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First Trust

Exchange-Traded AlphaDEX® Fund

Prospectus

FUND NAME	TICKER SYMBOL	EXCHANGE
ALPHADEX® SECTOR FUNDS
First Trust Consumer Discretionary AlphaDEX® Fund	FXD	NYSE Arca
First Trust Consumer Staples AlphaDEX® Fund	FXG	NYSE Arca
First Trust Energy AlphaDEX® Fund	FXN	NYSE Arca
First Trust Financials AlphaDEX® Fund	FXO	NYSE Arca
First Trust Health Care AlphaDEX® Fund	FXH	NYSE Arca
First Trust Industrials/Producer Durables AlphaDEX® Fund	FXR	NYSE Arca
First Trust Materials AlphaDEX® Fund	FXZ	NYSE Arca
First Trust Technology AlphaDEX® Fund	FXL	NYSE Arca
First Trust Utilities AlphaDEX® Fund	FXU	NYSE Arca
ALPHADEX® STYLE FUNDS
First Trust Large Cap Core AlphaDEX® Fund	FEX	Nasdaq
First Trust Large Cap Growth AlphaDEX® Fund	FTC	Nasdaq
First Trust Large Cap Value AlphaDEX® Fund	FTA	Nasdaq
First Trust Mid Cap Core AlphaDEX® Fund	FNX	Nasdaq
First Trust Mid Cap Growth AlphaDEX® Fund	FNY	Nasdaq
First Trust Mid Cap Value AlphaDEX® Fund	FNK	Nasdaq
First Trust Multi Cap Growth AlphaDEX® Fund	FAD	Nasdaq
First Trust Multi Cap Value AlphaDEX® Fund	FAB	Nasdaq
First Trust Small Cap Core AlphaDEX® Fund	FYX	Nasdaq
First Trust Small Cap Growth AlphaDEX® Fund	FYC	Nasdaq
First Trust Small Cap Value AlphaDEX® Fund	FYT	Nasdaq

Each of the funds listed above under AlphaDEX® Sector Funds (each a “Fund,” and collectively, the “AlphaDEX® Sector Funds”) lists and principally trades its shares on NYSE Arca, Inc. (“NYSE Arca” or an “Exchange”). Each of the funds listed above under AlphaDEX® Style Funds (each a “Fund,” and collectively, the “AlphaDEX® Style Funds”) lists and principally trades its shares on Nasdaq, Inc. (“Nasdaq” or an “Exchange”). Market prices may differ to some degree from the net asset value of the shares. Unlike mutual funds, each Fund issues and redeems shares at net asset value, only in large blocks of shares called “Creation Units.”

Each Fund is a series of First Trust Exchange-Traded AlphaDEX® Fund (the “Trust”) and an exchange-traded index fund organized as a separate series of a registered management investment company.

Except when aggregated in Creation Units, the shares are not redeemable securities of the Funds.

The Securities and Exchange Commission has not approved or disapproved of these securities or passed upon the adequacy or accuracy of this prospectus. Any representation to the contrary is a criminal offense.

NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE

December 1, 2023

Summary Information
First Trust Consumer Discretionary AlphaDEX® Fund (FXD)

Investment Objective

The First Trust Consumer Discretionary AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the StrataQuant® Consumer Discretionary Index (the “Index”).

Fees and Expenses of the Fund

The following table describes the fees and expenses you may pay if you buy, hold and sell shares of the Fund. Investors may pay other fees, such as brokerage commissions and other fees to financial intermediaries, which are not reflected in the table and example below.

Shareholder Fees
(fees paid directly from your investment)

Maximum Sales Charge (Load) Imposed on Purchases (as a percentage of offering price)

None

Annual Fund Operating Expenses
(expenses that you pay each year as a percentage of the value of your investment)

Management Fees	0.50%
Distribution and Service (12b-1) Fees	0.00%
Other Expenses	0.11%
Total Annual Fund Operating Expenses	0.61%
Fee Waiver and Expense Reimbursement(1)	0.00%
Net Annual Fund Operating Expenses	0.61%

(1)

First Trust Advisors L.P., the Fund’s investment advisor, has agreed to waive fees and/or reimburse Fund expenses to the extent that the operating expenses of the Fund (excluding interest expense, brokerage commissions and other trading expenses, taxes and extraordinary expenses) exceed 0.70% of its average daily net assets (the “Expense Cap”) at least through November 30, 2024. The agreement may be terminated by the Trust, on behalf of the Fund, at any time and by the Fund’s investment advisor only after November 30, 2024 upon 60 days’ written notice.

Example

The example below is intended to help you compare the cost of investing in the Fund with the cost of investing in other funds.

The example assumes that you invest $10,000 in the Fund for the time periods indicated and then hold or sell all of your shares at the end of those periods. The example also assumes that your investment has a 5% return each year and that the Fund’s operating expenses remain at current levels. Although your actual costs may be higher or lower, based on these assumptions your costs would be:

1 Year	3 Years	5 Years	10 Years
$62	$195	$340	$762

Portfolio Turnover

The Fund pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover rate may indicate higher transaction costs and may result in higher taxes when Fund shares are held in a taxable account. These costs, which are not reflected in annual fund operating expenses or in the example, affect the Fund’s performance. During the most recent fiscal year, the Fund’s portfolio turnover rate was 110% of the average value of its portfolio.

Principal Investment Strategies

First Trust Consumer Discretionary AlphaDEX® Fund (FXD)

maintained and owned by ICE Data Indices, LLC or its affiliates (“IDI” or the “Index Provider”). The Index Provider reserves the right to, at any time, change the number of stocks comprising the Index by adding or deleting one or more stocks, or replacing one or more stocks contained in the Index with one or more substitute stocks of its choice, if in the Index Provider’s discretion, such addition, deletion or substitution is necessary or appropriate to maintain the quality and/or character of the Index.

According to the Index Provider, the Index is a modified equal-dollar weighted index that seeks to objectively identify and select stocks from the Russell 1000® Index in the consumer discretionary sector that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX® selection methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. The Russell 1000® Index consists of approximately 1,000 of the largest stocks within the Russell 3000® Index. The Russell 3000® Index is constructed to represent approximately 98% of the U.S. market.

According to the Index Provider, security selection for the Index will be conducted in the following manner:

The selection universe for the Index begins with all stocks in the Russell 1000® Index that meet the Index Provider’s share class and liquidity screens.

The stocks in the selection universe are ranked on both growth and value factors. Each stock is classified as either a value stock, a growth stock or a combination of growth and value, as determined by the Index Provider. A stock classified as a value stock will receive its value rank as its “selection score” and a stock classified as a growth stock will receive its growth rank as its “selection score.” A stock classified as a combination of growth and value will receive the better of the two scores.

The selection universe is then divided into respective sectors as defined by the Index Provider. The component stocks contained in the sector for which the Fund is named are ranked according to their selection score from step 2.

The number of “selected stocks” for the relevant sector will be the greater of the top 75% of securities from step 3 or 40 stocks. If the total count of eligible stocks in a given sector falls below 40, all eligible stocks will be included. The selected stocks are then split into quintiles based on their selection score, with higher scoring quintiles receiving a greater weight in the Index.

The Index is reconstituted and rebalanced quarterly and the Fund will make corresponding changes to its portfolio shortly after the Index changes are made public. The Index’s quarterly rebalance and reconstitution schedule may cause the Fund to experience a higher rate of portfolio turnover. The Fund will be concentrated in an industry or a group of industries to the extent that the Index is so concentrated. As of October 31, 2023, the Index was composed of 121 securities with a market capitalization range of $926 million to $1.4 trillion. As of October 31, 2023, the Fund had significant investments in consumer discretionary companies. The Fund's investments will change as the Index changes and, as a result, the Fund may have significant investments in jurisdictions or investment sectors that it may not have had as of October 31, 2023. To the extent the Fund invests a significant portion of its assets in a given jurisdiction or investment sector, the Fund may be exposed to the risks associated with that jurisdiction or investment sector.

Principal Risks

You could lose money by investing in the Fund. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency. There can be no assurance that the Fund’s investment objective will be achieved. The order of the below risk factors does not indicate the significance of any particular risk factor.

AUTHORIZED PARTICIPANT CONCENTRATION RISK. Only an authorized participant may engage in creation or redemption transactions directly with the Fund. A limited number of institutions act as authorized participants for the Fund. To the extent that these institutions exit the business or are unable to proceed with creation and/or redemption orders and no other authorized participant steps forward to create or redeem, the Fund’s shares may trade at a premium or discount (the difference between the market price of the Fund's shares and the Fund's net asset value) and possibly face delisting and the bid/ask spread (the difference between the price that someone is willing to pay for shares of the Fund at a specific point in time versus the price at which someone is willing to sell) on the Fund’s shares may widen.

