--------------------------------------------------------------------------------
FIRST TRUST
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
Semi-Annual Report January 31, 2023
--------------------------------------------------------------------------------
AlphaDEX(R) Sector Funds
------------------------
First Trust Consumer Discretionary AlphaDEX(R) Fund (FXD)
First Trust Consumer Staples AlphaDEX(R) Fund (FXG)
First Trust Energy AlphaDEX(R) Fund (FXN)
First Trust Financials AlphaDEX(R) Fund (FXO)
First Trust Health Care AlphaDEX(R) Fund (FXH)
First Trust Industrials/Producer Durables AlphaDEX(R) Fund (FXR)
First Trust Materials AlphaDEX(R) Fund (FXZ)
First Trust Technology AlphaDEX(R) Fund (FXL)
First Trust Utilities AlphaDEX(R) Fund (FXU)
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
SECTOR FUNDS
SEMI-ANNUAL REPORT
JANUARY 31, 2023
Shareholder Letter........................................................... 2
Market Overview.............................................................. 3
Fund Performance Overview
First Trust Consumer Discretionary AlphaDEX(R) Fund (FXD).............. 4
First Trust Consumer Staples AlphaDEX(R) Fund (FXG).................... 6
First Trust Energy AlphaDEX(R) Fund (FXN).............................. 8
First Trust Financials AlphaDEX(R) Fund (FXO).......................... 10
First Trust Health Care AlphaDEX(R) Fund (FXH)......................... 12
First Trust Industrials/Producer Durables AlphaDEX(R) Fund (FXR)....... 14
First Trust Materials AlphaDEX(R) Fund (FXZ)........................... 16
First Trust Technology AlphaDEX(R) Fund (FXL).......................... 18
First Trust Utilities AlphaDEX(R) Fund (FXU)........................... 20
Notes to Fund Performance Overview........................................... 22
Understanding Your Fund Expenses............................................. 23
Portfolio of Investments
First Trust Consumer Discretionary AlphaDEX(R) Fund (FXD).............. 25
First Trust Consumer Staples AlphaDEX(R) Fund (FXG).................... 28
First Trust Energy AlphaDEX(R) Fund (FXN).............................. 29
First Trust Financials AlphaDEX(R) Fund (FXO).......................... 30
First Trust Health Care AlphaDEX(R) Fund (FXH)......................... 33
First Trust Industrials/Producer Durables AlphaDEX(R) Fund (FXR)....... 36
First Trust Materials AlphaDEX(R) Fund (FXZ)........................... 39
First Trust Technology AlphaDEX(R) Fund (FXL).......................... 40
First Trust Utilities AlphaDEX(R) Fund (FXU)........................... 43
Statements of Assets and Liabilities......................................... 44
Statements of Operations..................................................... 46
Statements of Changes in Net Assets.......................................... 48
Financial Highlights......................................................... 52
Notes to Financial Statements................................................ 57
Additional Information....................................................... 65
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
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 of investing in the Funds.
Performance data quoted represents past performance, which is no guarantee of
future results, and current performance may be lower or higher than the figures
shown. For the most recent month-end performance figures, please visit
www.ftportfolios.com or speak with your financial advisor. Investment returns,
net asset value and share price will fluctuate and Fund shares, when sold, may
be worth more or less than their original cost.
The Advisor may also periodically provide additional information on Fund
performance on each Fund's webpage at www.ftportfolios.com.
HOW TO READ THIS REPORT
This report contains information that may help you evaluate your investment. It
includes details about each Fund and presents data and analysis that provide
insight into each Fund's performance and investment approach.
By reading the market overview by Robert F. Carey, Chief Market Strategist of
the Advisor, you may obtain an understanding of how the market environment
affected the performance of each Fund. The statistical information that follows
may help you understand each Fund's performance compared to that of relevant
market benchmarks.
It is important to keep in mind that the opinions expressed by personnel of the
Advisor are just that: informed opinions. They should not be considered to be
promises or advice. The opinions, like the statistics, cover the period through
the date on the cover of this report. The material risks of investing in each
Fund are spelled out in its prospectus, statement of additional information, and
other Fund regulatory filings.
Page 1
--------------------------------------------------------------------------------
SHAREHOLDER LETTER
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO
JANUARY 31, 2023
Dear Shareholders:
First Trust is pleased to provide you with the semi-annual report for the Sector
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, 2023.
Given recent inflation data, the Federal Reserve's (the "Fed") monetary policy
remains front and center in most discussions regarding the outlook of the U.S.
economy. Annual revisions to the Consumer Price Index released on February 10,
2023, showed that prices climbed at a 3.3% annual rate in the last three months
of 2022, not the 1.8% rate reported four weeks prior, according to Brian
Wesbury, Chief Economist at First Trust. Additionally, "core" inflation, which
excludes volatile food and energy prices, was also revised upwards from 3.1% to
4.3% over the period. Furthermore, January's 2023 jobs data came in better than
expected, with non-farm payroll employment rising by 517,000. It is precisely
this situation: stubbornly high inflation, strong jobs growth and increasing
interest rates, which has many pundits debating whether the typical U.S.
consumer can remain healthy enough to help ward off an economic recession.
As many investors know, the consumer is an essential driver of economic growth
in the U.S. On average, over the 15-year period ended October 1, 2022, consumer
spending accounted for 67.8% of the U.S. gross domestic product ("GDP").
Crucially, recent data regarding consumer health has been mixed, in my opinion.
On one hand, the Commerce Department reported that in December 2022, the U.S.
savings rate rose to its highest level in seven months, coming in at 3.4%. On
the other hand, while December's savings rate was a welcome reversal from the
declines suffered throughout 2021 and 2022, it could indicate that consumers are
beginning to pull back on discretionary spending amidst a cloudier economic
outlook, according to Bloomberg. Recent data shows that the average interest
rate on U.S. credit cards rose to 19.07% in the fourth quarter of 2022, its
highest level in over 50 years. Additionally, U.S. credit card debt reached a
record $930.6 billion in the fourth quarter, jumping 18.5% year-over-year. Even
so, debt service payments accounted for just 9.75% of disposable personal income
in the third quarter of 2022. This figure is higher than its historic low of
8.33% set in 2021 but is also well below its peak of 13.17% set in 2007. In my
view, it is worth keeping an eye on debt service payments. If higher payments
lead to a decline in discretionary spending, it could negatively impact GDP.
I would like to take a moment to remind you that even though nearly three years
have passed since the World Health Organization initially declared the
coronavirus outbreak a global pandemic, the economic impact of worldwide
lockdowns and the subsequent governmental stimulus is still very real. China,
for example, only recently dropped its requirement that incoming travelers must
quarantine before entering the country. In addition, the global economy has yet
to fully absorb the impact of the fiscal policies enacted to jump start consumer
spending in 2020, in my view. As evidence of this, each of the countries that
comprise the G-10 currently has a headline inflation rate that stands well above
its stated target. Central banks likely have more work to do, in my opinion.
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
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, 2023
ROBERT F. CAREY, CFA
SENIOR VICE PRESIDENT AND CHIEF MARKET STRATEGIST
FIRST TRUST ADVISORS L.P.
Mr. Carey is responsible for the overall management of research and analysis of
the First Trust product line. Mr. Carey has more than 30 years of experience as
an Equity and Fixed-Income Analyst and is a recipient of the Chartered Financial
Analyst ("CFA") designation. He is a graduate of the University of Illinois at
Champaign-Urbana with a B.S. in Physics. He is also a member of the Investment
Analysts Society of Chicago and the CFA Institute. Mr. Carey has appeared as a
guest on such programs as Bloomberg TV, CNBC, and WBBM Radio, and has been
quoted by several publications, including The Wall Street Journal, The Wall
Street Reporter, Bloomberg News Service, and Registered Rep.
STATE OF THE U.S. ECONOMY
Suffice it to say, the debate regarding the Federal Reserve (the "Fed") and its
interest rate policy remains unsettled in the new year. Recent economic data,
including stubbornly high inflation and better-than-expected jobs growth in
January 2023 could be a signal to the Fed that further rate hikes may be
necessary. After cresting at 9.1% on June 30, 2022, inflation, as measured by
the Consumer Price Index ("CPI") has been declining, with the most recent
reading coming in at 6.4% on January 31, 2023. While the drop in the CPI was a
welcome sight, inflation is still elevated. For comparative purposes, the CPI
averaged 2.5% over the 30-year period ended January 31, 2023. As many investors
know, the Federal Funds target rate is one of the most effective tools that the
Fed has in its battle with inflation. Over the course of the 2022 calendar year,
the Fed increased the Federal Funds target rate (upper bound) a total of seven
times, raising it from 0.25% to 4.50%. These rate hikes continued in 2023, with
an increase of 25 basis points occurring on February 1, 2023. Given the current
economic backdrop, the Fed may have a difficult time achieving the soft landing
we have been talking about over the past year, in our opinion.
The global growth forecast from the International Monetary Fund ("IMF") released
in January 2023 projected a 2.9% real gross domestic product growth rate for
2023, down from 3.4% in 2022. The IMF is calling for a 1.4% growth rate for the
U.S. in 2023, down from its 2.0% estimate for 2022. As has been the case for
many years, Emerging Market and Developing Economies are expected to grow faster
than Advanced Economies. Their 2023 growth rate estimates are 4.0% and 1.2%,
respectively.
SECTOR/EQUITY INVESTING
For the six-month period ended January 31, 2023, six of the eleven major sectors
that comprise the S&P 500(R) Index (the "Index") generated positive total
returns, according to Bloomberg. The Index posted a total return of -0.44% over
the period. Six of the eleven sectors outperformed the broader index. The six
sectors were Energy (+17.78%), Materials (+9.71%), Financials (+9.73%),
Industrials (+7.59%), Health Care (+1.59%) and Consumer Staples (+0.99%),
according to Bloomberg. The sector that posted the lowest total return for the
period was the Consumer Discretionary sector, down 9.35%.
The Index closed at 4,076.60 on January 31, 2023, 15.01% below its all-time
high, according to Bloomberg. A Bloomberg survey of 24 equity strategists found
that their average 2023 year-end price target for the Index was 4,050 as of
February 17, 2023 (most recent release). The highest and lowest estimates were
4,750 and 3,225, respectively. Brian Wesbury, Chief Economist at First Trust has
a year-end price target of 3,900. Keep in mind that these forecasts are subject
to change. Index earnings projections are negative for 2023, but positive for
2024. As of February 17, 2023, Bloomberg's consensus year-over-year earnings
growth rate estimates for 2023 and 2024 stood at -1.85% and 11.54%,
respectively.
Investors continued to funnel capital into exchange-traded funds ("ETFs") and
related exchange-traded products ("ETPs") in 2022 despite the sharp sell-off in
the markets. ETFGI, an independent research and consultancy firm, reported that
total assets invested in ETFs/ETPs listed in the U.S. stood at $6.51 trillion as
of year-end, down 9.8% from $7.21 trillion at the end of 2021, according to its
own release. Net inflows to ETFs/ETPs listed in the U.S. stood at $607.23
billion in 2022, their second highest level on record, surpassed only by the
$919.78 billion of inflows in 2021. Globally, the ETFs industry gathered net
inflows of $30.96 billion in January 2023, marking the 44th consecutive month of
inflows. January's inflows brought the total assets invested in the global ETFs
industry to $9.81 trillion.
Page 3
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED)
--------------------------------------------------------------------------------
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD)
The First Trust Consumer Discretionary 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 StrataQuant(R) Consumer
Discretionary Index (the "Consumer Discretionary Index"). The Fund will normally
invest at least 90% of its net assets (including investment borrowings) in the
common stocks that comprise the Consumer Discretionary Index. The shares of the
Fund are listed and trade on the NYSE Arca, Inc. (the "NYSE Arca" or the
"Exchange") under the ticker symbol "FXD."
The Consumer Discretionary Index is a modified equal-dollar weighted index
designed by ICE Data Indices, LLC or its affiliates ("IDI") to objectively
identify and select stocks from the Russell 1000(R) Index in the consumer
discretionary sector that may generate positive alpha relative to traditional
passive-style indices through the use of the AlphaDEX(R) selection methodology.
Alpha is an indication of how much an investment outperforms or underperforms on
a risk-adjusted basis relative to its benchmark.
-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
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)
1/31/23 1/31/23 1/31/23 1/31/23 to 1/31/23 1/31/23 1/31/23 to 1/31/23
FUND PERFORMANCE
NAV 11.68% -3.29% 5.48% 9.43% 7.49% 30.58% 146.17% 211.59%
Market Price 11.64% -3.31% 5.47% 9.43% 7.49% 30.54% 146.23% 211.42%
INDEX PERFORMANCE
StrataQuant(R) Consumer Discretionary
Index 12.10% -2.62% 6.13% 10.13% 8.23% 34.62% 162.44% 247.14%
Russell 1000(R) Index -0.14% -8.55% 9.38% 12.51% 8.69% 56.59% 225.00% 271.13%
S&P 500(R) Consumer Discretionary
Index -9.35% -19.81% 7.23% 12.69% 10.25% 41.74% 230.38% 364.61%
Russell 1000(R) Consumer
Discretionary Index(1) -4.15% -16.92% 8.32% 12.79% N/A 49.14% 233.10% N/A
-----------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
-----------------------------
(1) On or about September 18, 2008, Russell Investment Group ("Russell") began
calculating its Russell U.S. Indices using an enhanced Russell sector scheme,
the Russell Global Sectors ("RGS"). The RGS and the former U.S. sector scheme
ran in tandem until June 30, 2009, when Russell officially transitioned to the
RGS and ceased calculating its indices using the U.S. sector scheme. In addition
to the implementation of the RGS, Russell changed the name of the Russell
1000(R) Consumer Discretionary and Services Index to the Russell 1000(R)
Consumer Discretionary Index. Consequently, performance data is not available
for all the periods shown in the table for the Russell 1000(R) Consumer
Discretionary Index because performance data does not exist for each of the
entire periods using solely the U.S. sector scheme, or alternatively, using
solely the RGS.
Source ICE Data Indices, LLC ("ICE Data"), is used with permission.
"StrataQuant(R)" is a service/trade mark of ICE Data or its affiliates. Frank
Russell Company is the source and owner of the trademarks, service marks and
copyrights related to the Russell Indices. Russell(R), Russell 1000(R) and
Russell 3000(R) are all registered trademarks of Frank Russell Company. Russell
1000(R) and Russell 3000(R) are being utilized in the indices under license.
These trademarks have been licensed along with the StrataQuant(R) Consumer
Discretionary Index ("Index") for use by First Trust Portfolios L.P. ("FTP") in
connection with the First Trust Consumer Discretionary AlphaDEX(R) Fund ("FXD").
Neither FTP, the Trust, nor FXD is sponsored, endorsed, sold or promoted by ICE
Data, its affiliates or its Third Party Suppliers including without limitation
Frank Russell Company ("ICE Data and its Suppliers"). ICE Data and its Suppliers
make no representations or warranties regarding the advisability of investing in
securities generally, in FXD particularly, the Trust or the ability of the Index
to track general stock market performance. ICE Data's only relationship to FTP
is the licensing of certain trademarks, trade names and the Index or components
thereof. The Index is determined, composed and calculated by ICE Data without
regard to FTP or FXD or its holders. ICE Data has no obligation to take the
needs of FTP or the holders of FXD into consideration in determining, composing
or calculating the Index. ICE Data is not responsible for and has not
participated in the determination of the timing of, prices of, or quantities of
FXD to be issued or in the determination or calculation of the equation by which
FXD is to be priced, sold, purchased, or redeemed. Except for certain custom
index calculation services, all information provided by ICE Data is general in
nature and not tailored to the needs of FTP or any other person, entity or group
of persons. ICE Data has no obligation or liability in connection with the
administration, marketing, or trading of FXD. ICE Data is not an investment
advisor. Inclusion of a security within an index is not a recommendation by ICE
Data to buy, sell, or hold such security, nor is it considered to be investment
advice.
ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS,
EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS
FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY
INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM ("INDEX DATA"). ICE
DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH
RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND
THE INDEX DATA, WHICH ARE PROVIDED ON AN "AS IS" BASIS AND YOUR USE IS AT YOUR
OWN RISK.
Page 4
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Consumer Discretionary 80.2%
Communication Services 9.5
Industrials 9.2
Consumer Staples 1.1
-------
Total 100.0%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Paramount Global, Class B 1.7%
Lithia Motors, Inc. 1.6
Kohl's Corp. 1.6
PVH Corp. 1.5
Thor Industries, Inc. 1.5
Wynn Resorts Ltd. 1.5
PulteGroup, Inc. 1.5
Tapestry, Inc. 1.5
Toll Brothers, Inc. 1.4
Delta Air Lines, Inc. 1.4
-------
Total 15.2%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2012 - JANUARY 31, 2023
First Trust
Consumer Discretionary StrataQuant(R) Consumer Russell 1000(R) S&P 500(R) Consumer Russell 1000(R) Consumer
AlphaDEX(R) Fund Discretionary Index Index Discretionary Index Discretionary Index
7/31/12 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/13 11,951 11,999 11,089 11,631 11,678
7/31/13 14,217 14,324 12,623 13,870 13,803
1/31/14 15,049 15,223 13,554 14,813 14,754
7/31/14 15,976 16,215 14,777 15,631 15,522
1/31/15 17,220 17,537 15,420 16,741 16,580
7/31/15 18,618 19,027 16,437 19,332 18,742
1/31/16 16,187 16,592 15,140 18,043 17,252
7/31/16 18,184 18,694 17,233 20,015 19,269
1/31/17 18,190 18,761 18,291 21,015 20,082
7/31/17 19,110 19,774 19,981 22,797 21,932
1/31/18 22,531 23,391 23,016 27,108 26,081
7/31/18 21,819 22,720 23,214 28,155 26,556
1/31/19 21,075 22,006 22,515 27,572 26,264
7/31/19 22,502 23,582 25,072 30,758 29,538
1/31/20 22,724 23,903 27,331 32,195 31,219
7/31/20 20,836 21,956 28,089 37,389 35,592
1/31/21 27,621 29,206 32,755 42,814 44,038
7/31/21 32,295 34,257 38,753 47,255 48,038
1/31/22 30,419 32,338 39,408 47,922 46,823
7/31/22 26,343 28,091 36,092 42,390 40,587
1/31/23 29,420 31,490 36,041 38,427 38,903
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 5
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG)
The First Trust Consumer Staples 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 StrataQuant(R) Consumer Staples
Index (the "Consumer Staples Index"). The Fund will normally invest at least 90%
of its net assets (including investment borrowings) in the common stocks that
comprise the Consumer Staples Index. The shares of the Fund are listed and trade
on the NYSE Arca under the ticker symbol "FXG."
The Consumer Staples Index is a modified equal-dollar weighted index designed by
IDI to objectively identify and select stocks from the Russell 1000(R) Index in
the consumer staples sector that may generate positive alpha relative to
traditional passive-style indices through the use of the AlphaDEX(R) selection
methodology. Alpha is an indication of how much an investment outperforms or
underperforms on a risk-adjusted basis relative to its benchmark.
-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
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)
1/31/23 1/31/23 1/31/23 1/31/23 to 1/31/23 1/31/23 1/31/23 to 1/31/23
FUND PERFORMANCE
NAV 0.69% 4.36% 6.53% 10.64% 9.19% 37.17% 174.90% 298.83%
Market Price 0.69% 4.39% 6.53% 10.65% 9.19% 37.20% 175.00% 298.81%
INDEX PERFORMANCE
StrataQuant(R) Consumer Staples Index 1.03% 5.07% 7.19% 11.36% 9.96% 41.48% 193.20% 345.23%
Russell 1000(R) Index -0.14% -8.55% 9.38% 12.51% 8.69% 56.59% 225.00% 271.13%
S&P 500(R) Consumer Staples Index 0.99% -0.13% 8.29% 10.30% 9.69% 48.93% 166.58% 328.50%
Russell 1000(R) Consumer Staples
Index(1) 1.20% 0.20% 7.26% 9.72% N/A 41.95% 152.84% N/A
-----------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
-----------------------------
(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Consumer Staples Index because
performance data does not exist for each of the entire periods using solely the
U.S. sector scheme, or alternatively, using solely the RGS.
Source ICE Data Indices, LLC ("ICE Data"), is used with permission.
"StrataQuant(R)" is a service/trade mark of ICE Data or its affiliates. Frank
Russell Company is the source and owner of the trademarks, service marks and
copyrights related to the Russell Indices. Russell(R), Russell 1000(R) and
Russell 3000(R) are all registered trademarks of Frank Russell Company. Russell
1000(R) and Russell 3000(R) are being utilized in the indices under license.
These trademarks have been licensed, along with the StrataQuant(R) Consumer
Staples Index ("Index") for use by First Trust Portfolios L.P. ("FTP") in
connection with the First Trust Consumer Staples AlphaDEX(R) Fund ("FXG").
Neither FTP, the Trust nor FXG is sponsored, endorsed, sold or promoted by ICE
Data, its affiliates or its Third Party Suppliers including without limitation
Frank Russell Company ("ICE Data and its Suppliers"). ICE Data and its Suppliers
make no representations or warranties regarding the advisability of investing in
securities generally, in FXG particularly, the Trust or the ability of the Index
to track general stock market performance. ICE Data's only relationship to FTP
is the licensing of certain trademarks, trade names and the Index or components
thereof. The Index is determined, composed and calculated by ICE Data without
regard to FTP or FXG or its holders. ICE Data has no obligation to take the
needs of FTP or the holders of FXG into consideration in determining, composing
or calculating the Index. ICE Data is not responsible for and has not
participated in the determination of the timing of, prices of, or quantities of
FXG to be issued or in the determination or calculation of the equation by which
FXG is to be priced, sold, purchased, or redeemed. Except for certain custom
index calculation services, all information provided by ICE Data is general in
nature and not tailored to the needs of FTP or any other person, entity or group
of persons. ICE Data has no obligation or liability in connection with the
administration, marketing, or trading of FXG. ICE Data is not an investment
advisor. Inclusion of a security within an index is not a recommendation by ICE
Data to buy, sell, or hold such security, nor is it considered to be investment
advice.
ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS,
EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS
FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY
INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM ("INDEX DATA"). ICE
DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH
RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND
THE INDEX DATA, WHICH ARE PROVIDED ON AN "AS IS" BASIS AND YOUR USE IS AT YOUR
OWN RISK.
Page 6
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Consumer Staples 87.4%
Health Care 9.9
Materials 2.7
-------
Total 100.0%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Tyson Foods, Inc., Class A 4.4%
Post Holdings, Inc. 4.3
Performance Food Group Co. 4.3
Pilgrim's Pride Corp. 4.2
AmerisourceBergen Corp. 4.2
McKesson Corp. 4.2
Bunge Ltd. 4.1
Walgreens Boots Alliance, Inc. 4.1
Lamb Weston Holdings, Inc. 3.7
Darling Ingredients, Inc. 3.5
-------
Total 41.0%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2012 - JANUARY 31, 2023
Russell 1000(R)
First Trust Consumer Staples StrataQuant(R) Consumer Russell 1000(R) S&P 500(R) Consumer Consumer Staples
AlphaDEX(R) Fund Staples Index Index Staples Index Index
7/31/12 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/13 11,649 11,691 11,089 10,502 10,619
7/31/13 14,389 14,506 12,623 11,892 12,066
1/31/14 14,911 15,086 13,554 11,873 12,113
7/31/14 16,568 16,827 14,777 12,739 13,127
1/31/15 18,741 19,081 15,420 14,356 14,750
7/31/15 20,394 20,830 16,437 15,197 15,874
1/31/16 19,532 20,001 15,140 15,574 16,194
7/31/16 22,270 22,881 17,233 16,971 17,692
1/31/17 20,847 21,488 18,291 16,575 17,335
7/31/17 21,533 22,268 19,981 17,717 18,340
1/31/18 23,348 24,225 23,016 18,800 18,915
7/31/18 21,648 22,549 23,214 17,614 17,642
1/31/19 21,276 22,222 22,515 17,837 17,760
7/31/19 21,827 22,884 25,073 20,192 19,427
1/31/20 22,975 24,175 27,332 21,716 20,962
7/31/20 23,676 25,002 28,089 21,836 20,696
1/31/21 25,570 27,079 32,755 22,727 21,571
7/31/21 27,672 29,395 38,755 25,811 24,298
1/31/22 30,688 32,625 39,410 28,041 26,796
7/31/22 31,808 33,927 36,092 27,729 26,531
1/31/23 32,023 34,275 36,041 27,997 26,849
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 7
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN)
The First Trust Energy 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 StrataQuant(R) Energy Index (the "Energy
Index"). The Fund will normally invest at least 90% of its net assets (including
investment borrowings) in the common stocks that comprise the Energy Index. The
shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol
"FXN."
The Energy Index is a modified equal-dollar weighted index designed by IDI to
objectively identify and select stocks from the Russell 1000(R) Index in the
energy sector that may generate positive alpha relative to traditional
passive-style indices through the use of the AlphaDEX(R) selection methodology.
Alpha is an indication of how much an investment outperforms or underperforms on
a risk-adjusted basis relative to its benchmark.
-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
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)
1/31/23 1/31/23 1/31/23 1/31/23 to 1/31/23 1/31/23 1/31/23 to 1/31/23
FUND PERFORMANCE
NAV 4.66% 32.22% 5.33% -0.40% 0.51% 29.64% -3.96% 8.33%
Market Price 4.66% 32.15% 5.32% -0.42% 0.51% 29.58% -4.09% 8.28%
INDEX PERFORMANCE
StrataQuant(R) Energy Index 4.81% 32.97% 5.97% 0.15% 1.13% 33.61% 1.53% 19.33%
Russell 1000(R) Index -0.14% -8.55% 9.38% 12.51% 8.69% 56.59% 225.00% 271.13%
S&P 500(R) Energy Index 17.78% 43.05% 9.04% 5.48% 5.12% 54.15% 70.54% 119.52%
Russell 1000(R) Energy Index(1) 15.25% 42.15% 8.67% 4.89% N/A 51.53% 61.15% N/A
-----------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
-----------------------------
(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. In addition to the implementation of the RGS, Russell combined the
Russell 1000(R) Integrated Oils Index and the Russell 1000(R) Other Energy Index
into one index, the Russell 1000(R) Energy Index. Consequently, performance data
is not available for all the periods shown in the table for the Russell 1000(R)
Energy Index because this index did not exist until on or about September 18,
2008.
