59,082 News Corp., Class A 1,313,984 --------------- 4,862,539 --------------- METALS & MINING -- 2.0% 10,158 Reliance Steel & Aluminum Co. 1,552,955 26,540 Steel Dynamics, Inc. 1,473,501 69,197 United States Steel Corp. 1,433,762 --------------- 4,460,218 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 1.8% 210,701 Annaly Capital Management, Inc. 1,664,538 32,288 Blackstone Mortgage Trust, Inc., Class A 1,014,489 123,079 New Residential Investment Corp. 1,310,791 --------------- 3,989,818 --------------- MULTILINE RETAIL -- 1.9% 33,357 Kohl's Corp. 1,991,747 50,347 Macy's, Inc. 1,288,883 19,312 Ollie's Bargain Outlet Holdings, Inc. (a) 925,817 --------------- 4,206,447 --------------- MULTI-UTILITIES -- 1.3% 14,003 Black Hills Corp. 948,563 42,743 MDU Resources Group, Inc. 1,255,362 23,866 NiSource, Inc. 696,410 --------------- 2,900,335 --------------- OIL, GAS & CONSUMABLE FUELS -- 2.2% 29,450 Continental Resources, Inc. 1,529,633 50,262 HollyFrontier Corp. 1,767,212 80,275 Marathon Oil Corp. 1,562,954 --------------- 4,859,799 --------------- PHARMACEUTICALS -- 0.6% 43,292 Organon & Co. 1,381,448 --------------- PROFESSIONAL SERVICES -- 2.3% 8,010 ASGN, Inc. (a) 920,109 3,887 Booz Allen Hamilton Holding Corp. 298,249 4,899 CACI International, Inc., Class A (a) 1,212,307 4,295 FTI Consulting, Inc. (a) 626,254 6,770 ManpowerGroup, Inc. 709,970 2,954 Robert Half International, Inc. 334,570 7,885 Science Applications International Corp. 646,807 3,457 TriNet Group, Inc. (a) 294,536 --------------- 5,042,802 --------------- Page 82 See Notes to Financial Statements FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.4% 3,673 Jones Lang LaSalle, Inc. (a) $ 921,152 --------------- ROAD & RAIL -- 1.0% 27,041 Knight-Swift Transportation Holdings, Inc. 1,529,980 3,683 Landstar System, Inc. 589,280 --------------- 2,119,260 --------------- SOFTWARE -- 0.3% 15,789 CDK Global, Inc. 678,453 --------------- SPECIALTY RETAIL -- 3.4% 1,371 Advance Auto Parts, Inc. 317,400 14,095 AutoNation, Inc. (a) 1,536,355 37,769 Foot Locker, Inc. 1,687,519 56,016 Gap (The), Inc. 1,012,209 5,546 Lithia Motors, Inc. 1,620,153 12,288 Penske Automotive Group, Inc. 1,248,830 --------------- 7,422,466 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.6% 58,225 Xerox Holdings Corp. 1,229,130 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 2.0% 9,768 Carter's, Inc. 909,596 6,763 Columbia Sportswear Co. 628,080 12,359 PVH Corp. 1,174,229 5,543 Ralph Lauren Corp. 614,386 22,781 Skechers U.S.A., Inc., Class A (a) 956,802 --------------- 4,283,093 --------------- THRIFTS & MORTGAGE FINANCE -- 3.6% 36,191 Essent Group Ltd. 1,651,757 114,265 MGIC Investment Corp. 1,734,543 107,954 New York Community Bancorp, Inc. 1,258,744 23,616 PennyMac Financial Services, Inc. 1,480,723 77,978 Radian Group, Inc. 1,745,927 --------------- 7,871,694 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.4% 37,249 Air Lease Corp. 1,482,883 7,844 MSC Industrial Direct Co., Inc., Class A 640,384 1,053 Watsco, Inc. 297,535 5,010 WESCO International, Inc. (a) 610,669 --------------- 3,031,471 --------------- TOTAL COMMON STOCKS -- 99.9% 217,856,964 (Cost $220,118,739) --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- MONEY MARKET FUNDS -- 0.3% 750,802 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (c) (d) $ 750,802 (Cost $750,802) --------------- PRINCIPAL VALUE DESCRIPTION VALUE --------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.4% $ 927,670 BNP Paribas S.A., 0.03% (c), dated 01/31/22, due 02/01/22, with a maturity value of $927,671. Collateralized by U.S. Treasury Note, interest rate of 1.13%, due 02/28/25. The value of the collateral including accrued interest is $948,007. (d) 927,670 (Cost $927,670) --------------- TOTAL INVESTMENTS -- 100.6% 219,535,436 (Cost $221,797,211) NET OTHER ASSETS AND LIABILITIES -- (0.6)% (1,353,570) --------------- NET ASSETS -- 100.0% $ 218,181,866 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $1,680,684 and the total value of the collateral held by the Fund is $1,678,472. (c) Rate shown reflects yield as of January 31, 2022. (d) This security serves as collateral for securities on loan. See Notes to Financial Statements Page 83 FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) --------------------------------- OFFSETTING ASSETS AND LIABILITIES --------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT --------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 1,680,684 Non-cash Collateral(2) (1,678,472) --------------- Net Amount $ 2,212 =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value," is not offset and is shown on a gross basis. (2) The collateral requirements are determined at the beginning of each business day based on the market value of the loaned securities from the end of the prior day. On January 31, 2022, the last business day of the period, there was sufficient collateral based on the end of day market value from the prior business day; however, as a result of market movement from January 28 to January 31, the value of the related securities loaned was above the collateral value received. See Note 2D - Securities Lending in the Notes to Financial Statements. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS --------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 927,670 Non-cash Collateral(4) (927,670) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At January 31, 2022, the value of the collateral received from each seller exceeded the value of the repurchase agreements. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 1/31/2022 PRICES INPUTS INPUTS -------------------------------------------------------------------- Common Stocks*.................................. $ 217,856,964 $ 217,856,964 $ -- $ -- Money Market Funds.............................. 750,802 750,802 -- -- Repurchase Agreements........................... 927,670 -- 927,670 -- -------------------------------------------------------------------- Total Investments............................... $ 219,535,436 $ 218,607,766 $ 927,670 $ -- ==================================================================== * See Portfolio of Investments for industry breakout. Page 84 See Notes to Financial Statements FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 0.6% 7,684 Axon Enterprise, Inc. (a) $ 1,075,222 27,999 Spirit AeroSystems Holdings, Inc., Class A 1,227,196 --------------- 2,302,418 --------------- AIRLINES -- 0.1% 33,599 American Airlines Group, Inc. (a) 553,376 --------------- AUTO COMPONENTS -- 0.7% 17,738 Fox Factory Holding Corp. (a) 2,360,396 --------------- BANKS -- 2.7% 1,457 First Citizens BancShares, Inc., Class A 1,135,120 23,733 First Financial Bankshares, Inc. 1,115,214 21,317 Glacier Bancorp, Inc. 1,106,992 18,957 Pinnacle Financial Partners, Inc. 1,833,331 7,459 Signature Bank 2,272,235 22,417 Western Alliance Bancorp 2,223,542 --------------- 9,686,434 --------------- BEVERAGES -- 0.5% 1,193 Boston Beer (The) Co., Inc., Class A (a) 502,050 16,184 Celsius Holdings, Inc. (a) 772,462 13,310 National Beverage Corp. 594,558 --------------- 1,869,070 --------------- BIOTECHNOLOGY -- 4.6% 25,937 Alkermes PLC (a) 661,394 38,285 Apellis Pharmaceuticals, Inc. (a) 1,541,737 9,097 Arrowhead Pharmaceuticals, Inc. (a) 479,958 7,569 Beam Therapeutics, Inc. (a) 523,850 17,515 Biohaven Pharmaceutical Holding Co., Ltd. (a) 2,327,218 13,661 BioMarin Pharmaceutical, Inc. (a) 1,210,774 5,635 Blueprint Medicines Corp. (a) 434,458 7,967 CRISPR Therapeutics AG (a) 507,896 13,528 Denali Therapeutics, Inc. (a) 462,928 10,309 Fate Therapeutics, Inc. (a) 427,927 30,008 Halozyme Therapeutics, Inc. (a) 1,038,577 4,118 Mirati Therapeutics, Inc. (a) 491,277 6,457 Natera, Inc. (a) 456,187 8,431 Novavax, Inc. (a) 789,985 13,399 Sarepta Therapeutics, Inc. (a) 958,966 7,178 Ultragenyx Pharmaceutical, Inc. (a) 501,958 11,165 United Therapeutics Corp. (a) 2,253,879 43,231 Vir Biotechnology, Inc. (a) 1,484,120 --------------- 16,553,089 --------------- BUILDING PRODUCTS -- 3.8% 22,166 Advanced Drainage Systems, Inc. 2,506,753 9,109 Allegion PLC 1,117,947 20,783 Armstrong World Industries, Inc. 2,057,933 52,194 AZEK (The) Co., Inc. (a) 1,723,968 SHARES DESCRIPTION VALUE --------------------------------------------------------------- BUILDING PRODUCTS (CONTINUED) 5,577 Lennox International, Inc. $ 1,581,749 22,343 Trex Co., Inc. (a) 2,043,714 82,884 Zurn Water Solutions Corp. 2,531,277 --------------- 13,563,341 --------------- CAPITAL MARKETS -- 6.6% 14,675 Affiliated Managers Group, Inc. 2,145,632 37,125 Ares Management Corp., Class A 2,959,605 17,764 Evercore, Inc., Class A 2,217,302 4,968 FactSet Research Systems, Inc. 2,095,950 29,141 Houlihan Lokey, Inc. 3,097,105 22,793 Interactive Brokers Group, Inc., Class A 1,554,255 78,628 Invesco Ltd. 1,781,710 18,848 LPL Financial Holdings, Inc. 3,247,887 8,824 Morningstar, Inc. 2,536,106 24,102 Tradeweb Markets, Inc., Class A 2,043,127 --------------- 23,678,679 --------------- CHEMICALS -- 3.1% 111,525 Amyris, Inc. (a) (b) 508,554 14,316 Balchem Corp. 2,103,593 99,395 Element Solutions, Inc. 2,230,424 52,445 Olin Corp. 2,657,388 5,224 Quaker Chemical Corp. 1,092,704 80,905 Valvoline, Inc. 2,665,011 --------------- 11,257,674 --------------- COMMERCIAL SERVICES & SUPPLIES -- 0.3% 23,835 IAA, Inc. (a) 1,094,742 --------------- COMMUNICATIONS EQUIPMENT -- 0.1% 54,650 CommScope Holding Co., Inc. (a) 513,164 --------------- CONSTRUCTION & ENGINEERING -- 1.3% 9,629 Valmont Industries, Inc. 2,091,708 73,864 WillScot Mobile Mini Holdings Corp. (a) 2,735,922 --------------- 4,827,630 --------------- CONSTRUCTION MATERIALS -- 0.7% 18,120 Eagle Materials, Inc. 2,642,802 --------------- CONSUMER FINANCE -- 1.0% 122,701 SLM Corp. 2,250,336 11,961 Upstart Holdings, Inc. (a) 1,303,869 --------------- 3,554,205 --------------- CONTAINERS & PACKAGING -- 0.8% 44,714 Sealed Air Corp. 3,036,975 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.8% 41,647 Apollo Global Management, Inc. 2,915,290 --------------- See Notes to Financial Statements Page 85 FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.3% 29,222 Iridium Communications, Inc. (a) $ 1,048,485 --------------- ELECTRICAL EQUIPMENT -- 0.6% 96,649 Vertiv Holdings Co. 2,016,098 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.5% 26,488 II-VI, Inc. (a) 1,679,339 --------------- ENTERTAINMENT -- 0.7% 41,920 Warner Music Group Corp., Class A 1,781,600 94,275 Zynga, Inc., Class A (a) 855,074 --------------- 2,636,674 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 10.2% 16,907 Agree Realty Corp. 1,105,380 41,510 American Homes 4 Rent, Class A 1,624,286 22,069 Apartment Income REIT Corp. 1,165,684 94,985 Brixmor Property Group, Inc. 2,408,820 42,407 CubeSmart 2,151,731 10,596 EastGroup Properties, Inc. 2,118,246 13,275 Federal Realty Investment Trust 1,692,430 36,462 First Industrial Realty Trust, Inc. 2,216,160 24,804 Gaming and Leisure Properties, Inc. 1,120,645 6,880 Innovative Industrial Properties, Inc. 1,363,547 57,650 Iron Mountain, Inc. 2,647,288 14,918 Lamar Advertising Co., Class A 1,652,318 15,758 Life Storage, Inc. 2,126,542 34,877 National Storage Affiliates Trust 2,147,028 9,832 PS Business Parks, Inc. 1,641,551 29,754 Rexford Industrial Realty, Inc. 2,177,100 19,682 Ryman Hospitality Properties, Inc. (a) 1,739,889 22,669 Safehold, Inc. 1,403,211 50,326 STAG Industrial, Inc. 2,150,430 28,300 Terreno Realty Corp. 2,115,991 --------------- 36,768,277 --------------- FOOD PRODUCTS -- 0.6% 34,827 Darling Ingredients, Inc. (a) 2,220,918 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 3.3% 16,713 Globus Medical, Inc., Class A (a) 1,115,259 19,836 Inari Medical, Inc. (a) 1,459,136 18,010 Integra LifeSciences Holdings Corp. (a) 1,165,967 26,569 Neogen Corp. (a) 968,972 8,404 Penumbra, Inc. (a) 1,899,388 13,408 Quidel Corp. (a) 1,385,851 10,154 Shockwave Medical, Inc. (a) 1,472,025 20,045 Tandem Diabetes Care, Inc. (a) 2,367,515 --------------- 11,834,113 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES -- 4.1% 19,877 Acadia Healthcare Co., Inc. (a) $ 1,046,524 24,664 AMN Healthcare Services, Inc. (a) 2,499,450 24,633 Apollo Medical Holdings, Inc. (a) (b) 1,268,107 10,613 DaVita, Inc. (a) 1,150,131 21,558 Ensign Group (The), Inc. 1,626,120 23,965 Progyny, Inc. (a) 970,582 47,345 R1 RCM, Inc. (a) 1,125,864 20,517 Select Medical Holdings Corp. 476,610 45,185 Surgery Partners, Inc. (a) 1,928,044 36,926 Tenet Healthcare Corp. (a) 2,736,955 --------------- 14,828,387 --------------- HEALTH CARE TECHNOLOGY -- 1.2% 21,230 Certara, Inc. (a) 567,478 7,867 Inspire Medical Systems, Inc. (a) 1,740,888 13,371 Omnicell, Inc. (a) 2,007,522 --------------- 4,315,888 --------------- HOTELS, RESTAURANTS & LEISURE -- 3.1% 46,012 Boyd Gaming Corp. (a) 2,735,873 10,019 Churchill Downs, Inc. 2,106,996 11,634 Penn National Gaming, Inc. (a) 530,627 18,058 Scientific Games Corp. (a) 1,041,947 20,278 Texas Roadhouse, Inc. 1,731,538 21,834 Travel + Leisure Co. 1,240,171 6,984 Wingstop, Inc. 1,070,298 7,094 Wynn Resorts Ltd. (a) 606,182 --------------- 11,063,632 --------------- HOUSEHOLD DURABLES -- 1.0% 40,495 Sonos, Inc. (a) 1,021,284 64,148 Tempur Sealy International, Inc. 2,553,732 --------------- 3,575,016 --------------- INSURANCE -- 1.1% 21,526 RLI Corp. 2,255,495 18,281 Trupanion, Inc. (a) 1,741,265 --------------- 3,996,760 --------------- INTERACTIVE MEDIA & SERVICES -- 0.6% 10,884 Ziff Davis, Inc. (a) 1,143,473 18,795 ZoomInfo Technologies, Inc. (a) 993,504 --------------- 2,136,977 --------------- INTERNET & DIRECT MARKETING RETAIL -- 0.3% 10,232 Chewy, Inc., Class A (a) 487,146 194,002 ContextLogic, Inc., Class A (a) (b) 514,105 --------------- 1,001,251 --------------- IT SERVICES -- 1.4% 21,329 GoDaddy, Inc., Class A (a) 1,614,818 7,222 Jack Henry & Associates, Inc. 1,211,924 10,412 Shift4 Payments, Inc., Class A (a) 548,921 Page 86 See Notes to Financial Statements FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) IT SERVICES (CONTINUED) 19,987 TTEC Holdings, Inc. $ 1,600,759 --------------- 4,976,422 --------------- LEISURE PRODUCTS -- 2.1% 29,952 Brunswick Corp. 2,719,342 43,974 Callaway Golf Co. (a) 1,049,220 111,936 Mattel, Inc. (a) 2,341,701 21,849 YETI Holdings, Inc. (a) 1,432,857 --------------- 7,543,120 --------------- LIFE SCIENCES TOOLS & SERVICES -- 2.8% 28,767 Bruker Corp. 1,915,882 43,197 Maravai LifeSciences Holdings, Inc., Class A (a) 1,249,257 13,861 Medpace Holdings, Inc. (a) 2,459,773 6,836 Repligen Corp. (a) 1,355,852 25,619 Sotera Health Co. (a) 551,065 29,382 Syneos Health, Inc. (a) 2,660,834 --------------- 10,192,663 --------------- MACHINERY -- 2.8% 7,564 Chart Industries, Inc. (a) 921,825 22,453 Graco, Inc. 1,629,190 15,337 Middleby (The) Corp. (a) 2,840,412 2,989 RBC Bearings, Inc. (a) 539,425 18,113 Toro (The) Co. 1,749,354 15,540 Watts Water Technologies, Inc., Class A 2,380,883 --------------- 10,061,089 --------------- MEDIA -- 1.0% 37,291 Altice USA, Inc., Class A (a) 537,736 343 Cable One, Inc. 529,842 15,989 Nexstar Media Group, Inc., Class A 2,644,261 --------------- 3,711,839 --------------- METALS & MINING -- 1.6% 50,638 Alcoa Corp. 2,871,681 138,573 Cleveland-Cliffs, Inc. (a) 2,375,141 5,736 Royal Gold, Inc. 582,491 --------------- 5,829,313 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 0.7% 120,352 AGNC Investment Corp. 1,792,041 24,826 Starwood Property Trust, Inc. 614,444 --------------- 2,406,485 --------------- MULTILINE RETAIL -- 0.2% 26,674 Nordstrom, Inc. (a) 600,165 --------------- OIL, GAS & CONSUMABLE FUELS -- 5.2% 62,326 Antero Midstream Corp. 620,144 172,390 Antero Resources Corp. (a) 3,366,777 112,189 APA Corp. 3,725,796 27,975 Diamondback Energy, Inc. 3,529,326 89,516 Ovintiv, Inc. 3,473,221 SHARES DESCRIPTION VALUE --------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS (CONTINUED) 57,749 Targa Resources Corp. $ 3,411,811 488 Texas Pacific Land Corp. 524,600 --------------- 18,651,675 --------------- PAPER & FOREST PRODUCTS -- 0.7% 38,505 Louisiana-Pacific Corp. 2,558,272 --------------- PERSONAL PRODUCTS -- 1.1% 229,845 Coty, Inc., Class A (a) 1,949,086 44,224 Herbalife Nutrition Ltd. (a) 1,879,962 --------------- 3,829,048 --------------- PROFESSIONAL SERVICES -- 0.5% 15,506 Exponent, Inc. 1,472,760 17,658 Upwork, Inc. (a) 480,297 --------------- 1,953,057 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.5% 53,733 eXp World Holdings, Inc. (b) 1,458,314 15,715 Redfin Corp. (a) 464,692 --------------- 1,923,006 --------------- ROAD & RAIL -- 2.1% 4,151 AMERCO 2,527,752 14,551 Avis Budget Group, Inc. (a) 2,563,595 8,955 Saia, Inc. (a) 2,545,727 --------------- 7,637,074 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 5.6% 97,356 Amkor Technology, Inc. 2,143,779 17,550 Azenta, Inc. 1,480,167 26,232 Cirrus Logic, Inc. (a) 2,346,190 6,921 First Solar, Inc. (a) 542,468 31,315 Lattice Semiconductor Corp. (a) 1,729,214 30,825 MACOM Technology Solutions Holdings, Inc. (a) 1,886,798 13,856 MKS Instruments, Inc. 2,152,253 19,488 Power Integrations, Inc. 1,572,877 11,695 Silicon Laboratories, Inc. (a) 1,931,897 28,908 SunPower Corp. (a) (b) 485,076 10,417 Synaptics, Inc. (a) 2,191,216 3,659 Universal Display Corp. 561,693 10,798 Wolfspeed, Inc. (a) 1,017,604 --------------- 20,041,232 --------------- SOFTWARE -- 6.7% 24,277 Asana, Inc., Class A (a) 1,274,057 21,836 Black Knight, Inc. (a) 1,628,965 5,827 Blackline, Inc. (a) 535,326 45,799 Datto Holding Corp. (a) 1,140,853 19,784 Digital Turbine, Inc. (a) 873,464 12,675 Dolby Laboratories, Inc., Class A 1,113,499 24,586 Dropbox, Inc., Class A (a) 608,503 4,897 Elastic N.V. (a) 456,645 34,396 Mandiant, Inc. (a) 519,036 7,756 Manhattan Associates, Inc. (a) 1,038,296 See Notes to Financial Statements Page 87 FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 1,109 MicroStrategy, Inc., Class A (a) (b) $ 408,123 30,017 NCR Corp. (a) 1,142,447 27,440 New Relic, Inc. (a) 2,885,042 18,940 Nutanix, Inc., Class A (a) 517,820 5,115 Paylocity Holding Corp. (a) 1,043,358 5,397 Pegasystems, Inc. 535,490 7,596 Q2 Holdings, Inc. (a) 495,639 15,378 Rapid7, Inc. (a) 1,481,363 24,962 Sailpoint Technologies Holdings, Inc. (a) 965,780 23,376 Smartsheet, Inc., Class A (a) 1,454,455 32,866 Tenable Holdings, Inc. (a) 1,689,312 28,417 Teradata Corp. (a) 1,146,342 9,248 Workiva, Inc. (a) 1,093,853 --------------- 24,047,668 --------------- SPECIALTY RETAIL -- 4.7% 71,487 American Eagle Outfitters, Inc. 1,632,048 26,234 Dick's Sporting Goods, Inc. 3,027,404 11,666 Five Below, Inc. (a) 1,913,224 23,204 Floor & Decor Holdings, Inc., Class A (a) 2,522,739 8,131 GameStop Corp., Class A (a) (b) 885,710 76,504 Leslie's, Inc. (a) 1,593,578 37,716 National Vision Holdings, Inc. (a) 1,541,830 2,256 RH (a) 908,762 17,839 Williams-Sonoma, Inc. 2,863,873 --------------- 16,889,168 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.7% 92,676 Pure Storage, Inc., Class A (a) 2,454,987 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 2.3% 23,527 Crocs, Inc. (a) 2,414,341 6,587 Deckers Outdoor Corp. (a) 2,109,355 44,587 Tapestry, Inc. 1,692,076 113,900 Under Armour, Inc., Class A (a) 2,144,737 --------------- 8,360,509 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.4% 12,454 SiteOne Landscape Supply, Inc. (a) 2,243,214 106,417 Univar Solutions, Inc. (a) 2,820,051 --------------- 5,063,265 --------------- WATER UTILITIES -- 0.6% 44,947 Essential Utilities, Inc. 2,190,717 --------------- TOTAL COMMON STOCKS -- 100.0% 360,451,874 (Cost $354,355,948) --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- MONEY MARKET FUNDS -- 0.3% 1,209,475 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (c) (d) $ 1,209,475 (Cost $1,209,475) --------------- PRINCIPAL VALUE DESCRIPTION VALUE --------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.4% $ 1,494,394 BNP Paribas S.A., 0.03% (c), dated 01/31/22, due 02/01/22, with a maturity value of $1,494,396. Collateralized by U.S. Treasury Note, interest rate of 1.13%, due 02/28/25. The value of the collateral including accrued interest is $1,527,155. (d) 1,494,394 (Cost $1,494,394) --------------- TOTAL INVESTMENTS -- 100.7% 363,155,743 (Cost $357,059,817) NET OTHER ASSETS AND LIABILITIES -- (0.7)% (2,584,906) --------------- NET ASSETS -- 100.0% $ 360,570,837 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $2,922,586 and the total value of the collateral held by the Fund is $2,703,869. (c) Rate shown reflects yield as of January 31, 2022. (d) This security serves as collateral for securities on loan. Page 88 See Notes to Financial Statements FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) --------------------------------- OFFSETTING ASSETS AND LIABILITIES --------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT --------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 2,922,586 Non-cash Collateral(2) (2,703,869) --------------- Net Amount $ 218,717 =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value," is not offset and is shown on a gross basis. (2) The collateral requirements are determined at the beginning of each business day based on the market value of the loaned securities from the end of the prior day. On January 31, 2022, the last business day of the period, there was sufficient collateral based on the end of day market value from the prior business day; however, as a result of market movement from January 28 to January 31, the value of the related securities loaned was above the collateral value received. See Note 2D - Securities Lending in the Notes to Financial Statements. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS --------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 1,494,394 Non-cash Collateral(4) (1,494,394) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At January 31, 2022, the value of the collateral received from each seller exceeded the value of the repurchase agreements. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 1/31/2022 PRICES INPUTS INPUTS -------------------------------------------------------------------- Common Stocks*.................................. $ 360,451,874 $ 360,451,874 $ -- $ -- Money Market Funds.............................. 1,209,475 1,209,475 -- -- Repurchase Agreements........................... 1,494,394 -- 1,494,394 -- -------------------------------------------------------------------- Total Investments............................... $ 363,155,743 $ 361,661,349 $ 1,494,394 $ -- ==================================================================== * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 89 FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 0.5% 10,655 Maxar Technologies, Inc. $ 277,136 7,919 Moog, Inc., Class A 603,745 9,348 Parsons Corp. (a) 284,647 --------------- 1,165,528 --------------- AIR FREIGHT & LOGISTICS -- 1.4% 54,588 Air Transport Services Group, Inc. (a) 1,465,688 17,036 Atlas Air Worldwide Holdings, Inc. (a) 1,368,502 7,614 Hub Group, Inc., Class A (a) 576,532 --------------- 3,410,722 --------------- AIRLINES -- 0.9% 1,685 Allegiant Travel Co. (a) 301,042 32,648 SkyWest, Inc. (a) 1,245,521 23,542 Sun Country Airlines Holdings, Inc. (a) 625,747 --------------- 2,172,310 --------------- AUTO COMPONENTS -- 1.2% 56,222 Dana, Inc. 1,217,768 2,782 Dorman Products, Inc. (a) 260,479 4,113 LCI Industries 506,598 15,897 Patrick Industries, Inc. 1,023,767 --------------- 3,008,612 --------------- AUTOMOBILES -- 0.5% 17,122 Winnebago Industries, Inc. 1,104,711 --------------- BANKS -- 15.1% 56,794 Associated Banc-Corp. 1,357,377 34,403 Atlantic Union Bankshares Corp. 1,400,890 4,460 BancFirst Corp. 334,277 22,314 BankUnited, Inc. 931,610 15,562 Banner Corp. 966,556 21,959 Cathay General Bancorp 991,668 28,855 Columbia Banking System, Inc. 1,003,288 29,958 CVB Financial Corp. 659,975 16,179 Eagle Bancorp, Inc. 970,255 15,600 Eastern Bankshares, Inc. 332,124 13,619 Enterprise Financial Services Corp. 674,685 77,826 F.N.B. Corp. 1,005,512 14,638 FB Financial Corp. 651,684 68,508 First BanCorp 996,791 52,624 First Financial Bancorp 1,326,651 23,471 First Hawaiian, Inc. 665,403 15,773 First Interstate BancSystem, Inc., Class A 579,658 22,535 First Merchants Corp. 956,160 55,536 Fulton Financial Corp. 996,871 18,876 Hancock Whitney Corp. 995,143 18,651 Heartland Financial USA, Inc. 970,412 36,507 Hilltop Holdings, Inc. 1,205,826 26,341 Home BancShares, Inc. 620,594 87,215 Hope Bancorp, Inc. 1,460,851 8,894 Independent Bank Group, Inc. 675,232 SHARES DESCRIPTION VALUE --------------------------------------------------------------- BANKS (CONTINUED) 22,267 International Bancshares Corp. $ 935,882 24,508 NBT Bancorp, Inc. 947,969 66,672 Northwest Bancshares, Inc. 940,742 70,801 Old National Bancorp 1,297,782 2,291 Park National Corp. 310,339 24,878 Renasant Corp. 915,013 19,638 Sandy Spring Bancorp, Inc. 929,074 8,895 Seacoast Banking Corp. of Florida 324,668 31,916 Simmons First National Corp., Class A 912,798 15,669 Texas Capital Bancshares, Inc. (a) 982,446 40,608 TowneBank 1,274,279 29,082 Trustmark Corp. 947,492 17,849 United Community Banks, Inc. 631,676 36,666 WesBanco, Inc. 1,301,276 5,448 Westamerica BanCorp 316,420 10,391 Wintrust Financial Corp. 1,019,045 --------------- 36,716,394 --------------- BIOTECHNOLOGY -- 1.9% 36,889 Emergent BioSolutions, Inc. (a) 1,726,405 110,028 Ironwood Pharmaceuticals, Inc. (a) 1,226,812 65,426 OPKO Health, Inc. (a) 204,784 37,700 Sage Therapeutics, Inc. (a) 1,486,134 --------------- 4,644,135 --------------- BUILDING PRODUCTS -- 0.9% 91,955 Cornerstone Building Brands, Inc. (a) 1,356,336 4,722 Gibraltar Industries, Inc. (a) 258,766 24,334 JELD-WEN Holding, Inc. (a) 574,282 --------------- 2,189,384 --------------- CAPITAL MARKETS -- 1.6% 62,641 Brightsphere Investment Group, Inc. 1,351,793 25,118 Federated Hermes, Inc. 831,657 103,863 Golub Capital BDC, Inc. 1,628,572 --------------- 3,812,022 --------------- CHEMICALS -- 2.9% 16,800 Cabot Corp. 923,832 3,886 H.B. Fuller Co. 278,898 4,387 Ingevity Corp. (a) 289,147 7,103 Innospec, Inc. 660,295 42,737 Kronos Worldwide, Inc. 613,276 17,542 Minerals Technologies, Inc. 1,227,414 1,874 NewMarket Corp. 633,543 7,596 Stepan Co. 836,776 30,571 Trinseo PLC 1,636,771 --------------- 7,099,952 --------------- COMMERCIAL SERVICES & SUPPLIES -- 2.8% 15,701 ABM Industries, Inc. 654,575 11,899 Brady Corp., Class A 617,796 91,117 BrightView Holdings, Inc. (a) 1,209,122 Page 90 See Notes to Financial Statements FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMERCIAL SERVICES & SUPPLIES (CONTINUED) 29,397 Deluxe Corp. $ 884,850 38,388 Harsco Corp. (a) 602,692 36,062 Healthcare Services Group, Inc. 655,968 15,258 HNI Corp. 639,920 60,437 KAR Auction Services, Inc. (a) 859,414 3,048 UniFirst Corp. 579,394 --------------- 6,703,731 --------------- COMMUNICATIONS EQUIPMENT -- 0.6% 19,391 NetScout Systems, Inc. (a) 611,786 21,195 Viasat, Inc. (a) 933,004 --------------- 1,544,790 --------------- CONSTRUCTION & ENGINEERING -- 1.3% 17,917 Arcosa, Inc. 836,007 3,177 Comfort Systems USA, Inc. 285,231 8,135 Granite Construction, Inc. 292,697 66,876 Primoris Services Corp. 1,720,051 --------------- 3,133,986 --------------- CONSUMER FINANCE -- 2.1% 25,822 Encore Capital Group, Inc. (a) 1,665,519 4,204 FirstCash Holdings, Inc. 293,019 13,132 Nelnet, Inc., Class A 1,162,576 18,803 PRA Group, Inc. (a) 874,339 28,437 PROG Holdings, Inc. (a) 1,132,077 --------------- 5,127,530 --------------- CONTAINERS & PACKAGING -- 1.3% 26,567 Greif, Inc., Class A 1,571,704 26,155 O-I Glass, Inc. (a) 348,123 101,179 Pactiv Evergreen, Inc. 1,107,910 --------------- 3,027,737 --------------- DIVERSIFIED CONSUMER SERVICES -- 1.4% 21,697 Adtalem Global Education, Inc. (a) 638,325 2,548 Graham Holdings Co., Class B 1,516,366 22,177 Strategic Education, Inc. 1,323,080 --------------- 3,477,771 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.6% 45,622 Cannae Holdings, Inc. (a) 1,362,729 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.5% 112,542 Liberty Latin America Ltd., Class C (a) 1,216,579 --------------- ELECTRIC UTILITIES -- 0.6% 14,230 ALLETE, Inc. 908,301 3,824 MGE Energy, Inc. 296,092 4,403 Otter Tail Corp. 279,150 --------------- 1,483,543 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- ELECTRICAL EQUIPMENT -- 0.8% 8,963 Encore Wire Corp. $ 1,010,040 79,802 GrafTech International Ltd. 836,325 --------------- 1,846,365 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 3.7% 38,893 Avnet, Inc. 1,569,721 4,784 Belden, Inc. 267,665 2,951 Insight Enterprises, Inc. (a) 277,837 40,434 Knowles Corp. (a) 857,605 19,199 Methode Electronics, Inc. 845,332 6,879 OSI Systems, Inc. (a) 570,544 6,686 Plexus Corp. (a) 518,299 38,679 Sanmina Corp. (a) 1,462,840 86,101 TTM Technologies, Inc. (a) 1,158,919 73,329 Vishay Intertechnology, Inc. 1,518,644 --------------- 9,047,406 --------------- ENERGY EQUIPMENT & SERVICES -- 1.1% 13,280 Helmerich & Payne, Inc. 381,136 75,913 Patterson-UTI Energy, Inc. 756,094 464,836 Transocean Ltd. (a) 1,464,233 --------------- 2,601,463 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 4.8% 47,799 Brandywine Realty Trust 614,695 12,675 Broadstone Net Lease, Inc. 292,919 22,931 Corporate Office Properties Trust 579,237 6,628 EPR Properties 291,433 12,151 Equity Commonwealth (a) 316,412 61,781 Global Net Lease, Inc. 885,939 25,958 Hudson Pacific Properties, Inc. 613,388 37,689 Industrial Logistics Properties Trust 864,209 27,652 LTC Properties, Inc. 997,408 60,437 LXP Industrial Trust 899,907 16,428 National Health Investors, Inc. 950,031 113,200 Paramount Group, Inc. 983,708 16,713 Physicians Realty Trust 305,179 51,366 Piedmont Office Realty Trust, Inc., Class A 912,260 21,302 PotlatchDeltic Corp. 1,145,835 23,244 Sabra Health Care REIT, Inc. 316,351 24,814 Washington Real Estate Investment Trust 610,921 --------------- 11,579,832 --------------- FOOD & STAPLES RETAILING -- 1.2% 8,765 PriceSmart, Inc. 625,909 43,226 Sprouts Farmers Market, Inc. (a) 1,173,154 26,139 United Natural Foods, Inc. (a) 1,013,670 --------------- 2,812,733 --------------- FOOD PRODUCTS -- 1.4% 10,242 B&G Foods, Inc. (b) 318,526 58,108 Fresh Del Monte Produce, Inc. 1,617,146 31,417 Hostess Brands, Inc. (a) 644,677 See Notes to Financial Statements Page 91 FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) FOOD PRODUCTS (CONTINUED) 23,291 TreeHouse Foods, Inc. (a) $ 902,060 --------------- 3,482,409 --------------- GAS UTILITIES -- 2.3% 26,302 Northwest Natural Holding Co. 1,245,137 8,267 ONE Gas, Inc. 643,917 49,117 South Jersey Industries, Inc. 1,228,907 18,316 Southwest Gas Holdings, Inc. 1,248,785 19,670 Spire, Inc. 1,296,646 --------------- 5,663,392 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 0.1% 3,679 Integer Holdings Corp. (a) 288,470 --------------- HEALTH CARE PROVIDERS & SERVICES -- 0.3% 21,855 Patterson Cos., Inc. 627,020 --------------- HOTELS, RESTAURANTS & LEISURE -- 0.4% 17,535 Brinker International, Inc. (a) 582,337 2,448 Cracker Barrel Old Country Store, Inc. 291,655 --------------- 873,992 --------------- HOUSEHOLD DURABLES -- 4.9% 987 Cavco Industries, Inc. (a) 265,937 19,604 Century Communities, Inc. 1,290,924 9,733 iRobot Corp. (a) 637,706 35,849 KB Home 1,514,620 35,334 La-Z-Boy, Inc. 1,297,111 28,721 M.D.C. Holdings, Inc. 1,455,868 25,787 M/I Homes, Inc. (a) 1,366,453 13,136 Meritage Homes Corp. (a) 1,340,266 45,873 Taylor Morrison Home Corp. (a) 1,407,842 57,498 Tri Pointe Homes, Inc. (a) 1,369,028 --------------- 11,945,755 --------------- HOUSEHOLD PRODUCTS -- 0.6% 19,732 Central Garden & Pet Co., Class A (a) 854,988 7,851 Energizer Holdings, Inc. 295,276 3,097 Spectrum Brands Holdings, Inc. 276,810 --------------- 1,427,074 --------------- INSURANCE -- 5.9% 32,964 American Equity Investment Life Holding Co. 1,356,139 11,037 Argo Group International Holdings Ltd. 626,681 25,556 Assured Guaranty Ltd. 1,361,879 6,075 Brighthouse Financial, Inc. (a) 330,784 67,268 CNO Financial Group, Inc. 1,677,664 395,970 Genworth Financial, Inc., Class A (a) 1,544,283 33,151 Horace Mann Educators Corp. 1,260,070 30,223 Mercury General Corp. 1,651,989 197,252 SiriusPoint Ltd. (a) 1,670,724 SHARES DESCRIPTION VALUE --------------------------------------------------------------- INSURANCE (CONTINUED) 20,116 Stewart Information Services Corp. $ 1,436,886 1,263 White Mountains Insurance Group Ltd. 1,314,732 --------------- 14,231,831 --------------- INTERNET & DIRECT MARKETING RETAIL -- 0.1% 5,332 Overstock.com, Inc. (a) 255,616 --------------- IT SERVICES -- 0.8% 5,457 CSG Systems International, Inc. 309,794 113,018 SolarWinds Corp. 1,537,045 --------------- 1,846,839 --------------- LEISURE PRODUCTS -- 0.4% 13,739 Malibu Boats, Inc., Class A (a) 902,103 --------------- MACHINERY -- 3.2% 4,360 Alamo Group, Inc. 614,106 3,554 Albany International Corp., Class A 297,505 12,439 Altra Industrial Motion Corp. 600,555 13,769 Barnes Group, Inc. 621,946 2,858 EnPro Industries, Inc. 300,147 3,498 ESCO Technologies, Inc. 279,071 7,257 Federal Signal Corp. 283,168 3,328 Franklin Electric Co., Inc. 288,870 12,339 Hillenbrand, Inc. 573,517 17,863 Kennametal, Inc. 617,524 51,774 Meritor, Inc. (a) 1,193,391 21,617 Mueller Industries, Inc. 1,116,734 6,132 Proto Labs, Inc. (a) 307,704 5,277 SPX Corp. (a) 275,354 3,884 Tennant Co. 299,728 --------------- 7,669,320 --------------- MEDIA -- 2.5% 39,237 Advantage Solutions, Inc. (a) 285,645 46,563 AMC Networks, Inc., Class A (a) 1,984,981 79,545 Gray Television, Inc. 1,658,513 11,202 John Wiley & Sons, Inc., Class A 568,502 86,409 TEGNA, Inc. 1,672,878 --------------- 6,170,519 --------------- METALS & MINING -- 1.4% 10,777 Carpenter Technology Corp. 309,516 62,436 Coeur Mining, Inc. (a) 292,825 35,352 Commercial Metals Co. 1,182,171 29,341 Worthington Industries, Inc. 1,589,695 --------------- 3,374,207 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 3.7% 121,863 Apollo Commercial Real Estate Finance, Inc. 1,663,430 106,342 Chimera Investment Corp. 1,541,959 351,685 MFA Financial, Inc. 1,628,302 431,099 New York Mortgage Trust, Inc. 1,616,621 Page 92 See Notes to Financial Statements FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) MORTGAGE REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 54,472 PennyMac Mortgage Investment Trust $ 970,691 277,938 Two Harbors Investment Corp. 1,598,143 --------------- 9,019,146 --------------- MULTILINE RETAIL -- 0.6% 35,600 Big Lots, Inc. 1,491,996 --------------- MULTI-UTILITIES -- 1.1% 30,195 Avista Corp. 1,342,470 22,443 NorthWestern Corp. 1,304,387 --------------- 2,646,857 --------------- OIL, GAS & CONSUMABLE FUELS -- 3.8% 30,037 California Resources Corp. 1,280,177 124,076 Equitrans Midstream Corp. 1,006,256 36,160 Murphy Oil Corp. 1,142,656 12,729 Oasis Petroleum, Inc. 1,723,889 37,789 Renewable Energy Group, Inc. (a) 1,521,385 19,837 Whiting Petroleum Corp. (a) 1,472,897 35,662 World Fuel Services Corp. 1,006,025 --------------- 9,153,285 --------------- PERSONAL PRODUCTS -- 1.1% 20,650 Edgewell Personal Care Co. 945,770 25,279 Nu Skin Enterprises, Inc., Class A 1,218,195 6,341 USANA Health Sciences, Inc. (a) 606,073 --------------- 2,770,038 --------------- PHARMACEUTICALS -- 0.2% 10,574 Prestige Consumer Healthcare, Inc. (a) 596,902 --------------- PROFESSIONAL SERVICES -- 0.6% 8,047 CBIZ, Inc. (a) 310,856 3,066 ICF International, Inc. 289,400 12,943 ManTech International Corp., Class A 935,002 --------------- 1,535,258 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.9% 12,464 Marcus & Millichap, Inc. (a) 583,440 95,399 Realogy Holdings Corp. (a) 1,574,083 --------------- 2,157,523 --------------- ROAD & RAIL -- 1.7% 5,350 ArcBest Corp. 473,154 15,565 Ryder System, Inc. 1,139,202 47,677 Schneider National, Inc., Class B 1,220,531 26,916 Werner Enterprises, Inc. 1,200,185 --------------- 4,033,072 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- SPECIALTY RETAIL -- 3.9% 7,426 Asbury Automotive Group, Inc. (a) $ 1,195,363 15,877 Camping World Holdings, Inc., Class A 527,116 8,211 Group 1 Automotive, Inc. 1,394,310 5,402 Monro, Inc. 268,642 3,220 Murphy USA, Inc. 633,245 32,663 ODP (The) Corp. (a) 1,444,685 51,138 Sally Beauty Holdings, Inc. (a) 878,039 32,427 Sonic Automotive, Inc., Class A 1,654,101 54,622 Urban Outfitters, Inc. (a) 1,568,744 --------------- 9,564,245 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.2% 14,598 Super Micro Computer, Inc. (a) 591,511 --------------- THRIFTS & MORTGAGE FINANCE -- 2.9% 27,771 Capitol Federal Financial, Inc. 309,091 38,543 Mr. Cooper Group, Inc. (a) 1,547,501 73,399 NMI Holdings, Inc., Class A (a) 1,815,891 38,976 Provident Financial Services, Inc. 942,050 28,284 Washington Federal, Inc. 990,506 25,594 WSFS Financial Corp. 1,340,614 --------------- 6,945,653 --------------- TRADING COMPANIES & DISTRIBUTORS -- 3.1% 3,062 Applied Industrial Technologies, Inc. 300,015 16,459 Beacon Roofing Supply, Inc. (a) 903,105 22,523 Boise Cascade Co. 1,581,565 6,158 GATX Corp. 643,203 15,703 GMS, Inc. (a) 803,680 11,764 McGrath RentCorp 896,534 23,060 Rush Enterprises, Inc., Class A 1,218,029 21,299 Triton International Ltd. 1,286,886 --------------- 7,633,017 --------------- WATER UTILITIES -- 0.1% 4,297 SJW Group 295,891 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 1.9% 62,890 Shenandoah Telecommunications Co. 1,432,005 79,589 Telephone and Data Systems, Inc. 1,575,862 50,882 United States Cellular Corp. (a) 1,558,007 --------------- 4,565,874 --------------- TOTAL COMMON STOCKS -- 99.8% 242,048,780 (Cost $245,054,099) --------------- MONEY MARKET FUNDS -- 0.1% 123,559 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - . 0.01% (c) (d) 123,559 (Cost $123,559) --------------- See Notes to Financial Statements Page 93 FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) PRINCIPAL VALUE DESCRIPTION VALUE --------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.1% $ 152,666 BNP Paribas S.A., 0.03% (c), dated 01/31/22, due 02/01/22, with a maturity value of $152,666. Collateralized by U.S. Treasury Note, interest rate of 1.13%, due 02/28/25. The value of the collateral including accrued interest is $156,013. (d) $ 152,666 (Cost $152,666) --------------- TOTAL INVESTMENTS -- 100.0% 242,325,005 (Cost $245,330,324) NET OTHER ASSETS AND LIABILITIES -- 0.0% 170,024 --------------- NET ASSETS -- 100.0% $ 242,495,029 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $270,570 and the total value of the collateral held by the Fund is $276,225. (c) Rate shown reflects yield as of January 31, 2022. (d) This security serves as collateral for securities on loan. --------------------------------- OFFSETTING ASSETS AND LIABILITIES --------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT --------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 270,570 Non-cash Collateral(2) (270,570) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value," is not offset and is shown on a gross basis. (2) At January 31, 2022, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS --------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 152,666 Non-cash Collateral(4) (152,666) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At January 31, 2022, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 94 See Notes to Financial Statements FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 1/31/2022 PRICES INPUTS INPUTS -------------------------------------------------------------------- Common Stocks*.................................. $ 242,048,780 $ 242,048,780 $ -- $ -- Money Market Funds.............................. 