CONSUMER DISCRETIONARY COMPANIES RISK. Consumer discretionary companies, such as retailers, media companies and consumer services companies, provide non-essential goods and services. These companies manufacture products and provide discretionary services directly to the consumer, and the success of these companies is tied closely to the performance of the overall domestic and international economy, interest rates, competition and consumer confidence. Success depends

First Trust Consumer Discretionary AlphaDEX® Fund (FXD)

heavily on disposable household income and consumer spending. Changes in demographics and consumer tastes can also affect the demand for, and success of, consumer discretionary products in the marketplace.

CURRENT MARKET CONDITIONS RISK. Current market conditions risk is the risk that a particular investment, or shares of the Fund in general, may fall in value due to current market conditions. As a means to fight inflation, which remains at elevated levels, the Federal Reserve and certain foreign central banks have raised interest rates and expect to continue to do so, and the Federal Reserve has announced that it intends to reverse previously implemented quantitative easing. U.S. regulators have proposed several changes to market and issuer regulations which would directly impact the Fund, and any regulatory changes could adversely impact the Fund’s ability to achieve its investment strategies or make certain investments. Recent and potential future bank failures could result in disruption to the broader banking industry or markets generally and reduce confidence in financial institutions and the economy as a whole, which may also heighten market volatility and reduce liquidity. The ongoing adversarial political climate in the United States, as well as political and diplomatic events both domestic and abroad, have and may continue to have an adverse impact the U.S. regulatory landscape, markets and investor behavior, which could have a negative impact on the Fund’s investments and operations. Other unexpected political, regulatory and diplomatic events within the U.S. and abroad may affect investor and consumer confidence and may adversely impact financial markets and the broader economy. For example, ongoing armed conflicts between Russia and Ukraine in Europe and among Israel, Hamas and other militant groups in the Middle East, have caused and could continue to cause significant market disruptions and volatility within the markets in Russia, Europe, the Middle East and the United States. The hostilities and sanctions resulting from those hostilities have and could continue to have a significant impact on certain Fund investments as well as Fund performance and liquidity. The economies of the United States and its trading partners, as well as the financial markets generally, may be adversely impacted by trade disputes and other matters. For example, the United States has imposed trade barriers and restrictions on China. In addition, the Chinese government is engaged in a longstanding dispute with Taiwan, continually threatening an invasion. If the political climate between the United States and China does not improve or continues to deteriorate, if China were to attempt invading Taiwan, or if other geopolitical conflicts develop or worsen, economies, markets and individual securities may be adversely affected, and the value of the Fund’s assets may go down. The COVID-19 global pandemic, or any future public health crisis, and the ensuing policies enacted by governments and central banks have caused and may continue to cause significant volatility and uncertainty in global financial markets, negatively impacting global growth prospects. While vaccines have been developed, there is no guarantee that vaccines will be effective against emerging future variants of the disease. As this global pandemic illustrated, such events may affect certain geographic regions, countries, sectors and industries more significantly than others. Advancements in technology may also adversely impact markets and the overall performance of the Fund. For instance, the economy may be significantly impacted by the advanced development and increased regulation of artificial intelligence. These events, and any other future events, may adversely affect the prices and liquidity of the Fund’s portfolio investments and could result in disruptions in the trading markets.

CYBER SECURITY RISK. The Fund is susceptible to operational risks through breaches in cyber security. A breach in cyber security refers to both intentional and unintentional events that may cause the Fund to lose proprietary information, suffer data corruption or lose operational capacity. Such events could cause the Fund to incur regulatory penalties, reputational damage, additional compliance costs associated with corrective measures and/or financial loss. Cyber security breaches may involve unauthorized access to the Fund’s digital information systems through “hacking” or malicious software coding but may also result from outside attacks such as denial-of-service attacks through efforts to make network services unavailable to intended users. In addition, cyber security breaches of the issuers of securities in which the Fund invests or the Fund’s third-party service providers, such as its administrator, transfer agent, custodian, or sub-advisor, as applicable, can also subject the Fund to many of the same risks associated with direct cyber security breaches. Although the Fund has established risk management systems designed to reduce the risks associated with cyber security, there is no guarantee that such efforts will succeed, especially because the Fund does not directly control the cyber security systems of issuers or third-party service providers.

EQUITY SECURITIES RISK. The value of the Fund’s shares will fluctuate with changes in the value of the equity securities in which it invests. 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 equity market, such as market volatility, or when political or economic events affecting an issuer occur. 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.

First Trust Consumer Discretionary AlphaDEX® Fund (FXD)

characteristics can have sharp price declines due to decreases in current or expected earnings and may lack dividend payments that can help cushion its share price during declining markets.

INDEX CONCENTRATION RISK. The Fund will be concentrated in an industry or a group of industries to the extent that the Index is so concentrated. To the extent that the Fund invests 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 significant exposure makes the Fund more susceptible to any single occurrence and may subject the Fund to greater market risk than a fund that is more broadly diversified. There may be instances in which the Index, for a variety of reasons including changes in the prices of individual securities held by the Fund, has a larger exposure to a small number of stocks or a single stock relative to the rest of the stocks in the Index. Under such circumstances, the Fund will not deviate from the Index except in rare circumstances or in an immaterial way and therefore the Fund’s returns would be more greatly influenced by the returns of the stock(s) with the larger exposure.

INDEX OR MODEL CONSTITUENT RISK. The Fund may be a constituent of one or more indices or ETF models. As a result, the 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 the Fund’s shares, 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, the Fund’s net asset value could be negatively impacted and the Fund’s market price may be below the Fund’s net asset value during certain periods. In addition, index rebalances may potentially result in increased trading activity in the Fund's shares.

INDEX PROVIDER RISK. There is no assurance that the Index Provider, or any agents that act on its behalf, will compile the Index accurately, or that the Index will be determined, maintained, constructed, reconstituted, rebalanced, composed, calculated or disseminated accurately. The Index Provider and its agents do not provide any representation or warranty in relation to the quality, accuracy or completeness of data in the Index, and do not guarantee that the Index will be calculated in accordance with its stated methodology. The Advisor’s mandate as described in this prospectus is to manage the Fund consistently with the Index provided by the Index Provider. The Advisor relies upon the Index provider and its agents to accurately compile, maintain, construct, reconstitute, rebalance, compose, calculate and disseminate the Index accurately. Therefore, losses or costs associated with any Index Provider or agent errors generally will be borne by the Fund and its shareholders. To correct any such error, the Index Provider or its agents may carry out an unscheduled rebalance of the Index or other modification of Index constituents or weightings. When the Fund in turn rebalances its portfolio, any transaction costs and market exposure arising from such portfolio rebalancing will be borne by the Fund and its shareholders. Unscheduled rebalances also expose the Fund to additional tracking error risk. Errors in respect of the quality, accuracy and completeness of the data used to compile the Index may occur from time to time and may not be identified and corrected by the Index Provider for a period of time or at all, particularly where the Index is less commonly used as a benchmark by funds or advisors. For example, during a period where the Index contains incorrect constituents, the Fund tracking the Index would have market exposure to such constituents and would be underexposed to the Index’s other constituents. Such errors may negatively impact the Fund and its shareholders. The Index Provider and its agents rely on various sources of information to assess the criteria of issuers included in the Index, including information that may be based on assumptions and estimates. Neither the Fund nor the Advisor can offer assurances that the Index’s calculation methodology or sources of information will provide an accurate assessment of included issuers. Unusual market conditions or issuer-specific events may cause the Index Provider to postpone a scheduled rebalance, exclude or substitute a security in the Index or undertake other measures which could cause the Index to vary from its normal or expected composition. The postponement of a scheduled rebalance in a time of market volatility could mean that constituents that would otherwise be removed at rebalance due to changes in market capitalizations, issuer credit ratings, or other reasons may remain, causing the performance and constituents of the Index to vary from those expected under normal conditions. Apart from scheduled rebalances, the Index Provider or its agents may carry out additional ad hoc rebalances to the Index due to unusual market conditions or in order, for example, to correct an error in the selection of index constituents.

MARKET MAKER RISK. The Fund faces numerous market trading risks, including the potential lack of an active market for Fund shares due to a limited number of market markers. Decisions by market makers or authorized participants to reduce their role or step away from these activities in times of market stress could inhibit the effectiveness of the arbitrage process in maintaining the relationship between the underlying values of the Fund’s portfolio securities and the Fund’s market price. The Fund may rely on a small number of third-party market makers to provide a market for the purchase and sale of shares. Any trading halt or other problem relating to the trading activity of these market makers could result in a dramatic change in the spread between the Fund’s net asset value and the price at which the Fund’s shares are trading on the Exchange, which

First Trust Consumer Discretionary AlphaDEX® Fund (FXD)

could result in a decrease in value of the Fund’s shares. This reduced effectiveness could result in Fund shares trading at a discount to net asset value and also in greater than normal intraday bid-ask spreads for Fund shares.