Source ICE Data Indices, LLC ("ICE Data"), is used with permission.
"StrataQuant(R)" is a service/trade mark of ICE Data or its affiliates. Frank
Russell Company is the source and owner of the trademarks, service marks and
copyrights related to the Russell Indices. Russell(R), Russell 1000(R) and
Russell 3000(R) are all registered trademarks of Frank Russell Company. Russell
1000(R) and Russell 3000(R) are being utilized in the indices under license.
These trademarks have been licensed, along with the StrataQuant(R) Energy Index
("Index") for use by First Trust Portfolios L.P. ("FTP") in connection with the
First Trust Energy AlphaDEX(R) Fund ("FXN"). Neither FTP, the Trust nor FXN is
sponsored, endorsed, sold or promoted by ICE Data, its affiliates or its Third
Party Suppliers including without limitation Frank Russell Company ("ICE Data
and its Suppliers"). ICE Data and its Suppliers make no representations or
warranties regarding the advisability of investing in securities generally, in
FXN particularly, the Trust or the ability of the Index to track general stock
market performance. ICE Data's only relationship to FTP is the licensing of
certain trademarks, trade names and the Index or components thereof. The Index
is determined, composed and calculated by ICE Data without regard to FTP or FXN
or its holders. ICE Data has no obligation to take the needs of FTP or the
holders of FXN into consideration in determining, composing or calculating the
Index. ICE Data is not responsible for and has not participated in the
determination of the timing of, prices of, or quantities of FXN to be issued or
in the determination or calculation of the equation by which FXN is to be
priced, sold, purchased, or redeemed. Except for certain custom index
calculation services, all information provided by ICE Data is general in nature
and not tailored to the needs of FTP or any other person, entity or group of
persons. ICE Data has no obligation or liability in connection with the
administration, marketing, or trading of FXN. ICE Data is not an investment
advisor. Inclusion of a security within an index is not a recommendation by ICE
Data to buy, sell, or hold such security, nor is it considered to be investment
advice.
ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS,
EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS
FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY
INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM ("INDEX DATA"). ICE
DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH
RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND
THE INDEX DATA, WHICH ARE PROVIDED ON AN "AS IS" BASIS AND YOUR USE IS AT YOUR
OWN RISK.
Page 8
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Energy 96.5%
Information Technology 2.4
Industrials 1.1
-------
Total 100.0%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
HF Sinclair Corp. 4.5%
PDC Energy, Inc. 4.4
Halliburton Co. 4.3
Targa Resources Corp. 4.2
Coterra Energy, Inc. 4.2
Marathon Oil Corp. 4.2
Ovintiv, Inc. 4.0
Chesapeake Energy Corp. 3.8
Marathon Petroleum Corp. 3.6
Valero Energy Corp. 3.6
-------
Total 40.8%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2012 - JANUARY 31, 2023
First Trust Energy StrataQuant(R) Russell 1000(R) S&P 500(R) Russell 1000(R)
AlphaDEX(R) Fund Energy Index Index Energy Index Energy Index
7/31/12 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/13 11,901 11,949 11,089 11,067 11,096
7/31/13 12,362 12,446 12,623 11,862 11,886
1/31/14 13,083 13,220 13,554 12,051 12,136
7/31/14 15,488 15,699 14,777 14,048 14,204
1/31/15 11,142 11,310 15,420 11,289 11,256
7/31/15 9,511 9,663 16,437 10,439 10,404
1/31/16 7,332 7,450 15,140 9,073 8,852
7/31/16 8,306 8,454 17,233 10,652 10,336
1/31/17 9,202 9,402 18,291 11,486 11,169
7/31/17 7,892 8,093 19,981 10,672 10,288
1/31/18 8,816 9,080 23,016 12,244 11,800
7/31/18 9,979 10,314 23,214 12,776 12,425
1/31/19 7,767 8,033 22,515 10,734 10,371
7/31/19 6,409 6,653 25,072 10,734 10,243
1/31/20 5,281 5,506 27,331 9,605 9,154
7/31/20 3,955 4,114 28,089 6,626 6,393
1/31/21 5,319 5,564 32,755 7,434 7,391
7/31/21 6,589 6,920 38,753 9,571 9,398
1/31/22 8,645 9,125 39,408 13,194 12,580
7/31/22 10,921 11,575 36,092 16,026 15,515
1/31/23 11,430 12,132 36,041 18,875 17,881
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 9
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)
The First Trust Financials 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 StrataQuant(R) Financials Index (the
"Financials Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in the common stocks and real estate
investment trusts ("REITs") that comprise the Financials Index. The shares of
the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXO."
The Financials Index is a modified equal-dollar weighted index designed by IDI
to objectively identify and select stocks from the Russell 1000(R) Index in the
financial services sector that may generate positive alpha relative to
traditional passive-style indices through the use of the AlphaDEX(R) selection
methodology. Alpha is an indication of how much an investment outperforms or
underperforms on a risk-adjusted basis relative to its benchmark.
-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
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)
1/31/23 1/31/23 1/31/23 1/31/23 to 1/31/23 1/31/23 1/31/23 to 1/31/23
FUND PERFORMANCE
NAV 11.46% 0.94% 9.73% 12.58% 7.38% 59.06% 227.12% 206.40%
Market Price 11.51% 1.00% 9.73% 12.58% 7.38% 59.09% 226.99% 206.45%
INDEX PERFORMANCE
StrataQuant(R) Financials Index 11.78% 1.50% 10.47% 13.36% 8.21% 64.52% 250.30% 246.28%
Russell 1000(R) Index -0.14% -8.55% 9.38% 12.51% 8.69% 56.59% 225.00% 271.13%
S&P 500(R) Financials Index 9.73% -4.44% 6.50% 12.25% 3.31% 36.98% 217.71% 66.94%
Russell 1000(R) Financials Index(1) 9.47% -4.10% 10.11% 13.47% N/A 61.87% 253.82% N/A
-----------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
-----------------------------
(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Financials Index because performance
data does not exist for each of the entire periods using solely the U.S. sector
scheme, or alternatively, using solely the RGS. On September 18, 2020, the name
of the Russell 1000(R) Financial Services Index was changed to Russell 1000(R)
Financials Index.
Source ICE Data Indices, LLC ("ICE Data"), is used with permission.
"StrataQuant(R)" is a service/trade mark of ICE Data or its affiliates. Frank
Russell Company is the source and owner of the trademarks, service marks and
copyrights related to the Russell Indices. Russell(R), Russell 1000(R) and
Russell 3000(R) are all registered trademarks of Frank Russell Company. Russell
1000(R) and Russell 3000(R) are being utilized in the indices under license.
These trademarks have been licensed along with the StrataQuant(R) Financials
Index ("Index") for use by First Trust Portfolios L.P. ("FTP") in connection
with the First Trust Financials AlphaDEX(R) Fund ("FXO"). Neither FTP, the Trust
nor FXO is sponsored, endorsed, sold or promoted by ICE Data, its affiliates or
its Third Party Suppliers including without limitation Frank Russell Company
("ICE Data and its Suppliers"). ICE Data and its Suppliers make no
representations or warranties regarding the advisability of investing in
securities generally, in FXO particularly, the Trust or the ability of the Index
to track general stock market performance. ICE Data's only relationship to FTP
is the licensing of certain trademarks, trade names and the Index or components
thereof. The Index is determined, composed and calculated by ICE Data without
regard to FTP or FXO or its holders. ICE Data has no obligation to take the
needs of FTP or the holders of FXO into consideration in determining, composing
or calculating the Index. ICE Data is not responsible for and has not
participated in the determination of the timing of, prices of, or quantities of
FXO to be issued or in the determination or calculation of the equation by which
FXO is to be priced, sold, purchased, or redeemed. Except for certain custom
index calculation services, all information provided by ICE Data is general in
nature and not tailored to the needs of FTP or any other person, entity or group
of persons. ICE Data has no obligation or liability in connection with the
administration, marketing, or trading of FXO. ICE Data is not an investment
advisor. Inclusion of a security within an index is not a recommendation by ICE
Data to buy, sell, or hold such security, nor is it considered to be investment
advice.
ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS,
EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS
FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY
INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM ("INDEX DATA"). ICE
DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH
RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND
THE INDEX DATA, WHICH ARE PROVIDED ON AN "AS IS" BASIS AND YOUR USE IS AT YOUR
OWN RISK.
Page 10
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Financials 100.0%
-------
Total 100.0%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Ally Financial, Inc. 2.0%
OneMain Holdings, Inc. 1.9
Carlyle Group (The), Inc. 1.8
PacWest Bancorp 1.8
Evercore, Inc., Class A 1.8
Franklin Resources, Inc. 1.8
Citigroup, Inc. 1.7
Rithm Capital Corp. 1.7
Ameriprise Financial, Inc. 1.7
Annaly Capital Management, Inc. 1.7
-------
Total 17.9%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2012 - JANUARY 31, 2023
First Trust Financials StrataQuant(R) Russell 1000(R) S&P 500(R) Russell 1000(R)
AlphaDEX(R) Fund Financials Index Index Financials Index Financials Index
7/31/12 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/13 11,851 11,901 11,089 11,984 11,821
7/31/13 13,944 14,055 12,623 14,243 13,852
1/31/14 14,735 14,908 13,554 14,783 14,511
7/31/14 15,472 15,710 14,777 15,868 15,504
1/31/15 16,132 16,439 15,420 16,450 16,305
7/31/15 17,697 18,098 16,437 18,153 17,977
1/31/16 15,609 16,006 15,140 15,860 15,938
7/31/16 17,736 18,256 17,233 17,468 17,726
1/31/17 20,232 20,896 18,291 21,416 20,368
7/31/17 21,992 22,783 19,981 23,230 22,262
1/31/18 24,374 25,342 23,016 27,797 25,841
7/31/18 24,425 25,481 23,214 26,360 25,487
1/31/19 23,104 24,174 22,515 24,713 24,682
7/31/19 25,165 26,426 25,072 27,270 27,985
1/31/20 25,978 27,377 27,331 29,222 30,130
7/31/20 20,746 21,950 28,089 23,775 26,309
1/31/21 28,520 30,278 32,755 28,996 31,887
7/31/21 35,680 38,024 38,753 36,903 40,206
1/31/22 38,406 41,070 39,408 39,844 43,615
7/31/22 34,781 37,295 36,092 34,698 38,209
1/31/23 38,767 41,688 36,041 38,074 41,827
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 11
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH)
The First Trust Health Care 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 StrataQuant(R) Health Care Index
(the "Health Care Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in the common stocks that comprise the
Health Care Index. The shares of the Fund are listed and trade on the NYSE Arca
under the ticker symbol "FXH."
The Health Care Index is a modified equal-dollar weighted index designed by IDI
to objectively identify and select stocks from the Russell 1000(R) Index in the
health care sector that may generate positive alpha relative to traditional
passive-style indices through the use of the AlphaDEX(R) selection methodology.
Alpha is an indication of how much an investment outperforms or underperforms on
a risk-adjusted basis relative to its benchmark.
-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
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)
1/31/23 1/31/23 1/31/23 1/31/23 to 1/31/23 1/31/23 1/31/23 to 1/31/23
FUND PERFORMANCE
NAV 3.69% 1.81% 8.71% 12.23% 11.65% 51.84% 217.15% 466.62%
Market Price 3.68% 1.90% 8.72% 12.24% 11.66% 51.91% 217.17% 466.82%
INDEX PERFORMANCE
StrataQuant(R) Health Care Index 4.01% 2.50% 9.44% 12.98% 12.44% 57.00% 238.86% 533.09%
Russell 1000(R) Index -0.14% -8.55% 9.38% 12.51% 8.69% 56.59% 225.00% 271.13%
S&P 500(R) Health Care Index 1.59% 3.19% 10.68% 14.01% 10.64% 66.06% 270.97% 390.58%
Russell 1000(R) Health Care Index(1) 1.54% 2.52% 10.64% 14.09% N/A 65.81% 273.78% N/A
-----------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
-----------------------------
(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Health Care Index because performance
data does not exist for each of the entire periods using solely the U.S. sector
scheme, or alternatively, using solely the RGS.
Source ICE Data Indices, LLC ("ICE Data"), is used with permission.
"StrataQuant(R)" is a service/trade mark of ICE Data or its affiliates. Frank
Russell Company is the source and owner of the trademarks, service marks and
copyrights related to the Russell Indices. Russell(R), Russell 1000(R) and
Russell 3000(R) are all registered trademarks of Frank Russell Company. Russell
1000(R) and Russell 3000(R) are being utilized in the indices under license.
These trademarks have been licensed, along with the StrataQuant(R) Health Care
Index ("Index") for use by First Trust Portfolios L.P. ("FTP") in connection
with the First Trust Health Care AlphaDEX(R) Fund ("FXH"). Neither FTP, the
Trust nor FXH is sponsored, endorsed, sold or promoted by ICE Data, its
affiliates or its Third Party Suppliers including without limitation Frank
Russell Company ("ICE Data and its Suppliers"). ICE Data and its Suppliers make
no representations or warranties regarding the advisability of investing in
securities generally, in FXH particularly, the Trust or the ability of the Index
to track general stock market performance. ICE Data's only relationship to FTP
is the licensing of certain trademarks, trade names and the Index or components
thereof. The Index is determined, composed and calculated by ICE Data without
regard to FTP or FXH or its holders. ICE Data has no obligation to take the
needs of FTP or the holders of FXH into consideration in determining, composing
or calculating the Index. ICE Data is not responsible for and has not
participated in the determination of the timing of, prices of, or quantities of
FXH to be issued or in the determination or calculation of the equation by which
FXH is to be priced, sold, purchased, or redeemed. Except for certain custom
index calculation services, all information provided by ICE Data is general in
nature and not tailored to the needs of FTP or any other person, entity or group
of persons. ICE Data has no obligation or liability in connection with the
administration, marketing, or trading of FXH. ICE Data is not an investment
advisor. Inclusion of a security within an index is not a recommendation by ICE
Data to buy, sell, or hold such security, nor is it considered to be investment
advice.
ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS,
EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS
FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY
INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM ("INDEX DATA"). ICE
DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH
RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND
THE INDEX DATA, WHICH ARE PROVIDED ON AN "AS IS" BASIS AND YOUR USE IS AT YOUR
OWN RISK.
Page 12
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Health Care 100.0%
-------
Total 100.0%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Viatris, Inc. 2.2%
Laboratory Corp. of America Holdings 2.2
HCA Healthcare, Inc. 2.1
Universal Health Services, Inc., Class B 2.1
Exact Sciences Corp. 2.1
QuidelOrtho Corp. 2.0
Moderna, Inc. 2.0
Syneos Health, Inc. 2.0
Insulet Corp. 2.0
Elevance Health, Inc. 2.0
-------
Total 20.7%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2012 - JANUARY 31, 2023
First Trust Health Care StrataQuant(R) Russell 1000(R) S&P 500(R) Russell 1000(R)
AlphaDEX(R) Fund Health Care Index Index Health Care Index Health Care Index
7/31/12 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/13 11,878 11,924 11,089 11,298 11,370
7/31/13 14,249 14,364 12,623 13,563 13,711
1/31/14 16,732 16,925 13,554 15,010 15,258
7/31/14 17,780 18,037 14,777 16,469 16,689
1/31/15 20,477 20,840 15,420 18,867 19,229
7/31/15 23,301 23,803 16,437 20,994 21,575
1/31/16 17,944 18,381 15,140 18,412 18,576
7/31/16 20,598 21,165 17,233 20,997 21,268
1/31/17 19,922 20,528 18,291 19,823 20,189
7/31/17 22,395 23,154 19,981 22,677 23,060
1/31/18 24,811 25,735 23,016 25,242 25,629
7/31/18 25,702 26,752 23,214 25,696 26,290
1/31/19 25,000 26,105 22,515 26,419 27,011
7/31/19 25,978 27,232 25,073 26,796 27,673
1/31/20 27,674 29,109 27,332 29,615 30,354
7/31/20 31,889 33,661 28,089 31,825 33,313
1/31/21 36,321 38,458 32,755 35,026 37,065
7/31/21 40,843 43,384 38,755 40,522 42,472
1/31/22 37,008 39,419 39,410 40,619 41,453
7/31/22 36,338 38,847 36,092 41,257 41,851
1/31/23 37,673 40,405 36,041 41,915 42,500
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 13
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)
The First Trust Industrials/Producer Durables 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
StrataQuant(R) Industrials Index (the "Industrials Index"). The Fund will
normally invest at least 90% of its net assets (including investment borrowings)
in the common stocks that comprise the Industrials Index. The shares of the Fund
are listed and trade on the NYSE Arca under the ticker symbol "FXR."
The Industrials Index is a modified equal-dollar weighted index designed by IDI
to objectively identify and select stocks from the Russell 1000(R) 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(R)
selection methodology. Alpha is an indication of how much an investment
outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
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)
1/31/23 1/31/23 1/31/23 1/31/23 to 1/31/23 1/31/23 1/31/23 to 1/31/23
FUND PERFORMANCE
NAV 6.15% -0.95% 7.21% 11.41% 7.73% 41.67% 194.49% 222.64%
Market Price 6.15% -0.94% 7.22% 11.39% 7.73% 41.67% 194.07% 222.64%
INDEX PERFORMANCE
StrataQuant(R) Industrials Index 6.65% -0.22% 7.92% 12.17% 8.50% 46.39% 215.39% 260.95%
Russell 1000(R) Index -0.14% -8.55% 9.38% 12.51% 8.69% 56.59% 225.00% 271.13%
S&P 500(R) Industrials Index 7.59% 2.90% 7.03% 11.74% 8.32% 40.47% 203.34% 251.68%
Russell 1000(R) Industrials Index(1) 5.39% -3.43% 5.40% 11.12% N/A 30.10% 186.96% N/A
-----------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
-----------------------------
(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Industrials Index because performance
data does not exist for each of the entire periods using solely the U.S. sector
scheme, or alternatively, using solely the RGS. On September 18, 2020, the name
of the Russell 1000(R) Producer Durables Index was changed to Russell 1000(R)
Industrials Index.
Source ICE Data Indices, LLC ("ICE Data"), is used with permission.
"StrataQuant(R)" is a service/trade mark of ICE Data or its affiliates. Frank
Russell Company is the source and owner of the trademarks, service marks and
copyrights related to the Russell Indices. Russell(R), Russell 1000(R) and
Russell 3000(R) are all registered trademarks of Frank Russell Company. Russell
1000(R) and Russell 3000(R) are being utilized in the indices under license.
These trademarks have been licensed, along with the StrataQuant(R) Industrials
Index ("Index") for use by First Trust Portfolios L.P. ("FTP") in connection
with the First Trust Industrials/Producer Durables AlphaDEX(R) Fund ("FXR").
Neither FTP, the Trust nor FXR is sponsored, endorsed, sold or promoted by ICE
Data, its affiliates or its Third Party Suppliers including without limitation
Frank Russell Company ("ICE Data and its Suppliers"). ICE Data and its Suppliers
make no representations or warranties regarding the advisability of investing in
securities generally, in FXR particularly, the Trust or the ability of the Index
to track general stock market performance. ICE Data's only relationship to FTP
is the licensing of certain trademarks, trade names and the Index or components
thereof. The Index is determined, composed and calculated by ICE Data without
regard to FTP or FXR or its holders. ICE Data has no obligation to take the
needs of FTP or the holders of FXR into consideration in determining, composing
or calculating the Index. ICE Data is not responsible for and has not
participated in the determination of the timing of, prices of, or quantities of
FXR to be issued or in the determination or calculation of the equation by which
FXR is to be priced, sold, purchased, or redeemed. Except for certain custom
index calculation services, all information provided by ICE Data is general in
nature and not tailored to the needs of FTP or any other person, entity or group
of persons. ICE Data has no obligation or liability in connection with the
administration, marketing, or trading of FXR. ICE Data is not an investment
advisor. Inclusion of a security within an index is not a recommendation by ICE
Data to buy, sell, or hold such security, nor is it considered to be investment
advice.
ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS,
EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS
FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY
INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM ("INDEX DATA"). ICE
DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH
RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND
THE INDEX DATA, WHICH ARE PROVIDED ON AN "AS IS" BASIS AND YOUR USE IS AT YOUR
OWN RISK.
Page 14
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Industrials 70.8%
Materials 11.9
Information Technology 9.8
Consumer Discretionary 3.7
Financials 3.4
Health Care 0.4
-------
Total 100.0%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Hayward Holdings, Inc. 1.7%
United Rentals, Inc. 1.5
Builders FirstSource, Inc. 1.5
XPO, Inc. 1.4
WESCO International, Inc. 1.4
Axon Enterprise, Inc. 1.4
Brunswick Corp. 1.4
Louisiana-Pacific Corp. 1.4
Shift4 Payments, Inc., Class A 1.4
Owens Corning 1.4
-------
Total 14.5%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2012 - JANUARY 31, 2023
First Trust Industrials/
Producer Durables StrataQuant(R) Russell 1000(R) S&P 500(R) Russell 1000(R)
AlphaDEX(R) Fund Industrials Index Index Industrials Index Industrials Index
7/31/12 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/13 11,938 11,983 11,089 11,304 11,467
7/31/13 13,792 13,893 12,623 12,867 13,108
1/31/14 15,908 16,090 13,554 14,378 14,693
7/31/14 16,886 17,143 14,777 15,019 15,338
1/31/15 16,943 17,260 15,420 15,931 16,244
7/31/15 17,106 17,465 16,437 16,057 16,522
1/31/16 14,198 14,536 15,140 15,188 15,430
7/31/16 16,964 17,434 17,233 17,737 17,957
1/31/17 19,827 20,491 18,291 19,422 19,834
7/31/17 20,832 21,602 19,981 20,983 21,520
1/31/18 24,811 25,814 23,016 24,408 25,294
7/31/18 24,494 25,564 23,214 23,710 24,717
1/31/19 22,836 23,885 22,515 22,394 23,437
7/31/19 25,393 26,650 25,072 24,559 25,938
1/31/20 26,465 27,868 27,331 25,885 27,279
7/31/20 23,795 25,140 28,089 23,159 24,492
1/31/21 30,117 31,920 32,755 27,635 29,309
7/31/21 36,457 38,772 38,753 33,914 35,916
1/31/22 35,494 37,873 39,408 33,324 34,074
7/31/22 33,117 35,435 36,092 31,870 31,224
1/31/23 35,154 37,791 36,041 34,289 32,907
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 15
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ)
The First Trust Materials 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 StrataQuant(R) Materials Index (the
"Materials Index"). The Fund will normally invest at least 90% of its net assets
(including investment borrowings) in the common stocks that comprise the
Materials Index. The shares of the Fund are listed and trade on the NYSE Arca
under the ticker symbol "FXZ."
The Materials Index is a modified equal-dollar weighted index designed by IDI to
objectively identify and select stocks from the Russell 1000(R) Index in the
materials and processing sector that may generate positive alpha relative to
traditional passive-style indices through the use of the AlphaDEX(R) selection
methodology. Alpha is an indication of how much an investment outperforms or
underperforms on a risk-adjusted basis relative to its benchmark.
-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
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)
1/31/23 1/31/23 1/31/23 1/31/23 to 1/31/23 1/31/23 1/31/23 to 1/31/23
FUND PERFORMANCE
NAV 15.09% 21.97% 10.96% 11.54% 9.88% 68.19% 198.18% 340.42%
Market Price 15.10% 21.98% 10.97% 11.54% 9.88% 68.26% 198.11% 340.48%
INDEX PERFORMANCE
StrataQuant(R) Materials Index 15.38% 22.72% 11.73% 12.32% 10.68% 74.14% 219.57% 393.89%
Russell 1000(R) Index -0.14% -8.55% 9.38% 12.51% 8.69% 56.59% 225.00% 271.13%
S&P 500(R) Materials Index 9.71% 2.63% 8.44% 10.33% 7.32% 49.92% 167.25% 203.83%
Russell 1000(R) Basic Materials
Index(1) 13.47% 8.56% 8.85% 10.72% N/A 52.82% 176.88% N/A
-----------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
-----------------------------
(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Basic Materials Index because
performance data does not exist for each of the entire periods using solely the
U.S. sector scheme, or alternatively, using solely the RGS. On September 18,
2020, the name of the Russell 1000(R) Materials and Processing Index was changed
to Russell 1000(R) Basic Materials Index.
Source ICE Data Indices, LLC ("ICE Data"), is used with permission.
"StrataQuant(R)" is a service/trade mark of ICE Data or its affiliates. Frank
Russell Company is the source and owner of the trademarks, service marks and
copyrights related to the Russell Indices. Russell(R), Russell 1000(R) and
Russell 3000(R) are all registered trademarks of Frank Russell Company. Russell
1000(R) and Russell 3000(R) are being utilized in the indices under license.