123,559 123,559 -- -- Repurchase Agreements........................... 152,666 -- 152,666 -- -------------------------------------------------------------------- Total Investments............................... $ 242,325,005 $ 242,172,339 $ 152,666 $ -- ==================================================================== * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 95 FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 0.3% 6,715 AeroVironment, Inc. (a) $ 382,218 21,460 Kratos Defense & Security Solutions, Inc. (a) 359,669 --------------- 741,887 --------------- AIRLINES -- 0.3% 38,843 Spirit Airlines, Inc. (a) 833,959 --------------- AUTO COMPONENTS -- 1.5% 44,309 Adient PLC (a) 1,859,649 19,536 Gentherm, Inc. (a) 1,707,251 12,425 XPEL, Inc. (a) (b) 774,823 --------------- 4,341,723 --------------- BANKS -- 3.9% 17,081 Ameris Bancorp 842,264 24,306 Live Oak Bancshares, Inc. 1,430,651 35,556 Meta Financial Group, Inc. 2,114,160 31,195 Pacific Premier Bancorp, Inc. 1,193,209 19,983 ServisFirst Bancshares, Inc. 1,695,957 11,449 Silvergate Capital Corp., Class A (a) 1,233,515 17,818 Triumph Bancorp, Inc. (a) 1,558,719 31,393 Veritex Holdings, Inc. 1,260,429 --------------- 11,328,904 --------------- BEVERAGES -- 0.7% 3,429 Coca-Cola Consolidated, Inc. 1,964,817 --------------- BIOTECHNOLOGY -- 5.4% 36,355 ACADIA Pharmaceuticals, Inc. (a) 817,624 60,476 Alector, Inc. (a) 959,149 73,470 Amicus Therapeutics, Inc. (a) 691,353 20,965 Arcus Biosciences, Inc. (a) 645,722 72,706 Avid Bioservices, Inc. (a) 1,371,962 90,177 BioCryst Pharmaceuticals, Inc. (a) 1,393,235 21,960 Celldex Therapeutics, Inc. (a) 680,980 27,399 Cytokinetics, Inc. (a) 909,373 42,608 Deciphera Pharmaceuticals, Inc. (a) 359,185 28,991 Global Blood Therapeutics, Inc. (a) 836,390 15,280 Insmed, Inc. (a) 346,550 26,736 Kymera Therapeutics, Inc. (a) 1,122,912 25,942 MacroGenics, Inc. (a) 320,384 17,914 Morphic Holding, Inc. (a) 760,091 30,752 Myriad Genetics, Inc. (a) 808,470 45,057 Organogenesis Holdings, Inc. (a) 346,488 24,812 Protagonist Therapeutics, Inc. (a) 726,744 25,282 Prothena Corp. PLC (a) 861,611 21,310 PTC Therapeutics, Inc. (a) 857,088 20,602 Veracyte, Inc. (a) 626,507 10,593 Vericel Corp. (a) 376,899 --------------- 15,818,717 --------------- BUILDING PRODUCTS -- 0.7% 15,720 AAON, Inc. 1,010,010 SHARES DESCRIPTION VALUE --------------------------------------------------------------- BUILDING PRODUCTS (CONTINUED) 10,335 CSW Industrials, Inc. $ 1,147,185 --------------- 2,157,195 --------------- CAPITAL MARKETS -- 5.2% 26,211 Artisan Partners Asset Management, Inc., Class A 1,132,577 23,878 B. Riley Financial, Inc. 1,470,169 13,497 Cohen & Steers, Inc. 1,127,404 28,424 Focus Financial Partners, Inc., Class A (a) 1,431,433 12,057 Hamilton Lane, Inc., Class A 1,090,676 27,152 Moelis & Co., Class A 1,533,273 11,880 Piper Sandler Cos. 1,832,134 11,451 PJT Partners, Inc., Class A 793,783 40,826 StepStone Group, Inc., Class A 1,429,318 58,876 Virtu Financial, Inc., Class A 1,821,035 5,715 Virtus Investment Partners, Inc. 1,495,501 --------------- 15,157,303 --------------- CHEMICALS -- 0.4% 51,223 Livent Corp. (a) 1,178,641 --------------- COMMERCIAL SERVICES & SUPPLIES -- 1.1% 19,047 Brink's (The) Co. 1,329,100 19,872 Casella Waste Systems, Inc., Class A (a) 1,509,874 5,817 Cimpress PLC (a) 391,019 --------------- 3,229,993 --------------- COMMUNICATIONS EQUIPMENT -- 1.2% 26,530 Calix, Inc. (a) 1,333,928 130,235 Infinera Corp. (a) 1,096,579 70,885 Viavi Solutions, Inc. (a) 1,166,767 --------------- 3,597,274 --------------- CONSTRUCTION & ENGINEERING -- 1.0% 20,842 Ameresco, Inc., Class A (a) 1,054,814 19,187 MYR Group, Inc. (a) 1,804,153 --------------- 2,858,967 --------------- CONSTRUCTION MATERIALS -- 0.6% 52,853 Summit Materials, Inc., Class A (a) 1,879,453 --------------- CONSUMER FINANCE -- 0.8% 51,655 LendingClub Corp. (a) 969,048 79,981 Navient Corp. 1,394,069 --------------- 2,363,117 --------------- CONTAINERS & PACKAGING -- 0.5% 56,458 Ranpak Holdings Corp. (a) 1,516,462 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.5% 20,744 2U, Inc. (a) 334,808 127,700 Vivint Smart Home, Inc. (a) 919,440 25,810 WW International, Inc. (a) 325,206 --------------- 1,579,454 --------------- Page 96 See Notes to Financial Statements FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.3% 5,803 Bandwidth, Inc., Class A (a) $ 363,326 358,891 Globalstar, Inc. (a) 384,013 --------------- 747,339 --------------- ELECTRICAL EQUIPMENT -- 1.4% 26,535 Array Technologies, Inc. (a) 279,679 19,084 Atkore, Inc. (a) 2,056,873 15,708 Blink Charging Co. (a) (c) 328,454 38,695 Bloom Energy Corp., Class A (a) 583,521 9,837 Vicor Corp. (a) 927,924 --------------- 4,176,451 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.9% 9,316 Advanced Energy Industries, Inc. 802,853 11,717 Badger Meter, Inc. 1,185,409 17,385 nLight, Inc. (a) 359,695 7,886 PAR Technology Corp. (a) 295,725 --------------- 2,643,682 --------------- ENTERTAINMENT -- 0.3% 25,827 Cinemark Holdings, Inc. (a) 389,988 8,436 World Wrestling Entertainment, Inc., Class A 421,294 --------------- 811,282 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 6.8% 38,872 Acadia Realty Trust 769,277 37,168 CareTrust REIT, Inc. 788,333 88,309 DiamondRock Hospitality Co. (a) 825,689 203,756 DigitalBridge Group, Inc. (a) 1,487,419 37,026 Easterly Government Properties, Inc. 776,435 46,772 Empire State Realty Trust, Inc., Class A 417,206 29,433 Essential Properties Realty Trust, Inc. 781,446 42,468 Four Corners Property Trust, Inc. 1,149,609 65,712 Independence Realty Trust, Inc. 1,510,719 65,712 iStar, Inc. 1,410,836 38,961 Kite Realty Group Trust 813,506 49,109 Macerich (The) Co. 812,263 20,250 NexPoint Residential Trust, Inc. 1,605,825 46,569 Outfront Media, Inc. 1,156,774 43,301 Retail Opportunity Investments Corp. 802,367 47,363 Service Properties Trust 404,954 53,612 SITE Centers Corp. 793,994 64,777 Tanger Factory Outlet Centers, Inc. 1,101,857 121,148 Uniti Group, Inc. 1,461,045 65,729 Urban Edge Properties 1,198,897 --------------- 20,068,451 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- FOOD PRODUCTS -- 0.9% 40,826 Simply Good Foods (The) Co. (a) $ 1,438,300 78,300 Utz Brands, Inc. 1,261,413 --------------- 2,699,713 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.7% 12,207 AtriCure, Inc. (a) 801,267 15,157 Axonics, Inc. (a) 718,897 22,768 BioLife Solutions, Inc. (a) 679,397 8,810 CONMED Corp. 1,212,080 21,109 CryoPort, Inc. (a) 881,723 9,371 Glaukos Corp. (a) 498,912 2,278 Heska Corp. (a) 313,407 12,240 Inogen, Inc. (a) 363,895 58,750 Lantheus Holdings, Inc. (a) 1,492,838 18,411 Outset Medical, Inc. (a) 684,705 9,768 Silk Road Medical, Inc. (a) 320,488 --------------- 7,967,609 --------------- HEALTH CARE PROVIDERS & SERVICES -- 4.6% 34,693 AdaptHealth Corp. (a) 655,698 73,288 Agiliti, Inc. (a) 1,401,999 127,515 Community Health Systems, Inc. (a) 1,618,165 8,157 CorVel Corp. (a) 1,436,611 21,091 Fulgent Genetics, Inc. (a) (c) 1,347,082 8,418 ModivCare, Inc. (a) 975,899 74,600 Option Care Health, Inc. (a) 1,743,402 48,772 Owens & Minor, Inc. 2,052,814 56,372 RadNet, Inc. (a) 1,451,579 8,879 US Physical Therapy, Inc. 859,221 --------------- 13,542,470 --------------- HEALTH CARE TECHNOLOGY -- 1.3% 91,988 Allscripts Healthcare Solutions, Inc. (a) 1,859,997 45,138 Evolent Health, Inc., Class A (a) 1,070,222 12,740 GoodRx Holdings, Inc., Class A (a) 305,888 10,508 Health Catalyst, Inc. (a) 313,664 9,996 Phreesia, Inc. (a) 311,775 --------------- 3,861,546 --------------- HOTELS, RESTAURANTS & LEISURE -- 5.2% 22,297 Bally's Corp. (a) 796,895 40,453 Bloomin' Brands, Inc. (a) 822,409 21,672 Cheesecake Factory (The), Inc. (a) 773,257 44,196 Dave & Buster's Entertainment, Inc. (a) 1,581,775 58,501 Everi Holdings, Inc. (a) 1,156,565 32,570 Hilton Grand Vacations, Inc. (a) 1,591,370 9,701 Jack in the Box, Inc. 883,276 12,715 Papa John's International, Inc. 1,569,667 38,570 Red Rock Resorts, Inc., Class A 1,717,136 32,710 SeaWorld Entertainment, Inc. (a) 1,948,862 See Notes to Financial Statements Page 97 FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE (CONTINUED) 11,762 Shake Shack, Inc., Class A (a) $ 777,115 39,859 Six Flags Entertainment Corp. (a) 1,574,032 --------------- 15,192,359 --------------- HOUSEHOLD DURABLES -- 1.2% 15,180 Installed Building Products, Inc. 1,681,792 26,860 Skyline Champion Corp. (a) 1,808,753 --------------- 3,490,545 --------------- HOUSEHOLD PRODUCTS -- 0.3% 3,469 WD-40 Co. 771,020 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.5% 47,110 Clearway Energy, Inc., Class C 1,586,665 --------------- INSURANCE -- 0.9% 3,200 Goosehead Insurance, Inc., Class A 315,456 8,920 Kinsale Capital Group, Inc. 1,786,854 6,430 Palomar Holdings, Inc. (a) 339,183 45,953 Selectquote, Inc. (a) 339,593 --------------- 2,781,086 --------------- INTERACTIVE MEDIA & SERVICES -- 0.6% 50,453 Cargurus, Inc. (a) 1,609,450 26,828 fuboTV, Inc. (a) (c) 288,133 --------------- 1,897,583 --------------- INTERNET & DIRECT MARKETING RETAIL -- 1.0% 35,857 RealReal (The), Inc. (a) 338,849 22,290 Revolve Group, Inc. (a) 1,099,343 11,259 Shutterstock, Inc. 1,091,785 22,006 Stitch Fix, Inc., Class A (a) 361,558 --------------- 2,891,535 --------------- IT SERVICES -- 3.2% 24,986 EVERTEC, Inc. 1,090,389 14,651 ExlService Holdings, Inc. (a) 1,765,738 16,413 Perficient, Inc. (a) 1,720,411 63,000 Rackspace Technology, Inc. (a) 788,130 22,787 Repay Holdings Corp. (a) 407,659 48,460 Sabre Corp. (a) 443,409 43,607 Switch, Inc., Class A 1,117,647 41,251 Unisys Corp. (a) 752,831 80,946 Verra Mobility Corp. (a) 1,282,185 --------------- 9,368,399 --------------- LEISURE PRODUCTS -- 1.2% 39,970 Acushnet Holdings Corp. 1,866,599 46,055 Vista Outdoor, Inc. (a) 1,776,802 --------------- 3,643,401 --------------- LIFE SCIENCES TOOLS & SERVICES -- 0.3% 22,902 Berkeley Lights, Inc. (a) 222,378 9,822 Quanterix Corp. (a) 298,982 SHARES DESCRIPTION VALUE --------------------------------------------------------------- LIFE SCIENCES TOOLS & SERVICES (CONTINUED) 18,252 Seer, Inc. (a) $ 287,104 --------------- 808,464 --------------- MACHINERY -- 2.6% 36,304 Evoqua Water Technologies Corp. (a) 1,470,312 20,169 Helios Technologies, Inc. 1,545,550 14,719 Hydrofarm Holdings Group, Inc. (a) 288,640 7,361 Kadant, Inc. 1,538,302 8,220 Lindsay Corp. 1,037,775 38,617 Terex Corp. 1,611,101 --------------- 7,491,680 --------------- MARINE -- 0.8% 23,563 Matson, Inc. 2,301,163 --------------- MEDIA -- 1.8% 40,336 iHeartMedia, Inc., Class A (a) 812,770 23,792 Magnite, Inc. (a) 322,858 32,106 Sinclair Broadcast Group, Inc., Class A 882,273 22,180 TechTarget, Inc. (a) 1,839,609 78,870 WideOpenWest, Inc. (a) 1,467,771 --------------- 5,325,281 --------------- METALS & MINING -- 0.9% 53,268 Allegheny Technologies, Inc. (a) 974,272 79,754 Hecla Mining Co. 395,580 13,299 Kaiser Aluminum Corp. 1,273,379 --------------- 2,643,231 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 0.3% 46,327 Arbor Realty Trust, Inc. 811,186 --------------- MULTILINE RETAIL -- 0.7% 8,662 Dillard's, Inc., Class A 2,197,723 --------------- OIL, GAS & CONSUMABLE FUELS -- 5.7% 35,917 Callon Petroleum Co. (a) 1,775,737 22,160 Denbury, Inc. (a) 1,665,102 112,434 Magnolia Oil & Gas Corp., Class A 2,431,947 57,461 Matador Resources Co. 2,572,529 43,490 PDC Energy, Inc. 2,577,652 95,187 Range Resources Corp. (a) 1,832,350 71,962 SM Energy Co. 2,361,073 268,013 Southwestern Energy Co. (a) 1,179,257 135,162 Tellurian, Inc. (a) (c) 339,257 --------------- 16,734,904 --------------- PERSONAL PRODUCTS -- 1.2% 19,846 Inter Parfums, Inc. 1,964,159 8,105 Medifast, Inc. 1,610,544 --------------- 3,574,703 --------------- PHARMACEUTICALS -- 2.0% 21,028 Corcept Therapeutics, Inc. (a) 394,696 49,756 Harmony Biosciences Holdings, Inc. (a) 1,784,250 Page 98 See Notes to Financial Statements FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) PHARMACEUTICALS (CONTINUED) 40,539 Intra-Cellular Therapies, Inc. (a) $ 1,925,197 20,759 Pacira BioSciences, Inc. (a) 1,303,042 25,505 Revance Therapeutics, Inc. (a) 339,982 --------------- 5,747,167 --------------- PROFESSIONAL SERVICES -- 0.6% 28,013 Korn Ferry 1,859,503 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 1.5% 52,297 Kennedy-Wilson Holdings, Inc. 1,174,591 113,450 Newmark Group, Inc., Class A 1,736,919 32,612 St. Joe (The) Co. 1,582,008 --------------- 4,493,518 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 5.4% 9,950 ACM Research, Inc., Class A (a) 792,517 10,460 Ambarella, Inc. (a) 1,465,969 44,556 Cohu, Inc. (a) 1,469,457 19,321 Diodes, Inc. (a) 1,792,796 28,143 MaxLinear, Inc. (a) 1,689,143 20,962 Onto Innovation, Inc. (a) 1,918,861 72,188 Rambus, Inc. (a) 1,822,747 19,090 Semtech Corp. (a) 1,357,299 7,256 SiTime Corp. (a) 1,691,301 36,983 Ultra Clean Holdings, Inc. (a) 1,864,683 --------------- 15,864,773 --------------- SOFTWARE -- 6.6% 24,840 8x8, Inc. (a) 381,294 10,010 Alarm.com Holdings, Inc. (a) 746,446 16,156 Altair Engineering, Inc., Class A (a) 1,016,535 3,435 Appfolio, Inc., Class A (a) 395,918 42,856 Avaya Holdings Corp. (a) 780,836 15,810 Blackbaud, Inc. (a) 1,077,293 64,807 Box, Inc., Class A (a) 1,693,407 5,432 Cerence, Inc. (a) 344,878 12,317 CommVault Systems, Inc. (a) 830,905 15,740 Envestnet, Inc. (a) 1,163,816 32,860 Jamf Holding Corp. (a) 1,086,352 51,655 Marathon Digital Holdings, Inc. (a) (c) 1,215,959 11,976 PagerDuty, Inc. (a) 395,447 25,871 Progress Software Corp. 1,177,389 12,067 PROS Holdings, Inc. (a) 334,377 9,104 Qualys, Inc. (a) 1,166,587 38,004 Riot Blockchain, Inc. (a) (c) 605,784 9,359 Sprout Social, Inc., Class A (a) 644,367 8,769 SPS Commerce, Inc. (a) 1,086,041 30,701 Sumo Logic, Inc. (a) 365,649 89,759 Xperi Holding Corp. 1,514,234 41,962 Yext, Inc. (a) 339,892 66,861 Zuora, Inc., Class A (a) 1,111,898 --------------- 19,475,304 --------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- SPECIALTY RETAIL -- 4.2% 48,730 Abercrombie & Fitch Co., Class A (a) $ 1,900,470 48,328 Academy Sports & Outdoors, Inc. (a) 1,879,959 58,205 Bed Bath & Beyond, Inc. (a) (c) 945,249 17,239 Boot Barn Holdings, Inc. (a) 1,585,471 40,112 Buckle (The), Inc. 1,509,816 31,905 GrowGeneration Corp. (a) 269,278 25,999 Rent-A-Center, Inc. 1,095,858 24,377 Signet Jewelers Ltd. 2,099,591 16,307 Sleep Number Corp. (a) 1,165,950 --------------- 12,451,642 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.9% 39,394 3D Systems Corp. (a) 705,153 38,344 Avid Technology, Inc. (a) 1,202,468 40,390 Corsair Gaming, Inc. (a) (c) 789,220 --------------- 2,696,841 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 2.2% 33,118 Kontoor Brands, Inc. 1,632,386 49,893 Levi Strauss & Co., Class A 1,094,154 20,896 Oxford Industries, Inc. 1,721,621 45,654 Steven Madden Ltd. 1,878,206 --------------- 6,326,367 --------------- THRIFTS & MORTGAGE FINANCE -- 1.5% 22,338 Axos Financial, Inc. (a) 1,150,407 59,869 Columbia Financial, Inc. (a) 1,267,427 14,061 Walker & Dunlop, Inc. 1,861,817 --------------- 4,279,651 --------------- TOBACCO -- 0.7% 184,811 Vector Group Ltd. 2,053,250 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.2% 52,036 Custom Truck One Source, Inc. (a) 427,736 41,500 Global Industrial Co. 1,450,840 10,840 Herc Holdings, Inc. 1,739,278 --------------- 3,617,854 --------------- WATER UTILITIES -- 1.5% 16,412 American States Water Co. 1,513,679 23,623 California Water Service Group 1,466,752 14,109 Middlesex Water Co. 1,428,395 --------------- 4,408,826 --------------- TOTAL COMMON STOCKS -- 100.0% 293,852,033 (Cost $301,145,190) --------------- See Notes to Financial Statements Page 99 FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) PRINCIPAL VALUE DESCRIPTION VALUE --------------------------------------------------------------- REPURCHASE AGREEMENTS -- 1.4% $ 128,501 Bank of America Corp., 0.04% (d), dated 01/31/22, due 02/01/22, with a maturity value of $128,501. Collateralized by U.S. Treasury Securities, interest rates of 2.00% to 4.63%, due 11/15/39 to 02/15/50. The value of the collateral including accrued interest is $131,071. (e) $ 128,501 2,008,659 Citigroup, Inc., 0.05% (d), dated 01/31/22, due 02/01/22, with a maturity value of $2,008,662. Collateralized by U.S. Treasury Securities, interest rates of 0.13% to 6.88%, due 02/15/22 to 05/15/51. The value of the collateral including accrued interest is $2,048,832. (e) 2,008,659 2,008,659 JPMorgan Chase & Co., 0.05% (d), dated 01/31/22, due 02/01/22, with a maturity value of $2,008,662. Collateralized by U.S. Treasury Securities, interest rates of 0.00% to 2.38%, due 05/03/22 to 01/15/27. The value of the collateral including accrued interest is $2,048,833. (e) 2,008,659 --------------- TOTAL REPURCHASE AGREEMENTS -- 1.4% 4,145,819 (Cost $4,145,819) --------------- TOTAL INVESTMENTS -- 101.4% 297,997,852 (Cost $305,291,009) NET OTHER ASSETS AND LIABILITIES -- (1.4)% (4,071,620) --------------- NET ASSETS -- 100.0% $ 293,926,232 =============== (a) Non-income producing security. (b) This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act, as amended. (c) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $4,305,341 and the total value of the collateral held by the Fund is $4,145,819. (d) Rate shown reflects yield as of January 31, 2022. (e) This security serves as collateral for securities on loan. --------------------------------- OFFSETTING ASSETS AND LIABILITIES --------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT --------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 4,305,341 Non-cash Collateral(2) (4,145,819) --------------- Net Amount $ 159,522 =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value," is not offset and is shown on a gross basis. (2) The collateral requirements are determined at the beginning of each business day based on the market value of the loaned securities from the end of the prior day. On January 31, 2022, the last business day of the period, there was sufficient collateral based on the end of day market value from the prior business day; however, as a result of market movement from January 28 to January 31, the value of the related securities loaned was above the collateral value received. See Note 2D - Securities Lending in the Notes to Financial Statements. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS --------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 4,145,819 Non-cash Collateral(4) (4,145,819) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At January 31, 2022, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 100 See Notes to Financial Statements FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JANUARY 31, 2022 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of January 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 1/31/2022 PRICES INPUTS INPUTS -------------------------------------------------------------------- Common Stocks*.................................. $ 293,852,033 $ 293,852,033 $ -- $ -- Repurchase Agreements........................... 