-------------------------------------------------------------------------------- FIRST TRUST FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND Annual Report July 31, 2022 -------------------------------------------------------------------------------- AlphaDEX(R) Style Funds ----------------------- First Trust Large Cap Core AlphaDEX(R) Fund (FEX) First Trust Mid Cap Core AlphaDEX(R) Fund (FNX) First Trust Small Cap Core AlphaDEX(R) Fund (FYX) First Trust Large Cap Value AlphaDEX(R) Fund (FTA) First Trust Large Cap Growth AlphaDEX(R) Fund (FTC) First Trust Multi Cap Value AlphaDEX(R) Fund (FAB) First Trust Multi Cap Growth AlphaDEX(R) Fund (FAD) First Trust Mid Cap Value AlphaDEX(R) Fund (FNK) First Trust Mid Cap Growth AlphaDEX(R) Fund (FNY) First Trust Small Cap Value AlphaDEX(R) Fund (FYT) First Trust Small Cap Growth AlphaDEX(R) Fund (FYC) AlphaDEX(R) FAMILY OF ETFs AlphaDEX(R) is a registered trademark of First Trust Portfolios L.P. -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS ANNUAL REPORT JULY 31, 2022 Shareholder Letter.......................................................... 2 Market Overview............................................................. 3 Fund Performance Overview First Trust Large Cap Core AlphaDEX(R) Fund (FEX)..................... 4 First Trust Mid Cap Core AlphaDEX(R) Fund (FNX)....................... 6 First Trust Small Cap Core AlphaDEX(R) Fund (FYX)..................... 8 First Trust Large Cap Value AlphaDEX(R) Fund (FTA).................... 10 First Trust Large Cap Growth AlphaDEX(R) Fund (FTC)................... 12 First Trust Multi Cap Value AlphaDEX(R) Fund (FAB).................... 14 First Trust Multi Cap Growth AlphaDEX(R) Fund (FAD)................... 16 First Trust Mid Cap Value AlphaDEX(R) Fund (FNK)...................... 18 First Trust Mid Cap Growth AlphaDEX(R) Fund (FNY)..................... 20 First Trust Small Cap Value AlphaDEX(R) Fund (FYT).................... 22 First Trust Small Cap Growth AlphaDEX(R) Fund (FYC)................... 24 Notes to Fund Performance Overview.......................................... 26 Understanding Your Fund Expenses............................................ 27 Portfolio of Investments First Trust Large Cap Core AlphaDEX(R) Fund (FEX)..................... 29 First Trust Mid Cap Core AlphaDEX(R) Fund (FNX)....................... 36 First Trust Small Cap Core AlphaDEX(R) Fund (FYX)..................... 43 First Trust Large Cap Value AlphaDEX(R) Fund (FTA).................... 52 First Trust Large Cap Growth AlphaDEX(R) Fund (FTC)................... 56 First Trust Multi Cap Value AlphaDEX(R) Fund (FAB).................... 61 First Trust Multi Cap Growth AlphaDEX(R) Fund (FAD)................... 71 First Trust Mid Cap Value AlphaDEX(R) Fund (FNK)...................... 81 First Trust Mid Cap Growth AlphaDEX(R) Fund (FNY)..................... 87 First Trust Small Cap Value AlphaDEX(R) Fund (FYT).................... 92 First Trust Small Cap Growth AlphaDEX(R) Fund (FYC)................... 98 Statements of Assets and Liabilities........................................ 104 Statements of Operations.................................................... 107 Statements of Changes in Net Assets......................................... 110 Financial Highlights........................................................ 114 Notes to Financial Statements............................................... 120 Report of Independent Registered Public Accounting Firm..................... 130 Additional Information...................................................... 131 Board of Trustees and Officers.............................................. 138 Privacy Policy.............................................................. 140 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- CAUTION REGARDING FORWARD-LOOKING STATEMENTS This report contains certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. ("First Trust" or the "Advisor") and its representatives, taking into account the information currently available to them. Forward-looking statements include all statements that do not relate solely to current or historical fact. For example, forward-looking statements include the use of words such as "anticipate," "estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or other words that convey uncertainty of future events or outcomes. Forward-looking statements involve known and unknown risks, uncertainties and other factors that may cause the actual results, performance or achievements of any series of First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") described in this report (each such series is referred to as a "Fund" and collectively, as the "Funds") to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue reliance on these forward-looking statements, which reflect the judgment of the Advisor and its representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof. PERFORMANCE AND RISK DISCLOSURE There is no assurance that any Fund described in this report will achieve its investment objective. Each Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund's shares may therefore be less than what you paid for them. Accordingly, you can lose money investing in a Fund. See "Risk Considerations" in the Additional Information section of this report for a discussion of certain other risks in investing in the Funds. Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please visit www.ftportfolios.com or speak with your financial advisor. Investment returns, net asset value and share price will fluctuate and Fund shares, when sold, may be worth more or less than their original cost. The Advisor may also periodically provide additional information on Fund performance on each Fund's webpage at www.ftportfolios.com. HOW TO READ THIS REPORT This report contains information that may help you evaluate your investment. It includes details about each Fund and presents data and analysis that provide insight into each Fund's performance and investment approach. By reading the market overview by Robert F. Carey, Chief Market Strategist of the Advisor, you may obtain an understanding of how the market environment affected the performance of each Fund. The statistical information that follows may help you understand each Fund's performance compared to that of relevant market benchmarks. It is important to keep in mind that the opinions expressed by personnel of the Advisor are just that: informed opinions. They should not be considered to be promises or advice. The opinions, like the statistics, cover the period through the date on the cover of this report. The material risks of investing in each Fund are spelled out in its prospectus, statement of additional information, and other Fund regulatory filings. Page 1 -------------------------------------------------------------------------------- SHAREHOLDER LETTER -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND ANNUAL LETTER FROM THE CHAIRMAN AND CEO JULY 31, 2022 Dear Shareholders: First Trust is pleased to provide you with the annual report for the Style Funds of the First Trust Exchange-Traded AlphaDEX(R) Fund (the "Funds"), which contains detailed information about the Funds for the 12-month period ended July 31, 2022. When it comes to investing one's capital, it is natural to want to find some analyst, economist, or other pundit who claims to know exactly where the securities markets are headed at any given time. You can find them if you search hard enough, but watch your step. Relying on someone else's crystal ball predictions, even if they have been fortunate enough to have made a celebrated market call or two in the past, is a fool's errand, in my opinion. It is tough to reproduce such success. I am, as I have been for my entire career in the financial services industry, an advocate for individual investors seeking out professional assistance to help them meet their goals. If anything, the endless amounts of information flowing through the financial media via the internet and cable channels these days is likely making things more confusing for the average investor looking to get ahead. While some individuals may be adept at sifting through the noise to find those timely nuggets of information that can potentially move the markets, most are not, and one's financial future is too important to gamble on meme stocks and black swans, in my opinion. Having said all that, for those investors who do want to steer their own ship, there are now a plethora of packaged products available to meet almost any need or strategy, such as mutual funds, unit investment trusts and exchange-traded funds. With respect to equities, investors can choose from portfolios featuring style investing (growth and value), sectors, subsectors (i.e., Semiconductors are a subsector of the Technology sector), long/short strategies, dividend strategies and many more. There are products out there for both bullish and bearish investors. Again, for those individuals that are not savvy when it comes to investing, know that financial representatives have more of these, and other tools, at their disposal than ever before. The markets have moved up and down in dramatic fashion in 2022. The stock market, as measured by the S&P 500(R) Index, declined in price by 20.80% from the close on March 23, 2022 through June 16, 2022, only to reverse course and rise by 17.41% from the close on June 16, 2022 through August 16, 2022, according to data from Bloomberg. So much for the adage "the trend is your friend." The action in the bond market has been just as frantic. In the U.S. Treasury market, the yield on the 10-Year Treasury Note ("T-Note") rose 114 basis points ("bps") from the close on March 31, 2022 through June 14, 2022, only to reverse course and drop by 90 bps from the close on June 14, 2022 through August 1, 2022, according to data from Bloomberg. Suffice it to say that yield swings of this magnitude are not all that common. What is driving these divergent trading patterns? Robust inflation. The Consumer Price Index stood at 8.5% year-over-year in July 2022. A level not seen since the early 1980s. In the hopes of reducing it, the Federal Reserve (the "Fed") is in the process of hiking interest rates and, in September, is expected to reduce the size of its balance sheet to the tune of $95 billion per month. The concern in the markets is whether or not the Fed's tightening of monetary policy will push the U.S. economy into a serious recession. Some economists and others in the financial media believe the U.S. is already in a recession. We expect this battle (fight inflation at the expense of economic growth) to continue to play out over the coming months. Keep an eye on the 10-Year T-Note. If the yield rises moving forward, expect the stock and bond markets to struggle and vice versa. If you have not already, I encourage you to forge an investment plan and stay the course! Thank you for giving First Trust the opportunity to play a role in your financial future. We value our relationship with you and will report on the Funds again in six months. Sincerely, /s/ James A. Bowen 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 ANNUAL REPORT JULY 31, 2022 ROBERT F. CAREY, CFA SENIOR VICE PRESIDENT AND CHIEF MARKET STRATEGIST FIRST TRUST ADVISORS L.P. Mr. Carey is responsible for the overall management of research and analysis of the First Trust product line. Mr. Carey has more than 30 years of experience as an Equity and Fixed-Income Analyst and is a recipient of the Chartered Financial Analyst ("CFA") designation. He is a graduate of the University of Illinois at Champaign-Urbana with a B.S. in Physics. He is also a member of the Investment Analysts Society of Chicago and the CFA Institute. Mr. Carey has appeared as a guest on such programs as Bloomberg TV, CNBC, and WBBM Radio, and has been quoted by several publications, including The Wall Street Journal, The Wall Street Reporter, Bloomberg News Service, and Registered Rep. STATE OF THE U.S./GLOBAL ECONOMY The first seven months of 2022 was likely a tumultuous time for most investors. The returns on stocks and bonds were so dismal they dragged down the results for the last 12 months. The latest hot topic appears to be whether or not the U.S. economy is in a recession. After all, real gross domestic product ("GDP") growth did come in at an annualized -1.6% in the first quarter of 2022 and -0.9% in the second quarter of 2022, according to data from the U.S. Bureau of Economic Analysis. The traditional definition of a recession is two consecutive quarters of negative GDP growth. Opinions on this topic vary. Some pundits believe the U.S. economy is already in a recession. Brian Wesbury, Chief Economist at First Trust, is not one of them. While he acknowledges that a recession is inevitable, he believes we are not there yet. Wesbury notes that the official arbiter of recessions, the National Bureau of Economic Research, considers other factors beyond just real GDP, including the job market, manufacturing activity and real income, which reflect strength in the current climate. We are anticipating additional interest rate hikes from the Federal Reserve to combat the surge in inflation, which stood at an elevated 8.5% on a trailing 12-month basis in July 2022, as measured by the Consumer Price Index. Will the U.S. economy be resilient to said rate hikes, or succumb to them? We should know more in the coming months. Economic headwinds extend beyond what is transpiring in the U.S. Two of the most critical events to surface so far in 2022 are the war between Russia and Ukraine, which commenced in late February 2022, and the coronavirus-induced ("COVID-19") shutdown in China. The war has helped drive the relative value of the U.S. Dollar higher against other major world currencies, in our opinion. A strong U.S. Dollar can put downward pressure on commodity prices. Historically speaking, it is common for foreign investors to funnel capital into U.S. assets when wars break out or during periods of great uncertainty. The U.S. is still viewed by many as a safe haven for capital. The U.S. Dollar increased by 14.9% against a basket of major currencies for the 12-month period ended July 31, 2022, as measured by the U.S. Dollar Index. An end to the Russian conflict and the reopening of China's economy would be a net gain for the economy, in our opinion. The global growth forecast from the International Monetary Fund ("IMF") released in July 2022 projected a 3.2% real GDP growth rate for 2022, down from 6.1% in 2021. Economic growth activity was elevated in 2021 following the COVID-19-induced downturn (real GDP was -3.1%) in 2020. The IMF is calling for a 2.3% growth rate for the U.S. in 2022, down from 5.7% the previous year. Advanced Economies are expected to register a 2.5% growth rate in 2022, down from 5.2% the previous year. While the gap has narrowed from prior years, Emerging Market and Developing Economies are still expected to grow faster than Advanced Economies. Their 2022 growth rate estimate is 3.6%, down from 6.8% a year ago. These estimates do not reflect a recession. ETFGI, an independent research and consultancy firm, reported that total assets invested in exchange-traded funds ("ETFs") and related exchange-traded products ("ETPs") listed globally stood at $9.37 trillion in July 2022, up from $6.36 trillion as of the close of 2019 (prior to the COVID-19 pandemic), according to its own release. U.S. listed ETFs/ETPs had assets under management totaling $6.61 trillion in July 2022. The U.S accounts for roughly 70.5% of total global ETF/ETP assets. STYLE/EQUITY INVESTING For the 12-month period ended July 31, 2022, the S&P 500(R) Index posted a total return of -4.64%, according to Bloomberg. Value stocks significantly outperformed growth stocks in the period. The S&P 500(R) Value Index posted a total return of -0.03%, compared to -9.13% for the S&P 500(R) Growth Index. The S&P MidCap 400(R) Index posted a total return of -5.70% for the same period. Again, value stocks significantly outperformed growth stocks. The S&P MidCap 400(R) Value Index posted a total return of -0.05%, compared to -11.26% for the S&P MidCap 400(R) Growth Index. The S&P SmallCap 600(R) Index posted a total return of -6.24% during the same period. As was the case with the other two market caps, value stocks significantly outperformed growth stocks. The S&P SmallCap 600(R) Value Index posted a total return of -2.26%, compared to -10.19% for the S&P SmallCap 600(R) Growth Index for the same period. Some of the headwind endured by the stock market year-to-date has stemmed from the rise in the yield on the benchmark 10-Year Treasury Note ("T-Note"). When bond yields trend higher, the cost of capital also rises for businesses, and that can trim future corporate earnings and put downward pressure on stock valuations. Year-to-date through July 31, 2022, the yield on the 10-Year T-Note increased by 114 basis points, from 1.51% to 2.65%. It reached as high as 3.48% in June 2022. That is a substantial move higher in just seven months. Value stocks, which by nature tend to carry lower price-to-earnings ("P/E") multiples, seem to be less vulnerable to rising interest rates and bond yields than their growth stock counterparts, which tend to carry higher P/E multiples when the economy is in expansion mode. Keep an eye on the 10-Year T-Note yield in the months ahead. Page 3 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) The First Trust Large Cap Core AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Large Cap Core Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FEX." The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 500 Large Cap Index(TM) that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index. ------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/22 7/31/22 7/31/22 to 7/31/22 7/31/22 7/31/22 to 7/31/22 FUND PERFORMANCE NAV -4.73% 9.98% 12.48% 8.11% 60.89% 224.21% 227.73% Market Price -4.72% 9.98% 12.49% 8.11% 60.94% 224.36% 227.82% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Large Cap Core Index(1) -4.19% 10.66% N/A N/A 65.92% N/A N/A Nasdaq US 500 Large Cap Index(TM) (1) -6.69% 12.74% N/A N/A 82.13% N/A N/A S&P 500(R) Index -4.64% 12.83% 13.80% 9.04% 82.85% 264.28% 273.39% ------------------------------------------------------------------------------------------------------------------ (1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. (See Notes to Fund Performance Overview on page 26.) PERFORMANCE REVIEW The Fund generated a net asset value ("NAV") return of -4.73% during the period covered by this report. During the same period, the S&P 500(R) Index (the "Benchmark") generated a return of -4.64%. During the period covered by this report, the Fund allocated 17.9% to the Financials sector, the largest allocation in the period. The 5.6% allocation to the Energy sector contributed 2.1% to the Fund's return, the greatest contribution of any sector. The least contributing sector was the Information Technology sector with a -2.7% contribution, which received a 16.6% allocation in the Fund during the same period. ----------------------------- Nasdaq(R) and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. AlphaDEX(R) is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND. Page 4 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) (CONTINUED) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 17.2% Information Technology 12.9 Industrials 12.3 Health Care 11.8 Consumer Discretionary 9.9 Energy 8.3 Consumer Staples 7.0 Utilities 6.7 Materials 6.5 Communication Services 4.2 Real Estate 3.2 ------- Total 100.0% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- United Rentals, Inc. 0.6% Ford Motor Co. 0.5 Nucor Corp. 0.5 Synchrony Financial 0.5 Lennar Corp., Class A 0.5 Coterra Energy, Inc. 0.5 Best Buy Co., Inc. 0.5 D.R. Horton, Inc. 0.5 Franklin Resources, Inc. 0.5 Skyworks Solutions, Inc. 0.5 ------- Total 5.1% ======= PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2012 - JULY 31, 2022 First Trust Large Cap S&P 500(R) Core AlphaDEX(R) Fund Index 7/12 $10,000 $10,000 1/13 11,498 10,991 7/13 13,140 12,500 1/14 14,123 13,356 7/14 15,483 14,617 1/15 16,090 15,256 7/15 16,671 16,255 1/16 14,925 15,155 7/16 17,270 17,169 1/17 18,498 18,192 7/17 20,150 19,922 1/18 23,065 22,996 7/18 22,914 23,157 1/19 21,685 22,464 7/19 23,713 25,008 1/20 24,659 27,337 7/20 24,178 27,999 1/21 28,829 32,053 7/21 34,031 38,202 1/22 34,280 39,516 7/22 32,421 36,428 Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 5 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) The First Trust Mid Cap Core AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Mid Cap Core Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FNX." The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 600 Mid Cap Index(TM) that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index. ------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/22 7/31/22 7/31/22 to 7/31/22 7/31/22 7/31/22 to 7/31/22 FUND PERFORMANCE NAV -5.74% 10.25% 11.58% 8.61% 62.90% 199.07% 252.03% Market Price -5.72% 10.25% 11.59% 8.61% 62.90% 199.33% 252.04% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Mid Cap Core Index(1) -5.14% 10.95% N/A N/A 68.14% N/A N/A Nasdaq US 600 Mid Cap Index(TM) (1) -12.59% 8.88% N/A N/A 53.04% N/A N/A S&P MidCap 400(R) Index -5.70% 9.06% 12.05% 8.69% 54.29% 212.07% 255.53% ------------------------------------------------------------------------------------------------------------------ (1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. (See Notes to Fund Performance Overview on page 26.) PERFORMANCE REVIEW The Fund generated a NAV return of -5.74% during the period covered by this report. During the same period, the S&P MidCap 400(R) Index (the "Benchmark") generated a return of -5.70%. During the period covered by this report, the Financials sector received the largest allocation within the Fund at a weight of 9.5%. The Energy sector generated the largest contribution to the Fund's return at 1.9% and had a weight of 4.5%. The least contributing sector to the Fund's return for the period was the Consumer Discretionary sector, which generated a -3.6% contribution to the Fund's return due to its 15.8% allocation and -22.4% total return. ----------------------------- Nasdaq(R) and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. AlphaDEX(R) is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND. Page 6 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) (CONTINUED) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Industrials 18.1% Consumer Discretionary 17.4 Financials 17.3 Information Technology 9.5 Health Care 8.4 Materials 7.4 Energy 6.4 Real Estate 5.0 Utilities 4.1 Consumer Staples 3.8 Communication Services 2.6 ------- Total 100.0% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- UFP Industries, Inc. 0.5% Range Resources Corp. 0.4 United States Steel Corp. 0.4 Antero Resources Corp. 0.4 EQT Corp. 0.4 Matson, Inc. 0.4 Owens Corning 0.4 Carlisle Cos., Inc. 0.4 Matador Resources Co. 0.4 Murphy USA, Inc. 0.4 ------- Total 4.1% ======= PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2012 - JULY 31, 2022 First Trust Mid Cap Core S&P MidCap 400(R) AlphaDEX(R) Fund Index 7/12 $10,000 $10,000 1/13 11,676 11,719 7/13 13,271 13,300 1/14 14,493 14,281 7/14 15,061 15,014 1/15 15,320 15,835 7/15 15,896 16,709 1/16 13,680 14,774 7/16 16,017 17,633 1/17 17,519 19,231 7/17 18,357 20,223 1/18 20,898 22,618 7/18 21,538 23,163 1/19 20,249 21,603 7/19 21,801 23,349 1/20 22,177 24,040 7/20 20,519 22,520 1/21 27,086 28,472 7/21 31,726 33,095 1/22 31,081 32,465 7/22 29,907 31,207 Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 7 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) The First Trust Small Cap Core AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Small Cap Core Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FYX." The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 700 Small Cap Index(TM) that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index. ------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/22 7/31/22 7/31/22 to 7/31/22 7/31/22 7/31/22 to 7/31/22 FUND PERFORMANCE NAV -6.50% 9.49% 11.41% 7.77% 57.37% 194.72% 212.65% Market Price -6.49% 9.49% 11.41% 7.77% 57.34% 194.71% 212.55% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Small Cap Core Index(1) -5.92% 10.22% N/A N/A 62.65% N/A N/A Nasdaq US 700 Small Cap Index(TM) (1) -14.49% 8.38% N/A N/A 49.57% N/A N/A S&P SmallCap 600(R) Index -6.24% 9.06% 12.42% 8.61% 54.29% 222.32% 251.73% ------------------------------------------------------------------------------------------------------------------ (1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. (See Notes to Fund Performance Overview on page 26.) PERFORMANCE REVIEW The Fund generated a NAV return of -6.50% during the period covered by this report. During the same period, the S&P SmallCap 600(R) Index (the "Benchmark") generated a return of -6.24%. The Financials sector received an allocation of 23.3%, the greatest weight of any sector in the Fund during the period covered by this report. The Energy sector generated the largest contribution to the Fund's return at 1.4%, while receiving a weight of 5.3%. The least contributing sector to the Fund's return for the period was the Consumer Discretionary sector, which generated a -2.7% contribution to the Fund's return due to its 14.2% allocation and -18.3% total return. ----------------------------- Nasdaq(R) and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. AlphaDEX(R) is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND. Page 8 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) (CONTINUED) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 22.8% Industrials 17.3 Consumer Discretionary 14.0 Health Care 9.0 Information Technology 8.7 Real Estate 7.6 Energy 5.5 Consumer Staples 5.1 Communication Services 3.9 Materials 3.7 Utilities 2.4 ------- Total 100.0% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Encore Wire Corp. 0.4% Comstock Resources, Inc. 0.4 LGI Homes, Inc. 0.4 Comfort Systems USA, Inc. 0.4 Mueller Industries, Inc. 0.4 ArcBest Corp. 0.4 Encore Capital Group, Inc. 0.4 PennyMac Financial Services, Inc. 0.4 Winnebago Industries, Inc. 0.4 Taylor Morrison Home Corp. 0.4 ------- Total 4.0% ======= PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2012 - JULY 31, 2022 First Trust Small Cap S&P SmallCap 600(R) Core AlphaDEX(R) Fund Index 7/12 $10,000 $10,000 1/13 11,635 11,484 7/13 13,658 13,478 1/14 14,989 14,750 7/14 14,977 14,965 1/15 15,329 15,658 7/15 15,795 16,757 1/16 13,512 14,924 7/16 16,142 17,755 1/17 17,904 20,049 7/17 18,730 20,891 1/18 20,799 23,369 7/18 22,420 25,715 1/19 20,429 23,076 7/19 20,955 23,979 1/20 21,026 24,588 7/20 19,166 21,899 1/21 27,843 30,288 7/21 31,522 34,373 1/22 31,315 33,519 7/22 29,472 32,232 Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 9 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) The First Trust Large Cap Value AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Large Cap Value Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FTA." The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 500 Large Cap Value Index that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index. ------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/22 7/31/22 7/31/22 to 7/31/22 7/31/22 7/31/22 to 7/31/22 FUND PERFORMANCE NAV 2.24% 7.42% 10.97% 7.22% 43.02% 183.18% 189.34% Market Price 2.24% 7.41% 10.98% 7.22% 42.99% 183.38% 189.32% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Large Cap Value Index(1) 2.85% 8.10% N/A N/A 47.61% N/A N/A Nasdaq US 500 Large Cap Value Index(1) -0.26% 10.10% N/A N/A 61.78% N/A N/A S&P 500(R) Index -4.64% 12.83% 13.80% 9.04% 82.85% 264.28% 273.39% S&P 500(R) Value Index -0.03% 9.14% 11.51% 6.51% 54.85% 197.33% 161.16% ------------------------------------------------------------------------------------------------------------------ (1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. (See Notes to Fund Performance Overview on page 26.) PERFORMANCE REVIEW The Fund generated a NAV return of 2.24% during the period covered by this report. During the same period, the S&P 500(R) Value Index (the "Benchmark") generated a return of -0.03%. During the period covered by this report, the Fund's largest allocation was to the Financials sector with a weight of 25.3%. The Energy sector generated the largest contribution to the Fund's return at 2.6% while receiving a weight of 4.9%. The least contributing sector to the Fund's return for the period was the Consumer Discretionary sector, which generated a -0.8% contribution to the Fund's return due to its 8.5% allocation and -13.6% total return. ----------------------------- Nasdaq(R) and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. AlphaDEX(R) is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND. Page 10 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) (CONTINUED) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 26.1% Information Technology 11.4 Consumer Discretionary 10.7 Industrials 8.9 Utilities 8.7 Materials 8.4 Consumer Staples 6.6 Health Care 6.5 Energy 5.8 Communication Services 4.8 Real Estate 2.1 ------- Total 100.0% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- United Rentals, Inc. 1.1% Ford Motor Co. 1.1 Synchrony Financial 1.0 Lennar Corp., Class A 1.0 Coterra Energy, Inc. 1.0 D.R. Horton, Inc. 1.0 Franklin Resources, Inc. 1.0 Skyworks Solutions, Inc. 1.0 General Motors Co. 1.0 Exxon Mobil Corp. 1.0 ------- Total 10.2% ======= PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2012 - JULY 31, 2022 First Trust Large Cap S&P 500(R) S&P 500(R) Value AlphaDEX(R) Fund Index Value Index 7/12 $10,000 $10,000 $10,000 1/13 11,704 10,991 11,408 7/13 13,314 12,500 13,030 1/14 14,060 13,356 13,572 7/14 15,639 14,617 14,891 1/15 15,772 15,256 15,180 7/15 15,594 16,255 15,874 1/16 13,733 15,155 14,636 7/16 16,052 17,169 16,792 1/17 18,376 18,192 18,184 7/17 19,798 19,922 19,200 1/18 22,091 22,996 21,704 7/18 21,406 23,157 21,203 1/19 20,314 22,462 20,601 7/19 21,267 25,005 22,533 1/20 22,065 27,333 24,372 7/20 19,174 27,995 21,920 1/21 23,266 32,045 24,971 7/21 27,696 38,195 29,740 1/22 29,582 39,509 31,177 7/22 28,318 36,428 29,733 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 LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) The First Trust Large Cap Growth AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Large Cap Growth Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FTC." The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 500 Large Cap Growth Index that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index. ------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/22 7/31/22 7/31/22 to 7/31/22 7/31/22 7/31/22 to 7/31/22 FUND PERFORMANCE NAV -13.84% 12.08% 13.65% 8.62% 76.90% 259.38% 252.08% Market Price -13.81% 12.08% 13.65% 8.62% 76.89% 259.36% 252.17% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Large Cap Growth Index(1) -13.37% 12.76% N/A N/A 82.31% N/A N/A Nasdaq US 500 Large Cap Growth Index(1) -10.86% 14.99% N/A N/A 101.01% N/A N/A S&P 500(R) Index -4.64% 12.83% 13.80% 9.04% 82.85% 264.28% 273.39% S&P 500(R) Growth Index -9.13% 15.64% 15.52% 11.17% 106.76% 323.40% 401.94% ------------------------------------------------------------------------------------------------------------------ (1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. (See Notes to Fund Performance Overview on page 26.) PERFORMANCE REVIEW The Fund generated a NAV return of -13.84% during the period covered by this report. During the same period, the S&P 500(R) Growth Index (the "Benchmark") generated a return of -9.13%. During the period covered by this report, the Fund allocated 29.0% to the Information Technology sector, which was the largest sector weight for the Fund, as well as the largest negative contributor to the Fund's return with a -4.9% contribution during the period. The Fund's allocation to the Energy sector provided the only positive contribution with a 1.4% contribution to the Fund's return during the period, stemming from its 70.7% return and 5.5% allocation. ----------------------------- Nasdaq(R) and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. AlphaDEX(R) is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND. Page 12 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) (CONTINUED) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Information Technology 19.2% Health Care 17.3 Industrials 15.9 Energy 9.8 Consumer Discretionary 8.8 Financials 8.0 Consumer Staples 6.8 Real Estate 6.1 Materials 4.0 Communication Services 3.0 Utilities 1.1 ------- Total 100.0% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Enphase Energy, Inc. 1.2% Nucor Corp. 1.1 W.W. Grainger, Inc. 1.0 Devon Energy Corp. 0.9 Costco Wholesale Corp. 0.9 Cheniere Energy, Inc. 0.9 Occidental Petroleum Corp. 0.9 CF Industries Holdings, Inc. 0.9 O'Reilly Automotive, Inc. 0.9 Marathon Oil Corp. 0.9 ------- Total 9.6% ======= PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2012 - JULY 31, 2022 First Trust Large S&P 500(R) S&P 500(R) Cap Growth AlphaDEX(R) Fund Index Growth Index 7/12 $10,000 $10,000 $10,000 1/13 11,198 10,991 10,639 7/13 12,843 12,500 12,050 1/14 14,104 13,356 13,187 7/14 15,268 14,617 14,398 1/15 16,393 15,256 15,351 7/15 17,913 16,255 16,628 1/16 16,412 15,155 15,644 7/16 18,624 17,169 17,507 1/17 18,413 18,192 18,137 7/17 20,317 19,922 20,479 1/18 23,944 22,996 24,065 7/18 24,418 23,157 24,904 1/19 22,907 22,464 24,131 7/19 26,164 25,008 27,285 1/20 27,332 27,337 30,097 7/20 30,378 27,999 33,981 1/21 35,723 32,053 39,076 7/21 41,711 38,202 46,594 1/22 39,116 39,513 47,506 7/22 35,938 36,428 42,340 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 MULTI CAP VALUE ALPHADEX(R) FUND (FAB) The First Trust Multi Cap Value AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Multi Cap Value Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FAB." The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select value stocks from the Nasdaq US 500 Large Cap Index(TM), Nasdaq US 600 Mid Cap Index(TM), and Nasdaq US 700 Small Cap IndexTM (together, the "Nasdaq US Multi Cap Value Index") that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index. ------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/22 7/31/22 7/31/22 to 7/31/22 7/31/22 7/31/22 to 7/31/22 FUND PERFORMANCE NAV 1.20% 7.82% 10.70% 7.39% 45.73% 176.36% 196.23% Market Price 1.24% 7.83% 10.71% 7.39% 45.80% 176.72% 196.30% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Multi Cap Value Index(1) 1.83% 8.60% N/A N/A 51.07% N/A N/A Nasdaq US Multi Cap Value Index(1) -0.69% 9.89% N/A N/A 60.28% N/A N/A S&P Composite 1500(R) Index -4.74% 12.49% 13.66% 9.03% 80.08% 259.88% 272.93% S&P Composite 1500(R) Value Index -0.10% 9.09% 11.57% 6.68% 54.50% 198.79% 167.55% ------------------------------------------------------------------------------------------------------------------ (1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. (See Notes to Fund Performance Overview on page 26.) PERFORMANCE REVIEW The Fund generated a NAV return of 1.20% during the period covered by this report. During the same period, the S&P Composite 1500(R) Value Index generated a return of -0.10%. During the period covered by this report, the Fund's greatest sector allocation was to investments in the Financials sector. These investments received an allocation of 27.2%. The Energy sector contributed 1.9% to the Fund's return, the greatest of any sector. The Consumer Discretionary sector was the largest drag on the Fund, contributing -1.8% to the Fund's return during the same period. ----------------------------- Nasdaq(R) and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. AlphaDEX(R) is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND. Page 14 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) (CONTINUED) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 26.1% Consumer Discretionary 16.1 Industrials 13.2 Information Technology 9.5 Materials 7.6 Utilities 6.0 Health Care 5.1 Consumer Staples 5.1 Communication Services 4.2 Energy 3.6 Real Estate 3.5 ------- Total 100.0% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- United Rentals, Inc. 0.6% Ford Motor Co. 0.6 Synchrony Financial 0.5 Lennar Corp., Class A 0.5 Coterra Energy, Inc. 0.5 D.R. Horton, Inc. 0.5 Franklin Resources, Inc. 0.5 Skyworks Solutions, Inc. 0.5 General Motors Co. 0.5 Exxon Mobil Corp. 0.5 ------- Total 5.2% ======= PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2012 - JULY 31, 2022 First Trust Multi Cap S&P Composite S&P Composite 1500(R) Value AlphaDEX(R) Fund 1500(R) Index Value Index 7/12 $10,000 $10,000 $10,000 1/13 11,790 11,066 11,451 7/13 13,593 12,598 13,099 1/14 14,562 13,478 13,697 7/14 15,683 14,664 14,962 1/15 15,682 15,320 15,271 7/15 15,567 16,314 15,937 1/16 13,441 15,126 14,638 7/16 15,875 17,227 16,897 1/17 18,153 18,332 18,370 7/17 18,964 19,985 19,339 1/18 20,976 22,997 21,797 7/18 20,916 23,245 21,444 1/19 19,648 22,437 20,728 7/19 20,159 24,883 22,578 1/20 20,596 27,054 24,287 7/20 17,691 27,473 21,721 1/21 22,693 31,782 25,093 7/21 27,307 37,780 29,910 1/22 28,674 38,905 31,267 7/22 27,636 35,988 29,879 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 MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) The First Trust Multi Cap Growth AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Multi Cap Growth Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FAD." The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select growth stocks from the Nasdaq US 500 Large Cap Index(TM), Nasdaq US 600 Mid Cap Index9TM0 and Nasdaq US 700 Small Cap Index(TM) (together the "Nasdaq US Multi Cap Growth Index") that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index. ------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 7/31/22 7/31/22 7/31/22 to 7/31/22 7/31/22 7/31/22 to 7/31/22 FUND PERFORMANCE NAV -14.91% 11.68% 12.99% 8.72% 73.72% 239.21% 257.10% Market Price -14.92% 11.68% 13.00% 8.72% 73.74% 239.52% 257.20% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Multi Cap Growth Index(1) -14.36% 12.44% N/A N/A 79.73% N/A N/A Nasdaq US Multi Cap Growth Index(1) -12.09% 14.27% N/A N/A 94.81% N/A N/A S&P Composite 1500(R) Index -4.74% 12.49% 13.66% 9.03% 80.08% 259.88% 272.93% S&P Composite 1500(R) Growth Index -9.23% 15.08% 15.24% 11.03% 101.84% 313.09% 392.29% ------------------------------------------------------------------------------------------------------------------ (1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. (See Notes to Fund Performance Overview on page 26.) PERFORMANCE REVIEW The Fund generated a NAV return of -14.91% during the period covered by this report. During the same period, the S&P Composite 1500(R) Growth Index (the "Benchmark") generated a return of -9.23%. The Information Technology sector received the greatest allocation during the period, with an average weight of 23.3%. This sector was also the greatest driver of negative return for the Fund, with a contribution of -4.3%. The sector with the largest contribution to the Fund's return was the Energy sector with a contribution of 1.7% during the period. ----------------------------- Nasdaq(R) and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. AlphaDEX(R) is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND. Page 16 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) (CONTINUED) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Health Care 16.9% Industrials 16.7 Information Technology 16.6 Energy 10.0 Consumer Discretionary 10.0 Financials 8.3 Real Estate 6.9 Consumer Staples 5.3 Materials 4.3 Communication Services 3.2 Utilities 1.8 ------- Total 100.0% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Enphase Energy, Inc. 0.6% Nucor Corp. 0.5 W.W. Grainger, Inc. 0.5 Devon Energy Corp. 0.5 Costco Wholesale Corp. 0.5 Cheniere Energy, Inc. 0.5 Occidental Petroleum Corp. 0.5 O'Reilly Automotive, Inc. 0.5 CF Industries Holdings, Inc. 0.5 Marathon Oil Corp. 0.4 ------- Total 5.0% ======= PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2012 - JULY 31, 2022 First Trust Multi Cap S&P Composite S&P Composite 1500(R) Growth AlphaDEX(R) Fund 1500(R) Index Growth Index 7/12 $10,000 $10,000 $10,000 1/13 11,259 11,066 10,737 7/13 12,800 12,598 12,165 1/14 14,114 13,478 13,300 7/14 14,674 14,664 14,417 1/15 15,616 15,320 15,383 7/15 17,004 16,314 16,677 1/16 15,231 15,126 15,585 7/16 17,456 17,227 17,522 1/17 17,788 18,332 18,228 7/17 19,524 19,985 20,466 1/18 22,829 22,997 23,974 7/18 23,977 23,247 24,837 1/19 22,304 22,438 23,946 7/19 25,094 24,884 26,987 1/20 25,886 27,052 29,609 7/20 27,663 27,472 33,102 1/21 35,510 31,782 38,376 7/21 39,862 37,780 45,510 1/22 36,788 38,907 46,137 7/22 33,921 35,988 41,309 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 MID CAP VALUE ALPHADEX(R) FUND (FNK) The First Trust Mid Cap Value AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Mid Cap Value Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FNK." The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 600 Mid Cap Value Index(TM) that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index. ------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (4/19/11) Ended Ended (4/19/11) 7/31/22 7/31/22 7/31/22 to 7/31/22 7/31/22 7/31/22 to 7/31/22 FUND PERFORMANCE NAV 1.31% 7.56% 10.05% 8.80% 43.99% 160.61% 158.94% Market Price 1.40% 7.57% 10.04% 8.80% 44.05% 160.32% 159.04% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Mid Cap Value Index(1) 2.04% 8.37% N/A N/A 49.46% N/A N/A Nasdaq US 600 Mid Cap Value Index(TM) (1) -2.42% 7.42% N/A N/A 43.00% N/A N/A S&P MidCap 400(R) Value Index -0.05% 8.79% 11.98% 10.42% 52.37% 209.92% 205.88% ------------------------------------------------------------------------------------------------------------------ (1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. (See Notes to Fund Performance Overview on page 26.) PERFORMANCE REVIEW The Fund generated a NAV return of 1.31% during the period covered by this report. During the same period, the S&P MidCap 400(R) Value Index (the "Benchmark") generated a return of -0.05%. The Fund allocated 27.9% to the Financials sector during the period covered by this report, more weight than any other sector. Investments in the Materials sector caused a 2.0% contribution to the Fund's return, the most of any sector. Investments in the Consumer Discretionary sector caused a -3.6% drag on the Fund during the period covered by this report, the largest negative contribution to return of any sector. ----------------------------- Nasdaq(R) and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. AlphaDEX(R) is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND. Page 18 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) (CONTINUED) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 24.1% Consumer Discretionary 21.9 Industrials 17.6 Materials 8.3 Information Technology 8.0 Utilities 4.7 Consumer Staples 4.0 Real Estate 3.7 Health Care 3.7 Communication Services 3.4 Energy 0.6 ------- Total 100.0% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- United States Steel Corp. 0.9% Matson, Inc. 0.9 Owens Corning 0.8 Meritage Homes Corp. 0.8 Triton International Ltd. 0.8 Commercial Metals Co. 0.8 Amkor Technology, Inc. 0.8 Knight-Swift Transportation Holdings, Inc. 0.8 Steel Dynamics, Inc. 0.8 New Residential Investment Corp. 0.8 ------- Total 8.2% ======= PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2012 - JULY 31, 2022 First Trust Mid Cap S&P MidCap 400(R) Value AlphaDEX(R) Fund Value Index 7/12 $10,000 $10,000 1/13 11,842 11,795 7/13 13,637 13,536 1/14 14,753 14,496 7/14 15,588 15,515 1/15 15,304 16,027 7/15 15,451 16,419 1/16 13,177 14,567 7/16 15,641 17,701 1/17 17,819 19,784 7/17 18,101 20,340 1/18 19,878 22,207 7/18 20,055 22,882 1/19 18,918 21,579 7/19 19,202 22,830 1/20 19,165 23,351 7/20 15,709 19,772 1/21 20,789 25,556 7/21 25,725 31,009 1/22 26,682 31,701 7/22 26,061 30,992 Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 19 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) The First Trust Mid Cap Growth AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Mid Cap Growth Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FNY." The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 600 Mid Cap Growth Index that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index. ------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (4/19/11) Ended Ended (4/19/11) 7/31/22 7/31/22 7/31/22 to 7/31/22 7/31/22 7/31/22 to 7/31/22 FUND PERFORMANCE NAV -16.80% 11.96% 12.46% 10.64% 75.89% 223.48% 212.89% Market Price -16.78% 11.95% 12.45% 10.64% 75.86% 223.26% 212.84% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Mid Cap Growth Index(1) -16.15% 12.78% N/A N/A 82.50% N/A N/A Nasdaq US 600 Mid Cap Growth Index(1) -22.83% 9.21% N/A N/A 55.35% N/A N/A S&P MidCap 400(R) Growth Index -11.26% 8.92% 11.80% 10.26% 53.28% 205.18% 200.96% ------------------------------------------------------------------------------------------------------------------ (1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. (See Notes to Fund Performance Overview on page 26.) PERFORMANCE REVIEW The Fund generated a NAV return of -16.80% during the period covered by this report. During the same period, the S&P MidCap 400(R) Growth Index (the "Benchmark") generated a return of -11.26%. During the period covered by this report, the Fund's greatest allocations were to the Health Care sector, with an average weight of 16.2%, and to the Information Technology sector, with an average weight of 16.8%. The Information Technology sector also had the largest negative contribution to the Fund with a -4.6% contribution to Fund return. The Energy sector contributed 2.3% to the Fund's return, the only sector with a positive contribution during the period. ----------------------------- Nasdaq(R) and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. AlphaDEX(R) is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND. Page 20 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) (CONTINUED) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Industrials 18.7% Health Care 15.5 Information Technology 13.4 Consumer Discretionary 13.1 Energy 12.1 Real Estate 7.8 Materials 6.7 Financials 6.6 Communication Services 2.3 Utilities 2.0 Consumer Staples 1.8 ------- Total 100.0% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Range Resources Corp. 0.9% Antero Resources Corp. 0.9 EQT Corp. 0.8 Builders FirstSource, Inc. 0.8 Carlisle Cos., Inc. 0.8 Matador Resources Co. 0.8 Franklin Electric Co., Inc. 0.8 Avis Budget Group, Inc. 0.8 Texas Pacific Land Corp. 0.8 Murphy USA, Inc. 0.8 ------- Total 8.2% ======= PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2012 - JULY 31, 2022 First Trust Mid Cap S&P MidCap 400(R) Growth AlphaDEX(R) Fund Growth Index 7/12 $10,000 $10,000 1/13 11,424 11,646 7/13 12,706 13,075 1/14 14,073 14,078 7/14 14,292 14,547 1/15 15,141 15,630 7/15 16,282 16,946 1/16 14,209 14,931 7/16 16,286 17,509 1/17 16,884 18,552 7/17 18,393 19,910 1/18 21,759 22,773 7/18 23,004 23,167 1/19 21,500 21,389 7/19 24,480 23,588 1/20 25,402 24,413 7/20 26,996 24,855 1/21 35,826 30,900 7/21 38,880 34,390 1/22 34,643 32,327 7/22 32,348 30,518 Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 21 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) The First Trust Small Cap Value AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Small Cap Value Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FYT." The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 700 Small Cap Value Index(TM) which may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index. ------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (4/19/11) Ended Ended (4/19/11) 7/31/22 7/31/22 7/31/22 to 7/31/22 7/31/22 7/31/22 to 7/31/22 FUND PERFORMANCE NAV -2.06% 8.64% 10.65% 9.39% 51.35% 175.02% 175.14% Market Price -2.06% 8.62% 10.65% 9.38% 51.18% 175.07% 174.92% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Small Cap Value Index(1) -1.34% 9.45% N/A N/A 57.05% N/A N/A Nasdaq US 700 Small Cap Value Index(TM) (1) -4.37% 8.79% N/A N/A 52.35% N/A N/A S&P SmallCap 600(R) Value Index -2.26% 8.38% 11.98% 10.78% 49.54% 210.10% 217.26% ------------------------------------------------------------------------------------------------------------------ (1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. (See Notes to Fund Performance Overview on page 26.) PERFORMANCE REVIEW The Fund generated a NAV return of -2.06% during the period covered by this report. During the same period, the S&P SmallCap 600(R) Value Index (the "Benchmark") generated a return of -2.26%. The Fund allocated the greatest weight to the Financials sector. Investments in this sector received an allocation of 31.0%. The Energy sector generated the largest contribution to the Fund's return at 1.1%, while receiving a weight of 4.0%. The least contributing sector to the Fund's return for the period was the Consumer Discretionary sector, which generated a -1.9% contribution to the Fund's return due to its 15.8% allocation and -16.1% total return. ----------------------------- Nasdaq(R) and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. AlphaDEX(R) is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND. Page 22 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) (CONTINUED) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Financials 28.9% Consumer Discretionary 20.5 Industrials 17.0 Information Technology 6.9 Real Estate 6.8 Materials 4.7 Communication Services 3.9 Health Care 3.8 Energy 3.0 Consumer Staples 3.0 Utilities 1.5 ------- Total 100.0% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- LGI Homes, Inc. 0.8% PennyMac Financial Services, Inc. 0.7 Winnebago Industries, Inc. 0.7 Taylor Morrison Home Corp. 0.7 Atlas Air Worldwide Holdings, Inc. 0.7 Mr. Cooper Group, Inc. 0.7 iStar, Inc. 0.7 MFA Financial, Inc. 0.7 Genworth Financial, Inc., Class A 0.7 Boise Cascade Co. 0.7 ------- Total 7.1% ======= PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2012 - JULY 31, 2022 First Trust Small Cap S&P SmallCap 600(R) Value AlphaDEX(R) Fund Value Index 7/12 $10,000 $10,000 1/13 11,939 11,675 7/13 14,234 13,737 1/14 15,569 14,933 7/14 15,922 15,368 1/15 15,987 15,789 7/15 15,621 16,324 1/16 13,083 14,635 7/16 15,745 17,784 1/17 18,050 20,195 7/17 18,171 20,737 1/18 19,872 23,101 7/18 20,872 25,034 1/19 19,002 22,341 7/19 18,850 22,912 1/20 19,175 23,182 7/20 16,994 19,175 1/21 23,686 26,998 7/21 28,077 31,728 1/22 28,734 31,826 7/22 27,502 31,010 Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 23 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) The First Trust Small Cap Growth AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Small Cap Growth Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol "FYC." The Index employs the AlphaDEX(R) stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 700 Small Cap Growth Index which may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index. ------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (4/19/11) Ended Ended (4/19/11) 7/31/22 7/31/22 7/31/22 to 7/31/22 7/31/22 7/31/22 to 7/31/22 FUND PERFORMANCE NAV -14.81% 9.47% 11.70% 10.46% 57.19% 202.45% 207.19% Market Price -14.82% 9.44% 11.71% 10.45% 57.02% 202.64% 206.94% INDEX PERFORMANCE Nasdaq AlphaDEX(R) Small Cap Growth Index(1) -14.14% 10.33% N/A N/A 63.45% N/A N/A Nasdaq US 700 Small Cap Growth Index(1) -23.73% 7.60% N/A N/A 44.21% N/A N/A S&P SmallCap 600(R) Growth Index -10.19% 9.51% 12.70% 11.53% 57.49% 230.64% 242.63% ------------------------------------------------------------------------------------------------------------------ (1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. (See Notes to Fund Performance Overview on page 26.) PERFORMANCE REVIEW The Fund generated a NAV return of -14.81% during the period covered by this report. During the same period, the S&P SmallCap 600(R) Growth Index (the "Benchmark") generated a return of -10.19%. The Health Care sector received the greatest allocation in the Fund during the period, with an average weight of 18.4%. The Energy sector generated the largest contribution to the Fund's return at 1.5%, while receiving a weight of 6.2%. The least contributing sector to the Fund's return for the period was the Consumer Discretionary sector, which generated a -4.8% contribution to the Fund's return due to its 14.2% allocation and -30.8% total return. ----------------------------- Nasdaq(R) and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. AlphaDEX(R) is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND. Page 24 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) (CONTINUED) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Health Care 18.1% Industrials 15.4 Information Technology 15.3 Financials 11.6 Consumer Discretionary 8.2 Real Estate 7.7 Energy 7.4 Consumer Staples 6.7 Communication Services 4.9 Utilities 3.5 Materials 1.2 ------- Total 100.0% ======= ---------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ---------------------------------------------------------- Celsius Holdings, Inc. 0.8% Encore Wire Corp. 0.8 Comstock Resources, Inc. 0.8 Comfort Systems USA, Inc. 0.7 Mueller Industries, Inc. 0.7 ArcBest Corp. 0.7 Encore Capital Group, Inc. 0.7 AdaptHealth Corp. 0.7 Array Technologies, Inc. 0.7 Belden, Inc. 0.7 ------- Total 7.3% ======= PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 31, 2012 - JULY 31, 2022 First Trust Small Cap S&P SmallCap 600(R) Growth AlphaDEX(R) Fund Growth Index 7/12 $10,000 $10,000 1/13 11,163 11,301 7/13 12,813 13,231 1/14 14,190 14,579 7/14 13,776 14,566 1/15 14,411 15,510 7/15 15,867 17,157 1/16 13,967 15,188 7/16 16,427 17,720 1/17 17,534 19,878 7/17 19,238 20,997 1/18 21,668 23,577 7/18 24,212 26,357 1/19 21,876 23,824 7/19 23,265 25,089 1/20 22,997 26,028 7/20 22,151 24,692 1/21 33,284 33,626 7/21 35,494 36,817 1/22 33,162 34,870 7/22 30,245 33,064 Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 25 -------------------------------------------------------------------------------- NOTES TO FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- Total returns for the periods since inception are calculated from the inception date of each Fund. "Average Annual Total Returns" represent the average annual change in value of an investment over the periods indicated. "Cumulative Total Returns" represent the total change in value of an investment over the periods indicated. For certain Funds the total returns would have been lower if certain fees had not been waived and expenses reimbursed by the Advisor. Each Fund's per share net asset value ("NAV") is the value of one share of the Fund and is computed by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of outstanding shares. The price used to calculate market return ("Market Price") is determined by using the midpoint of the national best bid and offer price ("NBBO") as of the time that the Fund's NAV is calculated. Under SEC rules, the NBBO consists of the highest displayed buy and lowest sell prices among the various exchanges trading the Fund at the time the Fund's NAV is calculated. Prior to January 1, 2019, the price used was the midpoint between the highest bid and the lowest offer on the stock exchange on which shares of the Fund were listed for trading as of the time that the Fund's NAV was calculated. Since shares of each Fund did not trade in the secondary market until after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund, the NAV of each Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that all distributions have been reinvested in each Fund at NAV and Market Price, respectively. An index is a statistical composite that tracks a specified financial market or sector. Unlike each Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by each Fund. These expenses negatively impact the performance of each Fund. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. The total returns presented reflect the reinvestment of dividends on securities in the indices. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. The investment return and principal value of shares of each Fund will vary with changes in market conditions. Shares of each Fund may be worth more or less than their original cost when they are redeemed or sold in the market. Each Fund's past performance is no guarantee of future performance. Page 26 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS UNDERSTANDING YOUR FUND EXPENSES JULY 31, 2022 (UNAUDITED) As a shareholder of First Trust Large Cap Core AlphaDEX(R) Fund, First Trust Mid Cap Core AlphaDEX(R) Fund, First Trust Small Cap Core AlphaDEX(R) Fund, First Trust Large Cap Value AlphaDEX(R) Fund, First Trust Large Cap Growth AlphaDEX(R) Fund, First Trust Multi Cap Value AlphaDEX(R) Fund, First Trust Multi Cap Growth AlphaDEX(R) Fund, First Trust Mid Cap Value AlphaDEX(R) Fund, First Trust Mid Cap Growth AlphaDEX(R) Fund, First Trust Small Cap Value AlphaDEX(R) Fund, or First Trust Small Cap Growth AlphaDEX(R) Fund (each a "Fund" and collectively, the "Funds"), you incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees, if any, and other Fund expenses. This Example is intended to help you understand your ongoing costs of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held through the six-month period ended July 31, 2022. ACTUAL EXPENSES The first line in the following table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During the Six-Month Period" to estimate the expenses you paid on your account during this six-month period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line in the following table provides information about hypothetical account values and hypothetical expenses based on each Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not each Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs such as brokerage commissions. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. ----------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH FEBRUARY 1, 2022 JULY 31, 2022 PERIOD (a) PERIOD (b) ----------------------------------------------------------------------------------------------------------------------- FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) Actual $1,000.00 $ 945.80 0.59% $2.85 Hypothetical (5% return before expenses) $1,000.00 $1,021.87 0.59% $2.96 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) Actual $1,000.00 $ 962.20 0.60% $2.92 Hypothetical (5% return before expenses) $1,000.00 $1,021.82 0.60% $3.01 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) Actual $1,000.00 $ 941.20 0.60% $2.89 Hypothetical (5% return before expenses) $1,000.00 $1,021.82 0.60% $3.01 FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) Actual $1,000.00 $ 957.20 0.59% $2.86 Hypothetical (5% return before expenses) $1,000.00 $1,021.87 0.59% $2.96 FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) Actual $1,000.00 $ 918.80 0.59% $2.81 Hypothetical (5% return before expenses) $1,000.00 $1,021.87 0.59% $2.96 Page 27 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS UNDERSTANDING YOUR FUND EXPENSES (CONTINUED) JULY 31, 2022 (UNAUDITED) ----------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH FEBRUARY 1, 2022 JULY 31, 2022 PERIOD (a) PERIOD (b) ----------------------------------------------------------------------------------------------------------------------- FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) Actual $1,000.00 $ 963.80 0.65% $3.16 Hypothetical (5% return before expenses) $1,000.00 $1,021.57 0.65% $3.26 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) Actual $1,000.00 $ 922.00 0.64% $3.05 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.64% $3.21 FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) Actual $1,000.00 $ 976.70 0.70% $3.43 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) Actual $1,000.00 $ 933.80 0.70% $3.36 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) Actual $1,000.00 $ 957.00 0.70% $3.40 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) Actual $1,000.00 $ 911.80 0.70% $3.32 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 (a) These expense ratios reflect expense caps for certain Funds. See Note 3 in Notes to Financial Statements. (b) Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (February 1, 2022 through July 31, 2022), multiplied by 181/365 (to reflect the six-month period). Page 28 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 1.8% 12,379 General Dynamics Corp. $ 2,805,948 13,924 HEICO Corp. 2,195,954 11,331 L3Harris Technologies, Inc. 2,719,100 4,247 Lockheed Martin Corp. 1,757,451 7,631 Northrop Grumman Corp. 3,654,486 18,997 Raytheon Technologies Corp. 1,770,711 59,794 Textron, Inc. 3,924,878 1,701 TransDigm Group, Inc. (a) 1,058,600 --------------- 19,887,128 --------------- AIR FREIGHT & LOGISTICS -- 1.0% 37,468 Expeditors International of Washington, Inc. 3,980,975 16,107 FedEx Corp. 3,754,381 15,004 United Parcel Service, Inc., Class B 2,924,129 --------------- 10,659,485 --------------- AIRLINES -- 0.3% 31,512 Delta Air Lines, Inc. (a) 1,002,081 75,823 Southwest Airlines Co. (a) 2,890,373 --------------- 3,892,454 --------------- AUTO COMPONENTS -- 0.1% 10,250 Aptiv PLC (a) 1,075,123 --------------- AUTOMOBILES -- 1.1% 410,111 Ford Motor Co. 6,024,531 143,719 General Motors Co. (a) 5,211,251 1,356 Tesla, Inc. (a) 1,208,806 --------------- 12,444,588 --------------- BANKS -- 4.4% 117,302 Bank of America Corp. 3,965,981 99,250 Citigroup, Inc. 5,151,075 102,315 Citizens Financial Group, Inc. 3,884,900 108,679 Fifth Third Bancorp 3,708,127 6,331 First Republic Bank 1,030,117 227,658 Huntington Bancshares, Inc. 3,025,575 32,427 JPMorgan Chase & Co. 3,740,779 211,934 KeyCorp 3,878,392 11,455 M&T Bank Corp. 2,032,690 17,359 PNC Financial Services Group (The), Inc. 2,880,552 97,377 Regions Financial Corp. 2,062,445 76,990 Truist Financial Corp. 3,885,685 79,349 U.S. Bancorp 3,745,273 116,532 Wells Fargo & Co. 5,112,259 --------------- 48,103,850 --------------- BEVERAGES -- 1.5% 72,557 Coca-Cola (The) Co. 4,655,983 3,917 Constellation Brands, Inc., Class A 964,796 77,387 Keurig Dr Pepper, Inc. 2,997,972 39,392 Monster Beverage Corp. (a) 3,924,231 21,910 PepsiCo, Inc. 3,833,374 --------------- 16,376,356 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- BIOTECHNOLOGY -- 2.8% 23,842 AbbVie, Inc. $ 3,421,565 18,778 Alnylam Pharmaceuticals, Inc. (a) 2,667,227 3,752 Amgen, Inc. 928,508 13,429 Biogen, Inc. (a) 2,888,041 44,309 Gilead Sciences, Inc. 2,647,463 22,891 Horizon Therapeutics PLC (a) 1,899,266 48,067 Incyte Corp. (a) 3,733,845 12,781 Moderna, Inc. (a) 2,097,234 6,178 Regeneron Pharmaceuticals, Inc. (a) 3,593,681 15,478 Seagen, Inc. (a) 2,785,730 16,198 Vertex Pharmaceuticals, Inc. (a) 4,542,081 --------------- 31,204,641 --------------- BUILDING PRODUCTS -- 0.6% 102,401 Carrier Global Corp. 4,150,313 18,042 Masco Corp. 999,166 14,059 Trane Technologies PLC 2,066,532 --------------- 7,216,011 --------------- CAPITAL MARKETS -- 4.1% 7,682 Ameriprise Financial, Inc. 2,073,525 87,548 Bank of New York Mellon (The) Corp. 3,804,836 10,006 Blackstone, Inc. 1,021,312 28,835 Carlyle Group (The), Inc. 1,121,970 14,449 Charles Schwab (The) Corp. 997,704 4,459 CME Group, Inc. 889,481 19,415 Coinbase Global, Inc., Class A (a) (b) 1,222,368 4,748 FactSet Research Systems, Inc. 2,040,121 195,819 Franklin Resources, Inc. 5,375,232 15,367 Goldman Sachs Group (The), Inc. 5,123,204 9,707 Intercontinental Exchange, Inc. 990,017 39,443 KKR & Co., Inc. 2,187,509 48,010 Morgan Stanley 4,047,243 5,984 Nasdaq, Inc. 1,082,506 9,462 Northern Trust Corp. 944,118 30,631 Raymond James Financial, Inc. 3,016,235 59,231 State Street Corp. 4,207,770 40,177 T. Rowe Price Group, Inc. 4,960,654 --------------- 45,105,805 --------------- CHEMICALS -- 4.0% 11,389 Air Products and Chemicals, Inc. 2,827,092 38,811 Celanese Corp. 4,560,681 53,243 CF Industries Holdings, Inc. 5,084,174 67,448 Corteva, Inc. 3,881,632 88,443 Dow, Inc. 4,706,052 65,701 DuPont de Nemours, Inc. 4,022,872 40,677 Eastman Chemical Co. 3,902,145 17,062 FMC Corp. 1,895,588 15,327 International Flavors & Fragrances, Inc. 1,901,314 52,190 LyondellBasell Industries N.V., Class A 4,651,173 96,645 Mosaic (The) Co. 5,089,326 See Notes to Financial Statements Page 29 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) CHEMICALS (CONTINUED) 7,984 PPG Industries, Inc. $ 1,032,251 4,077 Sherwin-Williams (The) Co. 986,389 --------------- 44,540,689 --------------- COMMERCIAL SERVICES & SUPPLIES -- 1.4% 4,888 Cintas Corp. 2,079,795 16,803 Copart, Inc. (a) 2,152,464 27,903 Republic Services, Inc. 3,869,030 78,429 Rollins, Inc. 3,025,007 23,870 Waste Management, Inc. 3,928,047 --------------- 15,054,343 --------------- COMMUNICATIONS EQUIPMENT -- 0.6% 9,738 Arista Networks, Inc. (a) 1,135,743 85,638 Cisco Systems, Inc. 3,885,396 8,711 Motorola Solutions, Inc. 2,078,358 --------------- 7,099,497 --------------- CONSTRUCTION & ENGINEERING -- 0.1% 7,284 Quanta Services, Inc. 1,010,509 --------------- CONSTRUCTION MATERIALS -- 0.3% 3,050 Martin Marietta Materials, Inc. 1,073,844 12,849 Vulcan Materials Co. 2,124,325 --------------- 3,198,169 --------------- CONSUMER FINANCE -- 2.0% 136,214 Ally Financial, Inc. 4,504,597 13,172 American Express Co. 2,028,752 43,810 Capital One Financial Corp. 4,811,652 48,261 Discover Financial Services 4,874,361 165,262 Synchrony Financial 5,532,972 --------------- 21,752,334 --------------- CONTAINERS & PACKAGING -- 1.3% 16,919 Avery Dennison Corp. 3,222,393 26,550 Ball Corp. 1,949,301 109,121 International Paper Co. 4,667,105 33,196 Packaging Corp. of America 4,667,689 --------------- 14,506,488 --------------- DISTRIBUTORS -- 0.8% 13,728 Genuine Parts Co. 2,098,599 92,983 LKQ Corp. 5,099,188 5,199 Pool Corp. 1,859,682 --------------- 9,057,469 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.5% 16,719 Berkshire Hathaway, Inc., Class B (a) 5,025,731 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.7% 217,774 AT&T, Inc. 4,089,796 89,941 Verizon Communications, Inc. 4,154,375 --------------- 8,244,171 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- ELECTRIC UTILITIES -- 4.2% 46,727 Alliant Energy Corp. $ 2,847,076 38,061 American Electric Power Co., Inc. 3,751,292 34,060 Duke Energy Corp. 3,744,216 43,306 Edison International 2,934,848 32,419 Entergy Corp. 3,732,399 55,963 Evergy, Inc. 3,820,034 32,422 Eversource Energy 2,860,269 80,574 Exelon Corp. 3,745,885 71,340 FirstEnergy Corp. 2,932,074 47,142 NextEra Energy, Inc. 3,983,028 365,895 PG&E Corp. (a) 3,973,620 100,948 PPL Corp. 2,935,568 25,604 Southern (The) Co. 1,968,691 38,704 Xcel Energy, Inc. 2,832,359 --------------- 46,061,359 --------------- ELECTRICAL EQUIPMENT -- 0.8% 16,615 AMETEK, Inc. 2,051,953 21,738 Eaton Corp. PLC 3,225,702 34,432 Emerson Electric Co. 3,101,290 --------------- 8,378,945 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.7% 42,540 Amphenol Corp., Class A 3,281,110 5,794 CDW Corp. 1,051,785 144,860 Corning, Inc. 5,325,054 6,622 Keysight Technologies, Inc. (a) 1,076,737 32,272 TE Connectivity Ltd. 4,315,734 4,867 Teledyne Technologies, Inc. (a) 1,904,944 31,355 Trimble, Inc. (a) 2,176,978 --------------- 19,132,342 --------------- ENERGY EQUIPMENT & SERVICES -- 0.6% 31,621 Baker Hughes Co. 812,343 87,332 Halliburton Co. 2,558,828 76,586 Schlumberger N.V. 2,835,980 --------------- 6,207,151 --------------- ENTERTAINMENT -- 0.6% 7,504 Electronic Arts, Inc. 984,750 71,916 Liberty Media Corp.-Liberty Formula One, Class C (a) 4,873,747 9,670 Walt Disney (The) Co. (a) 1,025,987 --------------- 6,884,484 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 2.8% 10,715 American Tower Corp. 2,901,943 5,422 Crown Castle International Corp. 979,539 7,032 Digital Realty Trust, Inc. 931,388 33,227 Duke Realty Corp. 2,078,681 1,390 Equinix, Inc. 978,199 25,909 Equity LifeStyle Properties, Inc. 1,904,830 5,366 Extra Space Storage, Inc. 1,016,964 25,658 Invitation Homes, Inc. 1,001,432 5,227 Mid-America Apartment Communities, Inc. 970,811 Page 30 See Notes to Financial Statements FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 5,840 Public Storage $ 1,906,234 13,374 Realty Income Corp. 989,542 5,705 SBA Communications Corp. 1,915,682 17,186 Sun Communities, Inc. 2,817,817 17,750 Ventas, Inc. 954,595 61,290 VICI Properties, Inc. 2,095,505 137,818 Weyerhaeuser Co. 5,005,550 22,035 WP Carey, Inc. 1,967,725 --------------- 30,416,437 --------------- FOOD & STAPLES RETAILING -- 1.2% 7,619 Costco Wholesale Corp. 4,124,165 57,864 Kroger (The) Co. 2,687,204 120,437 Walgreens Boots Alliance, Inc. 4,771,714 15,017 Walmart, Inc. 1,982,995 --------------- 13,566,078 --------------- FOOD PRODUCTS -- 3.4% 47,057 Archer-Daniels-Midland Co. 3,894,908 50,331 Bunge Ltd. 4,647,061 106,648 Conagra Brands, Inc. 3,648,428 36,298 General Mills, Inc. 2,714,728 16,972 Hershey (The) Co. 3,868,937 38,552 Hormel Foods Corp. 1,902,156 28,527 J.M. Smucker (The) Co. 3,774,693 38,390 Kellogg Co. 2,837,789 47,872 Kraft Heinz (The) Co. 1,763,126 10,966 McCormick & Co., Inc. 957,880 44,109 Mondelez International, Inc., Class A 2,824,740 53,040 Tyson Foods, Inc., Class A 4,668,050 --------------- 37,502,496 --------------- GAS UTILITIES -- 0.3% 24,431 Atmos Energy Corp. 2,965,679 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.9% 25,207 Abbott Laboratories 2,743,530 14,213 Baxter International, Inc. 833,735 3,703 Becton, Dickinson and Co. 904,680 2,916 Cooper (The) Cos., Inc. 953,532 9,601 Edwards Lifesciences Corp. (a) 965,284 39,520 Hologic, Inc. (a) 2,820,938 4,189 Insulet Corp. (a) 1,038,034 30,515 Medtronic PLC 2,823,248 13,286 STERIS PLC 2,997,986 4,589 Stryker Corp. 985,488 11,140 Teleflex, Inc. 2,678,724 8,690 Zimmer Biomet Holdings, Inc. 959,289 --------------- 20,704,468 --------------- HEALTH CARE PROVIDERS & SERVICES -- 2.9% 21,579 Centene Corp. (a) 2,006,200 13,858 Cigna Corp. 3,815,939 39,409 CVS Health Corp. 3,770,653 5,675 Elevance Health, Inc. 2,707,542 SHARES DESCRIPTION VALUE ------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 10,864 HCA Healthcare, Inc. $ 2,307,731 3,901 Humana, Inc. 1,880,282 19,476 Laboratory Corp. of America Holdings 5,106,412 3,265 Molina Healthcare, Inc. (a) 1,070,006 34,325 Quest Diagnostics, Inc. 4,687,765 8,887 UnitedHealth Group, Inc. 4,819,776 --------------- 32,172,306 --------------- HEALTH CARE TECHNOLOGY -- 0.1% 4,609 Veeva Systems, Inc., Class A (a) 1,030,480 --------------- HOTELS, RESTAURANTS & LEISURE -- 1.9% 23,836 Caesars Entertainment, Inc. (a) 1,089,067 1,397 Chipotle Mexican Grill, Inc. (a) 2,185,215 24,211 Darden Restaurants, Inc. 3,014,028 4,685 Domino's Pizza, Inc. 1,837,035 14,791 McDonald's Corp. 3,895,506 126,136 MGM Resorts International 4,128,431 23,901 Starbucks Corp. 2,026,327 24,128 Yum! Brands, Inc. 2,956,645 --------------- 21,132,254 --------------- HOUSEHOLD DURABLES -- 1.8% 68,961 D.R. Horton, Inc. 5,381,027 37,167 Garmin Ltd. 3,628,242 64,681 Lennar Corp., Class A 5,497,885 1,140 NVR, Inc. (a) 5,008,134 --------------- 19,515,288 --------------- HOUSEHOLD PRODUCTS -- 0.5% 29,557 Church & Dwight Co., Inc. 2,600,129 19,047 Procter & Gamble (The) Co. 2,645,819 --------------- 5,245,948 --------------- INDUSTRIAL CONGLOMERATES -- 0.5% 28,217 3M Co. 4,041,803 14,338 General Electric Co. 1,059,722 5,252 Honeywell International, Inc. 1,010,800 --------------- 6,112,325 --------------- INSURANCE -- 6.3% 65,997 Aflac, Inc. 3,781,628 28,814 Allstate (The) Corp. 3,370,373 89,273 American International Group, Inc. 4,621,663 10,155 Aon PLC, Class A 2,955,511 100,342 Arch Capital Group Ltd. (a) 4,455,185 22,397 Arthur J. Gallagher & Co. 4,008,839 31,296 Brown & Brown, Inc. 2,037,369 18,576 Chubb Ltd. 3,504,177 38,364 Cincinnati Financial Corp. 3,734,352 123,499 Fidelity National Financial, Inc. 4,935,020 69,763 Hartford Financial Services Group (The), Inc. 4,497,621 61,620 Loews Corp. 3,589,365 3,530 Markel Corp. (a) 4,578,904 23,521 Marsh & McLennan Cos., Inc. 3,856,503 58,156 MetLife, Inc. 3,678,367 See Notes to Financial Statements Page 31 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 41,005 Principal Financial Group, Inc. $ 2,744,875 38,165 Prudential Financial, Inc. 3,816,118 21,591 Travelers (The) Cos., Inc. 3,426,492 40,122 W.R. Berkley Corp. 2,508,829 --------------- 70,101,191 --------------- INTERACTIVE MEDIA & SERVICES -- 0.2% 16,760 Alphabet, Inc., Class A (a) 1,949,523 --------------- IT SERVICES -- 3.4% 6,576 Accenture PLC, Class A 2,013,966 13,039 Automatic Data Processing, Inc. 3,143,964 19,212 Broadridge Financial Solutions, Inc. 3,084,487 54,107 Cognizant Technology Solutions Corp., Class A 3,677,112 6,194 EPAM Systems, Inc. (a) 2,163,254 29,876 Fidelity National Information Services, Inc. 3,052,132 30,783 Fiserv, Inc. (a) 3,253,147 8,690 FleetCor Technologies, Inc. (a) 1,912,582 7,550 Gartner, Inc. (a) 2,004,374 33,004 Global Payments, Inc. 4,037,049 6,466 International Business Machines Corp. 845,688 8,681 Mastercard, Inc., Class A 3,071,251 16,034 Paychex, Inc. 2,056,842 13,910 Visa, Inc., Class A 2,950,450 --------------- 37,266,298 --------------- LIFE SCIENCES TOOLS & SERVICES -- 1.5% 7,686 Agilent Technologies, Inc. 1,030,693 58,708 Avantor, Inc. (a) 1,703,706 7,201 Danaher Corp. 2,098,875 4,951 Illumina, Inc. (a) 1,072,783 12,621 IQVIA Holdings, Inc. (a) 3,032,448 795 Mettler-Toledo International, Inc. (a) 1,073,035 6,419 PerkinElmer, Inc. 983,198 5,041 Thermo Fisher Scientific, Inc. 3,016,585 8,275 Waters Corp. (a) 3,012,348 --------------- 17,023,671 --------------- MACHINERY -- 3.2% 15,321 Caterpillar, Inc. 3,037,388 18,868 Cummins, Inc. 4,175,677 6,096 Deere & Co. 2,092,025 7,525 Dover Corp. 1,005,942 33,575 Fortive Corp. 2,163,909 10,052 IDEX Corp. 2,098,355 10,019 Illinois Tool Works, Inc. 2,081,547 21,695 Ingersoll Rand, Inc. 1,080,411 38,754 Otis Worldwide Corp. 3,029,400 44,348 PACCAR, Inc. 4,058,729 7,420 Parker-Hannifin Corp. 2,145,048 43,530 Stanley Black & Decker, Inc. 4,236,775 SHARES DESCRIPTION VALUE ------------------------------------------------------------- MACHINERY (CONTINUED) 33,367 Westinghouse Air Brake Technologies Corp. $ 3,118,814 11,677 Xylem, Inc. 1,074,634 --------------- 35,398,654 --------------- MEDIA -- 2.3% 3,897 Charter Communications, Inc., Class A (a) 1,683,894 116,324 Comcast Corp., Class A 4,364,476 113,545 Fox Corp., Class A 3,759,475 132,642 Interpublic Group of (The) Cos., Inc. 3,962,017 7,895 Liberty Broadband Corp., Class C (a) 860,002 43,055 Omnicom Group, Inc. 3,006,961 184,949 Paramount Global, Class B 4,374,044 595,698 Sirius XM Holdings, Inc. (b) 3,979,263 --------------- 25,990,132 --------------- METALS & MINING -- 0.9% 62,400 Freeport-McMoRan, Inc. 1,968,720 45,898 Newmont Corp. 2,078,261 43,717 Nucor Corp. 5,936,769 --------------- 9,983,750 --------------- MULTILINE RETAIL -- 0.6% 3,720 Dollar General Corp. 924,160 11,715 Dollar Tree, Inc. (a) 1,937,192 25,856 Target Corp. 4,224,353 --------------- 7,085,705 --------------- MULTI-UTILITIES -- 2.2% 30,309 Ameren Corp. 2,822,374 154,312 CenterPoint Energy, Inc. 4,890,147 54,098 CMS Energy Corp. 3,718,156 38,398 Consolidated Edison, Inc. 3,811,769 34,316 Dominion Energy, Inc. 2,813,226 14,405 DTE Energy Co. 1,876,971 12,151 Sempra Energy 2,014,636 18,142 WEC Energy Group, Inc. 1,883,321 --------------- 23,830,600 --------------- OIL, GAS & CONSUMABLE FUELS -- 7.7% 34,312 Cheniere Energy, Inc. 5,132,389 31,528 Chevron Corp. 5,163,656 50,824 ConocoPhillips 4,951,782 176,989 Coterra Energy, Inc. 5,414,093 82,826 Devon Energy Corp. 5,205,614 37,676 Diamondback Energy, Inc. 4,823,282 41,330 EOG Resources, Inc. 4,596,723 53,299 Exxon Mobil Corp. 5,166,272 43,086 Hess Corp. 4,845,882 163,408 Kinder Morgan, Inc. 2,939,710 203,049 Marathon Oil Corp. 5,035,615 44,419 Marathon Petroleum Corp. 4,071,446 77,523 Occidental Petroleum Corp. 5,097,137 82,244 ONEOK, Inc. 4,913,257 44,538 Phillips 66 3,963,882 20,461 Pioneer Natural Resources Co. 4,848,234 Page 32 See Notes to Financial Statements FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) OIL, GAS & CONSUMABLE FUELS (CONTINUED) 34,359 Valero Energy Corp. $ 3,805,946 146,252 Williams (The) Cos., Inc. 4,985,731 --------------- 84,960,651 --------------- PHARMACEUTICALS -- 2.5% 59,280 Bristol-Myers Squibb Co. 4,373,678 34,036 Catalent, Inc. (a) 3,849,471 14,078 Eli Lilly & Co. 4,641,376 10,286 Johnson & Johnson 1,795,113 40,053 Merck & Co., Inc. 3,578,335 87,060 Pfizer, Inc. 4,397,401 435,964 Viatris, Inc. 4,224,491 5,311 Zoetis, Inc. 969,523 --------------- 27,829,388 --------------- PROFESSIONAL SERVICES -- 0.2% 15,112 CoStar Group, Inc. (a) 1,096,980 5,274 Verisk Analytics, Inc. 1,003,379 --------------- 2,100,359 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.5% 62,010 CBRE Group, Inc., Class A (a) 5,309,296 --------------- ROAD & RAIL -- 1.2% 62,829 CSX Corp. 2,031,262 17,392 J.B. Hunt Transport Services, Inc. 3,187,432 12,049 Norfolk Southern Corp. 3,026,347 10,686 Old Dominion Freight Line, Inc. 3,243,308 8,560 Union Pacific Corp. 1,945,688 --------------- 13,434,037 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.6% 6,249 Analog Devices, Inc. 1,074,578 1,879 Broadcom, Inc. 1,006,167 18,703 Enphase Energy, Inc. (a) 5,315,019 122,014 Intel Corp. 4,430,328 2,861 KLA Corp. 1,097,308 15,719 Microchip Technology, Inc. 1,082,410 82,572 Micron Technology, Inc. 5,107,904 4,754 Monolithic Power Systems, Inc. 2,209,279 6,167 NXP Semiconductors N.V. 1,133,988 54,437 ON Semiconductor Corp. (a) 3,635,303 48,394 Qorvo, Inc. (a) 5,036,364 14,293 QUALCOMM, Inc. 2,073,343 49,271 Skyworks Solutions, Inc. 5,364,626 5,941 Texas Instruments, Inc. 1,062,785 --------------- 39,629,402 --------------- SOFTWARE -- 1.7% 12,169 Cadence Design Systems, Inc. (a) 2,264,408 5,415 Crowdstrike Holdings, Inc., Class A (a) 994,194 48,405 Fortinet, Inc. (a) 2,887,358 2,368 Intuit, Inc. 1,080,211 SHARES DESCRIPTION VALUE ------------------------------------------------------------- SOFTWARE (CONTINUED) 83,143 NortonLifeLock, Inc. $ 2,039,498 13,066 Oracle Corp. 1,017,057 5,545 Palo Alto Networks, Inc. (a) 2,767,509 2,313 Roper Technologies, Inc. 1,010,018 1,920 ServiceNow, Inc. (a) 857,587 9,018 Synopsys, Inc. (a) 3,314,115 8,455 Zoom Video Communications, Inc., Class A (a) 878,136 --------------- 19,110,091 --------------- SPECIALTY RETAIL -- 3.2% 10,549 Advance Auto Parts, Inc. 2,042,497 2,124 AutoZone, Inc. (a) 4,539,816 70,019 Best Buy Co., Inc. 5,390,763 30,268 CarMax, Inc. (a) 3,012,877 40,430 Carvana Co. (a) (b) 1,178,534 6,657 Home Depot (The), Inc. 2,003,358 10,453 Lowe's Cos., Inc. 2,002,063 5,780 O'Reilly Automotive, Inc. (a) 4,066,750 38,996 Ross Stores, Inc. 3,168,815 32,691 TJX (The) Cos., Inc. 1,999,382 14,128 Tractor Supply Co. 2,705,229 7,105 Ulta Beauty, Inc. (a) 2,763,206 --------------- 34,873,290 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.8% 13,354 Apple, Inc. 2,170,159 39,512 Dell Technologies, Inc., Class C 1,780,411 344,234 Hewlett Packard Enterprise Co. 4,901,892 111,398 HP, Inc. 3,719,579 27,986 NetApp, Inc. 1,996,241 101,819 Western Digital Corp. (a) 4,999,313 --------------- 19,567,595 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.3% 82,672 VF Corp. 3,693,785 --------------- TOBACCO -- 0.4% 21,856 Altria Group, Inc. 958,604 36,982 Philip Morris International, Inc. 3,592,801 --------------- 4,551,405 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.1% 36,575 Fastenal Co. 1,878,492 18,791 United Rentals, Inc. (a) 6,063,292 8,035 W.W. Grainger, Inc. 4,367,264 --------------- 12,309,048 --------------- WATER UTILITIES -- 0.1% 6,136 American Water Works Co., Inc. 953,780 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.3% 20,357 T-Mobile US, Inc. (a) 2,912,272 --------------- TOTAL COMMON STOCKS -- 99.8% 1,102,346,804 (Cost $1,020,971,354) --------------- See Notes to Financial Statements Page 33 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- MONEY MARKET FUNDS -- 0.5% 3,042,777 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 2.15% (c) (d) $ 3,042,777 1,928,476 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 1.75% (c) 1,928,476 --------------- TOTAL MONEY MARKET FUNDS -- 0.5% 4,971,253 (Cost $4,971,253) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.2% $ 2,680,432 BNP Paribas S.A., 2.16% (c), dated 07/29/22, due 08/01/22, with a maturity value of $2,680,915. Collateralized by U.S. Treasury Note, interest rate of 0.75%, due 01/31/28. The value of the collateral including accrued interest is $2,737,246. (d) 2,680,432 (Cost $2,680,432) --------------- TOTAL INVESTMENTS -- 100.5% 1,109,998,489 (Cost $1,028,623,039) NET OTHER ASSETS AND LIABILITIES -- (0.5)% (5,268,961) --------------- NET ASSETS -- 100.0% $ 1,104,729,528 =============== (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 $5,739,581 and the total value of the collateral held by the Fund is $5,723,209. (c) Rate shown reflects yield as of July 31, 2022. (d) This security serves as collateral for securities on loan. --------------------------------- OFFSETTING ASSETS AND LIABILITIES ------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 5,739,581 Non-cash Collateral(2) (5,723,209) --------------- Net Amount $ 16,372 =============== (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 July 29, 2022, the last business day of the period, there was sufficient collateral based on the end of day market value from the prior business day; however, as a result of market movement from July 28 to July 29, 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) $ 2,680,432 Non-cash Collateral(4) (2,680,432) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2022, 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 LARGE CAP CORE ALPHADEX(R) FUND (FEX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 7/31/2022 PRICES INPUTS INPUTS ----------------------------------------------------------------------------- Common Stocks*.................................. $ 1,102,346,804 $ 1,102,346,804 $ -- $ -- Money Market Funds.............................. 4,971,253 4,971,253 -- -- Repurchase Agreements........................... 2,680,432 -- 2,680,432 -- ----------------------------------------------------------------------------- Total Investments............................... $ 1,109,998,489 $ 1,107,318,057 $ 2,680,432 $ -- ============================================================================= * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 35 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 0.6% 23,736 BWX Technologies, Inc. $ 1,345,357 9,901 Curtiss-Wright Corp. 1,420,199 9,005 Huntington Ingalls Industries, Inc. 1,952,644 7,068 Woodward, Inc. 740,020 --------------- 5,458,220 --------------- AIR FREIGHT & LOGISTICS -- 0.1% 12,900 C.H. Robinson Worldwide, Inc. 1,428,030 --------------- AIRLINES -- 0.8% 65,299 Alaska Air Group, Inc. (a) 2,894,705 154,685 American Airlines Group, Inc. (a) 2,120,731 312,450 JetBlue Airways Corp. (a) 2,630,829 --------------- 7,646,265 --------------- AUTO COMPONENTS -- 1.7% 110,327 Adient PLC (a) 3,726,846 97,962 BorgWarner, Inc. 3,767,619 8,118 Fox Factory Holding Corp. (a) 768,450 70,125 Gentex Corp. 1,978,927 305,229 Goodyear Tire & Rubber (The) Co. (a) 3,748,212 15,580 Lear Corp. 2,354,761 --------------- 16,344,815 --------------- AUTOMOBILES -- 0.7% 82,603 Harley-Davidson, Inc. 3,123,219 43,744 Thor Industries, Inc. 3,688,932 --------------- 6,812,151 --------------- BANKS -- 5.8% 69,683 Bank OZK 2,794,288 34,602 BOK Financial Corp. 3,046,014 83,535 Cadence Bank 2,180,263 26,730 Comerica, Inc. 2,078,792 9,959 Commerce Bancshares, Inc. 692,051 10,332 Community Bank System, Inc. 695,654 5,614 Cullen/Frost Bankers, Inc. 732,066 30,269 East West Bancorp, Inc. 2,172,709 70,835 Eastern Bankshares, Inc. 1,445,034 240,811 F.N.B. Corp. 2,880,100 3,000 First Citizens BancShares, Inc., Class A 2,270,040 16,649 First Financial Bankshares, Inc. 735,553 13,788 Glacier Bancorp, Inc. 690,641 58,994 Hancock Whitney Corp. 2,879,497 62,956 Home BancShares, Inc. 1,485,762 8,231 Independent Bank Corp. 689,758 98,095 PacWest Bancorp 2,749,603 27,125 Pinnacle Financial Partners, Inc. 2,145,587 33,995 Popular, Inc. 2,640,392 28,730 Prosperity Bancshares, Inc. 2,128,606 16,569 ServisFirst Bancshares, Inc. 1,415,821 25,423 SouthState Corp. 2,155,108 72,543 Synovus Financial Corp. 2,929,286 15,187 UMB Financial Corp. 1,374,423 SHARES DESCRIPTION VALUE ------------------------------------------------------------- BANKS (CONTINUED) 55,928 United Bankshares, Inc. $ 2,166,651 188,415 Valley National Bancorp 2,202,571 31,023 Webster Financial Corp. 1,441,018 18,521 Western Alliance Bancorp 1,414,634 24,472 Wintrust Financial Corp. 2,105,571 38,535 Zions Bancorp N.A. 2,102,084 --------------- 56,439,577 --------------- BEVERAGES -- 0.7% 5,797 Coca-Cola Consolidated, Inc. 2,973,861 59,970 Molson Coors Beverage Co., Class B 3,583,207 13,360 National Beverage Corp. 723,845 --------------- 7,280,913 --------------- BIOTECHNOLOGY -- 2.0% 109,735 Alkermes PLC (a) 2,809,216 14,458 Apellis Pharmaceuticals, Inc. (a) 813,696 32,276 CRISPR Therapeutics AG (a) (b) 2,420,700 62,805 Exelixis, Inc. (a) 1,313,881 59,436 Halozyme Therapeutics, Inc. (a) 2,906,420 26,828 Neurocrine Biosciences, Inc. (a) 2,525,320 26,166 Sarepta Therapeutics, Inc. (a) 2,432,130 11,098 United Therapeutics Corp. (a) 2,564,415 77,009 Vir Biotechnology, Inc. (a) 2,141,620 --------------- 19,927,398 --------------- BUILDING PRODUCTS -- 2.5% 23,914 A.O. Smith Corp. 1,513,039 7,259 Advanced Drainage Systems, Inc. 860,917 6,678 Allegion PLC 705,865 8,722 Armstrong World Industries, Inc. 779,311 48,700 Builders FirstSource, Inc. (a) 3,311,600 13,700 Carlisle Cos., Inc. 4,056,570 10,918 Fortune Brands Home & Security, Inc. 760,766 3,165 Lennox International, Inc. 758,112 43,991 Owens Corning 4,079,725 19,495 Simpson Manufacturing Co., Inc. 2,013,444 12,014 Trex Co., Inc. (a) 775,143 47,975 UFP Industries, Inc. 4,423,775 --------------- 24,038,267 --------------- CAPITAL MARKETS -- 3.0% 11,215 Affiliated Managers Group, Inc. 1,417,352 22,997 Ares Management Corp., Class A 1,647,735 17,329 Cboe Global Markets, Inc. 2,138,052 10,282 Cohen & Steers, Inc. 757,681 34,920 Evercore, Inc., Class A 3,490,952 33,133 Houlihan Lokey, Inc. 2,801,727 202,665 Invesco Ltd. 3,595,277 118,356 Jefferies Financial Group, Inc. 3,854,855 80,691 Lazard Ltd., Class A 3,039,630 5,407 Morningstar, Inc. 1,380,677 48,411 SEI Investments Co. 2,680,033 46,683 Stifel Financial Corp. 2,792,110 --------------- 29,596,081 --------------- Page 36 See Notes to Financial Statements FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) CHEMICALS -- 3.2% 19,034 Ashland Global Holdings, Inc. $ 1,912,346 48,937 Avient Corp. 2,111,632 59,141 Axalta Coating Systems Ltd. (a) 1,491,536 15,118 Balchem Corp. 2,052,420 81,674 Chemours (The) Co. 2,906,778 73,461 Element Solutions, Inc. 1,451,589 32,576 H.B. Fuller Co. 2,091,379 115,309 Huntsman Corp. 3,339,349 70,635 Olin Corp. 3,692,091 24,916 RPM International, Inc. 2,252,406 24,831 Scotts Miracle-Gro (The) Co. 2,208,717 90,712 Valvoline, Inc. 2,922,741 33,350 Westlake Corp. 3,246,289 --------------- 31,679,273 --------------- COMMERCIAL SERVICES & SUPPLIES -- 1.2% 26,986 Casella Waste Systems, Inc., Class A (a) 2,184,517 22,373 Clean Harbors, Inc. (a) 2,183,381 94,961 Driven Brands Holdings, Inc. (a) 2,884,915 39,902 IAA, Inc. (a) 1,505,502 14,910 Stericycle, Inc. (a) 698,832 14,364 Tetra Tech, Inc. 2,201,570 --------------- 11,658,717 --------------- COMMUNICATIONS EQUIPMENT -- 0.4% 14,307 Ciena Corp. (a) 738,241 45,881 Juniper Networks, Inc. 1,286,045 16,465 Lumentum Holdings, Inc. (a) 1,489,424 --------------- 3,513,710 --------------- CONSTRUCTION & ENGINEERING -- 1.3% 87,348 API Group Corp. (a) 1,546,933 19,050 EMCOR Group, Inc. 2,216,849 27,371 MasTec, Inc. (a) 2,160,393 96,895 MDU Resources Group, Inc. 2,768,290 5,821 Valmont Industries, Inc. 1,580,285 60,500 WillScot Mobile Mini Holdings Corp. (a) 2,335,905 --------------- 12,608,655 --------------- CONSTRUCTION MATERIALS -- 0.2% 11,893 Eagle Materials, Inc. 1,503,870 --------------- CONSUMER FINANCE -- 0.8% 4,143 Credit Acceptance Corp. (a) (b) 2,385,995 87,453 OneMain Holdings, Inc. 3,253,252 123,049 SLM Corp. 1,919,564 --------------- 7,558,811 --------------- CONTAINERS & PACKAGING -- 1.4% 12,669 AptarGroup, Inc. 1,365,212 47,862 Berry Global Group, Inc. (a) 2,759,244 63,785 Graphic Packaging Holding Co. 1,419,216 45,308 Sealed Air Corp. 2,769,225 47,434 Silgan Holdings, Inc. 2,110,813 SHARES DESCRIPTION VALUE ------------------------------------------------------------- CONTAINERS & PACKAGING (CONTINUED) 82,053 Westrock Co. $ 3,475,765 --------------- 13,899,475 --------------- DIVERSIFIED CONSUMER SERVICES -- 1.1% 318,926 ADT, Inc. 2,328,160 34,814 Chegg, Inc. (a) 741,538 92,554 H&R Block, Inc. 3,698,458 47,295 Service Corp. International 3,521,586 --------------- 10,289,742 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.6% 100,315 Equitable Holdings, Inc. 2,851,955 43,931 Voya Financial, Inc. 2,642,889 --------------- 5,494,844 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.9% 138,871 Frontier Communications Parent, Inc. (a) 3,598,148 52,221 Iridium Communications, Inc. (a) 2,334,801 299,634 Lumen Technologies, Inc. 3,263,014 --------------- 9,195,963 --------------- ELECTRIC UTILITIES -- 1.6% 47,956 Hawaiian Electric Industries, Inc. 2,028,539 12,345 IDACORP, Inc. 1,379,183 85,643 NRG Energy, Inc. 3,233,023 84,777 OGE Energy Corp. 3,482,639 35,766 Pinnacle West Capital Corp. 2,627,728 54,111 Portland General Electric Co. 2,778,059 --------------- 15,529,171 --------------- ELECTRICAL EQUIPMENT -- 1.1% 4,245 Acuity Brands, Inc. 774,288 39,381 Atkore, Inc. (a) 3,909,352 7,322 Hubbell, Inc. 1,603,665 17,278 Regal Rexnord Corp. 2,320,435 55,976 Sunrun, Inc. (a) 1,829,855 --------------- 10,437,595 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.5% 29,164 Arrow Electronics, Inc. (a) 3,737,950 76,236 Avnet, Inc. 3,649,417 38,497 II-VI, Inc. (a) 2,026,482 27,783 IPG Photonics Corp. (a) 2,961,112 51,068 Jabil, Inc. 3,030,375 10,294 Littelfuse, Inc. 2,870,688 20,935 National Instruments Corp. 795,530 28,707 TD SYNNEX Corp. 2,882,757 113,754 Vontier Corp. 2,934,853 --------------- 24,889,164 --------------- ENERGY EQUIPMENT & SERVICES -- 0.4% 131,749 ChampionX Corp. 2,752,237 38,664 NOV, Inc. 719,537 --------------- 3,471,774 --------------- See Notes to Financial Statements Page 37 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) EQUITY REAL ESTATE INVESTMENT TRUSTS -- 4.3% 36,257 Agree Realty Corp. $ 2,885,695 18,448 American Homes 4 Rent, Class A 698,810 32,350 Brixmor Property Group, Inc. 749,873 15,304 CubeSmart 701,994 58,428 Douglas Emmett, Inc. 1,381,238 6,829 Federal Realty Investment Trust 721,211 42,770 Gaming and Leisure Properties, Inc. 2,223,612 48,073 Healthcare Realty Trust, Inc. 1,261,916 125,089 Host Hotels & Resorts, Inc. 2,227,835 53,712 Iron Mountain, Inc. 2,604,495 7,432 Lamar Advertising Co., Class A 751,078 5,855 Life Storage, Inc. 737,086 30,409 National Retail Properties, Inc. 1,447,773 13,058 National Storage Affiliates Trust 716,101 92,771 Omega Healthcare Investors, Inc. 2,875,901 48,180 Park Hotels & Resorts, Inc. 751,126 74,935 Physicians Realty Trust 1,331,595 69,963 Rayonier, Inc. 2,641,103 11,023 Regency Centers Corp. 710,212 11,352 Rexford Industrial Realty, Inc. 742,534 34,397 Ryman Hospitality Properties, Inc. (a) 3,045,510 70,835 SL Green Realty Corp. (b) 3,516,958 69,222 Spirit Realty Capital, Inc. 3,069,303 75,207 STORE Capital Corp. 2,182,507 68,604 Vornado Realty Trust 2,084,876 --------------- 42,060,342 --------------- FOOD & STAPLES RETAILING -- 1.1% 97,874 Albertsons Cos., Inc., Class A 2,627,917 52,455 BJ's Wholesale Club Holdings, Inc. (a) 3,551,204 10,603 Casey's General Stores, Inc. 2,148,698 14,219 Performance Food Group Co. (a) 706,826 42,620 US Foods Holding Corp. (a) 1,342,530 --------------- 10,377,175 --------------- FOOD PRODUCTS -- 1.6% 27,213 Campbell Soup Co. 1,342,961 43,733 Darling Ingredients, Inc. (a) 3,029,822 49,681 Flowers Foods, Inc. 1,411,437 29,664 Ingredion, Inc. 2,698,831 41,870 Pilgrim's Pride Corp. (a) 1,313,462 31,757 Post Holdings, Inc. (a) 2,760,954 842 Seaboard Corp. 3,419,059 --------------- 15,976,526 --------------- GAS UTILITIES -- 1.2% 49,493 National Fuel Gas Co. 3,580,324 14,683 New Jersey Resources Corp. 678,208 24,159 ONE Gas, Inc. 2,052,065 22,524 Southwest Gas Holdings, Inc. 1,958,687 84,667 UGI Corp. 3,654,228 --------------- 11,923,512 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.7% 54,895 DENTSPLY SIRONA, Inc. $ 1,985,003 47,549 Enovis Corp. (a) 2,839,626 50,893 Envista Holdings Corp. (a) 2,068,801 11,646 Globus Medical, Inc., Class A (a) 683,504 3,977 ICU Medical, Inc. (a) 704,605 7,158 Inspire Medical Systems, Inc. (a) 1,495,951 24,202 Integra LifeSciences Holdings Corp. (a) 1,332,078 5,748 Omnicell, Inc. (a) 632,970 20,183 QuidelOrtho Corp. (a) 2,059,473 13,680 Shockwave Medical, Inc. (a) 2,885,522 --------------- 16,687,533 --------------- HEALTH CARE PROVIDERS & SERVICES -- 2.9% 19,335 Acadia Healthcare Co., Inc. (a) 1,603,065 59,899 agilon health, Inc. (a) 1,499,272 12,439 Amedisys, Inc. (a) 1,490,814 29,797 AMN Healthcare Services, Inc. (a) 3,350,375 4,178 Chemed Corp. 2,009,994 16,352 DaVita, Inc. (a) 1,376,184 34,994 Encompass Health Corp. 1,771,396 17,797 Ensign Group (The), Inc. 1,418,243 25,559 Henry Schein, Inc. (a) 2,014,816 117,632 Option Care Health, Inc. (a) 3,952,435 36,648 Premier, Inc., Class A 1,409,482 62,385 R1 RCM, Inc. (a) 1,559,625 12,439 Tenet Healthcare Corp. (a) 822,467 32,460 Universal Health Services, Inc., Class B 3,650,776 --------------- 27,928,944 --------------- HEALTH CARE TECHNOLOGY -- 0.1% 60,932 Certara, Inc. (a) 1,400,827 --------------- HOTELS, RESTAURANTS & LEISURE -- 2.4% 21,346 Aramark 712,957 39,425 Boyd Gaming Corp. 2,188,482 11,713 Choice Hotels International, Inc. 1,415,750 13,654 Churchill Downs, Inc. 2,864,609 54,895 Hilton Grand Vacations, Inc. (a) 2,238,069 8,846 Hyatt Hotels Corp., Class A (a) 732,006 5,627 Marriott Vacations Worldwide Corp. 770,449 7,828 Papa John's International, Inc. 750,627 85,970 Penn National Gaming, Inc. (a) 2,970,263 19,226 Planet Fitness, Inc., Class A (a) 1,515,201 29,597 SeaWorld Entertainment, Inc. (a) 1,412,665 17,864 Texas Roadhouse, Inc. 1,558,098 16,841 Travel + Leisure Co. 726,016 2,998 Vail Resorts, Inc. 710,916 69,258 Wendy's (The) Co. 1,456,496 19,896 Wyndham Hotels & Resorts, Inc. 1,380,981 --------------- 23,403,585 --------------- Page 38 See Notes to Financial Statements FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) HOUSEHOLD DURABLES -- 3.2% 12,077 Helen of Troy Ltd. (a) $ 1,615,782 75,627 Leggett & Platt, Inc. 2,997,854 45,090 Meritage Homes Corp. (a) 3,981,447 26,344 Mohawk Industries, Inc. (a) 3,384,677 137,353 Newell Brands, Inc. 2,775,904 82,488 PulteGroup, Inc. 3,598,127 41,363 Skyline Champion Corp. (a) 2,618,278 30,595 Tempur Sealy International, Inc. 840,751 73,296 Toll Brothers, Inc. 3,604,697 11,734 TopBuild Corp. (a) 2,484,322 21,108 Whirlpool Corp. 3,648,940 --------------- 31,550,779 --------------- HOUSEHOLD PRODUCTS -- 0.1% 47,950 Reynolds Consumer Products, Inc. 1,393,427 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.7% 75,063 Clearway Energy, Inc., Class C 2,817,865 8,344 Ormat Technologies, Inc. 722,090 114,451 Vistra Corp. 2,958,558 --------------- 6,498,513 --------------- INSURANCE -- 4.2% 71,513 American Equity Investment Life Holding Co. 2,686,028 18,840 American Financial Group, Inc. 2,518,531 3,782 Assurant, Inc. 664,800 45,809 Axis Capital Holdings Ltd. 2,312,896 79,693 Brighthouse Financial, Inc. (a) 3,460,270 3,056 Enstar Group Ltd. (a) 604,844 3,402 Erie Indemnity Co., Class A 691,831 9,330 Everest Re Group Ltd. 2,438,396 61,773 First American Financial Corp. 3,582,834 20,123 Globe Life, Inc. 2,026,990 13,412 Hanover Insurance Group (The), Inc. 1,830,336 13,649 Kemper Corp. 638,773 14,235 Kinsale Capital Group, Inc. 3,462,094 55,916 Lincoln National Corp. 2,870,728 146,199 Old Republic International Corp. 3,402,051 10,925 Primerica, Inc. 1,405,938 11,149 Reinsurance Group of America, Inc. 1,290,831 4,181 RenaissanceRe Holdings Ltd. 540,645 5,607 RLI Corp. 616,658 15,040 Selective Insurance Group, Inc. 1,171,014 76,873 Unum Group 2,474,542 --------------- 40,691,030 --------------- INTERACTIVE MEDIA & SERVICES -- 0.4% 8,606 IAC/InterActiveCorp. (a) 589,511 43,861 Ziff Davis, Inc. (a) 3,591,777 --------------- 4,181,288 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- INTERNET & DIRECT MARKETING RETAIL -- 0.1% 18,831 Chewy, Inc., Class A (a) (b) $ 730,831 --------------- IT SERVICES -- 2.2% 14,460 Concentrix Corp. 1,934,170 107,852 DXC Technology Co. (a) 3,408,123 22,188 ExlService Holdings, Inc. (a) 3,735,794 30,869 Genpact Ltd. 1,484,181 18,798 GoDaddy, Inc., Class A (a) 1,394,436 10,895 Jack Henry & Associates, Inc. 2,263,654 267,403 Kyndryl Holdings, Inc. (a) 2,799,709 31,378 Maximus, Inc. 2,097,619 119,089 Western Union (The) Co. 2,026,895 --------------- 21,144,581 --------------- LEISURE PRODUCTS -- 1.3% 40,000 Brunswick Corp. 3,204,800 128,196 Callaway Golf Co. (a) 2,942,098 15,969 Hasbro, Inc. 1,257,080 117,116 Mattel, Inc. (a) 2,717,091 19,756 Polaris, Inc. 2,316,984 --------------- 12,438,053 --------------- LIFE SCIENCES TOOLS & SERVICES -- 0.9% 31,252 Bruker Corp. 2,142,325 23,013 Maravai LifeSciences Holdings, Inc., Class A (a) 600,409 13,104 Medpace Holdings, Inc. (a) 2,221,521 4,026 Repligen Corp. (a) 858,987 66,748 Sotera Health Co. (a) 1,281,562 27,363 Syneos Health, Inc. (a) 2,165,508 --------------- 9,270,312 --------------- MACHINERY -- 3.4% 33,121 AGCO Corp. 3,607,539 51,012 Allison Transmission Holdings, Inc. 2,135,872 22,400 Crane Holdings Co. 2,216,032 27,162 Donaldson Co., Inc. 1,477,884 20,111 Evoqua Water Technologies Corp. (a) 766,430 22,836 Flowserve Corp. 772,770 35,697 Franklin Electric Co., Inc. 3,242,002 11,005 Graco, Inc. 739,096 29,170 ITT, Inc. 2,188,625 5,921 John Bean Technologies Corp. 664,988 5,300 Lincoln Electric Holdings, Inc. 749,632 5,215 Middleby (The) Corp. (a) 754,558 6,459 Nordson Corp. 1,491,964 31,838 Oshkosh Corp. 2,741,252 3,535 RBC Bearings, Inc. (a) 834,260 13,273 Snap-on, Inc. 2,973,816 49,297 Timken (The) Co. 3,223,038 17,253 Toro (The) Co. 1,483,586 10,645 Watts Water Technologies, Inc., Class A 1,470,394 --------------- 33,533,738 --------------- See Notes to Financial Statements Page 39 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) MARINE -- 0.5% 10,746 Kirby Corp. (a) $ 681,726 44,854 Matson, Inc. 4,111,766 --------------- 4,793,492 --------------- MEDIA -- 1.2% 1,014 Cable One, Inc. 1,395,953 182,321 DISH Network Corp., Class A (a) 3,166,916 46,868 New York Times (The) Co., Class A 1,497,432 167,856 News Corp., Class A 2,877,052 16,056 Nexstar Media Group, Inc., Class A 3,024,469 --------------- 11,961,822 --------------- METALS & MINING -- 2.3% 57,376 Alcoa Corp. 2,919,865 127,613 Cleveland-Cliffs, Inc. (a) 2,260,026 98,761 Commercial Metals Co. 3,912,911 20,380 MP Materials Corp. (a) 684,156 19,245 Reliance Steel & Aluminum Co. 3,661,361 6,123 Royal Gold, Inc. 641,507 49,418 Steel Dynamics, Inc. 3,848,674 182,524 United States Steel Corp. 4,316,693 --------------- 22,245,193 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 1.4% 59,060 AGNC Investment Corp. 744,747 553,131 Annaly Capital Management, Inc. 3,805,541 94,514 Blackstone Mortgage Trust, Inc., Class A 2,927,099 350,751 New Residential Investment Corp. 3,826,693 93,892 Starwood Property Trust, Inc. 2,217,729 --------------- 13,521,809 --------------- MULTILINE RETAIL -- 0.9% 14,821 Dillard's, Inc., Class A (b) 3,369,555 91,594 Kohl's Corp. 2,669,049 178,439 Macy's, Inc. 3,149,448 --------------- 9,188,052 --------------- MULTI-UTILITIES -- 0.4% 26,954 Black Hills Corp. 2,080,849 66,511 NiSource, Inc. 2,021,934 --------------- 4,102,783 --------------- OIL, GAS & CONSUMABLE FUELS -- 6.1% 144,487 Antero Midstream Corp. 1,453,539 106,656 Antero Resources Corp. (a) 4,227,844 93,667 APA Corp. 3,481,602 16,123 Chesapeake Energy Corp. 1,518,303 62,517 Civitas Resources, Inc. 3,686,002 53,350 DT Midstream, Inc. 2,935,851 11,426 Enviva, Inc. 795,592 95,029 EQT Corp. 4,184,127 SHARES DESCRIPTION VALUE ------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS (CONTINUED) 57,909 HF Sinclair Corp. $ 2,769,208 155,741 Magnolia Oil & Gas Corp., Class A 3,758,030 70,166 Matador Resources Co. 4,054,192 108,281 Murphy Oil Corp. 3,804,994 73,976 Ovintiv, Inc. 3,779,434 53,059 PDC Energy, Inc. 3,485,446 132,081 Range Resources Corp. (a) 4,367,919 95,613 SM Energy Co. 3,946,905 54,785 Targa Resources Corp. 3,786,191 1,757 Texas Pacific Land Corp. 3,222,075 --------------- 59,257,254 --------------- PAPER & FOREST PRODUCTS -- 0.3% 49,899 Louisiana-Pacific Corp. 3,175,073 --------------- PERSONAL PRODUCTS -- 0.2% 244,869 Coty, Inc., Class A (a) 1,792,441 --------------- PHARMACEUTICALS -- 0.6% 33,306 Elanco Animal Health, Inc. (a) 674,780 57,270 Intra-Cellular Therapies, Inc. (a) 3,099,452 58,116 Organon & Co. 1,843,440 16,115 Perrigo Co. PLC 674,735 --------------- 6,292,407 --------------- PROFESSIONAL SERVICES -- 1.9% 193,719 Alight, Inc., Class A (a) 1,460,641 28,978 ASGN, Inc. (a) 3,006,757 7,236 Booz Allen Hamilton Holding Corp. 694,511 6,960 CACI International, Inc., Class A (a) 2,103,939 43,500 Dun & Bradstreet Holdings, Inc. (a) 685,560 14,295 Exponent, Inc. 1,436,505 3,615 FTI Consulting, Inc. (a) 591,269 12,984 Leidos Holdings, Inc. 1,389,288 34,226 ManpowerGroup, Inc. 2,683,661 17,460 Robert Half International, Inc. 1,381,784 14,045 Science Applications International Corp. 1,360,539 16,846 TriNet Group, Inc. (a) 1,389,795 --------------- 18,184,249 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.7% 55,548 eXp World Holdings, Inc. (b) 825,443 28,823 Howard Hughes (The) Corp. (a) 2,043,262 18,695 Jones Lang LaSalle, Inc. (a) 3,564,576 --------------- 6,433,281 --------------- ROAD & RAIL -- 2.5% 2,734 AMERCO 1,468,377 17,781 Avis Budget Group, Inc. (a) 3,236,676 165,101 Hertz Global Holdings, Inc. (a) (b) 3,536,463 70,620 Knight-Swift Transportation Holdings, Inc. 3,880,569 22,480 Landstar System, Inc. 3,519,918 Page 40 See Notes to Financial Statements FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) ROAD & RAIL (CONTINUED) 46,004 Ryder System, Inc. $ 3,603,033 6,955 Saia, Inc. (a) 1,654,247 54,302 XPO Logistics, Inc. (a) 3,244,002 --------------- 24,143,285 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.9% 192,862 Amkor Technology, Inc. 3,890,027 36,052 Cirrus Logic, Inc. (a) 3,081,004 20,251 Diodes, Inc. (a) 1,647,824 28,789 First Solar, Inc. (a) 2,855,005 13,480 Lattice Semiconductor Corp. (a) 829,020 19,240 MaxLinear, Inc. (a) 777,488 18,750 Onto Innovation, Inc. (a) 1,560,937 17,432 Power Integrations, Inc. 1,481,894 11,893 Semtech Corp. (a) 741,291 4,663 Silicon Laboratories, Inc. (a) 687,699 4,011 SiTime Corp. (a) 745,966 --------------- 18,298,155 --------------- SOFTWARE -- 2.3% 75,759 ACI Worldwide, Inc. (a) 2,161,404 9,817 Blackline, Inc. (a) 620,631 104,026 Box, Inc., Class A (a) 2,958,500 18,273 Dolby Laboratories, Inc., Class A 1,414,330 28,840 DoubleVerify Holdings, Inc. (a) 661,301 62,296 Dropbox, Inc., Class A (a) 1,416,611 3,261 Fair Isaac Corp. (a) 1,506,680 5,705 Manhattan Associates, Inc. (a) 802,522 42,032 NCR Corp. (a) 1,363,939 7,497 Paylocity Holding Corp. (a) 1,543,857 18,444 PTC, Inc. (a) 2,275,621 15,549 Qualys, Inc. (a) 1,901,954 17,350 SPS Commerce, Inc. (a) 2,077,836 28,796 Tenable Holdings, Inc. (a) 1,112,965 17,666 Teradata Corp. (a) 676,431 --------------- 22,494,582 --------------- SPECIALTY RETAIL -- 3.8% 292,397 American Eagle Outfitters, Inc. 3,520,460 29,250 AutoNation, Inc. (a) 3,473,145 17,349 Dick's Sporting Goods, Inc. (b) 1,623,693 10,384 Floor & Decor Holdings, Inc., Class A (a) 836,639 129,465 Foot Locker, Inc. 3,672,922 21,385 GameStop Corp., Class A (a) (b) 727,304 238,034 Gap (The), Inc. 2,289,887 43,070 Leslie's, Inc. (a) 652,941 11,895 Lithia Motors, Inc. 3,155,505 14,038 Murphy USA, Inc. 3,991,846 31,226 Penske Automotive Group, Inc. 3,575,065 177,422 Petco Health & Wellness Co., Inc. (a) (b) 2,469,714 24,459 Signet Jewelers Ltd. (b) 1,491,021 93,501 Victoria's Secret & Co. (a) 3,455,797 11,786 Williams-Sonoma, Inc. 1,702,134 --------------- 36,638,073 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.2% 76,289 Pure Storage, Inc., Class A (a) $ 2,162,793 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 2.3% 37,106 Carter's, Inc. 3,023,397 36,536 Columbia Sportswear Co. 2,704,029 13,434 Crocs, Inc. (a) 962,412 5,121 Deckers Outdoor Corp. (a) 1,603,948 190,612 Hanesbrands, Inc. 2,131,042 57,451 PVH Corp. 3,557,366 29,171 Ralph Lauren Corp. 2,877,136 91,878 Skechers U.S.A., Inc., Class A (a) 3,487,689 64,266 Tapestry, Inc. 2,161,266 --------------- 22,508,285 --------------- THRIFTS & MORTGAGE FINANCE -- 1.5% 84,036 Essent Group Ltd. 3,509,343 259,445 MGIC Investment Corp. 3,668,552 286,440 New York Community Bancorp, Inc. 3,041,993 166,362 Radian Group, Inc. 3,721,518 6,787 Walker & Dunlop, Inc. 764,488 --------------- 14,705,894 --------------- TRADING COMPANIES & DISTRIBUTORS -- 2.2% 78,229 Air Lease Corp. 2,903,078 38,190 Beacon Roofing Supply, Inc. (a) 2,292,164 7,253 Herc Holdings, Inc. 899,517 34,818 MSC Industrial Direct Co., Inc., Class A 2,878,056 5,501 SiteOne Landscape Supply, Inc. (a) 766,455 62,090 Triton International Ltd. 3,978,727 131,444 Univar Solutions, Inc. (a) 3,554,246 5,475 Watsco, Inc. 1,499,876 24,418 WESCO International, Inc. (a) 3,121,597 --------------- 21,893,716 --------------- WATER UTILITIES -- 0.2% 42,778 Essential Utilities, Inc. 2,221,889 --------------- TOTAL COMMON STOCKS -- 99.8% 973,908,005 (Cost $912,640,578) --------------- MONEY MARKET FUNDS -- 1.1% 8,786,340 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 2.15% (c) (d) 8,786,340 1,743,032 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 1.75% (c) 1,743,032 --------------- TOTAL MONEY MARKET FUNDS -- 1.1% 10,529,372 (Cost $10,529,372) --------------- See Notes to Financial Statements Page 41 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.8% $ 7,740,031 BNP Paribas S.A., 2.16% (c), dated 07/29/22, due 08/01/22, with a maturity value of $7,741,424. Collateralized by U.S. Treasury Note, interest rate of 0.75%, due 01/31/28. The value of the collateral including accrued interest is $7,904,086. (d) $ 7,740,031 (Cost $7,740,031) --------------- TOTAL INVESTMENTS -- 101.7% 992,177,408 (Cost $930,909,981) NET OTHER ASSETS AND LIABILITIES -- (1.7)% (16,682,543) --------------- NET ASSETS -- 100.0% $ 975,494,865 =============== (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 $16,448,664 and the total value of the collateral held by the Fund is $16,526,371. (c) Rate shown reflects yield as of July 31, 2022. (d) This security serves as collateral for securities on loan. --------------------------------- OFFSETTING ASSETS AND LIABILITIES ------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 16,448,664 Non-cash Collateral(2) (16,448,664) --------------- 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 July 31, 2022, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 7,740,031 Non-cash Collateral(4) (7,740,031) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2022, the value of the collateral received from each seller exceeded the value of the repurchase agreements. ---------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 7/31/2022 PRICES INPUTS INPUTS ----------------------------------------------------------------------------- Common Stocks*.................................. $ 973,908,005 $ 973,908,005 $ -- $ -- Money Market Funds.............................. 