These trademarks have been licensed, along with the StrataQuant(R) Materials
Index ("Index") for use by First Trust Portfolios L.P. ("FTP") in connection
with the First Trust Materials AlphaDEX(R) Fund ("FXZ"). Neither FTP, the Trust
nor FXZ is sponsored, endorsed, sold or promoted by ICE Data, its affiliates or
its Third Party Suppliers including without limitation Frank Russell Company
("ICE Data and its Suppliers"). ICE Data and its Suppliers make no
representations or warranties regarding the advisability of investing in
securities generally, in FXZ particularly, the Trust or the ability of the Index
to track general stock market performance. ICE Data's only relationship to FTP
is the licensing of certain trademarks, trade names and the Index or components
thereof. The Index is determined, composed and calculated by ICE Data without
regard to FTP or FXZ or its holders. ICE Data has no obligation to take the
needs of FTP or the holders of FXZ into consideration in determining, composing
or calculating the Index. ICE Data is not responsible for and has not
participated in the determination of the timing of, prices of, or quantities of
FXZ to be issued or in the determination or calculation of the equation by which
FXZ is to be priced, sold, purchased, or redeemed. Except for certain custom
index calculation services, all information provided by ICE Data is general in
nature and not tailored to the needs of FTP or any other person, entity or group
of persons. ICE Data has no obligation or liability in connection with the
administration, marketing, or trading of FXZ. ICE Data is not an investment
advisor. Inclusion of a security within an index is not a recommendation by ICE
Data to buy, sell, or hold such security, nor is it considered to be investment
advice.
ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS,
EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS
FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY
INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM ("INDEX DATA"). ICE
DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH
RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND
THE INDEX DATA, WHICH ARE PROVIDED ON AN "AS IS" BASIS AND YOUR USE IS AT YOUR
OWN RISK.
Page 16
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Materials 93.5%
Industrials 6.5
-------
Total 100.0%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Cleveland-Cliffs, Inc. 5.4%
Nucor Corp. 5.2
Steel Dynamics, Inc. 5.1
Westlake Corp. 4.9
Huntsman Corp. 4.7
United States Steel Corp. 4.7
Mosaic (The) Co. 4.6
Olin Corp. 3.5
International Paper Co. 3.5
Celanese Corp. 3.4
-------
Total 45.0%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2012 - JANUARY 31, 2023
First Trust Materials StrataQuant(R) Russell 1000(R) S&P 500(R) Russell 1000(R)
AlphaDEX(R) Fund Materials Index Index Materials Index Basic Materials Index
7/31/12 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/13 12,148 12,202 11,089 11,345 11,530
7/31/13 12,540 12,641 12,623 11,874 12,126
1/31/14 14,063 14,233 13,554 13,092 13,323
7/31/14 14,764 14,991 14,777 14,618 14,541
1/31/15 13,705 13,954 15,420 14,389 14,273
7/31/15 14,119 14,428 16,437 13,999 14,118
1/31/16 12,087 12,388 15,140 12,017 12,327
7/31/16 16,022 16,483 17,233 15,175 15,673
1/31/17 17,723 18,292 18,291 16,405 17,051
7/31/17 18,267 18,920 19,981 17,386 18,041
1/31/18 21,537 22,390 23,016 20,220 20,888
7/31/18 20,678 21,572 23,214 19,375 20,120
1/31/19 17,911 18,740 22,515 17,471 18,092
7/31/19 18,595 19,533 25,073 19,347 19,986
1/31/20 18,071 19,058 27,332 19,359 20,079
7/31/20 17,705 18,744 28,089 20,570 21,128
1/31/21 23,712 25,201 32,755 24,324 24,390
7/31/21 29,040 30,965 38,755 29,111 29,780
1/31/22 29,697 31,776 39,410 29,547 29,408
7/31/22 31,473 33,799 36,092 27,635 28,133
1/31/23 36,222 38,997 36,041 30,318 31,923
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 17
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL)
The First Trust Technology 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 StrataQuant(R) Technology Index (the
"Technology Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in the common stocks that comprise the
Technology Index. The shares of the Fund are listed and trade on the NYSE Arca
under the ticker symbol "FXL."
The Technology Index is a modified equal-dollar weighted index designed by IDI
to objectively identify and select stocks from the Russell 1000(R) Index in the
technology sector that may generate positive alpha relative to traditional
passive-style indices through the use of the AlphaDEX(R) selection methodology.
Alpha is an indication of how much an investment outperforms or underperforms on
a risk-adjusted basis relative to its benchmark.
-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
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)
1/31/23 1/31/23 1/31/23 1/31/23 to 1/31/23 1/31/23 1/31/23 to 1/31/23
FUND PERFORMANCE
NAV -2.50% -13.26% 13.11% 16.55% 11.20% 85.14% 362.40% 431.20%
Market Price -2.53% -13.27% 13.10% 16.54% 11.19% 85.04% 362.02% 430.99%
INDEX PERFORMANCE
StrataQuant(R) Technology Index -2.24% -12.80% 13.79% 17.25% 11.98% 90.74% 391.13% 493.19%
Russell 1000(R) Index -0.14% -8.55% 9.38% 12.51% 8.69% 56.59% 225.00% 271.13%
S&P 500(R) Information Technology
Index -5.41% -15.70% 16.17% 19.22% 13.77% 111.58% 480.25% 660.79%
Russell 1000(R) Technology Index(1) -7.82% -21.47% 14.57% 18.15% N/A 97.40% 430.02% N/A
-----------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
-----------------------------
(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Technology Index because performance
data does not exist for each of the entire periods using solely the U.S. sector
scheme, or alternatively, using solely the RGS.
Source ICE Data Indices, LLC ("ICE Data"), is used with permission.
"StrataQuant(R)" is a service/trade mark of ICE Data or its affiliates. Frank
Russell Company is the source and owner of the trademarks, service marks and
copyrights related to the Russell Indices. Russell(R), Russell 1000(R) and
Russell 3000(R) are all registered trademarks of Frank Russell Company. Russell
1000(R) and Russell 3000(R) are being utilized in the indices under license.
These trademarks have been licensed, along with the StrataQuant(R) Technology
Index ("Index") for use by First Trust Portfolios L.P. ("FTP") in connection
with the First Trust Technology AlphaDEX(R) Fund ("FXL"). Neither FTP, the Trust
nor FXL is sponsored, endorsed, sold or promoted by ICE Data, its affiliates or
its Third Party Suppliers including without limitation Frank Russell Company
("ICE Data and its Suppliers"). ICE Data and its Suppliers make no
representations or warranties regarding the advisability of investing in
securities generally, in FXL particularly, the Trust or the ability of the Index
to track general stock market performance. ICE Data's only relationship to FTP
is the licensing of certain trademarks, trade names and the Index or components
thereof. The Index is determined, composed and calculated by ICE Data without
regard to FTP or FXL or its holders. ICE Data has no obligation to take the
needs of FTP or the holders of FXL into consideration in determining, composing
or calculating the Index. ICE Data is not responsible for and has not
participated in the determination of the timing of, prices of, or quantities of
FXL to be issued or in the determination or calculation of the equation by which
FXL is to be priced, sold, purchased, or redeemed. Except for certain custom
index calculation services, all information provided by ICE Data is general in
nature and not tailored to the needs of FTP or any other person, entity or group
of persons. ICE Data has no obligation or liability in connection with the
administration, marketing, or trading of FXL. ICE Data is not an investment
advisor. Inclusion of a security within an index is not a recommendation by ICE
Data to buy, sell, or hold such security, nor is it considered to be investment
advice.
ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS,
EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS
FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY
INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM ("INDEX DATA"). ICE
DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH
RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND
THE INDEX DATA, WHICH ARE PROVIDED ON AN "AS IS" BASIS AND YOUR USE IS AT YOUR
OWN RISK.
Page 18
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Information Technology 88.8%
Industrials 7.0
Communication Services 4.2
-------
Total 100.0%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Western Digital Corp. 2.1%
Meta Platforms, Inc., Class A 1.9
Cirrus Logic, Inc. 1.8
Micron Technology, Inc. 1.8
Skyworks Solutions, Inc. 1.8
Qorvo, Inc. 1.8
IPG Photonics Corp. 1.8
Cognizant Technology Solutions Corp.,
Class A 1.7
Jabil, Inc. 1.7
Arrow Electronics, Inc. 1.7
-------
Total 18.1%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2012 - JANUARY 31, 2023
First Trust Technology StrataQuant(R) Russell 1000(R) S&P 500(R) Information Russell 1000(R)
AlphaDEX(R) Fund Technology Index Index Technology Index Technology Index
7/31/12 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/13 10,948 10,993 11,089 10,167 10,066
7/31/13 12,454 12,554 12,623 11,114 10,984
1/31/14 14,340 14,514 13,554 12,558 12,478
7/31/14 15,268 15,506 14,777 14,239 14,196
1/31/15 16,121 16,424 15,420 14,878 14,743
7/31/15 16,905 17,278 16,437 16,058 15,729
1/31/16 14,677 15,051 15,140 15,598 15,087
7/31/16 16,975 17,467 17,233 17,628 17,166
1/31/17 19,314 19,865 18,291 19,484 19,066
7/31/17 22,190 22,893 19,981 22,824 22,201
1/31/18 27,345 28,307 23,016 27,884 27,030
7/31/18 27,859 28,935 23,214 29,322 28,376
1/31/19 29,165 30,295 22,515 27,631 27,096
7/31/19 34,322 35,766 25,073 33,933 32,296
1/31/20 36,391 38,073 27,332 40,363 38,096
7/31/20 44,387 46,594 28,089 47,136 45,212
1/31/21 55,213 58,178 32,755 55,352 54,051
7/31/21 62,296 65,874 38,755 66,008 65,667
1/31/22 58,372 61,915 39,410 69,981 67,946
7/31/22 51,923 55,225 36,092 62,370 57,878
1/31/23 50,625 53,988 36,041 58,996 53,352
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 19
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU)
The First Trust Utilities 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 StrataQuant(R) Utilities Index (the
"Utilities Index"). The Fund will normally invest at least 90% of its net assets
(including investment borrowings) in the common stocks that comprise the
Utilities Index. The shares of the Fund are listed and trade on the NYSE Arca
under the ticker symbol "FXU."
The Utilities Index is a modified equal-dollar weighted index designed by IDI to
objectively identify and select stocks from the Russell 1000(R) Index in the
utilities sector that may generate positive alpha relative to traditional
passive-style indices through the use of the AlphaDEX(R) selection methodology.
Alpha is an indication of how much an investment outperforms or underperforms on
a risk-adjusted basis relative to its benchmark.
-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
-----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
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)
1/31/23 1/31/23 1/31/23 1/31/23 to 1/31/23 1/31/23 1/31/23 to 1/31/23
FUND PERFORMANCE
NAV -0.97% 6.47% 8.45% 9.14% 6.48% 50.03% 139.86% 168.57%
Market Price -0.97% 6.53% 8.46% 9.16% 6.48% 50.08% 140.19% 168.62%
INDEX PERFORMANCE
StrataQuant(R) Utilities Index -0.69% 7.33% 9.15% 9.94% 7.30% 54.89% 158.02% 203.16%
Russell 1000(R) Index -0.14% -8.55% 9.38% 12.51% 8.69% 56.59% 225.00% 271.13%
S&P 500(R) Utilities Index -5.13% 2.90% 9.82% 10.33% 7.09% 59.71% 167.38% 193.79%
Russell 1000(R) Utilities Index(1) -4.89% 2.83% 8.47% 9.03% N/A 50.16% 137.29% N/A
-----------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
-----------------------------
(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Utilities Index because performance
data does not exist for each of the entire periods using solely the U.S. sector
scheme, or alternatively, using solely the RGS.
Source ICE Data Indices, LLC ("ICE Data"), is used with permission.
"StrataQuant(R)" is a service/trade mark of ICE Data or its affiliates. Frank
Russell Company is the source and owner of the trademarks, service marks and
copyrights related to the Russell Indices. Russell(R), Russell 1000(R) and
Russell 3000(R) are all registered trademarks of Frank Russell Company. Russell
1000(R) and Russell 3000(R) are being utilized in the indices under license.
These trademarks have been licensed, along with the StrataQuant(R) Utilities
Index (the "Utilities Index") for use by First Trust Portfolios L.P. ("FTP") in
connection with the First Trust Utilities AlphaDEX(R) Fund ("FXU"). Neither FTP,
the Trust nor FXU is sponsored, endorsed, sold or promoted by ICE Data, its
affiliates or its Third Party Suppliers including without limitation Frank
Russell Company ("ICE Data and its Suppliers"). ICE Data and its Suppliers make
no representations or warranties regarding the advisability of investing in
securities generally, in FXU particularly, the Trust or the ability of the Index
to track general stock market performance. ICE Data's only relationship to FTP
is the licensing of certain trademarks, trade names and the Index or components
thereof. The Index is determined, composed and calculated by ICE Data without
regard to FTP or FXU or its holders. ICE Data has no obligation to take the
needs of FTP or the holders of FXU into consideration in determining, composing
or calculating the Index. ICE Data is not responsible for and has not
participated in the determination of the timing of, prices of, or quantities of
FXU to be issued or in the determination or calculation of the equation by which
FXU is to be priced, sold, purchased, or redeemed. Except for certain custom
index calculation services, all information provided by ICE Data is general in
nature and not tailored to the needs of FTP or any other person, entity or group
of persons. ICE Data has no obligation or liability in connection with the
administration, marketing, or trading of FXU. ICE Data is not an investment
advisor. Inclusion of a security within an index is not a recommendation by ICE
Data to buy, sell, or hold such security, nor is it considered to be investment
advice.
ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS,
EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS
FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY
INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM ("INDEX DATA"). ICE
DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH
RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND
THE INDEX DATA, WHICH ARE PROVIDED ON AN "AS IS" BASIS AND YOUR USE IS AT YOUR
OWN RISK.
Page 20
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Utilities 91.9%
Industrials 8.1
-------
Total 100.0%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
NRG Energy, Inc. 4.4%
UGI Corp. 4.4
OGE Energy Corp. 4.1
Avangrid, Inc. 4.1
Pinnacle West Capital Corp. 4.1
PG&E Corp. 4.0
AES (The) Corp. 3.9
National Fuel Gas Co. 3.8
Clean Harbors, Inc. 3.8
NiSource, Inc. 3.3
-------
Total 39.9%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2012 - JANUARY 31, 2023
First Trust Utilities StrataQuant(R) Russell 1000(R) S&P 500(R) Russell 1000(R)
AlphaDEX(R) Fund Utilities Index Index Utilities Index Utilities Index
7/31/12 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/13 10,413 10,449 11,089 9,883 9,922
7/31/13 11,591 11,734 12,623 10,801 10,867
1/31/14 11,920 12,119 13,554 10,989 10,938
7/31/14 13,108 13,379 14,777 11,801 11,928
1/31/15 14,792 15,146 15,420 14,086 12,812
7/31/15 13,863 14,241 16,437 13,033 12,412
1/31/16 14,007 14,444 15,140 13,737 13,141
7/31/16 17,003 17,605 17,233 16,045 15,475
1/31/17 17,129 17,797 18,291 15,414 14,983
7/31/17 17,611 18,356 19,981 16,961 15,612
1/31/18 16,645 17,405 23,016 16,543 15,681
7/31/18 17,418 18,286 23,214 17,440 15,790
1/31/19 18,517 19,509 22,515 18,376 16,520
7/31/19 19,458 20,539 25,073 20,323 18,119
1/31/20 20,337 21,533 27,332 23,944 20,728
7/31/20 19,320 20,489 28,089 21,509 18,718
1/31/21 19,859 21,143 32,755 22,352 19,777
7/31/21 22,181 23,695 38,755 24,096 21,616
1/31/22 23,456 25,119 39,410 25,676 22,902
7/31/22 25,221 27,148 36,092 27,853 24,756
1/31/23 24,976 26,961 36,041 26,424 23,545
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 21
--------------------------------------------------------------------------------
NOTES TO FUND PERFORMANCE OVERVIEW (UNAUDITED)
--------------------------------------------------------------------------------
Total returns for the period since inception are calculated from the inception
date of each Fund. "Average Annual Total Returns" represent the average annual
change in value of an investment over the periods indicated. "Cumulative Total
Returns" represent the total change in value of an investment over the periods
indicated. The total returns would have been lower if certain fees had not been
waived and expenses reimbursed by the Advisor.
Each Fund's per share net asset value ("NAV") is the value of one share of the
Fund and is computed by dividing the value of all assets of the Fund (including
accrued interest and dividends), less all liabilities (including accrued
expenses and dividends declared but unpaid), by the total number of outstanding
shares. The price used to calculate market return ("Market Price") is determined
by using the midpoint of the national best bid and offer price ("NBBO") as of
the time that the Fund's NAV is calculated. Under SEC rules, the NBBO consists
of the highest displayed buy and lowest sell prices among the various exchanges
trading the Fund at the time the Fund's NAV is calculated. Prior to January 1,
2019, the price used was the midpoint between the highest bid and the lowest
offer on the stock exchange on which shares of the Fund were listed for trading
as of the time that the Fund's NAV was calculated. Since shares of each Fund did
not trade in the secondary market until after the Fund's inception, for the
period May 8, 2007 (inception) to May 10, 2007 (the first day of secondary
market trading), the NAV of each Fund is used as a proxy for the secondary
market trading price to calculate market returns. NAV and market returns assume
that all distributions have been reinvested in each Fund at NAV and Market
Price, respectively.
An index is a statistical composite that tracks a specified financial market or
sector. Unlike each Fund, the indices do not actually hold a portfolio of
securities and therefore do not incur the expenses incurred by each Fund. These
expenses negatively impact the performance of each Fund. Also, market returns do
not include brokerage commissions that may be payable on secondary market
transactions. If brokerage commissions were included, market returns would be
lower. The total returns presented reflect the reinvestment of dividends on
securities in the indices. The returns presented do not reflect the deduction of
taxes that a shareholder would pay on Fund distributions or the redemption or
sale of Fund shares. The investment return and principal value of shares of each
Fund will vary with changes in market conditions. Shares of each Fund may be
worth more or less than their original cost when they are redeemed or sold in
the market. Each Fund's past performance is no guarantee of future performance.
Page 22
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
UNDERSTANDING YOUR FUND EXPENSES
JANUARY 31, 2023 (UNAUDITED)
As a shareholder of First Trust Consumer Discretionary AlphaDEX(R) Fund, First
Trust Consumer Staples AlphaDEX(R) Fund, First Trust Energy AlphaDEX(R) Fund,
First Trust Financials AlphaDEX(R) Fund, First Trust Health Care AlphaDEX(R)
Fund, First Trust Industrials/Producer Durables AlphaDEX(R) Fund, First Trust
Materials AlphaDEX(R) Fund, First Trust Technology AlphaDEX(R) Fund or First
Trust Utilities 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, 2023.
ACTUAL EXPENSES
The first line in the following table provides information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over the
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
in the first line under the heading entitled "Expenses Paid During the Six-Month
Period" to estimate the expenses you paid on your account during this six-month
period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line in the following table provides information about hypothetical
account values and hypothetical expenses based on each Fund's actual expense
ratio and an assumed rate of return of 5% per year before expenses, which is not
each Fund's actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare the ongoing costs of
investing in the Funds and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs such as brokerage
commissions. Therefore, the second line in the table is useful in comparing
ongoing costs only, and will not help you determine the relative total costs of
owning different funds. In addition, if these transactional costs were included,
your costs would have been higher.
-------------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
AUGUST 1, 2022 JANUARY 31, 2023 PERIOD PERIOD (a)
-------------------------------------------------------------------------------------------------------------------------
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD)
Actual $1,000.00 $1,116.80 0.63% $3.36
Hypothetical (5% return before expenses) $1,000.00 $1,022.03 0.63% $3.21
FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG)
Actual $1,000.00 $1,006.90 0.63% $3.19
Hypothetical (5% return before expenses) $1,000.00 $1,022.03 0.63% $3.21
FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN)
Actual $1,000.00 $1,046.60 0.62% $3.20
Hypothetical (5% return before expenses) $1,000.00 $1,022.08 0.62% $3.16
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)
Actual $1,000.00 $1,114.60 0.62% $3.30
Hypothetical (5% return before expenses) $1,000.00 $1,022.08 0.62% $3.16
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH)
Actual $1,000.00 $1,036.90 0.61% $3.13
Hypothetical (5% return before expenses) $1,000.00 $1,022.13 0.61% $3.11
Page 23
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
UNDERSTANDING YOUR FUND EXPENSES (CONTINUED)
JANUARY 31, 2023 (UNAUDITED)
-------------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
AUGUST 1, 2022 JANUARY 31, 2023 PERIOD PERIOD (a)
-------------------------------------------------------------------------------------------------------------------------
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)
Actual $1,000.00 $1,061.50 0.61% $3.17
Hypothetical (5% return before expenses) $1,000.00 $1,022.13 0.61% $3.11
FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ)
Actual $1,000.00 $1,150.90 0.62% $3.36
Hypothetical (5% return before expenses) $1,000.00 $1,022.08 0.62% $3.16
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL)
Actual $1,000.00 $ 975.00 0.62% $3.09
Hypothetical (5% return before expenses) $1,000.00 $1,022.08 0.62% $3.16
FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU)
Actual $1,000.00 $ 990.30 0.64% $3.21
Hypothetical (5% return before expenses) $1,000.00 $1,021.98 0.64% $3.26
(a) Expenses are equal to the annualized expense ratio as indicated in the
table multiplied by the average account value over the period (August 1,
2022 through January 31, 2023), multiplied by 184/365 (to reflect the
six-month period).