4,145,819 -- 4,145,819 -- -------------------------------------------------------------------- Total Investments............................... $ 297,997,852 $ 293,852,033 $ 4,145,819 $ -- ==================================================================== * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 101 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF ASSETS AND LIABILITIES JANUARY 31, 2022 (UNAUDITED) FIRST TRUST FIRST TRUST FIRST TRUST LARGE CAP CORE MID CAP CORE SMALL CAP CORE ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FEX) (FNX) (FYX) ---------------- ---------------- ---------------- ASSETS: Investments, at value............................................... $ 1,178,873,248 $ 1,011,084,947 $ 909,617,148 Cash................................................................ -- -- -- Receivables: Dividends........................................................ 903,883 330,436 179,742 Capital shares sold.............................................. -- 9,454,072 -- Investment securities sold....................................... -- -- -- Securities lending income........................................ -- 3,158 2,822 Prepaid expenses.................................................... 15,034 13,854 13,129 ---------------- ---------------- ---------------- Total Assets..................................................... 1,179,792,165 1,020,886,467 909,812,841 ---------------- ---------------- ---------------- LIABILITIES: Payables: Investment advisory fees......................................... 513,452 435,634 403,065 Licensing fees................................................... 41,769 36,062 33,410 Shareholder reporting fees....................................... 38,271 24,460 20,665 Audit and tax fees............................................... 20,500 20,456 20,521 Trustees' fees................................................... 468 485 474 Investment securities purchased.................................. -- 9,444,552 -- Capital shares redeemed.......................................... -- -- -- Collateral for securities on loan................................ -- 7,374,145 8,607,587 Other liabilities................................................... 144,125 121,064 118,647 ---------------- ---------------- ---------------- Total Liabilities................................................ 758,585 17,456,858 9,204,369 ---------------- ---------------- ---------------- NET ASSETS.......................................................... $ 1,179,033,580 $ 1,003,429,609 $ 900,608,472 ================ ================ ================ NET ASSETS CONSIST OF: Paid-in capital..................................................... $ 1,259,233,111 $ 1,104,963,659 $ 1,073,722,240 Par value........................................................... 135,500 104,000 100,000 Accumulated distributable earnings (loss)........................... (80,335,031) (101,638,050) (173,213,768) ---------------- ---------------- ---------------- NET ASSETS.......................................................... $ 1,179,033,580 $ 1,003,429,609 $ 900,608,472 ================ ================ ================ NET ASSET VALUE, per share.......................................... $ 87.01 $ 96.48 $ 90.06 ================ ================ ================ Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)........................... 13,550,002 10,400,002 10,000,002 ================ ================ ================ Investments, at cost................................................ $ 1,011,442,342 $ 896,669,795 $ 842,455,478 ================ ================ ================ Securities on loan, at value........................................ $ -- $ 7,336,239 $ 8,657,308 ================ ================ ================ Page 102 See Notes to Financial Statements FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST LARGE CAP VALUE LARGE CAP GROWTH MULTI CAP VALUE MULTI CAP GROWTH MID CAP VALUE MID CAP GROWTH ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FTA) (FTC) (FAB) (FAD) (FNK) (FNY) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 1,211,014,913 $ 1,104,023,981 $ 159,347,974 $ 232,263,639 $ 219,535,436 $ 363,155,743 -- -- -- -- 362,352 274,061 1,124,356 639,594 99,106 90,974 77,401 100,215 -- -- -- -- 4,593,302 -- -- 5,275,185 -- -- -- 19,140,709 -- 48 297 808 1,064 449 14,517 14,372 7,824 8,279 -- -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 1,212,153,786 1,109,953,180 159,455,201 232,363,700 224,569,555 382,671,177 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 510,644 504,429 68,668 102,276 125,500 242,692 39,427 43,589 5,290 8,822 -- -- 25,653 42,932 2,209 10,685 -- -- 20,609 20,663 20,271 20,445 -- -- 476 526 450 426 -- -- -- -- -- -- 4,583,717 -- -- 5,281,954 -- -- -- 19,153,779 -- -- 448,059 642,682 1,678,472 2,703,869 135,484 137,938 29,833 38,118 -- -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 732,293 6,032,031 574,780 823,454 6,387,689 22,100,340 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 1,211,421,493 $ 1,103,921,149 $ 158,880,421 $ 231,540,246 $ 218,181,866 $ 360,570,837 ================ ================ ================ ================ ================ ================ $ 1,235,193,703 $ 1,105,959,474 $ 173,665,022 $ 244,277,306 $ 236,915,068 $ 439,110,677 174,000 104,500 21,500 21,000 47,500 55,000 (23,946,210) (2,142,825) (14,806,101) (12,758,060) (18,780,702) (78,594,840) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 1,211,421,493 $ 1,103,921,149 $ 158,880,421 $ 231,540,246 $ 218,181,866 $ 360,570,837 ================ ================ ================ ================ ================ ================ $ 69.62 $ 105.64 $ 73.90 $ 110.26 $ 45.93 $ 65.56 ================ ================ ================ ================ ================ ================ 17,400,002 10,450,002 2,150,002 2,100,002 4,750,002 5,500,002 ================ ================ ================ ================ ================ ================ $ 1,069,085,782 $ 979,654,714 $ 151,439,167 $ 211,205,840 $ 221,797,211 $ 357,059,817 ================ ================ ================ ================ ================ ================ $ -- $ -- $ 449,488 $ 682,781 $ 1,680,684 $ 2,922,586 ================ ================ ================ ================ ================ ================ See Notes to Financial Statements Page 103 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED) JANUARY 31, 2022 (UNAUDITED) FIRST TRUST FIRST TRUST SMALL CAP VALUE SMALL CAP GROWTH ALPHADEX(R) FUND ALPHADEX(R) FUND (FYT) (FYC) ---------------- ---------------- ASSETS: Investments, at value............................................... $ 242,325,005 $ 297,997,852 Cash................................................................ 513,197 229,895 Receivables: Dividends........................................................ 43,613 49,837 Capital shares sold.............................................. 12,614,230 -- Investment securities sold....................................... -- 19,701,757 Securities lending income........................................ 196 5,492 Prepaid expenses.................................................... -- -- ---------------- ---------------- Total Assets..................................................... 255,496,241 317,984,833 ---------------- ---------------- LIABILITIES: Payables: Investment advisory fees......................................... 138,269 202,823 Licensing fees................................................... -- -- Shareholder reporting fees....................................... -- -- Audit and tax fees............................................... -- -- Trustees' fees................................................... -- -- Investment securities purchased.................................. -- -- Capital shares redeemed.......................................... 12,586,718 19,709,959 Collateral for securities on loan................................ 276,225 4,145,819 Other liabilities................................................... -- -- ---------------- ---------------- Total Liabilities................................................ 13,001,212 24,058,601 ---------------- ---------------- NET ASSETS.......................................................... $ 242,495,029 $ 293,926,232 ================ ================ NET ASSETS CONSIST OF: Paid-in capital..................................................... $ 276,359,596 $ 402,375,304 Par value........................................................... 47,500 44,500 Accumulated distributable earnings (loss)........................... (33,912,067) (108,493,572) ---------------- ---------------- NET ASSETS.......................................................... $ 242,495,029 $ 293,926,232 ================ ================ NET ASSET VALUE, per share.......................................... $ 51.05 $ 66.05 ================ ================ Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)........................... 4,750,002 4,450,002 ================ ================ Investments, at cost................................................ $ 245,330,324 $ 305,291,009 ================ ================ Securities on loan, at value........................................ $ 270,570 $ 4,305,341 ================ ================ Page 104 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED JANUARY 31, 2022 (UNAUDITED) FIRST TRUST FIRST TRUST FIRST TRUST LARGE CAP CORE MID CAP CORE SMALL CAP CORE ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FEX) (FNX) (FYX) ---------------- ---------------- ---------------- INVESTMENT INCOME: Dividends............................................................ $ 9,791,320 $ 9,579,247 $ 9,626,284 Securities lending income (net of fees).............................. 18,145 26,033 71,774 Foreign withholding tax.............................................. (439) (4,020) (3,740) ---------------- ---------------- ---------------- Total investment income........................................... 9,809,026 9,601,260 9,694,318 ---------------- ---------------- ---------------- EXPENSES: Investment advisory fees............................................. 3,047,651 2,636,678 2,401,954 Accounting and administration fees................................... 295,296 262,805 241,984 Licensing fees....................................................... 64,733 56,514 51,820 Custodian fees....................................................... 51,147 46,166 42,903 Shareholder reporting fees........................................... 48,787 40,657 33,057 Transfer agent fees.................................................. 27,841 25,771 23,974 Audit and tax fees................................................... 15,167 15,167 15,167 Legal fees........................................................... 10,351 8,214 7,453 Trustees' fees and expenses.......................................... 3,427 3,422 3,385 Listing fees......................................................... 2,703 2,544 2,009 Expenses previously waived or reimbursed............................. -- -- -- Other expenses....................................................... 10,509 7,720 6,457 ---------------- ---------------- ---------------- Total expenses.................................................... 3,577,612 3,105,658 2,830,163 ---------------- ---------------- ---------------- NET INVESTMENT INCOME (LOSS)......................................... 6,231,414 6,495,602 6,864,155 ---------------- ---------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments....................................................... 46,740,951 25,398,827 23,630,338 In-kind redemptions............................................... 13,454,413 10,031,225 15,072,034 ---------------- ---------------- ---------------- Net realized gain (loss)............................................. 60,195,364 35,430,052 38,702,372 ---------------- ---------------- ---------------- Net change in unrealized appreciation (depreciation) on investments.. (59,001,398) (62,060,322) (54,282,421) ---------------- ---------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS).............................. 1,193,966 (26,630,270) (15,580,049) ---------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................... $ 7,425,380 $ (20,134,668) $ (8,715,894) ================ ================ ================ See Notes to Financial Statements Page 105 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF OPERATIONS (CONTINUED) FOR THE SIX MONTHS ENDED JANUARY 31, 2022 (UNAUDITED) FIRST TRUST FIRST TRUST FIRST TRUST LARGE CAP VALUE LARGE CAP GROWTH MULTI CAP VALUE ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FTA) (FTC) (FAB) ---------------- ---------------- ---------------- INVESTMENT INCOME: Dividends............................................................ $ 13,167,564 $ 4,237,247 $ 1,865,738 Securities lending income (net of fees).............................. 12,768 24,122 3,572 Foreign withholding tax.............................................. -- (1,868) (471) ---------------- ---------------- ---------------- Total investment income........................................... 13,180,332 4,259,501 1,868,839 ---------------- ---------------- ---------------- EXPENSES: Investment advisory fees............................................. 2,804,645 3,217,092 387,213 Accounting and administration fees................................... 275,597 308,590 40,515 Licensing fees....................................................... 59,873 68,122 11,525 Custodian fees....................................................... 45,384 51,444 14,746 Shareholder reporting fees........................................... 41,046 52,299 10,666 Transfer agent fees.................................................. 26,626 28,688 3,872 Audit and tax fees................................................... 15,167 15,167 15,167 Legal fees........................................................... 8,504 10,265 1,222 Trustees' fees and expenses.......................................... 3,432 3,498 3,184 Listing fees......................................................... 2,701 2,619 3,324 Expenses previously waived or reimbursed............................. -- -- 33,031 Other expenses....................................................... 8,743 9,975 1,397 ---------------- ---------------- ---------------- Total expenses.................................................... 3,291,718 3,767,759 525,862 ---------------- ---------------- ---------------- NET INVESTMENT INCOME (LOSS)......................................... 9,888,614 491,742 1,342,977 ---------------- ---------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments....................................................... 11,715,204 24,536,115 4,888,143 In-kind redemptions............................................... 66,794,819 31,103,836 8,857,787 ---------------- ---------------- ---------------- Net realized gain (loss)............................................. 78,510,023 55,639,951 13,745,930 ---------------- ---------------- ---------------- Net change in unrealized appreciation (depreciation) on investments.. (15,207,132) (133,513,204) (7,755,647) ---------------- ---------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS).............................. 63,302,891 (77,873,253) 5,990,283 ---------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................... $ 73,191,505 $ (77,381,511) $ 7,333,260 ================ ================ ================ (a) Fund is subject to a Unitary Fee (see Note 3 in the Notes to Financial Statements). Page 106 See Notes to Financial Statements FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST MULTI CAP MID CAP MID CAP SMALL CAP SMALL CAP GROWTH VALUE GROWTH VALUE GROWTH ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FAD) (FNK) (FNY) (FYT) (FYC) ---------------- ---------------- ---------------- ---------------- ---------------- $ 1,175,765 $ 2,136,934 $ 1,658,324 $ 2,610,436 $ 3,465,841 11,705 3,154 11,922 11,964 56,088 (168) (1,135) -- (1,265) -- ---------------- ---------------- ---------------- ---------------- ---------------- 1,187,302 2,138,953 1,670,246 2,621,135 3,521,929 ---------------- ---------------- ---------------- ---------------- ---------------- 629,765 587,223 (a) 1,566,033 (a) 819,816 (a) 1,272,370 (a) 64,966 -- -- -- -- 16,376 -- -- -- -- 19,945 -- -- -- -- 15,376 -- -- -- -- 6,298 -- -- -- -- 15,167 -- -- -- -- 1,982 -- -- -- -- 3,163 -- -- -- -- 3,345 -- -- -- -- -- -- -- -- -- 2,112 -- -- -- -- ---------------- ---------------- ---------------- ---------------- ---------------- 778,495 587,223 1,566,033 819,816 1,272,370 ---------------- ---------------- ---------------- ---------------- ---------------- 408,807 1,551,730 104,213 1,801,319 2,249,559 ---------------- ---------------- ---------------- ---------------- ---------------- (7,215,910) (666,975) (10,282,481) 5,673,984 (3,879,368) 14,109,575 12,354,188 16,438,839 6,777,730 25,316,758 ---------------- ---------------- ---------------- ---------------- ---------------- 6,893,665 11,687,213 6,156,358 12,451,714 21,437,390 ---------------- ---------------- ---------------- ---------------- ---------------- (26,441,459) (10,617,348) (54,461,060) (9,723,073) (47,467,676) ---------------- ---------------- ---------------- ---------------- ---------------- (19,547,794) 1,069,865 (48,304,702) 2,728,641 (26,030,286) ---------------- ---------------- ---------------- ---------------- ---------------- $ (19,138,987) $ 2,621,595 $ (48,200,489) $ 4,529,960 $ (23,780,727) ================ ================ ================ ================ ================ See Notes to Financial Statements Page 107 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF CHANGES IN NET ASSETS FIRST TRUST FIRST TRUST LARGE CAP CORE MID CAP CORE ALPHADEX(R) FUND ALPHADEX(R) FUND (FEX) (FNX) ------------------------------- ------------------------------- Six Months Six Months Ended Ended 1/31/2022 Year Ended 1/31/2022 Year Ended (Unaudited) 7/31/2021 (Unaudited) 7/31/2021 -------------- -------------- -------------- -------------- OPERATIONS: Net investment income (loss).............................. $ 6,231,414 $ 9,839,435 $ 6,495,602 $ 6,365,577 Net realized gain (loss).................................. 60,195,364 197,373,767 35,430,052 182,010,495 Net change in unrealized appreciation (depreciation)...... (59,001,398) 146,237,892 (62,060,322) 136,431,833 -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from operations........................................ 