MARKET RISK. Market risk is the risk that a particular investment, or shares of the Fund in general, may fall in value. Securities are subject to market fluctuations caused by real or perceived adverse economic, political, and regulatory factors or market developments, changes in interest rates and perceived trends in securities prices. Shares of the Fund could decline in value or underperform other investments. In addition, local, regional or global events such as war, acts of terrorism, market manipulation, government defaults, government shutdowns, regulatory actions, political changes, diplomatic developments, the imposition of sanctions and other similar measures, spread of infectious diseases or other public health issues, recessions, natural disasters, or other events could have a significant negative impact on the Fund and its investments. Any of such circumstances could have a materially negative impact on the value of the Fund’s shares, the liquidity of an investment, and may result in increased market volatility. During any such events, the Fund’s shares may trade at increased premiums or discounts to their net asset value, the bid/ask spread on the Fund’s shares may widen and the returns on investment may fluctuate.

NON-CORRELATION RISK. The Fund’s return may not match the return of the Index for a number of reasons. The Fund incurs operating expenses not applicable to the Index, and may incur costs in buying and selling securities, especially when rebalancing the Fund’s portfolio holdings to reflect changes in the composition of the Index. In addition, the Fund’s portfolio holdings may not exactly replicate the securities included in the Index or the ratios between the securities included in the Index. Additionally, in order to comply with its investment strategies and policies, the Fund portfolio may deviate from the composition of the Index. Accordingly, the Fund's return may underperform the return of the Index.

OPERATIONAL RISK. The Fund is subject to risks arising from various operational factors, including, but not limited to, human error, processing and communication errors, errors of the Fund’s service providers, counterparties or other third-parties, failed or inadequate processes and technology or systems failures. The 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 the Fund’s ability to meet its investment objective. Although the Fund and the Fund's 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. The Fund is not actively managed. The Fund invests in securities included in or representative of the Index regardless of investment merit. The Fund generally will not attempt to take defensive positions in declining markets. In the event that the Index is no longer calculated, the Index license is terminated or the identity or character of the Index is materially changed, the Fund will seek to engage a replacement index.

PORTFOLIO TURNOVER RISK. High portfolio turnover may result in the Fund paying higher levels of transaction costs and may generate greater tax liabilities for shareholders. Portfolio turnover risk may cause the Fund’s performance to be less than expected.

PREMIUM/DISCOUNT RISK. The market price of the Fund’s shares will generally fluctuate in accordance with changes in the Fund’s net asset value as well as the relative supply of and demand for shares on the Exchange. The Fund’s investment advisor cannot predict whether shares will trade below, at or above their net asset value because the shares trade on the Exchange at market prices and not at net asset value. Price differences may be due, in large part, to the fact that supply and demand forces at work in the secondary trading market for shares will be closely related, but not identical, to the same forces influencing the prices of the holdings of the Fund trading individually or in the aggregate at any point in time. However, given that shares can only be purchased and redeemed in Creation Units, and only to and from broker-dealers and large institutional investors that have entered into participation agreements (unlike shares of closed-end funds, which frequently trade at appreciable discounts from, and sometimes at premiums to, their net asset value), the Fund’s investment advisor believes that large discounts or premiums to the net asset value of shares should not be sustained. During stressed market conditions, the market for the Fund’s shares may become less liquid in response to deteriorating liquidity in the market for the Fund’s underlying portfolio holdings, which could in turn lead to differences between the market price of the Fund’s shares and their net asset value and the bid/ask spread on the Fund’s shares may widen.

SMALLER COMPANIES RISK. Small and/or mid capitalization companies may be more vulnerable to adverse general market or economic developments, and their securities may be less liquid and may experience greater price volatility than larger, more established companies as a result of several factors, including limited trading volumes, fewer products or financial resources, management inexperience and less publicly available information. Accordingly, such companies are generally subject to greater market risk than larger, more established companies.

First Trust Consumer Discretionary AlphaDEX® Fund (FXD)

TRADING ISSUES RISK. Trading in Fund shares on the Exchange may be halted due to market conditions or for reasons that, in the view of the Exchange, make trading in shares inadvisable. In addition, trading in Fund shares on the Exchange is subject to trading halts caused by extraordinary market volatility pursuant to the Exchange’s “circuit breaker” rules. There can be no assurance that the requirements of the Exchange necessary to maintain the listing of the Fund will continue to be met or will remain unchanged. The Fund may have difficulty maintaining its listing on the Exchange in the event the Fund’s assets are small, the Fund does not have enough shareholders, or if the Fund is unable to proceed with creation and/or redemption orders.

VALUE STOCKS INVESTMENT RISK. The intrinsic value of a stock with value characteristics may not be fully recognized by the market for a long time or a stock judged to be undervalued may actually be appropriately priced at a low level.

Annual Total Return

The bar chart and table below illustrate the annual calendar year returns of the Fund based on net asset value as well as the average annual Fund and Index returns. The bar chart and table provide an indication of the risks of investing in the Fund by showing changes in the Fund’s performance from year-to-year and by showing how the Fund’s average annual total returns based on net asset value compared to those of the Index, a broad-based market index and two market indices. See “Total Return Information” for additional performance information regarding the Fund. The Fund’s performance information is accessible on the Fund’s website at www.ftportfolios.com.

With respect to the Russell 1000® Consumer Discretionary Index (formerly the Russell 1000® Consumer Discretionary and Services Index), on or about September 18, 2008, Russell Investment Group (“Russell”) began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the Russell Global Sectors (the “RGS”). The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for the Russell 1000® Consumer Discretionary Index for the “Since Inception” period set forth in the table because performance data does not exist using solely the U.S. sector scheme or alternatively, using solely the RGS.

First Trust Consumer Discretionary AlphaDEX® Fund
Calendar Year Total Returns as of 12/31 (1)

(1)

The Fund's calendar year-to-date total return based on net asset value for the period 12/31/22 to 09/30/23 was 6.45%.

During the periods shown in the chart above:

	Return	Period Ended
Best Quarter	38.85%	June 30, 2020
Worst Quarter	-40.28%	March 31, 2020
Year-to-Date	6.45%	September 30, 2023

The Fund’s past performance (before and after taxes) is not necessarily an indication of how the Fund will perform in the future.

First Trust Consumer Discretionary AlphaDEX® Fund (FXD)

therefore, are also adjusted for any capital gains or losses incurred. Returns for the market indices do not include expenses, which are deducted from Fund returns, or taxes.

Your own actual after-tax returns will depend on your specific tax situation and may differ from what is shown here. After-tax returns are not relevant to investors who hold Fund shares in tax-deferred accounts such as individual retirement accounts (IRAs) or employee-sponsored retirement plans.

Average Annual Total Returns for the Periods Ended December 31, 2022

	1 Year	5 Years	10 Years	Since Inception	Inception Date
Return Before Taxes	-21.49%	3.64%	8.74%	6.62%	5/8/2007
Return After Taxes on Distributions	-21.82%	3.28%	8.37%	6.29%
Return After Taxes on Distributions and Sale of Fund Shares	-12.73%	2.65%	6.96%	5.31%
StrataQuant® Consumer Discretionary Index (reflects no deduction for fees, expenses or taxes)	-20.94%	4.28%	9.45%	7.36%
Russell 1000® Index (reflects no deduction for fees, expenses or taxes)	-19.13%	9.13%	12.37%	8.29%
S&P 500® Consumer Discretionary Index (reflects no deduction for fees, expenses or taxes)	-37.03%	6.14%	11.74%	9.33%
Russell 1000® Consumer Discretionary Index(1) (reflects no deduction for fees, expenses or taxes)	-34.78%	7.13%	11.88%	N/A
Russell 3000® Index (reflects no deduction for fees, expenses or taxes)	8.38%	10.23%	10.52%	8.31%

(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.