Page 24
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD)
PORTFOLIO OF INVESTMENTS
JANUARY 31, 2023 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS -- 99.9%
AIRLINES -- 3.9%
39,763 Alaska Air Group, Inc. (a) $ 2,041,432
41,059 Copa Holdings S.A., Class A (a) 3,780,713
129,903 Delta Air Lines, Inc. (a) 5,079,207
50,712 Southwest Airlines Co. 1,813,968
21,739 United Airlines Holdings,
Inc. (a) 1,064,342
---------------
13,779,662
---------------
AUTO COMPONENTS -- 2.8%
8,800 Aptiv PLC (a) 995,192
84,842 BorgWarner, Inc. 4,011,330
93,919 Gentex Corp. 2,771,550
13,767 Lear Corp. 2,006,953
---------------
9,785,025
---------------
AUTOMOBILES -- 5.4%
367,037 Ford Motor Co. 4,958,670
126,892 General Motors Co. 4,989,393
82,090 Harley-Davidson, Inc. 3,778,603
56,545 Thor Industries, Inc. 5,390,435
---------------
19,117,101
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 1.7%
13,460 Copart, Inc. (a) 896,571
30,011 Driven Brands Holdings, Inc. (a) 876,021
85,372 IAA, Inc. (a) 3,562,573
22,430 Rollins, Inc. 816,452
---------------
6,151,617
---------------
DISTRIBUTORS -- 2.2%
24,602 Genuine Parts Co. 4,128,708
63,936 LKQ Corp. 3,769,666
---------------
7,898,374
---------------
DIVERSIFIED CONSUMER SERVICES
-- 0.8%
16,160 Grand Canyon Education,
Inc. (a) 1,883,610
88,794 Mister Car Wash, Inc. (a) 911,914
---------------
2,795,524
---------------
ENTERTAINMENT -- 3.5%
13,710 Liberty Media Corp.-Liberty
Formula One, Class C (a) 970,668
23,284 Madison Square Garden Sports
Corp. 4,233,963
5,791 Netflix, Inc. (a) 2,049,203
200,640 Playtika Holding Corp. (a) 2,104,714
9,433 Walt Disney (The) Co. (a) 1,023,386
24,918 World Wrestling Entertainment,
Inc., Class A 2,108,561
---------------
12,490,495
---------------
FOOD & STAPLES RETAILING -- 0.8%
25,807 BJ's Wholesale Club Holdings,
Inc. (a) 1,870,233
1,795 Costco Wholesale Corp. 917,496
---------------
2,787,729
---------------
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE
-- 16.0%
1,695 Booking Holdings, Inc. (a) $ 4,125,800
62,625 Boyd Gaming Corp. 3,902,164
61,567 Caesars Entertainment, Inc. (a) 3,205,178
3,877 Churchill Downs, Inc. 961,884
24,686 Darden Restaurants, Inc. 3,652,787
13,512 Hilton Worldwide Holdings,
Inc. 1,960,456
35,521 Las Vegas Sands Corp. (a) 2,095,739
17,203 Marriott International, Inc.,
Class A 2,996,419
19,029 Marriott Vacations Worldwide
Corp. 3,045,401
76,384 MGM Resorts International 3,163,061
139,497 Norwegian Cruise Line Holdings
Ltd. (a) 2,121,749
114,981 Penn Entertainment, Inc. (a) 4,076,076
43,335 Planet Fitness, Inc.,
Class A (a) 3,668,308
73,438 Six Flags Entertainment
Corp. (a) 1,971,810
25,818 Starbucks Corp. 2,817,777
22,516 Travel + Leisure Co. 954,003
7,164 Vail Resorts, Inc. 1,879,404
113,177 Wendy's (The) Co. 2,523,847
11,493 Wyndham Hotels & Resorts,
Inc. 890,822
51,761 Wynn Resorts Ltd. (a) 5,364,510
6,399 Yum! Brands, Inc. 835,134
---------------
56,212,329
---------------
HOUSEHOLD DURABLES -- 11.0%
47,887 D.R. Horton, Inc. 4,725,968
27,751 Garmin Ltd. 2,744,019
105,954 Leggett & Platt, Inc. 3,873,678
47,168 Lennar Corp., Class A 4,830,003
261,078 Newell Brands, Inc. 4,166,805
740 NVR, Inc. (a) 3,899,800
93,755 PulteGroup, Inc. 5,333,722
49,736 Tempur Sealy International,
Inc. 2,026,742
85,510 Toll Brothers, Inc. 5,086,990
12,071 Whirlpool Corp. 1,878,127
---------------
38,565,854
---------------
INTERNET & DIRECT MARKETING
RETAIL -- 0.3%
6,843 Etsy, Inc. (a) 941,460
---------------
LEISURE PRODUCTS -- 2.7%
27,986 Hasbro, Inc. 1,655,931
191,419 Mattel, Inc. (a) 3,916,433
25,358 Polaris, Inc. 2,912,113
19,840 YETI Holdings, Inc. (a) 888,038
---------------
9,372,515
---------------
MEDIA -- 6.0%
112,444 Fox Corp., Class A 3,816,349
51,260 Interpublic Group of (The) Cos.,
Inc. 1,868,940
25,249 New York Times (The) Co.,
Class A 879,675
187,632 News Corp., Class A 3,801,424
See Notes to Financial Statements Page 25
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2023 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MEDIA (CONTINUED)
19,511 Nexstar Media Group, Inc. $ 3,995,267
10,048 Omnicom Group, Inc. 864,028
252,880 Paramount Global, Class B 5,856,701
---------------
21,082,384
---------------
MULTILINE RETAIL -- 5.1%
3,328 Dollar General Corp. 777,421
12,073 Dollar Tree, Inc. (a) 1,813,123
169,054 Kohl's Corp. 5,472,278
206,713 Macy's, Inc. 4,884,628
158,685 Nordstrom, Inc. 3,100,705
17,497 Ollie's Bargain Outlet Holdings,
Inc. (a) 958,136
5,499 Target Corp. 946,598
---------------
17,952,889
---------------
PERSONAL PRODUCTS -- 0.3%
95,745 Coty, Inc., Class A (a) 953,620
---------------
ROAD & RAIL -- 2.9%
15,624 Avis Budget Group, Inc. (a) 3,125,425
277,364 Hertz Global Holdings, Inc. (a) 4,998,099
69,044 Uber Technologies, Inc. (a) 2,135,531
---------------
10,259,055
---------------
SPECIALTY RETAIL -- 21.8%
11,612 Advance Auto Parts, Inc. 1,768,275
39,782 AutoNation, Inc. (a) 5,041,175
1,039 AutoZone, Inc. (a) 2,533,965
40,518 Bath & Body Works, Inc. 1,864,233
31,932 Best Buy Co., Inc. 2,833,007
12,631 Burlington Stores, Inc. (a) 2,902,983
42,062 CarMax, Inc. (a) 2,963,268
28,389 Dick's Sporting Goods, Inc. 3,712,146
14,481 Five Below, Inc. (a) 2,854,640
11,770 Floor & Decor Holdings, Inc.,
Class A (a) 1,068,363
227,055 Gap (The), Inc. 3,081,136
5,406 Home Depot (The), Inc. 1,752,463
67,124 Leslie's, Inc. (a) 1,039,751
20,849 Lithia Motors, Inc. 5,487,457
4,114 Lowe's Cos., Inc. 856,740
4,045 O'Reilly Automotive, Inc. (a) 3,205,056
37,141 Penske Automotive Group, Inc. 4,747,363
270,166 Petco Health & Wellness Co.,
Inc. (a) 3,158,241
9,585 RH (a) 2,990,424
29,421 Ross Stores, Inc. 3,477,268
53,626 TJX (The) Cos., Inc. 4,389,824
15,179 Tractor Supply Co. 3,460,660
9,100 Ulta Beauty, Inc. (a) 4,677,036
71,582 Victoria's Secret & Co. (a) 3,017,181
29,716 Williams-Sonoma, Inc. 4,009,877
---------------
76,892,532
---------------
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
TEXTILES, APPAREL & LUXURY GOODS
-- 12.1%
59,577 Capri Holdings Ltd. (a) $ 3,961,275
45,769 Carter's, Inc. 3,815,762
29,245 Columbia Sportswear Co. 2,804,595
10,693 Deckers Outdoor Corp. (a) 4,571,044
402,701 Hanesbrands, Inc. 3,398,796
5,329 Lululemon Athletica, Inc. (a) 1,635,364
7,004 NIKE, Inc., Class B 891,819
60,472 PVH Corp. 5,436,433
24,238 Ralph Lauren Corp. 3,001,876
101,755 Skechers U.S.A., Inc.,
Class A (a) 4,899,503
112,096 Tapestry, Inc. 5,108,215
252,085 Under Armour, Inc.,
Class A (a) 3,123,333
---------------
42,648,015
---------------
TRADING COMPANIES & DISTRIBUTORS
-- 0.6%
14,553 SiteOne Landscape Supply,
Inc. (a) 2,204,925
---------------
TOTAL COMMON STOCKS
-- 99.9% 351,891,105
(Cost $346,721,438) ---------------
MONEY MARKET FUNDS -- 0.2%
617,231 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 4.12% (b) 617,231
(Cost $617,231) ---------------
TOTAL INVESTMENTS -- 100.1% 352,508,336
(Cost $347,338,669)
NET OTHER ASSETS AND
LIABILITIES -- (0.1)% (252,343)
---------------
NET ASSETS -- 100.0% $ 352,255,993
===============
(a) Non-income producing security.
(b) Rate shown reflects yield as of January 31, 2023.
Page 26 See Notes to Financial Statements
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2023 (UNAUDITED)
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of January 31,
2023 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
1/31/2023 PRICES INPUTS INPUTS
-----------------------------------------------------------
Common Stocks*.................................. $ 351,891,105 $ 351,891,105 $ -- $ --
Money Market Funds.............................. 617,231 617,231 -- --
-----------------------------------------------------------
Total Investments............................... $ 352,508,336 $ 352,508,336 $ -- $ --
===========================================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 27
FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG)
PORTFOLIO OF INVESTMENTS
JANUARY 31, 2023 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS -- 99.3%
BEVERAGES -- 10.6%
194,138 Coca-Cola (The) Co. $ 11,904,542
173,151 Keurig Dr Pepper, Inc. 6,108,767
479,390 Molson Coors Beverage Co.,
Class B 25,206,326
182,446 Monster Beverage Corp. (a) 18,988,980
102,533 PepsiCo, Inc. 17,535,194
---------------
79,743,809
---------------
CHEMICALS -- 2.7%
315,135 Corteva, Inc. 20,310,451
---------------
FOOD & STAPLES RETAILING
-- 24.5%
1,190,849 Albertsons Cos., Inc., Class A 25,245,999
82,566 Casey's General Stores, Inc. 19,478,145
211,530 Grocery Outlet Holding
Corp. (a) 6,428,397
554,020 Kroger (The) Co. 24,725,912
528,734 Performance Food Group Co. (a) 32,421,969
323,063 Sysco Corp. 25,024,460
544,493 US Foods Holding Corp. (a) 20,761,518
826,358 Walgreens Boots Alliance, Inc. 30,459,556
---------------
184,545,956
---------------
FOOD PRODUCTS -- 44.5%
266,001 Archer-Daniels-Midland Co. 22,038,183
309,439 Bunge Ltd. 30,665,405
217,605 Campbell Soup Co. 11,300,228
159,549 Conagra Brands, Inc. 5,933,627
394,603 Darling Ingredients, Inc. (a) 26,158,233
214,842 Flowers Foods, Inc. 5,948,975
220,914 General Mills, Inc. 17,310,821
79,991 Hershey (The) Co. 17,965,979
271,111 Hormel Foods Corp. 12,284,039
252,203 Ingredion, Inc. 25,926,468
77,931 J.M. Smucker (The) Co. 11,907,857
173,345 Kellogg Co. 11,888,000
303,344 Kraft Heinz (The) Co. 12,294,532
276,389 Lamb Weston Holdings, Inc. 27,608,497
1,301,000 Pilgrim's Pride Corp. (a) 31,588,280
342,042 Post Holdings, Inc. (a) 32,476,888
495,948 Tyson Foods, Inc., Class A 32,608,581
---------------
335,904,593
---------------
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES
-- 9.9%
186,306 AmerisourceBergen Corp. $ 31,478,262
132,515 CVS Health Corp. 11,690,473
82,301 McKesson Corp. 31,165,743
---------------
74,334,478
---------------
HOUSEHOLD PRODUCTS -- 5.5%
76,598 Church & Dwight Co., Inc. 6,193,714
136,454 Kimberly-Clark Corp. 17,740,385
81,480 Procter & Gamble (The) Co. 11,601,122
205,955 Reynolds Consumer Products,
Inc. 6,131,280
---------------
41,666,501
---------------
TOBACCO -- 1.6%
135,081 Altria Group, Inc. 6,084,048
61,007 Philip Morris International,
Inc. 6,359,370
---------------
12,443,418
---------------
TOTAL COMMON STOCKS
-- 99.3% 748,949,206
(Cost $715,856,566) ---------------
MONEY MARKET FUNDS -- 0.7%
5,349,950 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 4.12% (b) 5,349,950
(Cost $5,349,950) ---------------
TOTAL INVESTMENTS -- 100.0% 754,299,156
(Cost $721,206,516)
NET OTHER ASSETS AND
LIABILITIES -- (0.0)% (29,993)
---------------
NET ASSETS -- 100.0% $ 754,269,163
===============
(a) Non-income producing security.
(b) Rate shown reflects yield as of January 31, 2023.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of January 31,
2023 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
1/31/2023 PRICES INPUTS INPUTS
-----------------------------------------------------------
Common Stocks*.................................. $ 748,949,206 $ 748,949,206 $ -- $ --
Money Market Funds.............................. 5,349,950 5,349,950 -- --
-----------------------------------------------------------
Total Investments............................... $ 754,299,156 $ 754,299,156 $ -- $ --
===========================================================
* See Portfolio of Investments for industry breakout.
Page 28 See Notes to Financial Statements
FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN)
PORTFOLIO OF INVESTMENTS
JANUARY 31, 2023 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS -- 99.9%
ELECTRICAL EQUIPMENT -- 1.1%
1,319,336 Plug Power, Inc. (a) $ 22,455,099
---------------
ENERGY EQUIPMENT & SERVICES
-- 7.0%
552,667 Baker Hughes Co. 17,541,651
2,073,724 Halliburton Co. 85,478,903
781,255 NOV, Inc. 19,093,872
305,276 Schlumberger Ltd. 17,394,626
---------------
139,509,052
---------------
OIL, GAS & CONSUMABLE FUELS
-- 89.4%
1,512,521 Antero Midstream Corp. 16,486,479
2,106,507 Antero Resources Corp. (a) 60,751,662
699,243 APA Corp. 30,997,442
217,665 Cheniere Energy, Inc. 33,257,035
864,693 Chesapeake Energy Corp. 74,986,177
272,780 Chevron Corp. 47,469,176
414,924 ConocoPhillips 50,566,788
3,321,174 Coterra Energy, Inc. 83,128,985
795,978 Devon Energy Corp. 50,337,649
477,268 Diamondback Energy, Inc. 69,738,400
590,658 DT Midstream, Inc. 32,285,366
308,097 Enviva, Inc. 14,012,251
378,020 EOG Resources, Inc. 49,993,145
1,929,668 EQT Corp. 63,042,253
295,922 Exxon Mobil Corp. 34,329,911
460,316 Hess Corp. 69,121,051
1,572,588 HF Sinclair Corp. 89,480,257
1,805,335 Kinder Morgan, Inc. 33,037,630
3,014,445 Marathon Oil Corp. 82,806,804
560,867 Marathon Petroleum Corp. 72,082,627
769,449 New Fortress Energy, Inc. 29,846,927
777,281 Occidental Petroleum Corp. 50,360,036
993,616 ONEOK, Inc. 68,042,824
1,609,160 Ovintiv, Inc. 79,218,947
1,285,452 PDC Energy, Inc. 87,063,664
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS
(CONTINUED)
627,206 Phillips 66 $ 62,889,946
214,362 Pioneer Natural Resources Co. 49,378,287
1,956,860 Range Resources Corp. 48,960,637
5,579,555 Southwestern Energy Co. (a) 30,799,144
1,110,220 Targa Resources Corp. 83,288,704
20,882 Texas Pacific Land Corp. 41,677,340
514,583 Valero Energy Corp. 72,057,057
496,050 Williams (The) Cos., Inc. 15,992,652
---------------
1,777,487,253
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 2.4%
123,198 Enphase Energy, Inc. (a) 27,273,573
108,944 First Solar, Inc. (a) 19,348,455
---------------
46,622,028
---------------
TOTAL COMMON STOCKS
-- 99.9% 1,986,073,432
(Cost $1,748,994,247) ---------------
MONEY MARKET FUNDS -- 0.1%
1,450,744 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 4.12% (b) 1,450,744
(Cost $1,450,744) ---------------
TOTAL INVESTMENTS -- 100.0% 1,987,524,176
(Cost $1,750,444,991)
NET OTHER ASSETS AND
LIABILITIES -- 0.0% 801,234
---------------
NET ASSETS -- 100.0% $ 1,988,325,410
===============
(a) Non-income producing security.
(b) Rate shown reflects yield as of January 31, 2023.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of January 31,
2023 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
1/31/2023 PRICES INPUTS INPUTS
-----------------------------------------------------------
Common Stocks*.................................. $1,986,073,432 $1,986,073,432 $ -- $ --
Money Market Funds.............................. 1,450,744 1,450,744 -- --
-----------------------------------------------------------
Total Investments............................... $1,987,524,176 $1,987,524,176 $ -- $ --
===========================================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 29
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)
PORTFOLIO OF INVESTMENTS
JANUARY 31, 2023 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS -- 99.8%
BANKS -- 29.8%
331,502 Bank of America Corp. $ 11,761,691
365,432 Bank OZK 16,689,279
33,583 BOK Financial Corp. 3,375,092
404,575 Citigroup, Inc. 21,126,907
185,918 Citizens Financial Group, Inc. 8,053,968
109,493 Comerica, Inc. 8,026,932
166,606 East West Bancorp, Inc. 13,081,903
841,333 F.N.B. Corp. 12,005,822
223,089 Fifth Third Bancorp 8,095,900
9,652 First Citizens BancShares, Inc.,
Class A 7,506,167
133,852 First Hawaiian, Inc. 3,672,899
142,266 First Horizon Corp. 3,518,238
28,595 First Republic Bank 4,028,464
778,679 Huntington Bancshares, Inc. 11,812,560
54,584 JPMorgan Chase & Co. 7,639,577
630,275 KeyCorp 12,094,977
50,459 M&T Bank Corp. 7,871,604
797,341 PacWest Bancorp 22,054,452
149,584 Pinnacle Financial Partners,
Inc. 11,776,748
46,343 PNC Financial Services Group
(The), Inc. 7,666,523
220,735 Popular, Inc. 15,151,250
100,710 Prosperity Bancshares, Inc. 7,639,861
339,498 Regions Financial Corp. 7,991,783
127,055 Signature Bank 16,383,742
47,708 SVB Financial Group (a) 14,428,808
292,392 Synovus Financial Corp. 12,265,844
340,210 Truist Financial Corp. 16,802,972
167,843 U.S. Bancorp 8,358,581
410,062 Umpqua Holdings Corp. 7,463,128
73,627 Webster Financial Corp. 3,876,462
354,545 Wells Fargo & Co. 16,617,524
245,789 Western Alliance Bancorp 18,525,117
86,601 Wintrust Financial Corp. 7,921,393
148,892 Zions Bancorp N.A. 7,915,099
---------------
363,201,267
---------------
CAPITAL MARKETS -- 27.2%
92,402 Affiliated Managers Group, Inc. 15,961,522
58,768 Ameriprise Financial, Inc. 20,575,852
241,199 Bank of New York Mellon
(The) Corp. 12,197,433
4,918 BlackRock, Inc. 3,733,795
613,236 Carlyle Group (The), Inc. 22,058,099
87,913 Charles Schwab (The) Corp. 6,806,224
167,757 Evercore, Inc., Class A 21,776,536
693,669 Franklin Resources, Inc. 21,642,473
31,975 Goldman Sachs Group (The),
Inc. 11,696,775
1,017,174 Invesco Ltd. 18,827,891
778,018 Janus Henderson Group PLC 20,166,227
446,919 Jefferies Financial Group, Inc. 17,554,978
316,683 Lazard Ltd., Class A 12,692,655
50,791 LPL Financial Holdings, Inc. 12,043,562
86,092 Morgan Stanley 8,379,334
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
CAPITAL MARKETS (CONTINUED)
39,388 Northern Trust Corp. $ 3,819,454
137,007 Raymond James Financial, Inc. 15,450,279
10,405 S&P Global, Inc. 3,901,251
251,101 SEI Investments Co. 15,676,235
141,542 State Street Corp. 12,927,031
250,800 Stifel Financial Corp. 16,906,428
167,787 T. Rowe Price Group, Inc. 19,542,152
896,570 Virtu Financial, Inc., Class A 17,312,767
---------------
331,648,953
---------------
CONSUMER FINANCE -- 7.2%
748,425 Ally Financial, Inc. 24,316,328
23,144 Credit Acceptance Corp. (a) (b) 10,707,340
149,640 Discover Financial Services 17,467,477
549,354 OneMain Holdings, Inc. 23,699,132
661,409 SLM Corp. 11,620,956
---------------
87,811,233
---------------
DIVERSIFIED FINANCIAL SERVICES
-- 2.3%
229,490 Apollo Global Management, Inc. 16,243,302
121,446 Equitable Holdings, Inc. 3,894,773
119,038 Voya Financial, Inc. 8,305,282
---------------
28,443,357
---------------
INSURANCE -- 24.0%
152,618 Aflac, Inc. 11,217,423
25,389 American Financial Group, Inc. 3,620,217
289,358 American International Group,
Inc. 18,293,213
11,614 Aon PLC, Class A 3,701,150
291,478 Arch Capital Group Ltd. (a) 18,756,609
18,486 Arthur J. Gallagher & Co. 3,618,080
27,871 Assurant, Inc. 3,695,416
176,347 Assured Guaranty Ltd. 11,039,322
135,123 Axis Capital Holdings Ltd. 8,454,646
356,914 Brighthouse Financial, Inc. (a) 20,083,551
15,799 Chubb Ltd. 3,594,115
29,430 Erie Indemnity Co., Class A 7,191,220
55,239 Everest Re Group Ltd. 19,316,526
389,133 Fidelity National Financial,
Inc. 17,133,526
279,694 First American Financial Corp. 17,304,668
28,914 Globe Life, Inc. 3,494,257
25,794 Hanover Insurance Group (The),
Inc. 3,471,357
96,527 Hartford Financial Services
Group (The), Inc. 7,491,460
188,230 Loews Corp. 11,572,380
2,646 Markel Corp. (a) 3,728,161
21,063 Marsh & McLennan Cos., Inc. 3,684,129
606,178 Old Republic International Corp. 15,997,037
130,832 Principal Financial Group, Inc. 12,108,502
84,646 Progressive (The) Corp. 11,541,482
79,461 RenaissanceRe Holdings Ltd. 15,549,723
83,968 Ryan Specialty Holdings,
Inc. (a) 3,578,716
39,040 Travelers (The) Cos., Inc. 7,461,325
445,991 Unum Group 18,745,002
Page 30 See Notes to Financial Statements
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2023 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
48,361 W.R. Berkley Corp. $ 3,392,041
14,252 Willis Towers Watson PLC 3,622,716
---------------
292,457,970
---------------
MORTGAGE REAL ESTATE INVESTMENT
TRUSTS -- 4.7%
868,074 Annaly Capital Management,
Inc. 20,373,697
2,239,776 Rithm Capital Corp. 21,076,292
798,645 Starwood Property Trust, Inc. 16,683,694
---------------
58,133,683
---------------
THRIFTS & MORTGAGE FINANCE
-- 4.6%
1,407,613 MGIC Investment Corp. 19,875,495
1,702,230 New York Community Bancorp,
Inc. 17,005,278
2,091,310 Rocket Cos., Inc., Class A (b) 19,679,227
---------------
56,560,000
---------------
TOTAL COMMON STOCKS
-- 99.8% 1,218,256,463
(Cost $1,160,976,345) ---------------
MONEY MARKET FUNDS -- 2.2%
24,267,466 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
4.24% (c) (d) 24,267,466
1,979,819 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 4.12% (c) 1,979,819
---------------
TOTAL MONEY MARKET FUNDS
-- 2.2% 26,247,285
(Cost $26,247,285) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
---------------------------------------------------------------
REPURCHASE AGREEMENTS -- 0.4%
$ 4,616,936 BNP Paribas S.A., 4.21% (c),
dated 01/31/23, due 02/01/23,
with a maturity value of
$4,617,476. Collateralized by
U.S. Treasury Note, interest
rate of 2.13%, due 05/15/25.
The value of the collateral
including accrued interest is
$4,713,592. (d) 4,616,936
(Cost $4,616,936) ---------------
TOTAL INVESTMENTS -- 102.4% 1,249,120,684
(Cost $1,191,840,566)
NET OTHER ASSETS AND
LIABILITIES -- (2.4)% (28,927,366)
---------------
NET ASSETS -- 100.0% $ 1,220,193,318
===============
(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 $28,832,129 and the
total value of the collateral held by the Fund is $28,884,402.
(c) Rate shown reflects yield as of January 31, 2023.
(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) $ 28,832,129
Non-cash Collateral(2) (28,832,129)
---------------
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, 2023, the value of the collateral received from each
borrower exceeded the value of the related securities loaned. This amount
is disclosed on the Portfolio of Investments.
The Fund's investments in repurchase agreements were all subject to an
enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis
were as follows:
REPURCHASE AGREEMENTS
---------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(3) $ 4,616,936
Non-cash Collateral(4) (4,616,936)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At January 31, 2023, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
See Notes to Financial Statements Page 31
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2023 (UNAUDITED)
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of January 31,
2023 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
1/31/2023 PRICES INPUTS INPUTS
-----------------------------------------------------------
Common Stocks*.................................. $1,218,256,463 $1,218,256,463 $ -- $ --
Money Market Funds.............................. 26,247,285 26,247,285 -- --
Repurchase Agreements........................... 4,616,936 -- 4,616,936 --
-----------------------------------------------------------
Total Investments............................... $1,249,120,684 $1,244,503,748 $ 4,616,936 $ --
===========================================================
* See Portfolio of Investments for industry breakout.
Page 32 See Notes to Financial Statements
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH)
PORTFOLIO OF INVESTMENTS
JANUARY 31, 2023 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS -- 99.8%
BIOTECHNOLOGY -- 24.3%
124,420 AbbVie, Inc. $ 18,383,055
141,017 Alnylam Pharmaceuticals,
Inc. (a) 31,926,249
48,036 Amgen, Inc. 12,124,287
91,123 Biogen, Inc. (a) 26,507,681
509,666 Exact Sciences Corp. (a) 34,412,648
1,573,163 Exelixis, Inc. (a) 27,719,132
73,480 Gilead Sciences, Inc. 6,167,911
294,493 Horizon Therapeutics PLC (a) 32,311,772
314,160 Incyte Corp. (a) 26,747,582
334,045 Ionis Pharmaceuticals, Inc. (a) 13,318,374
186,576 Moderna, Inc. (a) 32,848,571
157,045 Natera, Inc. (a) 6,741,942
211,267 Neurocrine Biosciences, Inc. (a) 23,435,848
613,654 Novavax, Inc. (a) (b) 6,694,965
34,973 Regeneron Pharmaceuticals,
Inc. (a) 26,525,971
258,632 Sarepta Therapeutics, Inc. (a) 32,321,241
90,741 United Therapeutics Corp. (a) 23,880,309
69,629 Vertex Pharmaceuticals, Inc. (a) 22,497,130
---------------
404,564,668
---------------
HEALTH CARE EQUIPMENT & SUPPLIES
-- 22.5%
114,915 Abbott Laboratories 12,703,853
29,911 Align Technology, Inc. (a) 8,067,894
123,766 Baxter International, Inc. 5,654,869
19,075 Cooper (The) Cos., Inc. 6,655,840
222,833 Dexcom, Inc. (a) 23,863,186
471,479 Enovis Corp. (a) 29,679,603
597,209 Envista Holdings Corp. (a) 23,285,179
339,755 Globus Medical, Inc.,
Class A (a) 25,651,502
337,304 Hologic, Inc. (a) 27,446,426
80,119 ICU Medical, Inc. (a) 15,481,394
15,462 IDEXX Laboratories, Inc. (a) 7,429,491
113,842 Insulet Corp. (a) 32,709,083
225,017 Integra LifeSciences Holdings
Corp. (a) 12,893,474
75,779 Intuitive Surgical, Inc. (a) 18,618,143
42,638 Masimo Corp. (a) 7,251,871
258,723 Medtronic PLC 21,652,528
90,387 Penumbra, Inc. (a) 22,633,809
391,193 QuidelOrtho Corp. (a) 33,490,033
82,245 Stryker Corp. 20,874,603
50,543 Teleflex, Inc. 12,303,177
49,476 Zimmer Biomet Holdings, Inc. 6,300,274
---------------
374,646,232
---------------
HEALTH CARE PROVIDERS & SERVICES
-- 26.4%
153,266 Acadia Healthcare Co., Inc. (a) 12,877,409
240,697 Amedisys, Inc. (a) 23,265,772
245,187 Centene Corp. (a) 18,693,057
24,721 Chemed Corp. 12,487,566
101,146 Cigna Corp. 32,029,904
65,334 Elevance Health, Inc. 32,666,347
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES
(CONTINUED)
210,949 Encompass Health Corp. $ 13,173,765
139,663 HCA Healthcare, Inc. 35,623,842
315,931 Henry Schein, Inc. (a) 27,217,456
49,263 Humana, Inc. 25,207,877
142,320 Laboratory Corp. of America
Holdings 35,881,718
101,488 Molina Healthcare, Inc. (a) 31,647,003
721,369 Premier, Inc., Class A 24,064,870
161,298 Quest Diagnostics, Inc. 23,949,527
440,220 Signify Health, Inc.,
Class A (a) 12,528,661
412,131 Tenet Healthcare Corp. (a) 22,605,385
37,926 UnitedHealth Group, Inc. 18,932,280
237,871 Universal Health Services, Inc.,
Class B 35,254,861
---------------
438,107,300
---------------
HEALTH CARE TECHNOLOGY -- 0.9%
392,555 Certara, Inc. (a) 7,615,567
187,973 Doximity, Inc., Class A (a) 6,629,808
---------------
14,245,375
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 11.9%
168,619 Agilent Technologies, Inc. 25,643,578
953,435 Avantor, Inc. (a) 22,787,097
108,353 Azenta, Inc. (a) 6,056,933
76,114 Bio-Techne Corp. 6,063,241
184,592 Bruker Corp. 12,943,591
57,904 Charles River Laboratories
International, Inc. (a) 14,085,148
47,538 Danaher Corp. 12,568,096
30,789 IQVIA Holdings, Inc. (a) 7,063,304
89,978 PerkinElmer, Inc. 12,374,674
403,206 QIAGEN N.V. (a) 19,757,094
37,260 Repligen Corp. (a) 6,904,278
757,305 Sotera Health Co. (a) 13,055,938
913,667 Syneos Health, Inc. (a) 32,818,919
11,457 Thermo Fisher Scientific, Inc. 6,534,271
---------------
198,656,162
---------------
PHARMACEUTICALS -- 13.8%
279,470 Bristol-Myers Squibb Co. 20,303,495
560,620 Catalent, Inc. (a) 30,021,201
1,645,494 Elanco Animal Health, Inc. (a) 22,592,633
34,490 Eli Lilly & Co. 11,869,733
71,421 Johnson & Johnson 11,671,620
302,054 Merck & Co., Inc. 32,443,620
719,939 Organon & Co. 21,691,762
370,099 Perrigo Co. PLC 13,849,105
654,047 Pfizer, Inc. 28,882,716
3,011,077 Viatris, Inc. 36,614,696
---------------
229,940,581
---------------
TOTAL COMMON STOCKS
-- 99.8% 1,660,160,318
(Cost $1,442,714,189) ---------------
See Notes to Financial Statements Page 33
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2023 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
MONEY MARKET FUNDS -- 0.5%
5,332,220 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
4.24% (c) (d) $ 5,332,220
2,832,151 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 4.12% (c) 2,832,151
---------------
TOTAL MONEY MARKET FUNDS
-- 0.5% 8,164,371
(Cost $8,164,371) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
---------------------------------------------------------------
REPURCHASE AGREEMENTS -- 0.1%
$ 1,014,466 BNP Paribas S.A., 4.21% (c),
dated 01/31/23, due 02/01/23,
with a maturity value of
$1,014,585. Collateralized by
U.S. Treasury Note, interest
rate of 2.13%, due 05/15/25.