7,425,380 353,451,094 (20,134,668) 324,807,905 -------------- -------------- -------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations..................................... (6,585,561) (9,797,516) (8,057,852) (7,128,332) -------------- -------------- -------------- -------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold................................. 36,135,078 483,630,605 39,357,723 626,570,191 Cost of shares redeemed................................... (47,849,844) (562,355,482) (35,038,456) (506,859,355) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from shareholder transactions.......................... (11,714,766) (78,724,877) 4,319,267 119,710,836 -------------- -------------- -------------- -------------- Total increase (decrease) in net assets................... (10,874,947) 264,928,701 (23,873,253) 437,390,409 NET ASSETS: Beginning of period....................................... 1,189,908,527 924,979,826 1,027,302,862 589,912,453 -------------- -------------- -------------- -------------- End of period............................................. $1,179,033,580 $1,189,908,527 $1,003,429,609 $1,027,302,862 ============== ============== ============== ============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period................... 13,700,002 14,850,002 10,350,002 9,100,002 Shares sold............................................... 400,000 6,100,000 400,000 7,250,000 Shares redeemed........................................... (550,000) (7,250,000) (350,000) (6,000,000) -------------- -------------- -------------- -------------- Shares outstanding, end of period......................... 13,550,002 13,700,002 10,400,002 10,350,002 ============== ============== ============== ============== Page 108 See Notes to Financial Statements FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST SMALL CAP CORE LARGE CAP VALUE LARGE CAP GROWTH MULTI CAP VALUE ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FYX) (FTA) (FTC) (FAB) ------------------------------- ------------------------------- ------------------------------- ------------------------------- Six Months Six Months Six Months Six Months Ended Ended Ended Ended 1/31/2022 Year Ended 1/31/2022 Year Ended 1/31/2022 Year Ended 1/31/2022 Year Ended (Unaudited) 7/31/2021 (Unaudited) 7/31/2021 (Unaudited) 7/31/2021 (Unaudited) 7/31/2021 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 6,864,155 $ 5,509,309 $ 9,888,614 $ 14,730,152 $ 491,742 $ (773,238) $ 1,342,977 $ 1,337,216 38,702,372 191,192,225 78,510,023 76,073,215 55,639,951 322,338,978 13,745,930 8,702,874 (54,282,421) 92,126,425 (15,207,132) 191,447,205 (133,513,204) 34,243,661 (7,755,647) 18,733,553 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- (8,715,894) 288,827,959 73,191,505 282,250,572 (77,381,511) 355,809,401 7,333,260 28,773,643 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- (6,946,451) (5,553,651) (10,423,306) (14,484,287) -- (444,000) (1,423,676) (1,263,172) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 58,296,588 760,120,351 346,412,286 230,930,876 103,307,470 934,609,338 22,013,291 99,958,491 (59,725,358) (523,165,471) (263,739,809) (49,732,235) (116,115,402) (1,085,011,131) (35,984,683) (11,914,066) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- (1,428,770) 236,954,880 82,672,477 181,198,641 (12,807,932) (150,401,793) (13,971,392) 88,044,425 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- (17,091,115) 520,229,188 145,440,676 448,964,926 (90,189,443) 204,963,608 (8,061,808) 115,554,896 917,699,587 397,470,399 1,065,980,817 617,015,891 1,194,110,592 989,146,984 166,942,229 51,387,333 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 900,608,472 $ 917,699,587 $1,211,421,493 $1,065,980,817 $1,103,921,149 $1,194,110,592 $ 158,880,421 $ 166,942,229 ============== ============== ============== ============== ============== ============== ============== ============== 10,050,002 7,100,002 16,200,002 13,300,002 10,600,002 12,050,002 2,350,002 1,100,002 600,000 9,350,000 5,200,000 3,800,000 900,000 9,900,000 300,000 1,450,000 (650,000) (6,400,000) (4,000,000) (900,000) (1,050,000) (11,350,000) (500,000) (200,000) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 10,000,002 10,050,002 17,400,002 16,200,002 10,450,002 10,600,002 2,150,002 2,350,002 ============== ============== ============== ============== ============== ============== ============== ============== See Notes to Financial Statements Page 109 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) FIRST TRUST FIRST TRUST MULTI CAP GROWTH MID CAP VALUE ALPHADEX(R) FUND ALPHADEX(R) FUND (FAD) (FNK) ------------------------------- ------------------------------- Six Months Six Months Ended Ended 1/31/2022 Year Ended 1/31/2022 Year Ended (Unaudited) 7/31/2021 (Unaudited) 7/31/2021 -------------- -------------- -------------- -------------- OPERATIONS: Net investment income (loss).............................. $ 408,807 $ (183,248) $ 1,551,730 $ 1,017,456 Net realized gain (loss).................................. 6,893,665 64,948,003 11,687,213 9,721,030 Net change in unrealized appreciation (depreciation)...... (26,441,459) 7,972,067 (10,617,348) 12,493,205 -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from operations........................................ (19,138,987) 72,736,822 2,621,595 23,231,691 -------------- -------------- -------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations..................................... (240,030) (257,400) (1,532,626) (943,116) -------------- -------------- -------------- -------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold................................. 77,610,274 160,211,179 158,471,338 133,213,906 Cost of shares redeemed................................... (47,919,742) (181,828,533) (82,151,962) (49,365,250) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from shareholder transactions.......................... 29,690,532 (21,617,354) 76,319,376 83,848,656 -------------- -------------- -------------- -------------- Total increase (decrease) in net assets................... 10,311,515 50,862,068 77,408,345 106,137,231 NET ASSETS: Beginning of period....................................... 221,228,731 170,366,663 140,773,521 34,636,290 -------------- -------------- -------------- -------------- End of period............................................. $ 231,540,246 $ 221,228,731 $ 218,181,866 $ 140,773,521 ============== ============== ============== ============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period................... 1,850,002 2,050,002 3,150,002 1,250,002 Shares sold............................................... 650,000 1,550,000 3,400,000 3,100,000 Shares redeemed........................................... (400,000) (1,750,000) (1,800,000) (1,200,000) -------------- -------------- -------------- -------------- Shares outstanding, end of period......................... 2,100,002 1,850,002 4,750,002 3,150,002 ============== ============== ============== ============== Page 110 See Notes to Financial Statements FIRST TRUST FIRST TRUST FIRST TRUST MID CAP GROWTH SMALL CAP VALUE SMALL CAP GROWTH ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FNY) (FYT) (FYC) ------------------------------- ------------------------------- ------------------------------- Six Months Six Months Six Months Ended Ended Ended 1/31/2022 Year Ended 1/31/2022 Year Ended 1/31/2022 Year Ended (Unaudited) 7/31/2021 (Unaudited) 7/31/2021 (Unaudited) 7/31/2021 -------------- -------------- -------------- -------------- -------------- -------------- $ 104,213 $ (1,023,690) $ 1,801,319 $ 1,941,913 $ 2,249,559 $ 49,005 6,156,358 171,017,302 12,451,714 43,729,701 21,437,390 87,908,979 (54,461,060) (13,848,396) (9,723,073) 6,337,206 (47,467,676) 14,992,709 -------------- -------------- -------------- -------------- -------------- -------------- (48,200,489) 156,145,216 4,529,960 52,008,820 (23,780,727) 102,950,693 -------------- -------------- -------------- -------------- -------------- -------------- -- (1,105,830) (1,833,016) (1,841,246) (2,329,516) (269,720) -------------- -------------- -------------- -------------- -------------- -------------- 36,206,007 534,511,489 34,139,686 385,564,740 62,242,503 485,985,913 (91,006,801) (564,127,777) (63,332,798) (212,916,907) (137,032,946) (340,543,806) -------------- -------------- -------------- -------------- -------------- -------------- (54,800,794) (29,616,288) (29,193,112) 172,647,833 (74,790,443) 145,442,107 -------------- -------------- -------------- -------------- -------------- -------------- (103,001,283) 125,423,098 (26,496,168) 222,815,407 (100,900,686) 248,123,080 463,572,120 338,149,022 268,991,197 46,175,790 394,826,918 146,703,838 -------------- -------------- -------------- -------------- -------------- -------------- $ 360,570,837 $ 463,572,120 $ 242,495,029 $ 268,991,197 $ 293,926,232 $ 394,826,918 ============== ============== ============== ============== ============== ============== 6,300,002 6,600,002 5,350,002 1,500,002 5,550,002 3,300,002 500,000 8,350,000 650,000 8,200,000 850,000 7,450,000 (1,300,000) (8,650,000) (1,250,000) (4,350,000) (1,950,000) (5,200,000) -------------- -------------- -------------- -------------- -------------- -------------- 5,500,002 6,300,002 4,750,002 5,350,002 4,450,002 5,550,002 ============== ============== ============== ============== ============== ============== See Notes to Financial Statements Page 111 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2022 ------------------------------------------------------------------- (UNAUDITED) 2021 2020 2019 2018 2017 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 86.85 $ 62.29 $ 62.11 $ 60.79 $ 54.07 $ 46.93 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.46 0.71 0.93 0.77 0.69 0.61 Net realized and unrealized gain (loss) 0.19 24.55 0.20 1.28 6.69 7.16 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 0.65 25.26 1.13 2.05 7.38 7.77 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.49) (0.70) (0.95) (0.73) (0.66) (0.63) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 87.01 $ 86.85 $ 62.29 $ 62.11 $ 60.79 $ 54.07 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 0.73% 40.77% 1.95% 3.48% 13.72% 16.68% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,179,034 $1,189,909 $ 924,980 $1,434,679 $1,540,924 $1,554,447 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.59% (b) 0.59% 0.59% 0.60% 0.61% 0.61% Ratio of net expenses to average net assets 0.59% (b) 0.59% 0.59% 0.60% 0.61% 0.61% Ratio of net investment income (loss) to average net assets 1.02% (b) 0.94% 1.49% 1.29% 1.17% 1.21% Portfolio turnover rate (c) 44% 91% 104% 102% 87% 90% FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2022 ------------------------------------------------------------------- (UNAUDITED) 2021 2020 2019 2018 2017 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 99.26 $ 64.83 $ 69.86 $ 69.63 $ 59.91 $ 52.80 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.63 0.70 0.85 0.63 0.61 0.56 Net realized and unrealized gain (loss) (2.63) 34.51 (4.93) 0.16 9.71 7.12 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations (2.00) 35.21 (4.08) 0.79 10.32 7.68 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.78) (0.78) (0.95) (0.56) (0.60) (0.57) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 96.48 $ 99.26 $ 64.83 $ 69.86 $ 69.63 $ 59.91 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) (2.03)% 54.62% (5.86)% 1.22% 17.30% 14.61% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,003,430 $1,027,303 $ 589,912 $ 887,176 $ 901,732 $ 697,995 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.59% (b) 0.59% 0.60% 0.61% 0.62% 0.63% Ratio of net expenses to average net assets 0.59% (b) 0.59% 0.60% 0.61% 0.62% 0.63% Ratio of net investment income (loss) to average net assets 1.23% (b) 0.79% 1.32% 0.94% 0.94% 1.00% Portfolio turnover rate (c) 46% 114% 115% 114% 101% 103% (a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (b) Annualized. (c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 112 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2022 ------------------------------------------------------------------- (UNAUDITED) 2021 2020 2019 2018 2017 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 91.31 $ 55.98 $ 61.84 $ 66.80 $ 56.23 $ 48.91 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.68 0.61 0.51 0.60 0.52 0.41 Net realized and unrealized gain (loss) (1.24) 35.35 (5.75) (4.98) 10.53 7.40 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations (0.56) 35.96 (5.24) (4.38) 11.05 7.81 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.69) (0.63) (0.62) (0.58) (0.48) (0.49) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 90.06 $ 91.31 $ 55.98 $ 61.84 $ 66.80 $ 56.23 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) (0.66)% 64.45% (8.55)% (6.52)% 19.72%(b) 16.03% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 900,608 $ 917,700 $ 397,470 $ 602,918 $ 728,102 $ 491,997 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.59% (c) 0.60% 0.61% 0.62% 0.63% 0.63% Ratio of net expenses to average net assets 0.59% (c) 0.60% 0.61% 0.62% 0.63% 0.63% Ratio of net investment income (loss) to average net assets 1.43% (c) 0.77% 0.93% 0.96% 0.87% 0.78% Portfolio turnover rate (d) 47% 116% 123% 117% 116% 111% FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2022 ------------------------------------------------------------------- (UNAUDITED) 2021 2020 2019 2018 2017 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 65.80 $ 46.39 $ 52.79 $ 54.07 $ 50.94 $ 41.98 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.60 1.01 1.11 1.02 1.02 0.77 Net realized and unrealized gain (loss) 3.86 19.41 (6.28) (1.43) 3.08 8.96 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 4.46 20.42 (5.17) (0.41) 4.10 9.73 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.64) (1.01) (1.23) (0.87) (0.97) (0.77) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 69.62 $ 65.80 $ 46.39 $ 52.79 $ 54.07 $ 50.94 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 6.81% 44.43% (9.84)% (0.65)% 8.12% 23.35% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,211,421 $1,065,981 $ 617,016 $1,166,569 $1,146,354 $1,056,997 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.59% (c) 0.59% 0.60% 0.60% 0.61% 0.62% Ratio of net expenses to average net assets 0.59% (c) 0.59% 0.60% 0.60% 0.61% 0.62% Ratio of net investment income (loss) to average net assets 1.76% (c) 1.76% 2.12% 1.99% 1.92% 1.63% Portfolio turnover rate (d) 37% 91% 94% 96% 82% 72% (a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (b) The Fund received a payment from the Advisor in the amount of $3,456,678 in connection with a broker error, which represents $0.38 per share. Since the Advisor reimbursed the Fund, there was no effect on the total return. (c) Annualized. (d) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. See Notes to Financial Statements Page 113 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2022 ------------------------------------------------------------------- (UNAUDITED) 2021 2020 2019 2018 2017 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 112.65 $ 82.09 $ 71.35 $ 66.91 $ 55.88 $ 51.56 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.05 (0.07) 0.55 0.37 0.23 0.33 Net realized and unrealized gain (loss) (7.06) 30.67 10.80 4.39 11.03 4.33 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations (7.01) 30.60 11.35 4.76 11.26 4.66 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income -- (0.04) (0.61) (0.32) (0.23) (0.34) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 105.64 $ 112.65 $ 82.09 $ 71.35 $ 66.91 $ 55.88 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) (6.22)% 37.30% 16.10% 7.16% 20.19% 9.10% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,103,921 $1,194,111 $ 989,147 $1,041,726 $ 899,998 $ 650,949 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.59% (b) 0.59% 0.60% 0.61% 0.61% 0.62% Ratio of net expenses to average net assets 0.59% (b) 0.59% 0.60% 0.61% 0.61% 0.62% Ratio of net investment income (loss) to average net assets 0.08% (b) (0.07)% 0.76% 0.56% 0.36% 0.63% Portfolio turnover rate (c) 58% 116% 138% 132% 119% 148% FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2022 ------------------------------------------------------------------- (UNAUDITED) 2021 2020 2019 2018 2017 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 71.04 $ 46.72 $ 54.39 $ 57.35 $ 52.84 $ 44.91 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.65 0.84 0.95 0.92 0.96 0.73 Net realized and unrealized gain (loss) 2.89 24.34 (7.54) (3.04) 4.45 7.96 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 3.54 25.18 (6.59) (2.12) 5.41 8.69 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.68) (0.86) (1.08) (0.84) (0.90) (0.76) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 73.90 $ 71.04 $ 46.72 $ 54.39 $ 57.35 $ 52.84 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 5.00% 54.35% (12.24)% (3.62)% 10.30% 19.46% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 158,880 $ 166,942 $ 51,387 $ 84,301 $ 91,766 $ 110,959 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.68% (b) 0.69% 0.74% 0.73% 0.70% 0.66% Ratio of net expenses to average net assets 0.68% (b) 0.69% 0.70% 0.70% 0.70% 0.66% Ratio of net investment income (loss) to average net assets 1.73% (b) 1.43% 1.86% 1.69% 1.67% 1.45% Portfolio turnover rate (c) 39% 92% 98% 96% 89% 81% (a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. For some periods, the total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (b) Annualized. (c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 114 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2022 ------------------------------------------------------------------- (UNAUDITED) 2021 2020 2019 2018 2017 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 119.58 $ 83.11 $ 75.90 $ 72.71 $ 59.33 $ 53.31 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.20 (0.11) 0.42 0.22 0.12 0.25 Net realized and unrealized gain (loss) (9.41) 36.71 7.27 3.14 13.40 6.04 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations (9.21) 36.60 7.69 3.36 13.52 6.29 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.11) (0.13) (0.48) (0.17) (0.14) (0.27) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 110.26 $ 119.58 $ 83.11 $ 75.90 $ 72.71 $ 59.33 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) (7.71)% 44.10% 10.23% 4.65% 22.82% 11.85% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 231,540 $ 221,229 $ 170,367 $ 185,955 $ 192,685 $ 103,829 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.62% (b) 0.63% 0.63% 0.66% 0.69% 0.70% Ratio of net expenses to average net assets 0.62% (b) 0.63% 0.63% 0.66% 0.69% 0.70% Ratio of net investment income (loss) to average net assets 0.32% (b) (0.09)% 0.56% 0.31% 0.18% 0.44% Portfolio turnover rate (c) 54% 104% 123% 130% 118% 142% (a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. For some periods, the total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (b) Annualized. (c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. See Notes to Financial Statements Page 115 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2022 ------------------------------------------------------------------- (UNAUDITED) 2021 2020 2019 2018 2017 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 44.69 $ 27.71 $ 34.67 $ 36.71 $ 33.65 $ 29.47 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.41 0.54 0.63 0.51 0.58 0.44 Net realized and unrealized gain (loss) 1.25 16.98 (6.86) (2.10) 3.04 4.17 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 1.66 17.52 (6.23) (1.59) 3.62 4.61 