Management

Investment Advisor

First Trust Advisors L.P. (“First Trust” or the “Advisor”)

Portfolio Managers

The Fund’s portfolio is managed by a team (the “Investment Committee”) consisting of:

•

Daniel J. Lindquist, Chairman of the Investment Committee and Managing Director of First Trust

•

David G. McGarel, Chief Investment Officer, Chief Operating Officer and Managing Director of First Trust

•

Jon C. Erickson, Senior Vice President of First Trust

•

Roger F. Testin, Senior Vice President of First Trust

•

Stan Ueland, Senior Vice President of First Trust

•

Chris A. Peterson, Senior Vice President of First Trust

•

Erik Russo, Vice President of First Trust

The Investment Committee members are primarily and jointly responsible for the day-to-day management of the Fund. Each Investment Committee member has served as a part of the portfolio management team of the Fund since 2007, except for Chris A. Peterson and Erik Russo who have served as part of the portfolio management team of the Fund since 2016 and 2020, respectively.

Purchase and Sale of Fund Shares

First Trust Consumer Discretionary AlphaDEX® Fund (FXD)

shares of the Fund trade on securities exchanges in the secondary market at their market price rather than their net asset value, the Fund’s shares may trade at a price greater than (premium) or less than (discount) the Fund’s net asset value. An investor may incur costs attributable to the difference between the highest price a buyer is willing to pay to purchase shares of the Fund (bid) and the lowest price a seller is willing to accept for shares of the Fund (ask) when buying or selling shares in the secondary market (the “bid-ask spread”). Recent information, including the Fund’s net asset value, market price, premiums and discounts, bid-ask spreads and the median bid-ask spread for the Fund’s most recent fiscal year,is available online at https://www.ftportfolios.com/Retail/etf/home.aspx.

Tax Information

The Fund’s distributions are taxable and will generally be taxed as ordinary income or capital gains. Distributions on shares held in a tax-deferred account, while not immediately taxable, will be subject to tax when the shares are no longer held in a tax-deferred account.

Payments to Broker-Dealers and Other Financial Intermediaries

If you purchase shares of the Fund through a broker-dealer, registered investment adviser, bank or other financial intermediary (collectively, “intermediaries”), First Trust and First Trust Portfolios L.P., the Fund’s distributor, may pay the intermediary for the sale of Fund shares and related services. These payments may create a conflict of interest by influencing the broker-dealer or other intermediary and your salesperson to recommend the Fund over another investment. Ask your salesperson or visit your financial intermediary’s website for more information.

Summary Information
First Trust Consumer Staples AlphaDEX® Fund (FXG)

Investment Objective

The First Trust Consumer Staples AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the StrataQuant® Consumer Staples Index (the “Index”).

Fees and Expenses of the Fund

Shareholder Fees
(fees paid directly from your investment)

Maximum Sales Charge (Load) Imposed on Purchases (as a percentage of offering price)

None

Annual Fund Operating Expenses
(expenses that you pay each year as a percentage of the value of your investment)

Management Fees	0.50%
Distribution and Service (12b-1) Fees	0.00%
Other Expenses	0.13%
Total Annual Fund Operating Expenses	0.63%
Fee Waiver and Expense Reimbursement(1)	0.00%
Net Annual Fund Operating Expenses	0.63%

(1)

Example

The example below is intended to help you compare the cost of investing in the Fund with the cost of investing in other funds.

1 Year	3 Years	5 Years	10 Years
$64	$202	$351	$787

Portfolio Turnover

Principal Investment Strategies

The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the securities that comprise the Index. The Fund, using an “indexing” investment approach, attempts to replicate, before fees and expenses, the performance of the Index. The Index is part of the “StrataQuant® Series,” a family of custom enhanced indices developed, maintained and owned by ICE Data Indices, LLC or its affiliates (“IDI” or the “Index Provider”). The Index Provider reserves the

First Trust Consumer Staples AlphaDEX® Fund (FXG)

right to, at any time, change the number of stocks comprising the Index by adding or deleting one or more stocks, or replacing one or more stocks contained in the Index with one or more substitute stocks of its choice, if in the Index Provider’s discretion, such addition, deletion or substitution is necessary or appropriate to maintain the quality and/or character of the Index.

According to the Index Provider, the Index is a modified equal-dollar weighted index to objectively identify and select stocks from the Russell 1000® Index in the consumer staples sector that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX® selection methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. The Russell 1000® Index consists of approximately 1,000 of the largest stocks within the Russell 3000® Index. The Russell 3000® Index is constructed to represent approximately 98% of the U.S. market.

According to the Index Provider, security selection for the Index will be conducted in the following manner:

The selection universe for the Index begins with all stocks in the Russell 1000® Index that meet the Index Provider’s share class and liquidity screens.

The Index is reconstituted and rebalanced quarterly and the Fund will make corresponding changes to its portfolio shortly after the Index changes are made public. The Index’s quarterly rebalance and reconstitution schedule may cause the Fund to experience a higher rate of portfolio turnover. The Fund will be concentrated in an industry or a group of industries to the extent that the Index is so concentrated. As of October 31, 2023, the Index was composed of 40 securities with a market capitalization range of $2.8 billion to $353.6 billion. As of October 31, 2023, the Fund had significant investments in consumer staples companies. The Fund's investments will change as the Index changes and, as a result, the Fund may have significant investments in jurisdictions or investment sectors that it may not have had as of October 31, 2023. To the extent the Fund invests a significant portion of its assets in a given jurisdiction or investment sector, the Fund may be exposed to the risks associated with that jurisdiction or investment sector.

Principal Risks

CONSUMER STAPLES COMPANIES RISK. Consumer staples companies provide products directly to the consumer that are typically considered non-discretionary items based on consumer purchasing habits. Such products include food, beverages, household items and tobacco. Companies providing these products may be affected by the regulation of various product components and production methods, new laws, regulations or litigation, marketing campaigns, competitive pricing and other factors affecting consumer demand. Changes in the worldwide economy, demographics, consumer preferences, consumer

First Trust Consumer Staples AlphaDEX® Fund (FXG)

spending, exploration and production spending may adversely affect these companies, as well as natural and man-made disasters, political, social or labor unrest, world events and economic conditions.

First Trust Consumer Staples AlphaDEX® Fund (FXG)

characteristics can have sharp price declines due to decreases in current or expected earnings and may lack dividend payments that can help cushion its share price during declining markets.

First Trust Consumer Staples AlphaDEX® Fund (FXG)

Annual Total Return

With respect to the Russell 1000® Consumer Staples Index, on or about September 18, 2008, Russell Investment Group (“Russell”) began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the Russell Global Sectors (the “RGS”). The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for the Russell 1000® Consumer Staples Index for the “Since Inception” period set forth in the table because performance data does not exist using solely the U.S. sector scheme or alternatively, using solely the RGS.

First Trust Consumer Staples AlphaDEX® Fund
Calendar Year Total Returns as of 12/31 (1)

(1)

The Fund's calendar year-to-date total return based on net asset value for the period 12/31/22 to 09/30/23 was -2.90%.

During the periods shown in the chart above:

	Return	Period Ended
Best Quarter	15.54%	June 30, 2020
Worst Quarter	-19.62%	March 31, 2020
Year-to-Date	-2.90%	September 30, 2023

The Fund’s past performance (before and after taxes) is not necessarily an indication of how the Fund will perform in the future.

All after-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of any state or local tax. Returns after taxes on distributions reflect the taxed return on the payment of dividends and capital gains. Returns after taxes on distributions and sale of shares assume you sold your shares at period end, and, therefore, are also adjusted for any capital gains or losses incurred. Returns for the market indices do not include expenses, which are deducted from Fund returns, or taxes.

First Trust Consumer Staples AlphaDEX® Fund (FXG)

Average Annual Total Returns for the Periods Ended December 31, 2022

	1 Year	5 Years	10 Years	Since Inception	Inception Date
Return Before Taxes	3.32%	7.09%	11.23%	9.18%	5/8/2007
Return After Taxes on Distributions	2.54%	6.33%	10.50%	8.54%
Return After Taxes on Distributions and Sale of Fund Shares	1.95%	5.18%	8.91%	7.40%
StrataQuant® Consumer Staples Index (reflects no deduction for fees, expenses or taxes)	4.01%	7.75%	11.95%	9.94%
Russell 1000® Index (reflects no deduction for fees, expenses or taxes)	-19.13%	9.13%	12.37%	8.29%
S&P 500® Consumer Staples Index (reflects no deduction for fees, expenses or taxes)	-0.62%	8.83%	11.03%	9.81%
Russell 1000® Consumer Staples Index(1) (reflects no deduction for fees, expenses or taxes)	3.53%	7.99%	10.65%	N/A
Russell 3000® Index (reflects no deduction for fees, expenses or taxes)	8.38%	10.23%	10.52%	8.31%

(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.