The value of the collateral
including accrued interest
is $1,035,704. (d) 1,014,466
(Cost $1,014,466) ---------------
TOTAL INVESTMENTS -- 100.4% 1,669,339,155
(Cost $1,451,893,026)
NET OTHER ASSETS AND
LIABILITIES -- (0.4)% (6,831,323)
---------------
NET ASSETS -- 100.0% $ 1,662,507,832
===============
(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 $6,338,634 and the
total value of the collateral held by the Fund is $6,346,686.
(c) Rate shown reflects yield as of January 31, 2023.
(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) $ 6,338,634
Non-cash Collateral(2) (6,338,634)
---------------
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, 2023, the value of the collateral received from each
borrower exceeded the value of the related securities loaned. This amount
is disclosed on the Portfolio of Investments.
The Fund's investments in repurchase agreements were all subject to an
enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis
were as follows:
REPURCHASE AGREEMENTS
---------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(3) $ 1,014,466
Non-cash Collateral(4) (1,014,466)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At January 31, 2023, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
Page 34 See Notes to Financial Statements
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2023 (UNAUDITED)
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of January 31,
2023 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
1/31/2023 PRICES INPUTS INPUTS
-----------------------------------------------------------
Common Stocks*.................................. $1,660,160,318 $1,660,160,318 $ -- $ --
Money Market Funds.............................. 8,164,371 8,164,371 -- --
Repurchase Agreements........................... 1,014,466 -- 1,014,466 --
-----------------------------------------------------------
Total Investments............................... $1,669,339,155 $1,668,324,689 $ 1,014,466 $ --
===========================================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 35
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)
PORTFOLIO OF INVESTMENTS
JANUARY 31, 2023 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS -- 99.9%
AEROSPACE & DEFENSE -- 8.0%
119,346 Axon Enterprise, Inc. (a) $ 23,324,982
79,968 Boeing (The) Co. (a) 17,033,184
131,140 BWX Technologies, Inc. 7,981,181
24,787 HEICO Corp. 4,237,338
386,531 Howmet Aerospace, Inc. 15,727,946
49,527 Huntington Ingalls Industries,
Inc. 10,922,685
23,485 Lockheed Martin Corp. 10,879,661
13,960 Northrop Grumman Corp. 6,254,638
514,633 Spirit AeroSystems Holdings,
Inc., Class A 18,603,983
107,579 Textron, Inc. 7,837,130
12,097 TransDigm Group, Inc. 8,682,622
---------------
131,485,350
---------------
AIR FREIGHT & LOGISTICS -- 3.8%
124,780 C.H. Robinson Worldwide, Inc. 12,499,213
146,586 Expeditors International of
Washington, Inc. 15,853,276
87,951 FedEx Corp. 17,050,181
178,416 GXO Logistics, Inc. (a) 9,336,509
43,814 United Parcel Service, Inc.,
Class B 8,115,667
---------------
62,854,846
---------------
BUILDING PRODUCTS -- 9.8%
133,064 A.O. Smith Corp. 9,008,433
36,180 Allegion PLC 4,252,959
111,045 Armstrong World Industries, Inc. 8,595,993
187,415 AZEK (The) Co., Inc. (a) 4,522,324
305,227 Builders FirstSource, Inc. (a) 24,326,592
48,482 Carlisle Cos., Inc. 12,162,195
276,967 Carrier Global Corp. 12,610,307
266,733 Fortune Brands Innovations, Inc. 17,206,946
2,106,714 Hayward Holdings, Inc. (a) 28,419,572
81,600 Masco Corp. 4,341,120
232,158 Owens Corning 22,438,071
67,969 Trane Technologies PLC 12,174,607
---------------
160,059,119
---------------
CHEMICALS -- 2.4%
448,561 Axalta Coating Systems Ltd. (a) 13,501,686
110,981 DuPont de Nemours, Inc. 8,207,045
30,287 PPG Industries, Inc. 3,947,608
156,317 RPM International, Inc. 14,054,461
---------------
39,710,800
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 1.4%
16,865 Cintas Corp. 7,483,675
79,235 MSA Safety, Inc. 10,806,862
26,229 Tetra Tech, Inc. 4,079,134
---------------
22,369,671
---------------
CONSTRUCTION & ENGINEERING
-- 5.4%
233,169 AECOM 20,348,659
376,561 MDU Resources Group, Inc. 11,639,501
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
CONSTRUCTION & ENGINEERING
(CONTINUED)
138,969 Quanta Services, Inc. $ 21,149,692
59,888 Valmont Industries, Inc. 19,746,870
337,240 WillScot Mobile Mini Holdings
Corp. (a) 16,342,650
---------------
89,227,372
---------------
CONSTRUCTION MATERIALS -- 2.0%
114,664 Eagle Materials, Inc. 16,750,117
11,267 Martin Marietta Materials, Inc. 4,052,064
65,244 Vulcan Materials Co. 11,961,182
---------------
32,763,363
---------------
CONSUMER FINANCE -- 3.4%
77,326 American Express Co. 13,526,637
163,868 Capital One Financial Corp. 19,500,292
602,651 Synchrony Financial 22,135,371
---------------
55,162,300
---------------
CONTAINERS & PACKAGING -- 6.1%
74,468 Ball Corp. 4,337,016
252,079 Berry Global Group, Inc. 15,560,837
890,028 Graphic Packaging Holding Co. 21,440,774
119,093 Packaging Corp. of America 16,994,571
146,924 Silgan Holdings, Inc. 7,917,734
188,188 Sonoco Products Co. 11,500,169
563,228 Westrock Co. 22,101,067
---------------
99,852,168
---------------
DIVERSIFIED CONSUMER SERVICES
-- 0.2%
419,877 ADT, Inc. 3,690,719
---------------
ELECTRICAL EQUIPMENT -- 3.8%
68,986 Acuity Brands, Inc. 13,005,241
158,579 Emerson Electric Co. 14,306,997
197,988 nVent Electric PLC 7,870,023
95,223 Regal Rexnord Corp. 13,255,042
14,786 Rockwell Automation, Inc. 4,170,096
188,623 Sensata Technologies Holding
PLC 9,591,479
---------------
62,198,878
---------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 2.2%
51,884 Littelfuse, Inc. 13,318,104
9,523 Teledyne Technologies, Inc. (a) 4,040,228
75,322 Trimble, Inc. (a) 4,373,196
591,044 Vontier Corp. 13,611,743
---------------
35,343,271
---------------
HOUSEHOLD DURABLES -- 2.0%
111,767 Mohawk Industries, Inc. (a) 13,418,746
97,343 TopBuild Corp. (a) 19,474,441
---------------
32,893,187
---------------
INDUSTRIAL CONGLOMERATES -- 2.5%
127,028 3M Co. 14,618,382
236,539 General Electric Co. 19,036,659
35,541 Honeywell International, Inc. 7,409,588
---------------
41,064,629
---------------
Page 36 See Notes to Financial Statements
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2023 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
IT SERVICES -- 5.7%
80,702 Euronet Worldwide, Inc. (a) $ 9,093,501
168,384 Fidelity National Information
Services, Inc. 12,635,535
37,679 Fiserv, Inc. (a) 4,019,596
82,217 Genpact Ltd. 3,887,220
38,343 Global Payments, Inc. 4,322,023
21,904 Mastercard, Inc., Class A 8,117,622
354,070 Shift4 Payments, Inc.,
Class A (a) 22,674,643
18,330 Visa, Inc., Class A 4,219,749
553,128 Western Union (The) Co. 7,837,824
93,083 WEX, Inc. (a) 17,217,563
---------------
94,025,276
---------------
LEISURE PRODUCTS -- 1.4%
274,737 Brunswick Corp. 23,168,571
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 0.5%
5,269 Mettler-Toledo International,
Inc. (a) 8,076,955
---------------
MACHINERY -- 17.0%
142,787 AGCO Corp. 19,723,168
476,037 Allison Transmission Holdings,
Inc. 21,459,748
82,664 Caterpillar, Inc. 20,855,301
75,824 Crane Holdings Co. 8,788,760
15,718 Cummins, Inc. 3,922,270
46,187 Deere & Co. 19,529,711
258,760 Donaldson Co., Inc. 16,133,686
56,248 Dover Corp. 8,540,134
56,620 Graco, Inc. 3,868,278
33,358 IDEX Corp. 7,995,245
34,574 Illinois Tool Works, Inc. 8,160,847
93,915 ITT, Inc. 8,601,675
105,427 Lincoln Electric Holdings, Inc. 17,592,603
28,441 Middleby (The) Corp. (a) 4,421,153
16,021 Nordson Corp. 3,897,909
48,631 Otis Worldwide Corp. 3,998,927
115,438 PACCAR, Inc. 12,618,528
39,261 Parker-Hannifin Corp. 12,799,086
253,998 Pentair PLC 14,066,409
66,668 Snap-on, Inc. 16,582,332
152,088 Stanley Black & Decker, Inc. 13,582,979
174,940 Toro (The) Co. 19,509,309
38,155 Westinghouse Air Brake
Technologies Corp. 3,960,871
68,885 Xylem, Inc. 7,164,729
---------------
277,773,658
---------------
MARINE -- 0.5%
118,362 Kirby Corp. (a) 8,377,662
---------------
PAPER & FOREST PRODUCTS -- 1.4%
334,512 Louisiana-Pacific Corp. 22,776,922
---------------
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
PROFESSIONAL SERVICES -- 2.8%
145,744 Booz Allen Hamilton Holding
Corp. $ 13,793,212
31,718 Jacobs Solutions, Inc. 3,918,759
183,069 ManpowerGroup, Inc. 15,956,294
154,746 Robert Half International, Inc. 12,992,474
---------------
46,660,739
---------------
ROAD & RAIL -- 8.6%
245,854 CSX Corp. 7,601,806
65,524 J.B. Hunt Transport Services,
Inc. 12,387,312
377,850 Knight-Swift Transportation
Holdings, Inc. 22,330,935
123,077 Landstar System, Inc. 21,271,398
15,455 Norfolk Southern Corp. 3,798,993
13,419 Old Dominion Freight Line, Inc. 4,471,747
236,965 Ryder System, Inc. 22,371,866
846,286 Schneider National, Inc.,
Class B 22,426,579
594,867 XPO, Inc. (a) 23,711,399
---------------
140,372,035
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 1.1%
179,785 MKS Instruments, Inc. 18,395,601
---------------
SOFTWARE -- 0.8%
19,086 Fair Isaac Corp. (a) 12,710,322
---------------
TRADING COMPANIES & DISTRIBUTORS
-- 7.1%
396,491 Air Lease Corp. 17,830,200
788,874 Core & Main, Inc., Class A (a) 17,410,449
139,840 MSC Industrial Direct Co., Inc.,
Class A 11,564,768
55,717 United Rentals, Inc. (a) 24,568,411
27,385 W.W. Grainger, Inc. 16,142,910
15,269 Watsco, Inc. 4,387,853
158,172 WESCO International, Inc. (a) 23,569,210
---------------
115,473,801
---------------
TOTAL COMMON STOCKS
-- 99.9% 1,636,487,215
(Cost $1,503,251,362) ---------------
MONEY MARKET FUNDS -- 0.2%
2,517,256 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 4.12% (b) 2,517,256
(Cost $2,517,256) ---------------
TOTAL INVESTMENTS -- 100.1% 1,639,004,471
(Cost $1,505,768,618)
NET OTHER ASSETS AND
LIABILITIES -- (0.1)% (908,968)
---------------
NET ASSETS -- 100.0% $ 1,638,095,503
===============
(a) Non-income producing security.
(b) Rate shown reflects yield as of January 31, 2023.
See Notes to Financial Statements Page 37
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2023 (UNAUDITED)
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of January 31,
2023 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
1/31/2023 PRICES INPUTS INPUTS
-----------------------------------------------------------
Common Stocks*.................................. $1,636,487,215 $1,636,487,215 $ -- $ --
Money Market Funds.............................. 2,517,256 2,517,256 -- --
-----------------------------------------------------------
Total Investments............................... $1,639,004,471 $1,639,004,471 $ -- $ --
===========================================================
* See Portfolio of Investments for industry breakout.
Page 38 See Notes to Financial Statements
FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ)
PORTFOLIO OF INVESTMENTS
JANUARY 31, 2023 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 0.9%
203,370 Hexcel Corp. $ 14,353,855
---------------
CHEMICALS -- 51.0%
38,826 Air Products and Chemicals, Inc. 12,444,121
165,565 Albemarle Corp. 46,598,269
222,609 Ashland, Inc. 24,324,485
468,247 Celanese Corp. 57,688,030
421,421 CF Industries Holdings, Inc. 35,694,359
1,172,605 Chemours (The) Co. 42,671,096
950,055 Dow, Inc. 56,385,764
587,835 Eastman Chemical Co. 51,829,412
82,218 Ecolab, Inc. 12,729,813
1,315,926 Element Solutions, Inc. 26,950,165
287,702 FMC Corp. 38,301,767
2,488,748 Huntsman Corp. 78,868,424
114,160 International Flavors &
Fragrances, Inc. 12,838,434
73,387 Linde PLC 24,286,694
576,576 LyondellBasell Industries N.V.,
Class A 55,749,134
1,558,940 Mosaic (The) Co. 77,229,888
76,936 NewMarket Corp. 26,505,221
904,299 Olin Corp. 58,408,672
246,317 Scotts Miracle-Gro (The) Co. 17,781,624
366,562 Valvoline, Inc. 13,438,163
666,964 Westlake Corp. 81,869,831
---------------
852,593,366
---------------
CONTAINERS & PACKAGING -- 4.9%
132,247 Avery Dennison Corp. 25,052,872
1,382,433 International Paper Co. 57,813,348
---------------
82,866,220
---------------
MACHINERY -- 2.5%
508,069 Timken (The) Co. 41,839,482
---------------
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
METALS & MINING -- 37.6%
526,433 Alcoa Corp. $ 27,500,860
4,245,228 Cleveland-Cliffs, Inc. (a) 90,635,618
944,866 Freeport-McMoRan, Inc. 42,159,921
492,932 MP Materials Corp. (a) 16,025,219
760,703 Newmont Corp. 40,264,010
518,862 Nucor Corp. 87,698,055
236,483 Reliance Steel & Aluminum Co. 53,788,058
212,356 Royal Gold, Inc. 26,975,583
396,367 Southern Copper Corp. 29,810,762
3,055,098 SSR Mining, Inc. 51,753,360
700,009 Steel Dynamics, Inc. 84,449,086
2,730,167 United States Steel Corp. 77,782,458
---------------
628,842,990
---------------
TRADING COMPANIES & DISTRIBUTORS
-- 3.1%
252,929 Fastenal Co. 12,785,561
1,129,090 Univar Solutions, Inc. (a) 38,931,023
---------------
51,716,584
---------------
TOTAL COMMON STOCKS
-- 100.0% 1,672,212,497
(Cost $1,589,615,580) ---------------
MONEY MARKET FUNDS -- 0.0%
486,037 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 4.12% (b) 486,037
(Cost $486,037) ---------------
TOTAL INVESTMENTS -- 100.0% 1,672,698,534
(Cost $1,590,101,617)
NET OTHER ASSETS AND
LIABILITIES -- (0.0)% (745,710)
---------------
NET ASSETS -- 100.0% $ 1,671,952,824
===============
(a) Non-income producing security.
(b) Rate shown reflects yield as of January 31, 2023.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of January 31,
2023 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
1/31/2023 PRICES INPUTS INPUTS
-----------------------------------------------------------
Common Stocks*.................................. $1,672,212,497 $1,672,212,497 $ -- $ --
Money Market Funds.............................. 486,037 486,037 -- --
-----------------------------------------------------------
Total Investments............................... $1,672,698,534 $1,672,698,534 $ -- $ --
===========================================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 39
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL)
PORTFOLIO OF INVESTMENTS
JANUARY 31, 2023 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS -- 99.9%
COMMUNICATIONS EQUIPMENT
-- 0.9%
65,519 F5, Inc. (a) $ 9,674,536
---------------
ELECTRICAL EQUIPMENT -- 1.6%
1,147,230 Vertiv Holdings Co. 16,313,611
---------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 15.4%
164,656 Amphenol Corp., Class A 13,134,609
149,863 Arrow Electronics, Inc. (a) 17,607,404
376,890 Avnet, Inc. 17,291,713
87,753 CDW Corp. 17,202,220
357,177 Coherent Corp. (a) 15,501,482
490,642 Corning, Inc. 16,981,120
165,535 IPG Photonics Corp. (a) 18,556,473
229,782 Jabil, Inc. 18,067,759
254,817 National Instruments Corp. 13,760,118
132,372 TD SYNNEX Corp. 13,521,800
---------------
161,624,698
---------------
INTERACTIVE MEDIA & SERVICES
-- 4.2%
142,095 Alphabet, Inc., Class A (a) 14,044,670
70,589 IAC, Inc. (a) 3,988,279
130,223 Meta Platforms, Inc.,
Class A (a) 19,399,320
258,173 Pinterest, Inc., Class A (a) 6,787,368
---------------
44,219,637
---------------
IT SERVICES -- 15.9%
111,539 Akamai Technologies, Inc. (a) 9,921,394
137,920 Amdocs Ltd. 12,678,986
274,018 Cognizant Technology Solutions
Corp., Class A 18,290,701
94,149 Concentrix Corp. 13,351,270
591,365 DXC Technology Co. (a) 16,989,916
19,126 EPAM Systems, Inc. (a) 6,362,264
46,622 Gartner, Inc. (a) 15,764,763
18,640 Globant S.A. (a) 3,023,035
125,670 GoDaddy, Inc., Class A (a) 10,321,277
66,737 International Business Machines
Corp. 8,991,476
91,739 Okta, Inc. (a) 6,752,908
240,818 SS&C Technologies Holdings,
Inc. 14,533,366
521,503 Toast, Inc., Class A (a) 11,634,732
64,015 Twilio, Inc., Class A (a) 3,830,658
30,513 VeriSign, Inc. (a) 6,653,360
81,588 Wix.com Ltd. (a) 7,096,524
---------------
166,196,630
---------------
PROFESSIONAL SERVICES -- 5.4%
41,709 CACI International, Inc.,
Class A (a) 12,850,126
766,941 Dun & Bradstreet Holdings, Inc. 11,235,686
296,802 KBR, Inc. 15,205,166
89,387 Leidos Holdings, Inc. 8,835,011
84,763 Science Applications
International Corp. 8,796,704
---------------
56,922,693
---------------
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 26.9%
145,172 Advanced Micro Devices,
Inc. (a) $ 10,909,676
417,620 Allegro MicroSystems, Inc. (a) 15,940,555
76,430 Analog Devices, Inc. 13,105,452
64,372 Applied Materials, Inc. 7,176,834
22,421 Broadcom, Inc. 13,116,509
210,407 Cirrus Logic, Inc. (a) 19,018,689
232,638 GLOBALFOUNDRIES,
Inc. (a) (b) 13,790,781
592,930 Intel Corp. 16,756,202
41,564 KLA Corp. 16,313,039
14,915 Lam Research Corp. 7,458,991
193,231 Lattice Semiconductor Corp. (a) 14,644,977
84,616 Marvell Technology, Inc. 3,651,180
178,461 Microchip Technology, Inc. 13,852,143
313,549 Micron Technology, Inc. 18,907,005
8,864 Monolithic Power Systems, Inc. 3,781,028
21,447 NVIDIA Corp. 4,190,100
201,010 ON Semiconductor Corp. (a) 14,764,185
172,894 Qorvo, Inc. (a) 18,786,662
28,510 QUALCOMM, Inc. 3,797,817
171,966 Skyworks Solutions, Inc. 18,859,511
143,526 Teradyne, Inc. 14,596,594
56,910 Texas Instruments, Inc. 10,085,021
58,018 Universal Display Corp. 7,689,126
---------------
281,192,077
---------------
SOFTWARE -- 23.1%
9,314 Adobe, Inc. (a) 3,449,347
123,712 Alteryx, Inc., Class A (a) 6,864,779
25,946 ANSYS, Inc. (a) 6,910,977
16,773 Autodesk, Inc. (a) 3,608,879
254,403 Bentley Systems, Inc., Class B 9,934,437
203,027 Black Knight, Inc. (a) 12,301,406
39,023 Cadence Design Systems,
Inc. (a) 7,134,575
146,574 Ceridian HCM Holding, Inc. (a) 10,594,369
118,766 Coupa Software, Inc. (a) 9,491,779
56,555 DocuSign, Inc. (a) 3,429,495
88,865 Dolby Laboratories, Inc.,
Class A 7,070,099
142,724 DoubleVerify Holdings, Inc. (a) 3,880,666
280,092 Dropbox, Inc., Class A (a) 6,506,537
81,834 Dynatrace, Inc. (a) 3,144,881
292,509 Gen Digital, Inc. 6,730,632
10,839 HubSpot, Inc. (a) 3,761,241
8,053 Intuit, Inc. 3,403,761
25,818 Manhattan Associates, Inc. (a) 3,365,634
535,538 NCR Corp. (a) 14,684,452
111,044 New Relic, Inc. (a) 6,779,236
481,264 Nutanix, Inc., Class A (a) 13,412,828
153,376 Oracle Corp. 13,567,641
20,201 Paycom Software, Inc. (a) 6,543,912
66,432 Procore Technologies, Inc. (a) 3,716,870
78,330 PTC, Inc. (a) 10,565,150
7,254 Roper Technologies, Inc. 3,095,644
23,638 Salesforce, Inc. (a) 3,970,475
238,890 Smartsheet, Inc., Class A (a) 10,322,437
Page 40 See Notes to Financial Statements
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2023 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS (CONTINUED)
SOFTWARE (CONTINUED)
72,814 Splunk, Inc. (a) $ 6,973,397
19,633 Synopsys, Inc. (a) 6,945,174
93,114 Teradata Corp. (a) 3,247,816
76,593 VMware, Inc., Class A (a) 9,380,345
37,461 Workday, Inc., Class A (a) 6,796,549
138,807 Zoom Video Communications,
Inc., Class A (a) 10,410,525
---------------
241,995,945
---------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 6.5%
233,782 Dell Technologies, Inc., Class C 9,496,225
981,902 Hewlett Packard Enterprise Co. 15,838,079
349,932 HP, Inc. 10,197,018
52,186 NetApp, Inc. 3,456,279
234,246 Pure Storage, Inc., Class A (a) 6,779,079
496,708 Western Digital Corp. (a) 21,830,317
---------------
67,596,997
---------------
TOTAL COMMON STOCKS
-- 99.9% 1,045,736,824
(Cost $1,015,008,096) ---------------
MONEY MARKET FUNDS -- 1.2%
10,952,922 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
4.24% (c) (d) 10,952,922
1,775,462 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 4.12% (c) 1,775,462
---------------
TOTAL MONEY MARKET FUNDS
-- 1.2% 12,728,384
(Cost $12,728,384) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
---------------------------------------------------------------
REPURCHASE AGREEMENTS -- 0.2%
$ 2,083,816 BNP Paribas S.A., 4.21% (c),
dated 01/31/23, due 02/01/23,
with a maturity value of
$2,084,060. Collateralized by
U.S. Treasury Note, interest
rate of 2.13%, due 05/15/25.