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.42) (0.54) (0.73) (0.45) (0.56) (0.43) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 45.93 $ 44.69 $ 27.71 $ 34.67 $ 36.71 $ 33.65 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 3.72% 63.76% (18.19)% (4.26)% 10.80% 15.72% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 218,182 $ 140,774 $ 34,636 $ 55,473 $ 49,565 $ 57,201 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% (b) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net expenses to average net assets 0.70% (b) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 1.85% (b) 1.33% 2.04% 1.49% 1.61% 1.31% Portfolio turnover rate (c) 36% 102% 107% 113% 94% 95% FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2022 ------------------------------------------------------------------- (UNAUDITED) 2021 2020 2019 2018 2017 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 73.58 $ 51.23 $ 46.59 $ 43.80 $ 35.07 $ 31.22 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.02 (d) (0.18) 0.11 0.04 0.03 0.15 Net realized and unrealized gain (loss) (8.04) 22.69 4.67 2.77 8.75 3.87 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations (8.02) 22.51 4.78 2.81 8.78 4.02 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income -- (0.16) (0.14) (0.02) (0.05) (0.17) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 65.56 $ 73.58 $ 51.23 $ 46.59 $ 43.80 $ 35.07 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) (10.90)% 44.02% 10.28% 6.43% 25.06% 12.94% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 360,571 $ 463,572 $ 338,149 $ 309,826 $ 214,639 $ 94,700 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% (b) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net expenses to average net assets 0.70% (b) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 0.05% (b) (0.24)% 0.23% 0.09% 0.02% 0.48% Portfolio turnover rate (c) 64% 138% 135% 144% 124% 153% (a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (b) Annualized. (c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. (d) Based on average shares outstanding. Page 116 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2022 ------------------------------------------------------------------- (UNAUDITED) 2021 2020 2019 2018 2017 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 50.28 $ 30.78 $ 34.66 $ 38.98 $ 34.33 $ 30.19 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.41 0.45 0.38 0.57 0.48 0.41 Net realized and unrealized gain (loss) 0.77 19.52 (3.75) (4.36) 4.60 4.23 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 1.18 19.97 (3.37) (3.79) 5.08 4.64 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.41) (0.47) (0.51) (0.53) (0.43) (0.50) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 51.05 $ 50.28 $ 30.78 $ 34.66 $ 38.98 $ 34.33 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 2.34% 65.22% (9.83)% (9.69)% 14.86%(b) 15.41% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 242,495 $ 268,991 $ 46,176 $ 60,659 $ 76,003 $ 61,802 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% (c) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net expenses to average net assets 0.70% (c) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 1.54% (c) 1.08% 1.18% 1.58% 1.28% 1.22% Portfolio turnover rate (d) 42% 109% 120% 120% 123% 110% FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) SIX MONTHS ENDED YEAR ENDED JULY 31, 1/31/2022 ------------------------------------------------------------------- (UNAUDITED) 2021 2020 2019 2018 2017 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 71.14 $ 44.46 $ 46.87 $ 48.79 $ 38.83 $ 33.24 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.45 0.03 0.17 0.02 0.06 0.05 Net realized and unrealized gain (loss) (5.07) 26.72 (2.40) (1.93) 9.97 5.63 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations (4.62) 26.75 (2.23) (1.91) 10.03 5.68 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.47) (0.07) (0.18) (0.01) (0.07) (0.09) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 66.05 $ 71.14 $ 44.46 $ 46.87 $ 48.79 $ 38.83 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) (6.57)% 60.24% (4.79)% (3.90)% 25.85%(e) 17.12% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 293,926 $ 394,827 $ 146,704 $ 278,851 $ 361,010 $ 116,483 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% (c) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net expenses to average net assets 0.70% (c) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 1.24% (c) 0.02% 0.44% 0.04% 0.11% 0.12% Portfolio turnover rate (d) 62% 151% 137% 152% 141% 162% (a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (b) The Fund received a payment from the Advisor in the amount of $519,907 in connection with a broker error, which represents $0.27 per share. Since the Advisor reimbursed the Fund, there was no effect on the total return. (c) Annualized. (d) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. (e) The Fund received a payment from the Advisor in the amount of $1,053,251 in connection with a broker error, which represents $0.25 per share. Since the Advisor reimbursed the Fund, there was no effect on the total return. (e) The Fund received a payment from the Advisor in the amount of $1,053,251 in connection with a broker error, which represents $0.25 per share. Since the Advisor reimbursed the Fund, there was no effect on the total return. See Notes to Financial Statements Page 117 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2022 (UNAUDITED) 1. ORGANIZATION First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") is an open-end management investment company organized as a Massachusetts business trust on December 6, 2006, and is registered with the Securities and Exchange Commission under the Investment Company Act of 1940, as amended (the "1940 Act"). The Trust currently consists of twenty exchange-traded funds considered either a Sector Fund or a Style Fund. This report covers the eleven Style Funds (each a "Fund" and collectively, the "Funds") listed below. The shares of each Style Fund are listed and traded on The Nasdaq Stock Market LLC ("Nasdaq"). First Trust Large Cap Core AlphaDEX(R) Fund - (ticker "FEX") First Trust Mid Cap Core AlphaDEX(R) Fund - (ticker "FNX") First Trust Small Cap Core AlphaDEX(R) Fund - (ticker "FYX") First Trust Large Cap Value AlphaDEX(R) Fund - (ticker "FTA") First Trust Large Cap Growth AlphaDEX(R) Fund - (ticker "FTC") First Trust Multi Cap Value AlphaDEX(R) Fund - (ticker "FAB") First Trust Multi Cap Growth AlphaDEX(R) Fund - (ticker "FAD") First Trust Mid Cap Value AlphaDEX(R) Fund - (ticker "FNK") First Trust Mid Cap Growth AlphaDEX(R) Fund - (ticker "FNY") First Trust Small Cap Value AlphaDEX(R) Fund - (ticker "FYT") First Trust Small Cap Growth AlphaDEX(R) Fund (ticker "FYC") Each Fund represents a separate series of shares of beneficial interest in the Trust. Unlike conventional mutual funds, each Fund issues and redeems shares on a continuous basis, at net asset value ("NAV"), only in large blocks of shares known as "Creation Units." The investment objective of each Fund is to seek investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of the following indices: FUND INDEX First Trust Large Cap Core AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Large Cap Core Index First Trust Mid Cap Core AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Mid Cap Core Index First Trust Small Cap Core AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Small Cap Core Index First Trust Large Cap Value AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Large Cap Value Index First Trust Large Cap Growth AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Large Cap Growth Index First Trust Multi Cap Value AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Multi Cap Value Index First Trust Multi Cap Growth AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Multi Cap Growth Index First Trust Mid Cap Value AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Mid Cap Value Index First Trust Mid Cap Growth AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Mid Cap Growth Index First Trust Small Cap Value AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Small Cap Value Index First Trust Small Cap Growth AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Small Cap Growth Index 2. SIGNIFICANT ACCOUNTING POLICIES The Funds are each considered an investment company and follow accounting and reporting guidance under Financial Accounting Standards Board Accounting Standards Codification Topic 946, "Financial Services-Investment Companies." The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of the financial statements. The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America ("U.S. GAAP") requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. A. PORTFOLIO VALUATION Each Fund's NAV is determined daily as of the close of regular trading on the New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. If the NYSE closes early on a valuation day, the NAV is determined as of that time. Each Fund's NAV is calculated by dividing the value of all assets of each Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding. Each Fund's investments are valued daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value. Market value prices represent last sale or official closing prices from a national or foreign exchange (i.e., a regulated market) and are primarily obtained from third-party pricing services. Fair value prices represent any prices not Page 118 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2022 (UNAUDITED) considered market value prices and are either obtained from a third-party pricing service or are determined by the Pricing Committee of the Funds' investment advisor, First Trust Advisors L.P. ("First Trust" or the "Advisor"), in accordance with valuation procedures adopted by the Trust's Board of Trustees, and in accordance with provisions of the 1940 Act. Investments valued by the Advisor's Pricing Committee, if any, are footnoted as such in the footnotes to the Portfolio of Investments. Each Fund's investments are valued as follows: Common stocks and other equity securities listed on any national or foreign exchange (excluding Nasdaq and the London Stock Exchange Alternative Investment Market ("AIM")) are valued at the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the securities exchange representing the principal market for such securities. Shares of open-end funds are valued at fair value which is based on NAV per share. Securities traded in an over-the-counter market are fair valued at the mean of their most recent bid and asked price, if available, and otherwise at their closing bid price. Overnight repurchase agreements are valued at amortized cost when it represents the best estimate of fair value. Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Trust's Board of Trustees or its delegate, the Advisor's Pricing Committee, at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a third-party pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market or fair value price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund's NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the third-party pricing service, does not reflect the security's fair value. As a general principle, the current fair value of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. When fair value prices are used, generally they will differ from market quotations or official closing prices on the applicable exchanges. A variety of factors may be considered in determining the fair value of such securities, including, but not limited to, the following: 1) the type of security; 2) the size of the holding; 3) the initial cost of the security; 4) transactions in comparable securities; 5) price quotes from dealers and/or third-party pricing services; 6) relationships among various securities; 7) information obtained by contacting the issuer, analysts, or the appropriate stock exchange; 8) an analysis of the issuer's financial statements; and 9) the existence of merger proposals or tender offers that might affect the value of the security. In addition, differences between the prices used to calculate a Fund's NAV and the prices used by such Fund's corresponding index could result in a difference between a Fund's performance and the performance of its underlying index. The Funds are subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows: o Level 1 - Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. o Level 2 - Level 2 inputs are observable inputs, either directly or indirectly, and include the following: o Quoted prices for similar investments in active markets. o Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. o Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). o Inputs that are derived principally from or corroborated by observable market data by correlation or other means. Page 119 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2022 (UNAUDITED) o Level 3 - Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity's own assumptions about the assumptions that market participants would use in pricing the investment. The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value each Fund's investments as of January 31, 2022, is included with each Fund's Portfolio of Investments. B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, if any, is recorded on the accrual basis. Withholding taxes and tax reclaims on foreign dividends have been provided for in accordance with each Fund's understanding of the applicable country's tax rules and rates. Distributions received from a Fund's investments in real estate investment trusts ("REITs") may be comprised of return of capital, capital gains and income. The actual character of the amounts received during the year is not known until after the REITs' fiscal year end. A Fund records the character of distributions received from the REITs during the year based on estimates available. The characterization of distributions received by a Fund may be subsequently revised based on information received from the REITs after their tax reporting periods conclude. C. OFFSETTING ON THE STATEMENTS OF ASSETS AND LIABILITIES Offsetting Assets and Liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset on the Statements of Assets and Liabilities, and disclose instruments and transactions subject to master netting or similar agreements. These disclosure requirements are intended to help investors and other financial statement users better assess the effect or potential effect of offsetting arrangements on a fund's financial position. The transactions subject to offsetting disclosures are derivative instruments, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions. This disclosure, if applicable, is included within each Fund's Portfolio of Investments under the heading "Offsetting Assets and Liabilities." For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting arrangements ("MNAs") or similar agreements on the Statements of Assets and Liabilities. MNAs provide the right, in the event of default (including bankruptcy and insolvency), for the non-defaulting counterparty to liquidate the collateral and calculate the net exposure to the defaulting party or request additional collateral. D. SECURITIES LENDING The Funds may lend securities representing up to 33 1/3% of the value of their total assets to broker-dealers, banks and other institutions to generate additional income. When a Fund loans its portfolio securities, it will receive, at the inception of each loan, collateral equal to at least 102% (for domestic securities) or 105% (for international securities) of the market value of the loaned securities. The collateral amount is valued at the beginning of each business day and is compared to the market value of the loaned securities from the prior business day to determine if additional collateral is required. If additional collateral is required, a request is sent to the borrower. Securities lending involves the risk that the Fund may lose money because the borrower of the Fund's loaned securities fails to return the securities in a timely manner or at all. The Fund could also lose money in the event of (i) a decline in the value of the collateral provided for the loaned securities, (ii) a decline in the value of any investments made with cash collateral or (iii) an increase in the value of the loaned securities if the borrower does not increase the collateral accordingly and the borrower fails to return the securities. These events could also trigger adverse tax consequences for the Funds. Under the Funds' Securities Lending Agency Agreement, the securities lending agent will generally bear the risk that a borrower may default on its obligation to return loaned securities. Brown Brothers Harriman & Co. ("BBH") acts as the Funds' securities lending agent and is responsible for executing the lending of the portfolio securities to creditworthy borrowers with the exception of FYC. The Bank of New York Mellon ("BNYM") acts as FYC's securities lending agent and is responsible for executing the lending of the portfolio securities to creditworthy borrowers. The Funds, however, will be responsible for the risks associated with the investment of cash collateral. A Fund may lose money on its investment of cash collateral, which may affect its ability to repay the collateral to the borrower without the use of other Fund assets. Each Fund that engages in securities lending receives compensation (net of any rebate and securities lending agent fees) for lending its securities. Compensation can be in the form of fees received from the securities lending agent or dividends or interest earned from the investment of cash collateral. The fees received from the securities lending agent are accrued daily. The dividend and interest earned on the securities loaned is accounted for in the same manner as other dividend and interest income. At January 31, 2022, all the Funds except FEX, FTA and FTC had securities in the securities lending program. During the six months ended January 31, 2022, all the Funds participated in the securities lending program. Page 120 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2022 (UNAUDITED) In the event of a default by a borrower with respect to any loan, BBH or BNYM will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If, despite such efforts by BBH and BNYM to exercise these remedies, a Fund sustains losses as a result of a borrower's default, BBH or BNYM will indemnify the Fund by purchasing replacement securities at its own expense, or paying the Fund an amount equal to the market value of the replacement securities, subject to certain limitations which are set forth in detail in the Securities Lending Agency Agreement between the Trust on behalf of the Funds and BBH or BNYM. E. REPURCHASE AGREEMENTS Repurchase agreements involve the purchase of securities subject to the seller's agreement to repurchase the securities at a mutually agreed upon date and price, under the terms of a Master Repurchase Agreement ("MRA"). During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of a Fund, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. The underlying securities for all repurchase agreements are held at the Funds' custodian or designated sub-custodians under tri-party repurchase agreements. MRAs govern transactions between a Fund and select counterparties. The MRAs contain provisions for, among other things, initiation, income payments, events of default, and maintenance of collateral for repurchase agreements. Repurchase agreements received for lending securities are collateralized by U.S. Treasury securities. The U.S. Treasury securities are held in a joint custody account at BBH or BNYM on behalf of the Funds participating in the securities lending program. In the event the counterparty defaults on the repurchase agreement, the U.S. Treasury securities can either be maintained as part of a Fund's portfolio or sold for cash. A Fund could suffer a loss to the extent that the proceeds from the sale of the underlying collateral held by the Fund are less than the repurchase price and the Fund's costs associated with the delay and enforcement of the MRA. While the Funds may invest in repurchase agreements, any repurchase agreements held by the Funds during the six months ended January 31, 2022, were received as collateral for lending securities. F. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS Dividends from net investment income of each Fund, if any, are declared and paid quarterly, or as the Board of Trustees may determine from time to time. Distributions of net realized gains earned by each Fund, if any, are distributed at least annually. Distributions from net investment income and realized capital gains are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These permanent differences are primarily due to the varying treatment of income and gain/loss on significantly modified portfolio securities held by the Funds and have no impact on net assets or NAV per share. Temporary differences, which arise from recognizing certain items of income, expense and gain/loss in different periods for financial statement and tax purposes, will reverse at some time in the future. The tax character of distributions paid by each Fund during the fiscal year ended July 31, 2021, was as follows: Distributions paid from Distributions paid from Distributions paid from Ordinary Income Capital Gains Return of Capital ----------------------- ----------------------- ----------------------- First Trust Large Cap Core AlphaDEX(R) Fund $ 9,797,516 $ -- $ -- First Trust Mid Cap Core AlphaDEX(R) Fund 7,128,332 -- -- First Trust Small Cap Core AlphaDEX(R) Fund 5,553,651 -- -- First Trust Large Cap Value AlphaDEX(R) Fund 14,484,287 -- -- First Trust Large Cap Growth AlphaDEX(R) Fund 444,000 -- -- First Trust Multi Cap Value AlphaDEX(R) Fund 1,263,172 -- -- First Trust Multi Cap Growth AlphaDEX(R) Fund 257,400 -- -- First Trust Mid Cap Value AlphaDEX(R) Fund 943,116 -- -- First Trust Mid Cap Growth AlphaDEX(R) Fund 1,105,830 -- -- First Trust Small Cap Value AlphaDEX(R) Fund 1,841,246 -- -- First Trust Small Cap Growth AlphaDEX(R) Fund 269,720 -- -- Page 121 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2022 (UNAUDITED) As of July 31, 2021, the components of distributable earnings on a tax basis for each Fund were as follows: Accumulated Undistributed Capital and Net Unrealized Ordinary Other Appreciation Income Gain (Loss) (Depreciation) ----------------------- ----------------------- ----------------------- First Trust Large Cap Core AlphaDEX(R) Fund $ 1,049,775 $ (303,084,751) $ 220,860,126 First Trust Mid Cap Core AlphaDEX(R) Fund 2,028,628 (247,079,697) 171,605,539 First Trust Small Cap Core AlphaDEX(R) Fund 402,457 (274,336,950) 116,383,070 First Trust Large Cap Value AlphaDEX(R) Fund 1,665,771 (242,439,226) 154,059,046 First Trust Large Cap Growth AlphaDEX(R) Fund (372,692) (180,097,920) 255,709,298 First Trust Multi Cap Value AlphaDEX(R) Fund 177,769 (36,126,007) 15,232,553 First Trust Multi Cap Growth AlphaDEX(R) Fund (142,880) (39,788,845) 46,552,682 First Trust Mid Cap Value AlphaDEX(R) Fund 127,956 (27,908,554) 7,910,927 First Trust Mid Cap Growth AlphaDEX(R) Fund (1,059,445) (85,780,406) 56,445,500 First Trust Small Cap Value AlphaDEX(R) Fund 191,228 (40,835,627) 4,035,388 First Trust Small Cap Growth AlphaDEX(R) Fund (14,356) (121,019,011) 38,650,038 G. INCOME TAXES Each Fund intends to continue to qualify as a regulated investment company by complying with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended, which includes distributing substantially all of its net investment income and net realized gains to shareholders. Accordingly, no provision has been made for federal and state income taxes. However, due to the timing and amount of distributions, each Fund may be subject to an excise tax of 4% of the amount by which approximately 98% of each Fund's taxable income exceeds the distributions from such taxable income for the calendar year. The Funds are subject to accounting standards that establish a minimum threshold for recognizing, and a system for measuring, the benefits of a tax position taken or expected to be taken in a tax return. The taxable years ended 2018, 2019, 2020, and 2021 remain open to federal and state audit. As of January 31, 2022, management has evaluated the application of these standards to the Funds, and has determined that no provision for income tax is required in the Funds' financial statements for uncertain tax positions. Each Fund intends to utilize provisions of the federal income tax laws, which allow it to carry a realized capital loss forward indefinitely following the year of the loss and offset such loss against any future realized capital gains. Each Fund is subject to certain limitations under U.S. tax rules on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership. At July 31, 2021, for federal income tax purposes, each applicable Fund had a capital loss carryforward available that is shown in the table below, to the extent provided by regulations, to offset future capital gains. To the extent that these loss carryforwards are used to offset future capital gains, it is probable that the capital gains so offset will not be distributed to each applicable Fund's shareholders. Non-Expiring Capital Loss Carryforward --------------------- First Trust Large Cap Core AlphaDEX(R) Fund $ 303,084,751 First Trust Mid Cap Core AlphaDEX(R) Fund 247,079,697 First Trust Small Cap Core AlphaDEX(R) Fund 274,336,950 First Trust Large Cap Value AlphaDEX(R) Fund 242,439,226 First Trust Large Cap Growth AlphaDEX(R) Fund 180,097,920 First Trust Multi Cap Value AlphaDEX(R) Fund 36,126,007 First Trust Multi Cap Growth AlphaDEX(R) Fund 39,788,845 First Trust Mid Cap Value AlphaDEX(R) Fund 27,908,554 First Trust Mid Cap Growth AlphaDEX(R) Fund 85,780,406 First Trust Small Cap Value AlphaDEX(R) Fund 40,835,627 First Trust Small Cap Growth AlphaDEX(R) Fund 121,019,011 Page 122 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2022 (UNAUDITED) During the taxable year ended July 31, 2021, the following Funds utilized capital loss carryforwards in the following amounts: Capital Loss Carryforward Utilized --------------------- First Trust Large Cap Core AlphaDEX(R) Fund $ 29,292,111 First Trust Mid Cap Core AlphaDEX(R) Fund 19,934,641 First Trust Small Cap Core AlphaDEX(R) Fund 20,317,248 First Trust Large Cap Value AlphaDEX(R) Fund 65,638,208 First Trust Large Cap Growth AlphaDEX(R) Fund 10,654,938 First Trust Multi Cap Value AlphaDEX(R) Fund 6,043,006 First Trust Multi Cap Growth AlphaDEX(R) Fund 2,805,004 First Trust Mid Cap Value AlphaDEX(R) Fund -- First Trust Mid Cap Growth AlphaDEX(R) Fund -- First Trust Small Cap Value AlphaDEX(R) Fund -- First Trust Small Cap Growth AlphaDEX(R) Fund -- Certain losses realized during the current fiscal year may be deferred and treated as occurring on the first day of the following fiscal year for federal income tax purposes. For the fiscal year ended July 31, 2021, the following Funds listed below incurred and elected to defer net late year ordinary or capital losses as follows: Qualified Late Year Losses ------------------------------------- Ordinary Losses Capital Losses --------------- -------------- First Trust Large Cap Growth AlphaDEX(R) Fund $ 372,692 $ -- First Trust Multi Cap Growth AlphaDEX(R) Fund 142,880 -- First Trust Mid Cap Growth AlphaDEX(R) Fund 1,059,445 -- First Trust Small Cap Growth AlphaDEX(R) Fund 14,356 -- As of January 31, 2022, the aggregate cost, gross unrealized appreciation, gross unrealized depreciation, and net unrealized appreciation/(depreciation) on investments (including short positions and derivatives, if any) for federal income tax purposes were as follows: GROSS GROSS NET UNREALIZED UNREALIZED UNREALIZED APPRECIATION TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION) ---------------------------------------------------------------------- First Trust Large Cap Core AlphaDEX(R) Fund $ 1,011,442,342 $ 184,298,603 $ (16,867,697) $ 167,430,906 First Trust Mid Cap Core AlphaDEX(R) Fund 896,669,795 144,969,903 (30,554,751) 114,415,152 First Trust Small Cap Core AlphaDEX(R) Fund 842,455,478 111,312,582 (44,150,912) 67,161,670 First Trust Large Cap Value AlphaDEX(R) Fund 1,069,085,782 157,999,086 (16,069,955) 141,929,131 First Trust Large Cap Growth AlphaDEX(R) Fund 979,654,714 145,853,918 (21,484,651) 124,369,267 First Trust Multi Cap Value AlphaDEX(R) Fund 151,439,167 13,163,265 (5,254,458) 7,908,807 First Trust Multi Cap Growth AlphaDEX(R) Fund 211,205,840 29,992,974 (8,935,175) 21,057,799 First Trust Mid Cap Value AlphaDEX(R) Fund 221,797,211 6,032,783 (8,294,558) (2,261,775) First Trust Mid Cap Growth AlphaDEX(R) Fund 357,059,817 32,598,733 (26,502,807) 6,095,926 First Trust Small Cap Value AlphaDEX(R) Fund 245,330,324 11,629,842 (14,635,161) (3,005,319) First Trust Small Cap Growth AlphaDEX(R) Fund 305,291,009 21,789,692 (29,082,849) (7,293,157) H. EXPENSES Expenses that are directly related to one of the Funds are charged directly to the respective Fund, except for the First Trust Mid Cap Value AlphaDEX(R) Fund, First Trust Mid Cap Growth AlphaDEX(R) Fund, First Trust Small Cap Value AlphaDEX(R) Fund and First Trust Small Cap Growth AlphaDEX(R) Fund (the "Unitary Fee Funds"), for which expenses other than excluded expenses (discussed in Note 3) are paid by the Advisor. General expenses of the Trust are allocated to all the Funds based upon the net assets of each Fund. First Trust Portfolios L.P. ("FTP") has entered into licensing agreements with Nasdaq, Inc. for each of the Style Funds. The license agreements allow for the use by FTP of certain trademarks and trade names. The Funds and First Trust are sub-licensees to the applicable license agreement. The Funds, except for the Unitary Fee Funds, are required to pay licensing fees, which are shown on the Statements of Operations. The licensing fees for the Unitary Fee Funds are paid by First Trust from the unitary investment advisory fees it receives from each of these Funds. Page 123 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2022 (UNAUDITED) 3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS First Trust, the investment advisor to the Funds, is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. The Charger Corporation is an Illinois corporation controlled by James A. Bowen, Chief Executive Officer of First Trust. First Trust is responsible for the selection and ongoing monitoring of the securities in each Fund's portfolio, managing the Funds' business affairs and providing certain administrative services necessary for the management of the Funds. For the Unitary Fee Funds, First Trust is paid an annual unitary management fee of 0.70% of such Fund's average daily net assets and is responsible for the expenses of such Fund including the cost of transfer agency, custody, fund administration, legal, audit, license and other services, and excluding fee payments under the Investment Management Agreement, distribution and service fees pursuant to a Rule 12b-1 plan, if any, brokerage expenses, acquired fund fees and expenses, taxes, interest, and extraordinary expenses. For the First Trust Large Cap Core AlphaDEX(R) Fund, First Trust Mid Cap Core AlphaDEX(R) Fund, First Trust Small Cap Core AlphaDEX(R) Fund, First Trust Large Cap Value AlphaDEX(R) Fund, First Trust Large Cap Growth AlphaDEX(R) Fund, First Trust Multi Cap Value AlphaDEX(R) Fund and First Trust Multi Cap Growth AlphaDEX(R) Fund, First Trust is paid an annual management fee of 0.50% of each Fund's average daily net assets. For such Funds, the Trust and First Trust have entered into an Expense Reimbursement, Fee Waiver and Recovery Agreement ("Recovery Agreement") in which First Trust has agreed to waive fees and/or reimburse Fund expenses to the extent that the operating expenses of each such Fund (excluding interest expense, brokerage commissions and other trading expenses, acquired fund fees and expenses, taxes and extraordinary expenses) exceed 0.70% of average daily net assets per year (the "Expense Cap"). These Funds will have the Expense Cap in effect until at least November 30, 2022. Expenses reimbursed and fees waived by First Trust under the Recovery Agreement are subject to recovery by First Trust for up to three years from the date the fee or expense was incurred, but no reimbursement payment will be made by a Fund if it results in the Fund's expenses exceeding (i) the applicable expense limitation in place for the most recent fiscal year for which such expense limitation was in place, (ii) the applicable expense limitation in place at the time the fees were waived, or (iii) the current expense limitation. These amounts would be included in "Expenses previously waived or reimbursed" on the Statements of Operations. For the six months ended January 31, 2022, there were no fees waived or expenses reimbursed by First Trust for the Funds. During the six months ended January 31, 2022, First Trust recovered fees that were previously waived from First Trust Multi Cap Value AlphaDEX(R) Fund of $33,031. As of January 31, 2022, the First Trust Multi Cap Value AlphaDEX(R) Fund did not have any remaining fees previously waived or expenses reimbursed that were subject to recovery. The Trust has multiple service agreements with BNYM. Under the service agreements, BNYM performs custodial, fund accounting, certain administrative services, and transfer agency services for each Fund. As custodian, BNYM is responsible for custody of each Fund's assets. As fund accountant and administrator, BNYM is responsible for maintaining the books and records of each Fund's securities and cash. As transfer agent, BNYM is responsible for maintaining shareholder records for each Fund. BNYM is a subsidiary of The Bank of New York Mellon Corporation, a financial holding company. Each Trustee who is not an officer or employee of First Trust, any sub-advisor or any of their affiliates ("Independent Trustees") is paid a fixed annual retainer that is allocated equally among each fund in the First Trust Fund Complex. Each Independent Trustee is also paid an annual per fund fee that varies based on whether the fund is a closed-end or other actively managed fund, a defined-outcome fund or an index fund. Additionally, the Lead Independent Trustee and the Chairs of the Audit Committee, Nominating and Governance Committee and Valuation Committee are paid annual fees to serve in such capacities, with such compensation allocated pro rata among each fund in the First Trust Fund Complex based on net assets. Independent Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The Lead Independent Trustee and Committee Chairs rotate every three years. The officers and "Interested" Trustee receive no compensation from the Trust for acting in such capacities. Page 124 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2022 (UNAUDITED) 4. PURCHASES AND SALES OF SECURITIES For the six months ended January 31, 2022, the cost of purchases and proceeds from sales of investments for each Fund, excluding short-term investments and in-kind transactions, were as follows: Purchases Sales --------------- --------------- First Trust Large Cap Core AlphaDEX(R) Fund $ 524,754,874 $ 524,561,325 First Trust Mid Cap Core AlphaDEX(R) Fund 473,749,250 474,628,076 First Trust Small Cap Core AlphaDEX(R) Fund 445,964,958 446,177,346 First Trust Large Cap Value AlphaDEX(R) Fund 410,956,044 409,988,833 First Trust Large Cap Growth AlphaDEX(R) Fund 729,225,543 729,507,408 First Trust Multi Cap Value AlphaDEX(R) Fund 60,042,992 60,113,038 First Trust Multi Cap Growth AlphaDEX(R) Fund 132,016,689 131,666,114 First Trust Mid Cap Value AlphaDEX(R) Fund 59,808,888 59,604,514 First Trust Mid Cap Growth AlphaDEX(R) Fund 280,260,135 280,341,284 First Trust Small Cap Value AlphaDEX(R) Fund 97,614,861 97,841,866 First Trust Small Cap Growth AlphaDEX(R) Fund 219,755,986 219,990,393 For the six months ended January 31, 2022, the cost of in-kind purchases and proceeds from in-kind sales for each Fund were as follows: Purchases Sales --------------- --------------- First Trust Large Cap Core AlphaDEX(R) Fund $ 36,084,123 $ 47,785,751 First Trust Mid Cap Core AlphaDEX(R) Fund 39,295,596 35,000,133 First Trust Small Cap Core AlphaDEX(R) Fund 58,226,695 59,658,718 First Trust Large Cap Value AlphaDEX(R) Fund 345,763,634 263,815,727 First Trust Large Cap Growth AlphaDEX(R) Fund 103,161,687 115,983,417 First Trust Multi Cap Value AlphaDEX(R) Fund 21,962,874 35,879,419 First Trust Multi Cap Growth AlphaDEX(R) Fund 77,467,091 47,800,513 First Trust Mid Cap Value AlphaDEX(R) Fund 158,010,151 82,046,303 First Trust Mid Cap Growth AlphaDEX(R) Fund 36,187,349 90,891,637 First Trust Small Cap Value AlphaDEX(R) Fund 34,067,011 63,144,965 First Trust Small Cap Growth AlphaDEX(R) Fund 62,180,324 136,787,829 5. CREATIONS, REDEMPTIONS AND TRANSACTION FEES Each Fund generally issues and redeems its shares in primary market transactions through a creation and redemption mechanism and does not sell or redeem individual shares. Instead, financial entities known as "Authorized Participants" have contractual arrangements with a Fund or one of the Fund's service providers to purchase and redeem Fund shares directly with the Fund in large blocks of shares known as "Creation Units." Prior to the start of trading on every business day, a Fund publishes through the National Securities Clearing Corporation ("NSCC") the "basket" of securities, cash or other assets that it will accept in exchange for a Creation Unit of the Fund's shares. An Authorized Participant that wishes to effectuate a creation of a Fund's shares deposits with the Fund the "basket" of securities, cash or other assets identified by the Fund that day, and then receives the Creation Unit of the Fund's shares in return for those assets. After purchasing a Creation Unit, the Authorized Participant may continue to hold the Fund's shares or sell them in the secondary market. The redemption process is the reverse of the purchase process: the Authorized Participant redeems a Creation Unit of a Fund's shares for a basket of securities, cash or other assets. The combination of the creation and redemption process with secondary market trading in a Fund's shares and underlying securities provides arbitrage opportunities that are designed to help keep the market price of a Fund's shares at or close to the NAV per share of the Fund. Each Fund imposes fees in connection with the purchase of Creation Units. These fees may vary based upon various fact-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price for each Creation Unit will equal the daily NAV per share of a Fund times the number of shares in a Creation Unit, plus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees, stamp taxes and part or all of the spread between the expected bid and offer side of the market related to the securities comprising the creation basket. Each Fund also imposes fees in connection with the redemption of Creation Units. These fees may vary based upon various fact-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price received for each Creation Unit will equal the daily NAV per share of a Fund times the number Page 125 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2022 (UNAUDITED) of shares in a Creation Unit, minus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees, stamp taxes and part or all of the spread between the expected bid and offer side of the market related to the securities comprising the redemption basket. Investors who use the services of a broker or other such intermediary in addition to an Authorized Participant to effect a redemption of a Creation Unit may also be assessed an amount to cover the cost of such services. The redemption fee charged by a Fund will comply with Rule 22c-2 of the 1940 Act which limits redemption fees to no more than 2% of the value of the shares redeemed. 