Management

Investment Advisor

First Trust Advisors L.P. (“First Trust” or the “Advisor”)

Portfolio Managers

The Fund’s portfolio is managed by a team (the “Investment Committee”) consisting of:

•

Daniel J. Lindquist, Chairman of the Investment Committee and Managing Director of First Trust

•

David G. McGarel, Chief Investment Officer, Chief Operating Officer and Managing Director of First Trust

•

Jon C. Erickson, Senior Vice President of First Trust

•

Roger F. Testin, Senior Vice President of First Trust

•

Stan Ueland, Senior Vice President of First Trust

•

Chris A. Peterson, Senior Vice President of First Trust

•

Erik Russo, Vice President of First Trust

Purchase and Sale of Fund Shares

The Fund issues and redeems shares on a continuous basis, at net asset value, only in large blocks of shares called “Creation Units.” Individual shares of the Fund may only be purchased and sold on the secondary market through a broker-dealer. Since shares of the Fund trade on securities exchanges in the secondary market at their market price rather than their net asset value, the Fund’s shares may trade at a price greater than (premium) or less than (discount) the Fund’s net asset value. An investor may incur costs attributable to the difference between the highest price a buyer is willing to pay to purchase shares of the Fund (bid) and the lowest price a seller is willing to accept for shares of the Fund (ask) when buying or selling shares in the secondary market (the “bid-ask spread”). Recent information, including the Fund’s net asset value, market price, premiums

Summary Information
First Trust Energy AlphaDEX® Fund (FXN)

Investment Objective

The First Trust Energy AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the StrataQuant® Energy Index (the “Index”).

Fees and Expenses of the Fund

Shareholder Fees
(fees paid directly from your investment)

Maximum Sales Charge (Load) Imposed on Purchases (as a percentage of offering price)

None

Annual Fund Operating Expenses
(expenses that you pay each year as a percentage of the value of your investment)

Management Fees	0.50%
Distribution and Service (12b-1) Fees	0.00%
Other Expenses	0.12%
Total Annual Fund Operating Expenses	0.62%
Fee Waiver and Expense Reimbursement(1)	0.00%
Net Annual Fund Operating Expenses	0.62%

(1)

Example

The example below is intended to help you compare the cost of investing in the Fund with the cost of investing in other funds.

1 Year	3 Years	5 Years	10 Years
$63	$199	$346	$774

Portfolio Turnover

Principal Investment Strategies

First Trust Energy AlphaDEX® Fund (FXN)

one or more stocks contained in the Index with one or more substitute stocks of its choice, if in the Index Provider’s discretion, such addition, deletion or substitution is necessary or appropriate to maintain the quality and/or character of the Index.

According to the Index Provider, the Index is a modified equal-dollar weighted index to objectively identify and select stocks from the Russell 1000® Index in the energy sector that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX® selection methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. The Russell 1000® Index consists of approximately 1,000 of the largest stocks within the Russell 3000® Index. The Russell 3000® Index is constructed to represent approximately 98% of the U.S. market.

According to the Index Provider, security selection for the Index will be conducted in the following manner:

The selection universe for the Index begins with all stocks in the Russell 1000® Index that meet the Index Provider’s share class and liquidity screens.

The Index is reconstituted and rebalanced quarterly and the Fund will make corresponding changes to its portfolio shortly after the Index changes are made public. The Index’s quarterly rebalance and reconstitution schedule may cause the Fund to experience a higher rate of portfolio turnover. The Fund will be concentrated in an industry or a group of industries to the extent that the Index is so concentrated. As of October 31, 2023, the Index was composed of 40 securities with a market capitalization range of $915 million to $420 billion. As of October 31, 2023, the Fund had significant investments in energy companies. The Fund's investments will change as the Index changes and, as a result, the Fund may have significant investments in jurisdictions or investment sectors that it may not have had as of October 31, 2023. To the extent the Fund invests a significant portion of its assets in a given jurisdiction or investment sector, the Fund may be exposed to the risks associated with that jurisdiction or investment sector.

Principal Risks

First Trust Energy AlphaDEX® Fund (FXN)

and potential future bank failures could result in disruption to the broader banking industry or markets generally and reduce confidence in financial institutions and the economy as a whole, which may also heighten market volatility and reduce liquidity. The ongoing adversarial political climate in the United States, as well as political and diplomatic events both domestic and abroad, have and may continue to have an adverse impact the U.S. regulatory landscape, markets and investor behavior, which could have a negative impact on the Fund’s investments and operations. Other unexpected political, regulatory and diplomatic events within the U.S. and abroad may affect investor and consumer confidence and may adversely impact financial markets and the broader economy. For example, ongoing armed conflicts between Russia and Ukraine in Europe and among Israel, Hamas and other militant groups in the Middle East, have caused and could continue to cause significant market disruptions and volatility within the markets in Russia, Europe, the Middle East and the United States. The hostilities and sanctions resulting from those hostilities have and could continue to have a significant impact on certain Fund investments as well as Fund performance and liquidity. The economies of the United States and its trading partners, as well as the financial markets generally, may be adversely impacted by trade disputes and other matters. For example, the United States has imposed trade barriers and restrictions on China. In addition, the Chinese government is engaged in a longstanding dispute with Taiwan, continually threatening an invasion. If the political climate between the United States and China does not improve or continues to deteriorate, if China were to attempt invading Taiwan, or if other geopolitical conflicts develop or worsen, economies, markets and individual securities may be adversely affected, and the value of the Fund’s assets may go down. The COVID-19 global pandemic, or any future public health crisis, and the ensuing policies enacted by governments and central banks have caused and may continue to cause significant volatility and uncertainty in global financial markets, negatively impacting global growth prospects. While vaccines have been developed, there is no guarantee that vaccines will be effective against emerging future variants of the disease. As this global pandemic illustrated, such events may affect certain geographic regions, countries, sectors and industries more significantly than others. Advancements in technology may also adversely impact markets and the overall performance of the Fund. For instance, the economy may be significantly impacted by the advanced development and increased regulation of artificial intelligence. These events, and any other future events, may adversely affect the prices and liquidity of the Fund’s portfolio investments and could result in disruptions in the trading markets.

ENERGY COMPANIES RISK. The success of energy companies may be cyclical and highly dependent on energy prices. The market value of securities issued by energy companies may decline for many reasons, including, among other things, changes in the levels and volatility of global energy prices, energy supply and demand, capital expenditures on exploration and production of energy sources, exchange rates, interest rates, economic conditions, tax treatment, energy conservation efforts, increased competition and technological advances. Energy companies may be subject to substantial government regulation and contractual fixed pricing, which may increase the cost of doing business and limit the earnings of these companies. A significant portion of the revenues of energy companies may depend on a relatively small number of customers, including governmental entities and utilities. As a result, governmental budget constraints may have a material adverse effect on the stock prices of energy companies. Energy companies may also operate in, or engage in transactions involving, countries with less developed regulatory regimes or a history of expropriation, nationalization or other adverse policies. Energy companies also face a significant risk of liability from accidents resulting in injury or loss of life or property, pollution or other environmental problems, equipment malfunctions or mishandling of materials and a risk of loss from terrorism, political strife or natural disasters.

First Trust Energy AlphaDEX® Fund (FXN)

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.

GROWTH STOCKS INVESTMENT RISK. Stocks exhibiting growth characteristics tend to be more volatile than certain other types of stocks and their prices usually fluctuate more dramatically than the overall stock market. A stock with growth characteristics can have sharp price declines due to decreases in current or expected earnings and may lack dividend payments that can help cushion its share price during declining markets.

First Trust Energy AlphaDEX® Fund (FXN)

their role or step away from these activities in times of market stress could inhibit the effectiveness of the arbitrage process in maintaining the relationship between the underlying values of the Fund’s portfolio securities and the Fund’s market price. The Fund may rely on a small number of third-party market makers to provide a market for the purchase and sale of shares. Any trading halt or other problem relating to the trading activity of these market makers could result in a dramatic change in the spread between the Fund’s net asset value and the price at which the Fund’s shares are trading on the Exchange, which could result in a decrease in value of the Fund’s shares. This reduced effectiveness could result in Fund shares trading at a discount to net asset value and also in greater than normal intraday bid-ask spreads for Fund shares.

First Trust Energy AlphaDEX® Fund (FXN)

Annual Total Return

With respect to the Russell 1000® Energy Index, on or about September 18, 2008, Russell Investment Group (“Russell”) began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the Russell Global Sectors (the “RGS”). The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. In addition to the implementation of the RGS, Russell combined the Russell 1000® Integrated Oils Index and the Russell 1000® Other Energy Index into one index, the Russell 1000® Energy Index. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000® Energy Index because this index did not exist until on or about September 18, 2008.

First Trust Energy AlphaDEX® Fund
Calendar Year Total Returns as of 12/31 (1)

(1)

The Fund's calendar year-to-date total return based on net asset value for the period 12/31/22 to 09/30/23 was 4.51%.