The value of the collateral
including accrued interest
is $2,127,441. (d) 2,083,816
(Cost $2,083,816) ---------------
TOTAL INVESTMENTS -- 101.3% 1,060,549,024
(Cost $1,029,820,296)
NET OTHER ASSETS AND
LIABILITIES -- (1.3)% (13,717,868)
---------------
NET ASSETS -- 100.0% $ 1,046,831,156
===============
(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 $13,164,784 and the
total value of the collateral held by the Fund is $13,036,738.
(c) Rate shown reflects yield as of January 31, 2023.
(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) $ 13,164,784
Non-cash Collateral(2) (13,036,738)
---------------
Net Amount $ 128,046
===============
(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, 2023, the last business day of the
period, there was sufficient collateral based on the end of day market
value from the prior business day; however, as a result of market movement
from January 30 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) $ 2,083,816
Non-cash Collateral(4) (2,083,816)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At January 31, 2023, 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 TECHNOLOGY ALPHADEX(R) FUND (FXL)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2023 (UNAUDITED)
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of January 31,
2023 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
1/31/2023 PRICES INPUTS INPUTS
-----------------------------------------------------------
Common Stocks*.................................. $1,045,736,824 $1,045,736,824 $ -- --
Money Market Funds.............................. 12,728,384 12,728,384 -- --
Repurchase Agreements........................... 2,083,816 -- 2,083,816 --
-----------------------------------------------------------
Total Investments............................... $1,060,549,024 $1,058,465,208 $ 2,083,816 $ --
===========================================================
* See Portfolio of Investments for industry breakout.
Page 42 See Notes to Financial Statements
FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU)
PORTFOLIO OF INVESTMENTS
JANUARY 31, 2023 (UNAUDITED)
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
COMMON STOCKS -- 99.7%
COMMERCIAL SERVICES & SUPPLIES
-- 5.4%
108,002 Clean Harbors, Inc. (a) $ 14,072,661
23,888 Republic Services, Inc. 2,981,700
19,641 Waste Management, Inc. 3,039,052
---------------
20,093,413
---------------
ELECTRIC UTILITIES -- 51.7%
111,622 Alliant Energy Corp. 6,030,937
97,356 American Electric Power Co.,
Inc. 9,147,570
358,459 Avangrid, Inc. 15,116,216
119,674 Duke Energy Corp. 12,260,601
145,299 Edison International 10,011,101
109,557 Entergy Corp. 11,862,832
195,856 Evergy, Inc. 12,270,378
73,505 Eversource Energy 6,051,667
285,108 Exelon Corp. 12,028,706
146,939 FirstEnergy Corp. 6,017,152
147,255 Hawaiian Electric Industries,
Inc. 6,224,469
57,141 IDACORP, Inc. 6,046,089
484,177 NRG Energy, Inc. 16,568,537
389,545 OGE Energy Corp. 15,316,909
947,511 PG&E Corp. (a) 15,065,425
202,611 Pinnacle West Capital Corp. 15,104,650
316,356 PPL Corp. 9,364,138
43,150 Southern (The) Co. 2,920,392
87,899 Xcel Energy, Inc. 6,044,814
---------------
193,452,583
---------------
ELECTRICAL EQUIPMENT -- 2.7%
384,843 Sunrun, Inc. (a) 10,113,674
---------------
GAS UTILITIES -- 10.8%
82,483 Atmos Energy Corp. 9,695,052
243,389 National Fuel Gas Co. 14,131,165
415,607 UGI Corp. 16,553,627
---------------
40,379,844
---------------
SHARES DESCRIPTION VALUE
---------------------------------------------------------------
INDEPENDENT POWER AND RENEWABLE
ELECTRICITY PRODUCERS
-- 10.0%
535,694 AES (The) Corp. $ 14,683,372
335,655 Brookfield Renewable Corp.,
Class A 10,579,846
531,260 Vistra Corp. 12,250,856
---------------
37,514,074
---------------
MULTI-UTILITIES -- 17.4%
69,305 Ameren Corp. 6,020,525
308,234 CenterPoint Energy, Inc. 9,284,008
48,655 CMS Energy Corp. 3,074,509
129,318 Consolidated Edison, Inc. 12,325,299
50,250 Dominion Energy, Inc. 3,197,910
52,434 DTE Energy Co. 6,101,745
449,498 NiSource, Inc. 12,473,570
59,816 Sempra Energy 9,590,299
32,864 WEC Energy Group, Inc. 3,088,887
---------------
65,156,752
---------------
WATER UTILITIES -- 1.7%
20,215 American Water Works Co., Inc. 3,163,445
64,557 Essential Utilities, Inc. 3,016,749
---------------
6,180,194
---------------
TOTAL COMMON STOCKS
-- 99.7% 372,890,534
(Cost $367,452,140) ---------------
MONEY MARKET FUNDS -- 0.3%
960,649 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 4.12% (b) 960,649
(Cost $960,649) ---------------
TOTAL INVESTMENTS -- 100.0% 373,851,183
(Cost $368,412,789)
NET OTHER ASSETS AND
LIABILITIES -- 0.0% 166,599
---------------
NET ASSETS -- 100.0% $ 374,017,782
===============
(a) Non-income producing security.
(b) Rate shown reflects yield as of January 31, 2023.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of January 31,
2023 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
1/31/2023 PRICES INPUTS INPUTS
-----------------------------------------------------------
Common Stocks*.................................. $ 372,890,534 $ 372,890,534 $ -- $ --
Money Market Funds.............................. 960,649 960,649 -- --
-----------------------------------------------------------
Total Investments............................... $ 373,851,183 $ 373,851,183 $ -- $ --
===========================================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 43
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
JANUARY 31, 2023 (UNAUDITED)
FIRST TRUST FIRST TRUST
CONSUMER CONSUMER FIRST TRUST
DISCRETIONARY STAPLES ENERGY
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXD) (FXG) (FXN)
-------------------- -------------------- --------------------
ASSETS:
Investments, at value............................................... $ 352,508,336 $ 754,299,156 $1,987,524,176
Receivables:
Dividends........................................................ 97,172 580,583 2,348,751
Securities lending income........................................ 257 -- 6,172
Capital shares sold.............................................. -- -- --
Reclaims......................................................... -- -- --
Prepaid expenses.................................................... 1,674 5,134 17,193
-------------- -------------- --------------
Total Assets..................................................... 352,607,439 754,884,873 1,989,896,292
-------------- -------------- --------------
LIABILITIES:
Payables:
Investment advisory fees......................................... 142,022 316,496 830,386
Licensing fees................................................... 45,660 92,123 264,250
Shareholder reporting fees....................................... 39,070 34,213 66,820
Audit and tax fees............................................... 18,211 18,791 20,761
Trustees' fees................................................... 1,315 741 1,061
Collateral for securities on loan................................ -- -- --
Investment securities purchased.................................. -- -- --
Other liabilities................................................... 105,168 153,346 387,604
-------------- -------------- --------------
Total Liabilities................................................ 351,446 615,710 1,570,882
-------------- -------------- --------------
NET ASSETS.......................................................... $ 352,255,993 $ 754,269,163 $1,988,325,410
============== ============== ==============
NET ASSETS CONSIST OF:
Paid-in capital..................................................... $ 815,254,275 $ 992,379,386 $2,237,138,466
Par value........................................................... 64,000 119,000 1,147,000
Accumulated distributable earnings (loss)........................... (463,062,282) (238,229,223) (249,960,056)
-------------- -------------- --------------
NET ASSETS.......................................................... $ 352,255,993 $ 754,269,163 $1,988,325,410
============== ============== ==============
NET ASSET VALUE, per share.......................................... $ 55.04 $ 63.38 $ 17.34
============== ============== ==============
Number of shares outstanding (unlimited number of shares
authorized, par value $0.01 per share)........................... 6,400,002 11,900,002 114,700,002
============== ============== ==============
Investments, at cost................................................ $ 347,338,669 $ 721,206,516 $1,750,444,991
============== ============== ==============
Securities on loan, at value........................................ $ -- $ -- $ --
============== ============== ==============
Page 44 See Notes to Financial Statements
FIRST TRUST
FIRST TRUST FIRST TRUST INDUSTRIALS/ FIRST TRUST FIRST TRUST FIRST TRUST
FINANCIALS HEALTH CARE PRODUCER DURABLES MATERIALS TECHNOLOGY UTILITIES
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXO) (FXH) (FXR) (FXZ) (FXL) (FXU)
-------------------- -------------------- -------------------- -------------------- -------------------- --------------------
$1,249,120,684 $1,669,339,155 $1,639,004,471 $1,672,698,534 $1,060,549,024 $ 373,851,183
885,930 766,390 346,118 482,316 178,713 499,211
67,185 17,881 20 17 23,537 --
-- -- -- -- -- 1,654,378
-- -- -- -- -- 4,535
7,025 9,740 9,204 11,631 9,254 3,772
-------------- -------------- -------------- -------------- -------------- --------------
1,250,080,824 1,670,133,166 1,639,359,813 1,673,192,498 1,060,760,528 376,013,079
-------------- -------------- -------------- -------------- -------------- --------------
491,395 684,945 659,086 654,447 426,335 157,114
155,184 208,817 206,177 192,664 139,721 53,752
67,484 36,108 43,869 66,538 54,098 24,061
18,437 18,324 18,262 18,712 17,887 18,810
994 899 975 1,162 1,192 781
28,884,402 6,346,686 -- -- 13,036,738 --
-- -- -- -- -- 1,651,061
269,610 329,555 335,941 306,151 253,401 89,718
-------------- -------------- -------------- -------------- -------------- --------------
29,887,506 7,625,334 1,264,310 1,239,674 13,929,372 1,995,297
-------------- -------------- -------------- -------------- -------------- --------------
$1,220,193,318 $1,662,507,832 $1,638,095,503 $1,671,952,824 $1,046,831,156 $ 374,017,782
============== ============== ============== ============== ============== ==============
$1,435,645,967 $2,097,670,508 $1,866,923,543 $1,828,202,120 $1,717,070,890 $ 559,090,058
268,500 148,000 289,000 237,000 103,050 111,500
(215,721,149) (435,310,676) (229,117,040) (156,486,296) (670,342,784) (185,183,776)
-------------- -------------- -------------- -------------- -------------- --------------
$1,220,193,318 $1,662,507,832 $1,638,095,503 $1,671,952,824 $1,046,831,156 $ 374,017,782
============== ============== ============== ============== ============== ==============
$ 45.44 $ 112.33 $ 56.68 $ 70.55 $ 101.58 $ 33.54
============== ============== ============== ============== ============== ==============
26,850,002 14,800,002 28,900,002 23,700,002 10,305,000 11,150,002
============== ============== ============== ============== ============== ==============
$1,191,840,566 $1,451,893,026 $1,505,768,618 $1,590,101,617 $1,029,820,296 $ 368,412,789
============== ============== ============== ============== ============== ==============
$ 28,832,129 $ 6,338,634 $ -- $ -- $ 13,164,784 $ --
============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 45
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JANUARY 31, 2023 (UNAUDITED)
FIRST TRUST FIRST TRUST
CONSUMER CONSUMER FIRST TRUST
DISCRETIONARY STAPLES ENERGY
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXD) (FXG) (FXN)
-------------------- -------------------- --------------------
INVESTMENT INCOME:
Dividends......................................................... $ 2,670,309 $ 10,325,251 $ 38,081,948
Securities lending income (net of fees)........................... 24,261 64 35,342
Foreign withholding tax........................................... -- -- --
-------------- -------------- --------------
Total investment income........................................ 2,694,570 10,325,315 38,117,290
-------------- -------------- --------------
EXPENSES:
Investment advisory fees.......................................... 881,041 1,692,576 4,753,907
Accounting and administration fees................................ 88,917 169,900 431,384
Licensing fees.................................................... 70,483 135,406 380,313
Custodian fees.................................................... 16,655 24,566 74,187
Audit and tax fees................................................ 15,187 14,477 15,524
Transfer agent fees............................................... 8,810 16,926 36,372
Shareholder reporting fees........................................ 8,772 59,811 125,808
Legal fees........................................................ 8,603 9,011 27,802
Trustees' fees and expenses....................................... 4,780 4,499 5,304
Listing fees...................................................... 3,711 3,178 3,179
Other expenses.................................................... 8,680 4,615 11,860
-------------- -------------- --------------
Total expenses................................................. 1,115,639 2,134,965 5,865,640
-------------- -------------- --------------
NET INVESTMENT INCOME (LOSS)...................................... 1,578,931 8,190,350 32,251,650
-------------- -------------- --------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments.................................................... (32,263,036) (17,376,946) (2,333,143)
In-kind redemptions............................................ 1,157,124 5,397,753 23,107,825
-------------- -------------- --------------
Net realized gain (loss).......................................... (31,105,912) (11,979,193) 20,774,682
-------------- -------------- --------------
Net change in unrealized appreciation (depreciation) on
investments.................................................... 64,673,846 6,440,100 7,090,933
-------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS)........................... 33,567,934 (5,539,093) 27,865,615
-------------- -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS................................................ $ 35,146,865 $ 2,651,257 $ 60,117,265
============== ============== ==============
Page 46 See Notes to Financial Statements
FIRST TRUST
FIRST TRUST FIRST TRUST INDUSTRIALS/ FIRST TRUST FIRST TRUST FIRST TRUST
FINANCIALS HEALTH CARE PRODUCER DURABLES MATERIALS TECHNOLOGY UTILITIES
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXO) (FXH) (FXR) (FXZ) (FXL) (FXU)
-------------------- -------------------- -------------------- -------------------- -------------------- --------------------
$ 20,200,630 $ 6,296,115 $ 11,053,868 $ 14,780,047 $ 4,646,625 $ 6,128,176
749,348 80,913 83,439 856 72,159 134
(15,834) -- -- (96,290) -- (6,943)
-------------- -------------- -------------- -------------- -------------- --------------
20,934,144 6,377,028 11,137,307 14,684,613 4,718,784 6,121,367
-------------- -------------- -------------- -------------- -------------- --------------
2,908,182 3,824,531 3,827,443 3,655,843 2,592,459 1,037,445
283,826 357,089 357,427 343,526 257,920 104,372
232,654 305,962 306,196 292,467 207,397 82,996
43,919 57,072 58,568 55,115 42,459 16,378
14,961 15,029 15,125 14,567 15,430 14,435
27,144 31,725 31,740 30,882 25,402 10,374
82,632 55,064 61,147 113,949 21,125 39,771
16,290 20,867 21,106 20,414 19,600 6,048
4,819 4,864 4,934 5,306 4,981 4,441
3,248 3,179 3,179 3,179 3,202 3,202
13,252 15,842 16,959 10,658 12,792 2,837
-------------- -------------- -------------- -------------- -------------- --------------
3,630,927 4,691,224 4,703,824 4,545,906 3,202,767 1,322,299
-------------- -------------- -------------- -------------- -------------- --------------
17,303,217 1,685,804 6,433,483 10,138,707 1,516,017 4,799,068
-------------- -------------- -------------- -------------- -------------- --------------
(22,634,296) (54,518,468) (80,375,202) (45,133,008) (84,110,057) (4,697,931)
9,551,981 14,163,782 11,358,317 2,341,124 9,330,233 10,102,364
-------------- -------------- -------------- -------------- -------------- --------------
(13,082,315) (40,354,686) (69,016,885) (42,791,884) (74,779,824) 5,404,433
-------------- -------------- -------------- -------------- -------------- --------------
118,458,227 95,534,661 149,433,495 232,258,164 40,942,514 (21,523,361)
-------------- -------------- -------------- -------------- -------------- --------------
105,375,912 55,179,975 80,416,610 189,466,280 (33,837,310) (16,118,928)
-------------- -------------- -------------- -------------- -------------- --------------
$ 122,679,129 $ 56,865,779 $ 86,850,093 $ 199,604,987 $ (32,321,293) $ (11,319,860)
============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 47
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
FIRST TRUST FIRST TRUST
CONSUMER DISCRETIONARY CONSUMER STAPLES
ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXD) (FXG)
---------------------------------- ----------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
1/31/2023 YEAR ENDED 1/31/2023 YEAR ENDED
(UNAUDITED) 7/31/2022 (UNAUDITED) 7/31/2022
---------------- ---------------- ---------------- ----------------
OPERATIONS:
Net investment income (loss).............................. $ 1,578,931 $ 12,047,240 $ 8,190,350 $ 5,452,882
Net realized gain (loss).................................. (31,105,912) 154,046,852 (11,979,193) 12,107,920
Net change in unrealized appreciation (depreciation)...... 64,673,846 (441,734,956) 6,440,100 14,116,145
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets resulting
from operations........................................ 35,146,865 (275,640,864) 2,651,257 31,676,947
-------------- -------------- -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations..................................... (1,869,470) (13,315,221) (8,969,337) (4,675,407)
-------------- -------------- -------------- --------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold................................. 4,504,599 821,836,474 158,614,808 502,041,230
Cost of shares redeemed................................... (79,642,920) (2,086,899,315) (48,681,053) (125,700,060)
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets resulting
from shareholder transactions.......................... (75,138,321) (1,265,062,841) 109,933,755 376,341,170
-------------- -------------- -------------- --------------
Total increase (decrease) in net assets................... (41,860,926) (1,554,018,926) 103,615,675 403,342,710
NET ASSETS:
Beginning of period....................................... 394,116,919 1,948,135,845 650,653,488 247,310,778
-------------- -------------- -------------- --------------
End of period............................................. $ 352,255,993 $ 394,116,919 $ 754,269,163 $ 650,653,488
============== ============== ============== ==============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period................... 7,950,002 31,750,002 10,200,002 4,400,002
Shares sold............................................... 100,000 14,350,000 2,500,000 7,850,000
Shares redeemed........................................... (1,650,000) (38,150,000) (800,000) (2,050,000)
-------------- -------------- -------------- --------------
Shares outstanding, end of period......................... 6,400,002 7,950,002 11,900,002 10,200,002
============== ============== ============== ==============
Page 48 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST
ENERGY FINANCIALS HEALTH CARE
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXN) (FXO) (FXH)
---------------------------------- ---------------------------------- ----------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED SIX MONTHS ENDED
1/31/2023 YEAR ENDED 1/31/2023 YEAR ENDED 1/31/2023 YEAR ENDED
(UNAUDITED) 7/31/2022 (UNAUDITED) 7/31/2022 (UNAUDITED) 7/31/2022
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
$ 32,251,650 $ 20,991,279 $ 17,303,217 $ 29,707,133 $ 1,685,804 $ 1,824,839
20,774,682 102,779,022 (13,082,315) 143,892,144 (40,354,686) (4,568,756)
7,090,933 205,525,000 118,458,227 (214,313,440) 95,534,661 (177,329,197)
-------------- -------------- -------------- -------------- -------------- --------------
60,117,265 329,295,301 122,679,129 (40,714,163) 56,865,779 (180,073,114)
-------------- -------------- -------------- -------------- -------------- --------------
(25,257,350) (19,922,141) (18,895,466) (28,346,142) (3,205,345) --
-------------- -------------- -------------- -------------- -------------- --------------
391,988,309 1,605,588,558 34,528,667 604,854,268 172,436,351 252,759,574
(103,813,719) (578,637,025) (89,856,756) (676,942,289) (67,316,849) (173,706,436)
-------------- -------------- -------------- -------------- -------------- --------------
288,174,590 1,026,951,533 (55,328,089) (72,088,021) 105,119,502 79,053,138
-------------- -------------- -------------- -------------- -------------- --------------
323,034,505 1,336,324,693 48,455,574 (141,148,326) 158,779,936 (101,019,976)
1,665,290,905 328,966,212 1,171,737,744 1,312,886,070 1,503,727,896 1,604,747,872
-------------- -------------- -------------- -------------- -------------- --------------
$1,988,325,410 $1,665,290,905 $1,220,193,318 $1,171,737,744 $1,662,507,832 $1,503,727,896
============== ============== ============== ============== ============== ==============
99,150,002 31,850,002 28,250,002 30,250,002 13,850,002 13,150,002
21,900,000 109,350,000 800,000 13,250,000 1,600,000 2,250,000
(6,350,000) (42,050,000) (2,200,000) (15,250,000) (650,000) (1,550,000)
-------------- -------------- -------------- -------------- -------------- --------------
114,700,002 99,150,002 26,850,002 28,250,002 14,800,002 13,850,002
============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 49
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FIRST TRUST FIRST TRUST
INDUSTRIALS/PRODUCER DURABLES MATERIALS
ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXR) (FXZ)
---------------------------------- ----------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
1/31/2023 YEAR ENDED 1/31/2023 YEAR ENDED
(UNAUDITED) 7/31/2022 (UNAUDITED) 7/31/2022
---------------- ---------------- ---------------- ----------------
OPERATIONS:
Net investment income (loss).............................. $ 6,433,483 $ 12,729,384 $ 10,138,707 $ 16,484,011
Net realized gain (loss).................................. (69,016,885) (17,448,344) (42,791,884) 75,814,579
Net change in unrealized appreciation (depreciation)...... 149,433,495 (177,157,775) 232,258,164 (187,817,992)
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets resulting
from operations........................................ 86,850,093 (181,876,735) 199,604,987 (95,519,402)
-------------- -------------- -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations..................................... (7,696,141) (11,751,221) (14,513,621) (12,438,026)
-------------- -------------- -------------- --------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold................................. 111,494,446 880,928,164 124,412,434 2,011,606,379
Cost of shares redeemed................................... (130,779,279) (876,678,313) (205,466,103) (796,095,645)
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets resulting
from shareholder transactions.......................... (19,284,833) 4,249,851 (81,053,669) 1,215,510,734
-------------- -------------- -------------- --------------
Total increase (decrease) in net assets................... 59,869,119 (189,378,105) 104,037,697 1,107,553,306
NET ASSETS:
Beginning of period....................................... 1,578,226,384 1,767,604,489 1,567,915,127 460,361,821
-------------- -------------- -------------- --------------
End of period............................................. $1,638,095,503 $1,578,226,384 $1,671,952,824 $1,567,915,127
============== ============== ============== ==============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period................... 29,400,002 29,700,002 25,300,002 7,950,002
Shares sold............................................... 2,100,000 15,200,000 1,950,000 29,600,000
Shares redeemed........................................... (2,600,000) (15,500,000) (3,550,000) (12,250,000)
-------------- -------------- -------------- --------------
Shares outstanding, end of period......................... 28,900,002 29,400,002 23,700,002 25,300,002
============== ============== ============== ==============
Page 50 See Notes to Financial Statements
FIRST TRUST FIRST TRUST
TECHNOLOGY UTILITIES
ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXL) (FXU)
---------------------------------- ----------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
1/31/2023 YEAR ENDED 1/31/2023 YEAR ENDED
(UNAUDITED) 7/31/2022 (UNAUDITED) 7/31/2022
---------------- ---------------- ---------------- ----------------
$ 1,516,017 $ 5,019,606 $ 4,799,068 $ 5,320,667
(74,779,824) 252,346,513 5,404,433 (244,036)
40,942,514 (502,005,673) (21,523,361) 24,546,526
-------------- -------------- -------------- --------------
(32,321,293) (244,639,554) (11,319,860) 29,623,157
-------------- -------------- -------------- --------------
(1,494,210) (4,345,452) (5,313,666) (4,580,661)
-------------- -------------- -------------- --------------
28,011,159 89,100,450 106,162,149 225,477,669
(90,528,546) (1,365,024,963) (112,068,583) (28,108,801)
-------------- -------------- -------------- --------------
(62,517,387) (1,275,924,513) (5,906,434) 197,368,868
-------------- -------------- -------------- --------------
(96,332,890) (1,524,909,519) (22,539,960) 222,411,364
1,143,164,046 2,668,073,565 396,557,742 174,146,378
-------------- -------------- -------------- --------------
$1,046,831,156 $1,143,164,046 $ 374,017,782 $ 396,557,742
============== ============== ============== ==============
10,955,000 21,255,000 11,550,002 5,650,002
300,000 700,000 3,100,000 6,800,000
(950,000) (11,000,000) (3,500,000) (900,000)
-------------- -------------- -------------- --------------
10,305,000 10,955,000 11,150,002 11,550,002
============== ============== ============== ==============
See Notes to Financial Statements Page 51
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD)
SIX MONTHS ENDED YEAR ENDED JULY 31,
1/31/2023 --------------------------------------------------------------
(UNAUDITED) 2022 2021 2020 2019 2018
---------------- ---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 49.57 $ 61.36 $ 39.70 $ 43.40 $ 42.42 $ 37.53
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.23 0.52 0.20 0.36 0.37 0.43
Net realized and unrealized gain (loss) 5.50 (11.78) 21.61 (3.61) 0.93 4.88
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 5.73 (11.26) 21.81 (3.25) 1.30 5.31
---------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.26) (0.53) (0.15) (0.45) (0.32) (0.42)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 55.04 $ 49.57 $ 61.36 $ 39.70 $ 43.40 $ 42.42
========== ========== ========== ========== ========== ==========
TOTAL RETURN (a) 11.68% (18.43)% 54.99% (7.39)% 3.13% 14.17%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 352,256 $ 394,117 $1,948,136 $ 948,948 $ 384,117 $ 409,343
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.63% (b) 0.61% 0.61% 0.63% 0.64% 0.64%
Ratio of net expenses to average net
assets 0.63% (b) 0.61% 0.61% 0.63% 0.64% 0.64%
Ratio of net investment income (loss) to
average net assets 0.90% (b) 0.82% 0.38% 0.77% 0.90% 1.03%
Portfolio turnover rate (c) 38% 76% 88% 115% 97% 101%
FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG)
SIX MONTHS ENDED YEAR ENDED JULY 31,
1/31/2023 --------------------------------------------------------------
(UNAUDITED) 2022 2021 2020 2019 2018
---------------- ---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 63.79 $ 56.21 $ 48.76 $ 45.80 $ 46.50 $ 46.84
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.73 0.81 0.79 0.84 0.70 1.00
Net realized and unrealized gain (loss) (0.33) 7.55 7.40 2.98 (0.32) (0.74)
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 0.40 8.36 8.19 3.82 0.38 0.26
---------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.81) (0.78) (0.74) (0.86) (1.08) (0.60)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 63.38 $ 63.79 $ 56.21 $ 48.76 $ 45.80 $ 46.50
========== ========== ========== ========== ========== ==========
TOTAL RETURN (a) 0.69% 14.95% 16.88% 8.46% 0.83% 0.53%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 754,269 $ 650,653 $ 247,311 $ 258,429 $ 329,792 $ 369,643
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.63% (b) 0.63% 0.64% 0.63% 0.64% 0.64%
Ratio of net expenses to average net
assets 0.63% (b) 0.63% 0.64% 0.63% 0.64% 0.64%
Ratio of net investment income (loss) to
average net assets 2.42% (b) 1.41% 1.43% 1.72% 1.51% 2.09%
Portfolio turnover rate (c) 26% 88% 94% 113% 90% 107%
(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 52 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN)
SIX MONTHS ENDED YEAR ENDED JULY 31,
1/31/2023 --------------------------------------------------------------
(UNAUDITED) 2022 2021 2020 2019 2018
---------------- ---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 16.80 $ 10.33 $ 6.54 $ 10.88 $ 17.10 $ 13.66
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.29 0.27 0.31 0.16 0.16 0.12
Net realized and unrealized gain (loss) 0.48 6.46 3.81 (4.31) (6.25) 3.47
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 0.77 6.73 4.12 (4.15) (6.09) 3.59
---------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.23) (0.26) (0.33) (0.19) (0.13) (0.15)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 17.34 $ 16.80 $ 10.33 $ 6.54 $ 10.88 $ 17.10
========== ========== ========== ========== ========== ==========
TOTAL RETURN (a) 4.66% 65.76% 66.66% (38.32)% (35.77)% 26.45%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $1,988,325 $1,665,291 $ 328,966 $ 615,795 $ 122,374 $ 437,773
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.62% (b) 0.61% 0.64% 0.64% 0.65% 0.63%
Ratio of net expenses to average net
assets 0.62% (b) 0.61% 0.64% 0.64% 0.65% 0.63%
Ratio of net investment income (loss) to
average net assets 3.39% (b) 2.34% 1.70% 2.39% 1.17% 0.68%
Portfolio turnover rate (c) 32% 79% 71% 165% 99% 108%
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)
SIX MONTHS ENDED YEAR ENDED JULY 31,
1/31/2023 --------------------------------------------------------------
(UNAUDITED) 2022 2021 2020 2019 2018
---------------- ---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 41.48 $ 43.40 $ 25.87 $ 32.35 $ 32.04 $ 29.39
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.63 0.92 0.81 0.72 0.65 0.62
Net realized and unrealized gain (loss) 4.01 (1.97) 17.55 (6.37) 0.25 2.61
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 4.64 (1.05) 18.36 (5.65) 0.90 3.23
---------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.68) (0.87) (0.83) (0.83) (0.59) (0.58)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 45.44 $ 41.48 $ 43.40 $ 25.87 $ 32.35 $ 32.04
========== ========== ========== ========== ========== ==========
TOTAL RETURN (a) 11.46% (2.52)% 71.99% (17.56)% 3.03% 11.06%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $1,220,193 $1,171,738 $1,312,886 $ 538,172 $ 988,353 $1,252,910
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.62% (b) 0.62% 0.61% 0.62% 0.63% 0.63%
Ratio of net expenses to average net
assets 0.62% (b) 0.62% 0.61% 0.62% 0.63% 0.63%
Ratio of net investment income (loss) to
average net assets 2.97% (b) 2.10% 2.25% 2.36% 2.06% 1.99%
Portfolio turnover rate (c) 40% 64% 86% 90% 81% 70%
(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.