10,529,372 10,529,372 -- -- Repurchase Agreements........................... 7,740,031 -- 7,740,031 -- ----------------------------------------------------------------------------- Total Investments............................... $ 992,177,408 $ 984,437,377 $ 7,740,031 $ -- ============================================================================= * See Portfolio of Investments for industry breakout. Page 42 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 0.8% 34,133 AAR Corp. (a) $ 1,519,942 34,297 Kratos Defense & Security Solutions, Inc. (a) 493,534 73,219 Maxar Technologies, Inc. 2,012,058 7,399 Mercury Systems, Inc. (a) 436,615 17,987 Moog, Inc., Class A 1,540,407 11,778 Parsons Corp. (a) 509,163 --------------- 6,511,719 --------------- AIR FREIGHT & LOGISTICS -- 1.3% 83,116 Air Transport Services Group, Inc. (a) 2,604,856 38,697 Atlas Air Worldwide Holdings, Inc. (a) 2,929,750 25,969 Forward Air Corp. 2,724,927 33,661 Hub Group, Inc., Class A (a) 2,571,700 --------------- 10,831,233 --------------- AIRLINES -- 0.8% 16,893 Allegiant Travel Co. (a) 1,947,932 112,373 SkyWest, Inc. (a) 2,713,808 104,164 Sun Country Airlines Holdings, Inc. (a) (b) 2,100,988 --------------- 6,762,728 --------------- AUTO COMPONENTS -- 1.6% 169,716 Dana, Inc. 2,844,440 21,766 Dorman Products, Inc. (a) 2,200,325 15,255 Gentherm, Inc. (a) 984,863 21,343 LCI Industries 2,883,226 46,063 Patrick Industries, Inc. 2,796,945 4,598 Visteon Corp. (a) 586,613 20,728 XPEL, Inc. (a) (c) 1,270,419 --------------- 13,566,831 --------------- AUTOMOBILES -- 0.4% 49,174 Winnebago Industries, Inc. 2,968,634 --------------- BANKS -- 10.8% 47,543 Ameris Bancorp 2,248,308 104,617 Associated Banc-Corp. 2,102,802 56,320 Atlantic Union Bankshares Corp. 1,948,109 4,975 BancFirst Corp. 534,265 24,389 Bancorp (The), Inc. (a) 599,969 12,798 Bank of Hawaii Corp. 1,025,248 53,707 BankUnited, Inc. 2,086,517 25,406 Banner Corp. 1,574,918 77,125 Berkshire Hills Bancorp, Inc. 2,172,611 36,479 Cathay General Bancorp 1,521,174 66,679 Columbia Banking System, Inc. 2,011,705 28,086 Customers Bancorp, Inc. (a) 1,072,604 38,374 CVB Financial Corp. 1,023,435 64,428 Dime Community Bancshares, Inc. 2,195,706 40,292 Eagle Bancorp, Inc. 1,975,517 34,411 Enterprise Financial Services Corp. 1,618,349 36,412 FB Financial Corp. 1,560,254 40,919 First Bancorp 1,550,012 SHARES DESCRIPTION VALUE ------------------------------------------------------------- BANKS (CONTINUED) 110,623 First BanCorp $ 1,669,301 62,499 First Busey Corp. 1,540,600 106,417 First Commonwealth Financial Corp. 1,577,100 98,472 First Financial Bancorp 2,199,865 93,278 First Foundation, Inc. 1,942,048 62,884 First Hawaiian, Inc. 1,602,913 24,984 First Interstate BancSystem, Inc., Class A 1,018,848 40,092 First Merchants Corp. 1,665,021 132,200 Fulton Financial Corp. 2,206,418 45,986 Heartland Financial USA, Inc. 2,064,771 71,654 Hilltop Holdings, Inc. 2,067,218 138,030 Hope Bancorp, Inc. 2,075,971 21,030 Independent Bank Group, Inc. 1,487,242 47,663 International Bancshares Corp. 2,090,499 14,334 Lakeland Financial Corp. 1,115,185 24,877 National Bank Holdings Corp., Class A 1,035,381 37,991 NBT Bancorp, Inc. 1,540,155 111,573 Northwest Bancshares, Inc. 1,604,420 94,011 OFG Bancorp 2,582,482 64,375 Old National Bancorp 1,120,769 65,333 Pacific Premier Bancorp, Inc. 2,197,802 7,852 Park National Corp. 1,017,305 49,401 Pathward Financial, Inc. 1,665,802 66,309 Renasant Corp. 2,214,721 48,896 Sandy Spring Bancorp, Inc. 2,019,405 28,816 Seacoast Banking Corp. of Florida 1,031,036 89,857 Simmons First National Corp., Class A 2,134,104 31,934 Stock Yards Bancorp, Inc. 2,208,236 36,291 Texas Capital Bancshares, Inc. (a) 2,127,378 70,362 TowneBank 2,101,713 48,923 Trustmark Corp. 1,588,530 31,536 United Community Banks, Inc. 1,073,170 16,269 Veritex Holdings, Inc. 503,363 63,635 Washington Federal, Inc. 2,171,863 60,245 WesBanco, Inc. 2,055,559 8,551 Westamerica BanCorp 513,146 --------------- 89,650,843 --------------- BEVERAGES -- 0.8% 29,273 Celsius Holdings, Inc. (a) 2,604,126 90,709 Duckhorn Portfolio (The), Inc. (a) 1,663,603 23,856 MGP Ingredients, Inc. 2,509,174 --------------- 6,776,903 --------------- BIOTECHNOLOGY -- 3.1% 177,868 Amicus Therapeutics, Inc. (a) 1,771,565 37,571 Arcus Biosciences, Inc. (a) 999,013 44,992 BioCryst Pharmaceuticals, Inc. (a) 495,812 52,429 Bridgebio Pharma, Inc. (a) 454,035 38,422 ChemoCentryx, Inc. (a) 907,528 36,350 Cytokinetics, Inc. (a) 1,538,696 See Notes to Financial Statements Page 43 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) BIOTECHNOLOGY (CONTINUED) 189,667 Dynavax Technologies Corp. (a) $ 2,727,411 76,927 Emergent BioSolutions, Inc. (a) 2,664,751 101,500 EQRx, Inc. (a) (b) 553,175 59,791 Global Blood Therapeutics, Inc. (a) 1,956,362 123,861 Ironwood Pharmaceuticals, Inc. (a) 1,418,208 10,673 Ligand Pharmaceuticals, Inc. (a) 982,236 146,024 Lyell Immunopharma, Inc. (a) (b) 813,354 26,198 Myriad Genetics, Inc. (a) 691,103 33,726 Prometheus Biosciences, Inc. (a) 1,439,088 17,536 Prothena Corp. PLC (a) 544,668 59,609 PTC Therapeutics, Inc. (a) 2,595,972 58,483 Recursion Pharmaceuticals, Inc., Class A (a) 494,766 58,939 Travere Therapeutics, Inc. (a) 1,387,424 52,179 Xencor, Inc. (a) 1,497,016 --------------- 25,932,183 --------------- BUILDING PRODUCTS -- 1.7% 26,080 AAON, Inc. 1,569,234 18,540 CSW Industrials, Inc. 2,214,974 49,297 Gibraltar Industries, Inc. (a) 2,306,607 211,555 Janus International Group, Inc. (a) 2,151,514 130,934 JELD-WEN Holding, Inc. (a) 2,328,006 122,963 Resideo Technologies, Inc. (a) 2,767,897 17,476 Zurn Elkay Water Solutions Corp. 505,930 --------------- 13,844,162 --------------- CAPITAL MARKETS -- 2.1% 26,765 Artisan Partners Asset Management, Inc., Class A 1,064,176 50,723 AssetMark Financial Holdings, Inc. (a) 963,230 423,773 BGC Partners, Inc., Class A 1,546,771 79,294 Brightsphere Investment Group, Inc. 1,499,450 44,924 Federated Hermes, Inc. 1,532,358 13,977 Focus Financial Partners, Inc., Class A (a) 565,090 73,462 Golub Capital BDC, Inc. (b) 1,031,406 7,087 Hamilton Lane, Inc., Class A 535,565 24,197 Moelis & Co., Class A 1,127,096 12,599 Piper Sandler Cos. 1,589,994 33,978 PJT Partners, Inc., Class A 2,428,747 18,289 StepStone Group, Inc., Class A 487,219 39,504 Victory Capital Holdings, Inc., Class A 1,093,076 40,667 Virtu Financial, Inc., Class A 948,761 5,569 Virtus Investment Partners, Inc. 1,148,996 --------------- 17,561,935 --------------- CHEMICALS -- 1.8% 7,463 Cabot Corp. 554,202 72,127 Diversey Holdings Ltd. (a) 540,231 SHARES DESCRIPTION VALUE ------------------------------------------------------------- CHEMICALS (CONTINUED) 144,985 Ecovyst, Inc. $ 1,483,197 15,079 Ingevity Corp. (a) 1,011,801 9,938 Innospec, Inc. 1,013,676 20,980 Livent Corp. (a) 522,192 38,928 Minerals Technologies, Inc. 2,600,780 3,164 NewMarket Corp. 983,371 6,372 Quaker Chemical Corp. 1,033,602 17,729 Sensient Technologies Corp. 1,524,340 14,091 Stepan Co. 1,581,151 62,088 Trinseo PLC 2,220,888 --------------- 15,069,431 --------------- COMMERCIAL SERVICES & SUPPLIES -- 1.5% 32,890 ABM Industries, Inc. 1,474,788 30,232 Brady Corp., Class A 1,446,601 159,195 BrightView Holdings, Inc. (a) 2,091,822 31,465 Brink's (The) Co. 1,791,617 12,239 Cimpress PLC (a) 491,885 27,445 HNI Corp. 969,357 96,692 KAR Auction Services, Inc. (a) 1,653,433 36,242 MillerKnoll, Inc. 1,091,247 8,296 UniFirst Corp. 1,625,104 --------------- 12,635,854 --------------- COMMUNICATIONS EQUIPMENT -- 0.5% 13,945 Calix, Inc. (a) 795,423 77,783 CommScope Holding Co., Inc. (a) 702,381 53,368 Extreme Networks, Inc. (a) 698,053 28,123 NetScout Systems, Inc. (a) 1,000,616 15,543 Viasat, Inc. (a) 511,831 --------------- 3,708,304 --------------- CONSTRUCTION & ENGINEERING -- 1.8% 10,450 Ameresco, Inc., Class A (a) 597,949 41,144 Arcosa, Inc. 2,121,385 28,717 Comfort Systems USA, Inc. 3,034,238 5,117 Dycom Industries, Inc. (a) 527,870 65,559 Granite Construction, Inc. 1,960,214 21,675 MYR Group, Inc. (a) 2,064,110 16,365 NV5 Global, Inc. (a) 2,219,094 109,739 Primoris Services Corp. 2,563,503 --------------- 15,088,363 --------------- CONSUMER FINANCE -- 2.7% 64,433 Bread Financial Holdings, Inc. 2,552,191 41,334 Encore Capital Group, Inc. (a) 2,993,821 49,552 Enova International, Inc. (a) 1,710,039 20,545 FirstCash Holdings, Inc. 1,505,127 56,875 Green Dot Corp., Class A (a) 1,598,187 81,441 LendingClub Corp. (a) 1,127,958 43,596 LendingTree, Inc. (a) 1,987,106 170,687 Navient Corp. 2,811,215 28,011 Nelnet, Inc., Class A 2,663,566 26,183 PRA Group, Inc. (a) 1,043,131 144,723 PROG Holdings, Inc. (a) 2,665,798 --------------- 22,658,139 --------------- Page 44 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) CONTAINERS & PACKAGING -- 0.9% 30,625 Greif, Inc., Class A $ 2,162,737 136,453 O-I Glass, Inc. (a) 2,007,224 191,799 Pactiv Evergreen, Inc. 1,960,186 51,576 TriMas Corp. 1,526,650 --------------- 7,656,797 --------------- DIVERSIFIED CONSUMER SERVICES -- 1.0% 13,232 Adtalem Global Education, Inc. (a) 530,603 39,537 Frontdoor, Inc. (a) 1,058,406 4,217 Graham Holdings Co., Class B 2,506,964 10,107 Grand Canyon Education, Inc. (a) 970,979 27,066 Strategic Education, Inc. 1,944,151 35,010 Stride, Inc. (a) 1,564,247 --------------- 8,575,350 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.6% 24,612 Cannae Holdings, Inc. (a) 519,559 66,672 Compass Diversified Holdings 1,608,796 89,269 Jackson Financial, Inc., Class A 2,455,790 --------------- 4,584,145 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.5% 25,294 Bandwidth, Inc., Class A (a) 420,639 15,669 Cogent Communications Holdings, Inc. 999,839 387,021 Globalstar, Inc. (a) 541,829 245,229 Liberty Latin America Ltd., Class C (a) 1,799,981 --------------- 3,762,288 --------------- ELECTRIC UTILITIES -- 0.8% 32,499 ALLETE, Inc. 2,017,213 24,546 MGE Energy, Inc. 1,997,553 35,573 Otter Tail Corp. 2,499,715 --------------- 6,514,481 --------------- ELECTRICAL EQUIPMENT -- 1.2% 129,710 Array Technologies, Inc. (a) 2,185,614 28,852 Bloom Energy Corp., Class A (a) 583,676 22,979 Encore Wire Corp. 3,181,902 24,220 EnerSys 1,596,340 270,202 GrafTech International Ltd. 2,080,555 28,887 Shoals Technologies Group, Inc., Class A (a) 682,600 --------------- 10,310,687 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.7% 13,044 Advanced Energy Industries, Inc. 1,167,307 11,770 Badger Meter, Inc. 1,132,156 44,826 Belden, Inc. 2,901,139 16,554 Insight Enterprises, Inc. (a) 1,546,309 137,791 Knowles Corp. (a) 2,721,372 SHARES DESCRIPTION VALUE ------------------------------------------------------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS (CONTINUED) 51,575 Methode Electronics, Inc. $ 2,126,953 16,716 OSI Systems, Inc. (a) 1,615,936 12,128 Plexus Corp. (a) 1,139,426 58,629 Sanmina Corp. (a) 2,699,865 191,032 TTM Technologies, Inc. (a) 2,584,663 134,001 Vishay Intertechnology, Inc. 2,768,461 --------------- 22,403,587 --------------- ENERGY EQUIPMENT & SERVICES -- 1.8% 47,438 Cactus, Inc., Class A 1,972,947 41,322 Expro Group Holdings N.V. (a) 503,302 11,057 Helmerich & Payne, Inc. 511,939 37,309 Liberty Energy, Inc. (a) 529,788 94,197 Noble Corp. (a) 2,825,910 151,517 Patterson-UTI Energy, Inc. 2,507,606 571,819 Transocean Ltd. (a) 1,932,748 56,533 Valaris Ltd. (a) 2,836,826 67,460 Weatherford International PLC (a) 1,560,350 --------------- 15,181,416 --------------- ENTERTAINMENT -- 0.6% 9,047 Madison Square Garden Entertainment Corp. (a) 526,807 12,650 Madison Square Garden Sports Corp. (a) 1,945,317 38,213 World Wrestling Entertainment, Inc., Class A 2,648,543 --------------- 5,120,667 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 6.5% 91,431 Acadia Realty Trust 1,566,213 53,039 Alexander & Baldwin, Inc. 1,056,006 32,055 American Assets Trust, Inc. 969,023 97,348 Apple Hospitality REIT, Inc. 1,623,765 148,144 Brandywine Realty Trust 1,385,146 93,142 Broadstone Net Lease, Inc. 2,111,529 51,632 CareTrust REIT, Inc. 1,066,201 5,837 Centerspace 501,340 54,530 Corporate Office Properties Trust 1,535,019 115,964 DiamondRock Hospitality Co. (a) 1,076,146 50,004 Easterly Government Properties, Inc. 1,013,581 271,742 Empire State Realty Trust, Inc., Class A 2,317,959 30,432 EPR Properties 1,637,546 17,293 Equity Commonwealth (a) 485,069 22,152 Essential Properties Realty Trust, Inc. 534,306 35,804 Four Corners Property Trust, Inc. 1,046,551 100,854 Global Net Lease, Inc. 1,521,887 128,728 Hudson Pacific Properties, Inc. 1,936,069 22,964 Independence Realty Trust, Inc. 509,801 See Notes to Financial Statements Page 45 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 169,597 Industrial Logistics Properties Trust $ 1,701,058 55,373 InvenTrust Properties Corp. (b) 1,587,544 174,172 iStar, Inc. 2,910,414 40,276 JBG SMITH Properties 1,024,621 24,798 LTC Properties, Inc. 1,039,036 219,326 Macerich (The) Co. 2,327,049 15,709 National Health Investors, Inc. 1,018,572 7,766 NexPoint Residential Trust, Inc. 516,750 56,168 Outfront Media, Inc. 1,036,861 264,223 Paramount Group, Inc. 2,074,151 57,458 Pebblebrook Hotel Trust 1,123,878 145,604 Piedmont Office Realty Trust, Inc., Class A 2,003,511 21,545 PotlatchDeltic Corp. 1,056,351 30,167 Retail Opportunity Investments Corp. 526,716 43,159 RLJ Lodging Trust 539,056 68,150 Sabra Health Care REIT, Inc. 1,048,828 91,022 Service Properties Trust 595,284 70,680 SITE Centers Corp. 1,032,635 192,572 Sunstone Hotel Investors, Inc. (a) 2,181,841 33,476 Tanger Factory Outlet Centers, Inc. 544,655 50,534 Uniti Group, Inc. 503,824 62,597 Urban Edge Properties 1,028,469 35,956 Veris Residential, Inc. (a) 501,586 67,015 Washington Real Estate Investment Trust 1,485,723 32,763 Xenia Hotels & Resorts, Inc. (a) 537,968 --------------- 53,839,538 --------------- FOOD & STAPLES RETAILING -- 1.0% 11,167 Grocery Outlet Holding Corp. (a) 477,054 13,291 PriceSmart, Inc. 882,257 75,447 Sprouts Farmers Market, Inc. (a) 2,085,355 60,608 United Natural Foods, Inc. (a) 2,576,446 25,627 Weis Markets, Inc. 1,971,485 --------------- 7,992,597 --------------- FOOD PRODUCTS -- 1.0% 40,038 B&G Foods, Inc. (b) 989,339 9,635 Cal-Maine Foods, Inc. 492,445 60,156 Hain Celestial Group (The), Inc. (a) 1,368,549 112,586 Hostess Brands, Inc. (a) 2,546,695 3,410 J & J Snack Foods Corp. 462,089 50,578 Simply Good Foods (The) Co. (a) 1,649,854 22,766 TreeHouse Foods, Inc. (a) 988,500 --------------- 8,497,471 --------------- GAS UTILITIES -- 0.6% 14,747 Chesapeake Utilities Corp. 2,022,256 26,895 Northwest Natural Holding Co. 1,443,455 SHARES DESCRIPTION VALUE ------------------------------------------------------------- GAS UTILITIES (CONTINUED) 19,203 Spire, Inc. $ 1,444,834 --------------- 4,910,545 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.5% 34,822 Avanos Medical, Inc. (a) 987,900 33,710 Axonics, Inc. (a) 2,186,768 15,368 CryoPort, Inc. (a) 571,690 7,304 Haemonetics Corp. (a) 507,555 7,000 Inari Medical, Inc. (a) 543,060 13,473 Integer Holdings Corp. (a) 941,628 13,262 iRhythm Technologies, Inc. (a) 2,050,703 36,160 Lantheus Holdings, Inc. (a) 2,774,195 17,540 Merit Medical Systems, Inc. (a) 1,008,199 2,334 Mesa Laboratories, Inc. 497,726 6,712 STAAR Surgical Co. (a) 541,658 --------------- 12,611,082 --------------- HEALTH CARE PROVIDERS & SERVICES -- 2.2% 132,369 AdaptHealth Corp. (a) 2,926,679 69,631 Agiliti, Inc. (a) 1,524,223 125,569 Alignment Healthcare, Inc. (a) 1,843,353 12,336 Apollo Medical Holdings, Inc. (a) (b) 654,178 9,699 CorVel Corp. (a) 1,599,268 43,792 Fulgent Genetics, Inc. (a) 2,616,572 188,157 OPKO Health, Inc. (a) 444,050 45,408 Owens & Minor, Inc. 1,607,897 47,134 Patterson Cos., Inc. 1,463,982 45,316 Pediatrix Medical Group, Inc. (a) 1,026,860 27,547 RadNet, Inc. (a) 566,642 60,464 Select Medical Holdings Corp. 1,790,944 --------------- 18,064,648 --------------- HEALTH CARE TECHNOLOGY -- 0.9% 161,018 Allscripts Healthcare Solutions, Inc. (a) 2,547,305 13,670 Doximity, Inc., Class A (a) 578,514 62,207 Evolent Health, Inc., Class A (a) 2,114,416 260,131 Multiplan Corp. (a) 1,316,263 19,035 Phreesia, Inc. (a) 447,132 18,025 Schrodinger, Inc. (a) 564,183 --------------- 7,567,813 --------------- HOTELS, RESTAURANTS & LEISURE -- 1.7% 96,578 Bally's Corp. (a) (b) 2,121,819 85,929 Bloomin' Brands, Inc. 1,752,092 43,221 Brinker International, Inc. (a) 1,199,383 36,036 Cheesecake Factory (The), Inc. 1,053,332 17,106 Cracker Barrel Old Country Store, Inc. 1,626,267 43,567 Dave & Buster's Entertainment, Inc. (a) 1,627,663 87,560 Everi Holdings, Inc. (a) 1,682,028 8,493 Jack in the Box, Inc. 587,206 36,958 Life Time Group Holdings, Inc. (a) 535,891 Page 46 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE (CONTINUED) 28,538 Red Rock Resorts, Inc., Class A $ 1,122,400 21,937 Six Flags Entertainment Corp. (a) 497,312 --------------- 13,805,393 --------------- HOUSEHOLD DURABLES -- 3.2% 7,288 Cavco Industries, Inc. (a) 1,878,773 53,100 Century Communities, Inc. 2,717,127 17,172 Installed Building Products, Inc. 1,741,584 12,954 iRobot Corp. (a) 596,014 83,904 KB Home 2,738,627 100,713 La-Z-Boy, Inc. 2,806,871 27,480 LGI Homes, Inc. (a) 3,099,744 73,907 M.D.C. Holdings, Inc. 2,679,129 60,210 M/I Homes, Inc. (a) 2,770,262 102,221 Taylor Morrison Home Corp. (a) 2,933,743 141,548 Tri Pointe Homes, Inc. (a) 2,621,469 --------------- 26,583,343 --------------- HOUSEHOLD PRODUCTS -- 0.7% 47,745 Central Garden & Pet Co., Class A (a) 1,947,996 33,585 Energizer Holdings, Inc. 991,765 17,411 Spectrum Brands Holdings, Inc. 1,210,761 7,093 WD-40 Co. 1,258,085 --------------- 5,408,607 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.1% 25,828 Sunnova Energy International, Inc. (a) 672,045 --------------- INSURANCE -- 2.1% 25,828 Argo Group International Holdings Ltd. 846,900 42,803 Assured Guaranty Ltd. 2,499,267 784,679 Bright Health Group, Inc. (a) (b) 1,318,261 59,134 BRP Group, Inc., Class A (a) 1,630,325 132,003 CNO Financial Group, Inc. 2,475,056 676,464 Genworth Financial, Inc., Class A (a) 2,874,972 37,209 Horace Mann Educators Corp. 1,274,408 10,745 Mercury General Corp. 450,538 175,661 SiriusPoint Ltd. (a) 769,395 47,998 Stewart Information Services Corp. 2,623,091 382 White Mountains Insurance Group Ltd. 473,462 --------------- 17,235,675 --------------- INTERACTIVE MEDIA & SERVICES -- 0.3% 44,303 Cargurus, Inc. (a) 1,076,120 34,284 Yelp, Inc. (a) 1,051,147 32,121 ZipRecruiter, Inc., Class A (a) 563,081 --------------- 2,690,348 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- INTERNET & DIRECT MARKETING RETAIL -- 0.6% 76,382 Overstock.com, Inc. (a) $ 2,215,078 832,027 Qurate Retail, Inc., Series A 2,271,434 14,029 Xometry, Inc., Class A (a) (b) 533,102 --------------- 5,019,614 --------------- IT SERVICES -- 1.8% 7,975 CSG Systems International, Inc. 520,369 125,934 Cyxtera Technologies, Inc. (a) 1,535,136 25,815 EVERTEC, Inc. 1,006,527 113,577 Grid Dynamics Holdings, Inc. (a) 2,143,198 10,383 Perficient, Inc. (a) 1,095,614 199,180 Rackspace Technology, Inc. (a) 1,342,473 37,046 Repay Holdings Corp. (a) 496,416 81,652 Sabre Corp. (a) 502,160 14,401 Shift4 Payments, Inc., Class A (a) 524,628 139,327 SolarWinds Corp. 1,492,192 22,756 Squarespace, Inc., Class A (a) 484,020 14,022 TTEC Holdings, Inc. 1,025,990 151,996 Verra Mobility Corp. (a) 2,506,414 --------------- 14,675,137 --------------- LEISURE PRODUCTS -- 0.7% 22,840 Acushnet Holdings Corp. 1,112,993 36,242 Malibu Boats, Inc., Class A (a) 2,263,313 85,587 Vista Outdoor, Inc. (a) 2,576,169 --------------- 5,952,475 --------------- LIFE SCIENCES TOOLS & SERVICES -- 0.1% 116,819 NeoGenomics, Inc. (a) 1,182,208 --------------- MACHINERY -- 3.8% 12,264 Alamo Group, Inc. 1,587,084 12,082 Albany International Corp., Class A 1,102,724 27,009 Altra Industrial Motion Corp. 1,127,086 23,347 Astec Industries, Inc. 1,147,038 61,347 Barnes Group, Inc. 2,074,755 11,622 EnPro Industries, Inc. 1,086,425 13,925 ESCO Technologies, Inc. 1,079,884 26,746 Federal Signal Corp. 1,110,494 21,556 Helios Technologies, Inc. 1,483,484 46,639 Hillenbrand, Inc. 2,154,722 10,478 Kadant, Inc. 2,135,940 82,235 Kennametal, Inc. 2,208,010 14,384 Lindsay Corp. 2,214,561 44,809 Mueller Industries, Inc. 3,016,990 81,166 Mueller Water Products, Inc., Class A 1,056,781 29,853 Proto Labs, Inc. (a) 1,459,513 25,606 Shyft Group (The), Inc. 664,220 9,009 SPX Corp. (a) 532,702 16,069 Tennant Co. 1,077,105 69,797 Terex Corp. 2,338,897 39,307 Trinity Industries, Inc. 1,020,017 --------------- 31,678,432 --------------- See Notes to Financial Statements Page 47 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) MEDIA -- 1.7% 628,399 Advantage Solutions, Inc. (a) $ 2,790,091 21,337 Cardlytics, Inc. (a) 294,451 444,895 Clear Channel Outdoor Holdings, Inc. (a) 689,587 191,493 E.W. Scripps (The) Co., Class A (a) 2,730,690 141,382 Gray Television, Inc. 2,625,464 60,334 iHeartMedia, Inc., Class A (a) 451,298 29,900 John Wiley & Sons, Inc., Class A 1,561,378 53,604 Magnite, Inc. (a) 409,535 46,671 Sinclair Broadcast Group, Inc., Class A 1,019,295 78,425 WideOpenWest, Inc. (a) 1,441,451 --------------- 14,013,240 --------------- METALS & MINING -- 1.0% 34,113 Carpenter Technology Corp. 1,096,392 129,183 Century Aluminum Co. (a) 1,019,254 242,877 Hecla Mining Co. 1,100,232 6,018 Kaiser Aluminum Corp. 455,984 19,369 Materion Corp. 1,587,096 54,148 Worthington Industries, Inc. 2,772,919 --------------- 8,031,877 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 2.3% 228,728 Apollo Commercial Real Estate Finance, Inc. 2,923,144 36,312 Arbor Realty Trust, Inc. 603,505 216,591 Chimera Investment Corp. 2,267,708 181,245 Ladder Capital Corp. 2,153,191 222,133 MFA Financial, Inc. 2,878,844 692,151 New York Mortgage Trust, Inc. 2,173,354 68,842 PennyMac Mortgage Investment Trust 1,057,413 309,717 Redwood Trust, Inc. 2,682,149 383,601 Two Harbors Investment Corp. 2,063,773 --------------- 18,803,081 --------------- MULTILINE RETAIL -- 0.6% 68,091 Franchise Group, Inc. 2,242,236 67,586 Nordstrom, Inc. 1,588,947 16,204 Ollie's Bargain Outlet Holdings, Inc. (a) 955,226 --------------- 4,786,409 --------------- MULTI-UTILITIES -- 0.4% 43,906 Avista Corp. 1,855,468 32,418 NorthWestern Corp. 1,797,578 --------------- 3,653,046 --------------- OIL, GAS & CONSUMABLE FUELS -- 3.7% 16,689 Arch Resources, Inc. (b) 2,155,218 62,025 California Resources Corp. 2,782,442 36,431 Callon Petroleum Co. (a) 1,677,283 399,318 Centennial Resource Development, Inc., Class A (a) 2,659,458 SHARES DESCRIPTION VALUE ------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS (CONTINUED) 19,630 Chord Energy Corp. $ 2,517,351 197,674 Comstock Resources, Inc. (a) 3,148,947 28,420 CVR Energy, Inc. 953,207 23,807 Denbury, Inc. (a) 1,711,961 17,522 Green Plains, Inc. (a) 631,142 385,771 Kosmos Energy Ltd. (a) 2,445,788 94,534 Northern Oil and Gas, Inc. 2,725,415 65,828 PBF Energy, Inc., Class A (a) 2,195,364 111,952 Peabody Energy Corp. (a) 2,349,873 93,370 World Fuel Services Corp. 2,588,216 --------------- 30,541,665 --------------- PERSONAL PRODUCTS -- 1.5% 37,017 Beauty Health (The) Co. (a) 493,066 55,341 Edgewell Personal Care Co. 2,201,465 77,834 elf Beauty, Inc. (a) 2,609,774 19,546 Inter Parfums, Inc. 1,631,505 13,232 Medifast, Inc. 2,225,490 32,983 Nu Skin Enterprises, Inc., Class A 1,435,090 19,735 USANA Health Sciences, Inc. (a) 1,373,951 --------------- 11,970,341 --------------- PHARMACEUTICALS -- 1.1% 40,038 Corcept Therapeutics, Inc. (a) 1,147,489 48,962 Harmony Biosciences Holdings, Inc. (a) 2,483,842 24,496 Pacira BioSciences, Inc. (a) 1,385,494 40,612 Prestige Consumer Healthcare, Inc. (a) 2,449,310 49,381 Supernus Pharmaceuticals, Inc. (a) 1,567,847 --------------- 9,033,982 --------------- PROFESSIONAL SERVICES -- 1.1% 59,758 CBIZ, Inc. (a) 2,726,160 37,571 First Advantage Corp. (a) 527,121 10,023 ICF International, Inc. 945,670 31,143 Kforce, Inc. 2,050,767 32,926 Korn Ferry 2,156,982 23,021 Upwork, Inc. (a) 427,270 --------------- 8,833,970 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 1.1% 242,922 Anywhere Real Estate, Inc. (a) 2,412,216 131,865 Compass, Inc., Class A (a) (b) 503,724 50,270 Kennedy-Wilson Holdings, Inc. 1,038,578 51,648 Marcus & Millichap, Inc. 2,113,436 147,689 Newmark Group, Inc., Class A 1,683,655 57,770 Redfin Corp. (a) 502,599 24,066 St. Joe (The) Co. 1,011,253 --------------- 9,265,461 --------------- ROAD & RAIL -- 1.3% 33,934 ArcBest Corp. 3,006,552 113,577 Marten Transport Ltd. 2,448,720 Page 48 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) ROAD & RAIL (CONTINUED) 106,700 Schneider National, Inc., Class B $ 2,702,711 61,960 Werner Enterprises, Inc. 2,723,762 --------------- 10,881,745 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.6% 28,287 ACM Research, Inc., Class A (a) 477,485 26,041 Axcelis Technologies, Inc. (a) 1,831,464 86,051 Cohu, Inc. (a) 2,459,338 36,874 FormFactor, Inc. (a) 1,311,239 24,419 Impinj, Inc. (a) 2,076,103 44,303 Rambus, Inc. (a) 1,119,980 116,698 SMART Global Holdings, Inc. (a) 2,289,615 15,989 Ultra Clean Holdings, Inc. (a) 537,230 49,078 Veeco Instruments, Inc. (a) 1,069,900 --------------- 13,172,354 --------------- SOFTWARE -- 1.2% 15,389 Alarm.com Holdings, Inc. (a) 1,089,080 1,066,034 Avaya Holdings Corp. (a) 957,938 56,603 Cerence, Inc. (a) 1,594,507 22,704 CommVault Systems, Inc. (a) 1,273,467 23,488 InterDigital, Inc. 1,441,928 19,210 PagerDuty, Inc. (a) 498,115 52,714 Progress Software Corp. 2,475,450 8,197 Sprout Social, Inc., Class A (a) 427,064 32,991 Xperi Holding Corp. 552,929 --------------- 10,310,478 --------------- SPECIALTY RETAIL -- 3.4% 28,133 Abercrombie & Fitch Co., Class A (a) 501,049 67,189 Academy Sports & Outdoors, Inc. 2,891,143 14,101 Asbury Automotive Group, Inc. (a) 2,420,296 13,821 Boot Barn Holdings, Inc. (a) 861,048 68,990 Buckle (The), Inc. 2,083,498 44,098 Camping World Holdings, Inc., Class A (b) 1,192,410 14,062 Group 1 Automotive, Inc. 2,487,849 112,042 Guess?, Inc. (b) 2,118,714 33,305 Monro, Inc. 1,670,246 17,312 National Vision Holdings, Inc. (a) 504,472 15,743 ODP (The) Corp. (a) 571,471 98,218 Rent-A-Center, Inc. 2,311,069 160,262 Sally Beauty Holdings, Inc. (a) 2,048,148 15,382 Sleep Number Corp. (a) 693,113 65,189 Sonic Automotive, Inc., Class A 2,728,160 127,970 Urban Outfitters, Inc. (a) 2,620,825 --------------- 27,703,511 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.9% 246,177 3D Systems Corp. (a) 2,816,265 SHARES DESCRIPTION VALUE ------------------------------------------------------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS (CONTINUED) 18,343 Avid Technology, Inc. (a) $ 514,705 72,511 Corsair Gaming, Inc. (a) (b) 1,022,405 47,342 Super Micro Computer, Inc. (a) 2,556,941 32,055 Xerox Holdings Corp. 549,102 --------------- 7,459,418 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.9% 28,529 Kontoor Brands, Inc. 1,041,309 87,509 Levi Strauss & Co., Class A 1,655,670 21,527 Oxford Industries, Inc. 2,053,676 44,339 Steven Madden Ltd. 1,405,546 47,226 Wolverine World Wide, Inc. 1,061,168 --------------- 7,217,369 --------------- THRIFTS & MORTGAGE FINANCE -- 2.2% 53,286 Axos Financial, Inc. (a) 2,225,223 103,713 Capitol Federal Financial, Inc. 994,608 87,590 Columbia Financial, Inc. (a) 1,781,580 64,994 Mr. Cooper Group, Inc. (a) 2,927,980 143,418 NMI Holdings, Inc., Class A (a) 2,716,337 54,630 PennyMac Financial Services, Inc. 2,993,178 85,819 Provident Financial Services, Inc. 2,090,551 47,652 WSFS Financial Corp. 2,273,953 --------------- 18,003,410 --------------- TOBACCO -- 0.2% 181,938 Vector Group Ltd. 2,026,789 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.9% 14,849 Applied Industrial Technologies, Inc. 1,493,661 40,139 Boise Cascade Co. 2,838,229 85,006 Custom Truck One Source, Inc. (a) 526,187 20,285 GATX Corp. 2,033,571 53,660 GMS, Inc. (a) 2,847,736 49,292 H&E Equipment Services, Inc. 1,762,189 18,791 McGrath RentCorp 1,585,209 49,541 Rush Enterprises, Inc., Class A 2,387,381 --------------- 15,474,163 --------------- WATER UTILITIES -- 0.5% 11,679 American States Water Co. 1,018,058 17,141 California Water Service Group 1,029,831 5,428 Middlesex Water Co. 516,257 22,882 SJW Group 1,502,432 --------------- 4,066,578 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.8% 88,210 Gogo, Inc. (a) 1,531,325 151,228 Telephone and Data Systems, Inc. 2,390,915 82,455 United States Cellular Corp. (a) 2,415,107 --------------- 6,337,347 --------------- See Notes to Financial Statements Page 49 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- TOTAL COMMON STOCKS -- 100.0% $ 827,649,885 (Cost $823,268,278) --------------- MONEY MARKET FUNDS -- 0.8% 6,477,258 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 2.15% (d) (e) 6,477,258 600,910 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 1.75% (d) 600,910 --------------- TOTAL MONEY MARKET FUNDS -- 0.8% 7,078,168 (Cost $7,078,168) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.7% $ 5,705,923 BNP Paribas S.A., 2.16% (d), dated 07/29/22, due 08/01/22, with a maturity value of $5,706,950. Collateralized by U.S. Treasury Note, interest rate of 0.75%, due 01/31/28. The value of the collateral including accrued interest is $5,826,864. (e) 5,705,923 (Cost $5,705,923) --------------- TOTAL INVESTMENTS -- 101.5% 840,433,976 (Cost $836,052,369) NET OTHER ASSETS AND LIABILITIES -- (1.5)% (12,441,155) --------------- NET ASSETS -- 100.0% $ 827,992,821 =============== (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 $11,873,090 and the total value of the collateral held by the Fund is $12,183,181. (c) This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933, as amended. (d) Rate shown reflects yield as of July 31, 2022. (e) This security serves as collateral for securities on loan. --------------------------------- OFFSETTING ASSETS AND LIABILITIES ------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 11,873,090 Non-cash Collateral(2) (11,873,090) --------------- 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 July 31, 2022, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 5,705,923 Non-cash Collateral(4) (5,705,923) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2022, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 50 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 7/31/2022 PRICES INPUTS INPUTS ----------------------------------------------------------------------------- Common Stocks*.................................. $ 827,649,885 $ 827,649,885 $ -- $ -- Money Market Funds.............................. 7,078,168 7,078,168 -- -- Repurchase Agreements........................... 5,705,923 -- 5,705,923 -- ----------------------------------------------------------------------------- Total Investments............................... $ 840,433,976 $ 834,728,053 $ 5,705,923 $ -- ============================================================================= * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 51 FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 1.9% 17,730 General Dynamics Corp. $ 4,018,859 7,902 L3Harris Technologies, Inc. 1,896,243 4,441 Lockheed Martin Corp. 1,837,730 11,972 Northrop Grumman Corp. 5,733,391 19,871 Raytheon Technologies Corp. 1,852,176 93,815 Textron, Inc. 6,158,017 --------------- 21,496,416 --------------- AIRLINES -- 0.2% 52,873 Southwest Airlines Co. (a) 2,015,519 --------------- AUTOMOBILES -- 2.1% 881,127 Ford Motor Co. 12,943,756 308,783 General Motors Co. (a) 11,196,471 --------------- 24,140,227 --------------- BANKS -- 6.8% 184,045 Bank of America Corp. 6,222,561 170,592 Citigroup, Inc. 8,853,725 219,825 Citizens Financial Group, Inc. 8,346,755 170,516 Fifth Third Bancorp 5,818,006 476,253 Huntington Bancshares, Inc. 6,329,402 50,878 JPMorgan Chase & Co. 5,869,286 455,343 KeyCorp 8,332,777 11,982 M&T Bank Corp. 2,126,206 36,315 PNC Financial Services Group (The), Inc. 6,026,111 120,795 Truist Financial Corp. 6,096,524 124,497 U.S. Bancorp 5,876,258 200,295 Wells Fargo & Co. 8,786,942 --------------- 78,684,553 --------------- BEVERAGES -- 0.4% 110,844 Keurig Dr Pepper, Inc. 4,294,097 --------------- BIOTECHNOLOGY -- 1.2% 7,850 Amgen, Inc. 1,942,640 19,235 Biogen, Inc. (a) 4,136,679 63,465 Gilead Sciences, Inc. 3,792,034 51,636 Incyte Corp. (a) 4,011,084 --------------- 13,882,437 --------------- BUILDING PRODUCTS -- 0.8% 160,665 Carrier Global Corp. 6,511,752 14,706 Trane Technologies PLC 2,161,635 --------------- 8,673,387 --------------- CAPITAL MARKETS -- 4.9% 188,097 Bank of New York Mellon (The) Corp. 8,174,696 420,721 Franklin Resources, Inc. 11,548,791 26,414 Goldman Sachs Group (The), Inc. 8,806,164 75,326 Morgan Stanley 6,349,982 21,360 Raymond James Financial, Inc. 2,103,319 127,261 State Street Corp. 9,040,621 86,322 T. Rowe Price Group, Inc. 10,658,177 --------------- 56,681,750 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- CHEMICALS -- 6.2% 16,312 Air Products and Chemicals, Inc. $ 4,049,128 83,386 Celanese Corp. 9,798,689 105,824 Corteva, Inc. 6,090,171 190,020 Dow, Inc. 10,110,964 141,158 DuPont de Nemours, Inc. 8,643,104 87,396 Eastman Chemical Co. 8,383,898 17,847 FMC Corp. 1,982,802 16,032 International Flavors & Fragrances, Inc. 1,988,769 112,130 LyondellBasell Industries N.V., Class A 9,993,026 207,645 Mosaic (The) Co. 10,934,586 --------------- 71,975,137 --------------- COMMUNICATIONS EQUIPMENT -- 0.5% 134,364 Cisco Systems, Inc. 6,096,095 --------------- CONSTRUCTION MATERIALS -- 0.2% 13,439 Vulcan Materials Co. 2,221,870 --------------- CONSUMER FINANCE -- 3.7% 292,657 Ally Financial, Inc. 9,678,167 13,777 American Express Co. 2,121,933 94,125 Capital One Financial Corp. 10,337,749 82,951 Discover Financial Services 8,378,051 355,069 Synchrony Financial 11,887,710 --------------- 42,403,610 --------------- CONTAINERS & PACKAGING -- 1.7% 27,771 Ball Corp. 2,038,947 234,448 International Paper Co. 10,027,341 57,059 Packaging Corp. of America 8,023,066 --------------- 20,089,354 --------------- DISTRIBUTORS -- 0.9% 14,359 Genuine Parts Co. 2,195,060 159,820 LKQ Corp. 8,764,529 --------------- 10,959,589 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.9% 35,921 Berkshire Hathaway, Inc., Class B (a) 10,797,853 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.4% 467,889 AT&T, Inc. 8,786,955 154,592 Verizon Communications, Inc. 7,140,605 --------------- 15,927,560 --------------- ELECTRIC UTILITIES -- 5.6% 66,930 Alliant Energy Corp. 4,078,045 59,718 American Electric Power Co., Inc. 5,885,806 53,440 Duke Energy Corp. 5,874,659 90,596 Edison International 6,139,691 50,863 Entergy Corp. 5,855,857 87,805 Evergy, Inc. 5,993,569 46,440 Eversource Energy 4,096,937 126,419 Exelon Corp. 5,877,219 102,182 FirstEnergy Corp. 4,199,680 Page 52 See Notes to Financial Statements FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRIC UTILITIES (CONTINUED) 786,130 PG&E Corp. (a) $ 8,537,372 144,592 PPL Corp. 4,204,736 55,438 Xcel Energy, Inc. 4,056,953 --------------- 64,800,524 --------------- ELECTRICAL EQUIPMENT -- 1.0% 17,379 AMETEK, Inc. 2,146,307 31,135 Eaton Corp. PLC 4,620,123 49,321 Emerson Electric Co. 4,442,342 --------------- 11,208,772 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.7% 248,987 Corning, Inc. 9,152,762 50,635 TE Connectivity Ltd. 6,771,419 5,091 Teledyne Technologies, Inc. (a) 1,992,617 32,798 Trimble, Inc. (a) 2,277,165 --------------- 20,193,963 --------------- ENERGY EQUIPMENT & SERVICES -- 0.7% 125,089 Halliburton Co. 3,665,108 109,699 Schlumberger N.V. 4,062,154 --------------- 7,727,262 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 1.3% 64,108 VICI Properties, Inc. 2,191,853 296,105 Weyerhaeuser Co. 10,754,534 23,048 WP Carey, Inc. 2,058,186 --------------- 15,004,573 --------------- FOOD & STAPLES RETAILING -- 1.5% 121,050 Kroger (The) Co. 5,621,562 258,759 Walgreens Boots Alliance, Inc. 10,252,032 15,708 Walmart, Inc. 2,074,241 --------------- 17,947,835 --------------- FOOD PRODUCTS -- 4.6% 101,102 Archer-Daniels-Midland Co. 8,368,212 108,138 Bunge Ltd. 9,984,382 167,329 Conagra Brands, Inc. 5,724,325 51,991 General Mills, Inc. 3,888,407 40,325 Hormel Foods Corp. 1,989,635 44,759 J.M. Smucker (The) Co. 5,922,511 54,987 Kellogg Co. 4,064,639 50,073 Kraft Heinz (The) Co. 1,844,189 30,759 Mondelez International, Inc., Class A 1,969,806 113,955 Tyson Foods, Inc., Class A 10,029,180 --------------- 53,785,286 --------------- GAS UTILITIES -- 0.5% 51,109 Atmos Energy Corp. 6,204,122 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 0.7% 43,710 Medtronic PLC 4,044,049 15,956 Teleflex, Inc. 3,836,780 --------------- 7,880,829 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES -- 3.5% 22,572 Centene Corp. (a) $ 2,098,519 21,742 Cigna Corp. 5,986,877 61,832 CVS Health Corp. 5,916,086 8,128 Elevance Health, Inc. 3,877,869 4,080 Humana, Inc. 1,966,560 41,846 Laboratory Corp. of America Holdings 10,971,602 73,747 Quest Diagnostics, Inc. 10,071,628 --------------- 40,889,141 --------------- HOTELS, RESTAURANTS & LEISURE -- 1.1% 34,678 Darden Restaurants, Inc. 4,317,064 271,004 MGM Resorts International 8,869,961 --------------- 13,187,025 --------------- HOUSEHOLD DURABLES -- 3.2% 148,163 D.R. Horton, Inc. 11,561,159 58,314 Garmin Ltd. 5,692,612 138,968 Lennar Corp., Class A 11,812,280 1,959 NVR, Inc. (a) 8,606,083 --------------- 37,672,134 --------------- INDUSTRIAL CONGLOMERATES -- 0.5% 44,272 3M Co. 6,341,521 --------------- INSURANCE -- 9.8% 141,796 Aflac, Inc. 8,124,911 61,908 Allstate (The) Corp. 7,241,379 191,804 American International Group, Inc. 9,929,693 172,468 Arch Capital Group Ltd. (a) 7,657,579 39,910 Chubb Ltd. 7,528,622 82,426 Cincinnati Financial Corp. 8,023,347 265,339 Fidelity National Financial, Inc. 10,602,947 119,907 Hartford Financial Services Group (The), Inc. 7,730,404 132,392 Loews Corp. 7,711,834 6,067 Markel Corp. (a) 7,869,748 124,949 MetLife, Inc. 7,903,024 58,733 Principal Financial Group, Inc. 3,931,587 81,998 Prudential Financial, Inc. 8,198,980 46,387 Travelers (The) Cos., Inc. 7,361,617 57,468 W.R. Berkley Corp. 3,593,474 --------------- 113,409,146 --------------- IT SERVICES -- 2.0% 84,891 Cognizant Technology Solutions Corp., Class A 5,769,192 42,793 Fidelity National Information Services, Inc. 4,371,733 44,091 Fiserv, Inc. (a) 4,659,537 9,090 FleetCor Technologies, Inc. (a) 2,000,618 51,783 Global Payments, Inc. 6,334,097 --------------- 23,135,177 --------------- MACHINERY -- 3.1% 21,945 Caterpillar, Inc. 4,350,596 29,605 Cummins, Inc. 6,551,882 35,119 Fortive Corp. 2,263,419 See Notes to Financial Statements Page 53 FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 95,283 PACCAR, Inc. $ 8,720,300 7,762 Parker-Hannifin Corp. 2,243,917 74,820 Stanley Black & Decker, Inc. 7,282,231 47,793 Westinghouse Air Brake Technologies Corp. 4,467,212 --------------- 35,879,557 --------------- MEDIA -- 3.2% 249,922 Comcast Corp., Class A 9,377,073 243,954 Fox Corp., Class A 8,077,317 208,112 Interpublic Group of (The) Cos., Inc. 6,216,305 61,670 Omnicom Group, Inc. 4,307,033 397,364 Paramount Global, Class B 9,397,659 --------------- 37,375,387 --------------- METALS & MINING -- 0.3% 65,741 Newmont Corp. 2,976,752 --------------- MULTILINE RETAIL -- 0.7% 12,254 Dollar Tree, Inc. (a) 2,026,321 40,568 Target Corp. 6,628,000 --------------- 8,654,321 --------------- MULTI-UTILITIES -- 2.6% 43,413 Ameren Corp. 4,042,618 265,233 CenterPoint Energy, Inc. 8,405,234 84,879 CMS Energy Corp. 5,833,734 60,245 Consolidated Edison, Inc. 5,980,521 23,929 Dominion Energy, Inc. 1,961,699 15,067 DTE Energy Co. 1,963,230 18,976 WEC Energy Group, Inc. 1,969,899 --------------- 30,156,935 --------------- OIL, GAS & CONSUMABLE FUELS -- 5.1% 67,737 Chevron Corp. 11,093,966 380,262 Coterra Energy, Inc. 11,632,215 114,513 Exxon Mobil Corp. 11,099,745 234,056 Kinder Morgan, Inc. 4,210,667 95,433 Marathon Petroleum Corp. 8,747,389 69,879 Phillips 66 6,219,231 53,908 Valero Energy Corp. 5,971,389 --------------- 58,974,602 --------------- PHARMACEUTICALS -- 1.1% 10,758 Johnson & Johnson 1,877,486 43,027 Merck & Co., Inc. 3,844,032 749,338 Viatris, Inc. 7,261,086 --------------- 12,982,604 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.8% 106,583 CBRE Group, Inc., Class A (a) 9,125,636 --------------- ROAD & RAIL -- 0.4% 17,259 Norfolk Southern Corp. 4,334,943 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.9% 13,073 Analog Devices, Inc. 2,248,033 SHARES DESCRIPTION VALUE ------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 262,147 Intel Corp. $ 9,518,558 177,404 Micron Technology, Inc. 10,974,211 103,975 Qorvo, Inc. (a) 10,820,678 105,861 Skyworks Solutions, Inc. 11,526,146 --------------- 45,087,626 --------------- SOFTWARE -- 0.2% 86,966 NortonLifeLock, Inc. 2,133,276 --------------- SPECIALTY RETAIL -- 2.1% 120,349 Best Buy Co., Inc. 9,265,670 43,358 CarMax, Inc. (a) 4,315,855 55,856 Ross Stores, Inc. 4,538,859 34,194 TJX (The) Cos., Inc. 2,091,305 10,176 Ulta Beauty, Inc. (a) 3,957,548 --------------- 24,169,237 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 3.0% 84,890 Dell Technologies, Inc., Class C 3,825,143 739,588 Hewlett Packard Enterprise Co. 10,531,733 239,340 HP, Inc. 7,991,563 29,273 NetApp, Inc. 2,088,043 218,758 Western Digital Corp. (a) 10,741,018 --------------- 35,177,500 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.5% 129,713 VF Corp. 5,795,577 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.1% 40,373 United Rentals, Inc. (a) 13,027,156 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.2% 14,195 T-Mobile US, Inc. (a) 2,030,737 --------------- TOTAL COMMON STOCKS -- 99.8% 1,157,608,610 (Cost $1,137,529,985) --------------- MONEY MARKET FUNDS -- 0.2% 1,880,865 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 1.75% (b) 1,880,865 (Cost $1,880,865) --------------- TOTAL INVESTMENTS -- 100.0% 1,159,489,475 (Cost $1,139,410,850) NET OTHER ASSETS AND LIABILITIES -- 0.0% 549,601 --------------- NET ASSETS -- 100.0% $ 1,160,039,076 =============== (a) Non-income producing security. (b) Rate shown reflects yield as of July 31, 2022. Page 54 See Notes to Financial Statements FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 7/31/2022 PRICES INPUTS INPUTS ----------------------------------------------------------------------------- Common Stocks*.................................. $ 1,157,608,610 $ 1,157,608,610 $ -- $ -- Money Market Funds.............................. 1,880,865 1,880,865 -- -- ----------------------------------------------------------------------------- Total Investments............................... $ 1,159,489,475 $ 1,159,489,475 $ -- $ -- ============================================================================= * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 55 FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 1.2% 46,587 HEICO Corp. $ 7,347,236 5,691 TransDigm Group, Inc. (a) 3,541,737 --------------- 10,888,973 --------------- AIR FREIGHT & LOGISTICS -- 2.4% 78,347 Expeditors International of Washington, Inc. 8,324,369 33,681 FedEx Corp. 7,850,704 33,465 United Parcel Service, Inc., Class B 6,521,994 --------------- 22,697,067 --------------- AUTOMOBILES -- 0.4% 4,535 Tesla, Inc. (a) 4,042,726 --------------- BANKS -- 1.3% 21,181 First Republic Bank 3,446,361 325,789 Regions Financial Corp. 6,900,211 3,764 SVB Financial Group (a) 1,518,962 --------------- 11,865,534 --------------- BEVERAGES -- 2.6% 121,375 Coca-Cola (The) Co. 7,788,634 82,370 Monster Beverage Corp. (a) 8,205,700 45,815 PepsiCo, Inc. 8,015,792 --------------- 24,010,126 --------------- BIOTECHNOLOGY -- 4.4% 49,854 AbbVie, Inc. 7,154,548 30,585 Alnylam Pharmaceuticals, Inc. (a) 4,344,293 55,928 Horizon Therapeutics PLC (a) 4,640,346 31,227 Moderna, Inc. (a) 5,124,038 12,917 Regeneron Pharmaceuticals, Inc. (a) 7,513,690 25,211 Seagen, Inc. (a) 4,537,476 27,098 Vertex Pharmaceuticals, Inc. (a) 7,598,550 --------------- 40,912,941 --------------- BUILDING PRODUCTS -- 0.2% 31,055 Johnson Controls International PLC 1,674,175 --------------- CAPITAL MARKETS -- 3.9% 33,479 Blackstone, Inc. 3,417,202 96,472 Carlyle Group (The), Inc. 3,753,725 48,342 Charles Schwab (The) Corp. 3,338,015 14,920 CME Group, Inc. 2,976,242 31,623 Coinbase Global, Inc., Class A (a) (b) 1,990,984 11,600 FactSet Research Systems, Inc. 4,984,288 15,812 Intercontinental Exchange, Inc. 1,612,666 96,368 KKR & Co., Inc. 5,344,569 3,608 MSCI, Inc. 1,736,675 20,023 Nasdaq, Inc. 3,622,161 31,657 Northern Trust Corp. 3,158,735 --------------- 35,935,262 --------------- CHEMICALS -- 1.3% 89,067 CF Industries Holdings, Inc. 8,505,008 SHARES DESCRIPTION VALUE ------------------------------------------------------------- CHEMICALS (CONTINUED) 13,641 Sherwin-Williams (The) Co. $ 3,300,303 --------------- 11,805,311 --------------- COMMERCIAL SERVICES & SUPPLIES -- 3.8% 16,354 Cintas Corp. 6,958,464 41,053 Copart, Inc. (a) 5,258,889 58,345 Republic Services, Inc. 8,090,118 174,930 Rollins, Inc. 6,747,050 49,913 Waste Management, Inc. 8,213,683 --------------- 35,268,204 --------------- COMMUNICATIONS EQUIPMENT -- 0.9% 32,582 Arista Networks, Inc. (a) 3,800,039 21,282 Motorola Solutions, Inc. 5,077,672 --------------- 8,877,711 --------------- CONSTRUCTION MATERIALS -- 0.4% 10,207 Martin Marietta Materials, Inc. 3,593,681 --------------- CONTAINERS & PACKAGING -- 0.8% 37,737 Avery Dennison Corp. 7,187,389 --------------- DISTRIBUTORS -- 0.5% 12,701 Pool Corp. 4,543,148 --------------- ELECTRIC UTILITIES -- 0.7% 78,860 NextEra Energy, Inc. 6,662,881 --------------- ELECTRICAL EQUIPMENT -- 0.2% 7,061 Generac Holdings, Inc. (a) 1,894,466 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.4% 94,883 Amphenol Corp., Class A 7,318,326 22,156 Keysight Technologies, Inc. (a) 3,602,565 5,059 Zebra Technologies Corp., Class A (a) 1,809,554 --------------- 12,730,445 --------------- ENTERTAINMENT -- 0.9% 120,303 Liberty Media Corp.