First Trust Energy AlphaDEX® Fund (FXN)

During the periods shown in the chart above:

	Return	Period Ended
Best Quarter	65.48%	June 30, 2020
Worst Quarter	-61.97%	March 31, 2020
Year-to-Date	4.51%	September 30, 2023

The Fund’s past performance (before and after taxes) is not necessarily an indication of how the Fund will perform in the future.

Average Annual Total Returns for the Periods Ended December 31, 2022

	1 Year	5 Years	10 Years	Since Inception	Inception Date
Return Before Taxes	47.14%	4.60%	0.45%	0.42%	5/8/2007
Return After Taxes on Distributions	45.68%	3.54%	-0.35%	-0.16%
Return After Taxes on Distributions and Sale of Fund Shares	27.84%	2.93%	-0.09%	0.03%
StrataQuant® Energy Index (reflects no deduction for fees, expenses or taxes)	47.99%	5.24%	1.01%	1.04%
Russell 1000® Index (reflects no deduction for fees, expenses or taxes)	-19.13%	9.13%	12.37%	8.29%
S&P 500® Energy Index (reflects no deduction for fees, expenses or taxes)	65.72%	9.25%	5.97%	4.97%
Russell 1000® Energy Index(1) (reflects no deduction for fees, expenses or taxes)	61.73%	8.85%	5.42%	N/A
Russell 3000® Index (reflects no deduction for fees, expenses or taxes)	8.38%	10.23%	10.52%	8.31%

(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.

Management

Investment Advisor

First Trust Advisors L.P. (“First Trust” or the “Advisor”)

First Trust Energy AlphaDEX® Fund (FXN)

Portfolio Managers

The Fund’s portfolio is managed by a team (the “Investment Committee”) consisting of:

•

Daniel J. Lindquist, Chairman of the Investment Committee and Managing Director of First Trust

•

David G. McGarel, Chief Investment Officer, Chief Operating Officer and Managing Director of First Trust

•

Jon C. Erickson, Senior Vice President of First Trust

•

Roger F. Testin, Senior Vice President of First Trust

•

Stan Ueland, Senior Vice President of First Trust

•

Chris A. Peterson, Senior Vice President of First Trust

•

Erik Russo, Vice President of First Trust

Purchase and Sale of Fund Shares

Tax Information

Payments to Broker-Dealers and Other Financial Intermediaries

Summary Information
First Trust Financials AlphaDEX® Fund (FXO)

Investment Objective

The First Trust Financials AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the StrataQuant® Financials Index (the “Index”).

Fees and Expenses of the Fund

Shareholder Fees
(fees paid directly from your investment)

Maximum Sales Charge (Load) Imposed on Purchases (as a percentage of offering price)

None

Annual Fund Operating Expenses
(expenses that you pay each year as a percentage of the value of your investment)

Management Fees	0.50%
Distribution and Service (12b-1) Fees	0.00%
Other Expenses	0.12%
Total Annual Fund Operating Expenses	0.62%
Fee Waiver and Expense Reimbursement(1)	0.00%
Net Annual Fund Operating Expenses	0.62%

(1)

Example

The example below is intended to help you compare the cost of investing in the Fund with the cost of investing in other funds.

1 Year	3 Years	5 Years	10 Years
$63	$199	$346	$774

Portfolio Turnover

Principal Investment Strategies

First Trust Financials AlphaDEX® Fund (FXO)

According to the Index Provider, the Index is a modified equal-dollar weighted index to objectively identify and select stocks from the Russell 1000® Index in the financial services sector that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX® selection methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. The Russell 1000® Index consists of approximately 1,000 of the largest stocks within the Russell 3000® Index. The Russell 3000® Index is constructed to represent approximately 98% of the U.S. market.

According to the Index Provider, security selection for the Index will be conducted in the following manner:

The selection universe for the Index begins with all stocks in the Russell 1000® Index that meet the Index Provider’s share class and liquidity screens.

The Index is reconstituted and rebalanced quarterly and the Fund will make corresponding changes to its portfolio shortly after the Index changes are made public. The Index’s quarterly rebalance and reconstitution schedule may cause the Fund to experience a higher rate of portfolio turnover. The Fund will be concentrated in an industry or a group of industries to the extent that the Index is so concentrated. As of October 31, 2023, the Index was composed of 102 securities with a market capitalization range of $1.7 billion to $744.4 billion. As of October 31, 2023, the Fund had significant investments in financial companies. The Fund's investments will change as the Index changes and, as a result, the Fund may have significant investments in jurisdictions or investment sectors that it may not have had as of October 31, 2023. To the extent the Fund invests a significant portion of its assets in a given jurisdiction or investment sector, the Fund may be exposed to the risks associated with that jurisdiction or investment sector.

Principal Risks

First Trust Financials AlphaDEX® Fund (FXO)

FINANCIAL COMPANIES RISK. Financial companies, such as retail and commercial banks, insurance companies and financial services companies, are especially subject to the adverse effects of economic recession, currency exchange rates, extensive government regulation, decreases in the availability of capital, volatile interest rates, portfolio concentrations in geographic markets, industries or products (such as commercial and residential real estate loans), competition from new entrants and blurred distinctions in their fields of business.

First Trust Financials AlphaDEX® Fund (FXO)

assurance that the requirements of the Exchange necessary to maintain the listing of the Fund will continue to be met or will remain unchanged. The Fund may have difficulty maintaining its listing on the Exchange in the event the Fund’s assets are small, the Fund does not have enough shareholders, or if the Fund is unable to proceed with creation and/or redemption orders.

Annual Total Return

With respect to the Russell 1000® Financial Services Index, on or about September 18, 2008, Russell Investment Group (“Russell”) began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the Russell Global Sectors (the “RGS”). The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for the Russell 1000® Financial Services Index for the “Since Inception” period set forth in the table because performance data does not exist using solely the U.S. sector scheme or alternatively, using solely the RGS.

First Trust Financials AlphaDEX® Fund
Calendar Year Total Returns as of 12/31 (1)

(1)

The Fund's calendar year-to-date total return based on net asset value for the period 12/31/22 to 09/30/23 was -5.34%.

During the periods shown in the chart above:

	Return	Period Ended
Best Quarter	36.00%	December 31, 2020
Worst Quarter	-36.22%	March 31, 2020
Year-to-Date	-5.34%	September 30, 2023

The Fund’s past performance (before and after taxes) is not necessarily an indication of how the Fund will perform in the future.

First Trust Financials AlphaDEX® Fund (FXO)

Average Annual Total Returns for the Periods Ended December 31, 2022

	1 Year	5 Years	10 Years	Since Inception	Inception Date
Return Before Taxes	-9.17%	8.11%	12.26%	6.71%	5/8/2007
Return After Taxes on Distributions	-10.11%	7.05%	11.34%	5.91%
Return After Taxes on Distributions and Sale of Fund Shares	-5.45%	5.84%	9.70%	5.06%
StrataQuant® Financials Index (reflects no deduction for fees, expenses or taxes)	-8.70%	8.84%	13.03%	7.54%
Russell 1000® Index (reflects no deduction for fees, expenses or taxes)	-19.13%	9.13%	12.37%	8.29%
S&P 500® Financials Index (reflects no deduction for fees, expenses or taxes)	-10.53%	6.42%	12.16%	2.89%
Russell 1000® Financials Index(1) (reflects no deduction for fees, expenses or taxes)	-10.90%	9.66%	13.34%	N/A
Russell 3000® Index (reflects no deduction for fees, expenses or taxes)	8.38%	10.23%	10.52%	8.31%

(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.

Management

Investment Advisor

First Trust Advisors L.P. (“First Trust” or the “Advisor”)

Portfolio Managers

The Fund’s portfolio is managed by a team (the “Investment Committee”) consisting of:

•

Daniel J. Lindquist, Chairman of the Investment Committee and Managing Director of First Trust

•

David G. McGarel, Chief Investment Officer, Chief Operating Officer and Managing Director of First Trust

•

Jon C. Erickson, Senior Vice President of First Trust

•

Roger F. Testin, Senior Vice President of First Trust

•

Stan Ueland, Senior Vice President of First Trust

•

Chris A. Peterson, Senior Vice President of First Trust

•

Erik Russo, Vice President of First Trust

Purchase and Sale of Fund Shares

Summary Information
First Trust Health Care AlphaDEX® Fund (FXH)

Investment Objective

The First Trust Health Care AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the StrataQuant® Health Care Index (the “Index”).