See Notes to Financial Statements Page 53
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH)
SIX MONTHS ENDED YEAR ENDED JULY 31,
1/31/2023 --------------------------------------------------------------
(UNAUDITED) 2022 2021 2020 2019 2018
---------------- ---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 108.57 $ 122.03 $ 95.29 $ 77.62 $ 76.80 $ 66.92
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.11 0.13 (0.15) 0.01 (0.11) (0.02)
Net realized and unrealized gain (loss) 3.87 (13.59) 26.89 17.66 0.93 9.90
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 3.98 (13.46) 26.74 17.67 0.82 9.88
---------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.22) -- -- -- -- --
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 112.33 $ 108.57 $ 122.03 $ 95.29 $ 77.62 $ 76.80
========== ========== ========== ========== ========== ==========
TOTAL RETURN (a) 3.69% (11.03)% 28.08% 22.75% 1.07% 14.76%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $1,662,508 $1,503,728 $1,604,748 $1,348,309 $1,183,740 $1,063,745
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.61% (b) 0.61% 0.61% 0.61% 0.62% 0.63%
Ratio of net expenses to average net
assets 0.61% (b) 0.61% 0.61% 0.61% 0.62% 0.63%
Ratio of net investment income (loss) to
average net assets 0.22% (b) 0.12% (0.14)% 0.01% (0.11)% (0.03)%
Portfolio turnover rate (c) 40% 88% 103% 107% 123% 107%
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)
SIX MONTHS ENDED YEAR ENDED JULY 31,
1/31/2023 --------------------------------------------------------------
(UNAUDITED) 2022 2021 2020 2019 2018
---------------- ---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 53.68 $ 59.52 $ 39.13 $ 42.49 $ 41.28 $ 35.36
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.22 0.42 0.33 0.58 0.30 0.28
Net realized and unrealized gain (loss) 3.04 (5.87) 20.42 (3.29) 1.17 5.92
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 3.26 (5.45) 20.75 (2.71) 1.47 6.20
---------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.26) (0.39) (0.36) (0.65) (0.26) (0.28)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 56.68 $ 53.68 $ 59.52 $ 39.13 $ 42.49 $ 41.28
========== ========== ========== ========== ========== ==========
TOTAL RETURN (a) 6.15% (9.16)% 53.21% (6.30)% 3.67% 17.57%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $1,638,096 $1,578,226 $1,767,604 $ 179,979 $ 378,173 $1,579,093
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.61% (b) 0.61% 0.61% 0.64% 0.63% 0.62%
Ratio of net expenses to average net
assets 0.61% (b) 0.61% 0.61% 0.64% 0.63% 0.62%
Ratio of net investment income (loss) to
average net assets 0.84% (b) 0.74% 0.55% 1.30% 0.71% 0.70%
Portfolio turnover rate (c) 41% 77% 91% 97% 79% 91%
(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 54 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ)
SIX MONTHS ENDED YEAR ENDED JULY 31,
1/31/2023 --------------------------------------------------------------
(UNAUDITED) 2022 2021 2020 2019 2018
---------------- ---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 61.97 $ 57.91 $ 35.85 $ 38.48 $ 43.31 $ 38.63
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.43 0.89 0.72 0.71 0.50 0.40
Net realized and unrealized gain (loss) 8.75 3.93(a) 22.05 (2.57) (4.88) 4.69
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 9.18 4.82 22.77 (1.86) (4.38) 5.09
---------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.60) (0.76) (0.71) (0.77) (0.45) (0.41)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 70.55 $ 61.97 $ 57.91 $ 35.85 $ 38.48 $ 43.31
========== ========== ========== ========== ========== ==========
TOTAL RETURN (b) 15.09% 8.37% 64.02% (4.78)% (10.08)% 13.20%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $1,671,953 $1,567,915 $ 460,362 $ 96,795 $ 167,369 $ 314,026
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.62% (c) 0.61% 0.64% 0.67% 0.65% 0.64%
Ratio of net expenses to average net
assets 0.62% (c) 0.61% 0.64% 0.67% 0.65% 0.64%
Ratio of net investment income (loss) to
average net assets 1.39% (c) 1.69% 1.39% 1.95% 1.27% 0.92%
Portfolio turnover rate (d) 17% 60% 77% 84% 82% 92%
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL)
SIX MONTHS ENDED YEAR ENDED JULY 31,
1/31/2023 --------------------------------------------------------------
(UNAUDITED) 2022 2021 2020 2019 2018
---------------- ---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 104.35 $ 125.53 $ 89.44 $ 69.32 $ 56.54 $ 45.12
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.14 0.34 (0.06) 0.11 0.31 0.09
Net realized and unrealized gain (loss) (2.77) (21.21) 36.15 20.17 12.75 11.43
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations (2.63) (20.87) 36.09 20.28 13.06 11.52
---------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.14) (0.31) -- (0.16) (0.28) (0.10)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 101.58 $ 104.35 $ 125.53 $ 89.44 $ 69.32 $ 56.54
========== ========== ========== ========== ========== ==========
TOTAL RETURN (b) (2.50)% (16.64)% 40.34% 29.33% 23.20% 25.55%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $1,046,831 $1,143,164 $2,668,074 $2,205,109 $2,395,347 $1,996,201
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.62% (c) 0.61% 0.61% 0.61% 0.61% 0.63%
Ratio of net expenses to average net
assets 0.62% (c) 0.61% 0.61% 0.61% 0.61% 0.63%
Ratio of net investment income (loss) to
average net assets 0.29% (c) 0.27% (0.05)% 0.16% 0.50% 0.17%
Portfolio turnover rate (d) 46% 91% 92% 110% 91% 127%
(a) The per share amount does not correlate with the aggregate realized and
unrealized gain (loss) due to the timing of the Fund share sales and
repurchases in relation to market value fluctuation of the underlying
investments.
(b) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year.
(c) 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 55
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU)
SIX MONTHS ENDED YEAR ENDED JULY 31,
1/31/2023 --------------------------------------------------------------
(UNAUDITED) 2022 2021 2020 2019 2018
---------------- ---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 34.33 $ 30.82 $ 27.54 $ 28.87 $ 26.37 $ 27.64
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.40 0.69 0.68 1.05 0.63 0.98
Net realized and unrealized gain (loss) (0.75) 3.47 3.32 (1.29) 2.43 (1.30)
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations (0.35) 4.16 4.00 (0.24) 3.06 (0.32)
---------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.44) (0.65) (0.72) (1.09) (0.56) (0.95)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 33.54 $ 34.33 $ 30.82 $ 27.54 $ 28.87 $ 26.37
========== ========== ========== ========== ========== ==========
TOTAL RETURN (a) (0.97)% 13.69% 14.80% (0.70)% 11.71% (1.09)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 374,018 $ 396,558 $ 174,146 $ 229,988 $1,349,541 $ 308,540
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.64% (b) 0.64% 0.64% 0.62% 0.63% 0.63%
Ratio of net expenses to average net
assets 0.64% (b) 0.64% 0.64% 0.62% 0.63% 0.63%
Ratio of net investment income (loss) to
average net assets 2.31% (b) 2.22% 2.33% 2.42% 2.23% 2.67%
Portfolio turnover rate (c) 19% 48% 38% 64% 60% 76%
(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 56 See Notes to Financial Statements
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JANUARY 31, 2023 (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 nine Sector Funds (each a
"Fund" and collectively, the "Funds") listed below. The shares of each Sector
Fund are listed and traded on NYSE Arca, Inc.
First Trust Consumer Discretionary AlphaDEX(R) Fund - (ticker "FXD")
First Trust Consumer Staples AlphaDEX(R) Fund - (ticker "FXG")
First Trust Energy AlphaDEX(R) Fund - (ticker "FXN")
First Trust Financials AlphaDEX(R) Fund - (ticker "FXO")
First Trust Health Care AlphaDEX(R) Fund - (ticker "FXH")
First Trust Industrials/Producer Durables AlphaDEX(R) Fund - (ticker
"FXR")
First Trust Materials AlphaDEX(R) Fund - (ticker "FXZ")
First Trust Technology AlphaDEX(R) Fund - (ticker "FXL")
First Trust Utilities AlphaDEX(R) Fund - (ticker "FXU")
Each Fund represents a separate series of shares of beneficial interest in the
Trust. Unlike conventional mutual funds, each Fund issues and redeems shares on
a continuous basis, at net asset value ("NAV"), only in large blocks of shares
known as "Creation Units." The investment objective of each Fund is to seek
investment results that correspond generally to the price and yield (before the
Fund's fees and expenses) of the following indices:
FUND INDEX
First Trust Consumer Discretionary AlphaDEX(R) Fund StrataQuant(R) Consumer Discretionary Index(1)
First Trust Consumer Staples AlphaDEX(R) Fund StrataQuant(R) Consumer Staples Index(1)
First Trust Energy AlphaDEX(R) Fund StrataQuant(R) Energy Index(1)
First Trust Financials AlphaDEX(R) Fund StrataQuant(R) Financials Index(1)
First Trust Health Care AlphaDEX(R) Fund StrataQuant(R) Health Care Index(1)
First Trust Industrials/Producer Durables AlphaDEX(R) Fund StrataQuant(R) Industrials Index(1)
First Trust Materials AlphaDEX(R) Fund StrataQuant(R) Materials Index(1)
First Trust Technology AlphaDEX(R) Fund StrataQuant(R) Technology Index(1)
First Trust Utilities AlphaDEX(R) Fund StrataQuant(R) Utilities Index(1)
(1) This index is developed, maintained and sponsored by ICE Data Indices, LLC
or its affiliates ("IDI"), and licensed to First Trust Portfolios L.P.
("FTP"), the distributor of the Trust, by IDI. IDI is a
successor-in-interest to previous entities that maintained the index in
NYSE Group, Inc. and American Stock Exchange LLC.
2. SIGNIFICANT ACCOUNTING POLICIES
The Funds are each considered an investment company and follow accounting and
reporting guidance under Financial Accounting Standards Board Accounting
Standards Codification Topic 946, "Financial Services-Investment Companies." The
following is a summary of significant accounting policies consistently followed
by the Funds in the preparation of the financial statements. The preparation of
the financial statements in accordance with accounting principles generally
accepted in the United States of America ("U.S. GAAP") requires management to
make estimates and assumptions that affect the reported amounts and disclosures
in the financial statements. Actual results could differ from those estimates.
A. PORTFOLIO VALUATION
Each Fund's NAV is determined daily as of the close of regular trading on the
New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day
the NYSE is open for trading. If the NYSE closes early on a valuation day, the
NAV is determined as of that time. Each Fund's NAV is calculated by dividing the
value of all assets of each Fund (including accrued interest and dividends),
less all liabilities (including accrued expenses and dividends declared but
unpaid), by the total number of shares outstanding.
Page 57
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JANUARY 31, 2023 (UNAUDITED)
Each Fund's investments are valued daily at market value or, in the absence of
market value with respect to any portfolio securities, at fair value. Market
value prices represent readily available market quotations such as last sale or
official closing prices from a national or foreign exchange (i.e., a regulated
market) and are primarily obtained from third-party pricing services. Fair value
prices represent any prices not considered market value prices and are either
obtained from a third-party pricing service or are determined by the Pricing
Committee of the Funds' investment advisor, First Trust Advisors L.P. ("First
Trust" or the "Advisor"), in accordance with valuation procedures approved by
the Trust's Board of Trustees, and in accordance with provisions of the 1940 Act
and rules thereunder. Investments valued by the Advisor's Pricing Committee, if
any, are footnoted as such in the footnotes to the Portfolio of Investments.
Each Fund's investments are valued as follows:
Common stocks and other equity securities listed on any national or
foreign exchange (excluding The Nasdaq Stock Market LLC ("Nasdaq") and the
London Stock Exchange Alternative Investment Market ("AIM")) are valued at
the last sale price on the exchange on which they are principally traded
or, for Nasdaq and AIM securities, the official closing price. Securities
traded on more than one securities exchange are valued at the last sale
price or official closing price, as applicable, at the close of the
securities exchange representing the primary exchange for such securities.
Shares of open-end funds are valued based on NAV per share.
Securities traded in an over-the-counter market are valued at the mean of
their most recent bid and asked price, if available, and otherwise at
their last trade price.
Overnight repurchase agreements are valued at amortized cost when it
represents the most appropriate reflection of fair market value.
Certain securities may not be able to be priced by pre-established pricing
methods. Such securities may be valued by the Advisor's Pricing Committee at
fair value. These securities generally include, but are not limited to,
restricted securities (securities which may not be publicly sold without
registration under the Securities Act of 1933, as amended) for which a
third-party pricing service is unable to provide a market price; securities
whose trading has been formally suspended; a security whose market or fair value
price is not available from a pre-established pricing source; a security with
respect to which an event has occurred that is likely to materially affect the
value of the security after the market has closed but before the calculation of
a Fund's NAV or make it difficult or impossible to obtain a reliable market
quotation; and a security whose price, as provided by the third-party pricing
service, does not reflect the security's fair value. As a general principle, the
current fair value of a security would appear to be the amount which the owner
might reasonably expect to receive for the security upon its current sale. When
fair value prices are used, generally they will differ from market quotations or
official closing prices on the applicable exchanges. A variety of factors may be
considered in determining the fair value of such securities, including, but not
limited to, the following:
1) the last sale price on the exchange on which they are principally
traded or, for Nasdaq and AIM securities, the official closing
price;
2) the type of security;
3) the size of the holding;
4) the initial cost of the security;
5) transactions in comparable securities;
6) price quotes from dealers and/or third-party pricing services;
7) relationships among various securities;
8) information obtained by contacting the issuer, analysts, or the
appropriate stock exchange;
9) an analysis of the issuer's financial statements;
10) the existence of merger proposals or tender offers that might affect
the value of the security; and
11) other relevant factors.
In addition, differences between the prices used to calculate a Fund's NAV and
the prices used by such Fund's corresponding index could result in a difference
between a Fund's performance and the performance of its underlying index.
The Funds are subject to fair value accounting standards that define fair value,
establish the framework for measuring fair value and provide a three-level
hierarchy for fair valuation based upon the inputs to the valuation as of the
measurement date. The three levels of the fair value hierarchy are as follows:
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.
Page 58
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JANUARY 31, 2023 (UNAUDITED)
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.
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, 2023, is
included with each Fund's Portfolio of Investments.
B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME
Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Dividend income is recorded on the ex-dividend date. Interest income, if any, is
recorded on the accrual basis.
Withholding taxes and tax reclaims on foreign dividends have been provided for
in accordance with each Fund's understanding of the applicable country's tax
rules and rates.
Distributions received from a Fund's investments in real estate investment
trusts ("REITs") may be comprised of return of capital, capital gains and
income. The actual character of the amounts received during the year is not
known until after the REITs' fiscal year end. A Fund records the character of
distributions received from the REITs during the year based on estimates
available. The characterization of distributions received by a Fund may be
subsequently revised based on information received from the REITs after their
tax reporting periods conclude.
C. OFFSETTING ON THE STATEMENTS OF ASSETS AND LIABILITIES
Offsetting Assets and Liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset on the
Statements of Assets and Liabilities and disclose instruments and transactions
subject to master netting or similar agreements. These disclosure requirements
are intended to help investors and other financial statement users better assess
the effect or potential effect of offsetting arrangements on a fund's financial
position. The transactions subject to offsetting disclosures are derivative
instruments, repurchase agreements and reverse repurchase agreements, and
securities borrowing and securities lending transactions.
This disclosure, if applicable, is included within each Fund's Portfolio of
Investments under the heading "Offsetting Assets and Liabilities." For financial
reporting purposes, the Funds do not offset financial assets and financial
liabilities that are subject to master netting arrangements ("MNAs") or similar
agreements on the Statements of Assets and Liabilities. MNAs provide the right,
in the event of default (including bankruptcy and insolvency), for the
non-defaulting counterparty to liquidate the collateral and calculate the net
exposure to the defaulting party or request additional collateral.
D. SECURITIES LENDING
The Funds may lend securities representing up to 33 1/3% of the value of their
total assets to broker-dealers, banks and other institutions to generate
additional income. When a Fund loans its portfolio securities, it will receive,
at the inception of each loan, collateral equal to at least 102% (for domestic
securities) or 105% (for international securities) of the market value of the
loaned securities. The collateral amount is valued at the beginning of each
business day and is compared to the market value of the loaned securities from
the prior business day to determine if additional collateral is required. If
additional collateral is required, a request is sent to the borrower. Securities
lending involves the risk that the Fund may lose money because the borrower of
the Fund's loaned securities fails to return the securities in a timely manner
or at all. The Fund could also lose money in the event of (i) a decline in the
value of the collateral provided for the loaned securities, (ii) a decline in
the value of any investments made with cash collateral or (iii) an increase in
the value of the loaned securities if the borrower does not increase the
collateral accordingly and the borrower fails to return the securities. These
events could also trigger adverse tax consequences for the Funds.
Under the Funds' Securities Lending Agency Agreement, the securities lending
agent will generally bear the risk that a borrower may default on its obligation
to return loaned securities. Brown Brothers Harriman & Co. ("BBH") acts as the
Funds' securities lending agent and is responsible for executing the lending of
the portfolio securities to creditworthy borrowers. The Funds, however, will be
responsible for the risks associated with the investment of cash collateral. A
Fund may lose money on its investment of cash collateral, which may affect its
ability to repay the collateral to the borrower without the use of other Fund
Page 59
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JANUARY 31, 2023 (UNAUDITED)
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, 2023, only
FXO, FXH, and FXL had securities in the securities lending program. During the
six months ended January 31, 2023, all the Funds participated in the securities
lending program.
In the event of a default by a borrower with respect to any loan, BBH will
exercise any and all remedies provided under the applicable borrower agreement
to make the Funds whole. These remedies include purchasing replacement
securities by applying the collateral held from the defaulting broker against
the purchase cost of the replacement securities. If, despite such efforts by BBH
to exercise these remedies, a Fund sustains losses as a result of a borrower's
default, BBH will indemnify the Fund by purchasing replacement securities at its
own expense, or paying the Fund an amount equal to the market value of the
replacement securities, subject to certain limitations which are set forth in
detail in the Securities Lending Agency Agreement between the Trust on behalf of
the Funds and BBH.
E. REPURCHASE AGREEMENTS
Repurchase agreements involve the purchase of securities subject to the seller's
agreement to repurchase the securities at a mutually agreed upon date and price,
under the terms of a Master Repurchase Agreement ("MRA"). During the term of a
repurchase agreement, the value of the underlying securities held as collateral
on behalf of a Fund, including accrued interest, is required to exceed the value
of the repurchase agreement, including accrued interest. The underlying
securities for all repurchase agreements are held at the Funds' custodian or
designated sub-custodians under tri-party repurchase agreements.
MRAs govern transactions between a Fund and select counterparties. The MRAs
contain provisions for, among other things, initiation, income payments, events
of default, and maintenance of collateral for repurchase agreements.
Repurchase agreements received for lending securities are collateralized by U.S.
Treasury securities. The U.S. Treasury securities are held in a joint custody
account at BBH on behalf of the Funds participating in the securities lending
program. In the event the counterparty defaults on the repurchase agreement, the
U.S. Treasury securities can either be maintained as part of a Fund's portfolio
or sold for cash. A Fund could suffer a loss to the extent that the proceeds
from the sale of the underlying collateral held by the Fund are less than the
repurchase price and the Fund's costs associated with the delay and enforcement
of the MRA.
While the Funds may invest in repurchase agreements, any repurchase agreements
held by the Funds during the six months ended January 31, 2023, were received as
collateral for lending securities.
F. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends from net investment income of each Fund, if any, are declared and paid
quarterly, or as the Board of Trustees may determine from time to time.
Distributions of net realized gains earned by each Fund, if any, are distributed
at least annually. A Fund may also designate a portion of the amount paid to
redeeming shareholders as a distribution for tax purposes.
Distributions from net investment income and realized capital gains are
determined in accordance with federal income tax regulations, which may differ
from U.S. GAAP. Certain capital accounts in the financial statements are
periodically adjusted for permanent differences in order to reflect their tax
character. These permanent differences are primarily due to the varying
treatment of income and gain/loss on significantly modified portfolio securities
held by the Funds and have no impact on net assets or NAV per share. Temporary
differences, which arise from recognizing certain items of income, expense and
gain/loss in different periods for financial statement and tax purposes, will
reverse at some time in the future.
The tax character of distributions paid by each Fund during the fiscal year
ended July 31, 2022 was as follows:
Distributions paid from Distributions paid from Distributions paid from
Ordinary Income Capital Gains Return of Capital
----------------------- ----------------------- -----------------------
First Trust Consumer Discretionary AlphaDEX(R) Fund $ 13,315,221 $ -- $ --
First Trust Consumer Staples AlphaDEX(R) Fund 4,675,407 -- --
First Trust Energy AlphaDEX(R) Fund 19,922,141 -- --
First Trust Financials AlphaDEX(R) Fund 28,346,142 -- --
First Trust Health Care AlphaDEX(R) Fund -- -- --
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 11,751,221 -- --
First Trust Materials AlphaDEX(R) Fund 12,438,026 -- --
First Trust Technology AlphaDEX(R) Fund 4,345,452 -- --
First Trust Utilities AlphaDEX(R) Fund 4,580,661 -- --
Page 60
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JANUARY 31, 2023 (UNAUDITED)
As of July 31, 2022, 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 Consumer Discretionary AlphaDEX(R) Fund $ 342,885 $ (434,139,547) $ (62,543,015)
First Trust Consumer Staples AlphaDEX(R) Fund 1,143,506 (256,753,947) 23,699,298
First Trust Energy AlphaDEX(R) Fund 1,172,154 (509,470,538) 223,478,413
First Trust Financials AlphaDEX(R) Fund 3,459,721 (250,428,470) (72,536,063)
First Trust Health Care AlphaDEX(R) Fund 1,444,806 (605,995,854) 115,579,938
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 1,248,060 (279,915,924) (29,603,128)
First Trust Materials AlphaDEX(R) Fund 4,349,887 (189,562,104) (156,365,445)
First Trust Technology AlphaDEX(R) Fund -- (621,843,707) (14,683,574)
First Trust Utilities AlphaDEX(R) Fund 1,049,272 (193,039,184) 23,439,662
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 2019,
2020, 2021, and 2022 remain open to federal and state audit. As of January 31,
2023, management has evaluated the application of these standards to the Funds
and has determined that no provision for income tax is required in the Funds'
financial statements for uncertain tax positions.