-Liberty Formula One, Class C (a) 8,152,934 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 6.1% 23,900 American Tower Corp. 6,472,837 7,655 AvalonBay Communities, Inc. 1,637,711 11,057 Camden Property Trust 1,560,143 18,140 Crown Castle International Corp. 3,277,172 23,524 Digital Realty Trust, Inc. 3,115,754 81,180 Duke Realty Corp. 5,078,621 4,649 Equinix, Inc. 3,271,687 63,301 Equity LifeStyle Properties, Inc. 4,653,889 20,589 Equity Residential 1,613,972 17,953 Extra Space Storage, Inc. 3,402,453 85,843 Invitation Homes, Inc. 3,350,452 75,212 Kimco Realty Corp. 1,662,937 17,486 Mid-America Apartment Communities, Inc. 3,247,675 9,768 Public Storage 3,188,373 13,938 SBA Communications Corp. 4,680,241 Page 56 See Notes to Financial Statements FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 38,331 Sun Communities, Inc. $ 6,284,751 --------------- 56,498,668 --------------- FOOD & STAPLES RETAILING -- 0.9% 15,932 Costco Wholesale Corp. 8,623,992 --------------- FOOD PRODUCTS -- 0.9% 35,488 Hershey (The) Co. 8,089,844 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.9% 56,222 Abbott Laboratories 6,119,203 4,749 Cooper (The) Cos., Inc. 1,552,923 32,120 Edwards Lifesciences Corp. (a) 3,229,345 88,146 Hologic, Inc. (a) 6,291,861 6,822 Insulet Corp. (a) 1,690,492 7,093 ResMed, Inc. 1,706,008 29,632 STERIS PLC 6,686,461 --------------- 27,276,293 --------------- HEALTH CARE PROVIDERS & SERVICES -- 1.3% 18,173 HCA Healthcare, Inc. 3,860,308 14,867 UnitedHealth Group, Inc. 8,062,969 --------------- 11,923,277 --------------- HEALTH CARE TECHNOLOGY -- 0.4% 15,423 Veeva Systems, Inc., Class A (a) 3,448,274 --------------- HOTELS, RESTAURANTS & LEISURE -- 3.5% 38,824 Caesars Entertainment, Inc. (a) 1,773,868 3,412 Chipotle Mexican Grill, Inc. (a) 5,337,119 11,446 Domino's Pizza, Inc. 4,488,091 30,928 McDonald's Corp. 8,145,507 42,594 Royal Caribbean Cruises Ltd. (a) 1,648,814 58,396 Starbucks Corp. 4,950,813 53,815 Yum! Brands, Inc. 6,594,490 --------------- 32,938,702 --------------- HOUSEHOLD PRODUCTS -- 1.2% 65,924 Church & Dwight Co., Inc. 5,799,334 42,483 Procter & Gamble (The) Co. 5,901,314 --------------- 11,700,648 --------------- INSURANCE -- 2.8% 22,651 Aon PLC, Class A 6,592,347 37,467 Arthur J. Gallagher & Co. 6,706,218 76,463 Brown & Brown, Inc. 4,977,741 49,183 Marsh & McLennan Cos., Inc. 8,064,045 --------------- 26,340,351 --------------- INTERACTIVE MEDIA & SERVICES -- 0.7% 40,940 Alphabet, Inc., Class A (a) 4,762,141 9,221 Meta Platforms, Inc., Class A (a) 1,467,061 --------------- 6,229,202 --------------- IT SERVICES -- 5.4% 22,001 Accenture PLC, Class A 6,738,026 16,281 Akamai Technologies, Inc. (a) 1,566,558 SHARES DESCRIPTION VALUE ------------------------------------------------------------- IT SERVICES (CONTINUED) 29,083 Automatic Data Processing, Inc. $ 7,012,493 42,852 Broadridge Financial Solutions, Inc. 6,879,889 15,133 EPAM Systems, Inc. (a) 5,285,200 25,259 Gartner, Inc. (a) 6,705,759 14,140 Mastercard, Inc., Class A 5,002,591 39,175 Paychex, Inc. 5,025,369 25,607 SS&C Technologies Holdings, Inc. 1,515,166 22,656 Visa, Inc., Class A 4,805,564 --------------- 50,536,615 --------------- LIFE SCIENCES TOOLS & SERVICES -- 4.6% 25,716 Agilent Technologies, Inc. 3,448,515 143,435 Avantor, Inc. (a) 4,162,484 6,949 Charles River Laboratories International, Inc. (a) 1,741,002 17,595 Danaher Corp. 5,128,415 28,151 IQVIA Holdings, Inc. (a) 6,763,841 2,659 Mettler-Toledo International, Inc.(a) 3,588,932 21,475 PerkinElmer, Inc. 3,289,326 11,243 Thermo Fisher Scientific, Inc. 6,727,924 18,456 Waters Corp. (a) 6,718,538 4,917 West Pharmaceutical Services, Inc. 1,689,284 --------------- 43,258,261 --------------- MACHINERY -- 3.3% 14,895 Deere & Co. 5,111,666 25,175 Dover Corp. 3,365,394 33,632 IDEX Corp. 7,020,680 24,477 Illinois Tool Works, Inc. 5,085,342 72,583 Ingersoll Rand, Inc. 3,614,633 86,438 Otis Worldwide Corp. 6,756,858 --------------- 30,954,573 --------------- MEDIA -- 1.5% 9,520 Charter Communications, Inc., Class A (a) 4,113,592 26,411 Liberty Broadband Corp., Class C (a) 2,876,950 996,500 Sirius XM Holdings, Inc. (b) 6,656,620 --------------- 13,647,162 --------------- METALS & MINING -- 1.6% 152,456 Freeport-McMoRan, Inc. 4,809,987 73,132 Nucor Corp. 9,931,325 --------------- 14,741,312 --------------- OIL, GAS & CONSUMABLE FUELS -- 9.8% 57,398 Cheniere Energy, Inc. 8,585,593 85,020 ConocoPhillips 8,283,499 138,553 Devon Energy Corp. 8,708,056 63,027 Diamondback Energy, Inc. 8,068,716 69,139 EOG Resources, Inc. 7,689,640 72,076 Hess Corp. 8,106,388 339,666 Marathon Oil Corp. 8,423,717 See Notes to Financial Statements Page 57 FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) OIL, GAS & CONSUMABLE FUELS (CONTINUED) 129,682 Occidental Petroleum Corp. $ 8,526,591 137,579 ONEOK, Inc. 8,218,969 34,229 Pioneer Natural Resources Co. 8,110,562 244,656 Williams (The) Cos., Inc. 8,340,323 --------------- 91,062,054 --------------- PERSONAL PRODUCTS -- 0.2% 5,839 Estee Lauder (The) Cos., Inc., Class A 1,594,631 --------------- PHARMACEUTICALS -- 3.6% 99,165 Bristol-Myers Squibb Co. 7,316,394 71,169 Catalent, Inc. (a) 8,049,214 23,550 Eli Lilly & Co. 7,764,199 145,635 Pfizer, Inc. 7,356,024 17,769 Zoetis, Inc. 3,243,731 --------------- 33,729,562 --------------- PROFESSIONAL SERVICES -- 0.7% 24,614 CoStar Group, Inc. (a) 1,786,730 18,589 TransUnion 1,472,807 17,645 Verisk Analytics, Inc. 3,356,961 --------------- 6,616,498 --------------- ROAD & RAIL -- 2.6% 153,504 CSX Corp. 4,962,784 38,792 J.B. Hunt Transport Services, Inc. 7,109,410 23,835 Old Dominion Freight Line, Inc. 7,234,161 20,915 Union Pacific Corp. 4,753,980 --------------- 24,060,335 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 5.7% 16,344 Applied Materials, Inc. 1,732,137 6,287 Broadcom, Inc. 3,366,563 39,109 Enphase Energy, Inc. (a) 11,113,996 16,140 Entegris, Inc. 1,773,786 9,572 KLA Corp. 3,671,245 25,602 Microchip Technology, Inc. 1,762,954 11,616 Monolithic Power Systems, Inc. 5,398,187 20,633 NXP Semiconductors N.V. 3,793,996 121,419 ON Semiconductor Corp. (a) 8,108,361 47,820 QUALCOMM, Inc. 6,936,769 29,033 Texas Instruments, Inc. 5,193,713 --------------- 52,851,707 --------------- SOFTWARE -- 5.0% 29,733 Cadence Design Systems, Inc. (a) 5,532,717 8,821 Crowdstrike Holdings, Inc., Class A (a) 1,619,535 37,702 Dynatrace, Inc. (a) 1,418,726 107,963 Fortinet, Inc. (a) 6,439,993 3,858 Intuit, Inc. 1,759,904 5,790 Microsoft Corp. 1,625,485 63,845 Oracle Corp. 4,969,695 12,367 Palo Alto Networks, Inc. (a) 6,172,370 SHARES DESCRIPTION VALUE ------------------------------------------------------------- SOFTWARE (CONTINUED) 5,308 Paycom Software, Inc. (a) $ 1,754,241 6,423 ServiceNow, Inc. (a) 2,868,897 16,809 Splunk, Inc. (a) 1,746,623 20,113 Synopsys, Inc. (a) 7,391,527 4,473 Tyler Technologies, Inc. (a) 1,784,727 13,772 Zoom Video Communications, Inc., Class A (a) 1,430,360 --------------- 46,514,800 --------------- SPECIALTY RETAIL -- 4.2% 25,772 Advance Auto Parts, Inc. 4,989,974 3,552 AutoZone, Inc. (a) 7,592,009 65,852 Carvana Co. (a) (b) 1,919,586 16,264 Home Depot (The), Inc. 4,894,488 25,539 Lowe's Cos., Inc. 4,891,485 12,086 O'Reilly Automotive, Inc. (a) 8,503,589 31,512 Tractor Supply Co. 6,033,918 --------------- 38,825,049 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.7% 32,628 Apple, Inc. 5,302,376 20,814 Seagate Technology Holdings PLC 1,664,704 --------------- 6,967,080 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.2% 14,549 NIKE, Inc., Class B 1,671,971 --------------- TOBACCO -- 1.0% 73,121 Altria Group, Inc. 3,207,087 61,865 Philip Morris International, Inc. 6,010,185 --------------- 9,217,272 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.5% 89,360 Fastenal Co. 4,589,530 16,802 W.W. Grainger, Inc. 9,132,391 --------------- 13,721,921 --------------- WATER UTILITIES -- 0.3% 20,530 American Water Works Co., Inc. 3,191,183 --------------- TOTAL COMMON STOCKS -- 99.9% 928,974,211 (Cost $870,464,887) --------------- MONEY MARKET FUNDS -- 0.6% 5,011,510 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 2.15% (c) (d) 5,011,510 449,364 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 1.75% (c) 449,364 --------------- TOTAL MONEY MARKET FUNDS -- 0.6% 5,460,874 (Cost $5,460,874) --------------- Page 58 See Notes to Financial Statements FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.5% $ 4,414,721 BNP Paribas S.A., 2.16% (c), dated 07/29/22, due 08/01/22, with a maturity value of $4,415,516. Collateralized by U.S. Treasury Note, interest rate of 0.75%, due 01/31/28. The value of the collateral including accrued interest is $4,508,294. (d) $ 4,414,721 (Cost $4,414,721) --------------- TOTAL INVESTMENTS -- 101.0% 938,849,806 (Cost $880,340,482) NET OTHER ASSETS AND LIABILITIES -- (1.0)% (9,145,506) --------------- NET ASSETS -- 100.0% $ 929,704,300 =============== (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 $9,429,482 and the total value of the collateral held by the Fund is $9,426,231. (c) Rate shown reflects yield as of July 31, 2022. (d) This security serves as collateral for securities on loan. --------------------------------- OFFSETTING ASSETS AND LIABILITIES ------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 9,429,482 Non-cash Collateral(2) (9,426,231) --------------- Net Amount $ 3,251 =============== (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 July 29, 2022, the last business day of the period, there was sufficient collateral based on the end of day market value from the prior business day; however, as a result of market movement from July 28 to July 29, the value of the related securities loaned was above the collateral value received. See Note 2D - Securities Lending in the Notes to Financial Statements. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 4,414,721 Non-cash Collateral(4) (4,414,721) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2022, the value of the collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 59 FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 7/31/2022 PRICES INPUTS INPUTS ----------------------------------------------------------------------------- Common Stocks*.................................. $ 928,974,211 $ 928,974,211 $ -- $ -- Money Market Funds.............................. 5,460,874 5,460,874 -- -- Repurchase Agreements........................... 4,414,721 -- 4,414,721 -- ----------------------------------------------------------------------------- Total Investments............................... $ 938,849,806 $ 934,435,085 $ 4,414,721 $ -- ============================================================================= * See Portfolio of Investments for industry breakout. Page 60 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 1.2% 2,004 AAR Corp. (a) $ 89,238 1,319 BWX Technologies, Inc. 74,761 550 Curtiss-Wright Corp. 78,892 1,332 General Dynamics Corp. 301,924 334 Huntington Ingalls Industries, Inc. 72,425 593 L3Harris Technologies, Inc. 142,302 334 Lockheed Martin Corp. 138,213 6,429 Maxar Technologies, Inc. 176,669 1,056 Moog, Inc., Class A 90,436 899 Northrop Grumman Corp. 430,531 1,493 Raytheon Technologies Corp. 139,162 7,047 Textron, Inc. 462,565 --------------- 2,197,118 --------------- AIR FREIGHT & LOGISTICS -- 0.5% 7,297 Air Transport Services Group, Inc. (a) 228,688 3,397 Atlas Air Worldwide Holdings, Inc. (a) 257,187 1,434 C.H. Robinson Worldwide, Inc. 158,744 2,364 Hub Group, Inc., Class A (a) 180,609 --------------- 825,228 --------------- AIRLINES -- 0.7% 7,259 Alaska Air Group, Inc. (a) 321,792 1,091 Allegiant Travel Co. (a) 125,803 26,051 JetBlue Airways Corp. (a) 219,349 9,866 SkyWest, Inc. (a) 238,264 3,972 Southwest Airlines Co. (a) 151,413 6,730 Sun Country Airlines Holdings, Inc. (a) 135,744 --------------- 1,192,365 --------------- AUTO COMPONENTS -- 1.2% 12,265 Adient PLC (a) 414,312 8,712 BorgWarner, Inc. 335,063 11,921 Dana, Inc. 199,796 5,197 Gentex Corp. 146,659 33,931 Goodyear Tire & Rubber (The) Co. (a) 416,672 1,499 LCI Industries 202,500 1,155 Lear Corp. 174,567 4,044 Patrick Industries, Inc. 245,552 --------------- 2,135,121 --------------- AUTOMOBILES -- 1.6% 66,185 Ford Motor Co. 972,258 23,194 General Motors Co. (a) 841,014 9,183 Harley-Davidson, Inc. 347,209 4,863 Thor Industries, Inc. 410,097 4,317 Winnebago Industries, Inc. 260,617 --------------- 2,831,195 --------------- BANKS -- 8.5% 4,174 Ameris Bancorp 197,388 9,185 Associated Banc-Corp. 184,618 3,639 Atlantic Union Bankshares Corp. 125,873 13,824 Bank of America Corp. 467,389 SHARES DESCRIPTION VALUE ------------------------------------------------------------- BANKS (CONTINUED) 7,747 Bank OZK $ 310,655 3,470 BankUnited, Inc. 134,809 1,492 Banner Corp. 92,489 3,386 Berkshire Hills Bancorp, Inc. 95,384 2,885 BOK Financial Corp. 253,967 6,191 Cadence Bank 161,585 2,142 Cathay General Bancorp 89,321 12,814 Citigroup, Inc. 665,047 16,512 Citizens Financial Group, Inc. 626,961 4,308 Columbia Banking System, Inc. 129,972 1,981 Comerica, Inc. 154,062 4,163 Dime Community Bancshares, Inc. 141,875 2,603 Eagle Bancorp, Inc. 127,625 2,243 East West Bancorp, Inc. 161,003 3,937 Eastern Bankshares, Inc. 80,315 2,021 Enterprise Financial Services Corp. 95,048 20,078 F.N.B. Corp. 240,133 2,138 FB Financial Corp. 91,613 12,808 Fifth Third Bancorp 437,009 2,403 First Bancorp 91,026 9,560 First BanCorp 144,260 3,670 First Busey Corp. 90,465 222 First Citizens BancShares, Inc., Class A 167,983 6,249 First Commonwealth Financial Corp. 92,610 8,646 First Financial Bancorp 193,152 6,026 First Foundation, Inc. 125,461 3,693 First Hawaiian, Inc. 94,135 2,354 First Merchants Corp. 97,762 8,541 Fulton Financial Corp. 142,549 4,919 Hancock Whitney Corp. 240,096 2,971 Heartland Financial USA, Inc. 133,398 6,291 Hilltop Holdings, Inc. 181,495 3,499 Home BancShares, Inc. 82,576 12,119 Hope Bancorp, Inc. 182,270 35,773 Huntington Bancshares, Inc. 475,423 606 Independent Bank Group, Inc. 42,856 3,079 International Bancshares Corp. 135,045 3,822 JPMorgan Chase & Co. 440,906 34,202 KeyCorp 625,897 900 M&T Bank Corp. 159,705 1,075 National Bank Holdings Corp., Class A 44,741 2,231 NBT Bancorp, Inc. 90,445 6,552 Northwest Bancshares, Inc. 94,218 2,782 Old National Bancorp 48,435 5,736 Pacific Premier Bancorp, Inc. 192,959 10,905 PacWest Bancorp 305,667 339 Park National Corp. 43,921 4,337 Pathward Financial, Inc. 146,244 3,015 Pinnacle Financial Partners, Inc. 238,487 2,728 PNC Financial Services Group (The), Inc. 452,684 2,834 Popular, Inc. 220,117 2,129 Prosperity Bancshares, Inc. 157,738 See Notes to Financial Statements Page 61 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) BANKS (CONTINUED) 4,284 Renasant Corp. $ 143,086 3,159 Sandy Spring Bancorp, Inc. 130,467 5,805 Simmons First National Corp., Class A 137,869 1,884 SouthState Corp. 159,707 8,064 Synovus Financial Corp. 325,624 1,593 Texas Capital Bancshares, Inc. (a) 93,382 4,546 TowneBank 135,789 9,073 Truist Financial Corp. 457,914 2,873 Trustmark Corp. 93,286 9,351 U.S. Bancorp 441,367 4,145 United Bankshares, Inc. 160,577 1,363 United Community Banks, Inc. 46,383 13,964 Valley National Bancorp 163,239 4,111 Washington Federal, Inc. 140,308 1,724 Webster Financial Corp. 80,080 15,045 Wells Fargo & Co. 660,024 5,289 WesBanco, Inc. 180,461 1,814 Wintrust Financial Corp. 156,077 4,284 Zions Bancorp N.A. 233,692 --------------- 14,978,199 --------------- BEVERAGES -- 0.4% 8,326 Keurig Dr Pepper, Inc. 322,549 5,333 Molson Coors Beverage Co., Class B 318,647 1,485 National Beverage Corp. 80,457 --------------- 721,653 --------------- BIOTECHNOLOGY -- 0.8% 590 Amgen, Inc. 146,007 1,445 Biogen, Inc. (a) 310,762 6,754 Emergent BioSolutions, Inc. (a) 233,958 3,491 Exelixis, Inc. (a) 73,032 4,767 Gilead Sciences, Inc. 284,828 3,879 Incyte Corp. (a) 301,321 --------------- 1,349,908 --------------- BUILDING PRODUCTS -- 1.2% 12,068 Carrier Global Corp. 489,116 3,185 Gibraltar Industries, Inc. (a) 149,026 11,496 JELD-WEN Holding, Inc. (a) 204,399 4,890 Owens Corning 453,499 8,637 Resideo Technologies, Inc. (a) 194,419 1,105 Trane Technologies PLC 162,424 4,267 UFP Industries, Inc. 393,460 --------------- 2,046,343 --------------- CAPITAL MARKETS -- 3.6% 14,129 Bank of New York Mellon (The) Corp. 614,046 24,885 BGC Partners, Inc., Class A 90,830 6,853 Brightsphere Investment Group, Inc. 129,590 3,106 Evercore, Inc., Class A 310,507 2,638 Federated Hermes, Inc. 89,982 31,602 Franklin Resources, Inc. 867,475 SHARES DESCRIPTION VALUE ------------------------------------------------------------- CAPITAL MARKETS (CONTINUED) 1,984 Goldman Sachs Group (The), Inc. $ 661,446 22,530 Invesco Ltd. 399,682 10,526 Jefferies Financial Group, Inc. 342,832 6,728 Lazard Ltd., Class A 253,444 5,658 Morgan Stanley 476,969 1,604 Raymond James Financial, Inc. 157,946 4,036 SEI Investments Co. 223,433 9,559 State Street Corp. 679,071 5,190 Stifel Financial Corp. 310,414 6,484 T. Rowe Price Group, Inc. 800,580 1,757 Virtu Financial, Inc., Class A 40,991 --------------- 6,449,238 --------------- CHEMICALS -- 4.5% 1,225 Air Products and Chemicals, Inc. 304,082 1,411 Ashland Global Holdings, Inc. 141,763 3,627 Avient Corp. 156,505 3,287 Axalta Coating Systems Ltd. (a) 82,898 645 Cabot Corp. 47,898 6,263 Celanese Corp. 735,965 9,080 Chemours (The) Co. 323,157 7,949 Corteva, Inc. 457,465 14,273 Dow, Inc. 759,466 10,603 DuPont de Nemours, Inc. 649,222 6,565 Eastman Chemical Co. 629,780 8,514 Ecovyst, Inc. 87,098 1,340 FMC Corp. 148,874 2,414 H.B. Fuller Co. 154,979 12,819 Huntsman Corp. 371,238 652 Ingevity Corp. (a) 43,749 429 Innospec, Inc. 43,758 1,204 International Flavors & Fragrances, Inc. 149,356 8,423 LyondellBasell Industries N.V., Class A 750,658 2,734 Minerals Technologies, Inc. 182,659 15,597 Mosaic (The) Co. 821,338 137 NewMarket Corp. 42,580 1,840 Scotts Miracle-Gro (The) Co. 163,668 827 Stepan Co. 92,798 5,451 Trinseo PLC 194,982 3,707 Westlake Corp. 360,839 --------------- 7,896,775 --------------- COMMERCIAL SERVICES & SUPPLIES -- 0.3% 948 ABM Industries, Inc. 42,508 871 Brady Corp., Class A 41,677 13,977 BrightView Holdings, Inc. (a) 183,658 1,658 Clean Harbors, Inc. (a) 161,804 1,186 HNI Corp. 41,890 2,785 KAR Auction Services, Inc. (a) 47,624 487 UniFirst Corp. 95,398 --------------- 614,559 --------------- COMMUNICATIONS EQUIPMENT -- 0.3% 10,093 Cisco Systems, Inc. 457,919 Page 62 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMUNICATIONS EQUIPMENT (CONTINUED) 2,550 Juniper Networks, Inc. $ 71,477 1,215 NetScout Systems, Inc. (a) 43,230 --------------- 572,626 --------------- CONSTRUCTION & ENGINEERING -- 0.6% 4,855 API Group Corp. (a) 85,982 2,658 Arcosa, Inc. 137,047 1,412 EMCOR Group, Inc. 164,314 4,236 Granite Construction, Inc. 126,656 2,028 MasTec, Inc. (a) 160,070 8,079 MDU Resources Group, Inc. 230,817 7,708 Primoris Services Corp. 180,059 --------------- 1,084,945 --------------- CONSTRUCTION MATERIALS -- 0.1% 1,009 Vulcan Materials Co. 166,818 --------------- CONSUMER FINANCE -- 2.7% 21,983 Ally Financial, Inc. 726,978 1,035 American Express Co. 159,411 5,657 Bread Financial Holdings, Inc. 224,074 7,070 Capital One Financial Corp. 776,498 6,231 Discover Financial Services 629,331 592 FirstCash Holdings, Inc. 43,370 3,340 Green Dot Corp., Class A (a) 93,854 2,817 LendingTree, Inc. (a) 128,399 11,989 Navient Corp. 197,459 1,967 Nelnet, Inc., Class A 187,042 7,778 OneMain Holdings, Inc. 289,341 12,707 PROG Holdings, Inc. (a) 234,063 9,119 SLM Corp. 142,256 26,670 Synchrony Financial 892,912 --------------- 4,724,988 --------------- CONTAINERS & PACKAGING -- 1.7% 2,086 Ball Corp. 153,154 5,321 Berry Global Group, Inc. (a) 306,756 3,545 Graphic Packaging Holding Co. 78,876 2,689 Greif, Inc., Class A 189,897 17,610 International Paper Co. 753,180 11,980 O-I Glass, Inc. (a) 176,226 4,286 Packaging Corp. of America 602,654 12,392 Pactiv Evergreen, Inc. 126,646 3,515 Silgan Holdings, Inc. 156,418 3,029 TriMas Corp. 89,658 9,122 Westrock Co. 386,408 --------------- 3,019,873 --------------- DISTRIBUTORS -- 0.5% 1,078 Genuine Parts Co. 164,794 12,005 LKQ Corp. 658,354 --------------- 823,148 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.5% 35,454 ADT, Inc. 258,814 1,708 Frontdoor, Inc. (a) 45,723 SHARES DESCRIPTION VALUE ------------------------------------------------------------- DIVERSIFIED CONSUMER SERVICES (CONTINUED) 370 Graham Holdings Co., Class B $ 219,962 890 Grand Canyon Education, Inc. (a) 85,502 1,749 Strategic Education, Inc. 125,631 2,056 Stride, Inc. (a) 91,862 --------------- 827,494 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.9% 2,698 Berkshire Hathaway, Inc., Class B (a) 811,019 8,364 Equitable Holdings, Inc. 237,789 7,838 Jackson Financial, Inc., Class A 215,623 4,884 Voya Financial, Inc. 293,821 --------------- 1,558,252 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.2% 35,145 AT&T, Inc. 660,023 15,438 Frontier Communications Parent, Inc. (a) 399,999 21,531 Liberty Latin America Ltd., Class C (a) 158,037 33,310 Lumen Technologies, Inc. 362,746 11,612 Verizon Communications, Inc. 536,358 --------------- 2,117,163 --------------- ELECTRIC UTILITIES -- 3.6% 2,100 ALLETE, Inc. 130,347 5,027 Alliant Energy Corp. 306,295 4,486 American Electric Power Co., Inc. 442,140 4,014 Duke Energy Corp. 441,259 6,805 Edison International 461,175 3,821 Entergy Corp. 439,912 6,595 Evergy, Inc. 450,175 3,488 Eversource Energy 307,711 9,496 Exelon Corp. 441,469 7,675 FirstEnergy Corp. 315,442 1,777 Hawaiian Electric Industries, Inc. 75,167 686 IDACORP, Inc. 76,640 9,521 NRG Energy, Inc. 359,418 7,540 OGE Energy Corp. 309,743 59,049 PG&E Corp. (a) 641,272 3,976 Pinnacle West Capital Corp. 292,117 4,512 Portland General Electric Co. 231,646 10,861 PPL Corp. 315,838 4,164 Xcel Energy, Inc. 304,722 --------------- 6,342,488 --------------- ELECTRICAL EQUIPMENT -- 0.9% 1,305 AMETEK, Inc. 161,168 2,339 Eaton Corp. PLC 347,084 3,705 Emerson Electric Co. 333,709 1,422 EnerSys 93,724 23,724 GrafTech International Ltd. 182,675 407 Hubbell, Inc. 89,141 See Notes to Financial Statements Page 63 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRICAL EQUIPMENT (CONTINUED) 1,921 Regal Rexnord Corp. $ 257,990 3,111 Sunrun, Inc. (a) 101,699 --------------- 1,567,190 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.8% 3,242 Arrow Electronics, Inc. (a) 415,527 8,475 Avnet, Inc. 405,698 18,702 Corning, Inc. 687,485 4,279 II-VI, Inc. (a) 225,247 972 Insight Enterprises, Inc. (a) 90,794 2,316 IPG Photonics Corp. (a) 246,839 4,258 Jabil, Inc. 252,670 12,098 Knowles Corp. (a) 238,935 3,332 Methode Electronics, Inc. 137,412 982 OSI Systems, Inc. (a) 94,930 524 Plexus Corp. (a) 49,230 4,118 Sanmina Corp. (a) 189,634 2,393 TD SYNNEX Corp. 240,305 3,803 TE Connectivity Ltd. 508,575 382 Teledyne Technologies, Inc. (a) 149,515 2,463 Trimble, Inc. (a) 171,006 16,773 TTM Technologies, Inc. (a) 226,939 11,765 Vishay Intertechnology, Inc. 243,065 12,646 Vontier Corp. 326,267 --------------- 4,900,073 --------------- ENERGY EQUIPMENT & SERVICES -- 0.5% 9,396 Halliburton Co. 275,303 6,616 Noble Corp. (a) 198,480 8,240 Schlumberger N.V. 305,127 37,063 Transocean Ltd. (a) 125,273 --------------- 904,183 --------------- ENTERTAINMENT -- 0.0% 5,416 Warner Bros Discovery, Inc. (a) 81,240 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 2.7% 5,369 Acadia Realty Trust 91,971 5,717 Apple Hospitality REIT, Inc. 95,360 8,699 Brandywine Realty Trust 81,336 3,202 Corporate Office Properties Trust 90,136 3,248 Douglas Emmett, Inc. 76,783 17,556 Empire State Realty Trust, Inc., Class A 149,753 1,787 EPR Properties 96,158 5,923 Global Net Lease, Inc. 89,378 4,635 Host Hotels & Resorts, Inc. 82,549 11,302 Hudson Pacific Properties, Inc. 169,982 14,890 Industrial Logistics Properties Trust 149,347 15,292 iStar, Inc. 255,529 1,072 LTC Properties, Inc. 44,917 19,257 Macerich (The) Co. 204,317 679 National Health Investors, Inc. 44,026 SHARES DESCRIPTION VALUE ------------------------------------------------------------- EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 7,735 Omega Healthcare Investors, Inc. $ 239,785 2,427 Outfront Media, Inc. 44,802 17,071 Paramount Group, Inc. 134,007 2,483 Pebblebrook Hotel Trust 48,568 4,165 Physicians Realty Trust 74,012 12,784 Piedmont Office Realty Trust, Inc., Class A 175,908 7,866 Service Properties Trust 51,444 7,874 SL Green Realty Corp. 390,944 5,771 Spirit Realty Capital, Inc. 255,886 5,574 STORE Capital Corp. 161,757 12,442 Sunstone Hotel Investors, Inc. (a) 140,968 4,815 VICI Properties, Inc. 164,625 5,084 Vornado Realty Trust 154,503 3,935 Washington Real Estate Investment Trust 87,239 22,241 Weyerhaeuser Co. 807,793 1,731 WP Carey, Inc. 154,578 --------------- 4,808,361 --------------- FOOD & STAPLES RETAILING -- 1.2% 786 Casey's General Stores, Inc. 159,283 9,093 Kroger (The) Co. 422,279 574 PriceSmart, Inc. 38,102 6,624 Sprouts Farmers Market, Inc. (a) 183,087 4,257 United Natural Foods, Inc. (a) 180,965 2,369 US Foods Holding Corp. (a) 74,624 19,436 Walgreens Boots Alliance, Inc. 770,054 1,180 Walmart, Inc. 155,819 1,656 Weis Markets, Inc. 127,396 --------------- 2,111,609 --------------- FOOD PRODUCTS -- 3.1% 7,594 Archer-Daniels-Midland Co. 628,555 1,730 B&G Foods, Inc. (b) 42,748 8,123 Bunge Ltd. 749,997 1,513 Campbell Soup Co. 74,666 12,569 Conagra Brands, Inc. 429,985 3,646 Darling Ingredients, Inc. (a) 252,595 3,905 General Mills, Inc. 292,055 1,733 Hain Celestial Group (The), Inc. (a) 39,426 3,029 Hormel Foods Corp. 149,451 3,298 Ingredion, Inc. 300,052 3,362 J.M. Smucker (The) Co. 444,860 4,130 Kellogg Co. 305,290 3,761 Kraft Heinz (The) Co. 138,518 2,310 Mondelez International, Inc., Class A 147,932 3,530 Post Holdings, Inc. (a) 306,898 94 Seaboard Corp. 381,700 8,559 Tyson Foods, Inc., Class A 753,278 --------------- 5,438,006 --------------- GAS UTILITIES -- 0.7% 3,839 Atmos Energy Corp. 466,016 Page 64 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) GAS UTILITIES (CONTINUED) 1,579 Northwest Natural Holding Co. $ 84,745 1,790 ONE Gas, Inc. 152,042 835 Southwest Gas Holdings, Inc. 72,612 1,128 Spire, Inc. 84,871 9,412 UGI Corp. 406,222 --------------- 1,266,508 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 0.7% 1,505 Avanos Medical, Inc. (a) 42,697 6,103 DENTSPLY SIRONA, Inc. 220,684 3,964 Enovis Corp. (a) 236,730 3,772 Envista Holdings Corp. (a) 153,332 582 Integer Holdings Corp. (a) 40,676 3,283 Medtronic PLC 303,743 1,199 Teleflex, Inc. 288,312 --------------- 1,286,174 --------------- HEALTH CARE PROVIDERS & SERVICES -- 2.7% 1,075 Acadia Healthcare Co., Inc. (a) 89,128 691 Amedisys, Inc. (a) 82,816 1,695 Centene Corp. (a) 157,584 1,633 Cigna Corp. 449,663 4,644 CVS Health Corp. 444,338 1,818 DaVita, Inc. (a) 153,003 611 Elevance Health, Inc. 291,508 2,593 Encompass Health Corp. 131,258 3,845 Fulgent Genetics, Inc. (a) 229,739 1,894 Henry Schein, Inc. (a) 149,304 306 Humana, Inc. 147,492 3,143 Laboratory Corp. of America Holdings 824,063 2,667 Owens & Minor, Inc. 94,439 2,768 Patterson Cos., Inc. 85,974 1,958 Pediatrix Medical Group, Inc. (a) 44,368 2,037 Premier, Inc., Class A 78,343 5,540 Quest Diagnostics, Inc. 756,598 5,225 Select Medical Holdings Corp. 154,765 3,609 Universal Health Services, Inc., Class B 405,904 --------------- 4,770,287 --------------- HEALTH CARE TECHNOLOGY -- 0.2% 14,137 Allscripts Healthcare Solutions, Inc. (a) 223,647 15,276 Multiplan Corp. (a) 77,297 --------------- 300,944 --------------- HOTELS, RESTAURANTS & LEISURE -- 1.4% 8,480 Bally's Corp. (a) (b) 186,306 7,426 Bloomin' Brands, Inc. 151,416 5,602 Brinker International, Inc. (a) 155,456 1,557 Cheesecake Factory (The), Inc. 45,511 1,478 Cracker Barrel Old Country Store, Inc. 140,514 2,605 Darden Restaurants, Inc. 324,296 SHARES DESCRIPTION VALUE ------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE (CONTINUED) 3,765 Dave & Buster's Entertainment, Inc. (a) $ 140,660 2,034 Hilton Grand Vacations, Inc. (a) 82,926 20,356 MGM Resorts International 666,252 9,557 Penn National Gaming, Inc. (a) 330,194 993 Texas Roadhouse, Inc. 86,609 1,872 Travel + Leisure Co. 80,702 --------------- 2,390,842 --------------- HOUSEHOLD DURABLES -- 4.2% 4,662 Century Communities, Inc. 238,554 11,129 D.R. Horton, Inc. 868,396 4,380 Garmin Ltd. 427,576 895 Helen of Troy Ltd. (a) 119,742 7,367 KB Home 240,459 8,843 La-Z-Boy, Inc. 246,454 6,306 Leggett & Platt, Inc. 249,970 10,438 Lennar Corp., Class A 887,230 2,413 LGI Homes, Inc. (a) 272,186 6,489 M.D.C. Holdings, Inc. 235,226 5,286 M/I Homes, Inc. (a) 243,209 5,012 Meritage Homes Corp. (a) 442,560 2,929 Mohawk Industries, Inc. (a) 376,318 11,452 Newell Brands, Inc. 231,445 147 NVR, Inc. (a) 645,786 9,170 PulteGroup, Inc. 399,995 8,975 Taylor Morrison Home Corp. (a) 257,582 8,148 Toll Brothers, Inc. 400,719 12,428 Tri Pointe Homes, Inc. (a) 230,167 1,877 Whirlpool Corp. 324,477 --------------- 7,338,051 --------------- HOUSEHOLD PRODUCTS -- 0.1% 3,085 Central Garden & Pet Co., Class A (a) 125,868 2,665 Reynolds Consumer Products, Inc. 77,445 --------------- 203,313 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.1% 9,542 Vistra Corp. 246,661 --------------- INDUSTRIAL CONGLOMERATES -- 0.3% 3,325 3M Co. 476,273 --------------- INSURANCE -- 7.2% 10,651 Aflac, Inc. 610,302 4,650 Allstate (The) Corp. 543,910 7,950 American Equity Investment Life Holding Co. 298,602 1,571 American Financial Group, Inc. 210,011 14,407 American International Group, Inc. 745,850 12,955 Arch Capital Group Ltd. (a) 575,202 1,116 Argo Group International Holdings Ltd. 36,594 3,758 Assured Guaranty Ltd. 219,430 5,092 Axis Capital Holdings Ltd. 257,095 See Notes to Financial Statements Page 65 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 7,087 Brighthouse Financial, Inc. (a) $ 307,718 2,998 Chubb Ltd. 565,543 6,191 Cincinnati Financial Corp. 602,632 11,590 CNO Financial Group, Inc. 217,313 340 Enstar Group Ltd. (a) 67,293 1,037 Everest Re Group Ltd. 271,020 19,931 Fidelity National Financial, Inc. 796,443 6,867 First American Financial Corp. 398,286 59,393 Genworth Financial, Inc., Class A (a) 252,420 1,491 Globe Life, Inc. 150,188 497 Hanover Insurance Group (The), Inc. 67,826 9,007 Hartford Financial Services Group (The), Inc. 580,681 2,185 Horace Mann Educators Corp. 74,836 6,216 Lincoln National Corp. 319,129 9,944 Loews Corp. 579,238 456 Markel Corp. (a) 591,496 9,385 MetLife, Inc. 593,601 16,253 Old Republic International Corp. 378,207 607 Primerica, Inc. 78,115 4,412 Principal Financial Group, Inc. 295,339 6,159 Prudential Financial, Inc. 615,838 620 Reinsurance Group of America, Inc. 71,784 836 Selective Insurance Group, Inc. 65,091 7,591 SiriusPoint Ltd. (a) 33,249 4,214 Stewart Information Services Corp. 230,295 3,484 Travelers (The) Cos., Inc. 552,911 8,546 Unum Group 275,096 4,317 W.R. Berkley Corp. 269,942 --------------- 12,798,526 --------------- INTERACTIVE MEDIA & SERVICES -- 0.2% 1,481 Yelp, Inc. (a) 45,407 3,901 Ziff Davis, Inc. (a) 319,453 --------------- 364,860 --------------- INTERNET & DIRECT MARKETING RETAIL -- 0.2% 6,706 Overstock.com, Inc. (a) 194,474 73,051 Qurate Retail, Inc., Series A 199,429 --------------- 393,903 --------------- IT SERVICES -- 1.6% 6,376 Cognizant Technology Solutions Corp., Class A 433,313 9,592 DXC Technology Co. (a) 303,107 3,214 Fidelity National Information Services, Inc. 328,342 3,312 Fiserv, Inc. (a) 350,012 683 FleetCor Technologies, Inc. (a) 150,322 1,716 Genpact Ltd. 82,505 3,890 Global Payments, Inc. 475,825 22,295 Kyndryl Holdings, Inc. (a) 233,429 SHARES DESCRIPTION VALUE ------------------------------------------------------------- IT SERVICES (CONTINUED) 2,325 Maximus, Inc. $ 155,426 11,696 Rackspace Technology, Inc. (a) 78,831 8,182 SolarWinds Corp. 87,629 13,239 Western Union (The) Co. 225,328 --------------- 2,904,069 --------------- LEISURE PRODUCTS -- 0.9% 987 Acushnet Holdings Corp. 48,096 4,447 Brunswick Corp. 356,294 10,688 Callaway Golf Co. (a) 245,290 888 Hasbro, Inc. 69,903 3,182 Malibu Boats, Inc., Class A (a) 198,716 13,020 Mattel, Inc. (a) 302,064 1,464 Polaris, Inc. 171,698 7,515 Vista Outdoor, Inc. (a) 226,201 --------------- 1,618,262 --------------- LIFE SCIENCES TOOLS & SERVICES -- 0.0% 5,048 NeoGenomics, Inc. (a) 51,086 --------------- MACHINERY -- 3.1% 2,946 AGCO Corp. 320,878 720 Alamo Group, Inc. 93,175 522 Albany International Corp., Class A 47,643 5,671 Allison Transmission Holdings, Inc. 237,445 1,167 Altra Industrial Motion Corp. 48,699 1,009 Astec Industries, Inc. 49,572 5,386 Barnes Group, Inc. 182,155 1,648 Caterpillar, Inc. 326,716 2,224 Cummins, Inc. 492,194 1,510 Donaldson Co., Inc. 82,159 602 ESCO Technologies, Inc. 46,685 1,156 Federal Signal Corp. 47,997 2,638 Fortive Corp. 170,019 2,162 ITT, Inc. 162,215 7,220 Kennametal, Inc. 193,857 589 Lincoln Electric Holdings, Inc. 83,308 3,507 Mueller Water Products, Inc., Class A 45,661 2,654 Oshkosh Corp. 228,509 7,157 PACCAR, Inc. 655,009 583 Parker-Hannifin Corp. 168,540 1,753 Proto Labs, Inc. (a) 85,704 1,107 Snap-on, Inc. 248,023 5,620 Stanley Black & Decker, Inc. 546,995 694 Tennant Co. 46,519 6,128 Terex Corp. 205,349 5,480 Timken (The) Co. 358,282 1,699 Trinity Industries, Inc. 44,089 3,590 Westinghouse Air Brake Technologies Corp. 335,557 --------------- 5,552,954 --------------- MARINE -- 0.3% 4,986 Matson, Inc. 457,067 --------------- Page 66 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) MEDIA -- 2.4% 55,173 Advantage Solutions, Inc. (a) $ 244,968 18,773 Comcast Corp., Class A 704,363 20,268 DISH Network Corp., Class A (a) 352,055 16,813 E.W. Scripps (The) Co., Class A (a) 239,753 18,324 Fox Corp., Class A 606,708 9,931 Gray Television, Inc. 184,419 15,632 Interpublic Group of (The) Cos., Inc. 466,928 1,756 John Wiley & Sons, Inc., Class A 91,698 2,605 New York Times (The) Co., Class A 83,230 13,995 News Corp., Class A 239,874 4,632 Omnicom Group, Inc. 323,499 29,847 Paramount Global, Class B 705,882 --------------- 4,243,377 --------------- METALS & MINING -- 1.3% 1,474 Carpenter Technology Corp. 47,374 10,979 Commercial Metals Co. 434,988 10,495 Hecla Mining Co. 47,542 558 Materion Corp. 45,723 4,938 Newmont Corp. 223,593 2,140 Reliance Steel & Aluminum Co. 407,135 5,494 Steel Dynamics, Inc. 427,873 20,291 United States Steel Corp. 479,882 4,754 Worthington Industries, Inc. 243,452 --------------- 2,357,562 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 1.6% 61,490 Annaly Capital Management, Inc. 423,051 16,066 Apollo Commercial Real Estate Finance, Inc. 205,323 7,880 Blackstone Mortgage Trust, Inc., Class A 244,044 19,017 Chimera Investment Corp. 199,108 11,710 Ladder Capital Corp. 139,115 19,503 MFA Financial, Inc. 252,759 38,992 New Residential Investment Corp. 425,403 60,770 New York Mortgage Trust, Inc. 190,818 2,975 PennyMac Mortgage Investment Trust 45,696 27,193 Redwood Trust, Inc. 235,491 10,438 Starwood Property Trust, Inc. 246,546 33,680 Two Harbors Investment Corp. 181,198 --------------- 2,788,552 --------------- MULTILINE RETAIL -- 0.8% 920 Dollar Tree, Inc. (a) 152,131 10,182 Kohl's Corp. 296,704 19,837 Macy's, Inc. 350,123 5,841 Nordstrom, Inc. 137,322 SHARES DESCRIPTION VALUE ------------------------------------------------------------- MULTILINE RETAIL (CONTINUED) 3,047 Target Corp. $ 497,819 --------------- 1,434,099 --------------- MULTI-UTILITIES -- 1.6% 3,261 Ameren Corp. 303,664 2,837 Avista Corp. 119,892 1,998 Black Hills Corp. 154,245 19,923 CenterPoint Energy, Inc. 631,360 6,375 CMS Energy Corp. 438,154 4,525 Consolidated Edison, Inc. 449,197 1,797 Dominion Energy, Inc. 147,318 1,132 DTE Energy Co. 147,500 4,929 NiSource, Inc. 149,842 2,094 NorthWestern Corp. 116,112 1,425 WEC Energy Group, Inc. 147,929 --------------- 2,805,213 --------------- OIL, GAS & CONSUMABLE FUELS -- 3.1% 4,357 California Resources Corp. 195,455 5,088 Chevron Corp. 833,313 28,563 Coterra Energy, Inc. 873,742 1,228 CVR Energy, Inc. 41,187 8,602 Exxon Mobil Corp. 833,792 6,438 HF Sinclair Corp. 307,865 17,581 Kinder Morgan, Inc. 316,282 7,168 Marathon Petroleum Corp. 657,019 4,253 PBF Energy, Inc., Class A (a) 141,837 7,863 Peabody Energy Corp. (a) 165,044 5,249 Phillips 66 467,161 4,049 Valero Energy Corp. 448,508 8,198 World Fuel Services Corp. 227,249 --------------- 5,508,454 --------------- PERSONAL PRODUCTS -- 0.3% 18,148 Coty, Inc., Class A (a) 132,843 3,575 Edgewell Personal Care Co. 142,213 2,850 Nu Skin Enterprises, Inc., Class A 124,004 1,159 USANA Health Sciences, Inc. (a) 80,690 --------------- 479,750 --------------- PHARMACEUTICALS -- 0.7% 1,730 Corcept Therapeutics, Inc. (a) 49,582 808 Johnson & Johnson 141,012 3,232 Merck & Co., Inc. 288,747 6,461 Organon & Co. 204,943 1,423 Supernus Pharmaceuticals, Inc. (a) 45,180 56,285 Viatris, Inc. 545,402 --------------- 1,274,866 --------------- PROFESSIONAL SERVICES -- 0.8% 10,768 Alight, Inc., Class A (a) 81,191 3,221 ASGN, Inc. (a) 334,211 516 CACI International, Inc., Class A (a) 155,982 433 ICF International, Inc. 40,854 2,891 Korn Ferry 189,389 See Notes to Financial Statements Page 67 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) PROFESSIONAL SERVICES (CONTINUED) 722 Leidos Holdings, Inc. $ 77,254 2,854 ManpowerGroup, Inc. 223,782 781 Science Applications International Corp. 75,655 1,873 TriNet Group, Inc. (a) 154,522 --------------- 1,332,840 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.8% 21,328 Anywhere Real Estate, Inc. (a) 211,787 8,006 CBRE Group, Inc., Class A (a) 685,474 3,204 Howard Hughes (The) Corp. (a) 227,132 1,663 Jones Lang LaSalle, Inc. (a) 317,084 --------------- 1,441,477 --------------- ROAD & RAIL -- 1.3% 13,765 Hertz Global Holdings, Inc. (a) (b) 294,846 7,851 Knight-Swift Transportation Holdings, Inc. 431,413 9,972 Marten Transport Ltd. 214,996 1,296 Norfolk Southern Corp. 325,516 5,114 Ryder System, Inc. 400,529 9,368 Schneider National, Inc., Class B 237,291 4,352 Werner Enterprises, Inc. 191,314 4,527 XPO Logistics, Inc. (a) 270,443 --------------- 2,366,348 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.6% 21,440 Amkor Technology, Inc. 432,445 982 Analog Devices, Inc. 168,865 3,006 Cirrus Logic, Inc. (a) 256,893 7,555 Cohu, Inc. (a) 215,922 2,134 First Solar, Inc. (a) 211,629 19,691 Intel Corp. 714,980 13,325 Micron Technology, Inc. 824,284 7,810 Qorvo, Inc. (a) 812,786 7,952 Skyworks Solutions, Inc. 865,814 7,540 SMART Global Holdings, Inc. (a) 147,935 --------------- 4,651,553 --------------- SOFTWARE -- 0.3% 5,615 ACI Worldwide, Inc. (a) 160,196 93,597 Avaya Holdings Corp. (a) 84,106 3,324 Cerence, Inc. (a) 93,637 1,016 Dolby Laboratories, Inc., Class A 78,639 6,532 NortonLifeLock, Inc. 160,230 --------------- 576,808 --------------- SPECIALTY RETAIL -- 3.5% 32,505 American Eagle Outfitters, Inc. 391,360 1,238 Asbury Automotive Group, Inc. (a) 212,490 2,601 AutoNation, Inc. (a) 308,843 9,040 Best Buy Co., Inc. 695,990 SHARES DESCRIPTION VALUE ------------------------------------------------------------- SPECIALTY RETAIL (CONTINUED) 6,057 Buckle (The), Inc. $ 182,922 5,717 Camping World Holdings, Inc., Class A (b) 154,588 3,257 CarMax, Inc. (a) 324,202 14,392 Foot Locker, Inc. 408,301 17,641 Gap (The), Inc. 169,707 1,235 Group 1 Automotive, Inc. 218,496 9,837 Guess?, Inc. (b) 186,018 1,322 Lithia Motors, Inc. 350,700 1,956 Monro, Inc. 98,093 2,777 Penske Automotive Group, Inc. 317,939 14,793 Petco Health & Wellness Co., Inc. (a) (b) 205,919 6,346 Rent-A-Center, Inc. 149,321 4,196 Ross Stores, Inc. 340,967 14,071 Sally Beauty Holdings, Inc. (a) 179,827 5,724 Sonic Automotive, Inc., Class A 239,549 2,568 TJX (The) Cos., Inc. 157,059 764 Ulta Beauty, Inc. (a) 297,127 11,236 Urban Outfitters, Inc. (a) 230,113 10,394 Victoria's Secret & Co. (a) 384,162 --------------- 6,203,693 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.8% 21,614 3D Systems Corp. (a) 247,264 3,133 Corsair Gaming, Inc. (a) (b) 44,175 6,376 Dell Technologies, Inc., Class C 287,303 55,553 Hewlett Packard Enterprise Co. 791,075 17,978 HP, Inc. 600,285 2,199 NetApp, Inc. 156,855 3,059 Super Micro Computer, Inc. (a) 165,217 16,432 Western Digital Corp. (a) 806,811 --------------- 3,098,985 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.4% 3,094 Carter's, Inc. 252,099 4,062 Columbia Sportswear Co. 300,629 14,127 Hanesbrands, Inc. 157,940 5,139 Levi Strauss & Co., Class A 97,230 1,890 Oxford Industries, Inc. 180,306 6,387 PVH Corp. 395,483 2,432 Ralph Lauren Corp. 239,868 10,214 Skechers U.S.A., Inc., Class A (a) 387,723 2,381 Tapestry, Inc. 80,073 9,743 VF Corp. 435,317 --------------- 2,526,668 --------------- THRIFTS & MORTGAGE FINANCE -- 1.6% 3,443 Axos Financial, Inc. (a) 143,780 4,481 Capitol Federal Financial, Inc. 42,973 9,342 Essent Group Ltd. 390,122 28,842 MGIC Investment Corp. 407,826 5,706 Mr. Cooper Group, Inc. (a) 257,055 31,843 New York Community Bancorp, Inc. 338,173 Page 68 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) THRIFTS & MORTGAGE FINANCE (CONTINUED) 12,592 NMI Holdings, Inc., Class A (a) $ 238,492 4,797 PennyMac Financial Services, Inc. 262,827 5,545 Provident Financial Services, Inc. 135,076 18,494 Radian Group, Inc. 413,711 3,079 WSFS Financial Corp. 146,930 --------------- 2,776,965 --------------- TRADING COMPANIES & DISTRIBUTORS -- 2.0% 8,697 Air Lease Corp. 322,746 872 Applied Industrial Technologies, Inc. 87,714 2,830 Beacon Roofing Supply, Inc. (a) 169,857 3,524 Boise Cascade Co. 249,182 1,311 GATX Corp. 131,428 4,260 H&E Equipment Services, Inc. 152,295 1,104 McGrath RentCorp 93,133 1,935 MSC Industrial Direct Co., Inc., Class A 159,947 3,480 Rush Enterprises, Inc., Class A 167,701 6,902 Triton International Ltd. 442,280 3,033 United Rentals, Inc. (a) 978,658 11,690 Univar Solutions, Inc. (a) 316,098 2,714 WESCO International, Inc. (a) 346,958 --------------- 3,617,997 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.3% 13,278 Telephone and Data Systems, Inc. 209,925 1,066 T-Mobile US, Inc. (a) 152,502 7,240 United States Cellular Corp. (a) 212,060 --------------- 574,487 --------------- TOTAL COMMON STOCKS -- 99.9% 176,765,633 (Cost $181,330,736) --------------- MONEY MARKET FUNDS -- 0.4% 466,828 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 2.15% (c) (d) 466,828 133,856 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 1.75% (c) 133,856 --------------- TOTAL MONEY MARKET FUNDS -- 0.4% 600,684 (Cost $600,684) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.2% $ 411,236 BNP Paribas S.A., 2.16% (c), dated 07/29/22, due 08/01/22, with a maturity value of $411,310. Collateralized by U.S. Treasury Note, interest rate of 0.75%, due 01/31/28. The value of the collateral including accrued interest is $419,953. (d) $ 411,236 (Cost $411,236) --------------- TOTAL INVESTMENTS -- 100.5% 177,777,553 (Cost $182,342,656) NET OTHER ASSETS AND LIABILITIES -- (0.5)% (883,649) --------------- NET ASSETS -- 100.0% $ 176,893,904 =============== (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 $870,126 and the total value of the collateral held by the Fund is $878,064. (c) Rate shown reflects yield as of July 31, 2022. (d) This security serves as collateral for securities on loan. See Notes to Financial Statements Page 69 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 --------------------------------- 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) $ 870,126 Non-cash Collateral(2) (870,126) --------------- 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 July 31, 2022, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 411,236 Non-cash Collateral(4) (411,236) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2022, the value of the collateral received from each seller exceeded the value of the repurchase agreements. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 7/31/2022 PRICES INPUTS INPUTS ----------------------------------------------------------------------------- Common Stocks*.................................. $ 176,765,633 $ 176,765,633 $ -- $ -- Money Market Funds.............................. 600,684 600,684 -- -- Repurchase Agreements........................... 411,236 -- 411,236 -- ----------------------------------------------------------------------------- Total Investments............................... $ 177,777,553 $ 177,366,317 $ 411,236 $ -- ============================================================================= * See Portfolio of Investments for industry breakout. Page 70 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 0.6% 4,525 HEICO Corp. $ 713,638 553 TransDigm Group, Inc. (a) 344,154 --------------- 1,057,792 --------------- AIR FREIGHT & LOGISTICS -- 1.3% 7,609 Expeditors International of Washington, Inc. 808,456 3,271 FedEx Corp. 762,438 2,295 Forward Air Corp. 240,814 3,250 United Parcel Service, Inc., Class B 633,393 --------------- 2,445,101 --------------- AIRLINES -- 0.2% 23,082 American Airlines Group, Inc. (a) 316,454 --------------- AUTO COMPONENTS -- 0.4% 1,924 Dorman Products, Inc. (a) 194,497 1,817 Fox Factory Holding Corp. (a) 171,997 1,991 Gentherm, Inc. (a) 128,539 2,705 XPEL, Inc. (a) (b) 165,790 --------------- 660,823 --------------- AUTOMOBILES -- 0.2% 441 Tesla, Inc. (a) 393,129 --------------- BANKS -- 1.7% 4,325 Bancorp (The), Inc. (a) 106,395 3,665 Customers Bancorp, Inc. (a) 139,966 3,727 First Financial Bankshares, Inc. 164,659 2,057 First Republic Bank 334,694 1,871 Lakeland Financial Corp. 145,564 1,222 Live Oak Bancshares, Inc. 45,996 8,310 OFG Bancorp 228,276 31,642 Regions Financial Corp. 670,178 2,782 ServisFirst Bancshares, Inc. 237,722 2,823 Stock Yards Bancorp, Inc. 195,210 366 SVB Financial Group (a) 147,699 1,350 Triumph Bancorp, Inc. (a) 98,078 2,550 UMB Financial Corp. 230,775 2,885 Veritex Holdings, Inc. 89,262 3,109 Western Alliance Bancorp 237,465 --------------- 3,071,939 --------------- BEVERAGES -- 1.8% 3,234 Celsius Holdings, Inc. (a) 287,697 11,788 Coca-Cola (The) Co. 756,436 649 Coca-Cola Consolidated, Inc. 332,937 8,018 Duckhorn Portfolio (The), Inc. (a) 147,050 2,109 MGP Ingredients, Inc. 221,824 8,000 Monster Beverage Corp. (a) 796,960 4,450 PepsiCo, Inc. 778,572 --------------- 3,321,476 --------------- BIOTECHNOLOGY -- 5.3% 4,842 AbbVie, Inc. 694,875 2,940 ACADIA Pharmaceuticals, Inc. (a) 43,189 SHARES DESCRIPTION VALUE ------------------------------------------------------------- BIOTECHNOLOGY (CONTINUED) 12,281 Alkermes PLC (a) $ 314,394 3,633 Allogene Therapeutics, Inc. (a) 47,156 2,971 Alnylam Pharmaceuticals, Inc. (a) 422,001 15,722 Amicus Therapeutics, Inc. (a) 156,591 1,618 Apellis Pharmaceuticals, Inc. (a) 91,061 6,664 Arcus Biosciences, Inc. (a) 177,196 2,078 Arrowhead Pharmaceuticals, Inc. (a) 88,377 11,744 BioCryst Pharmaceuticals, Inc. (a) 129,419 9,298 Bridgebio Pharma, Inc. (a) 80,521 1,928 CareDx, Inc. (a) 45,867 1,536 Celldex Therapeutics, Inc. (a) 47,186 3,407 ChemoCentryx, Inc. (a) 80,473 4,816 CRISPR Therapeutics AG (a) 361,200 4,298 Cytokinetics, Inc. (a) 181,934 16,765 Dynavax Technologies Corp. (a) 241,081 5,285 Global Blood Therapeutics, Inc. (a) 172,925 8,315 Halozyme Therapeutics, Inc. (a) 406,603 5,432 Horizon Therapeutics PLC (a) 450,693 11,134 ImmunityBio, Inc. (a) (c) 43,311 2,100 Insmed, Inc. (a) 46,452 14,645 Ironwood Pharmaceuticals, Inc. (a) 167,685 19,057 Lyell Immunopharma, Inc. (a) (c) 106,147 1,090 Mirati Therapeutics, Inc. (a) 70,196 3,033 Moderna, Inc. (a) 497,685 2,065 Natera, Inc. (a) 97,055 3,002 Neurocrine Biosciences, Inc. (a) 282,578 4,402 Prometheus Biosciences, Inc. (a) 187,833 3,110 Prothena Corp. PLC (a) 96,597 5,269 PTC Therapeutics, Inc. (a) 229,465 10,372 Recursion Pharmaceuticals, Inc., Class A (a) 87,747 1,255 Regeneron Pharmaceuticals, Inc. (a) 730,021 2,125 REVOLUTION Medicines, Inc. (a) 48,004 1,282 Sage Therapeutics, Inc. (a) 44,114 3,905 Sarepta Therapeutics, Inc. (a) 362,970 2,449 Seagen, Inc. (a) 440,771 6,969 Travere Therapeutics, Inc. (a) 164,050 1,553 United Therapeutics Corp. (a) 358,852 4,243 Veracyte, Inc. (a) 111,761 1,645 Vericel Corp. (a) 53,528 2,632 Vertex Pharmaceuticals, Inc. (a) 738,039 11,491 Vir Biotechnology, Inc. (a) 319,565 6,169 Xencor, Inc. (a) 176,989 --------------- 9,694,157 --------------- BUILDING PRODUCTS -- 1.9% 4,014 A.O. Smith Corp. 253,966 2,269 AAON, Inc. 136,526 2,437 Advanced Drainage Systems, Inc. 289,028 2,242 Allegion PLC 236,979 See Notes to Financial Statements Page 71 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) BUILDING PRODUCTS (CONTINUED) 1,952 Armstrong World Industries, Inc. $ 174,411 4,371 AZEK (The) Co., Inc. (a) 90,392 6,813 Builders FirstSource, Inc. (a) 463,284 1,533 Carlisle Cos., Inc. 453,921 2,049 CSW Industrials, Inc. 244,794 2,444 Fortune Brands Home & Security, Inc. 170,298 5,085 Hayward Holdings, Inc. (a) 59,342 23,375 Janus International Group, Inc. (a) 237,724 3,016 Johnson Controls International PLC 162,593 708 Lennox International, Inc. 169,587 2,909 Simpson Manufacturing Co., Inc. 300,442 1,345 Trex Co., Inc. (a) 86,779 --------------- 3,530,066 --------------- CAPITAL MARKETS -- 3.8% 1,883 Affiliated Managers Group, Inc. 237,973 3,861 Ares Management Corp., Class A 276,641 3,493 Artisan Partners Asset Management, Inc., Class A 138,882 6,620 AssetMark Financial Holdings, Inc. (a) 125,714 980 B. Riley Financial, Inc. 50,509 3,252 Blackstone, Inc. 331,932 9,370 Carlyle Group (The), Inc. 364,587 2,586 Cboe Global Markets, Inc. 319,061 4,695 Charles Schwab (The) Corp. 324,190 1,449 CME Group, Inc. 289,046 2,301 Cohen & Steers, Inc. 169,561 3,071 Coinbase Global, Inc., Class A (a) (c) 193,350 1,127 FactSet Research Systems, Inc. 484,249 2,479 Focus Financial Partners, Inc., Class A (a) 100,226 9,587 Golub Capital BDC, Inc. (c) 134,601 617 Hamilton Lane, Inc., Class A 46,627 4,635 Houlihan Lokey, Inc. 391,936 1,330 Interactive Brokers Group, Inc., Class A 78,058 1,536 Intercontinental Exchange, Inc. 156,657 9,360 KKR & Co., Inc. 519,106 4,291 Moelis & Co., Class A 199,875 908 Morningstar, Inc. 231,858 350 MSCI, Inc. 168,469 1,945 Nasdaq, Inc. 351,850 3,075 Northern Trust Corp. 306,823 4,049 Open Lending Corp., Class A (a) 41,948 1,490 Piper Sandler Cos. 188,038 3,003 PJT Partners, Inc., Class A 214,654 3,243 StepStone Group, Inc., Class A 86,393 1,072 Tradeweb Markets, Inc., Class A 75,597 SHARES DESCRIPTION VALUE ------------------------------------------------------------- CAPITAL MARKETS (CONTINUED) 5,156 Victory Capital Holdings, Inc., Class A $ 142,666 727 Virtus Investment Partners, Inc. 149,995 --------------- 6,891,072 --------------- CHEMICALS -- 1.8% 2,256 Balchem Corp. 306,275 8,650 CF Industries Holdings, Inc. 825,988 12,792 Diversey Holdings Ltd. (a) 95,812 16,443 Element Solutions, Inc. 324,914 7,905 Olin Corp. 413,194 831 Quaker Chemical Corp. 134,797 3,718 RPM International, Inc. 336,107 2,096 Sensient Technologies Corp. 180,214 1,325 Sherwin-Williams (The) Co. 320,570 12,690 Valvoline, Inc. 408,872 --------------- 3,346,743 --------------- COMMERCIAL SERVICES & SUPPLIES -- 2.8% 3,477 Brink's (The) Co. 197,981 4,027 Casella Waste Systems, Inc., Class A (a) 325,986 2,170 Cimpress PLC (a) 87,212 1,588 Cintas Corp. 675,678 3,987 Copart, Inc. (a) 510,735 13,285 Driven Brands Holdings, Inc. (a) 403,598 6,699 IAA, Inc. (a) 252,753 5,667 Republic Services, Inc. 785,786 16,990 Rollins, Inc. 655,304 2,143 Tetra Tech, Inc. 328,458 4,848 Waste Management, Inc. 797,787 --------------- 5,021,278 --------------- COMMUNICATIONS EQUIPMENT -- 1.1% 3,164 Arista Networks, Inc. (a) 369,017 2,473 Calix, Inc. (a) 141,060 3,202 Ciena Corp. (a) 165,223 13,796 CommScope Holding Co., Inc. (a) 124,578 13,930 Extreme Networks, Inc. (a) 182,204 478 F5, Inc. (a) 79,998 7,727 Infinera Corp. (a) 50,612 2,764 Lumentum Holdings, Inc. (a) 250,032 2,067 Motorola Solutions, Inc. 493,166 2,756 Viasat, Inc. (a) 90,755 --------------- 1,946,645 --------------- CONSTRUCTION & ENGINEERING -- 0.7% 1,853 Ameresco, Inc., Class A (a) 106,028 2,539 Comfort Systems USA, Inc. 268,271 2,395 MYR Group, Inc. (a) 228,076 1,808 NV5 Global, Inc. (a) 245,165 9,028 WillScot Mobile Mini Holdings Corp. (a) 348,571 --------------- 1,196,111 --------------- Page 72 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) CONSTRUCTION MATERIALS -- 0.4% 1,997 Eagle Materials, Inc. $ 252,521 991 Martin Marietta Materials, Inc. 348,911 3,142 Summit Materials, Inc., Class A (a) 86,436 --------------- 687,868 --------------- CONSUMER FINANCE -- 0.6% 618 Credit Acceptance Corp. (a) (c) 355,913 3,654 Encore Capital Group, Inc. (a) 264,659 5,859 Enova International, Inc. (a) 202,194 10,629 LendingClub Corp. (a) 147,212 3,417 PRA Group, Inc. (a) 136,133 --------------- 1,106,111 --------------- CONTAINERS & PACKAGING -- 0.6% 3,665 Avery Dennison Corp. 698,036 6,338 Sealed Air Corp. 387,378 --------------- 1,085,414 --------------- DISTRIBUTORS -- 0.2% 1,233 Pool Corp. 441,044 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.5% 2,921 Coursera, Inc. (a) 40,573 10,358 H&R Block, Inc. 413,906 6,725 Mister Car Wash, Inc. (a) 78,010 5,293 Service Corp. International 394,117 11,902 Vivint Smart Home, Inc. (a) 56,891 --------------- 983,497 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.1% 7,883 Compass Diversified Holdings 190,217 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.3% 2,045 Cogent Communications Holdings, Inc. 130,492 68,641 Globalstar, Inc. (a) 96,097 7,793 Iridium Communications, Inc. (a) 348,425 --------------- 575,014 --------------- ELECTRIC UTILITIES -- 0.6% 2,712 MGE Energy, Inc. 220,702 7,659 NextEra Energy, Inc. 647,109 3,144 Otter Tail Corp. 220,929 --------------- 1,088,740 --------------- ELECTRICAL EQUIPMENT -- 1.0% 1,425 Acuity Brands, Inc. 259,920 15,337 Array Technologies, Inc. (a) 258,428 4,407 Atkore, Inc. (a) 437,483 5,117 Bloom Energy Corp., Class A (a) 103,517 5,345 ChargePoint Holdings, Inc. (a) (c) 80,763 2,031 Encore Wire Corp. 281,233 11,045 FuelCell Energy, Inc. (a) 39,651 686 Generac Holdings, Inc. (a) 184,054 SHARES DESCRIPTION VALUE ------------------------------------------------------------- ELECTRICAL EQUIPMENT (CONTINUED) 2,513 Shoals Technologies Group, Inc., Class A (a) $ 59,382 5,785 Stem, Inc. (a) 65,544 757 Vicor Corp. (a) 55,231 --------------- 1,825,206 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.2% 1,703 Advanced Energy Industries, Inc. 152,401 9,215 Amphenol Corp., Class A 710,753 1,536 Badger Meter, Inc. 147,748 3,962 Belden, Inc. 256,421 2,152 Keysight Technologies, Inc. (a) 349,915 1,440 Littelfuse, Inc. 401,573 491 Zebra Technologies Corp., Class A (a) 175,626 --------------- 2,194,437 --------------- ENERGY EQUIPMENT & SERVICES -- 0.6% 4,193 Cactus, Inc., Class A 174,387 14,745 ChampionX Corp. 308,023 13,393 Patterson-UTI Energy, Inc. 221,654 4,997 Valaris Ltd. (a) 250,749 7,976 Weatherford International PLC (a) 184,485 --------------- 1,139,298 --------------- ENTERTAINMENT -- 0.8% 5,400 AMC Entertainment Holdings, Inc., Class A (a) (c) 78,624 11,684 Liberty Media Corp.