Fees and Expenses of the Fund

Shareholder Fees
(fees paid directly from your investment)

Maximum Sales Charge (Load) Imposed on Purchases (as a percentage of offering price)

None

Annual Fund Operating Expenses
(expenses that you pay each year as a percentage of the value of your investment)

Management Fees	0.50%
Distribution and Service (12b-1) Fees	0.00%
Other Expenses	0.12%
Total Annual Fund Operating Expenses	0.62%
Fee Waiver and Expense Reimbursement(1)	0.00%
Net Annual Fund Operating Expenses	0.62%

(1)

Example

The example below is intended to help you compare the cost of investing in the Fund with the cost of investing in other funds.

1 Year	3 Years	5 Years	10 Years
$63	$199	$346	$774

Portfolio Turnover

Principal Investment Strategies

First Trust Health Care AlphaDEX® Fund (FXH)

According to the Index Provider, the Index is a modified equal-dollar weighted index to objectively identify and select stocks from the Russell 1000® Index in the health care sector that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX® selection methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. The Russell 1000® Index consists of approximately 1,000 of the largest stocks within the Russell 3000® Index. The Russell 3000® Index is constructed to represent approximately 98% of the U.S. market.

According to the Index Provider, security selection for the Index will be conducted in the following manner:

The selection universe for the Index begins with all stocks in the Russell 1000® Index that meet the Index Provider’s share class and liquidity screens.

The Index is reconstituted and rebalanced quarterly and the Fund will make corresponding changes to its portfolio shortly after the Index changes are made public. The Index’s quarterly rebalance and reconstitution schedule may cause the Fund to experience a higher rate of portfolio turnover. The Fund will be concentrated in an industry or a group of industries to the extent that the Index is so concentrated. As of October 31, 2023, the Index was composed of 84 securities with a market capitalization range of $905 million to $498.1 billion. As of October 31, 2023, the Fund had significant investments in health care companies. The Fund's investments will change as the Index changes and, as a result, the Fund may have significant investments in jurisdictions or investment sectors that it may not have had as of October 31, 2023. To the extent the Fund invests a significant portion of its assets in a given jurisdiction or investment sector, the Fund may be exposed to the risks associated with that jurisdiction or investment sector.

Principal Risks

First Trust Health Care AlphaDEX® Fund (FXH)

HEALTH CARE COMPANIES RISK. Health care companies, such as companies providing medical and healthcare goods and services, companies engaged in manufacturing medical equipment, supplies and pharmaceuticals, as well as operating health care facilities and the provision of managed health care, may be affected by government regulations and government health care programs, increases or decreases in the cost of medical products and services and product liability claims, among other factors. Many health care companies are heavily dependent on patent protection, and the expiration of a company’s patent

First Trust Health Care AlphaDEX® Fund (FXH)

may adversely affect that company’s profitability. Health care companies are also subject to competitive forces that may result in price discounting, may be thinly capitalized and susceptible to product obsolescence.

First Trust Health Care AlphaDEX® Fund (FXH)

Annual Total Return

With respect to the Russell 1000® Health Care Index, on or about September 18, 2008, Russell Investment Group (“Russell”) began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the Russell Global Sectors (the “RGS”). The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for the Russell 1000® Health Care Index for the “Since Inception” period set forth in the table because performance data does not exist using solely the U.S. sector scheme or alternatively, using solely the RGS.

First Trust Health Care AlphaDEX® Fund
Calendar Year Total Returns as of 12/31 (1)

(1)

The Fund's calendar year-to-date total return based on net asset value for the period 12/31/22 to 09/30/23 was -10.46%.

During the periods shown in the chart above:

	Return	Period Ended
Best Quarter	22.21%	June 30, 2020
Worst Quarter	-18.80%	December 31, 2018
Year-to-Date	-10.46%	September 30, 2023

The Fund’s past performance (before and after taxes) is not necessarily an indication of how the Fund will perform in the future.

First Trust Health Care AlphaDEX® Fund (FXH)

Average Annual Total Returns for the Periods Ended December 31, 2022

	1 Year	5 Years	10 Years	Since Inception	Inception Date
Return Before Taxes	-12.21%	9.32%	12.82%	11.49%	5/8/2007
Return After Taxes on Distributions	-12.28%	9.30%	12.81%	11.46%
Return After Taxes on Distributions and Sale of Fund Shares	-7.23%	7.37%	10.77%	9.94%
StrataQuant® Health Care Index (reflects no deduction for fees, expenses or taxes)	-11.62%	10.05%	13.57%	12.28%
Russell 1000® Index (reflects no deduction for fees, expenses or taxes)	-19.13%	9.13%	12.37%	8.29%
S&P 500® Health Care Index (reflects no deduction for fees, expenses or taxes)	-1.95%	12.53%	15.05%	10.83%
Russell 1000® Health Care Index(1) (reflects no deduction for fees, expenses or taxes)	-4.01%	12.39%	15.09%	N/A
Russell 3000® Index (reflects no deduction for fees, expenses or taxes)	8.38%	10.23%	10.52%	8.31%

(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.

Management

Investment Advisor

First Trust Advisors L.P. (“First Trust” or the “Advisor”)

Portfolio Managers

The Fund’s portfolio is managed by a team (the “Investment Committee”) consisting of:

•

Daniel J. Lindquist, Chairman of the Investment Committee and Managing Director of First Trust

•

David G. McGarel, Chief Investment Officer, Chief Operating Officer and Managing Director of First Trust

•

Jon C. Erickson, Senior Vice President of First Trust

•

Roger F. Testin, Senior Vice President of First Trust

•

Stan Ueland, Senior Vice President of First Trust

•

Chris A. Peterson, Senior Vice President of First Trust

•

Erik Russo, Vice President of First Trust

Purchase and Sale of Fund Shares

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

Investment Objective

The First Trust Industrials/Producer Durables AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the StrataQuant® Industrials Index (the “Index”).

Fees and Expenses of the Fund

Shareholder Fees
(fees paid directly from your investment)

Maximum Sales Charge (Load) Imposed on Purchases (as a percentage of offering price)

None

Annual Fund Operating Expenses
(expenses that you pay each year as a percentage of the value of your investment)

Management Fees	0.50%
Distribution and Service (12b-1) Fees	0.00%
Other Expenses	0.11%
Total Annual Fund Operating Expenses	0.61%
Fee Waiver and Expense Reimbursement(1)	0.00%
Net Annual Fund Operating Expenses	0.61%

(1)

Example

The example below is intended to help you compare the cost of investing in the Fund with the cost of investing in other funds.

1 Year	3 Years	5 Years	10 Years
$62	$195	$340	$762

Portfolio Turnover

Principal Investment Strategies

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

According to the Index Provider, the Index is a modified equal-dollar weighted index to objectively identify and select stocks from the Russell 1000® Index in the industrials and producer durables sectors that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX® selection methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. The Russell 1000® Index consists of approximately 1,000 of the largest stocks within the Russell 3000® Index. The Russell 3000® Index is constructed to represent approximately 98% of the U.S. market.

According to the Index Provider, security selection for the Index will be conducted in the following manner:

The selection universe for the Index begins with all stocks in the Russell 1000® Index that meet the Index Provider’s share class and liquidity screens.

The Index is reconstituted and rebalanced quarterly and the Fund will make corresponding changes to its portfolio shortly after the Index changes are made public. The Index’s quarterly rebalance and reconstitution schedule may cause the Fund to experience a higher rate of portfolio turnover. The Fund will be concentrated in an industry or a group of industries to the extent that the Index is so concentrated. As of October 31, 2023, the Index was composed of 133 securities with a market capitalization range of $2.6 billion to $475.5 billion. As of October 31, 2023, the Fund had significant investments in industrials companies. The Fund's investments will change as the Index changes and, as a result, the Fund may have significant investments in jurisdictions or investment sectors that it may not have had as of October 31, 2023. To the extent the Fund invests a significant portion of its assets in a given jurisdiction or investment sector, the Fund may be exposed to the risks associated with that jurisdiction or investment sector.