6. DISTRIBUTION PLAN The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are authorized to pay an amount up to 0.25% of their average daily net assets each year to reimburse FTP, the distributor of the Funds, for amounts expended to finance activities primarily intended to result in the sale of Creation Units or the provision of investor services. FTP may also use this amount to compensate securities dealers or other persons that are Authorized Participants for providing distribution assistance, including broker-dealer and shareholder support and educational and promotional services. No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual arrangement, no 12b-1 fees will be paid any time before November 30, 2022. 7. INDEMNIFICATION The Trust, on behalf of the Funds, has a variety of indemnification obligations under contracts with its service providers. The Trust's maximum exposure under these arrangements is unknown. However, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote. 8. SUBSEQUENT EVENTS Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements that have not already been disclosed. Page 126 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2022 (UNAUDITED) PROXY VOTING POLICIES AND PROCEDURES A description of the policies and procedures that the Trust uses to determine how to vote proxies and information on how each Fund voted proxies relating to its portfolio securities during the most recent 12-month period ended June 30 is available (1) without charge, upon request, by calling (800) 988-5891; (2) on each Fund's website at www.ftportfolios.com; and (3) on the Securities and Exchange Commission's ("SEC") website at www.sec.gov. PORTFOLIO HOLDINGS Each Fund files portfolio holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be publicly available on the SEC's website at www.sec.gov. Each Fund's complete schedule of portfolio holdings for the second and fourth quarters of each fiscal year is included in the semi-annual and annual reports to shareholders, respectively, and is filed with the SEC on Form N-CSR. The semi-annual and annual report for each Fund is available to investors within 60 days after the period to which it relates. Each Fund's Forms N-PORT and Forms N-CSR are available on the SEC's website listed above. RISK CONSIDERATIONS RISKS ARE INHERENT IN ALL INVESTING. CERTAIN GENERAL RISKS THAT MAY BE APPLICABLE TO A FUND ARE IDENTIFIED BELOW, BUT NOT ALL OF THE MATERIAL RISKS RELEVANT TO EACH FUND ARE INCLUDED IN THIS REPORT AND NOT ALL OF THE RISKS BELOW APPLY TO EACH FUND. THE MATERIAL RISKS OF INVESTING IN EACH FUND ARE SPELLED OUT IN ITS PROSPECTUS, STATEMENT OF ADDITIONAL INFORMATION AND OTHER REGULATORY FILINGS. BEFORE INVESTING, YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE, RISKS, CHARGES AND EXPENSES, AND READ EACH FUND'S PROSPECTUS AND STATEMENT OF ADDITIONAL INFORMATION CAREFULLY. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND. CONCENTRATION RISK. To the extent that a fund is able to invest a significant percentage of its assets in a single asset class or the securities of issuers within the same country, state, region, industry or sector, an adverse economic, business or political development may affect the value of the fund's investments more than if the fund were more broadly diversified. A fund that tracks an index will be concentrated to the extent the fund's corresponding index is concentrated. A concentration makes a fund more susceptible to any single occurrence and may subject the fund to greater market risk than a fund that is more broadly diversified. CREDIT RISK. Credit risk is the risk that an issuer of a security will be unable or unwilling to make dividend, interest and/or principal payments when due and the related risk that the value of a security may decline because of concerns about the issuer's ability to make such payments. CYBER SECURITY RISK. The funds are susceptible to potential operational risks through breaches in cyber security. A breach in cyber security refers to both intentional and unintentional events that may cause a fund to lose proprietary information, suffer data corruption or lose operational capacity. Such events could cause a fund to incur regulatory penalties, reputational damage, additional compliance costs associated with corrective measures and/or financial loss. In addition, cyber security breaches of a fund's third-party service providers, such as its administrator, transfer agent, custodian, or sub-advisor, as applicable, or issuers in which the fund invests, can also subject a fund to many of the same risks associated with direct cyber security breaches. DEFINED OUTCOME FUNDS RISK. To the extent a fund's investment strategy is designed to deliver returns tied to the price performance of an underlying ETF, an investor may not realize the returns the fund seeks to achieve if that investor does not hold shares for the entire target outcome period. In the event an investor purchases shares after the first day of the target outcome period or sells shares prior to the end of the target outcome period, the buffer that the fund seeks to provide against a decline in the value of the underlying ETF may not be available, the enhanced returns that the fund seeks to provide (if any) may not be available and the investor may not participate in a gain in the value of the underlying ETF up to the cap for the investor's investment period. Additionally, the fund will not participate in gains of the underlying ETF above the cap and a shareholder may lose their entire investment. If the fund seeks enhanced returns, there are certain time periods when the value of the fund may fall faster than the value of the underlying ETF, and it is very unlikely that, on any given day during which the underlying ETF share price increases in value, the fund's share price will increase at the same rate as the enhanced returns Page 127 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2022 (UNAUDITED) sought by the fund, which is designed for an entire target outcome period. Trading flexible exchange options involves risks different from, or possibly greater than, the risks associated with investing directly in securities, such as less liquidity and correlation and valuation risks. A fund may experience substantial downside from specific flexible exchange option positions and certain positions may expire worthless. DERIVATIVES RISK. To the extent a fund uses derivative instruments such as futures contracts, options contracts and swaps, the fund may experience losses because of adverse movements in the price or value of the underlying asset, index or rate, which may be magnified by certain features of the derivative. These risks are heightened when a fund's portfolio managers use derivatives to enhance the fund's return or as a substitute for a position or security, rather than solely to hedge (or offset) the risk of a position or security held by the fund. EQUITY SECURITIES RISK. To the extent a fund invests in equity securities, the value of the fund's shares will fluctuate with changes in the value of the equity securities. Equity securities prices fluctuate for several reasons, including changes in investors' perceptions of the financial condition of an issuer or the general condition of the relevant stock market, such as market volatility, or when political or economic events affecting the issuers occur. In addition, common stock prices may be particularly sensitive to rising interest rates, as the cost of capital rises and borrowing costs increase. Equity securities may decline significantly in price over short or extended periods of time, and such declines may occur in the equity market as a whole, or they may occur in only a particular country, company, industry or sector of the market. ETF RISK. The shares of an ETF trade like common stock and represent an interest in a portfolio of securities. The risks of owning an ETF generally reflect the risks of owning the underlying securities, although lack of liquidity in an ETF could result in it being more volatile and ETFs have management fees that increase their costs. Shares of an ETF trade on an exchange at market prices rather than net asset value, which may cause the shares to trade at a price greater than net asset value (premium) or less than net asset value (discount). In times of market stress, decisions by market makers to reduce or step away from their role of providing a market for an ETF's shares, or decisions by an ETF's authorized participants that they are unable or unwilling to proceed with creation and/or redemption orders of an ETF's shares, could result in shares of the ETF trading at a discount to net asset value and in greater than normal intraday bid-ask spreads. FIXED INCOME SECURITIES RISK. To the extent a fund invests in fixed income securities, the fund will be subject to credit risk, income risk, interest rate risk, liquidity risk and prepayment risk. Income risk is the risk that income from a fund's fixed income investments could decline during periods of falling interest rates. Interest rate risk is the risk that the value of a fund's fixed income securities will decline because of rising interest rates. Liquidity risk is the risk that a security cannot be purchased or sold at the time desired, or cannot be purchased or sold without adversely affecting the price. Prepayment risk is the risk that the securities will be redeemed or prepaid by the issuer, resulting in lower interest payments received by the fund. In addition to these risks, high yield securities, or "junk" bonds, are subject to greater market fluctuations and risk of loss than securities with higher ratings, and the market for high yield securities is generally smaller and less liquid than that for investment grade securities. INDEX OR MODEL CONSTITUENT RISK. Certain funds may be a constituent of one or more indices or ETF models. As a result, such a fund may be included in one or more index-tracking exchange-traded funds or mutual funds. Being a component security of such a vehicle could greatly affect the trading activity involving a fund, the size of the fund and the market volatility of the fund. Inclusion in an index could increase demand for the fund and removal from an index could result in outsized selling activity in a relatively short period of time. As a result, a fund's net asset value could be negatively impacted and the fund's market price may be significantly below its net asset value during certain periods. In addition, index rebalances may potentially result in increased trading activity in a fund's shares. INDEX PROVIDER RISK. To the extent a fund seeks to track an index, it is subject to Index Provider Risk. There is no assurance that the Index Provider will compile the Index accurately, or that the Index will be determined, maintained, constructed, reconstituted, rebalanced, composed, calculated or disseminated accurately. To correct any such error, the Index Provider may carry out an unscheduled rebalance or other modification of the Index constituents or weightings, which may increase the fund's costs. The Index Provider does not provide any representation or warranty in relation to the quality, accuracy or completeness of data in the Index, and it does not guarantee that the Index will be calculated in accordance with its stated methodology. Losses or costs associated with any Index Provider errors generally will be borne by the fund and its shareholders. INVESTMENT COMPANIES RISK. To the extent a fund invests in the securities of other investment vehicles, the fund will incur additional fees and expenses that would not be present in a direct investment in those investment vehicles. Furthermore, the fund's investment performance and risks are directly related to the investment performance and risks of the investment vehicles in which the fund invests. Page 128 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JANUARY 31, 2022 (UNAUDITED) LIBOR RISK. To the extent a fund invests in floating or variable rate obligations that use the London Interbank Offered Rate ("LIBOR") as a reference interest rate, it is subject to LIBOR Risk. The United Kingdom's Financial Conduct Authority, which regulates LIBOR has ceased making LIBOR available as a reference rate over a phase-out period that began December 31, 2021. There is no assurance that any alternative reference rate, including the Secured Overnight Financing Rate ("SOFR") will be similar to or produce the same value or economic equivalence as LIBOR or that instruments using an alternative rate will have the same volume or liquidity. The unavailability or replacement of LIBOR may affect the value, liquidity or return on certain fund investments and may result in costs incurred in connection with closing out positions and entering into new trades. Any potential effects of the transition away from LIBOR on the fund or on certain instruments in which the fund invests can be difficult to ascertain, and they may vary depending on a variety of factors, and they could result in losses to the fund. MANAGEMENT RISK. To the extent that a fund is actively managed, it is subject to management risk. In managing an actively-managed fund's investment portfolio, the fund's portfolio managers will apply investment techniques and risk analyses that may not have the desired result. There can be no guarantee that a fund will meet its investment objective. MARKET RISK. Securities held by a fund, as well as shares of a fund itself, are subject to market fluctuations caused by factors such as general economic conditions, political events, regulatory or market developments, changes in interest rates and perceived trends in securities prices. Shares of a fund could decline in value or underperform other investments as a result of the risk of loss associated with these market fluctuations. In addition, local, regional or global events such as war, acts of terrorism, spread of infectious diseases or other public health issues, recessions, or other events could have a significant negative impact on a fund and its investments. Such events may affect certain geographic regions, countries, sectors and industries more significantly than others. In February 2022, Russia invaded Ukraine which has caused and could continue to cause significant market disruptions and volatility within the markets in Russia, Europe, and the United States. The hostilities and sanctions resulting from those hostilities could have a significant impact on certain fund investments as well as fund performance. The outbreak of the respiratory disease designated as COVID-19 in December 2019 has caused significant volatility and declines in global financial markets, which have caused losses for investors. While the development of vaccines has slowed the spread of the virus and allowed for the resumption of "reasonably" normal business activity in the United States, many countries continue to impose lockdown measures in an attempt to slow the spread. Additionally, there is no guarantee that vaccines will be effective against emerging variants of the disease. NON-U.S. SECURITIES RISK. To the extent a fund invests in non-U.S. securities, it is subject to additional risks not associated with securities of domestic issuers. Non-U.S. securities are subject to higher volatility than securities of domestic issuers due to: possible adverse political, social or economic developments; restrictions on foreign investment or exchange of securities; capital controls; lack of liquidity; currency exchange rates; excessive taxation; government seizure of assets; the imposition of sanctions by foreign governments; different legal or accounting standards; and less government supervision and regulation of exchanges in foreign countries. Investments in non-U.S. securities may involve higher costs than investments in U.S. securities, including higher transaction and custody costs, as well as additional taxes imposed by non-U.S. governments. These risks may be heightened for securities of companies located, or with significant operations, in emerging market countries. OPERATIONAL RISK. Each fund is subject to risks arising from various operational factors, including, but not limited to, human error, processing and communication errors, errors of a fund's service providers, counterparties or other third-parties, failed or inadequate processes and technology or systems failures. Each fund relies on third-parties for a range of services, including custody. Any delay or failure relating to engaging or maintaining such service providers may affect a fund's ability to meet its investment objective. Although the funds and the funds' investment advisor seek to reduce these operational risks through controls and procedures, there is no way to completely protect against such risks. PASSIVE INVESTMENT RISK. To the extent a fund seeks to track an index, the fund will invest in the securities included in, or representative of, the index regardless of their investment merit. A fund generally will not attempt to take defensive positions in declining markets. NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE Page 129 This page is intentionally left blank. This page is intentionally left blank. This page is intentionally left blank. -------------------------------------------------------------------------------- FIRST TRUST FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS -------------------------------------------------------------------------------- INVESTMENT ADVISOR First Trust Advisors L.P. 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 ADMINISTRATOR, CUSTODIAN, FUND ACCOUNTANT & TRANSFER AGENT The Bank of New York Mellon 240 Greenwich Street New York, NY 10286 INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Deloitte & Touche LLP 111 S. Wacker Drive Chicago, IL 60606 LEGAL COUNSEL Chapman and Cutler LLP 320 South Canal Street Chicago, IL 60606 [BLANK BACK COVER]