-Liberty Formula One, Class C (a) 791,825 1,398 Madison Square Garden Sports Corp. (a) 214,984 33,402 Skillz, Inc. (a) 52,775 3,004 Warner Music Group Corp., Class A 90,120 3,378 World Wrestling Entertainment, Inc., Class A 234,129 --------------- 1,462,457 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 6.4% 4,058 Agree Realty Corp. 322,976 6,922 Alexander & Baldwin, Inc. 137,817 4,129 American Homes 4 Rent, Class A 156,407 2,321 American Tower Corp. 628,596 1,759 Apartment Income REIT Corp. 79,753 743 AvalonBay Communities, Inc. 158,957 7,241 Brixmor Property Group, Inc. 167,846 8,233 Broadstone Net Lease, Inc. 186,642 1,074 Camden Property Trust 151,541 6,738 CareTrust REIT, Inc. 139,140 1,524 Centerspace 130,896 2,503 Cousins Properties, Inc. 77,218 1,762 Crown Castle International Corp. 318,323 3,426 CubeSmart 157,151 See Notes to Financial Statements Page 73 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 2,285 Digital Realty Trust, Inc. $ 302,648 7,884 Duke Realty Corp. 493,223 6,526 Easterly Government Properties, Inc. 132,282 474 EastGroup Properties, Inc. 80,836 451 Equinix, Inc. 317,387 6,148 Equity LifeStyle Properties, Inc. 452,001 2,000 Equity Residential 156,780 5,782 Essential Properties Realty Trust, Inc. 139,462 1,744 Extra Space Storage, Inc. 330,523 1,528 Federal Realty Investment Trust 161,372 1,541 First Industrial Realty Trust, Inc. 80,055 4,673 Four Corners Property Trust, Inc. 136,592 4,787 Gaming and Leisure Properties, Inc. 248,876 8,070 Healthcare Realty Trust, Inc., 211,838 2,140 Highwoods Properties, Inc. 76,120 4,073 Independence Realty Trust, Inc. 90,421 6,547 InvenTrust Properties Corp. (c) 187,703 8,337 Invitation Homes, Inc. 325,393 6,011 Iron Mountain, Inc. 291,473 7,305 Kimco Realty Corp. 161,514 4,232 Kite Realty Group Trust 84,174 1,663 Lamar Advertising Co., Class A 168,063 1,311 Life Storage, Inc. 165,042 4,792 Medical Properties Trust, Inc. 82,614 1,698 Mid-America Apartment Communities, Inc. 315,370 5,105 National Retail Properties, Inc. 243,049 2,923 National Storage Affiliates Trust 160,297 1,365 NexPoint Residential Trust, Inc. 90,827 2,812 PotlatchDeltic Corp. 137,872 949 Public Storage 309,763 9,787 Rayonier, Inc. 369,459 2,467 Regency Centers Corp. 158,949 5,350 Retail Opportunity Investments Corp. 93,411 2,541 Rexford Industrial Realty, Inc. 166,207 4,812 Ryman Hospitality Properties, Inc. (a) 426,054 1,354 SBA Communications Corp. 454,660 9,224 SITE Centers Corp. 134,763 3,723 Sun Communities, Inc. 610,423 1,313 Terreno Realty Corp. 82,259 8,963 Uniti Group, Inc. 89,361 8,169 Urban Edge Properties 134,217 6,377 Veris Residential, Inc. (a) 88,959 --------------- 11,755,555 --------------- FOOD & STAPLES RETAILING -- 0.8% 10,954 Albertsons Cos., Inc., Class A 294,115 5,871 BJ's Wholesale Club Holdings, Inc. (a) 397,467 1,547 Costco Wholesale Corp. 837,391 --------------- 1,528,973 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- FOOD PRODUCTS -- 0.7% 3,447 Hershey (The) Co. $ 785,778 9,952 Hostess Brands, Inc. (a) 225,114 5,588 Simply Good Foods (The) Co. (a) 182,281 --------------- 1,193,173 --------------- GAS UTILITIES -- 0.3% 1,303 Chesapeake Utilities Corp. 178,681 5,539 National Fuel Gas Co. 400,691 --------------- 579,372 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 3.2% 5,460 Abbott Laboratories 594,266 296 ABIOMED, Inc. (a) 86,731 1,014 AtriCure, Inc. (a) 50,102 2,980 Axonics, Inc. (a) 193,313 764 CONMED Corp. 74,589 461 Cooper (The) Cos., Inc. 150,747 2,725 CryoPort, Inc. (a) 101,370 3,120 Edwards Lifesciences Corp. (a) 313,685 2,607 Globus Medical, Inc., Class A (a) 153,005 438 Heska Corp. (a) 40,073 8,561 Hologic, Inc. (a) 611,084 1,827 Inari Medical, Inc. (a) 141,739 1,202 Inspire Medical Systems, Inc. (a) 251,206 663 Insulet Corp. (a) 164,291 4,063 Integra LifeSciences Holdings Corp. (a) 223,628 1,150 iRhythm Technologies, Inc. (a) 177,824 3,197 Lantheus Holdings, Inc. (a) 245,274 560 Masimo Corp. (a) 80,965 3,111 Merit Medical Systems, Inc. (a) 178,820 414 Mesa Laboratories, Inc. 88,286 1,053 Novocure Ltd. (a) 71,593 1,286 Omnicell, Inc. (a) 141,614 3,012 QuidelOrtho Corp. (a) 307,344 689 ResMed, Inc. 165,718 1,914 Shockwave Medical, Inc. (a) 403,720 1,190 STAAR Surgical Co. (a) 96,033 2,878 STERIS PLC 649,421 --------------- 5,756,441 --------------- HEALTH CARE PROVIDERS & SERVICES -- 2.4% 5,283 1Life Healthcare, Inc. (a) 89,494 11,700 AdaptHealth Corp. (a) 258,687 8,233 Agiliti, Inc. (a) 180,220 10,056 agilon health, Inc. (a) 251,702 14,799 Alignment Healthcare, Inc. (a) 217,249 3,335 AMN Healthcare Services, Inc. (a) 374,987 2,188 Apollo Medical Holdings, Inc. (a) 116,030 623 Chemed Corp. 299,719 1,147 CorVel Corp. (a) 189,129 1,765 HCA Healthcare, Inc. 374,921 7,449 LifeStance Health Group, Inc. (a) 44,396 Page 74 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 4,451 Oak Street Health, Inc. (a) $ 128,857 13,165 Option Care Health, Inc. (a) 442,344 1,426 Progyny, Inc. (a) 43,536 10,473 R1 RCM, Inc. (a) 261,825 4,886 RadNet, Inc. (a) 100,505 1,432 Surgery Partners, Inc. (a) 56,392 2,784 Tenet Healthcare Corp. (a) 184,078 1,444 UnitedHealth Group, Inc. 783,139 --------------- 4,397,210 --------------- HEALTH CARE TECHNOLOGY -- 0.5% 6,819 Certara, Inc. (a) 156,769 2,425 Doximity, Inc., Class A (a) 102,626 6,873 Evolent Health, Inc., Class A (a) 233,613 3,376 Phreesia, Inc. (a) 79,302 1,568 Schrodinger, Inc. (a) 49,079 1,498 Veeva Systems, Inc., Class A (a) 334,923 --------------- 956,312 --------------- HOTELS, RESTAURANTS & LEISURE -- 3.4% 5,883 Boyd Gaming Corp. 326,565 3,771 Caesars Entertainment, Inc. (a) 172,297 331 Chipotle Mexican Grill, Inc. (a) 517,757 2,622 Choice Hotels International, Inc. 316,921 1,528 Churchill Downs, Inc. 320,575 1,112 Domino's Pizza, Inc. 436,026 10,353 Everi Holdings, Inc. (a) 198,881 1,506 Jack in the Box, Inc. 104,125 3,114 Light & Wonder, Inc. (a) 158,627 3,004 McDonald's Corp. 791,164 6,580 Norwegian Cruise Line Holdings Ltd. (a) 79,947 1,752 Papa John's International, Inc. 167,999 3,228 Planet Fitness, Inc., Class A (a) 254,399 3,725 Red Rock Resorts, Inc., Class A 146,504 4,137 Royal Caribbean Cruises Ltd. (a) 160,143 4,969 SeaWorld Entertainment, Inc. (a) 237,170 3,891 Six Flags Entertainment Corp. (a) 88,209 5,672 Starbucks Corp. 480,872 11,627 Wendy's (The) Co. 244,516 4,454 Wyndham Hotels & Resorts, Inc. 309,152 5,227 Yum! Brands, Inc. 640,517 --------------- 6,152,366 --------------- HOUSEHOLD DURABLES -- 0.8% 862 Cavco Industries, Inc. (a) 222,215 2,030 Installed Building Products, Inc. 205,882 6,172 Skyline Champion Corp. (a) 390,688 4,680 Sonos, Inc. (a) 103,475 6,848 Tempur Sealy International, Inc. 188,183 1,751 TopBuild Corp. (a) 370,722 --------------- 1,481,165 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- HOUSEHOLD PRODUCTS -- 0.9% 6,403 Church & Dwight Co., Inc. $ 563,272 4,383 Energizer Holdings, Inc. 129,430 4,126 Procter & Gamble (The) Co. 573,143 2,059 Spectrum Brands Holdings, Inc. 143,183 839 WD-40 Co. 148,813 --------------- 1,557,841 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.3% 10,501 Clearway Energy, Inc., Class C 394,207 4,581 Sunnova Energy International, Inc. (a) 119,198 --------------- 513,405 --------------- INSURANCE -- 1.8% 2,200 Aon PLC, Class A 640,288 3,639 Arthur J. Gallagher & Co. 651,345 92,779 Bright Health Group, Inc. (a) (c) 155,869 7,426 Brown & Brown, Inc. 483,433 6,992 BRP Group, Inc., Class A (a) 192,769 1,593 Kinsale Capital Group, Inc. 387,433 4,777 Marsh & McLennan Cos., Inc. 783,237 1,214 Trupanion, Inc. (a) 76,518 --------------- 3,370,892 --------------- INTERACTIVE MEDIA & SERVICES -- 0.5% 3,980 Alphabet, Inc., Class A (a) 462,954 5,782 Cargurus, Inc. (a) 140,445 16,768 fuboTV, Inc. (a) 42,088 896 Meta Platforms, Inc., Class A (a) 142,554 723 Shutterstock, Inc. 40,849 8,384 ZipRecruiter, Inc., Class A (a) 146,971 --------------- 975,861 --------------- INTERNET & DIRECT MARKETING RETAIL -- 0.2% 4,215 Chewy, Inc., Class A (a) (c) 163,584 1,598 Revolve Group, Inc. (a) 45,256 3,662 Xometry, Inc., Class A (a) (c) 139,156 --------------- 347,996 --------------- IT SERVICES -- 4.4% 2,137 Accenture PLC, Class A 654,478 1,581 Akamai Technologies, Inc. (a) 152,124 2,825 Automatic Data Processing, Inc. 681,164 2,557 BigCommerce Holdings, Inc., Series 1 (a) 40,017 4,162 Broadridge Financial Solutions, Inc. 668,209 2,158 Concentrix Corp. 288,654 14,891 Cyxtera Technologies, Inc. (a) 181,521 1,769 DigitalOcean Holdings, Inc. (a) 72,494 1,470 EPAM Systems, Inc. (a) 513,398 3,369 EVERTEC, Inc. 131,357 2,483 ExlService Holdings, Inc. (a) 418,063 2,349 Flywire Corp. (a) 55,108 2,453 Gartner, Inc. (a) 651,222 4,208 GoDaddy, Inc., Class A (a) 312,149 See Notes to Financial Statements Page 75 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) IT SERVICES (CONTINUED) 10,039 Grid Dynamics Holdings, Inc. (a) $ 189,436 1,626 Jack Henry & Associates, Inc. 337,834 5,107 Marqeta, Inc., Class A (a) 48,976 1,373 Mastercard, Inc., Class A 485,754 3,805 Paychex, Inc. 488,105 10,566 Payoneer Global, Inc. (a) 56,422 1,842 Perficient, Inc. (a) 194,368 6,570 Repay Holdings Corp. (a) 88,038 21,313 Sabre Corp. (a) 131,075 2,554 Shift4 Payments, Inc., Class A (a) 93,042 4,036 Squarespace, Inc., Class A (a) 85,846 2,487 SS&C Technologies Holdings, Inc. 147,156 1,830 TTEC Holdings, Inc. 133,901 13,435 Verra Mobility Corp. (a) 221,543 2,201 Visa, Inc., Class A 466,854 --------------- 7,988,308 --------------- LEISURE PRODUCTS -- 0.0% 1,691 YETI Holdings, Inc. (a) 85,852 --------------- LIFE SCIENCES TOOLS & SERVICES -- 3.2% 2,498 Agilent Technologies, Inc. 334,982 13,931 Avantor, Inc. (a) 404,278 1,015 Azenta, Inc. 69,284 4,664 Bruker Corp. 319,717 675 Charles River Laboratories International, Inc. (a) 169,114 1,709 Danaher Corp. 498,122 2,734 IQVIA Holdings, Inc. (a) 656,898 5,151 Maravai LifeSciences Holdings, Inc., Class A (a) 134,389 1,956 Medpace Holdings, Inc. (a) 331,601 258 Mettler-Toledo International, Inc. (a) 348,230 2,086 PerkinElmer, Inc. 319,513 901 Repligen Corp. (a) 192,237 11,205 Sotera Health Co. (a) 215,136 4,083 Syneos Health, Inc. (a) 323,129 1,092 Thermo Fisher Scientific, Inc. 653,464 1,793 Waters Corp. (a) 652,706 478 West Pharmaceutical Services, Inc. 164,222 --------------- 5,787,022 --------------- MACHINERY -- 3.6% 3,343 Crane Holdings Co. 330,723 1,447 Deere & Co. 496,582 2,445 Dover Corp. 326,848 2,061 EnPro Industries, Inc. 192,662 4,501 Evoqua Water Technologies Corp. (a) 171,533 4,994 Franklin Electric Co., Inc. 453,555 2,463 Graco, Inc. 165,415 2,549 Helios Technologies, Inc. 175,422 SHARES DESCRIPTION VALUE ------------------------------------------------------------- MACHINERY (CONTINUED) 5,153 Hillenbrand, Inc. $ 238,069 3,266 IDEX Corp. 681,778 2,377 Illinois Tool Works, Inc. 493,846 7,049 Ingersoll Rand, Inc. 351,040 1,158 Kadant, Inc. 236,058 1,589 Lindsay Corp. 244,642 1,751 Middleby (The) Corp. (a) 253,352 3,961 Mueller Industries, Inc. 266,694 1,084 Nordson Corp. 250,393 8,395 Otis Worldwide Corp. 656,237 4,542 Shyft Group (The), Inc. 117,820 2,896 Toro (The) Co. 249,027 1,787 Watts Water Technologies, Inc., Class A 246,838 --------------- 6,598,534 --------------- MEDIA -- 1.4% 7,910 Altice USA, Inc., Class A (a) 83,134 170 Cable One, Inc. 234,036 925 Charter Communications, Inc., Class A (a) 399,693 38,708 Clear Channel Outdoor Holdings, Inc. (a) 59,997 5,249 iHeartMedia, Inc., Class A (a) 39,263 4,171 Integral Ad Science Holding Corp. (a) 39,499 2,565 Liberty Broadband Corp., Class C (a) 279,405 9,508 Magnite, Inc. (a) 72,641 2,246 Nexstar Media Group, Inc., Class A 423,079 6,091 Sinclair Broadcast Group, Inc., Class A 133,027 96,784 Sirius XM Holdings, Inc. (c) 646,517 9,273 WideOpenWest, Inc. (a) 170,438 --------------- 2,580,729 --------------- METALS & MINING -- 1.3% 6,421 Alcoa Corp. 326,765 14,282 Cleveland-Cliffs, Inc. (a) 252,934 1,170 Compass Minerals International, Inc. 43,559 14,807 Freeport-McMoRan, Inc. 467,161 4,562 MP Materials Corp. (a) 153,146 7,103 Nucor Corp. 964,588 1,370 Royal Gold, Inc. 143,535 --------------- 2,351,688 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 0.1% 6,440 Arbor Realty Trust, Inc. 107,033 1,094 Hannon Armstrong Sustainable Infrastructure Capital, Inc. 39,482 --------------- 146,515 --------------- MULTILINE RETAIL -- 0.3% 1,659 Dillard's, Inc., Class A 377,173 6,019 Franchise Group, Inc. 198,206 --------------- 575,379 --------------- Page 76 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) OIL, GAS & CONSUMABLE FUELS -- 9.4% 24,256 Antero Midstream Corp. $ 244,015 11,937 Antero Resources Corp. (a) 473,183 10,483 APA Corp. 389,653 1,475 Arch Resources, Inc. 190,482 4,308 Callon Petroleum Co. (a) 198,340 35,296 Centennial Resource Development, Inc., Class A (a) 235,071 5,575 Cheniere Energy, Inc. 833,909 1,735 Chord Energy Corp. 222,496 6,997 Civitas Resources, Inc. 412,543 17,473 Comstock Resources, Inc. (a) 278,345 8,257 ConocoPhillips 804,480 2,815 Denbury, Inc. (a) 202,427 13,457 Devon Energy Corp. 845,772 6,121 Diamondback Energy, Inc. 783,610 5,971 DT Midstream, Inc. 328,584 2,558 Enviva, Inc. 178,114 6,715 EOG Resources, Inc. 746,842 10,635 EQT Corp. 468,259 13,275 Equitrans Midstream Corp. 104,209 7,000 Hess Corp. 787,290 34,099 Kosmos Energy Ltd. (a) 216,188 17,430 Magnolia Oil & Gas Corp., Class A 420,586 32,989 Marathon Oil Corp. 818,127 7,853 Matador Resources Co. 453,746 12,119 Murphy Oil Corp. 425,862 8,356 Northern Oil and Gas, Inc. 240,904 12,595 Occidental Petroleum Corp. 828,121 13,362 ONEOK, Inc. 798,246 8,279 Ovintiv, Inc. 422,974 5,938 PDC Energy, Inc. 390,067 3,324 Pioneer Natural Resources Co. 787,622 14,782 Range Resources Corp. (a) 488,841 10,701 SM Energy Co. 441,737 6,131 Targa Resources Corp. 423,713 246 Texas Pacific Land Corp. 451,127 23,762 Williams (The) Cos., Inc. 810,047 --------------- 17,145,532 --------------- PAPER & FOREST PRODUCTS -- 0.2% 5,585 Louisiana-Pacific Corp. 355,374 --------------- PERSONAL PRODUCTS -- 0.5% 9,662 Beauty Health (The) Co. (a) 128,698 6,880 elf Beauty, Inc. (a) 230,686 567 Estee Lauder (The) Cos., Inc., Class A 154,848 2,311 Inter Parfums, Inc. 192,899 1,169 Medifast, Inc. 196,614 --------------- 903,745 --------------- PHARMACEUTICALS -- 2.3% 9,631 Bristol-Myers Squibb Co. 710,575 6,912 Catalent, Inc. (a) 781,747 2,287 Eli Lilly & Co. 754,001 SHARES DESCRIPTION VALUE ------------------------------------------------------------- PHARMACEUTICALS (CONTINUED) 4,328 Harmony Biosciences Holdings, Inc. (a) $ 219,560 6,410 Intra-Cellular Therapies, Inc. (a) 346,909 2,896 Pacira BioSciences, Inc. (a) 163,798 14,145 Pfizer, Inc. 714,464 3,590 Prestige Consumer Healthcare, Inc. (a) 216,513 1,726 Zoetis, Inc. 315,081 --------------- 4,222,648 --------------- PROFESSIONAL SERVICES -- 1.1% 5,282 CBIZ, Inc. (a) 240,965 2,391 CoStar Group, Inc. (a) 173,563 14,605 Dun & Bradstreet Holdings, Inc. (a) 230,175 2,400 Exponent, Inc. 241,176 6,664 First Advantage Corp. (a) 93,496 3,441 Kforce, Inc. 226,590 7,682 Legalzoom.com, Inc. (a) 80,507 2,931 Robert Half International, Inc. 231,959 1,805 TransUnion 143,010 4,083 Upwork, Inc. (a) 75,780 1,714 Verisk Analytics, Inc. 326,089 --------------- 2,063,310 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.5% 11,473 Compass, Inc., Class A (a) (c) 43,827 8,487 DigitalBridge Group, Inc. (a) 46,509 6,217 eXp World Holdings, Inc. 92,385 6,560 Kennedy-Wilson Holdings, Inc. 135,529 5,706 Marcus & Millichap, Inc. 233,489 12,849 Newmark Group, Inc., Class A 146,479 5,027 Redfin Corp. (a) 43,735 3,141 St. Joe (The) Co. 131,985 --------------- 873,938 --------------- ROAD & RAIL -- 2.2% 459 AMERCO 246,520 3,000 ArcBest Corp. 265,800 2,487 Avis Budget Group, Inc. (a) 452,709 14,909 CSX Corp. 482,008 3,768 J.B. Hunt Transport Services, Inc. 690,561 2,516 Landstar System, Inc. 393,955 5,510 Lyft, Inc., Class A (a) 76,368 2,315 Old Dominion Freight Line, Inc. 702,626 1,168 Saia, Inc. (a) 277,809 2,031 Union Pacific Corp. 461,646 --------------- 4,050,002 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 4.5% 5,017 ACM Research, Inc., Class A (a) 84,687 3,537 Allegro MicroSystems, Inc. (a) 87,824 1,587 Applied Materials, Inc. 168,190 3,079 Axcelis Technologies, Inc. (a) 216,546 611 Broadcom, Inc. 327,178 3,400 Diodes, Inc. (a) 276,658 See Notes to Financial Statements Page 77 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 3,798 Enphase Energy, Inc. (a) $ 1,079,316 1,567 Entegris, Inc. 172,213 4,360 FormFactor, Inc. (a) 155,042 2,878 Impinj, Inc. (a) 244,688 930 KLA Corp. 356,692 3,017 Lattice Semiconductor Corp. (a) 185,545 2,153 MaxLinear, Inc. (a) 87,003 2,486 Microchip Technology, Inc. 171,186 713 MKS Instruments, Inc. 84,277 1,128 Monolithic Power Systems, Inc. 524,204 2,004 NXP Semiconductors N.V. 368,495 11,793 ON Semiconductor Corp. (a) 787,537 4,197 Onto Innovation, Inc. (a) 349,400 3,902 Power Integrations, Inc. 331,709 4,644 QUALCOMM, Inc. 673,659 5,782 Rambus, Inc. (a) 146,169 2,662 Semtech Corp. (a) 165,922 1,044 Silicon Laboratories, Inc. (a) 153,969 898 SiTime Corp. (a) 167,010 2,820 Texas Instruments, Inc. 504,470 4,174 Ultra Clean Holdings, Inc. (a) 140,246 6,405 Veeco Instruments, Inc. (a) 139,629 --------------- 8,149,464 --------------- SOFTWARE -- 4.9% 2,009 Alarm.com Holdings, Inc. (a) 142,177 789 Altair Engineering, Inc., Class A (a) 46,480 1,744 Alteryx, Inc., Class A (a) 84,462 875 Appian Corp. (a) 42,464 2,197 Blackline, Inc. (a) 138,894 11,642 Box, Inc., Class A (a) 331,098 2,268 C3.ai, Inc., Class A (a) 41,754 2,888 Cadence Design Systems, Inc. (a) 537,399 2,685 CommVault Systems, Inc. (a) 150,602 857 Crowdstrike Holdings, Inc., Class A (a) 157,345 6,455 DoubleVerify Holdings, Inc. (a) 148,013 13,944 Dropbox, Inc., Class A (a) 317,087 3,662 Dynatrace, Inc. (a) 137,801 10,852 E2open Parent Holdings, Inc. (a) 73,251 1,081 Elastic N.V. (a) 86,361 1,387 Envestnet, Inc. (a) 80,821 1,485 Everbridge, Inc. (a) 37,333 548 Fair Isaac Corp. (a) 253,192 803 Five9, Inc. (a) 86,820 10,486 Fortinet, Inc. (a) 625,490 2,777 InterDigital, Inc. 170,480 375 Intuit, Inc. 171,064 2,954 Jamf Holding Corp. (a) 72,196 1,605 LiveRamp Holdings, Inc. (a) 42,709 1,277 Manhattan Associates, Inc. (a) 179,636 7,756 Marathon Digital Holdings, Inc. (a) (c) 100,750 562 Microsoft Corp. 157,776 SHARES DESCRIPTION VALUE ------------------------------------------------------------- SOFTWARE (CONTINUED) 6,201 Oracle Corp. $ 482,686 3,407 PagerDuty, Inc. (a) 88,344 1,201 Palo Alto Networks, Inc. (a) 599,419 515 Paycom Software, Inc. (a) 170,202 1,258 Paylocity Holding Corp. (a) 259,060 4,659 Progress Software Corp. 218,787 2,064 PTC, Inc. (a) 254,656 2,320 Qualys, Inc. (a) 283,782 9,885 Riot Blockchain, Inc. (a) (c) 72,358 624 ServiceNow, Inc. (a) 278,716 1,633 Splunk, Inc. (a) 169,685 713 Sprout Social, Inc., Class A (a) 37,147 1,942 SPS Commerce, Inc. (a) 232,574 1,954 Synopsys, Inc. (a) 718,095 4,834 Tenable Holdings, Inc. (a) 186,834 434 Tyler Technologies, Inc. (a) 173,166 8,611 Xperi Holding Corp. 144,320 9,163 Zeta Global Holdings Corp., Class A (a) 49,022 1,338 Zoom Video Communications, Inc., Class A (a) 138,965 --------------- 8,971,273 --------------- SPECIALTY RETAIL -- 3.4% 4,990 Abercrombie & Fitch Co., Class A (a) 88,872 5,939 Academy Sports & Outdoors, Inc. 255,555 2,503 Advance Auto Parts, Inc. 484,631 345 AutoZone, Inc. (a) 737,399 2,450 Boot Barn Holdings, Inc. (a) 152,635 6,396 Carvana Co. (a) (c) 186,443 1,942 Dick's Sporting Goods, Inc. 181,752 645 Five Below, Inc. (a) 81,960 2,324 Floor & Decor Holdings, Inc., Class A (a) 187,245 4,788 GameStop Corp., Class A (a) (c) 162,840 1,580 Home Depot (The), Inc. 475,485 9,641 Leslie's, Inc. (a) 146,158 2,480 Lowe's Cos., Inc. 474,994 1,571 Murphy USA, Inc. 446,730 3,070 National Vision Holdings, Inc. (a) 89,460 1,174 O'Reilly Automotive, Inc. (a) 826,015 4,106 Signet Jewelers Ltd. (c) 250,302 1,338 Sleep Number Corp. (a) 60,290 3,061 Tractor Supply Co. 586,120 1,978 Williams-Sonoma, Inc. 285,663 --------------- 6,160,549 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.6% 3,169 Apple, Inc. 514,994 4,788 Avid Technology, Inc. (a) 134,351 11,384 Pure Storage, Inc., Class A (a) 322,736 2,022 Seagate Technology Holdings PLC 161,720 --------------- 1,133,801 --------------- Page 78 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) TEXTILES, APPAREL & LUXURY GOODS -- 0.5% 1,503 Crocs, Inc. (a) $ 107,675 1,146 Deckers Outdoor Corp. (a) 358,939 3,724 Kontoor Brands, Inc. 135,926 1,413 NIKE, Inc., Class B 162,382 5,242 Steven Madden Ltd. 166,171 --------------- 931,093 --------------- THRIFTS & MORTGAGE FINANCE -- 0.2% 7,742 Columbia Financial, Inc. (a) 157,472 1,519 Walker & Dunlop, Inc. 171,100 --------------- 328,572 --------------- TOBACCO -- 0.6% 7,102 Altria Group, Inc. 311,494 6,009 Philip Morris International, Inc. 583,774 20,102 Vector Group Ltd. 223,936 --------------- 1,119,204 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.3% 15,077 Custom Truck One Source, Inc. (a) 93,327 8,679 Fastenal Co. 445,753 4,743 GMS, Inc. (a) 251,711 1,623 Herc Holdings, Inc. 201,285 1,231 SiteOne Landscape Supply, Inc. (a) 171,515 1,632 W.W. Grainger, Inc. 887,041 919 Watsco, Inc. 251,760 --------------- 2,302,392 --------------- WATER UTILITIES -- 0.6% 1,524 American States Water Co. 132,847 1,994 American Water Works Co., Inc. 309,947 2,237 California Water Service Group 134,399 6,384 Essential Utilities, Inc. 331,585 963 Middlesex Water Co. 91,591 2,706 SJW Group 177,676 --------------- 1,178,045 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.1% 10,430 Gogo, Inc. (a) 181,065 --------------- TOTAL COMMON STOCKS -- 99.9% 182,422,685 (Cost $172,220,855) --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- MONEY MARKET FUNDS -- 0.9% 1,444,885 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 2.15% (d) (e) $ 1,444,885 296,128 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 1.75% (d) 296,128 --------------- TOTAL MONEY MARKET FUNDS -- 0.9% 1,741,013 (Cost $1,741,013) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.7% $ 1,272,823 BNP Paribas S.A., 2.16% (d), dated 07/29/22, due 08/01/22, with a maturity value of $1,273,052. Collateralized by U.S. Treasury Note, interest rate of 0.75%, due 01/31/28. The value of the collateral including accrued interest is $1,299,801. (e) 1,272,823 (Cost $1,272,823) --------------- TOTAL INVESTMENTS -- 101.5% 185,436,521 (Cost $175,234,691) NET OTHER ASSETS AND LIABILITIES -- (1.5)% (2,750,842) --------------- NET ASSETS -- 100.0% $ 182,685,679 =============== (a) Non-income producing security. (b) This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933, as amended. (c) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements. The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $2,678,068 and the total value of the collateral held by the Fund is $2,717,708. (d) Rate shown reflects yield as of July 31, 2022. (e) This security serves as collateral for securities on loan. See Notes to Financial Statements Page 79 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 --------------------------------- OFFSETTING ASSETS AND LIABILITIES ------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 2,678,068 Non-cash Collateral(2) (2,678,068) --------------- 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 July 31, 2022, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 1,272,823 Non-cash Collateral(4) (1,272,823) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2022, the value of the collateral received from each seller exceeded the value of the repurchase agreements. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 7/31/2022 PRICES INPUTS INPUTS ----------------------------------------------------------------------------- Common Stocks*.................................. $ 182,422,685 $ 182,422,685 $ -- $ -- Money Market Funds.............................. 1,741,013 1,741,013 -- -- Repurchase Agreements........................... 1,272,823 -- 1,272,823 -- ----------------------------------------------------------------------------- Total Investments............................... $ 185,436,521 $ 184,163,698 $ 1,272,823 $ -- ============================================================================= * See Portfolio of Investments for industry breakout. Page 80 See Notes to Financial Statements FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 0.4% 5,466 BWX Technologies, Inc. $ 309,813 2,280 Curtiss-Wright Corp. 327,043 1,383 Huntington Ingalls Industries, Inc. 299,890 --------------- 936,746 --------------- AIR FREIGHT & LOGISTICS -- 0.3% 5,939 C.H. Robinson Worldwide, Inc. 657,447 --------------- AIRLINES -- 1.0% 30,070 Alaska Air Group, Inc. (a) 1,333,003 107,908 JetBlue Airways Corp. (a) 908,585 --------------- 2,241,588 --------------- AUTO COMPONENTS -- 2.8% 50,804 Adient PLC (a) 1,716,159 36,088 BorgWarner, Inc. 1,387,945 21,527 Gentex Corp. 607,492 140,555 Goodyear Tire & Rubber (The) Co. (a) 1,726,015 4,783 Lear Corp. 722,903 --------------- 6,160,514 --------------- AUTOMOBILES -- 1.4% 38,036 Harley-Davidson, Inc. 1,438,141 20,142 Thor Industries, Inc. 1,698,575 --------------- 3,136,716 --------------- BANKS -- 7.5% 32,088 Bank OZK 1,286,729 11,953 BOK Financial Corp. 1,052,222 25,643 Cadence Bank 669,282 8,205 Comerica, Inc. 638,103 9,292 East West Bancorp, Inc. 666,980 16,309 Eastern Bankshares, Inc. 332,704 83,169 F.N.B. Corp. 994,701 920 First Citizens BancShares, Inc., Class A 696,146 20,375 Hancock Whitney Corp. 994,504 14,495 Home BancShares, Inc. 342,082 45,172 PacWest Bancorp 1,266,171 12,491 Pinnacle Financial Partners, Inc. 988,038 11,739 Popular, Inc. 911,768 8,819 Prosperity Bancshares, Inc. 653,400 7,804 SouthState Corp. 661,545 33,405 Synovus Financial Corp. 1,348,894 17,170 United Bankshares, Inc. 665,166 57,840 Valley National Bancorp 676,150 7,141 Webster Financial Corp. 331,699 7,512 Wintrust Financial Corp. 646,332 17,743 Zions Bancorp N.A. 967,881 --------------- 16,790,497 --------------- BEVERAGES -- 0.7% 22,093 Molson Coors Beverage Co., Class B 1,320,057 6,154 National Beverage Corp. 333,423 --------------- 1,653,480 --------------- BIOTECHNOLOGY -- 0.1% 14,462 Exelixis, Inc. (a) 302,545 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- BUILDING PRODUCTS -- 1.6% 20,260 Owens Corning $ 1,878,912 17,674 UFP Industries, Inc. 1,629,720 --------------- 3,508,632 --------------- CAPITAL MARKETS -- 3.4% 12,866 Evercore, Inc., Class A 1,286,214 93,324 Invesco Ltd. 1,655,568 43,601 Jefferies Financial Group, Inc. 1,420,084 27,869 Lazard Ltd., Class A 1,049,825 16,719 SEI Investments Co. 925,564 21,497 Stifel Financial Corp. 1,285,736 --------------- 7,622,991 --------------- CHEMICALS -- 3.3% 5,842 Ashland Global Holdings, Inc. 586,946 15,022 Avient Corp. 648,199 13,616 Axalta Coating Systems Ltd. (a) 343,396 37,609 Chemours (The) Co. 1,338,504 10,000 H.B. Fuller Co. 642,000 53,098 Huntsman Corp. 1,537,718 7,622 Scotts Miracle-Gro (The) Co. 677,977 15,358 Westlake Corp. 1,494,948 --------------- 7,269,688 --------------- COMMERCIAL SERVICES & SUPPLIES -- 0.3% 6,869 Clean Harbors, Inc. (a) 670,346 --------------- COMMUNICATIONS EQUIPMENT -- 0.1% 10,565 Juniper Networks, Inc. 296,137 --------------- CONSTRUCTION & ENGINEERING -- 1.2% 20,111 API Group Corp. (a) 356,166 5,847 EMCOR Group, Inc. 680,415 8,403 MasTec, Inc. (a) 663,249 33,466 MDU Resources Group, Inc. 956,124 --------------- 2,655,954 --------------- CONSUMER FINANCE -- 0.8% 32,216 OneMain Holdings, Inc. 1,198,435 37,775 SLM Corp. 589,290 --------------- 1,787,725 --------------- CONTAINERS & PACKAGING -- 1.7% 22,039 Berry Global Group, Inc. (a) 1,270,548 14,686 Graphic Packaging Holding Co. 326,763 14,563 Silgan Holdings, Inc. 648,054 37,785 Westrock Co. 1,600,573 --------------- 3,845,938 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.5% 146,863 ADT, Inc. 1,072,100 --------------- DIVERSIFIED FINANCIAL SERVICES -- 1.0% 34,643 Equitable Holdings, Inc. 984,901 20,228 Voya Financial, Inc. 1,216,916 --------------- 2,201,817 --------------- See Notes to Financial Statements Page 81 FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.4% 63,946 Frontier Communications Parent, Inc. (a) $ 1,656,841 137,978 Lumen Technologies, Inc. 1,502,580 --------------- 3,159,421 --------------- ELECTRIC UTILITIES -- 2.5% 7,362 Hawaiian Electric Industries, Inc. 311,413 2,841 IDACORP, Inc. 317,397 39,436 NRG Energy, Inc. 1,488,709 31,230 OGE Energy Corp. 1,282,928 16,471 Pinnacle West Capital Corp. 1,210,124 18,688 Portland General Electric Co. 959,442 --------------- 5,570,013 --------------- ELECTRICAL EQUIPMENT -- 0.8% 1,686 Hubbell, Inc. 369,268 7,958 Regal Rexnord Corp. 1,068,759 12,888 Sunrun, Inc. (a) 421,309 --------------- 1,859,336 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 3.9% 13,429 Arrow Electronics, Inc. (a) 1,721,195 35,105 Avnet, Inc. 1,680,476 17,726 II-VI, Inc. (a) 933,097 9,595 IPG Photonics Corp. (a) 1,022,635 17,636 Jabil, Inc. 1,046,520 9,914 TD SYNNEX Corp. 995,564 52,382 Vontier Corp. 1,351,456 --------------- 8,750,943 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 2.7% 13,455 Douglas Emmett, Inc. 318,076 19,200 Host Hotels & Resorts, Inc. 341,952 32,038 Omega Healthcare Investors, Inc. 993,178 17,255 Physicians Realty Trust 306,622 32,617 SL Green Realty Corp. (b) 1,619,434 23,906 Spirit Realty Capital, Inc. 1,059,992 23,088 STORE Capital Corp. 670,014 21,062 Vornado Realty Trust 640,074 --------------- 5,949,342 --------------- FOOD & STAPLES RETAILING -- 0.4% 3,256 Casey's General Stores, Inc. 659,828 9,813 US Foods Holding Corp. (a) 309,110 --------------- 968,938 --------------- FOOD PRODUCTS -- 2.4% 6,267 Campbell Soup Co. 309,276 15,103 Darling Ingredients, Inc. (a) 1,046,336 13,661 Ingredion, Inc. 1,242,878 14,623 Post Holdings, Inc. (a) 1,271,324 388 Seaboard Corp. 1,575,528 --------------- 5,445,342 --------------- GAS UTILITIES -- 1.2% 7,416 ONE Gas, Inc. 629,915 SHARES DESCRIPTION VALUE ------------------------------------------------------------- GAS UTILITIES (CONTINUED) 3,459 Southwest Gas Holdings, Inc. $ 300,795 38,988 UGI Corp. 1,682,722 --------------- 2,613,432 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.1% 25,279 DENTSPLY SIRONA, Inc. 914,089 16,421 Enovis Corp. (a) 980,662 15,623 Envista Holdings Corp. (a) 635,075 --------------- 2,529,826 --------------- HEALTH CARE PROVIDERS & SERVICES -- 2.0% 4,454 Acadia Healthcare Co., Inc. (a) 369,281 2,865 Amedisys, Inc. (a) 343,370 7,530 DaVita, Inc. (a) 633,725 10,741 Encompass Health Corp. 543,710 7,845 Henry Schein, Inc. (a) 618,421 8,437 Premier, Inc., Class A 324,487 14,946 Universal Health Services, Inc., Class B 1,680,977 --------------- 4,513,971 --------------- HOTELS, RESTAURANTS & LEISURE -- 1.1% 8,425 Hilton Grand Vacations, Inc. (a) 343,487 39,588 Penn National Gaming, Inc. (a) 1,367,766 4,113 Texas Roadhouse, Inc. 358,736 7,757 Travel + Leisure Co. 334,404 --------------- 2,404,393 --------------- HOUSEHOLD DURABLES -- 4.7% 3,707 Helen of Troy Ltd. (a) 495,960 26,118 Leggett & Platt, Inc. 1,035,317 20,764 Meritage Homes Corp. (a) 1,833,461 12,130 Mohawk Industries, Inc. (a) 1,558,462 47,436 Newell Brands, Inc. 958,682 37,985 PulteGroup, Inc. 1,656,906 33,754 Toll Brothers, Inc. 1,660,022 7,777 Whirlpool Corp. 1,344,410 --------------- 10,543,220 --------------- HOUSEHOLD PRODUCTS -- 0.1% 11,039 Reynolds Consumer Products, Inc. 320,793 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.5% 39,526 Vistra Corp. 1,021,747 --------------- INSURANCE -- 6.0% 32,929 American Equity Investment Life Holding Co. 1,236,813 6,506 American Financial Group, Inc. 869,722 21,094 Axis Capital Holdings Ltd. 1,065,036 29,360 Brighthouse Financial, Inc. (a) 1,274,811 1,407 Enstar Group Ltd. (a) 278,474 4,297 Everest Re Group Ltd. 1,123,021 28,444 First American Financial Corp. 1,649,752 6,178 Globe Life, Inc. 622,310 Page 82 See Notes to Financial Statements FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 2,060 Hanover Insurance Group (The), Inc. $ 281,128 25,747 Lincoln National Corp. 1,321,851 67,321 Old Republic International Corp. 1,566,560 2,515 Primerica, Inc. 323,655 2,568 Reinsurance Group of America, Inc. 297,323 3,464 Selective Insurance Group, Inc. 269,707 35,398 Unum Group 1,139,462 --------------- 13,319,625 --------------- INTERACTIVE MEDIA & SERVICES -- 0.7% 3,964 IAC/InterActiveCorp. (a) 271,534 16,159 Ziff Davis, Inc. (a) 1,323,260 --------------- 1,594,794 --------------- IT SERVICES -- 1.9% 39,730 DXC Technology Co. (a) 1,255,468 7,107 Genpact Ltd. 341,704 92,353 Kyndryl Holdings, Inc. (a) 966,936 9,632 Maximus, Inc. 643,899 54,837 Western Union (The) Co. 933,326 --------------- 4,141,333 --------------- LEISURE PRODUCTS -- 2.1% 18,419 Brunswick Corp. 1,475,730 44,275 Callaway Golf Co. (a) 1,016,111 3,678 Hasbro, Inc. 289,532 53,929 Mattel, Inc. (a) 1,251,153 6,066 Polaris, Inc. 711,421 --------------- 4,743,947 --------------- MACHINERY -- 3.2% 12,201 AGCO Corp. 1,328,933 23,490 Allison Transmission Holdings, Inc. 983,526 6,255 Donaldson Co., Inc. 340,334 8,956 ITT, Inc. 671,969 2,439 Lincoln Electric Holdings, Inc. 344,972 10,996 Oshkosh Corp. 946,756 4,584 Snap-on, Inc. 1,027,045 22,700 Timken (The) Co. 1,484,126 --------------- 7,127,661 --------------- MARINE -- 0.9% 20,657 Matson, Inc. 1,893,627 --------------- MEDIA -- 1.3% 83,958 DISH Network Corp., Class A (a) 1,458,351 10,791 New York Times (The) Co., Class A 344,772 57,973 News Corp., Class A 993,657 --------------- 2,796,780 --------------- METALS & MINING -- 3.3% 45,479 Commercial Metals Co. 1,801,878 8,863 Reliance Steel & Aluminum Co. 1,686,186 22,758 Steel Dynamics, Inc. 1,772,393 SHARES DESCRIPTION VALUE ------------------------------------------------------------- METALS & MINING (CONTINUED) 84,048 United States Steel Corp. $ 1,987,735 --------------- 7,248,192 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 2.5% 254,708 Annaly Capital Management, Inc. 1,752,391 32,640 Blackstone Mortgage Trust, Inc., Class A 1,010,861 161,516 New Residential Investment Corp. 1,762,139 43,235 Starwood Property Trust, Inc. 1,021,211 --------------- 5,546,602 --------------- MULTILINE RETAIL -- 1.2% 42,178 Kohl's Corp. 1,229,067 82,170 Macy's, Inc. 1,450,300 --------------- 2,679,367 --------------- MULTI-UTILITIES -- 0.6% 8,275 Black Hills Corp. 638,830 20,417 NiSource, Inc. 620,677 --------------- 1,259,507 --------------- OIL, GAS & CONSUMABLE FUELS -- 0.6% 26,667 HF Sinclair Corp. 1,275,216 --------------- PERSONAL PRODUCTS -- 0.2% 75,174 Coty, Inc., Class A (a) 550,274 --------------- PHARMACEUTICALS -- 0.4% 26,763 Organon & Co. 848,922 --------------- PROFESSIONAL SERVICES -- 2.0% 44,602 Alight, Inc., Class A (a) 336,299 13,342 ASGN, Inc. (a) 1,384,366 2,136 CACI International, Inc., Class A (a) 645,691 2,990 Leidos Holdings, Inc. 319,930 11,820 ManpowerGroup, Inc. 926,806 3,233 Science Applications International Corp. 313,181 7,759 TriNet Group, Inc. (a) 640,118 --------------- 4,566,391 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 1.0% 13,273 Howard Hughes (The) Corp. (a) 940,923 6,887 Jones Lang LaSalle, Inc. (a) 1,313,144 --------------- 2,254,067 --------------- ROAD & RAIL -- 2.6% 57,019 Hertz Global Holdings, Inc. (a) (b) 1,221,347 32,519 Knight-Swift Transportation Holdings, Inc. 1,786,919 21,184 Ryder System, Inc. 1,659,131 18,756 XPO Logistics, Inc. (a) 1,120,483 --------------- 5,787,880 --------------- See Notes to Financial Statements Page 83 FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.7% 88,809 Amkor Technology, Inc. $ 1,791,278 12,453 Cirrus Logic, Inc. (a) 1,064,233 8,837 First Solar, Inc. (a) 876,365 --------------- 3,731,876 --------------- SOFTWARE -- 0.4% 23,259 ACI Worldwide, Inc. (a) 663,579 4,207 Dolby Laboratories, Inc., Class A 325,622 --------------- 989,201 --------------- SPECIALTY RETAIL -- 4.7% 134,643 American Eagle Outfitters, Inc. 1,621,102 10,776 AutoNation, Inc. (a) 1,279,542 59,616 Foot Locker, Inc. 1,691,306 73,076 Gap (The), Inc. 702,991 5,478 Lithia Motors, Inc. 1,453,204 11,503 Penske Automotive Group, Inc. 1,316,978 61,277 Petco Health & Wellness Co., Inc. (a) (b) 852,976 43,058 Victoria's Secret & Co. (a) 1,591,424 --------------- 10,509,523 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 3.4% 12,814 Carter's, Inc. 1,044,085 16,823 Columbia Sportswear Co. 1,245,070 58,515 Hanesbrands, Inc. 654,198 26,458 PVH Corp. 1,638,279 10,076 Ralph Lauren Corp. 993,796 42,308 Skechers U.S.A., Inc., Class A (a) 1,606,011 9,865 Tapestry, Inc. 331,760 --------------- 7,513,199 --------------- THRIFTS & MORTGAGE FINANCE -- 2.9% 38,697 Essent Group Ltd. 1,615,987 119,472 MGIC Investment Corp. 1,689,334 131,902 New York Community Bancorp, Inc. 1,400,799 76,606 Radian Group, Inc. 1,713,676 --------------- 6,419,796 --------------- TRADING COMPANIES & DISTRIBUTORS -- 3.3% 36,023 Air Lease Corp. 1,336,814 11,723 Beacon Roofing Supply, Inc. (a) 703,614 8,016 MSC Industrial Direct Co., Inc., Class A 662,603 28,591 Triton International Ltd. 1,832,111 48,421 Univar Solutions, Inc. (a) 1,309,304 11,243 WESCO International, Inc. (a) 1,437,305 --------------- 7,281,751 --------------- TOTAL COMMON STOCKS -- 99.8% 222,541,109 (Cost $233,010,844) --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- MONEY MARKET FUNDS -- 0.6% 1,234,789 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 2.15% (c) (d) $ 1,234,789 (Cost $1,234,789) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.5% $ 1,087,745 BNP Paribas S.A., 2.16% (c), dated 07/29/22, due 08/01/22, with a maturity value of $1,087,941. Collateralized by U.S. Treasury Note, interest rate of 0.75%, due 01/31/28. The value of the collateral including accrued interest is $1,110,801. (d) 1,087,745 (Cost $1,087,745) --------------- TOTAL INVESTMENTS -- 100.9% 224,863,643 (Cost $235,333,378) NET OTHER ASSETS AND LIABILITIES -- (0.9)% (1,970,050) --------------- NET ASSETS -- 100.0% $ 222,893,593 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $2,337,774 and the total value of the collateral held by the Fund is $2,322,534. (c) Rate shown reflects yield as of July 31, 2022. (d) This security serves as collateral for securities on loan. Page 84 See Notes to Financial Statements FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 --------------------------------- OFFSETTING ASSETS AND LIABILITIES ------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 2,337,774 Non-cash Collateral(2) (2,322,534) --------------- Net Amount $ 15,240 =============== (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 July 29, 2022, the last business day of the period, there was sufficient collateral based on the end of day market value from the prior business day; however, as a result of market movement from July 28 to July 29, the value of the related securities loaned was above the collateral value received. See Note 2D - Securities Lending in the Notes to Financial Statements. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 1,087,745 Non-cash Collateral(4) (1,087,745) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2022, the value of the collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 85 FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 7/31/2022 PRICES INPUTS INPUTS ----------------------------------------------------------------------------- Common Stocks*.................................. $ 222,541,109 $ 222,541,109 $ -- $ -- Money Market Funds.............................. 1,234,789 1,234,789 -- -- Repurchase Agreements........................... 1,087,745 -- 1,087,745 -- ----------------------------------------------------------------------------- Total Investments............................... $ 224,863,643 $ 223,775,898 $ 1,087,745 $ -- ============================================================================= * See Portfolio of Investments for industry breakout. Page 86 See Notes to Financial Statements FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% AIRLINES -- 0.6% 116,924 American Airlines Group, Inc. (a) $ 1,603,028 --------------- AUTO COMPONENTS -- 0.3% 9,204 Fox Factory Holding Corp. (a) 871,251 --------------- BANKS -- 1.6% 18,877 First Financial Bankshares, Inc. 833,986 14,089 ServisFirst Bancshares, Inc. 1,203,905 12,914 UMB Financial Corp. 1,168,717 15,750 Western Alliance Bancorp 1,202,985 --------------- 4,409,593 --------------- BEVERAGES -- 0.6% 3,287 Coca-Cola Consolidated, Inc. 1,686,231 --------------- BIOTECHNOLOGY -- 5.0% 62,210 Alkermes PLC (a) 1,592,576 8,197 Apellis Pharmaceuticals, Inc. (a) 461,327 10,527 Arrowhead Pharmaceuticals, Inc. (a) 447,713 24,397 CRISPR Therapeutics AG (a) 1,829,775 42,120 Halozyme Therapeutics, Inc. (a) 2,059,668 5,521 Mirati Therapeutics, Inc. (a) 355,553 10,459 Natera, Inc. (a) 491,573 15,209 Neurocrine Biosciences, Inc. (a) 1,431,623 19,779 Sarepta Therapeutics, Inc. (a) 1,838,458 7,864 United Therapeutics Corp. (a) 1,817,135 58,210 Vir Biotechnology, Inc. (a) 1,618,820 --------------- 13,944,221 --------------- BUILDING PRODUCTS -- 4.9% 20,336 A.O. Smith Corp. 1,286,659 12,345 Advanced Drainage Systems, Inc. 1,464,117 11,358 Allegion PLC 1,200,541 9,889 Armstrong World Industries, Inc. 883,582 22,142 AZEK (The) Co., Inc. (a) 457,896 34,511 Builders FirstSource, Inc. (a) 2,346,748 7,766 Carlisle Cos., Inc. 2,299,513 12,380 Fortune Brands Home & Security, Inc. 862,638 25,757 Hayward Holdings, Inc. (a) 300,584 3,588 Lennox International, Inc. 859,434 14,736 Simpson Manufacturing Co., Inc. 1,521,934 6,811 Trex Co., Inc. (a) 439,446 --------------- 13,923,092 --------------- CAPITAL MARKETS -- 3.2% 9,537 Affiliated Managers Group, Inc. 1,205,286 19,556 Ares Management Corp., Class A 1,401,188 13,098 Cboe Global Markets, Inc. 1,616,031 11,658 Cohen & Steers, Inc. 859,078 23,480 Houlihan Lokey, Inc. 1,985,469 6,738 Interactive Brokers Group, Inc., Class A 395,453 4,598 Morningstar, Inc. 1,174,099 SHARES DESCRIPTION VALUE ------------------------------------------------------------- CAPITAL MARKETS (CONTINUED) 5,431 Tradeweb Markets, Inc., Class A $ 382,994 --------------- 9,019,598 --------------- CHEMICALS -- 3.2% 11,427 Balchem Corp. 1,551,329 83,292 Element Solutions, Inc. 1,645,850 40,044 Olin Corp. 2,093,100 18,834 RPM International, Inc. 1,702,594 64,282 Valvoline, Inc. 2,071,166 --------------- 9,064,039 --------------- COMMERCIAL SERVICES & SUPPLIES -- 2.4% 20,399 Casella Waste Systems, Inc., Class A (a) 1,651,299 67,293 Driven Brands Holdings, Inc. (a) 2,044,361 33,932 IAA, Inc. (a) 1,280,254 10,857 Tetra Tech, Inc. 1,664,053 --------------- 6,639,967 --------------- COMMUNICATIONS EQUIPMENT -- 0.9% 16,221 Ciena Corp. (a) 837,004 2,422 F5, Inc. (a) 405,346 14,001 Lumentum Holdings, Inc. (a) 1,266,530 --------------- 2,508,880 --------------- CONSTRUCTION & ENGINEERING -- 0.6% 45,731 WillScot Mobile Mini Holdings Corp. (a) 1,765,674 --------------- CONSTRUCTION MATERIALS -- 0.6% 10,114 Eagle Materials, Inc. 1,278,915 15,915 Summit Materials, Inc., Class A (a) 437,822 --------------- 1,716,737 --------------- CONSUMER FINANCE -- 0.6% 3,132 Credit Acceptance Corp. (a) (b) 1,803,750 --------------- CONTAINERS & PACKAGING -- 0.7% 32,108 Sealed Air Corp. 1,962,441 --------------- DIVERSIFIED CONSUMER SERVICES -- 1.6% 52,470 H&R Block, Inc. 2,096,701 34,067 Mister Car Wash, Inc. (a) 395,177 26,812 Service Corp. International 1,996,422 --------------- 4,488,300 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.6% 39,473 Iridium Communications, Inc. (a) 1,764,838 --------------- ELECTRICAL EQUIPMENT -- 1.4% 7,218 Acuity Brands, Inc. 1,316,563 22,326 Atkore, Inc. (a) 2,216,302 27,074 ChargePoint Holdings, Inc. (a) (b) 409,088 --------------- 3,941,953 --------------- See Notes to Financial Statements Page 87 FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.7% 7,295 Littelfuse, Inc. $ 2,034,357 --------------- ENERGY EQUIPMENT & SERVICES -- 0.6% 74,690 ChampionX Corp. 1,560,274 --------------- ENTERTAINMENT -- 0.3% 27,354 AMC Entertainment Holdings, Inc., Class A (a) (b) 398,274 15,215 Warner Music Group Corp., Class A 456,450 --------------- 854,724 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 7.6% 20,554 Agree Realty Corp. 1,635,893 20,917 American Homes 4 Rent, Class A 792,336 8,910 Apartment Income REIT Corp. 403,979 36,680 Brixmor Property Group, Inc. 850,242 12,681 Cousins Properties, Inc. 391,209 17,353 CubeSmart 795,982 2,401 EastGroup Properties, Inc. 409,467 7,743 Federal Realty Investment Trust 817,738 7,807 First Industrial Realty Trust, Inc. 405,574 24,247 Gaming and Leisure Properties, Inc. 1,260,602 40,880 Healthcare Realty Trust, Inc. 1,073,100 10,841 Highwoods Properties, Inc. 385,614 30,450 Iron Mountain, Inc. 1,476,520 21,437 Kite Realty Group Trust 426,382 8,427 Lamar Advertising Co., Class A 851,633 6,639 Life Storage, Inc. 835,784 24,273 Medical Properties Trust, Inc. 418,467 25,859 National Retail Properties, Inc. 1,231,147 14,805 National Storage Affiliates Trust 811,906 49,579 Rayonier, Inc. 1,871,607 12,499 Regency Centers Corp. 805,311 12,872 Rexford Industrial Realty, Inc. 841,958 24,375 Ryman Hospitality Properties, Inc. (a) 2,158,162 6,650 Terreno Realty Corp. 416,622 --------------- 21,367,235 --------------- FOOD & STAPLES RETAILING -- 1.3% 55,487 Albertsons Cos., Inc., Class A 1,489,826 29,737 BJ's Wholesale Club Holdings, Inc. (a) 2,013,195 --------------- 3,503,021 --------------- GAS UTILITIES -- 0.7% 28,058 National Fuel Gas Co. 2,029,716 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 3.2% 1,497 ABIOMED, Inc. (a) 438,636 3,871 CONMED Corp. 377,926 13,205 Globus Medical, Inc., Class A (a) 775,001 6,087 Inspire Medical Systems, Inc. (a) 1,272,122 SHARES DESCRIPTION VALUE ------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 20,581 Integra LifeSciences Holdings Corp. (a) $ 1,132,778 2,837 Masimo Corp. (a) 410,174 5,333 Novocure Ltd. (a) 362,591 6,517 Omnicell, Inc. (a) 717,652 15,256 QuidelOrtho Corp. (a) 1,556,722 9,694 Shockwave Medical, Inc. (a) 2,044,755 --------------- 9,088,357 --------------- HEALTH CARE PROVIDERS & SERVICES -- 3.5% 50,937 agilon health, Inc. (a) 1,274,953 16,893 AMN Healthcare Services, Inc. (a) 1,899,449 3,158 Chemed Corp. 1,519,282 22,545 Oak Street Health, Inc. (a) 652,678 66,688 Option Care Health, Inc. (a) 2,240,717 53,051 R1 RCM, Inc. (a) 1,326,275 14,104 Tenet Healthcare Corp. (a) 932,556 --------------- 9,845,910 --------------- HEALTH CARE TECHNOLOGY -- 0.3% 34,543 Certara, Inc. (a) 794,144 --------------- HOTELS, RESTAURANTS & LEISURE -- 4.4% 29,801 Boyd Gaming Corp. 1,654,254 13,281 Choice Hotels International, Inc. 1,605,274 7,741 Churchill Downs, Inc. 1,624,062 15,775 Light & Wonder, Inc. (a) 803,579 33,332 Norwegian Cruise Line Holdings Ltd. (a) 404,984 8,875 Papa John's International, Inc. 851,024 16,350 Planet Fitness, Inc., Class A (a) 1,288,543 25,169 SeaWorld Entertainment, Inc. (a) 1,201,316 58,896 Wendy's (The) Co. 1,238,583 22,559 Wyndham Hotels & Resorts, Inc. 1,565,820 --------------- 12,237,439 --------------- HOUSEHOLD DURABLES -- 1.7% 31,266 Skyline Champion Corp. (a) 1,979,138 34,689 Tempur Sealy International, Inc. 953,254 8,869 TopBuild Corp. (a) 1,877,744 --------------- 4,810,136 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.7% 53,193 Clearway Energy, Inc., Class C 1,996,865 --------------- INSURANCE -- 0.8% 8,071 Kinsale Capital Group, Inc. 1,962,948 6,151 Trupanion, Inc. (a) 387,697 --------------- 2,350,645 --------------- INTERNET & DIRECT MARKETING RETAIL -- 0.3% 21,351 Chewy, Inc., Class A (a) (b) 828,632 --------------- IT SERVICES -- 2.6% 10,931 Concentrix Corp. 1,462,131 8,961 DigitalOcean Holdings, Inc. (a) 367,222 Page 88 See Notes to Financial Statements FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) IT SERVICES (CONTINUED) 12,579 ExlService Holdings, Inc. (a) $ 2,117,926 21,314 GoDaddy, Inc., Class A (a) 1,581,072 8,236 Jack Henry & Associates, Inc. 1,711,194 --------------- 7,239,545 --------------- LEISURE PRODUCTS -- 0.2% 8,566 YETI Holdings, Inc. (a) 434,896 --------------- LIFE SCIENCES TOOLS & SERVICES -- 2.9% 5,141 Azenta, Inc. 350,925 23,624 Bruker Corp. 1,619,425 26,093 Maravai LifeSciences Holdings, Inc., Class A (a) 680,766 9,906 Medpace Holdings, Inc. (a) 1,679,364 4,565 Repligen Corp. (a) 973,989 56,761 Sotera Health Co. (a) 1,089,811 20,684 Syneos Health, Inc. (a) 1,636,932 --------------- 8,031,212 --------------- MACHINERY -- 3.8% 16,932 Crane Holdings Co. 1,675,083 22,802 Evoqua Water Technologies Corp. (a) 868,984 25,297 Franklin Electric Co., Inc. 2,297,474 12,478 Graco, Inc. 838,022 8,870 Middleby (The) Corp. (a) 1,283,400 5,493 Nordson Corp. 1,268,828 14,671 Toro (The) Co. 1,261,559 9,052 Watts Water Technologies, Inc., Class A 1,250,353 --------------- 10,743,703 --------------- MEDIA -- 1.3% 40,071 Altice USA, Inc., Class A (a) 421,146 862 Cable One, Inc. 1,186,698 11,378 Nexstar Media Group, Inc., Class A 2,143,274 --------------- 3,751,118 --------------- METALS & MINING -- 1.6% 32,528 Alcoa Corp. 1,655,350 72,345 Cleveland-Cliffs, Inc. (a) 1,281,230 23,108 MP Materials Corp. (a) 775,736 6,942 Royal Gold, Inc. 727,313 --------------- 4,439,629 --------------- MULTILINE RETAIL -- 0.7% 8,402 Dillard's, Inc., Class A (b) 1,910,195 --------------- OIL, GAS & CONSUMABLE FUELS -- 11.5% 122,868 Antero Midstream Corp. 1,236,052 60,465 Antero Resources Corp. (a) 2,396,833 53,102 APA Corp. 1,973,801 35,442 Civitas Resources, Inc. 2,089,660 30,245 DT Midstream, Inc. 1,664,382 12,955 Enviva, Inc. 902,057 53,874 EQT Corp. 2,372,072 SHARES DESCRIPTION VALUE ------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS (CONTINUED) 88,293 Magnolia Oil & Gas Corp., Class A $ 2,130,510 39,777 Matador Resources Co. 2,298,315 61,386 Murphy Oil Corp. 2,157,104 41,938 Ovintiv, Inc. 2,142,612 30,081 PDC Energy, Inc. 1,976,021 74,879 Range Resources Corp. (a) 2,476,249 54,204 SM Energy Co. 2,237,541 31,059 Targa Resources Corp. 2,146,488 1,246 Texas Pacific Land Corp. 2,284,977 --------------- 32,484,674 --------------- PAPER & FOREST PRODUCTS -- 0.6% 28,288 Louisiana-Pacific Corp. 1,799,965 --------------- PHARMACEUTICALS -- 0.6% 32,468 Intra-Cellular Therapies, Inc. (a) 1,757,168 --------------- PROFESSIONAL SERVICES -- 1.3% 73,982 Dun & Bradstreet Holdings, Inc. (a) 1,165,956 12,156 Exponent, Inc. 1,221,556 14,847 Robert Half International, Inc. 1,174,992 --------------- 3,562,504 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.2% 31,491 eXp World Holdings, Inc. (b) 467,956 --------------- ROAD & RAIL -- 2.6% 2,325 AMERCO 1,248,711 12,600 Avis Budget Group, Inc. (a) 2,293,578 12,745 Landstar System, Inc. 1,995,612 27,910 Lyft, Inc., Class A (a) 386,833 5,914 Saia, Inc. (a) 1,406,645 --------------- 7,331,379 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.4% 17,915 Allegro MicroSystems, Inc. (a) 444,830 17,221 Diodes, Inc. (a) 1,401,273 15,284 Lattice Semiconductor Corp. (a) 939,966 10,908 MaxLinear, Inc. (a) 440,792 3,611 MKS Instruments, Inc. 426,820 21,259 Onto Innovation, Inc. (a) 1,769,812 19,766 Power Integrations, Inc. 1,680,308 13,486 Semtech Corp. (a) 840,582 5,286 Silicon Laboratories, Inc. (a) 779,579 4,547 SiTime Corp. (a) 845,651 --------------- 9,569,613 --------------- SOFTWARE -- 5.2% 11,131 Blackline, Inc. (a) 703,702 58,974 Box, Inc., Class A (a) 1,677,221 32,699 DoubleVerify Holdings, Inc. (a) 749,788 70,634 Dropbox, Inc., Class A (a) 1,606,217 5,478 Elastic N.V. (a) 437,637 7,023 Envestnet, Inc. (a) 409,230 2,773 Fair Isaac Corp. (a) 1,281,209 4,067 Five9, Inc. (a) 439,724 See Notes to Financial Statements Page 89 FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 14,964 Jamf Holding Corp. (a) $ 365,720 6,468 Manhattan Associates, Inc. (a) 909,854 6,375 Paylocity Holding Corp. (a) 1,312,804 10,457 PTC, Inc. (a) 1,290,185 11,754 Qualys, Inc. (a) 1,437,749 9,836 SPS Commerce, Inc. (a) 1,177,959 24,487 Tenable Holdings, Inc. (a) 946,423 --------------- 14,745,422 --------------- SPECIALTY RETAIL -- 3.1% 9,836 Dick's Sporting Goods, Inc. (b) 920,551 3,268 Five Below, Inc. (a) 415,265 11,774 Floor & Decor Holdings, Inc., Class A (a) 948,631 24,244 GameStop Corp., Class A (a) (b) 824,539 48,834 Leslie's, Inc. (a) 740,324 7,959 Murphy USA, Inc. 2,263,221 20,800 Signet Jewelers Ltd. (b) 1,267,968 10,022 Williams-Sonoma, Inc. 1,447,377 --------------- 8,827,876 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.6% 57,667 Pure Storage, Inc., Class A (a) 1,634,859 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.8% 7,616 Crocs, Inc. (a) 545,610 5,806 Deckers Outdoor Corp. (a) 1,818,497 --------------- 2,364,107 --------------- THRIFTS & MORTGAGE FINANCE -- 0.3% 7,695 Walker & Dunlop, Inc. 866,765 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.1% 8,223 Herc Holdings, Inc. 1,019,817 6,236 SiteOne Landscape Supply, Inc. (a) 868,862 4,656 Watsco, Inc. 1,275,511 --------------- 3,164,190 --------------- WATER UTILITIES -- 0.6% 32,335 Essential Utilities, Inc. 1,679,480 --------------- TOTAL COMMON STOCKS -- 99.9% 281,221,304 (Cost $273,389,731) --------------- MONEY MARKET FUNDS -- 1.2% 3,452,529 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 2.15% (c) (d) 3,452,529 (Cost $3,452,529) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 1.1% $ 3,041,390 BNP Paribas S.A., 2.16% (c), dated 07/29/22, due 08/01/22, with a maturity value of $3,041,937. Collateralized by U.S. Treasury Note, interest rate of 0.75%, due 01/31/28. The value of the collateral including accrued interest is $3,105,854. (d) $ 3,041,390 (Cost $3,041,390) --------------- TOTAL INVESTMENTS -- 102.2% 287,715,223 (Cost $279,883,650) NET OTHER ASSETS AND LIABILITIES -- (2.2)% (6,086,227) --------------- NET ASSETS -- 100.0% $ 281,628,996 =============== (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 $6,408,963 and the total value of the collateral held by the Fund is $6,493,919. (c) Rate shown reflects yield as of July 31, 2022. (d) This security serves as collateral for securities on loan. Page 90 See Notes to Financial Statements FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 --------------------------------- 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) $ 6,408,963 Non-cash Collateral(2) (6,408,963) --------------- 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 July 31, 2022, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 3,041,390 Non-cash Collateral(4) (3,041,390) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2022, the value of the collateral received from each seller exceeded the value of the repurchase agreements. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 7/31/2022 PRICES INPUTS INPUTS ----------------------------------------------------------------------------- Common Stocks*.................................. $ 281,221,304 $ 281,221,304 $ -- $ -- Money Market Funds.............................. 3,452,529 3,452,529 -- -- Repurchase Agreements........................... 3,041,390 -- 3,041,390 -- ----------------------------------------------------------------------------- Total Investments............................... $ 287,715,223 $ 284,673,833 $ 3,041,390 $ -- ============================================================================= * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 91 FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 1.0% 12,396 AAR Corp. (a) $ 551,994 39,889 Maxar Technologies, Inc. 1,096,150 6,533 Moog, Inc., Class A 559,486 --------------- 2,207,630 --------------- AIR FREIGHT & LOGISTICS -- 1.8% 45,281 Air Transport Services Group, Inc. (a) 1,419,107 21,081 Atlas Air Worldwide Holdings, Inc. (a) 1,596,042 14,671 Hub Group, Inc., Class A (a) 1,120,864 --------------- 4,136,013 --------------- AIRLINES -- 1.4% 6,751 Allegiant Travel Co. (a) 778,458 61,220 SkyWest, Inc. (a) 1,478,463 41,622 Sun Country Airlines Holdings, Inc. (a) 839,516 --------------- 3,096,437 --------------- AUTO COMPONENTS -- 1.8% 73,968 Dana, Inc. 1,239,704 9,303 LCI Industries 1,256,742 25,094 Patrick Industries, Inc. 1,523,708 --------------- 4,020,154 --------------- AUTOMOBILES -- 0.7% 26,790 Winnebago Industries, Inc. 1,617,312 --------------- BANKS -- 13.9% 25,901 Ameris Bancorp 1,224,858 56,994 Associated Banc-Corp. 1,145,579 22,502 Atlantic Union Bankshares Corp. 778,344 21,461 BankUnited, Inc. 833,760 9,229 Banner Corp. 572,106 20,938 Berkshire Hills Bancorp, Inc. 589,823 13,248 Cathay General Bancorp 552,442 26,642 Columbia Banking System, Inc. 803,789 25,744 Dime Community Bancshares, Inc. 877,356 16,101 Eagle Bancorp, Inc. 789,432 12,498 Enterprise Financial Services Corp. 587,781 13,224 FB Financial Corp. 566,648 14,860 First Bancorp 562,897 59,126 First BanCorp 892,211 22,698 First Busey Corp. 559,506 38,650 First Commonwealth Financial Corp. 572,793 53,646 First Financial Bancorp 1,198,452 37,273 First Foundation, Inc. 776,024 22,840 First Hawaiian, Inc. 582,192 14,562 First Merchants Corp. 604,760 52,826 Fulton Financial Corp. 881,666 18,375 Heartland Financial USA, Inc. 825,037 39,038 Hilltop Holdings, Inc. 1,126,246 75,198 Hope Bancorp, Inc. 1,130,978 3,746 Independent Bank Group, Inc. 264,917 SHARES DESCRIPTION VALUE ------------------------------------------------------------- BANKS (CONTINUED) 19,045 International Bancshares Corp. $ 835,314 6,650 National Bank Holdings Corp., Class A 276,773 13,798 NBT Bancorp, Inc. 559,371 40,522 Northwest Bancshares, Inc. 582,706 17,204 Old National Bancorp 299,522 35,592 Pacific Premier Bancorp, Inc. 1,197,315 2,098 Park National Corp. 271,817 26,912 Pathward Financial, Inc. 907,473 26,495 Renasant Corp. 884,933 19,539 Sandy Spring Bancorp, Inc. 806,961 35,906 Simmons First National Corp., Class A 852,767 9,854 Texas Capital Bancshares, Inc. (a) 577,641 28,114 TowneBank 839,765 17,769 Trustmark Corp. 576,959 8,427 United Community Banks, Inc. 286,771 25,429 Washington Federal, Inc. 867,892 32,820 WesBanco, Inc. 1,119,818 --------------- 31,043,395 --------------- BIOTECHNOLOGY -- 0.6% 41,910 Emergent BioSolutions, Inc. (a) 1,451,762 --------------- BUILDING PRODUCTS -- 1.5% 19,699 Gibraltar Industries, Inc. (a) 921,716 71,333 JELD-WEN Holding, Inc. (a) 1,268,301 53,590 Resideo Technologies, Inc. (a) 1,206,311 --------------- 3,396,328 --------------- CAPITAL MARKETS -- 1.0% 153,909 BGC Partners, Inc., Class A 561,768 42,382 Brightsphere Investment Group, Inc. 801,443 16,317 Federated Hermes, Inc. 556,573 10,870 Virtu Financial, Inc., Class A 253,597 --------------- 2,173,381 --------------- CHEMICALS -- 2.0% 3,990 Cabot Corp. 296,298 52,658 Ecovyst, Inc. 538,691 4,029 Ingevity Corp. (a) 270,346 2,656 Innospec, Inc. 270,912 16,967 Minerals Technologies, Inc. 1,133,565 846 NewMarket Corp. 262,937 5,116 Stepan Co. 574,066 33,824 Trinseo PLC 1,209,885 --------------- 4,556,700 --------------- COMMERCIAL SERVICES & SUPPLIES -- 1.3% 5,859 ABM Industries, Inc. 262,717 5,384 Brady Corp., Class A 257,624 86,727 BrightView Holdings, Inc. (a) 1,139,593 7,334 HNI Corp. 259,037 17,228 KAR Auction Services, Inc. (a) 294,599 3,011 UniFirst Corp. 589,825 --------------- 2,803,395 --------------- Page 92 See Notes to Financial Statements FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMUNICATIONS EQUIPMENT -- 0.1% 7,516 NetScout Systems, Inc. (a) $ 267,419 --------------- CONSTRUCTION & ENGINEERING -- 1.2% 16,439 Arcosa, Inc. 847,595 26,194 Granite Construction, Inc. 783,200 47,827 Primoris Services Corp. 1,117,239 --------------- 2,748,034 --------------- CONSUMER FINANCE -- 3.1% 35,102 Bread Financial Holdings, Inc. 1,390,390 3,660 FirstCash Holdings, Inc. 268,132 20,654 Green Dot Corp., Class A (a) 580,377 17,421 LendingTree, Inc. (a) 794,049 74,390 Navient Corp. 1,225,203 12,207 Nelnet, Inc., Class A 1,160,764 78,843 PROG Holdings, Inc. (a) 1,452,288 --------------- 6,871,203 --------------- CONTAINERS & PACKAGING -- 1.6% 16,684 Greif, Inc., Class A 1,178,224 74,097 O-I Glass, Inc. (a) 1,089,967 76,640 Pactiv Evergreen, Inc. 783,261 18,730 TriMas Corp. 554,408 --------------- 3,605,860 --------------- DIVERSIFIED CONSUMER SERVICES -- 1.6% 10,566 Frontdoor, Inc. (a) 282,852 2,295 Graham Holdings Co., Class B 1,364,354 5,506 Grand Canyon Education, Inc. (a) 528,961 10,813 Strategic Education, Inc. 776,698 12,717 Stride, Inc. (a) 568,196 --------------- 3,521,061 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.6% 48,632 Jackson Financial, Inc., Class A 1,337,866 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.4% 133,165 Liberty Latin America Ltd., Class C (a) 977,431 --------------- ELECTRIC UTILITIES -- 0.4% 12,987 ALLETE, Inc. 806,103 --------------- ELECTRICAL EQUIPMENT -- 0.8% 8,796 EnerSys 579,744 146,724 GrafTech International Ltd. 1,129,775 --------------- 1,709,519 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 3.5% 6,013 Insight Enterprises, Inc. (a) 561,674 75,067 Knowles Corp. (a) 1,482,573 20,608 Methode Electronics, Inc. 849,874 6,071 OSI Systems, Inc. (a) 586,884 3,242 Plexus Corp. (a) 304,586 SHARES DESCRIPTION VALUE ------------------------------------------------------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS (CONTINUED) 25,551 Sanmina Corp. (a) $ 1,176,624 104,074 TTM Technologies, Inc. (a) 1,408,121 73,002 Vishay Intertechnology, Inc. 1,508,221 --------------- 7,878,557 --------------- ENERGY EQUIPMENT & SERVICES -- 0.9% 41,055 Noble Corp. (a) 1,231,650 229,227 Transocean Ltd. (a) 774,787 --------------- 2,006,437 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 6.2% 33,205 Acadia Realty Trust 568,802 35,357 Apple Hospitality REIT, Inc. 589,755 53,804 Brandywine Realty Trust 503,067 19,805 Corporate Office Properties Trust 557,511 108,582 Empire State Realty Trust, Inc., Class A 926,205 11,053 EPR Properties 594,762 36,630 Global Net Lease, Inc. 552,747 69,901 Hudson Pacific Properties, Inc. 1,051,311 92,094 Industrial Logistics Properties Trust 923,703 94,889 iStar, Inc. 1,585,595 6,628 LTC Properties, Inc. 277,713 119,486 Macerich (The) Co. 1,267,746 4,196 National Health Investors, Inc. 272,069 15,012 Outfront Media, Inc. 277,122 105,577 Paramount Group, Inc. 828,779 15,355 Pebblebrook Hotel Trust 300,344 79,324 Piedmont Office Realty Trust, Inc., Class A 1,091,498 48,650 Service Properties Trust 318,171 76,949 Sunstone Hotel Investors, Inc. (a) 871,832 24,338 Washington Real Estate Investment Trust 539,573 --------------- 13,898,305 --------------- FOOD & STAPLES RETAILING -- 1.5% 3,551 PriceSmart, Inc. 235,715 41,103 Sprouts Farmers Market, Inc. (a) 1,136,087 26,415 United Natural Foods, Inc. (a) 1,122,902 10,242 Weis Markets, Inc. 787,917 --------------- 3,282,621 --------------- FOOD PRODUCTS -- 0.2% 10,701 B&G Foods, Inc. (b) 264,422 10,719 Hain Celestial Group (The), Inc. (a) 243,857 --------------- 508,279 --------------- GAS UTILITIES -- 0.5% 9,769 Northwest Natural Holding Co. 524,302 6,974 Spire, Inc. 524,724 --------------- 1,049,026 --------------- See Notes to Financial Statements Page 93 FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE EQUIPMENT & SUPPLIES -- 0.2% 9,307 Avanos Medical, Inc. (a) $ 264,039 3,602 Integer Holdings Corp. (a) 251,744 --------------- 515,783 --------------- HEALTH CARE PROVIDERS & SERVICES -- 1.7% 23,858 Fulgent Genetics, Inc. (a) 1,425,516 16,493 Owens & Minor, Inc. 584,017 17,118 Patterson Cos., Inc. 531,685 12,109 Pediatrix Medical Group, Inc. (a) 274,390 32,318 Select Medical Holdings Corp. 957,259 --------------- 3,772,867 --------------- HEALTH CARE TECHNOLOGY -- 0.8% 87,723 Allscripts Healthcare Solutions, Inc. (a) 1,387,778 94,476 Multiplan Corp. (a) 478,048 --------------- 1,865,826 --------------- HOTELS, RESTAURANTS & LEISURE -- 2.3% 52,615 Bally's Corp. (a) (b) 1,155,952 45,929 Bloomin' Brands, Inc. 936,492 34,648 Brinker International, Inc. (a) 961,482 9,629 Cheesecake Factory (The), Inc. 281,456 9,144 Cracker Barrel Old Country Store, Inc. 869,320 23,287 Dave & Buster's Entertainment, Inc. (a) 870,002 --------------- 5,074,704 --------------- HOUSEHOLD DURABLES -- 5.4% 28,929 Century Communities, Inc. 1,480,297 45,710 KB Home 1,491,974 54,869 La-Z-Boy, Inc. 1,529,199 14,970 LGI Homes, Inc. (a) 1,688,616 40,263 M.D.C. Holdings, Inc. 1,459,534 32,801 M/I Homes, Inc. (a) 1,509,174 55,691 Taylor Morrison Home Corp. (a) 1,598,332 77,115 Tri Pointe Homes, Inc. (a) 1,428,170 --------------- 12,185,296 --------------- HOUSEHOLD PRODUCTS -- 0.3% 19,080 Central Garden & Pet Co., Class A (a) 778,464 --------------- INSURANCE -- 3.0% 6,903 Argo Group International Holdings Ltd. 226,349 23,319 Assured Guaranty Ltd. 1,361,596 71,913 CNO Financial Group, Inc. 1,348,369 368,531 Genworth Financial, Inc., Class A (a) 1,566,257 13,514 Horace Mann Educators Corp. 462,855 46,946 SiriusPoint Ltd. (a) 205,623 26,149 Stewart Information Services Corp. 1,429,043 --------------- 6,600,092 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- INTERACTIVE MEDIA & SERVICES -- 0.1% 9,161 Yelp, Inc. (a) $ 280,876 --------------- INTERNET & DIRECT MARKETING RETAIL -- 1.1% 41,613 Overstock.com, Inc. (a) 1,206,777 453,280 Qurate Retail, Inc., Series A 1,237,454 --------------- 2,444,231 --------------- IT SERVICES -- 0.5% 72,339 Rackspace Technology, Inc. (a) 487,565 50,602 SolarWinds Corp. 541,947 --------------- 1,029,512 --------------- LEISURE PRODUCTS -- 1.3% 6,106 Acushnet Holdings Corp. 297,545 19,744 Malibu Boats, Inc., Class A (a) 1,233,013 46,627 Vista Outdoor, Inc. (a) 1,403,473 --------------- 2,934,031 --------------- LIFE SCIENCES TOOLS & SERVICES -- 0.1% 31,221 NeoGenomics, Inc. (a) 315,957 --------------- MACHINERY -- 3.1% 4,457 Alamo Group, Inc. 576,780 3,230 Albany International Corp., Class A 294,802 7,220 Altra Industrial Motion Corp. 301,290 6,239 Astec Industries, Inc. 306,522 33,422 Barnes Group, Inc. 1,130,332 3,723 ESCO Technologies, Inc. 288,719 7,146 Federal Signal Corp. 296,702 44,801 Kennametal, Inc. 1,202,907 21,691 Mueller Water Products, Inc., Class A 282,417 10,841 Proto Labs, Inc. (a) 530,016 4,293 Tennant Co. 287,760 38,025 Terex Corp. 1,274,218 10,506 Trinity Industries, Inc. 272,631 --------------- 7,045,096 --------------- MEDIA -- 2.1% 342,346 Advantage Solutions, Inc. (a) 1,520,016 104,323 E.W. Scripps (The) Co., Class A (a) 1,487,646 61,618 Gray Television, Inc. 1,144,247 10,860 John Wiley & Sons, Inc., Class A 567,109 --------------- 4,719,018 --------------- METALS & MINING -- 1.1% 9,117 Carpenter Technology Corp. 293,020 64,907 Hecla Mining Co. 294,029 3,451 Materion Corp. 282,775 29,498 Worthington Industries, Inc. 1,510,593 --------------- 2,380,417 --------------- Page 94 See Notes to Financial Statements FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 4.0% 99,686 Apollo Commercial Real Estate Finance, Inc. $ 1,273,987 117,996 Chimera Investment Corp. 1,235,418 72,423 Ladder Capital Corp. 860,385 121,016 MFA Financial, Inc. 1,568,367 377,076 New York Mortgage Trust, Inc. 1,184,019 18,398 PennyMac Mortgage Investment Trust 282,593 168,731 Redwood Trust, Inc. 1,461,211 208,981 Two Harbors Investment Corp. 1,124,318 --------------- 8,990,298 --------------- MULTILINE RETAIL -- 0.4% 36,124 Nordstrom, Inc. 849,275 --------------- MULTI-UTILITIES -- 0.7% 17,543 Avista Corp. 741,367 12,952 NorthWestern Corp. 718,189 --------------- 1,459,556 --------------- OIL, GAS & CONSUMABLE FUELS -- 2.1% 27,032 California Resources Corp. 1,212,655 7,594 CVR Energy, Inc. 254,703 26,303 PBF Energy, Inc., Class A (a) 877,205 48,793 Peabody Energy Corp. (a) 1,024,165 50,866 World Fuel Services Corp. 1,410,006 --------------- 4,778,734 --------------- PERSONAL PRODUCTS -- 1.0% 22,114 Edgewell Personal Care Co. 879,695 17,627 Nu Skin Enterprises, Inc., Class A 766,951 7,168 USANA Health Sciences, Inc. (a) 499,036 --------------- 2,145,682 --------------- PHARMACEUTICALS -- 0.3% 10,701 Corcept Therapeutics, Inc. (a) 306,690 8,797 Supernus Pharmaceuticals, Inc. (a) 279,305 --------------- 585,995 --------------- PROFESSIONAL SERVICES -- 0.6% 2,679 ICF International, Inc. 252,764 17,937 Korn Ferry 1,175,053 --------------- 1,427,817 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.6% 132,342 Anywhere Real Estate, Inc. (a) 1,314,156 --------------- ROAD & RAIL -- 1.8% 61,874 Marten Transport Ltd. 1,334,004 58,128 Schneider National, Inc., Class B 1,472,382 27,003 Werner Enterprises, Inc. 1,187,052 --------------- 3,993,438 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.0% 46,879 Cohu, Inc. (a) $ 1,339,802 46,629 SMART Global Holdings, Inc. (a) 914,861 --------------- 2,254,663 --------------- SOFTWARE -- 0.5% 580,765 Avaya Holdings Corp. (a) 521,876 20,559 Cerence, Inc. (a) 579,147 --------------- 1,101,023 --------------- SPECIALTY RETAIL -- 5.1% 7,683 Asbury Automotive Group, Inc. (a) 1,318,710 37,584 Buckle (The), Inc. 1,135,037 35,357 Camping World Holdings, Inc., Class A (b) 956,053 7,662 Group 1 Automotive, Inc. 1,355,561 61,041 Guess?, Inc. (b) 1,154,285 12,097 Monro, Inc. 606,665 39,244 Rent-A-Center, Inc. 923,411 87,310 Sally Beauty Holdings, Inc. (a) 1,115,822 35,515 Sonic Automotive, Inc., Class A 1,486,303 69,716 Urban Outfitters, Inc. (a) 1,427,784 --------------- 11,479,631 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.3% 134,114 3D Systems Corp. (a) 1,534,264 19,377 Corsair Gaming, Inc. (a) (b) 273,216 18,916 Super Micro Computer, Inc. (a) 1,021,653 --------------- 2,829,133 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.8% 31,782 Levi Strauss & Co., Class A 601,315 11,729 Oxford Industries, Inc. 1,118,947 --------------- 1,720,262 --------------- THRIFTS & MORTGAGE FINANCE -- 3.4% 21,293 Axos Financial, Inc. (a) 889,196 27,718 Capitol Federal Financial, Inc. 265,816 35,408 Mr. Cooper Group, Inc. (a) 1,595,130 78,133 NMI Holdings, Inc., Class A (a) 1,479,839 29,763 PennyMac Financial Services, Inc. 1,630,715 34,290 Provident Financial Services, Inc. 835,304 19,040 WSFS Financial Corp. 908,589 --------------- 7,604,589 --------------- TRADING COMPANIES & DISTRIBUTORS -- 2.4% 5,392 Applied Industrial Technologies, Inc. 542,381 21,867 Boise Cascade Co. 1,546,216 8,107 GATX Corp. 812,727 26,351 H&E Equipment Services, Inc. 942,048 6,825 McGrath RentCorp 575,757 See Notes to Financial Statements Page 95 FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) TRADING COMPANIES & DISTRIBUTORS (CONTINUED) 21,591 Rush Enterprises, Inc., Class A $ 1,040,470 --------------- 5,459,599 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 1.2% 82,387 Telephone and Data Systems, Inc. 1,302,539 44,922 United States Cellular Corp. (a) 1,315,765 --------------- 2,618,304 --------------- TOTAL COMMON STOCKS -- 99.9% 223,524,553 (Cost $238,682,907) --------------- MONEY MARKET FUNDS -- 0.7% 1,563,738 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 2.15% (c) (d) 1,563,738 (Cost $1,563,738) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.6% $ 1,377,523 BNP Paribas S.A., 2.16% (c), dated 07/29/22, due 08/01/22, with a maturity value of $1,377,771. Collateralized by U.S. Treasury Note, interest rate of 0.75%, due 01/31/28. The value of the collateral including accrued interest is $1,406,720. (d) 1,377,523 (Cost $1,377,523) --------------- TOTAL INVESTMENTS -- 101.2% 226,465,814 (Cost $241,624,168) NET OTHER ASSETS AND LIABILITIES -- (1.2)% (2,744,204) --------------- NET ASSETS -- 100.0% $ 223,721,610 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $2,855,353 and the total value of the collateral held by the Fund is $2,941,261. (c) Rate shown reflects yield as of July 31, 2022. (d) This security serves as collateral for securities on loan. --------------------------------- OFFSETTING ASSETS AND LIABILITIES ------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 2,855,353 Non-cash Collateral(2) (2,855,353) --------------- 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 July 31, 2022, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 1,377,523 Non-cash Collateral(4) (1,377,523) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2022, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 96 See Notes to Financial Statements FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 7/31/2022 PRICES INPUTS INPUTS ----------------------------------------------------------------------------- Common Stocks*.................................. $ 223,524,553 $ 223,524,553 $ -- $ -- Money Market Funds.............................. 1,563,738 1,563,738 -- -- Repurchase Agreements........................... 1,377,523 -- 1,377,523 -- ----------------------------------------------------------------------------- Total Investments............................... $ 226,465,814 $ 225,088,291 $ 1,377,523 $ -- ============================================================================= * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 97 FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% AIR FREIGHT & LOGISTICS -- 0.7% 12,614 Forward Air Corp. $ 1,323,587 --------------- AUTO COMPONENTS -- 1.3% 10,573 Dorman Products, Inc. (a) 1,068,825 10,942 Gentherm, Inc. (a) 706,415 14,867 XPEL, Inc. (a) (b) 911,198 --------------- 2,686,438 --------------- BANKS -- 2.9% 23,770 Bancorp (The), Inc. (a) 584,742 20,143 Customers Bancorp, Inc. (a) 769,261 10,281 Lakeland Financial Corp. 799,862 6,717 Live Oak Bancshares, Inc. 252,828 45,668 OFG Bancorp 1,254,500 15,512 Stock Yards Bancorp, Inc. 1,072,655 7,416 Triumph Bancorp, Inc. (a) 538,772 15,857 Veritex Holdings, Inc. 490,616 --------------- 5,763,236 --------------- BEVERAGES -- 1.8% 17,775 Celsius Holdings, Inc. (a) 1,581,264 44,064 Duckhorn Portfolio (The), Inc. (a) 808,134 11,589 MGP Ingredients, Inc. 1,218,931 --------------- 3,608,329 --------------- BIOTECHNOLOGY -- 8.1% 16,155 ACADIA Pharmaceuticals, Inc. (a) 237,317 19,967 Allogene Therapeutics, Inc. (a) 259,172 86,404 Amicus Therapeutics, Inc. (a) 860,584 36,621 Arcus Biosciences, Inc. (a) 973,752 64,543 BioCryst Pharmaceuticals, Inc. (a) 711,264 51,100 Bridgebio Pharma, Inc. (a) 442,526 10,597 CareDx, Inc. (a) 252,103 8,443 Celldex Therapeutics, Inc. (a) 259,369 18,725 ChemoCentryx, Inc. (a) 442,285 23,618 Cytokinetics, Inc. (a) 999,750 92,135 Dynavax Technologies Corp. (a) (c) 1,324,901 29,045 Global Blood Therapeutics, Inc. (a) 950,352 61,188 ImmunityBio, Inc. (a) (c) 238,021 11,543 Insmed, Inc. (a) 255,331 80,485 Ironwood Pharmaceuticals, Inc. (a) 921,553 104,733 Lyell Immunopharma, Inc. (a) (c) 583,363 24,189 Prometheus Biosciences, Inc. (a) 1,032,145 17,090 Prothena Corp. PLC (a) 530,815 28,956 PTC Therapeutics, Inc. (a) 1,261,034 57,001 Recursion Pharmaceuticals, Inc., Class A (a) 482,229 11,679 REVOLUTION Medicines, Inc. (a) 263,829 7,047 Sage Therapeutics, Inc. (a) 242,487 38,299 Travere Therapeutics, Inc. (a) 901,558 23,316 Veracyte, Inc. (a) 614,143 SHARES DESCRIPTION VALUE ------------------------------------------------------------- BIOTECHNOLOGY (CONTINUED) 9,040 Vericel Corp. (a) $ 294,162 33,905 Xencor, Inc. (a) 972,734 --------------- 16,306,779 --------------- BUILDING PRODUCTS -- 1.7% 12,470 AAON, Inc. 750,320 11,259 CSW Industrials, Inc. 1,345,113 128,459 Janus International Group, Inc. (a) 1,306,428 --------------- 3,401,861 --------------- CAPITAL MARKETS -- 4.4% 19,197 Artisan Partners Asset Management, Inc., Class A 763,273 36,380 AssetMark Financial Holdings, Inc. (a) 690,856 5,388 B. Riley Financial, Inc. 277,698 13,623 Focus Financial Partners, Inc., Class A (a) 550,778 52,690 Golub Capital BDC, Inc. (c) 739,768 3,388 Hamilton Lane, Inc., Class A 256,031 23,583 Moelis & Co., Class A 1,098,496 22,250 Open Lending Corp., Class A (a) 230,510 8,186 Piper Sandler Cos. 1,033,073 16,505 PJT Partners, Inc., Class A 1,179,777 17,825 StepStone Group, Inc., Class A 474,858 28,334 Victory Capital Holdings, Inc., Class A 784,002 3,992 Virtus Investment Partners, Inc. 823,629 --------------- 8,902,749 --------------- CHEMICALS -- 1.1% 70,302 Diversey Holdings Ltd. (a) 526,562 4,567 Quaker Chemical Corp. 740,813 11,519 Sensient Technologies Corp. 990,404 --------------- 2,257,779 --------------- COMMERCIAL SERVICES & SUPPLIES -- 0.8% 19,107 Brink's (The) Co. 1,087,953 11,928 Cimpress PLC (a) 479,386 --------------- 1,567,339 --------------- COMMUNICATIONS EQUIPMENT -- 1.6% 13,591 Calix, Inc. (a) 775,231 75,815 CommScope Holding Co., Inc. (a) 684,609 76,553 Extreme Networks, Inc. (a) 1,001,313 42,466 Infinera Corp. (a) 278,152 15,148 Viasat, Inc. (a) 498,824 --------------- 3,238,129 --------------- CONSTRUCTION & ENGINEERING -- 2.3% 10,184 Ameresco, Inc., Class A (a) 582,728 13,951 Comfort Systems USA, Inc. 1,474,063 13,163 MYR Group, Inc. (a) 1,253,513 9,937 NV5 Global, Inc. (a) 1,347,457 --------------- 4,657,761 --------------- Page 98 See Notes to Financial Statements FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) CONSUMER FINANCE -- 2.0% 20,079 Encore Capital Group, Inc. (a) $ 1,454,322 32,199 Enova International, Inc. (a) 1,111,187 58,414 LendingClub Corp. (a) 809,034 18,781 PRA Group, Inc. (a) 748,235 --------------- 4,122,778 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.3% 16,052 Coursera, Inc. (a) 222,962 65,408 Vivint Smart Home, Inc. (a) 312,650 --------------- 535,612 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.5% 43,323 Compass Diversified Holdings (c) 1,045,384 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.6% 11,238 Cogent Communications Holdings, Inc. 717,097 377,230 Globalstar, Inc. (a) 528,122 --------------- 1,245,219 --------------- ELECTRIC UTILITIES -- 1.2% 14,904 MGE Energy, Inc. 1,212,888 17,279 Otter Tail Corp. 1,214,195 --------------- 2,427,083 --------------- ELECTRICAL EQUIPMENT -- 2.4% 84,286 Array Technologies, Inc. (a) 1,420,219 28,120 Bloom Energy Corp., Class A (a) 568,868 11,162 Encore Wire Corp. 1,545,602 60,698 FuelCell Energy, Inc. (a) 217,906 13,812 Shoals Technologies Group, Inc., Class A (a) 326,377 31,791 Stem, Inc. (a) (c) 360,192 4,159 Vicor Corp. (a) 303,441 --------------- 4,742,605 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.5% 9,356 Advanced Energy Industries, Inc. 837,268 8,442 Badger Meter, Inc. 812,036 21,775 Belden, Inc. 1,409,278 --------------- 3,058,582 --------------- ENERGY EQUIPMENT & SERVICES -- 2.3% 23,044 Cactus, Inc., Class A 958,400 73,602 Patterson-UTI Energy, Inc. 1,218,113 27,462 Valaris Ltd. (a) 1,378,043 43,835 Weatherford International PLC (a) 1,013,904 --------------- 4,568,460 --------------- ENTERTAINMENT -- 1.4% 7,682 Madison Square Garden Sports Corp. (a) 1,181,338 183,563 Skillz, Inc. (a) (c) 290,030 SHARES DESCRIPTION VALUE ------------------------------------------------------------- ENTERTAINMENT (CONTINUED) 18,563 World Wrestling Entertainment, Inc., Class A $ 1,286,601 --------------- 2,757,969 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 5.6% 38,042 Alexander & Baldwin, Inc. 757,416 45,246 Broadstone Net Lease, Inc. 1,025,727 37,031 CareTrust REIT, Inc. 764,690 8,373 Centerspace 719,157 35,865 Easterly Government Properties, Inc. 726,983 31,776 Essential Properties Realty Trust, Inc. 766,437 25,681 Four Corners Property Trust, Inc. 750,656 22,383 Independence Realty Trust, Inc. 496,903 35,982 InvenTrust Properties Corp. 1,031,604 7,501 NexPoint Residential Trust, Inc. 499,116 15,452 PotlatchDeltic Corp. 757,612 29,404 Retail Opportunity Investments Corp. 513,394 50,694 SITE Centers Corp. 740,639 49,256 Uniti Group, Inc. 491,082 44,895 Urban Edge Properties 737,625 35,045 Veris Residential, Inc. (a) 488,878 --------------- 11,267,919 --------------- FOOD PRODUCTS -- 1.1% 54,691 Hostess Brands, Inc. (a) 1,237,110 30,712 Simply Good Foods (The) Co. (a) 1,001,826 --------------- 2,238,936 --------------- GAS UTILITIES -- 0.5% 7,163 Chesapeake Utilities Corp. 982,262 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 3.6% 5,571 AtriCure, Inc. (a) 275,263 16,376 Axonics, Inc. (a) 1,062,311 14,977 CryoPort, Inc. (a) 557,144 2,408 Heska Corp. (a) 220,308 10,043 Inari Medical, Inc. (a) 779,136 6,321 iRhythm Technologies, Inc. (a) 977,416 17,568 Lantheus Holdings, Inc. (a) 1,347,817 17,100 Merit Medical Systems, Inc. (a) 982,908 2,275 Mesa Laboratories, Inc. 485,144 6,541 STAAR Surgical Co. (a) 527,859 --------------- 7,215,306 --------------- HEALTH CARE PROVIDERS & SERVICES -- 3.5% 29,033 1Life Healthcare, Inc. (a) 491,819 64,300 AdaptHealth Corp. (a) 1,421,673 45,246 Agiliti, Inc. (a) 990,435 81,331 Alignment Healthcare, Inc. (a) 1,193,939 12,024 Apollo Medical Holdings, Inc. (a) 637,633 6,301 CorVel Corp. (a) 1,038,972 See Notes to Financial Statements Page 99 FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 40,939 LifeStance Health Group, Inc. (a) $ 243,996 7,835 Progyny, Inc. (a) 239,203 26,851 RadNet, Inc. (a) 552,325 7,871 Surgery Partners, Inc. (a) 309,960 --------------- 7,119,955 --------------- HEALTH CARE TECHNOLOGY -- 1.3% 13,325 Doximity, Inc., Class A (a) (c) 563,914 37,772 Evolent Health, Inc., Class A (a) 1,283,870 18,552 Phreesia, Inc. (a) 435,787 8,618 Schrodinger, Inc. (a) 269,743 --------------- 2,553,314 --------------- HOTELS, RESTAURANTS & LEISURE -- 1.5% 56,897 Everi Holdings, Inc. (a) 1,092,991 8,276 Jack in the Box, Inc. 572,203 20,469 Red Rock Resorts, Inc., Class A 805,046 21,382 Six Flags Entertainment Corp. (a) 484,730 --------------- 2,954,970 --------------- HOUSEHOLD DURABLES -- 1.4% 4,735 Cavco Industries, Inc. (a) 1,220,636 11,159 Installed Building Products, Inc. 1,131,746 25,720 Sonos, Inc. (a) 568,669 --------------- 2,921,051 --------------- HOUSEHOLD PRODUCTS -- 1.1% 24,087 Energizer Holdings, Inc. 711,289 11,314 Spectrum Brands Holdings, Inc. 786,776 4,608 WD-40 Co. 817,321 --------------- 2,315,386 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.3% 25,176 Sunnova Energy International, Inc. (a) 655,079 --------------- INSURANCE -- 1.0% 509,882 Bright Health Group, Inc. (a) 856,602 38,425 BRP Group, Inc., Class A (a) 1,059,377 --------------- 1,915,979 --------------- INTERACTIVE MEDIA & SERVICES -- 1.0% 31,776 Cargurus, Inc. (a) 771,839 92,154 fuboTV, Inc. (a) (c) 231,307 3,972 Shutterstock, Inc. 224,418 46,076 ZipRecruiter, Inc., Class A (a) 807,712 --------------- 2,035,276 --------------- INTERNET & DIRECT MARKETING RETAIL -- 0.5% 8,785 Revolve Group, Inc. (a) 248,791 20,126 Xometry, Inc., Class A (a) (c) 764,788 --------------- 1,013,579 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- IT SERVICES -- 4.5% 14,050 BigCommerce Holdings, Inc., Series 1 (a) $ 219,883 81,833 Cyxtera Technologies, Inc. (a) (c) 997,544 18,516 EVERTEC, Inc. 721,939 12,911 Flywire Corp. (a) 302,892 55,172 Grid Dynamics Holdings, Inc. (a) 1,041,096 28,066 Marqeta, Inc., Class A (a) 269,153 58,066 Payoneer Global, Inc. (a) 310,072 10,121 Perficient, Inc. (a) 1,067,968 36,108 Repay Holdings Corp. (a) 483,847 117,128 Sabre Corp. (a) 720,337 14,035 Shift4 Payments, Inc., Class A (a) 511,295 22,179 Squarespace, Inc., Class A (a) 471,747 10,058 TTEC Holdings, Inc. 735,944 73,837 Verra Mobility Corp. (a) 1,217,572 --------------- 9,071,289 --------------- MACHINERY -- 4.0% 11,327 EnPro Industries, Inc. 1,058,848 14,007 Helios Technologies, Inc. 963,962 28,319 Hillenbrand, Inc. 1,308,338 6,361 Kadant, Inc. 1,296,690 8,734 Lindsay Corp. 1,344,687 21,767 Mueller Industries, Inc. 1,465,572 24,959 Shyft Group (The), Inc. 647,436 --------------- 8,085,533 --------------- MEDIA -- 1.4% 212,728 Clear Channel Outdoor Holdings, Inc. (a) 329,728 28,849 iHeartMedia, Inc., Class A (a) 215,791 22,922 Integral Ad Science Holding Corp. (a) 217,071 52,251 Magnite, Inc. (a) 399,198 33,473 Sinclair Broadcast Group, Inc., Class A 731,050 50,960 WideOpenWest, Inc. (a) 936,645 --------------- 2,829,483 --------------- METALS & MINING -- 0.1% 6,432 Compass Minerals International, Inc. 239,463 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 0.4% 35,393 Arbor Realty Trust, Inc. 588,232 6,012 Hannon Armstrong Sustainable Infrastructure Capital, Inc. 216,973 --------------- 805,205 --------------- MULTILINE RETAIL -- 0.5% 33,076 Franchise Group, Inc. 1,089,193 --------------- OIL, GAS & CONSUMABLE FUELS -- 5.1% 8,107 Arch Resources, Inc. 1,046,938 23,673 Callon Petroleum Co. (a) 1,089,905 Page 100 See Notes to Financial Statements FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) OIL, GAS & CONSUMABLE FUELS (CONTINUED) 193,977 Centennial Resource Development, Inc., Class A (a) $ 1,291,887 9,536 Chord Energy Corp. 1,222,897 96,025 Comstock Resources, Inc. (a) 1,529,678 15,469 Denbury, Inc. (a) 1,112,376 72,955 Equitrans Midstream Corp. 572,697 187,396 Kosmos Energy Ltd. (a) 1,188,090 45,922 Northern Oil and Gas, Inc. 1,323,931 --------------- 10,378,399 --------------- PERSONAL PRODUCTS -- 2.0% 53,099 Beauty Health (The) Co. (a) 707,279 37,809 elf Beauty, Inc. (a) 1,267,736 12,701 Inter Parfums, Inc. 1,060,152 6,426 Medifast, Inc. 1,080,789 --------------- 4,115,956 --------------- PHARMACEUTICALS -- 1.6% 23,785 Harmony Biosciences Holdings, Inc. (a) 1,206,613 15,917 Pacira BioSciences, Inc. (a) 900,265 19,728 Prestige Consumer Healthcare, Inc. (a) 1,189,796 --------------- 3,296,674 --------------- PROFESSIONAL SERVICES -- 2.0% 29,029 CBIZ, Inc. (a) 1,324,303 36,621 First Advantage Corp. (a) 513,793 18,911 Kforce, Inc. 1,245,289 42,220 Legalzoom.com, Inc. (a) 442,465 22,437 Upwork, Inc. (a) 416,431 --------------- 3,942,281 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 2.1% 63,052 Compass, Inc., Class A (a) 240,859 46,643 DigitalBridge Group, Inc. (a) 255,604 36,054 Kennedy-Wilson Holdings, Inc. 744,876 31,359 Marcus & Millichap, Inc. 1,283,210 70,616 Newmark Group, Inc., Class A 805,022 27,624 Redfin Corp. (a) 240,329 17,261 St. Joe (The) Co. 725,307 --------------- 4,295,207 --------------- ROAD & RAIL -- 0.7% 16,484 ArcBest Corp. 1,460,482 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.1% 27,570 ACM Research, Inc., Class A (a) 465,382 16,921 Axcelis Technologies, Inc. (a) 1,190,054 23,960 FormFactor, Inc. (a) 852,018 15,817 Impinj, Inc. (a) 1,344,761 31,776 Rambus, Inc. (a) 803,297 22,938 Ultra Clean Holdings, Inc. (a) 770,717 35,199 Veeco Instruments, Inc. (a) 767,338 --------------- 6,193,567 --------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- SOFTWARE -- 4.2% 11,038 Alarm.com Holdings, Inc. (a) $ 781,159 4,335 Altair Engineering, Inc., Class A (a) 255,375 9,583 Alteryx, Inc., Class A (a) 464,105 4,806 Appian Corp. (a) 233,235 12,465 C3.ai, Inc., Class A (a) 229,481 14,753 CommVault Systems, Inc. (a) 827,496 59,639 E2open Parent Holdings, Inc. (a) 402,563 8,161 Everbridge, Inc. (a) 205,167 15,263 InterDigital, Inc. 936,995 8,819 LiveRamp Holdings, Inc. (a) 234,674 42,626 Marathon Digital Holdings, Inc. (a) (c) 553,712 18,725 PagerDuty, Inc. (a) 485,539 25,607 Progress Software Corp. 1,202,505 54,324 Riot Blockchain, Inc. (a) (c) 397,652 3,920 Sprout Social, Inc., Class A (a) 204,232 47,322 Xperi Holding Corp. 793,117 50,358 Zeta Global Holdings Corp., Class A (a) (c) 269,415 --------------- 8,476,422 --------------- SPECIALTY RETAIL -- 1.8% 27,423 Abercrombie & Fitch Co., Class A (a) 488,404 32,639 Academy Sports & Outdoors, Inc. 1,404,456 13,467 Boot Barn Holdings, Inc. (a) 838,994 16,872 National Vision Holdings, Inc. (a) 491,650 7,354 Sleep Number Corp. (a) 331,371 --------------- 3,554,875 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.4% 26,314 Avid Technology, Inc. (a) 738,371 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.8% 20,464 Kontoor Brands, Inc. 746,936 28,811 Steven Madden Ltd. 913,309 --------------- 1,660,245 --------------- THRIFTS & MORTGAGE FINANCE -- 0.4% 42,549 Columbia Financial, Inc. (a) 865,447 --------------- TOBACCO -- 0.6% 110,474 Vector Group Ltd. 1,230,680 --------------- TRADING COMPANIES & DISTRIBUTORS -- 0.9% 82,855 Custom Truck One Source, Inc. (a) 512,872 26,067 GMS, Inc. (a) 1,383,376 --------------- 1,896,248 --------------- WATER UTILITIES -- 1.5% 8,378 American States Water Co. 730,310 12,293 California Water Service Group 738,563 5,292 Middlesex Water Co. 503,322 See Notes to Financial Statements Page 101 FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) WATER UTILITIES (CONTINUED) 14,869 SJW Group $ 976,299 --------------- 2,948,494 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.5% 57,319 Gogo, Inc. (a) 995,058 --------------- TOTAL COMMON STOCKS -- 99.9% 201,575,263 (Cost $214,632,838) --------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 2.8% $ 2,698,188 Citigroup, Inc., 2.25% (d), dated 07/29/22, due 08/01/22, with a maturity value of $2,698,357. Collateralized by U.S. Treasury Securities, interest rates of 0.38% to 7.63%, due 08/15/22 to 11/15/51. The value of the collateral including accrued interest is $2,752,152. (e) 2,698,188 2,698,188 Daiwa Capital Markets America, Inc., 2.27% (d), dated 07/29/22, due 08/01/22, with a maturity value of $2,698,358. Collateralized by U.S. Treasury Securities, interest rates of 0.00% to 3.38%, due 09/01/22 to 11/15/48. The value of the collateral including accrued interest is $2,752,153. (e) 2,698,188 172,246 JPMorgan Chase & Co., 2.25% (d), dated 07/29/22, due 08/01/22, with a maturity value of $172,257. Collateralized by U.S. Treasury Securities, interest rates of 0.25% to 2.75%, due 02/28/25 to 04/30/27. The value of the collateral including accrued interest is $175,691. (e) 172,246 --------------- TOTAL REPURCHASE AGREEMENTS -- 2.8% 5,568,622 (Cost $5,568,622) --------------- TOTAL INVESTMENTS -- 102.7% 207,143,885 (Cost $220,201,460) NET OTHER ASSETS AND LIABILITIES -- (2.7)% (5,417,255) --------------- NET ASSETS -- 100.0% $ 201,726,630 =============== (a) Non-income producing security. (b) This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933, as amended. (c) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements. The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $5,429,547 and the total value of the collateral held by the Fund is $5,568,622. (d) Rate shown reflects yield as of July 31, 2022. (e) This security serves as collateral for securities on loan. Page 102 See Notes to Financial Statements FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2022 --------------------------------- 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) $ 5,429,547 Non-cash Collateral(2) (5,429,547) --------------- 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 July 31, 2022, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS ------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 5,568,622 Non-cash Collateral(4) (5,568,622) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At July 31, 2022, the value of the collateral received from each seller exceeded the value of the repurchase agreements. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 7/31/2022 PRICES INPUTS INPUTS ----------------------------------------------------------------------------- Common Stocks*.................................. $ 201,575,263 $ 201,575,263 $ -- $ -- Repurchase Agreements........................... 5,568,622 -- 5,568,622 -- ----------------------------------------------------------------------------- Total Investments............................... $ 207,143,885 $ 201,575,263 $ 5,568,622 $ -- ============================================================================= * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 103 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF ASSETS AND LIABILITIES JULY 31, 2022 FIRST TRUST FIRST TRUST FIRST TRUST LARGE CAP CORE MID CAP CORE SMALL CAP CORE ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FEX) (FNX) (FYX) ---------------- ---------------- ---------------- ASSETS: Investments, at value............................................... $ 1,109,998,489 $ 992,177,408 $ 840,433,976 Cash................................................................ -- -- -- Receivables: Dividends........................................................ 1,113,926 418,209 251,002 Securities lending income........................................ 16,363 17,278 15,190 Capital shares sold.............................................. -- 4,623,198 8,385,346 Prepaid expenses.................................................... 6,520 6,278 6,107 ---------------- ---------------- ---------------- Total Assets..................................................... 1,111,135,298 997,242,371 849,091,621 ---------------- ---------------- ---------------- LIABILITIES: Payables: Collateral for securities on loan................................ 5,723,209 16,526,371 12,183,181 Investment advisory fees......................................... 445,427 385,873 331,794 Shareholder reporting fees....................................... 38,819 41,799 36,245 Licensing fees................................................... 36,828 31,881 28,088 Audit and tax fees............................................... 27,836 27,967 28,020 Trustees' fees................................................... 13 11 16 Investment securities purchased.................................. -- 4,615,550 8,382,311 Other liabilities................................................... 133,638 118,054 109,145 ---------------- ---------------- ---------------- Total Liabilities................................................ 6,405,770 21,747,506 21,098,800 ---------------- ---------------- ---------------- NET ASSETS.......................................................... $ 1,104,729,528 $ 975,494,865 $ 827,992,821 ================ ================ ================ NET ASSETS CONSIST OF: Paid-in capital..................................................... $ 1,288,293,855 $ 1,194,490,872 $ 1,137,673,593 Par value........................................................... 135,000 105,500 98,000 Accumulated distributable earnings (loss)........................... (183,699,327) (219,101,507) (309,778,772) ---------------- ---------------- ---------------- NET ASSETS.......................................................... $ 1,104,729,528 $ 975,494,865 $ 827,992,821 ================ ================ ================ NET ASSET VALUE, per share.......................................... $ 81.83 $ 92.46 $ 84.49 ================ ================ ================ Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)........................... 13,500,002 10,550,002 9,800,002 ================ ================ ================ Investments, at cost................................................ $ 1,028,623,039 $ 930,909,981 $ 836,052,369 ================ ================ ================ Securities on loan, at value........................................ $ 5,739,581 $ 16,448,664 $ 11,873,090 ================ ================ ================ Page 104 See Notes to Financial Statements FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST LARGE CAP VALUE LARGE CAP GROWTH MULTI CAP VALUE MULTI CAP GROWTH MID CAP VALUE MID CAP GROWTH ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FTA) (FTC) (FAB) (FAD) (FNK) (FNY) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 1,159,489,475 $ 938,849,806 $ 177,777,553 $ 185,436,521 $ 224,863,643 $ 287,715,223 -- -- -- -- 364,295 448,572 1,255,398 824,607 133,488 105,077 107,117 97,272 -- 29,534 1,117 7,319 471 16,440 -- -- -- -- 2,228,935 -- 6,316 6,661 4,764 4,870 -- -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 1,160,751,189 939,710,608 177,916,922 185,553,787 227,564,461 288,277,507 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- -- 9,426,231 878,064 2,717,708 2,322,534 6,493,919 472,149 370,624 71,392 72,364 122,141 154,592 34,544 40,573 8,635 9,352 -- -- 39,365 30,518 5,989 6,501 -- -- 27,939 27,838 28,631 28,588 -- -- 6 21 10 17 -- -- -- -- -- -- 2,226,193 -- 138,110 110,503 30,297 33,578 -- -- ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- 712,113 10,006,308 1,023,018 2,868,108 4,670,868 6,648,511 ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 1,160,039,076 $ 929,704,300 $ 176,893,904 $ 182,685,679 $ 222,893,593 $ 281,628,996 ================ ================ ================ ================ ================ ================ $ 1,372,462,112 $ 1,071,992,749 $ 217,716,646 $ 231,341,615 $ 270,580,380 $ 400,720,058 175,500 96,000 25,000 18,000 50,000 46,000 (212,598,536) (142,384,449) (40,847,742) (48,673,936) (47,736,787) (119,137,062) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- $ 1,160,039,076 $ 929,704,300 $ 176,893,904 $ 182,685,679 $ 222,893,593 $ 281,628,996 ================ ================ ================ ================ ================ ================ $ 66.10 $ 96.84 $ 70.76 $ 101.49 $ 44.58 $ 61.22 ================ ================ ================ ================ ================ ================ 17,550,002 9,600,002 2,500,002 1,800,002 5,000,002 4,600,002 ================ ================ ================ ================ ================ ================ $ 1,139,410,850 $ 880,340,482 $ 182,342,656 $ 175,234,691 $ 235,333,378 $ 279,883,650 ================ ================ ================ ================ ================ ================ $ -- $ 9,429,482 $ 870,126 $ 2,678,068 $ 2,337,774 $ 6,408,963 ================ ================ ================ ================ ================ ================ See Notes to Financial Statements Page 105 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED) JULY 31, 2022 FIRST TRUST FIRST TRUST SMALL CAP VALUE SMALL CAP GROWTH ALPHADEX(R) FUND ALPHADEX(R) FUND (FYT) (FYC) ---------------- ---------------- ASSETS: Investments, at value............................................... $ 226,465,814 $ 207,143,885 Cash................................................................ 239,175 227,775 Receivables: Dividends........................................................ 80,037 29,790 Securities lending income........................................ 6,631 6,892 Capital shares sold.............................................. -- -- Prepaid expenses.................................................... -- -- ---------------- ---------------- Total Assets..................................................... 226,791,657 207,408,342 ---------------- ---------------- LIABILITIES: Payables: Collateral for securities on loan................................ 2,941,261 5,568,622 Investment advisory fees......................................... 128,786 113,090 Shareholder reporting fees....................................... -- -- Licensing fees................................................... -- -- Audit and tax fees............................................... -- -- Trustees' fees................................................... -- -- Investment securities purchased.................................. -- -- Other liabilities................................................... -- -- ---------------- ---------------- Total Liabilities................................................ 3,070,047 5,681,712 ---------------- ---------------- NET ASSETS.......................................................... $ 223,721,610 $ 201,726,630 ================ ================ NET ASSETS CONSIST OF: Paid-in capital..................................................... $ 287,243,438 $ 358,300,052 Par value........................................................... 46,000 33,500 Accumulated distributable earnings (loss)........................... (63,567,828) (156,606,922) ---------------- ---------------- NET ASSETS.......................................................... $ 223,721,610 $ 201,726,630 ================ ================ NET ASSET VALUE, per share.......................................... $ 48.64 $ 60.22 ================ ================ Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)........................... 4,600,002 3,350,002 ================ ================ Investments, at cost................................................ $ 241,624,168 $ 220,201,460 ================ ================ Securities on loan, at value........................................ $ 2,855,353 $ 5,429,547 ================ ================ Page 106 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF OPERATIONS FOR THE YEAR ENDED JULY 31, 2022 FIRST TRUST FIRST TRUST FIRST TRUST LARGE CAP CORE MID CAP CORE SMALL CAP CORE ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FEX) (FNX) (FYX) ---------------- ---------------- ---------------- INVESTMENT INCOME: Dividends........................................................... $ 20,335,054 $ 17,198,679 $ 15,823,016 Securities lending income (net of fees)............................. 59,337 83,009 140,818 Foreign withholding tax............................................. (3,001) (8,193) (8,518) ---------------- ---------------- ---------------- Total investment income.......................................... 