Principal Risks

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

changes could adversely impact the Fund’s ability to achieve its investment strategies or make certain investments. Recent and potential future bank failures could result in disruption to the broader banking industry or markets generally and reduce confidence in financial institutions and the economy as a whole, which may also heighten market volatility and reduce liquidity. The ongoing adversarial political climate in the United States, as well as political and diplomatic events both domestic and abroad, have and may continue to have an adverse impact the U.S. regulatory landscape, markets and investor behavior, which could have a negative impact on the Fund’s investments and operations. Other unexpected political, regulatory and diplomatic events within the U.S. and abroad may affect investor and consumer confidence and may adversely impact financial markets and the broader economy. For example, ongoing armed conflicts between Russia and Ukraine in Europe and among Israel, Hamas and other militant groups in the Middle East, have caused and could continue to cause significant market disruptions and volatility within the markets in Russia, Europe, the Middle East and the United States. The hostilities and sanctions resulting from those hostilities have and could continue to have a significant impact on certain Fund investments as well as Fund performance and liquidity. The economies of the United States and its trading partners, as well as the financial markets generally, may be adversely impacted by trade disputes and other matters. For example, the United States has imposed trade barriers and restrictions on China. In addition, the Chinese government is engaged in a longstanding dispute with Taiwan, continually threatening an invasion. If the political climate between the United States and China does not improve or continues to deteriorate, if China were to attempt invading Taiwan, or if other geopolitical conflicts develop or worsen, economies, markets and individual securities may be adversely affected, and the value of the Fund’s assets may go down. The COVID-19 global pandemic, or any future public health crisis, and the ensuing policies enacted by governments and central banks have caused and may continue to cause significant volatility and uncertainty in global financial markets, negatively impacting global growth prospects. While vaccines have been developed, there is no guarantee that vaccines will be effective against emerging future variants of the disease. As this global pandemic illustrated, such events may affect certain geographic regions, countries, sectors and industries more significantly than others. Advancements in technology may also adversely impact markets and the overall performance of the Fund. For instance, the economy may be significantly impacted by the advanced development and increased regulation of artificial intelligence. These events, and any other future events, may adversely affect the prices and liquidity of the Fund’s portfolio investments and could result in disruptions in the trading markets.

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

fund that is more broadly diversified. There may be instances in which the Index, for a variety of reasons including changes in the prices of individual securities held by the Fund, has a larger exposure to a small number of stocks or a single stock relative to the rest of the stocks in the Index. Under such circumstances, the Fund will not deviate from the Index except in rare circumstances or in an immaterial way and therefore the Fund’s returns would be more greatly influenced by the returns of the stock(s) with the larger exposure.

INDUSTRIALS COMPANIES RISK. Industrials companies convert unfinished goods into finished durables used to manufacture other goods or provide services. Examples of industrials companies include companies involved in the production of electrical equipment and components, industrial products, manufactured housing and telecommunications equipment, as well as defense and aerospace companies. General risks of industrials companies include the general state of the economy, exchange rates, commodity prices, intense competition, consolidation, domestic and international politics, government regulation, import controls, excess capacity, consumer demand and spending trends. In addition, industrials companies may also be significantly affected by overall capital spending levels, economic cycles, rapid technological changes, delays in modernization, labor relations, environmental liabilities, governmental and product liability and e-commerce initiatives.

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

the spread between the Fund’s net asset value and the price at which the Fund’s shares are trading on the Exchange, which could result in a decrease in value of the Fund’s shares. This reduced effectiveness could result in Fund shares trading at a discount to net asset value and also in greater than normal intraday bid-ask spreads for Fund shares.

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

Annual Total Return

With respect to the Russell 1000® Producer Durables Index, on or about September 18, 2008, Russell Investment Group (“Russell”) began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the Russell Global Sectors (the “RGS”). The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for the Russell 1000® Producer Durables Index for the “Since Inception” period set forth in the table because performance data does not exist using solely the U.S. sector scheme or alternatively, using solely the RGS.

First Trust Industrials/Producer Durables AlphaDEX® Fund
Calendar Year Total Returns as of 12/31 (1)

(1)

The Fund's calendar year-to-date total return based on net asset value for the period 12/31/22 to 09/30/23 was 12.03%.

During the periods shown in the chart above:

	Return	Period Ended
Best Quarter	24.61%	June 30, 2020
Worst Quarter	-32.06%	March 31, 2020
Year-to-Date	12.03%	September 30, 2023

The Fund’s past performance (before and after taxes) is not necessarily an indication of how the Fund will perform in the future.

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

Average Annual Total Returns for the Periods Ended December 31, 2022

	1 Year	5 Years	10 Years	Since Inception	Inception Date
Return Before Taxes	-16.65%	5.92%	11.14%	7.12%	5/8/2007
Return After Taxes on Distributions	-16.97%	5.51%	10.76%	6.77%
Return After Taxes on Distributions and Sale of Fund Shares	-9.86%	4.42%	9.05%	5.73%
StrataQuant® Industrials Index (reflects no deduction for fees, expenses or taxes)	-16.06%	6.61%	11.90%	7.89%
Russell 1000® Index (reflects no deduction for fees, expenses or taxes)	-19.13%	9.13%	12.37%	8.29%
S&P 500® Industrials Index (reflects no deduction for fees, expenses or taxes)	-5.48%	7.36%	11.94%	8.11%
Russell 1000® Industrials Index(1) (reflects no deduction for fees, expenses or taxes)	-13.16%	5.27%	11.16%	N/A
Russell 3000® Index (reflects no deduction for fees, expenses or taxes)	8.38%	10.23%	10.52%	8.31%

(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.

Management

Investment Advisor

First Trust Advisors L.P. (“First Trust” or the “Advisor”)

Portfolio Managers

The Fund’s portfolio is managed by a team (the “Investment Committee”) consisting of:

•

Daniel J. Lindquist, Chairman of the Investment Committee and Managing Director of First Trust

•

David G. McGarel, Chief Investment Officer, Chief Operating Officer and Managing Director of First Trust

•

Jon C. Erickson, Senior Vice President of First Trust

•

Roger F. Testin, Senior Vice President of First Trust

•

Stan Ueland, Senior Vice President of First Trust

•

Chris A. Peterson, Senior Vice President of First Trust

•

Erik Russo, Vice President of First Trust

Purchase and Sale of Fund Shares

Summary Information
First Trust Materials AlphaDEX® Fund (FXZ)

Investment Objective

The First Trust Materials AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the StrataQuant® Materials Index (the “Index”).

Fees and Expenses of the Fund

Shareholder Fees
(fees paid directly from your investment)

Maximum Sales Charge (Load) Imposed on Purchases (as a percentage of offering price)

None

Annual Fund Operating Expenses
(expenses that you pay each year as a percentage of the value of your investment)

Management Fees	0.50%
Distribution and Service (12b-1) Fees	0.00%
Other Expenses	0.12%
Total Annual Fund Operating Expenses	0.62%
Fee Waiver and Expense Reimbursement(1)	0.00%
Net Annual Fund Operating Expenses	0.62%

(1)

Example

The example below is intended to help you compare the cost of investing in the Fund with the cost of investing in other funds.

1 Year	3 Years	5 Years	10 Years
$63	$199	$346	$774

Portfolio Turnover

The Fund pays transaction costs, such as commissions, when it buys and sells securities (or “t

Summary Information
AlphaDEX® Sector Funds
First Trust Consumer Discretionary AlphaDEX® Fund (FXD)	3
First Trust Consumer Staples AlphaDEX® Fund (FXG)	11
First Trust Energy AlphaDEX® Fund (FXN)	19
First Trust Financials AlphaDEX® Fund (FXO)	27
First Trust Health Care AlphaDEX® Fund (FXH)	35
First Trust Industrials/Producer Durables AlphaDEX® Fund (FXR)	43
First Trust Materials AlphaDEX® Fund (FXZ)	51
First Trust Technology AlphaDEX® Fund (FXL)	59
First Trust Utilities AlphaDEX® Fund (FXU)	67
AlphaDEX® Style Funds
First Trust Large Cap Core AlphaDEX® Fund (FEX)	75
First Trust Large Cap Growth AlphaDEX® Fund (FTC)	83
First Trust Large Cap Value AlphaDEX® Fund (FTA)	91
First Trust Mid Cap Core AlphaDEX® Fund (FNX)	99
First Trust Mid Cap Growth AlphaDEX® Fund (FNY)	107
First Trust Mid Cap Value AlphaDEX® Fund (FNK)	115
First Trust Multi Cap Growth AlphaDEX® Fund (FAD)	123
First Trust Multi Cap Value AlphaDEX® Fund (FAB)	131
First Trust Small Cap Core AlphaDEX® Fund (FYX)	139
First Trust Small Cap Growth AlphaDEX® Fund (FYC)	147
First Trust Small Cap Value AlphaDEX® Fund (FYT)	155
Additional Information on the Funds' Investment Objectives and Strategies	163
Fund Investments	165
Risks of Investing in the Funds	166
Fund Organization	175
Management of the Funds	175
How to Buy and Sell Shares	177
Dividends, Distributions and Taxes	179
Federal Tax Matters	179
Distribution Plan	181
Net Asset Value	182
Fund Service Providers	183
Index Providers	183
Disclaimers	183
Premium/Discount Information	184
Total Return Information	185
Financial Highlights	193
Other Information	213