Each Fund intends to utilize provisions of the federal income tax laws, which
allow it to carry a realized capital loss forward indefinitely following the
year of the loss and offset such loss against any future realized capital gains.
Each Fund is subject to certain limitations under U.S. tax rules on the use of
capital loss carryforwards and net unrealized built-in losses. These limitations
apply when there has been a 50% change in ownership. At July 31, 2022, 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 Consumer Discretionary AlphaDEX(R) Fund $ 434,139,547
First Trust Consumer Staples AlphaDEX(R) Fund 256,753,947
First Trust Energy AlphaDEX(R) Fund 509,470,538
First Trust Financials AlphaDEX(R) Fund 250,428,470
First Trust Health Care AlphaDEX(R) Fund 605,995,854
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 279,915,924
First Trust Materials AlphaDEX(R) Fund 189,562,104
First Trust Technology AlphaDEX(R) Fund 621,843,707
First Trust Utilities AlphaDEX(R) Fund 193,039,184
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, 2022, the Funds had no
net late year ordinary or capital losses.
Page 61
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JANUARY 31, 2023 (UNAUDITED)
As of January 31, 2023, the aggregate cost, gross unrealized appreciation, gross
unrealized depreciation, and net unrealized appreciation/(depreciation) on
investments (including short positions and derivatives, if any) for federal
income tax purposes were as follows:
Gross Gross Net Unrealized
Unrealized Unrealized Appreciation
Tax Cost Appreciation (Depreciation) (Depreciation)
------------------ ------------------ ------------------ ------------------
First Trust Consumer Discretionary AlphaDEX(R) Fund $ 347,338,669 $ 32,965,002 $ (27,795,335) $ 5,169,667
First Trust Consumer Staples AlphaDEX(R) Fund 721,206,516 59,840,002 (26,747,362) 33,092,640
First Trust Energy AlphaDEX(R) Fund 1,750,444,991 253,370,716 (16,291,531) 237,079,185
First Trust Financials AlphaDEX(R) Fund 1,191,840,566 109,149,588 (51,869,470) 57,280,118
First Trust Health Care AlphaDEX(R) Fund 1,451,893,026 257,842,120 (40,395,991) 217,446,129
First Trust Industrials/Producer Durables
AlphaDEX(R) Fund 1,505,768,618 177,806,924 (44,571,071) 133,235,853
First Trust Materials AlphaDEX(R) Fund 1,590,101,617 142,191,155 (59,594,238) 82,596,917
First Trust Technology AlphaDEX(R) Fund 1,029,820,296 103,624,403 (72,895,675) 30,728,728
First Trust Utilities AlphaDEX(R) Fund 368,412,789 16,791,332 (11,352,938) 5,438,394
H. EXPENSES
Expenses that are directly related to one of the Funds are charged directly to
the respective Fund. General expenses of the Trust are allocated to all the
Funds based upon the net assets of each Fund.
FTP has entered into licensing agreements with IDI for each of the Funds. The
license agreements allow for the use by FTP of certain trademarks and trade
names of IDI. The Funds and First Trust are sub-licensees to the license
agreement. The Funds are required to pay licensing fees, which are shown on the
Statements of Operations.
3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS
First Trust, the investment advisor to the Funds, is a limited partnership with
one limited partner, Grace Partners of DuPage L.P., and one general partner, The
Charger Corporation. The Charger Corporation is an Illinois corporation
controlled by James A. Bowen, Chief Executive Officer of First Trust. First
Trust is responsible for the selection and ongoing monitoring of the securities
in each Fund's portfolio, managing the Fund's business affairs and providing
certain administrative services necessary for the management of the Funds.
Effective November 1, 2022, the management fee payable by each Fund to First
Trust for these services will be reduced at certain levels of each Fund's net
assets ("breakpoints") and calculated pursuant to the schedule below:
Breakpoints
-------------------------------------------------------------------------
Fund net assets up to and including $2.5 billion 0.5000%
Fund net assets greater than $2.5 billion up to and including $5 billion 0.4875%
Fund net assets greater than $5 billion up to and including $7.5 billion 0.4750%
Fund net assets greater than $7.5 billion up to and including $10 billion 0.4625%
Fund net assets greater than $10 billion up to and including $15 billion 0.4500%
Fund net assets greater than $15 billion 0.4250%
Prior to November 1, 2022, First Trust was paid an annual management fee of
0.50% of each Fund's average daily net assets.
The Trust and First Trust have entered into an Expense Reimbursement, Fee Waiver
and Recovery Agreement ("Recovery Agreement") in which First Trust has agreed to
waive fees and/or reimburse Fund expenses to the extent that the operating
expenses of each Fund (excluding interest expense, brokerage commissions and
other trading expenses, acquired fund fees and expenses, taxes and extraordinary
expenses) exceed 0.70% of average daily net assets per year (the "Expense Cap").
The Expense Cap will be in effect until at least November 30, 2023.
Prior to November 1, 2022, expenses reimbursed and fees waived by First Trust
under the Recovery Agreement were subject to recovery by First Trust for up to
three years from the date the fee or expense was incurred, but no reimbursement
payment would be made by a Fund if it resulted in the Fund's expenses exceeding
(i) the applicable expense limitation in place for the most recent fiscal year
for which such expense limitation was in place, (ii) the applicable expense
limitation in place at the time the fees were waived, or (iii) the current
Page 62
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JANUARY 31, 2023 (UNAUDITED)
expense limitation. These amounts would be included in "Expenses previously
waived or reimbursed" on the Statements of Operations. Effective November 1,
2022, in connection with the introduction of breakpoints discussed above, First
Trust has agreed to remove its ability to recover previous expenses borne and
fees waived under the Recovery Agreement.
The Trust has multiple service agreements with The Bank of New York Mellon
("BNYM"). Under the service agreements, BNYM performs custodial, fund
accounting, certain administrative services, and transfer agency services for
each Fund. As custodian, BNYM is responsible for custody of each Fund's assets.
As fund accountant and administrator, BNYM is responsible for maintaining the
books and records of each Fund's securities and cash. As transfer agent, BNYM is
responsible for maintaining shareholder records for each Fund. BNYM is a
subsidiary of The Bank of New York Mellon Corporation, a financial holding
company.
Each Trustee who is not an officer or employee of First Trust, any sub-advisor
or any of their affiliates ("Independent Trustees") is paid a fixed annual
retainer that is allocated equally among each fund in the First Trust Fund
Complex. Each Independent Trustee is also paid an annual per fund fee that
varies based on whether the fund is a closed-end or other actively managed fund,
a target outcome fund or an index fund.
Additionally, the Lead Independent Trustee and the Chairs of the Audit
Committee, Nominating and Governance Committee and Valuation Committee are paid
annual fees to serve in such capacities, with such compensation allocated pro
rata among each fund in the First Trust Fund Complex based on net assets.
Independent Trustees are reimbursed for travel and out-of-pocket expenses in
connection with all meetings. The Lead Independent Trustee and Committee Chairs
rotate every three years. The officers and "Interested" Trustee receive no
compensation from the Trust for acting in such capacities.
4. PURCHASES AND SALES OF SECURITIES
For the six months ended January 31, 2023, the cost of purchases and proceeds
from sales of investments for each Fund, excluding short-term investments and
in-kind transactions, were as follows:
Purchases Sales
--------------- ---------------
First Trust Consumer Discretionary AlphaDEX(R) Fund $ 133,157,369 $ 134,386,859
First Trust Consumer Staples AlphaDEX(R) Fund 176,873,378 181,264,403
First Trust Energy AlphaDEX(R) Fund 610,372,057 601,490,952
First Trust Financials AlphaDEX(R) Fund 456,186,034 458,470,430
First Trust Health Care AlphaDEX(R) Fund 607,280,118 609,802,552
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 628,210,091 628,602,828
First Trust Materials AlphaDEX(R) Fund 242,504,818 245,420,416
First Trust Technology AlphaDEX(R) Fund 475,556,777 475,044,636
First Trust Utilities AlphaDEX(R) Fund 77,378,392 78,512,610
For the six months ended January 31, 2023, the cost of in-kind purchases and
proceeds from in-kind sales for each Fund were as follows:
Purchases Sales
--------------- ---------------
First Trust Consumer Discretionary AlphaDEX(R) Fund $ 4,448,775 $ 79,163,964
First Trust Consumer Staples AlphaDEX(R) Fund 157,809,813 48,607,954
First Trust Energy AlphaDEX(R) Fund 390,952,363 103,525,190
First Trust Financials AlphaDEX(R) Fund 34,405,063 89,447,819
First Trust Health Care AlphaDEX(R) Fund 172,300,655 67,281,489
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 111,317,977 130,632,257
First Trust Materials AlphaDEX(R) Fund 124,244,904 205,275,970
First Trust Technology AlphaDEX(R) Fund 27,986,371 90,426,562
First Trust Utilities AlphaDEX(R) Fund 105,901,812 111,652,359
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
Page 63
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JANUARY 31, 2023 (UNAUDITED)
Fund's shares. An Authorized Participant that wishes to effectuate a creation of
a Fund's shares deposits with the Fund the "basket" of securities, cash or other
assets identified by the Fund that day, and then receives the Creation Unit of
the Fund's shares in return for those assets. After purchasing a Creation Unit,
the Authorized Participant may continue to hold the Fund's shares or sell them
in the secondary market. The redemption process is the reverse of the purchase
process: the Authorized Participant redeems a Creation Unit of a Fund's shares
for a basket of securities, cash or other assets. The combination of the
creation and redemption process with secondary market trading in a Fund's shares
and underlying securities provides arbitrage opportunities that are designed to
help keep the market price of a Fund's shares at or close to the NAV per share
of the Fund.
Each Fund imposes fees in connection with the purchase of Creation Units. These
fees may vary based upon various fact-based circumstances, including, but not
limited to, the composition of the securities included in the Creation Unit or
the countries in which the transactions are settled. The price for each Creation
Unit will equal the daily NAV per share of a Fund times the number of shares in
a Creation Unit, plus the fees described above and, if applicable, any
operational processing and brokerage costs, transfer fees, stamp taxes and part
or all of the spread between the expected bid and offer side of the market
related to the securities comprising the creation basket.
Each Fund also imposes fees in connection with the redemption of Creation Units.
These fees may vary based upon various fact-based circumstances, including, but
not limited to, the composition of the securities included in the Creation Unit
or the countries in which the transactions are settled. The price received for
each Creation Unit will equal the daily NAV per share of a Fund times the number
of shares in a Creation Unit, minus the fees described above and, if applicable,
any operational processing and brokerage costs, transfer fees, stamp taxes and
part or all of the spread between the expected bid and offer side of the market
related to the securities comprising the redemption basket. Investors who use
the services of a broker or other such intermediary in addition to an Authorized
Participant to effect a redemption of a Creation Unit may also be assessed an
amount to cover the cost of such services. The redemption fee charged by a Fund
will comply with Rule 22c-2 of the 1940 Act which limits redemption fees to no
more than 2% of the value of the shares redeemed.
6. DISTRIBUTION PLAN
The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule
12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are
authorized to pay an amount up to 0.25% of their average daily net assets each
year to reimburse FTP, the distributor of the Funds, for amounts expended to
finance activities primarily intended to result in the sale of Creation Units or
the provision of investor services. FTP may also use this amount to compensate
securities dealers or other persons that are Authorized Participants for
providing distribution assistance, including broker-dealer and shareholder
support and educational and promotional services.
No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual
arrangement, no 12b-1 fees will be paid any time before November 30, 2023.
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 the following subsequent events:
On March 10, 2023, Silicon Valley Bank was placed in receivership under the
Federal Deposit Insurance Company. The parent company of Silicon Valley Bank is
SVB Financial Group, which is held in FXO. Since that event, SVB Financial Group
has been valued at zero.
On March 12, 2023, Signature Bank, which is held in FXO, was placed in
receivership under the Federal Deposit Insurance Company. Since that event,
Signature Bank has been valued at zero.
Page 64
--------------------------------------------------------------------------------
ADDITIONAL INFORMATION
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JANUARY 31, 2023 (UNAUDITED)
PROXY VOTING POLICIES AND PROCEDURES
A description of the policies and procedures that the Trust uses to determine
how to vote proxies and information on how each Fund voted proxies relating to
its portfolio securities during the most recent 12-month period ended June 30 is
available (1) without charge, upon request, by calling (800) 988-5891; (2) on
each Fund's website at www.ftportfolios.com; and (3) on the Securities and
Exchange Commission's ("SEC") website at www.sec.gov.
PORTFOLIO HOLDINGS
Each Fund files portfolio holdings information for each month in a fiscal
quarter within 60 days after the end of the relevant fiscal quarter on Form
N-PORT. Portfolio holdings information for the third month of each fiscal
quarter will be publicly available on the SEC's website at www.sec.gov. Each
Fund's complete schedule of portfolio holdings for the second and fourth
quarters of each fiscal year is included in the semi-annual and annual reports
to shareholders, respectively, and is filed with the SEC on Form N-CSR. The
semi-annual and annual report for each Fund is available to investors within 60
days after the period to which it relates. Each Fund's Forms N-PORT and Forms
N-CSR are available on the SEC's website listed above.
RISK CONSIDERATIONS
RISKS ARE INHERENT IN ALL INVESTING. CERTAIN GENERAL RISKS THAT MAY BE
APPLICABLE TO A FUND ARE IDENTIFIED BELOW, BUT NOT ALL OF THE MATERIAL RISKS
RELEVANT TO EACH FUND ARE INCLUDED IN THIS REPORT AND NOT ALL OF THE RISKS BELOW
APPLY TO EACH FUND. THE MATERIAL RISKS OF INVESTING IN EACH FUND ARE SPELLED OUT
IN ITS PROSPECTUS, STATEMENT OF ADDITIONAL INFORMATION AND OTHER REGULATORY
FILINGS. BEFORE INVESTING, YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE,
RISKS, CHARGES AND EXPENSES, AND READ EACH FUND'S PROSPECTUS AND STATEMENT OF
ADDITIONAL INFORMATION CAREFULLY. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT
WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO
REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND.
CONCENTRATION RISK. To the extent that a fund is able to invest a significant
percentage of its assets in a single asset class or the securities of issuers
within the same country, state, region, industry or sector, an adverse economic,
business or political development may affect the value of the fund's investments
more than if the fund were more broadly diversified. A fund that tracks an index
will be concentrated to the extent the fund's corresponding index is
concentrated. A concentration makes a fund more susceptible to any single
occurrence and may subject the fund to greater market risk than a fund that is
more broadly diversified.
CREDIT RISK. Credit risk is the risk that an issuer of a security will be unable
or unwilling to make dividend, interest and/or principal payments when due and
the related risk that the value of a security may decline because of concerns
about the issuer's ability to make such payments.
CYBER SECURITY RISK. The funds are susceptible to potential operational risks
through breaches in cyber security. A breach in cyber security refers to both
intentional and unintentional events that may cause a fund to lose proprietary
information, suffer data corruption or lose operational capacity. Such events
could cause a fund to incur regulatory penalties, reputational damage,
additional compliance costs associated with corrective measures and/or financial
loss. In addition, cyber security breaches of a fund's third-party service
providers, such as its administrator, transfer agent, custodian, or sub-advisor,
as applicable, or issuers in which the fund invests, can also subject a fund to
many of the same risks associated with direct cyber security breaches.
DEFINED OUTCOME FUNDS RISK. To the extent a fund's investment strategy is
designed to deliver returns tied to the price performance of an underlying ETF,
an investor may not realize the returns the fund seeks to achieve if that
investor does not hold shares for the entire target outcome period. In the event
an investor purchases shares after the first day of the target outcome period or
sells shares prior to the end of the target outcome period, the buffer that the
fund seeks to provide against a decline in the value of the underlying ETF may
not be available, the enhanced returns that the fund seeks to provide (if any)
may not be available and the investor may not participate in a gain in the value
of the underlying ETF up to the cap for the investor's investment period.
Additionally, the fund will not participate in gains of the underlying ETF above
the cap and a shareholder may lose their entire investment. If the fund seeks
enhanced returns, there are certain time periods when the value of the fund may
fall faster than the value of the underlying ETF, and it is very unlikely that,
on any given day during which the underlying ETF share price increases in value,
the fund's share price will increase at the same rate as the enhanced returns
sought by the fund, which is designed for an entire target outcome period.
Trading flexible exchange options involves risks different from, or possibly
greater than, the risks associated with investing directly in securities, such
as less liquidity and correlation and valuation risks. A fund may experience
substantial downside from specific flexible exchange option positions and
certain positions may expire worthless.
Page 65
--------------------------------------------------------------------------------
ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JANUARY 31, 2023 (UNAUDITED)
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.
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
Page 66
--------------------------------------------------------------------------------
ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JANUARY 31, 2023 (UNAUDITED)
same volume or liquidity. The unavailability or replacement of LIBOR may affect
the value, liquidity or return on certain fund investments and may result in
costs incurred in connection with closing out positions and entering into new
trades. Any potential effects of the transition away from LIBOR on the fund or
on certain instruments in which the fund invests can be difficult to ascertain,
and they may vary depending on a variety of factors, and they could result in
losses to the fund.
MANAGEMENT RISK. To the extent that a fund is actively managed, it is subject to
management risk. In managing an actively-managed fund's investment portfolio,
the fund's portfolio managers will apply investment techniques and risk analyses
that may not have the desired result. There can be no guarantee that a fund will
meet its investment objective.
MARKET RISK. Market risk is the risk that a particular security, or shares of a
fund in general, may fall in value. Securities held by a fund, as well as shares
of a fund itself, are subject to market fluctuations caused by factors such as
general economic conditions, political events, regulatory or market
developments, changes in interest rates and perceived trends in securities
prices. Shares of a fund could decline in value or underperform other
investments as a result of the risk of loss associated with these market
fluctuations. In addition, local, regional or global events such as war, acts of
terrorism, spread of infectious diseases or other public health issues,
recessions, or other events could have a significant negative impact on a fund
and its investments. Such events may affect certain geographic regions,
countries, sectors and industries more significantly than others. In February
2022, Russia invaded Ukraine which has caused and could continue to cause
significant market disruptions and volatility within the markets in Russia,
Europe, and the United States. The hostilities and sanctions resulting from
those hostilities could have a significant impact on certain fund investments as
well as fund performance. The COVID-19 global pandemic and the ensuing policies
enacted by governments and central banks have caused and may continue to cause
significant volatility and uncertainty in global financial markets. While the
U.S. has resumed "reasonably" normal business activity, many countries continue
to impose lockdown measures. Additionally, there is no guarantee that vaccines
will be effective against emerging variants of the disease. These events also
adversely affect the prices and liquidity of a fund's portfolio securities or
other instruments and could result in disruptions in the trading markets. Any of
such circumstances could have a materially negative impact on the value of a
fund's shares and result in increased market volatility. During any such events,
a fund's shares may trade at increased premiums or discounts to their net asset
value and the bid/ask spread on a fund's shares may widen.
NON-U.S. SECURITIES RISK. To the extent a fund invests in non-U.S. securities,
it is subject to additional risks not associated with securities of domestic
issuers. Non-U.S. securities are subject to higher volatility than securities of
domestic issuers due to: possible adverse political, social or economic
developments; restrictions on foreign investment or exchange of securities;
capital controls; lack of liquidity; currency exchange rates; excessive
taxation; government seizure of assets; the imposition of sanctions by foreign
governments; different legal or accounting standards; and less government
supervision and regulation of exchanges in foreign countries. Investments in
non-U.S. securities may involve higher costs than investments in U.S.
securities, including higher transaction and custody costs, as well as
additional taxes imposed by non-U.S. governments. These risks may be heightened
for securities of companies located, or with significant operations, in emerging
market countries.
OPERATIONAL RISK. Each fund is subject to risks arising from various operational
factors, including, but not limited to, human error, processing and
communication errors, errors of a fund's service providers, counterparties or
other third-parties, failed or inadequate processes and technology or systems
failures. Each fund relies on third-parties for a range of services, including
custody. Any delay or failure relating to engaging or maintaining such service
providers may affect a fund's ability to meet its investment objective. Although
the funds and the funds' investment advisor seek to reduce these operational
risks through controls and procedures, there is no way to completely protect
against such risks.
PASSIVE INVESTMENT RISK. To the extent a fund seeks to track an index, the fund
will invest in the securities included in, or representative of, the index
regardless of their investment merit. A fund generally will not attempt to take
defensive positions in declining markets.
PREFERRED SECURITIES RISK. Preferred securities combine some of the
characteristics of both common stocks and bonds. Preferred securities are
typically subordinated to bonds and other debt securities in a company's capital
structure in terms of priority to corporate income, subjecting them to greater
credit risk than those debt securities. Generally, holders of preferred
securities have no voting rights with respect to the issuing company unless
preferred dividends have been in arrears for a specified number of periods, at
which time the preferred security holders may obtain limited rights. In certain
circumstances, an issuer of preferred securities may defer payment on the
securities and, in some cases, redeem the securities prior to a specified date.
Preferred securities may also be substantially less liquid than other
securities, including common stock.
VALUATION RISK. The valuation of certain securities may carry more risk than
that of common stock. Uncertainties in the conditions of the financial markets,
unreliable reference data, lack of transparency and inconsistency of valuation
models and processes may lead to inaccurate asset pricing. A fund may hold
investments in sizes smaller than institutionally sized round lot positions
Page 67
--------------------------------------------------------------------------------
ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JANUARY 31, 2023 (UNAUDITED)
(sometimes referred to as odd lots). However, third-party pricing services
generally provide evaluations on the basis of institutionally-sized round lots.
If a fund sells certain of its investments in an odd lot transaction, the sale
price may be less than the value at which such securities have been held by the
fund. Odd lots often trade at lower prices than institutional round lots. There
is no assurance that the fund will be able to sell a portfolio security at the
price established by the pricing service, which could result in a loss to the
fund.
NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE
ADVISORY AGREEMENT
BOARD CONSIDERATIONS REGARDING APPROVAL OF AMENDMENT TO THE INVESTMENT
MANAGEMENT AGREEMENT
The Board of Trustees of First Trust Exchange-Traded AlphaDEX(R) Fund (the
"Trust"), including the Independent Trustees, unanimously approved the amendment
(the "Amendment") of the Investment Management Agreement (the "Agreement") with
First Trust Advisors L.P. (the "Advisor") on behalf of the following nine series
of the Trust (each a "Fund" and collectively, the "Funds"):
First Trust Consumer Discretionary AlphaDEX(R) Fund (FXD)
First Trust Consumer Staples AlphaDEX(R) Fund (FXG)
First Trust Energy AlphaDEX(R) Fund (FXN)
First Trust Financials AlphaDEX(R) Fund (FXO)
First Trust Health Care AlphaDEX(R) Fund (FXH)
First Trust Industrials/Producer Durables AlphaDEX(R) Fund (FXR)
First Trust Materials AlphaDEX(R) Fund (FXZ)
First Trust Technology AlphaDEX(R) Fund (FXL)
First Trust Utilities AlphaDEX(R) Fund (FXU)
The Board approved the Amendment for each Fund at a meeting held on October 24,
2022. As part of the review process, the Board reviewed information and had
preliminary discussions with the Advisor regarding the proposed Amendment at
meetings held on April 18, 2022, June 12-13, 2022 and September 18-19, 2022.
Following those preliminary discussions, the Board requested and received
information from the Advisor regarding the proposed Amendment, and that
information was considered at an executive session of the Independent Trustees
and their counsel held prior to the October 24, 2022 meeting, as well as at the
October meeting.
In reviewing the Amendment for each Fund, the Board considered that the purpose
of the Amendment is to modify the advisory fee rate for each Fund under the
Agreement by introducing a breakpoint schedule pursuant to which the advisory
fee rate paid by each Fund to the Advisor will be reduced as assets of such Fund
meet certain thresholds. The Board noted the Advisor's representations that the
quality and quantity of the services provided to each Fund by the Advisor under
the Agreement will not be reduced or modified as a result of the Amendment, and
that the obligations of the Advisor under the Agreement will remain the same in
all respects. The Board noted that it, including the Independent Trustees, last
approved the continuation of the Agreement for each Fund for a one-year period
ending June 30, 2023 at a meeting held on June 12-13, 2022. The Board noted that
in connection with such approval it had determined for each Fund, based upon the
information provided, that the terms of the Agreement were fair and reasonable
and that the continuation of the Agreement was in the best interests of the Fund
in light of the nature, extent and quality of the services provided and such
other matters as the Board considered to be relevant in the exercise of its
business judgment.
The Board noted that the Advisor had previously agreed to waive management fees
and reimburse certain expenses for a specified period to prevent each Fund's
expense ratio from exceeding a particular expense cap, that the expense cap for
each Fund would continue following entry into the Amendment, and that under the
current terms of the expense caps, expenses reimbursed and fees waived are
subject to recovery by the Advisor for up to three years from the date the fee
was waived or expense was incurred under certain conditions. The Board noted
that in connection with the Amendment, the Advisor agreed to amend the terms of
the expense caps to eliminate its ability to recover any fees waived or expenses
reimbursed.
Based on all of the information considered, the Board, including the Independent
Trustees, unanimously determined that the terms of the Amendment are fair and
reasonable and that the Amendment is in the best interests of each Fund.
Page 68
--------------------------------------------------------------------------------
FIRST TRUST
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR 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]