20,391,390 17,273,495 15,955,316 ---------------- ---------------- ---------------- EXPENSES: Investment advisory fees............................................ 5,826,348 5,037,782 4,500,595 Accounting and administration fees.................................. 568,235 504,080 453,760 Licensing fees...................................................... 123,313 107,679 97,512 Shareholder reporting fees.......................................... 106,707 119,256 102,725 Custodian fees...................................................... 96,281 95,050 85,061 Transfer agent fees................................................. 54,132 49,711 44,955 Audit and tax fees.................................................. 28,801 28,846 28,780 Legal fees.......................................................... 19,097 16,913 15,090 Trustees' fees and expenses......................................... 6,861 6,795 6,740 Listing fees........................................................ 5,422 5,341 4,831 Expenses previously waived or reimbursed............................ -- -- -- Other expenses...................................................... 18,494 15,062 13,260 ---------------- ---------------- ---------------- Total expenses................................................... 6,853,691 5,986,515 5,353,309 ---------------- ---------------- ---------------- NET INVESTMENT INCOME (LOSS)........................................ 13,537,699 11,286,980 10,602,007 ---------------- ---------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments...................................................... 40,479,370 (32,559,682) (39,316,682) In-kind redemptions.............................................. 35,296,036 77,680,107 82,377,850 ---------------- ---------------- ---------------- Net realized gain (loss)............................................ 75,775,406 45,120,425 43,061,168 ---------------- ---------------- ---------------- Net change in unrealized appreciation (depreciation) on investments. (145,056,854) (115,208,047) (117,062,484) ---------------- ---------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS)............................. (69,281,448) (70,087,622) (74,001,316) ---------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................................................. $ (55,743,749) $ (58,800,642) $ (63,399,309) ================ ================ ================ See Notes to Financial Statements Page 107 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF OPERATIONS (CONTINUED) FOR THE YEAR ENDED JULY 31, 2022 FIRST TRUST FIRST TRUST FIRST TRUST LARGE CAP VALUE LARGE CAP GROWTH MULTI CAP VALUE ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FTA) (FTC) (FAB) ---------------- ---------------- ---------------- INVESTMENT INCOME: Dividends........................................................... $ 27,269,987 $ 10,069,217 $ 3,774,132 Securities lending income (net of fees)............................. 14,662 108,610 7,985 Foreign withholding tax............................................. -- (9,072) (1,189) ---------------- ---------------- ---------------- Total investment income.......................................... 27,284,649 10,168,755 3,780,928 ---------------- ---------------- ---------------- EXPENSES: Investment advisory fees............................................ 5,745,159 5,582,229 819,696 Accounting and administration fees.................................. 561,220 545,026 85,504 Licensing fees...................................................... 121,364 118,476 23,894 Shareholder reporting fees.......................................... 114,690 108,883 33,938 Custodian fees...................................................... 91,573 88,079 35,335 Transfer agent fees................................................. 53,726 52,121 8,197 Audit and tax fees.................................................. 28,692 28,638 29,030 Legal fees.......................................................... 20,406 20,219 2,831 Trustees' fees and expenses......................................... 6,866 6,836 6,368 Listing fees........................................................ 5,422 5,385 6,219 Expenses previously waived or reimbursed............................ -- -- 33,031 Other expenses...................................................... 16,616 17,546 2,552 ---------------- ---------------- ---------------- Total expenses................................................... 6,765,734 6,573,438 1,086,595 ---------------- ---------------- ---------------- NET INVESTMENT INCOME (LOSS)........................................ 20,518,915 3,595,317 2,694,333 ---------------- ---------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments...................................................... 8,410,019 (20,991,493) (599,005) In-kind redemptions.............................................. 128,387,898 55,886,898 17,678,580 ---------------- ---------------- ---------------- Net realized gain (loss)............................................ 136,797,917 34,895,405 17,079,575 ---------------- ---------------- ---------------- Net change in unrealized appreciation (depreciation) on investments. (137,057,638) (199,373,147) (20,229,557) ---------------- ---------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS)............................. (259,721) (164,477,742) (3,149,982) ---------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................................................. $ 20,259,194 $ (160,882,425) $ (455,649) ================ ================ ================ (a) Fund is subject to a Unitary Fee (see Note 3 in the Notes to Financial Statements). Page 108 See Notes to Financial Statements FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST MULTI CAP MID CAP MID CAP SMALL CAP SMALL CAP GROWTH VALUE GROWTH VALUE GROWTH ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FAD) (FNK) (FNY) (FYT) (FYC) ---------------- ---------------- ---------------- ---------------- ---------------- $ 2,235,277 $ 4,573,178 $ 2,859,764 $ 4,684,051 $ 4,533,253 37,612 6,325 60,391 36,906 98,209 (1,051) (3,067) -- (3,148) (488) ---------------- ---------------- ---------------- ---------------- ---------------- 2,271,838 4,576,436 2,920,155 4,717,809 4,630,974 ---------------- ---------------- ---------------- ---------------- ---------------- 1,119,691 1,373,456 (a) 2,582,890 (a) 1,659,766 (a) 2,055,987 (a) 115,993 -- -- -- -- 29,894 -- -- -- -- 33,499 -- -- -- -- 40,991 -- -- -- -- 11,197 -- -- -- -- 28,856 -- -- -- -- 4,020 -- -- -- -- 6,387 -- -- -- -- 6,230 -- -- -- -- -- -- -- -- -- 3,956 -- -- -- -- ---------------- ---------------- ---------------- ---------------- ---------------- 1,400,714 1,373,456 2,582,890 1,659,766 2,055,987 ---------------- ---------------- ---------------- ---------------- ---------------- 871,124 3,202,980 337,265 3,058,043 2,574,987 ---------------- ---------------- ---------------- ---------------- ---------------- (18,872,922) (11,728,674) (38,126,197) (8,470,630) (24,380,803) 19,138,337 22,163,984 21,353,049 17,963,809 28,312,389 ---------------- ---------------- ---------------- ---------------- ---------------- 265,415 10,435,310 (16,773,148) 9,493,179 3,931,586 ---------------- ---------------- ---------------- ---------------- ---------------- (37,297,428) (18,825,308) (52,725,413) (21,876,108) (53,232,094) ---------------- ---------------- ---------------- ---------------- ---------------- (37,032,013) (8,389,998) (69,498,561) (12,382,929) (49,300,508) ---------------- ---------------- ---------------- ---------------- ---------------- $ (36,160,889) $ (5,187,018) $ (69,161,296) $ (9,324,886) $ (46,725,521) ================ ================ ================ ================ ================ See Notes to Financial Statements Page 109 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF CHANGES IN NET ASSETS FIRST TRUST FIRST TRUST LARGE CAP CORE MID CAP CORE ALPHADEX(R) FUND ALPHADEX(R) FUND (FEX) (FNX) ------------------------------------ ------------------------------------ Year Ended Year Ended Year Ended Year Ended 7/31/2022 7/31/2021 7/31/2022 7/31/2021 ----------------- ----------------- ----------------- ----------------- OPERATIONS: Net investment income (loss)............................ $ 13,537,699 $ 9,839,435 $ 11,286,980 $ 6,365,577 Net realized gain (loss)................................ 75,775,406 197,373,767 45,120,425 182,010,495 Net change in unrealized appreciation (depreciation).... (145,056,854) 146,237,892 (115,208,047) 136,431,833 --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from operations...................................... (55,743,749) 353,451,094 (58,800,642) 324,807,905 --------------- --------------- --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations................................... (12,780,587) (9,797,516) (11,863,187) (7,128,332) --------------- --------------- --------------- --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................... 117,700,738 483,630,605 292,232,090 626,570,191 Cost of shares redeemed................................. (134,355,401) (562,355,482) (273,376,258) (506,859,355) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from shareholder transactions........................ (16,654,663) (78,724,877) 18,855,832 119,710,836 --------------- --------------- --------------- --------------- Total increase (decrease) in net assets................. (85,178,999) 264,928,701 (51,807,997) 437,390,409 NET ASSETS: Beginning of period..................................... 1,189,908,527 924,979,826 1,027,302,862 589,912,453 --------------- --------------- --------------- --------------- End of period........................................... $ 1,104,729,528 $ 1,189,908,527 $ 975,494,865 $ 1,027,302,862 =============== =============== =============== =============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period................. 13,700,002 14,850,002 10,350,002 9,100,002 Shares sold............................................. 1,350,000 6,100,000 3,050,000 7,250,000 Shares redeemed......................................... (1,550,000) (7,250,000) (2,850,000) (6,000,000) --------------- --------------- --------------- --------------- Shares outstanding, end of period....................... 13,500,002 13,700,002 10,550,002 10,350,002 =============== =============== =============== =============== Page 110 See Notes to Financial Statements FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST SMALL CAP CORE LARGE CAP VALUE LARGE CAP GROWTH MULTI CAP VALUE ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FYX) (FTA) (FTC) (FAB) ------------------------------- ------------------------------- ------------------------------- ------------------------------- Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended 7/31/2022 7/31/2021 7/31/2022 7/31/2021 7/31/2022 7/31/2021 7/31/2022 7/31/2021 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 10,602,007 $ 5,509,309 $ 20,518,915 $ 14,730,152 $ 3,595,317 $ (773,238) $ 2,694,333 $ 1,337,216 43,061,168 191,192,225 136,797,917 76,073,215 34,895,405 322,338,978 17,079,575 8,702,874 (117,062,484) 92,126,425 (137,057,638) 191,447,205 (199,373,147) 34,243,661 (20,229,557) 18,733,553 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- (63,399,309) 288,827,959 20,259,194 282,250,572 (160,882,425) 355,809,401 (455,649) 28,773,643 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- (9,613,591) (5,553,651) (19,926,672) (14,484,287) (2,104,295) (444,000) (2,513,652) (1,263,172) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 296,774,587 760,120,351 590,343,175 230,930,876 146,870,105 934,609,338 101,835,616 99,958,491 (313,468,453) (523,165,471) (496,617,438) (49,732,235) (248,289,677) (1,085,011,131) (88,914,640) (11,914,066) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- (16,693,866) 236,954,880 93,725,737 181,198,641 (101,419,572) (150,401,793) 12,920,976 88,044,425 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- (89,706,766) 520,229,188 94,058,259 448,964,926 (264,406,292) 204,963,608 9,951,675 115,554,896 917,699,587 397,470,399 1,065,980,817 617,015,891 1,194,110,592 989,146,984 166,942,229 51,387,333 -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 827,992,821 $ 917,699,587 $1,160,039,076 $1,065,980,817 $ 929,704,300 $1,194,110,592 $ 176,893,904 $ 166,942,229 ============== ============== ============== ============== ============== ============== ============== ============== 10,050,002 7,100,002 16,200,002 13,300,002 10,600,002 12,050,002 2,350,002 1,100,002 3,300,000 9,350,000 8,700,000 3,800,000 1,350,000 9,900,000 1,400,000 1,450,000 (3,550,000) (6,400,000) (7,350,000) (900,000) (2,350,000) (11,350,000) (1,250,000) (200,000) -------------- -------------- -------------- -------------- -------------- -------------- -------------- -------------- 9,800,002 10,050,002 17,550,002 16,200,002 9,600,002 10,600,002 2,500,002 2,350,002 ============== ============== ============== ============== ============== ============== ============== ============== See Notes to Financial Statements Page 111 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) FIRST TRUST FIRST TRUST MULTI CAP GROWTH MID CAP VALUE ALPHADEX(R) FUND ALPHADEX(R) FUND (FAD) (FNK) ------------------------------------ ------------------------------------ Year Ended Year Ended Year Ended Year Ended 7/31/2022 7/31/2021 7/31/2022 7/31/2021 ----------------- ----------------- ----------------- ----------------- OPERATIONS: Net investment income (loss)............................ $ 871,124 $ (183,248) $ 3,202,980 $ 1,017,456 Net realized gain (loss)................................ 265,415 64,948,003 10,435,310 9,721,030 Net change in unrealized appreciation (depreciation).... (37,297,428) 7,972,067 (18,825,308) 12,493,205 --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from operations...................................... (36,160,889) 72,736,822 (5,187,018) 23,231,691 --------------- --------------- --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations................................... (548,985) (257,400) (2,896,736) (943,116) --------------- --------------- --------------- --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................... 77,610,274 160,211,179 270,963,252 133,213,906 Cost of shares redeemed................................. (79,443,452) (181,828,533) (180,759,426) (49,365,250) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from shareholder transactions........................ (1,833,178) (21,617,354) 90,203,826 83,848,656 --------------- --------------- --------------- --------------- Total increase (decrease) in net assets................. (38,543,052) 50,862,068 82,120,072 106,137,231 NET ASSETS: Beginning of period..................................... 221,228,731 170,366,663 140,773,521 34,636,290 --------------- --------------- --------------- --------------- End of period........................................... $ 182,685,679 $ 221,228,731 $ 222,893,593 $ 140,773,521 =============== =============== =============== =============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period................. 1,850,002 2,050,002 3,150,002 1,250,002 Shares sold............................................. 650,000 1,550,000 5,900,000 3,100,000 Shares redeemed......................................... (700,000) (1,750,000) (4,050,000) (1,200,000) --------------- --------------- --------------- --------------- Shares outstanding, end of period....................... 1,800,002 1,850,002 5,000,002 3,150,002 =============== =============== =============== =============== Page 112 See Notes to Financial Statements FIRST TRUST FIRST TRUST FIRST TRUST MID CAP GROWTH SMALL CAP VALUE SMALL CAP GROWTH ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND (FNY) (FYT) (FYC) ------------------------------- ------------------------------- ------------------------------- Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended 7/31/2022 7/31/2021 7/31/2022 7/31/2021 7/31/2022 7/31/2021 -------------- -------------- -------------- -------------- -------------- -------------- $ 337,265 $ (1,023,690) $ 3,058,043 $ 1,941,913 $ 2,574,987 $ 49,005 (16,773,148) 171,017,302 9,493,179 43,729,701 3,931,586 87,908,979 (52,725,413) (13,848,396) (21,876,108) 6,337,206 (53,232,094) 14,992,709 -------------- -------------- -------------- -------------- -------------- -------------- (69,161,296) 156,145,216 (9,324,886) 52,008,820 (46,725,521) 102,950,693 -------------- -------------- -------------- -------------- -------------- -------------- -- (1,105,830) (2,856,336) (1,841,246) (2,337,676) (269,720) -------------- -------------- -------------- -------------- -------------- -------------- 38,997,641 534,511,489 142,579,606 385,564,740 78,477,080 485,985,913 (151,779,469) (564,127,777) (175,667,971) (212,916,907) (222,514,171) (340,543,806) -------------- -------------- -------------- -------------- -------------- -------------- (112,781,828) (29,616,288) (33,088,365) 172,647,833 (144,037,091) 145,442,107 -------------- -------------- -------------- -------------- -------------- -------------- (181,943,124) 125,423,098 (45,269,587) 222,815,407 (193,100,288) 248,123,080 463,572,120 338,149,022 268,991,197 46,175,790 394,826,918 146,703,838 -------------- -------------- -------------- -------------- -------------- -------------- $ 281,628,996 $ 463,572,120 $ 223,721,610 $ 268,991,197 $ 201,726,630 $ 394,826,918 ============== ============== ============== ============== ============== ============== 6,300,002 6,600,002 5,350,002 1,500,002 5,550,002 3,300,002 550,000 8,350,000 2,850,000 8,200,000 1,100,000 7,450,000 (2,250,000) (8,650,000) (3,600,000) (4,350,000) (3,300,000) (5,200,000) -------------- -------------- -------------- -------------- -------------- -------------- 4,600,002 6,300,002 4,600,002 5,350,002 3,350,002 5,550,002 ============== ============== ============== ============== ============== ============== See Notes to Financial Statements Page 113 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND (FEX) YEAR ENDED JULY 31, ------------------------------------------------------------------ 2022 2021 2020 2019 2018 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 86.85 $ 62.29 $ 62.11 $ 60.79 $ 54.07 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 1.01 0.71 0.93 0.77 0.69 Net realized and unrealized gain (loss) (5.08) 24.55 0.20 1.28 6.69 ---------- ---------- ---------- ---------- ---------- Total from investment operations (4.07) 25.26 1.13 2.05 7.38 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.95) (0.70) (0.95) (0.73) (0.66) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 81.83 $ 86.85 $ 62.29 $ 62.11 $ 60.79 ========== ========== ========== ========== ========== TOTAL RETURN (a) (4.73)% 40.77% 1.95% 3.48% 13.72% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,104,730 $1,189,909 $ 924,980 $1,434,679 $1,540,924 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.59% 0.59% 0.59% 0.60% 0.61% Ratio of net expenses to average net assets 0.59% 0.59% 0.59% 0.60% 0.61% Ratio of net investment income (loss) to average net assets 1.16% 0.94% 1.49% 1.29% 1.17% Portfolio turnover rate (b) 87% 91% 104% 102% 87% FIRST TRUST MID CAP CORE ALPHADEX(R) FUND (FNX) YEAR ENDED JULY 31, ------------------------------------------------------------------ 2022 2021 2020 2019 2018 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 99.26 $ 64.83 $ 69.86 $ 69.63 $ 59.91 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 1.08 0.70 0.85 0.63 0.61 Net realized and unrealized gain (loss) (6.74) 34.51 (4.93) 0.16 9.71 ---------- ---------- ---------- ---------- ---------- Total from investment operations (5.66) 35.21 (4.08) 0.79 10.32 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (1.14) (0.78) (0.95) (0.56) (0.60) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 92.46 $ 99.26 $ 64.83 $ 69.86 $ 69.63 ========== ========== ========== ========== ========== TOTAL RETURN (a) (5.74)% 54.62% (5.86)% 1.22% 17.30% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 975,495 $1,027,303 $ 589,912 $ 887,176 $ 901,732 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.59% 0.59% 0.60% 0.61% 0.62% Ratio of net expenses to average net assets 0.59% 0.59% 0.60% 0.61% 0.62% Ratio of net investment income (loss) to average net assets 1.12% 0.79% 1.32% 0.94% 0.94% Portfolio turnover rate (b) 95% 114% 115% 114% 101% (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) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 114 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND (FYX) YEAR ENDED JULY 31, ------------------------------------------------------------------ 2022 2021 2020 2019 2018 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 91.31 $ 55.98 $ 61.84 $ 66.80 $ 56.23 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 1.05 0.61 0.51 0.60 0.52 Net realized and unrealized gain (loss) (6.92) 35.35 (5.75) (4.98) 10.53 ---------- ---------- ---------- ---------- ---------- Total from investment operations (5.87) 35.96 (5.24) (4.38) 11.05 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.95) (0.63) (0.62) (0.58) (0.48) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 84.49 $ 91.31 $ 55.98 $ 61.84 $ 66.80 ========== ========== ========== ========== ========== TOTAL RETURN (a) (6.50)% 64.45% (8.55)% (6.52)% 19.72% (b) RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 827,993 $ 917,700 $ 397,470 $ 602,918 $ 728,102 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.59% 0.60% 0.61% 0.62% 0.63% Ratio of net expenses to average net assets 0.59% 0.60% 0.61% 0.62% 0.63% Ratio of net investment income (loss) to average net assets 1.18% 0.77% 0.93% 0.96% 0.87% Portfolio turnover rate (c) 94% 116% 123% 117% 116% FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND (FTA) YEAR ENDED JULY 31, ------------------------------------------------------------------ 2022 2021 2020 2019 2018 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 65.80 $ 46.39 $ 52.79 $ 54.07 $ 50.94 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 1.21 1.01 1.11 1.02 1.02 Net realized and unrealized gain (loss) 0.27 (d) 19.41 (6.28) (1.43) 3.08 ---------- ---------- ---------- ---------- ---------- Total from investment operations 1.48 20.42 (5.17) (0.41) 4.10 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (1.18) (1.01) (1.23) (0.87) (0.97) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 66.10 $ 65.80 $ 46.39 $ 52.79 $ 54.07 ========== ========== ========== ========== ========== TOTAL RETURN (a) 2.24% 44.43% (9.84)% (0.65)% 8.12% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,160,039 $1,065,981 $ 617,016 $1,166,569 $1,146,354 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.59% 0.59% 0.60% 0.60% 0.61% Ratio of net expenses to average net assets 0.59% 0.59% 0.60% 0.60% 0.61% Ratio of net investment income (loss) to average net assets 1.79% 1.76% 2.12% 1.99% 1.92% Portfolio turnover rate (c) 75% 91% 94% 96% 82% (a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (b) The Fund received a payment from the Advisor in the amount of $3,456,678 in connection with a broker error, which represents $0.38 per share. Since the Advisor reimbursed the Fund, there was no effect on the total return. (c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. (d) 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. See Notes to Financial Statements Page 115 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND (FTC) YEAR ENDED JULY 31, ------------------------------------------------------------------ 2022 2021 2020 2019 2018 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 112.65 $ 82.09 $ 71.35 $ 66.91 $ 55.88 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.37 (0.07) 0.55 0.37 0.23 Net realized and unrealized gain (loss) (15.96) 30.67 10.80 4.39 11.03 ---------- ---------- ---------- ---------- ---------- Total from investment operations (15.59) 30.60 11.35 4.76 11.26 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.22) (0.04) (0.61) (0.32) (0.23) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 96.84 $ 112.65 $ 82.09 $ 71.35 $ 66.91 ========== ========== ========== ========== ========== TOTAL RETURN (a) (13.84)% 37.30% 16.10% 7.16% 20.19% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 929,704 $1,194,111 $ 989,147 $1,041,726 $ 899,998 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.59% 0.59% 0.60% 0.61% 0.61% Ratio of net expenses to average net assets 0.59% 0.59% 0.60% 0.61% 0.61% Ratio of net investment income (loss) to average net assets 0.32% (0.07)% 0.76% 0.56% 0.36% Portfolio turnover rate (b) 121% 116% 138% 132% 119% FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND (FAB) YEAR ENDED JULY 31, ------------------------------------------------------------------ 2022 2021 2020 2019 2018 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 71.04 $ 46.72 $ 54.39 $ 57.35 $ 52.84 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 1.20 0.84 0.95 0.92 0.96 Net realized and unrealized gain (loss) (0.35) 24.34 (7.54) (3.04) 4.45 ---------- ---------- ---------- ---------- ---------- Total from investment operations 0.85 25.18 (6.59) (2.12) 5.41 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (1.13) (0.86) (1.08) (0.84) (0.90) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 70.76 $ 71.04 $ 46.72 $ 54.39 $ 57.35 ========== ========== ========== ========== ========== TOTAL RETURN (a) 1.20% 54.35% (12.24)% (3.62)% 10.30% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 176,894 $ 166,942 $ 51,387 $ 84,301 $ 91,766 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.66% 0.69% 0.74% 0.73% 0.70% Ratio of net expenses to average net assets 0.66% 0.69% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 1.64% 1.43% 1.86% 1.69% 1.67% Portfolio turnover rate (b) 76% 92% 98% 96% 89% (a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. For some periods, the total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (b) 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 116 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND (FAD) YEAR ENDED JULY 31, ------------------------------------------------------------------ 2022 2021 2020 2019 2018 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 119.58 $ 83.11 $ 75.90 $ 72.71 $ 59.33 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.46 (0.11) 0.42 0.22 0.12 Net realized and unrealized gain (loss) (18.27) 36.71 7.27 3.14 13.40 ---------- ---------- ---------- ---------- ---------- Total from investment operations (17.81) 36.60 7.69 3.36 13.52 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.28) (0.13) (0.48) (0.17) (0.14) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 101.49 $ 119.58 $ 83.11 $ 75.90 $ 72.71 ========== ========== ========== ========== ========== TOTAL RETURN (a) (14.91)% 44.10% 10.23% 4.65% 22.82% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 182,686 $ 221,229 $ 170,367 $ 185,955 $ 192,685 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.63% 0.63% 0.63% 0.66% 0.69% Ratio of net expenses to average net assets 0.63% 0.63% 0.63% 0.66% 0.69% Ratio of net investment income (loss) to average net assets 0.39% (0.09)% 0.56% 0.31% 0.18% Portfolio turnover rate (b) 115% 104% 123% 130% 118% (a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. For some periods, the total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (b) 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 117 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND (FNK) YEAR ENDED JULY 31, ------------------------------------------------------------------ 2022 2021 2020 2019 2018 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 44.69 $ 27.71 $ 34.67 $ 36.71 $ 33.65 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.74 0.54 0.63 0.51 0.58 Net realized and unrealized gain (loss) (0.16) 16.98 (6.86) (2.10) 3.04 ---------- ---------- ---------- ---------- ---------- Total from investment operations 0.58 17.52 (6.23) (1.59) 3.62 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.69) (0.54) (0.73) (0.45) (0.56) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 44.58 $ 44.69 $ 27.71 $ 34.67 $ 36.71 ========== ========== ========== ========== ========== TOTAL RETURN (a) 1.31% 63.76% (18.19)% (4.26)% 10.80% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 222,894 $ 140,774 $ 34,636 $ 55,473 $ 49,565 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 1.63% 1.33% 2.04% 1.49% 1.61% Portfolio turnover rate (b) 84% 102% 107% 113% 94% FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND (FNY) YEAR ENDED JULY 31, ------------------------------------------------------------------ 2022 2021 2020 2019 2018 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 73.58 $ 51.23 $ 46.59 $ 43.80 $ 35.07 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.01 (0.18) 0.11 0.04 0.03 Net realized and unrealized gain (loss) (12.37) 22.69 4.67 2.77 8.75 ---------- ---------- ---------- ---------- ---------- Total from investment operations (12.36) 22.51 4.78 2.81 8.78 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income -- (0.16) (0.14) (0.02) (0.05) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 61.22 $ 73.58 $ 51.23 $ 46.59 $ 43.80 ========== ========== ========== ========== ========== TOTAL RETURN (a) (16.80)% 44.02% 10.28% 6.43% 25.06% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 281,629 $ 463,572 $ 338,149 $ 309,826 $ 214,639 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 0.09% (0.24)% 0.23% 0.09% 0.02% Portfolio turnover rate (b) 136% 138% 135% 144% 124% (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) 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 118 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND (FYT) YEAR ENDED JULY 31, ------------------------------------------------------------------ 2022 2021 2020 2019 2018 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 50.28 $ 30.78 $ 34.66 $ 38.98 $ 34.33 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.67 0.45 0.38 0.57 0.48 Net realized and unrealized gain (loss) (1.69) 19.52 (3.75) (4.36) 4.60 ---------- ---------- ---------- ---------- ---------- Total from investment operations (1.02) 19.97 (3.37) (3.79) 5.08 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.62) (0.47) (0.51) (0.53) (0.43) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 48.64 $ 50.28 $ 30.78 $ 34.66 $ 38.98 ========== ========== ========== ========== ========== TOTAL RETURN (a) (2.06)% 65.22% (9.83)% (9.69)% 14.86% (b) RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 223,722 $ 268,991 $ 46,176 $ 60,659 $ 76,003 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 1.29% 1.08% 1.18% 1.58% 1.28% Portfolio turnover rate (c) 90% 109% 120% 120% 123% FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND (FYC) YEAR ENDED JULY 31, ------------------------------------------------------------------ 2022 2021 2020 2019 2018 ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period $ 71.14 $ 44.46 $ 46.87 $ 48.79 $ 38.83 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.54 0.03 0.17 0.02 0.06 Net realized and unrealized gain (loss) (10.99) 26.72 (2.40) (1.93) 9.97 ---------- ---------- ---------- ---------- ---------- Total from investment operations (10.45) 26.75 (2.23) (1.91) 10.03 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.47) (0.07) (0.18) (0.01) (0.07) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 60.22 $ 71.14 $ 44.46 $ 46.87 $ 48.79 ========== ========== ========== ========== ========== TOTAL RETURN (a) (14.81)% 60.24% (4.79)% (3.90)% 25.85% (d) RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 201,727 $ 394,827 $ 146,704 $ 278,851 $ 361,010 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 0.88% 0.02% 0.44% 0.04% 0.11% Portfolio turnover rate (c) 132% 151% 137% 152% 141% (a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (b) The Fund received a payment from the Advisor in the amount of $519,907 in connection with a broker error, which represents $0.27 per share. Since the Advisor reimbursed the Fund, there was no effect on the total return. (c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. (d) The Fund received a payment from the Advisor in the amount of $1,053,251 in connection with a broker error, which represents $0.25 per share. Since the Advisor reimbursed the Fund, there was no effect on the total return. See Notes to Financial Statements Page 119 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2022 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 ("SEC") under the Investment Company Act of 1940, as amended (the "1940 Act"). The Trust currently consists of twenty exchange-traded funds considered either a Sector Fund or a Style Fund. This report covers the eleven Style Funds (each a "Fund" and collectively, the "Funds") listed below. The shares of each Style Fund are listed and traded on The Nasdaq Stock Market LLC ("Nasdaq"). First Trust Large Cap Core AlphaDEX(R) Fund - (ticker "FEX") First Trust Mid Cap Core AlphaDEX(R) Fund - (ticker "FNX") First Trust Small Cap Core AlphaDEX(R) Fund - (ticker "FYX") First Trust Large Cap Value AlphaDEX(R) Fund - (ticker "FTA") First Trust Large Cap Growth AlphaDEX(R) Fund - (ticker "FTC") First Trust Multi Cap Value AlphaDEX(R) Fund - (ticker "FAB") First Trust Multi Cap Growth AlphaDEX(R) Fund - (ticker "FAD") First Trust Mid Cap Value AlphaDEX(R) Fund - (ticker "FNK") First Trust Mid Cap Growth AlphaDEX(R) Fund - (ticker "FNY") First Trust Small Cap Value AlphaDEX(R) Fund - (ticker "FYT") First Trust Small Cap Growth AlphaDEX(R) Fund - (ticker "FYC") Each Fund represents a separate series of shares of beneficial interest in the Trust. Unlike conventional mutual funds, each Fund issues and redeems shares on a continuous basis, at net asset value ("NAV"), only in large blocks of shares known as "Creation Units." The investment objective of each Fund is to seek investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of the following indices: FUND INDEX First Trust Large Cap Core AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Large Cap Core Index First Trust Mid Cap Core AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Mid Cap Core Index First Trust Small Cap Core AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Small Cap Core Index First Trust Large Cap Value AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Large Cap Value Index First Trust Large Cap Growth AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Large Cap Growth Index First Trust Multi Cap Value AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Multi Cap Value Index First Trust Multi Cap Growth AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Multi Cap Growth Index First Trust Mid Cap Value AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Mid Cap Value Index First Trust Mid Cap Growth AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Mid Cap Growth Index First Trust Small Cap Value AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Small Cap Value Index First Trust Small Cap Growth AlphaDEX(R) Fund Nasdaq AlphaDEX(R) Small Cap Growth Index 2. SIGNIFICANT ACCOUNTING POLICIES The Funds are each considered an investment company and follow accounting and reporting guidance under Financial Accounting Standards Board Accounting Standards Codification Topic 946, "Financial Services-Investment Companies." The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of the financial statements. The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America ("U.S. GAAP") requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. A. PORTFOLIO VALUATION Each Fund's NAV is determined daily as of the close of regular trading on the New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. If the NYSE closes early on a valuation day, the NAV is determined as of that time. Each Fund's NAV is calculated by dividing the value of all assets of each Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding. Each Fund's investments are valued daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value. Market value prices represent last sale or official closing prices from a national or foreign exchange (i.e., a regulated market) and are primarily obtained from third-party pricing services. Fair value prices represent any prices not considered market value prices and are either obtained from a third-party pricing service or are determined by the Pricing Committee of the Funds' Page 120 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2022 investment advisor, First Trust Advisors L.P. ("First Trust" or the "Advisor"), in accordance with valuation procedures adopted by the Trust's Board of Trustees, and in accordance with provisions of the 1940 Act. Investments valued by the Advisor's Pricing Committee, if any, are footnoted as such in the footnotes to the Portfolio of Investments. Each Fund's investments are valued as follows: Common stocks and other equity securities listed on any national or foreign exchange (excluding Nasdaq and the London Stock Exchange Alternative Investment Market ("AIM")) are valued at the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the securities exchange representing the principal market for such securities. Shares of open-end funds are valued at fair value which is based on NAV per share. Securities traded in an over-the-counter market are fair valued at the mean of their most recent bid and asked price, if available, and otherwise at their closing bid price. Overnight repurchase agreements are valued at amortized cost when it represents the best estimate of fair value. Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Trust's Board of Trustees or its delegate, the Advisor's Pricing Committee, at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a third-party pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market or fair value price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund's NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the third-party pricing service, does not reflect the security's fair value. As a general principle, the current fair value of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. When fair value prices are used, generally they will differ from market quotations or official closing prices on the applicable exchanges. A variety of factors may be considered in determining the fair value of such securities, including, but not limited to, the following: 1) the type of security; 2) the size of the holding; 3) the initial cost of the security; 4) transactions in comparable securities; 5) price quotes from dealers and/or third-party pricing services; 6) relationships among various securities; 7) information obtained by contacting the issuer, analysts, or the appropriate stock exchange; 8) an analysis of the issuer's financial statements; and 9) the existence of merger proposals or tender offers that might affect the value of the security. In addition, differences between the prices used to calculate a Fund's NAV and the prices used by such Fund's corresponding index could result in a difference between a Fund's performance and the performance of its underlying index. The Funds are subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows: o Level 1 - Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. o Level 2 - Level 2 inputs are observable inputs, either directly or indirectly, and include the following: o Quoted prices for similar investments in active markets. o Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. o Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). o Inputs that are derived principally from or corroborated by observable market data by correlation or other means. 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. Page 121 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2022 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 July 31, 2022, is included with each Fund's Portfolio of Investments. In December 2020, the SEC adopted Rule 2a-5 under the 1940 Act, establishing requirements to determine fair value in good faith for purposes of the 1940 Act. The rule permits fund boards to designate a fund's investment adviser to perform fair value determinations, subject to board oversight and certain other conditions. The rule also defines when market quotations are "readily available" for purposes of the 1940 Act and requires a fund to fair value a portfolio investment when a market quotation is not readily available. The SEC also adopted new Rule 31a-4 under the 1940 Act, which sets forth recordkeeping requirements associated with fair value determinations. The compliance date for Rule 2a-5 and Rule 31a-4 is September 8, 2022. Effective September 8, 2022 and pursuant to the requirements of Rule 2a-5, the Trust's Board of Trustees designated the Advisor as its valuation designee to perform fair value determinations and approved new Advisor Valuation Procedures for the Trust. B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, if any, is recorded on the accrual basis. Withholding taxes and tax reclaims on foreign dividends have been provided for in accordance with each Fund's understanding of the applicable country's tax rules and rates. Distributions received from a Fund's investments in real estate investment trusts ("REITs") may be comprised of return of capital, capital gains and income. The actual character of the amounts received during the year is not known until after the REITs' fiscal year end. A Fund records the character of distributions received from the REITs during the year based on estimates available. The characterization of distributions received by a Fund may be subsequently revised based on information received from the REITs after their tax reporting periods conclude. C. OFFSETTING ON THE STATEMENTS OF ASSETS AND LIABILITIES Offsetting Assets and Liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset on the Statements of Assets and Liabilities and disclose instruments and transactions subject to master netting or similar agreements. These disclosure requirements are intended to help investors and other financial statement users better assess the effect or potential effect of offsetting arrangements on a fund's financial position. The transactions subject to offsetting disclosures are derivative instruments, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions. This disclosure, if applicable, is included within each Fund's Portfolio of Investments under the heading "Offsetting Assets and Liabilities." For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting arrangements ("MNAs") or similar agreements on the Statements of Assets and Liabilities. MNAs provide the right, in the event of default (including bankruptcy and insolvency), for the non-defaulting counterparty to liquidate the collateral and calculate the net exposure to the defaulting party or request additional collateral. D. SECURITIES LENDING The Funds may lend securities representing up to 33 1/3% of the value of their total assets to broker-dealers, banks and other institutions to generate additional income. When a Fund loans its portfolio securities, it will receive, at the inception of each loan, collateral equal to at least 102% (for domestic securities) or 105% (for international securities) of the market value of the loaned securities. The collateral amount is valued at the beginning of each business day and is compared to the market value of the loaned securities from the prior business day to determine if additional collateral is required. If additional collateral is required, a request is sent to the borrower. Securities lending involves the risk that the Fund may lose money because the borrower of the Fund's loaned securities fails to return the securities in a timely manner or at all. The Fund could also lose money in the event of (i) a decline in the value of the collateral provided for the loaned securities, (ii) a decline in the value of any investments made with cash collateral or (iii) an increase in the value of the loaned securities if the borrower does not increase the collateral accordingly and the borrower fails to return the securities. These events could also trigger adverse tax consequences for the Funds. Under the Funds' Securities Lending Agency Agreement, the securities lending agent will generally bear the risk that a borrower may default on its obligation to return loaned securities. Brown Brothers Harriman & Co. ("BBH") acts as the Funds' securities lending agent and is responsible for executing the lending of the portfolio securities to creditworthy borrowers with the exception of FYC. The Bank of New York Mellon ("BNYM") acts as FYC's securities lending agent and is responsible for executing the lending of the portfolio securities to creditworthy borrowers. The Funds, however, will be responsible for the risks associated with the investment of cash collateral. A Fund may lose money on its investment of cash collateral, which may affect its ability to repay the collateral to the borrower without the use of other Fund assets. Each Fund that engages in securities lending receives compensation (net of any rebate and Page 122 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2022 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 July 31, 2022, all the Funds except FTA had securities in the securities lending program. During the fiscal year ended July 31, 2022, all the Funds participated in the securities lending program. In the event of a default by a borrower with respect to any loan, BBH or BNYM will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If, despite such efforts by BBH and BNYM to exercise these remedies, a Fund sustains losses as a result of a borrower's default, BBH or BNYM will indemnify the Fund by purchasing replacement securities at its own expense, or paying the Fund an amount equal to the market value of the replacement securities, subject to certain limitations which are set forth in detail in the Securities Lending Agency Agreement between the Trust on behalf of the Funds and BBH or BNYM. E. REPURCHASE AGREEMENTS Repurchase agreements involve the purchase of securities subject to the seller's agreement to repurchase the securities at a mutually agreed upon date and price, under the terms of a Master Repurchase Agreement ("MRA"). During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of a Fund, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. The underlying securities for all repurchase agreements are held at the Funds' custodian or designated sub-custodians under tri-party repurchase agreements. MRAs govern transactions between a Fund and select counterparties. The MRAs contain provisions for, among other things, initiation, income payments, events of default, and maintenance of collateral for repurchase agreements. Repurchase agreements received for lending securities are collateralized by U.S. Treasury securities. The U.S. Treasury securities are held in a joint custody account at BBH or BNYM on behalf of the Funds participating in the securities lending program. In the event the counterparty defaults on the repurchase agreement, the U.S. Treasury securities can either be maintained as part of a Fund's portfolio or sold for cash. A Fund could suffer a loss to the extent that the proceeds from the sale of the underlying collateral held by the Fund are less than the repurchase price and the Fund's costs associated with the delay and enforcement of the MRA. While the Funds may invest in repurchase agreements, any repurchase agreements held by the Funds during the fiscal year ended July 31, 2022, were received as collateral for lending securities. F. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS Dividends from net investment income of each Fund, if any, are declared and paid quarterly, or as the Board of Trustees may determine from time to time. Distributions of net realized gains earned by each Fund, if any, are distributed at least annually. Distributions from net investment income and realized capital gains are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These permanent differences are primarily due to the varying treatment of income and gain/loss on significantly modified portfolio securities held by the Funds and have no impact on net assets or NAV per share. Temporary differences, which arise from recognizing certain items of income, expense and gain/loss in different periods for financial statement and tax purposes, will reverse at some time in the future. The tax character of distributions paid by each Fund during the fiscal year ended July 31, 2022, was as follows: Distributions paid from Distributions paid from Distributions paid from Ordinary Income Capital Gains Return of Capital ----------------------- ----------------------- ----------------------- First Trust Large Cap Core AlphaDEX(R) Fund $ 12,780,587 $ -- $ -- First Trust Mid Cap Core AlphaDEX(R) Fund 11,863,187 -- -- First Trust Small Cap Core AlphaDEX(R) Fund 9,613,591 -- -- First Trust Large Cap Value AlphaDEX(R) Fund 19,926,672 -- -- First Trust Large Cap Growth AlphaDEX(R) Fund 2,104,295 -- -- First Trust Multi Cap Value AlphaDEX(R) Fund 2,513,652 -- -- First Trust Multi Cap Growth AlphaDEX(R) Fund 548,985 -- -- First Trust Mid Cap Value AlphaDEX(R) Fund 2,896,736 -- -- First Trust Mid Cap Growth AlphaDEX(R) Fund -- -- -- First Trust Small Cap Value AlphaDEX(R) Fund 2,856,336 -- -- First Trust Small Cap Growth AlphaDEX(R) Fund 2,337,676 -- -- Page 123 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2022 The tax character of distributions paid by each Fund during the fiscal year ended July 31, 2021, was as follows: Distributions paid from Distributions paid from Distributions paid from Ordinary Income Capital Gains Return of Capital ----------------------- ----------------------- ----------------------- First Trust Large Cap Core AlphaDEX(R) Fund $ 9,797,516 $ -- $ -- First Trust Mid Cap Core AlphaDEX(R) Fund 7,128,332 -- -- First Trust Small Cap Core AlphaDEX(R) Fund 5,553,651 -- -- First Trust Large Cap Value AlphaDEX(R) Fund 14,484,287 -- -- First Trust Large Cap Growth AlphaDEX(R) Fund 444,000 -- -- First Trust Multi Cap Value AlphaDEX(R) Fund 1,263,172 -- -- First Trust Multi Cap Growth AlphaDEX(R) Fund 257,400 -- -- First Trust Mid Cap Value AlphaDEX(R) Fund 943,116 -- -- First Trust Mid Cap Growth AlphaDEX(R) Fund 1,105,830 -- -- First Trust Small Cap Value AlphaDEX(R) Fund 1,841,246 -- -- First Trust Small Cap Growth AlphaDEX(R) Fund 269,720 -- -- 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 Large Cap Core AlphaDEX(R) Fund $ 1,806,887 $ (263,438,750) $ 77,932,536 First Trust Mid Cap Core AlphaDEX(R) Fund 1,495,999 (271,775,189) 51,177,683 First Trust Small Cap Core AlphaDEX(R) Fund 341,829 (302,093,125) (8,027,476) First Trust Large Cap Value AlphaDEX(R) Fund 2,258,014 (225,179,454) 10,322,904 First Trust Large Cap Growth AlphaDEX(R) Fund 1,118,330 (201,630,686) 58,127,907 First Trust Multi Cap Value AlphaDEX(R) Fund 356,206 (33,769,693) (7,434,255) First Trust Multi Cap Growth AlphaDEX(R) Fund 18,597 (58,614,542) 9,922,009 First Trust Mid Cap Value AlphaDEX(R) Fund 419,163 (34,261,605) (13,894,345) First Trust Mid Cap Growth AlphaDEX(R) Fund -- (126,446,869) 7,309,807 First Trust Small Cap Value AlphaDEX(R) Fund 392,935 (44,751,387) (19,209,376) First Trust Small Cap Growth AlphaDEX(R) Fund (732,602) (142,562,991) (13,311,329) 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 July 31, 2022, management has evaluated the application of these standards to the Funds and has determined that no provision for income tax is required in the Funds' financial statements for uncertain tax positions. Each Fund intends to utilize provisions of the federal income tax laws, which allow it to carry a realized capital loss forward indefinitely following the year of the loss and offset such loss against any future realized capital gains. Each Fund is subject to certain limitations under U.S. tax rules on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership. At July 31, 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. Page 124 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2022 Non-Expiring Capital Loss Carryforward ------------- First Trust Large Cap Core AlphaDEX(R) Fund $ 263,438,750 First Trust Mid Cap Core AlphaDEX(R) Fund 271,775,189 First Trust Small Cap Core AlphaDEX(R) Fund 302,093,125 First Trust Large Cap Value AlphaDEX(R) Fund 225,179,454 First Trust Large Cap Growth AlphaDEX(R) Fund 201,630,686 First Trust Multi Cap Value AlphaDEX(R) Fund 33,769,693 First Trust Multi Cap Growth AlphaDEX(R) Fund 58,614,542 First Trust Mid Cap Value AlphaDEX(R) Fund 34,261,605 First Trust Mid Cap Growth AlphaDEX(R) Fund 126,446,869 First Trust Small Cap Value AlphaDEX(R) Fund 44,751,387 First Trust Small Cap Growth AlphaDEX(R) Fund 142,562,991 During the taxable year ended July 31, 2022, the following Funds utilized capital loss carryforwards in the following amounts: Capital Loss Carryforward Utilized ------------- First Trust Large Cap Core AlphaDEX(R) Fund $ 39,646,001 First Trust Mid Cap Core AlphaDEX(R) Fund -- First Trust Small Cap Core AlphaDEX(R) Fund -- First Trust Large Cap Value AlphaDEX(R) Fund 17,259,772 First Trust Large Cap Growth AlphaDEX(R) Fund -- First Trust Multi Cap Value AlphaDEX(R) Fund 2,356,314 First Trust Multi Cap Growth AlphaDEX(R) Fund -- First Trust Mid Cap Value AlphaDEX(R) Fund -- First Trust Mid Cap Growth AlphaDEX(R) Fund -- First Trust Small Cap Value AlphaDEX(R) Fund -- First Trust Small Cap Growth AlphaDEX(R) Fund -- Certain losses realized during the current fiscal year may be deferred and treated as occurring on the first day of the following fiscal year for federal income tax purposes. For the fiscal year ended July 31, 2022, the following Fund listed below incurred and elected to defer net late year ordinary or capital losses as follows: Qualified Late Year Losses -------------------------- Ordinary Losses Capital Losses ----------------- ---------------- First Trust Small Cap Growth AlphaDEX(R) Fund $ 732,602 $ -- In order to present paid-in capital and accumulated distributable earnings (loss) (which consists of accumulated net investment income (loss), accumulated net realized gain (loss) on investments and net unrealized appreciation (depreciation) on investments) on the Statements of Assets and Liabilities that more closely represent their tax character, certain adjustments have been made to paid-in capital, accumulated net investment income (loss) and accumulated net realized gain (loss) on investments. These adjustments are primarily due to the difference between book and tax treatments of income and gains on various investment securities held by the Funds and in-kind transactions. The results of operations and net assets were not affected by these adjustments. For the fiscal year ended July 31, 2022, the adjustments for each Fund were as follows: Page 125 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2022 Accumulated Accumulated Net Realized Net Investment Gain (Loss) Paid-in Income (Loss) on Investments Capital ---------------- ---------------- ---------------- First Trust Large Cap Core AlphaDEX(R) Fund $ -- $ (34,000,141) $ 34,000,141 First Trust Mid Cap Core AlphaDEX(R) Fund (55,314) (74,936,834) 74,992,148 First Trust Small Cap Core AlphaDEX(R) Fund (1,049,044) (78,165,405) 79,214,449 First Trust Large Cap Value AlphaDEX(R) Fund -- (126,216,649) 126,216,649 First Trust Large Cap Growth AlphaDEX(R) Fund -- (54,636,415) 54,636,415 First Trust Multi Cap Value AlphaDEX(R) Fund 7,995 (17,170,751) 17,162,756 First Trust Multi Cap Growth AlphaDEX(R) Fund (163,895) (18,421,124) 18,585,019 First Trust Mid Cap Value AlphaDEX(R) Fund 29,702 (19,813,064) 19,783,362 First Trust Mid Cap Growth AlphaDEX(R) Fund 710,611 (20,292,026) 19,581,415 First Trust Small Cap Value AlphaDEX(R) Fund -- (14,777,595) 14,777,595 First Trust Small Cap Growth AlphaDEX(R) Fund (955,557) (24,204,839) 25,160,396 As of July 31, 2022, the aggregate cost, gross unrealized appreciation, gross unrealized depreciation, and net unrealized appreciation/(depreciation) on investments (including short positions and derivatives, if any) for federal income tax purposes were as follows: Gross Gross Net Unrealized Unrealized Unrealized Appreciation Tax Cost Appreciation (Depreciation) (Depreciation) ---------------- ---------------- ---------------- ---------------- First Trust Large Cap Core AlphaDEX(R) Fund $1,032,065,953 $ 137,297,791 $ (59,365,255) $ 77,932,536 First Trust Mid Cap Core AlphaDEX(R) Fund 940,999,725 111,949,066 (60,771,383) 51,177,683 First Trust Small Cap Core AlphaDEX(R) Fund 848,461,452 80,599,894 (88,627,370) (8,027,476) First Trust Large Cap Value AlphaDEX(R) Fund 1,149,166,571 104,667,408 (94,344,504) 10,322,904 First Trust Large Cap Growth AlphaDEX(R) Fund 880,721,899 96,698,770 (38,570,863) 58,127,907 First Trust Multi Cap Value AlphaDEX(R) Fund 185,211,808 10,029,333 (17,463,588) (7,434,255) First Trust Multi Cap Growth AlphaDEX(R) Fund 175,514,512 20,660,413 (10,738,404) 9,922,009 First Trust Mid Cap Value AlphaDEX(R) Fund 238,757,988 9,379,029 (23,273,374) (13,894,345) First Trust Mid Cap Growth AlphaDEX(R) Fund 280,405,416 24,960,471 (17,650,664) 7,309,807 First Trust Small Cap Value AlphaDEX(R) Fund 245,675,190 10,608,503 (29,817,879) (19,209,376) First Trust Small Cap Growth AlphaDEX(R) Fund 220,455,214 12,768,852 (26,080,181) (13,311,329) H. EXPENSES Expenses that are directly related to one of the Funds are charged directly to the respective Fund, except for the First Trust Mid Cap Value AlphaDEX(R) Fund, First Trust Mid Cap Growth AlphaDEX(R) Fund, First Trust Small Cap Value AlphaDEX(R) Fund and First Trust Small Cap Growth AlphaDEX(R) Fund (the "Unitary Fee Funds"), for which expenses other than excluded expenses (discussed in Note 3) are paid by the Advisor. General expenses of the Trust are allocated to all the Funds based upon the net assets of each Fund. First Trust Portfolios L.P. ("FTP") has entered into licensing agreements with Nasdaq, Inc. for each of the Style Funds. The license agreements allow for the use by FTP of certain trademarks and trade names. The Funds and First Trust are sub-licensees to the applicable license agreement. The Funds, except for the Unitary Fee Funds, are required to pay licensing fees, which are shown on the Statements of Operations. The licensing fees for the Unitary Fee Funds are paid by First Trust from the unitary investment advisory fees it receives from each of these Funds. 3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS First Trust, the investment advisor to the Funds, is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. The Charger Corporation is an Illinois corporation controlled by James A. Bowen, Chief Executive Officer of First Trust. First Trust is responsible for the selection and ongoing monitoring of the securities in each Fund's portfolio, managing the Funds' business affairs and providing certain administrative services necessary for the management of the Funds. For the Unitary Fee Funds, First Trust is paid an annual unitary management fee of 0.70% of such Fund's average daily net assets and is responsible for the expenses of such Fund including the cost of transfer agency, custody, fund administration, legal, audit, license and other services, and excluding fee payments under the Investment Management Agreement, distribution and service fees pursuant to a Rule 12b-1 plan, if any, brokerage expenses, acquired fund fees and expenses, taxes, interest, and extraordinary expenses. Page 126 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2022 For the First Trust Large Cap Core AlphaDEX(R) Fund, First Trust Mid Cap Core AlphaDEX(R) Fund, First Trust Small Cap Core AlphaDEX(R) Fund, First Trust Large Cap Value AlphaDEX(R) Fund, First Trust Large Cap Growth AlphaDEX(R) Fund, First Trust Multi Cap Value AlphaDEX(R) Fund and First Trust Multi Cap Growth AlphaDEX(R) Fund, First Trust is paid an annual management fee of 0.50% of each Fund's average daily net assets. For such Funds, the Trust and First Trust have entered into an Expense Reimbursement, Fee Waiver and Recovery Agreement ("Recovery Agreement") in which First Trust has agreed to waive fees and/or reimburse Fund expenses to the extent that the operating expenses of each such Fund (excluding interest expense, brokerage commissions and other trading expenses, acquired fund fees and expenses, taxes and extraordinary expenses) exceed 0.70% of average daily net assets per year (the "Expense Cap"). These Funds will have the Expense Cap in effect until at least November 30, 2023. Expenses reimbursed and fees waived by First Trust under the Recovery Agreement are subject to recovery by First Trust for up to three years from the date the fee or expense was incurred, but no reimbursement payment will be made by a Fund if it results in the Fund's expenses exceeding (i) the applicable expense limitation in place for the most recent fiscal year for which such expense limitation was in place, (ii) the applicable expense limitation in place at the time the fees were waived, or (iii) the current expense limitation. These amounts would be included in "Expenses previously waived or reimbursed" on the Statements of Operations. For the fiscal year ended July 31, 2022, there were no fees waived or expenses reimbursed by First Trust for the Funds. During the fiscal year ended July 31, 2022, First Trust recovered fees that were previously waived from First Trust Multi Cap Value AlphaDEX(R) Fund of $33,031. As of July 31, 2022, the First Trust Multi Cap Value AlphaDEX(R) Fund did not have any remaining fees previously waived or expenses reimbursed that were subject to recovery. The Trust has multiple service agreements with BNYM. Under the service agreements, BNYM performs custodial, fund accounting, certain administrative services, and transfer agency services for each Fund. As custodian, BNYM is responsible for custody of each Fund's assets. As fund accountant and administrator, BNYM is responsible for maintaining the books and records of each Fund's securities and cash. As transfer agent, BNYM is responsible for maintaining shareholder records for each Fund. BNYM is a subsidiary of The Bank of New York Mellon Corporation, a financial holding company. Each Trustee who is not an officer or employee of First Trust, any sub-advisor or any of their affiliates ("Independent Trustees") is paid a fixed annual retainer that is allocated equally among each fund in the First Trust Fund Complex. Each Independent Trustee is also paid an annual per fund fee that varies based on whether the fund is a closed-end or other actively managed fund, a defined-outcome fund or an index fund. Additionally, the Lead Independent Trustee and the Chairs of the Audit Committee, Nominating and Governance Committee and Valuation Committee are paid annual fees to serve in such capacities, with such compensation allocated pro rata among each fund in the First Trust Fund Complex based on net assets. Independent Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The Lead Independent Trustee and Committee Chairs rotate every three years. The officers and "Interested" Trustee receive no compensation from the Trust for acting in such capacities. 4. PURCHASES AND SALES OF SECURITIES For the fiscal year ended July 31, 2022, the cost of purchases and proceeds from sales of investments for each Fund, excluding short-term investments and in-kind transactions, were as follows: Purchases Sales --------------- --------------- First Trust Large Cap Core AlphaDEX(R) Fund $ 1,013,632,489 $ 1,012,075,678 First Trust Mid Cap Core AlphaDEX(R) Fund 950,179,043 953,267,441 First Trust Small Cap Core AlphaDEX(R) Fund 845,020,627 840,632,376 First Trust Large Cap Value AlphaDEX(R) Fund 859,744,766 854,574,909 First Trust Large Cap Growth AlphaDEX(R) Fund 1,345,984,770 1,343,636,639 First Trust Multi Cap Value AlphaDEX(R) Fund 126,147,315 125,216,014 First Trust Multi Cap Growth AlphaDEX(R) Fund 256,435,513 255,949,005 First Trust Mid Cap Value AlphaDEX(R) Fund 166,791,344 165,306,600 First Trust Mid Cap Growth AlphaDEX(R) Fund 503,688,285 503,481,738 First Trust Small Cap Value AlphaDEX(R) Fund 215,110,374 213,724,945 First Trust Small Cap Growth AlphaDEX(R) Fund 387,038,071 386,635,298 Page 127 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2022 For the fiscal year ended July 31, 2022, the cost of in-kind purchases and proceeds from in-kind sales for each Fund were as follows: Purchases Sales --------------- --------------- First Trust Large Cap Core AlphaDEX(R) Fund $ 117,500,801 $ 134,137,033 First Trust Mid Cap Core AlphaDEX(R) Fund 291,606,977 268,347,920 First Trust Small Cap Core AlphaDEX(R) Fund 296,195,306 314,193,972 First Trust Large Cap Value AlphaDEX(R) Fund 589,293,372 498,314,626 First Trust Large Cap Growth AlphaDEX(R) Fund 146,674,556 247,979,917 First Trust Multi Cap Value AlphaDEX(R) Fund 101,600,772 88,943,160 First Trust Multi Cap Growth AlphaDEX(R) Fund 77,467,091 79,281,135 First Trust Mid Cap Value AlphaDEX(R) Fund 270,275,453 181,056,004 First Trust Mid Cap Growth AlphaDEX(R) Fund 38,974,455 151,611,268 First Trust Small Cap Value AlphaDEX(R) Fund 142,323,878 175,677,923 First Trust Small Cap Growth AlphaDEX(R) Fund 78,402,095 222,217,535 5. CREATIONS, REDEMPTIONS AND TRANSACTION FEES Each Fund generally issues and redeems its shares in primary market transactions through a creation and redemption mechanism and does not sell or redeem individual shares. Instead, financial entities known as "Authorized Participants" have contractual arrangements with a Fund or one of the Fund's service providers to purchase and redeem Fund shares directly with the Fund in large blocks of shares known as "Creation Units." Prior to the start of trading on every business day, a Fund publishes through the National Securities Clearing Corporation ("NSCC") the "basket" of securities, cash or other assets that it will accept in exchange for a Creation Unit of the Fund's shares. An Authorized Participant that wishes to effectuate a creation of a Fund's shares deposits with the Fund the "basket" of securities, cash or other assets identified by the Fund that day, and then receives the Creation Unit of the Fund's shares in return for those assets. After purchasing a Creation Unit, the Authorized Participant may continue to hold the Fund's shares or sell them in the secondary market. The redemption process is the reverse of the purchase process: the Authorized Participant redeems a Creation Unit of a Fund's shares for a basket of securities, cash or other assets. The combination of the creation and redemption process with secondary market trading in a Fund's shares and underlying securities provides arbitrage opportunities that are designed to help keep the market price of a Fund's shares at or close to the NAV per share of the Fund. Each Fund imposes fees in connection with the purchase of Creation Units. These fees may vary based upon various fact-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price for each Creation Unit will equal the daily NAV per share of a Fund times the number of shares in a Creation Unit, plus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees, stamp taxes and part or all of the spread between the expected bid and offer side of the market related to the securities comprising the creation basket. Each Fund also imposes fees in connection with the redemption of Creation Units. These fees may vary based upon various fact-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price received for each Creation Unit will equal the daily NAV per share of a Fund times the number 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. Page 128 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2022 7. INDEMNIFICATION The Trust, on behalf of the Funds, has a variety of indemnification obligations under contracts with its service providers. The Trust's maximum exposure under these arrangements is unknown. However, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote. 8. SUBSEQUENT EVENTS Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements that have not already been disclosed. Page 129 -------------------------------------------------------------------------------- REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM -------------------------------------------------------------------------------- TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND: OPINION ON THE FINANCIAL STATEMENTS AND FINANCIAL HIGHLIGHTS We have audited the accompanying statements of assets and liabilities of First Trust Large Cap Core AlphaDEX(R) Fund, First Trust Mid Cap Core AlphaDEX(R) Fund, First Trust Small Cap Core AlphaDEX(R) Fund, First Trust Large Cap Value AlphaDEX(R) Fund, First Trust Large Cap Growth AlphaDEX(R) Fund, First Trust Multi Cap Value AlphaDEX(R) Fund, First Trust Multi Cap Growth AlphaDEX(R) Fund, First Trust Mid Cap Value AlphaDEX(R) Fund, First Trust Mid Cap Growth AlphaDEX(R) Fund, First Trust Small Cap Value AlphaDEX(R) Fund, and First Trust Small Cap Growth AlphaDEX(R) Fund (the "Funds"), each a series of the First Trust Exchange-Traded AlphaDEX(R) Fund, including the portfolios of investments, as of July 31, 2022, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of July 31, 2022, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America. BASIS FOR OPINION These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on the Funds' financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB. We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds' internal control over financial reporting. Accordingly, we express no such opinion. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of July 31, 2022, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion. /s/ Deloitte & Touche LLP Chicago, Illinois September 22, 2022 We have served as the auditor of one or more First Trust investment companies since 2001. Page 130 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2022 (UNAUDITED) PROXY VOTING POLICIES AND PROCEDURES A description of the policies and procedures that the Trust uses to determine how to vote proxies and information on how each Fund voted proxies relating to its portfolio securities during the most recent 12-month period ended June 30 is available (1) without charge, upon request, by calling (800) 988-5891; (2) on each Fund's website at www.ftportfolios.com; and (3) on the Securities and Exchange Commission's ("SEC") website at www.sec.gov. PORTFOLIO HOLDINGS Each Fund files portfolio holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be publicly available on the SEC's website at www.sec.gov. Each Fund's complete schedule of portfolio holdings for the second and fourth quarters of each fiscal year is included in the semi-annual and annual reports to shareholders, respectively, and is filed with the SEC on Form N-CSR. The semi-annual and annual report for each Fund is available to investors within 60 days after the period to which it relates. Each Fund's Forms N-PORT and Forms N-CSR are available on the SEC's website listed above. FEDERAL TAX INFORMATION For the taxable year ended July 31, 2022, the following percentages of income dividend paid by the Funds qualify for the dividends received deduction available to corporations: Dividends Received Deduction --------------------- First Trust Large Cap Core AlphaDEX(R) Fund 100.00% First Trust Mid Cap Core AlphaDEX(R) Fund 99.30% First Trust Small Cap Core AlphaDEX(R) Fund 99.89% First Trust Large Cap Value AlphaDEX(R) Fund 100.00% First Trust Large Cap Growth AlphaDEX(R) Fund 100.00% First Trust Multi Cap Value AlphaDEX(R) Fund 100.00% First Trust Multi Cap Growth AlphaDEX(R) Fund 100.00% First Trust Mid Cap Value AlphaDEX(R) Fund 100.00% First Trust Mid Cap Growth AlphaDEX(R) Fund 0.00% First Trust Small Cap Value AlphaDEX(R) Fund 99.71% First Trust Small Cap Growth AlphaDEX(R) Fund 100.00% For the taxable year ended July 31, 2022, the following percentages of income dividend paid by the Funds are hereby designated as qualified dividend income: Qualified Dividend Income --------------------- First Trust Large Cap Core AlphaDEX(R) Fund 100.00% First Trust Mid Cap Core AlphaDEX(R) Fund 100.00% First Trust Small Cap Core AlphaDEX(R) Fund 100.00% First Trust Large Cap Value AlphaDEX(R) Fund 100.00% First Trust Large Cap Growth AlphaDEX(R) Fund 100.00% First Trust Multi Cap Value AlphaDEX(R) Fund 100.00% First Trust Multi Cap Growth AlphaDEX(R) Fund 100.00% First Trust Mid Cap Value AlphaDEX(R) Fund 100.00% First Trust Mid Cap Growth AlphaDEX(R) Fund 0.00% First Trust Small Cap Value AlphaDEX(R) Fund 100.00% First Trust Small Cap Growth AlphaDEX(R) Fund 100.00% A portion of each of the First Trust Exchange-Traded AlphaDEX(R) Style Funds' 2022 ordinary dividends (including short-term capital gains) paid to its shareholders during the fiscal year ended July 31, 2022, may be eligible for the Qualified Business Income Deduction (QBI) under the Internal Revenue Code of 1986, as amended Section 199A for the aggregate dividends each Fund received from the underlying Real Estate Investment Trusts (REITs) these Funds invest in. Page 131 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2022 (UNAUDITED) 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. 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 Page 132 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2022 (UNAUDITED) 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 same volume or liquidity. The unavailability or replacement of LIBOR may affect the value, liquidity or return on certain fund investments and may result in costs incurred in connection with closing out positions and entering into new trades. Any potential effects of the transition away from LIBOR on the fund or on certain instruments in which the fund invests can be difficult to ascertain, and they may vary depending on a variety of factors, and they could result in losses to the fund. MANAGEMENT RISK. To the extent that a fund is actively managed, it is subject to management risk. In managing an actively-managed fund's investment portfolio, the fund's portfolio managers will apply investment techniques and risk analyses that may not have the desired result. There can be no guarantee that a fund will meet its investment objective. MARKET RISK. Securities held by a fund, as well as shares of a fund itself, are subject to market fluctuations caused by factors such as general economic conditions, political events, regulatory or market developments, changes in interest rates and perceived trends in securities prices. Shares of a fund could decline in value or underperform other investments as a result of the risk of loss associated with these market fluctuations. In addition, local, regional or global events such as war, acts of terrorism, spread of infectious diseases or other public health issues, recessions, or other events could have a significant negative impact on a fund and its investments. Such events may affect certain geographic regions, countries, sectors and industries more significantly than others. In February 2022, Russia invaded Ukraine which has caused and could continue to cause significant market disruptions and volatility within the markets in Russia, Europe, and the United States. The hostilities and sanctions resulting from those hostilities could have a significant impact on certain fund investments as well as fund performance. The outbreak of the respiratory disease designated as COVID-19 in December 2019 has caused significant volatility and declines in global financial markets, which have caused losses for investors. While the development of vaccines has slowed the spread of the virus and allowed Page 133 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2022 (UNAUDITED) for the resumption of "reasonably" normal business activity in the United States, many countries continue to impose lockdown measures in an attempt to slow the spread. Additionally, there is no guarantee that vaccines will be effective against emerging variants of the disease. NON-U.S. SECURITIES RISK. To the extent a fund invests in non-U.S. securities, it is subject to additional risks not associated with securities of domestic issuers. Non-U.S. securities are subject to higher volatility than securities of domestic issuers due to: possible adverse political, social or economic developments; restrictions on foreign investment or exchange of securities; capital controls; lack of liquidity; currency exchange rates; excessive taxation; government seizure of assets; the imposition of sanctions by foreign governments; different legal or accounting standards; and less government supervision and regulation of exchanges in foreign countries. Investments in non-U.S. securities may involve higher costs than investments in U.S. securities, including higher transaction and custody costs, as well as additional taxes imposed by non-U.S. governments. These risks may be heightened for securities of companies located, or with significant operations, in emerging market countries. OPERATIONAL RISK. Each fund is subject to risks arising from various operational factors, including, but not limited to, human error, processing and communication errors, errors of a fund's service providers, counterparties or other third-parties, failed or inadequate processes and technology or systems failures. Each fund relies on third-parties for a range of services, including custody. Any delay or failure relating to engaging or maintaining such service providers may affect a fund's ability to meet its investment objective. Although the funds and the funds' investment advisor seek to reduce these operational risks through controls and procedures, there is no way to completely protect against such risks. PASSIVE INVESTMENT RISK. To the extent a fund seeks to track an index, the fund will invest in the securities included in, or representative of, the index regardless of their investment merit. A fund generally will not attempt to take defensive positions in declining markets. NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE REMUNERATION First Trust Advisors L.P. ("First Trust") is authorised and regulated by the U.S. Securities and Exchange Commission and is entitled to market shares of the First Trust Exchange-Traded AlphaDEX(R) Fund funds it manages (the "Funds") in certain member states in the European Economic Area in accordance with the cooperation arrangements in Article 42 of the Alternative Investment Fund Managers Directive (the "Directive"). First Trust is required under the Directive to make disclosures in respect of remuneration. The following disclosures are made in line with First Trust's interpretation of currently available regulatory guidance on remuneration disclosures. During the year ended December 31, 2021, the amount of remuneration paid (or to be paid) by First Trust Advisors L.P. in respect of the Funds is $3,582,060. This figure is comprised of $137,840 paid (or to be paid) in fixed compensation and $3,444,220 paid (or to be paid) in variable compensation. There were a total of 24 beneficiaries of the remuneration described above. Those amounts include $1,839,510 paid (or to be paid) to senior management of First Trust Advisors L.P. and $1,742,550 paid (or to be paid) to other employees whose professional activities have a material impact on the risk profiles of First Trust Advisors L.P. or the Funds (collectively, "Code Staff"). Code Staff included in the aggregated figures disclosed above are rewarded in line with First Trust's remuneration policy (the "Remuneration Policy") which is determined and implemented by First Trust's senior management. The Remuneration Policy reflects First Trust's ethos of good governance and encapsulates the following principal objectives: i. to provide a clear link between remuneration and performance of First Trust and to avoid rewarding for failure; ii. to promote sound and effective risk management consistent with the risk profiles of the Funds managed by First Trust; and iii. to remunerate staff in line with the business strategy, objectives, values and interests of First Trust and the Funds managed by First Trust in a manner that avoids conflicts of interest. First Trust assesses various risk factors which it is exposed to when considering and implementing remuneration for Code Staff and considers whether any potential award to such person(s) would give rise to a conflict of interest. First Trust does not reward failure, or consider the taking of risk or failure to take risk in its remuneration of Code Staff. First Trust assesses performance for the purposes of determining payments in respect of performance-related remuneration of Code Staff by reference to a broad range of measures including (i) individual performance (using financial and non-financial criteria), and (ii) the overall performance of First Trust. Remuneration is not based upon the performance of the Funds. Page 134 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2022 (UNAUDITED) The elements of remuneration are balanced between fixed and variable and the senior management sets fixed salaries at a level sufficient to ensure that variable remuneration incentivises and rewards strong individual performance but does not encourage excessive risk taking. No individual is involved in setting his or her own remuneration. ADVISORY AGREEMENTS BOARD CONSIDERATIONS REGARDING CONTINUATION OF INVESTMENT MANAGEMENT AGREEMENTS The Board of Trustees of First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust"), including the Independent Trustees, unanimously approved the continuation of the Investment Management Agreements (as applicable to a specific Fund, the "Agreement" and collectively, the "Agreements") with First Trust Advisors L.P. (the "Advisor") on behalf of the following eleven series of the Trust (each a "Fund" and collectively, the "Funds"): First Trust Large Cap Core AlphaDEX(R) Fund (FEX) First Trust Mid Cap Core AlphaDEX(R) Fund (FNX) First Trust Small Cap Core AlphaDEX(R) Fund (FYX) First Trust Large Cap Value AlphaDEX(R) Fund (FTA) First Trust Large Cap Growth AlphaDEX(R) Fund (FTC) First Trust Multi Cap Value AlphaDEX(R) Fund (FAB) First Trust Multi Cap Growth AlphaDEX(R) Fund (FAD) First Trust Mid Cap Growth AlphaDEX(R) Fund (FNY) First Trust Mid Cap Value AlphaDEX(R) Fund (FNK) First Trust Small Cap Growth AlphaDEX(R) Fund (FYC) First Trust Small Cap Value AlphaDEX(R) Fund (FYT) The Board 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 determined for each Fund that the continuation of the Agreement is 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. To reach this determination for each Fund, the Board considered its duties under the Investment Company Act of 1940, as amended (the "1940 Act"), as well as under the general principles of state law, in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. At meetings held on April 18, 2022 and June 12-13, 2022, the Board, including the Independent Trustees, reviewed materials provided by the Advisor responding to requests for information from counsel to the Independent Trustees, submitted on behalf of the Independent Trustees, that, among other things, outlined: the services provided by the Advisor to each Fund (including the relevant personnel responsible for these services and their experience); the advisory or unitary fee rate payable by each Fund as compared to fees charged to a peer group of funds (the "Expense Group") and a broad peer universe of funds (the "Expense Universe"), each assembled by Broadridge Financial Solutions, Inc. ("Broadridge"), an independent source, and as compared to fees charged to other clients of the Advisor, including other exchange-traded funds ("ETFs") managed by the Advisor; the expense ratio of each Fund as compared to expense ratios of the funds in the Fund's Expense Group and Expense Universe; performance information for each Fund, including comparisons of each Fund's performance to that of one or more relevant benchmark indexes and to that of a performance group of funds and a broad performance universe of funds (the "Performance Universe"), each assembled by Broadridge; the nature of expenses incurred in providing services to each Fund and the potential for the Advisor to realize economies of scale, if any; profitability and other financial data for the Advisor; any indirect benefits to the Advisor and its affiliate, First Trust Portfolios L.P. ("FTP"); and information on the Advisor's compliance program. The Board reviewed initial materials with the Advisor at the meeting held on April 18, 2022, prior to which the Independent Trustees and their counsel met separately to discuss the information provided by the Advisor. Following the April meeting, counsel to the Independent Trustees, on behalf of the Independent Trustees, requested certain clarifications and supplements to the materials provided, and the information provided in response to those requests was considered at an executive session of the Independent Trustees and their counsel held prior to the June 12-13, 2022 meeting, as well as at the June meeting. The Board applied its business judgment to determine whether the arrangement between the Trust and the Advisor continues to be a reasonable business arrangement from each Fund's perspective. The Board determined that, given the totality of the information provided with respect to the Agreements, the Board had received sufficient information to renew the Agreements. The Board considered that shareholders chose to invest or remain invested in a Fund knowing that the Advisor manages the Fund and knowing the Fund's advisory or unitary fee. Page 135 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2022 (UNAUDITED) In reviewing the Agreement for each Fund, the Board considered the nature, extent and quality of the services provided by the Advisor under the Agreement. The Board considered that the Advisor is responsible for the overall management and administration of the Trust and each Fund and reviewed all of the services provided by the Advisor to the Funds, as well as the background and experience of the persons responsible for such services. In reviewing the services provided, the Board noted the compliance program that had been developed by the Advisor and considered that it includes a robust program for monitoring the Advisor's and each Fund's compliance with the 1940 Act, as well as each Fund's compliance with its investment objective, policies and restrictions. The Board also considered a report from the Advisor with respect to its risk management functions related to the operation of the Funds. Finally, as part of the Board's consideration of the Advisor's services, the Advisor, in its written materials and at the April 18, 2022 meeting, described to the Board the scope of its ongoing investment in additional personnel and infrastructure to maintain and improve the quality of services provided to the Funds and the other funds in the First Trust Fund Complex. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of the services provided to the Trust and each Fund by the Advisor under the Agreements have been and are expected to remain satisfactory and that the Advisor has managed each Fund consistent with its investment objective, policies and restrictions. For FEX, FNX, FYX, FTA, FTC, FAB and FAD (the "Non-Unitary Fee Funds"), the Board considered the advisory fee rate payable by each Non-Unitary Fee Fund under the applicable Agreement for the services provided. The Board considered that the Advisor agreed to extend the current expense cap for each Non-Unitary Fee Fund through November 30, 2023. For each Non-Unitary Fee Fund, the Board noted that 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, but no reimbursement payment will be made by the Non-Unitary Fee Fund if it would result in the Non-Unitary Fee Fund exceeding (i) the applicable expense limitation in place for the most recent fiscal year for which such expense limitation was in place, (ii) the applicable expense limitation in place at the time the fees were waived, or (iii) the current expense limitation. For FNY, FNK, FYC and FYT (the "Unitary Fee Funds"), the Board considered the unitary fee rate payable by each Unitary Fee Fund under the applicable Agreement for the services provided. The Board considered that as part of the unitary fee the Advisor is responsible for each Unitary Fee Fund's expenses, including the cost of transfer agency, custody, fund administration, legal, audit and other services and license fees, if any, but excluding the fee payment under the applicable Agreement and interest, taxes, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses, if any. The Board received and reviewed information showing the fee rates and expense ratios of the peer funds in the Expense Groups, as well as advisory and unitary fee rates charged by the Advisor to other fund (including ETFs) and non-fund clients, as applicable. Because each Fund's Expense Group included peer funds that pay a unitary fee and because each Unitary Fee Fund pays a unitary fee, the Board determined that expense ratios were the most relevant comparative data point. Based on the information provided, the Board noted that the total (net) expense ratio of each Non-Unitary Fee Fund and the unitary fee rate for each Unitary Fee Fund were above the median total (net) expense ratio of the peer funds in each Fund's respective Expense Group. With respect to the Expense Groups, the Board, at the April 18, 2022 meeting, discussed with Broadridge its methodology for assembling peer groups and discussed with the Advisor limitations in creating peer groups for index ETFs, including differences in underlying indexes and index-tracking methodologies that can result in greater management complexities across seemingly comparable ETFs, and different business models that may affect the pricing of services among ETF sponsors. The Board took these limitations and differences into account in considering the peer data. With respect to fees charged to other non-ETF clients, the Board considered differences between the Funds and other non-ETF clients that limited their comparability. In considering the advisory and unitary fee rates overall, the Board also considered the Advisor's statement that it seeks to meet investor needs through innovative and value-added investment solutions and the Advisor's demonstrated long-term commitment to each Fund and the other funds in the First Trust Fund Complex. The Board considered performance information for each Fund. The Board noted the process it has established for monitoring each Fund's performance and portfolio risk on an ongoing basis, which includes quarterly performance reporting from the Advisor for the Funds. The Board determined that this process continues to be effective for reviewing each Fund's performance. The Board received and reviewed information for periods ended December 31, 2021 regarding the performance of each Fund's underlying index, the correlation between each Fund's performance and that of its underlying index, each Fund's tracking difference and each Fund's excess return as compared to its benchmark index. The Board noted that, effective April 8, 2016, each Fund changed its underlying index to an index developed and maintained by Nasdaq, Inc. using the AlphaDEX(R) stock selection methodology, and that the performance information included a blend of the old and new indexes. The Board considered the Advisor's explanations of how the AlphaDEX(R) stock selection methodology impacts Fund performance in various market environments, and the Advisor's statement that AlphaDEX(R) is designed to provide long-term outperformance. Based on the information provided and its ongoing review of performance, the Board concluded that each Fund was correlated to its underlying index and that the tracking difference for each Fund was within a reasonable range. In addition, the Board reviewed data prepared by Broadridge comparing each Fund's performance to that of its respective Page 136 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS JULY 31, 2022 (UNAUDITED) Performance Universe and to that of a broad-based benchmark index, but given each Fund's objective of seeking investment results that correspond generally to the performance of its underlying index, the Board placed more emphasis on its review of correlation and tracking difference. On the basis of all the information provided on the fees, expenses and performance of each Fund and the ongoing oversight by the Board, the Board concluded that the advisory or unitary fee for each Fund continues to be reasonable and appropriate in light of the nature, extent and quality of the services provided by the Advisor to each Fund under the Agreements. The Board considered information and discussed with the Advisor whether there were any economies of scale in connection with providing advisory services to the Funds and noted the Advisor's statement that it believes that its expenses relating to providing advisory services to the Funds will likely increase during the next twelve months as the Advisor continues to build infrastructure and add new staff. For the Unitary Fee Funds, the Board noted that any reduction in fixed costs associated with the management of the Unitary Fee Funds would benefit the Advisor, but that the unitary fee structure provides a level of certainty in expenses for the Unitary Fee Funds. The Board considered the revenues and allocated costs (including the allocation methodology) of the Advisor in serving as investment advisor to each Fund for the twelve months ended December 31, 2021 and the estimated profitability level for each Fund calculated by the Advisor based on such data, as well as complex-wide and product-line profitability data, for the same period. The Board noted the inherent limitations in the profitability analysis and concluded that, based on the information provided, the Advisor's profitability level for each Fund was not unreasonable. In addition, the Board considered indirect benefits described by the Advisor that may be realized from its relationship with the Funds. The Board considered that the Advisor had identified as an indirect benefit to the Advisor and FTP their exposure to investors and brokers who, absent their exposure to the Funds, may have had no dealings with the Advisor or FTP, and noted that the Advisor does not utilize soft dollars in connection with the Funds. The Board concluded that the character and amount of potential indirect benefits to the Advisor were not unreasonable. Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, unanimously determined that the terms of the Agreements continue to be fair and reasonable and that the continuation of the Agreements is in the best interests of each Fund. No single factor was determinative in the Board's analysis. LIQUIDITY RISK MANAGEMENT PROGRAM In accordance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the "1940 Act"), the Fund and each other fund in the First Trust Fund Complex, other than the closed-end funds, have adopted and implemented a liquidity risk management program (the "Program") reasonably designed to assess and manage the funds' liquidity risk, i.e., the risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors' interests in the fund. The Board of Trustees of the First Trust Funds has appointed First Trust Advisors, L.P. (the "Advisor") as the person designated to administer the Program, and in this capacity the Advisor performs its duties primarily through the activities and efforts of the First Trust Liquidity Committee (the "Liquidity Committee"). Pursuant to the Program, the Liquidity Committee classifies the liquidity of each fund's portfolio investments into one of the four liquidity categories specified by Rule 22e-4: highly liquid investments, moderately liquid investments, less liquid investments and illiquid investments. The Liquidity Committee determines certain of the inputs for this classification process, including reasonably anticipated trade sizes and significant investor dilution thresholds. The Liquidity Committee also determines and periodically reviews a highly liquid investment minimum for certain funds, monitors the funds' holdings of assets classified as illiquid investments to seek to ensure they do not exceed 15% of a fund's net assets and establishes policies and procedures regarding redemptions in kind. At the April 18, 2022 meeting of the Board of Trustees, as required by Rule 22e-4 and the Program, the Advisor provided the Board with a written report prepared by the Advisor that addressed the operation of the Program during the period from March 16, 2021 through the Liquidity Committee's annual meeting held on March 17, 2022 and assessed the Program's adequacy and effectiveness of implementation during this period, including the operation of the highly liquid investment minimum for each fund that is required under the Program to have one, and any material changes to the Program. Note that because the Funds primarily hold assets that are highly liquid investments, the Funds have not adopted any highly liquid investment minimums. As stated in the written report, during the review period, no fund breached the 15% limitation on illiquid investments, no fund with a highly liquid investment minimum breached that minimum and no fund filed a Form N-LIQUID. The Advisor concluded that each fund's investment strategy is appropriate for an open-end fund; that the Program operated effectively in all material respects during the review period; and that the Program is reasonably designed to assess and manage the liquidity risk of each fund and to maintain compliance with Rule 22e-4. Page 137 -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND OFFICERS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2022 (UNAUDITED) The following tables identify the Trustees and Officers of the Trust. Unless otherwise indicated, the address of all persons is 120 East Liberty Drive, Suite 400, Wheaton, IL 60187. The Trust's statement of additional information includes additional information about the Trustees and is available, without charge, upon request, by calling (800) 988-5891. NUMBER OF OTHER PORTFOLIOS IN TRUSTEESHIPS OR TERM OF OFFICE THE FIRST TRUST DIRECTORSHIPS NAME, AND YEAR FIRST FUND COMPLEX HELD BY TRUSTEE YEAR OF BIRTH AND ELECTED OR PRINCIPAL OCCUPATIONS OVERSEEN BY DURING PAST POSITION WITH THE TRUST APPOINTED DURING PAST 5 YEARS TRUSTEE 5 YEARS ------------------------------------------------------------------------------------------------------------------------------------ INDEPENDENT TRUSTEES ------------------------------------------------------------------------------------------------------------------------------------ Richard E. Erickson, Trustee o Indefinite Term Physician, Edward-Elmhurst Medical 220 None (1951) Group; Physician and Officer, o Since Inception Wheaton Orthopedics (1990 to 2021) Thomas R. Kadlec, Trustee o Indefinite Term Retired; President, ADM Investors 220 Director, National (1957) Services, Inc. (Futures Commission Futures Association o Since Inception Merchant) (2010 to July 2022) and ADMIS Singapore Ltd.; Formerly, Director of ADM Investor Services, Inc., ADM Investor Services International, ADMIS Hong Kong Ltd., and Futures Industry Association Denise M. Keefe, Trustee o Indefinite Term Executive Vice President, Advocate Aurora 220 Director and Board (1964) Health and President, Advocate Aurora Chair of Advocate Home o Since 2021 Continuing Health Division (Integrated Health Services, Healthcare System) Advocate Home Care Products and Advocate Hospice; Director and Board Chair of Aurora At Home (since 2018); Director of Advocate Physician Partners Accountable Care Organization; Director and Board Chair of RML Long Term Acute Care Hospitals; and Director of Senior Helpers (since 2021) Robert F. Keith, Trustee o Indefinite Term President, Hibs Enterprises (Financial 220 Formerly, Director of (1956) and Management Consulting) Trust Company of o Since Inception Illinois Niel B. Nielson, Trustee o Indefinite Term Senior Advisor (2018 to Present), 220 None (1954) Managing Director and Chief Operating o Since Inception Officer (2015 to 2018), Pelita Harapan Educational Foundation (Educational Products and Services) ------------------------------------------------------------------------------------------------------------------------------------ INTERESTED TRUSTEE ------------------------------------------------------------------------------------------------------------------------------------ James A. Bowen(1), Trustee, o Indefinite Term Chief Executive Officer, First Trust 220 None Chairman of the Board Advisors L.P. and First Trust Portfolios (1955) o Since Inception L.P., Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) ----------------------------- (1) Mr. Bowen is deemed an "interested person" of the Trust due to his position as Chief Executive Officer of First Trust Advisors L.P., investment advisor of the Trust. Page 138 -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND OFFICERS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2022 (UNAUDITED) POSITION AND TERM OF OFFICE NAME AND OFFICES AND LENGTH OF PRINCIPAL OCCUPATIONS YEAR OF BIRTH WITH TRUST SERVICE DURING PAST 5 YEARS ------------------------------------------------------------------------------------------------------------------------------------ OFFICERS(2) ------------------------------------------------------------------------------------------------------------------------------------ James M. Dykas President and Chief o Indefinite Term Managing Director and Chief Financial Officer, First (1966) Executive Officer Trust Advisors L.P. and First Trust Portfolios L.P.; o Since 2016 Chief Financial Officer, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) Donald P. Swade Treasurer, Chief Financial o Indefinite Term Senior Vice President, First Trust Advisors L.P. and (1972) Officer and Chief Accounting First Trust Portfolios L.P. Officer o Since 2016 W. Scott Jardine Secretary and Chief Legal o Indefinite Term General Counsel, First Trust Advisors L.P. and First (1960) Officer Trust Portfolios L.P.; Secretary and General Counsel, o Since Inception BondWave LLC; Secretary, Stonebridge Advisors LLC Daniel J. Lindquist Vice President o Indefinite Term Managing Director, First Trust Advisors L.P. and First (1970) Trust Portfolios L.P. o Since Inception Kristi A. Maher Chief Compliance Officer and o Indefinite Term Deputy General Counsel, First Trust Advisors L.P. and (1966) Assistant Secretary First Trust Portfolios L.P. o Chief Compliance Officer Since 2011 o Assistant Secretary Since Inception Roger F. Testin Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P. and (1966) First Trust Portfolios L.P. o Since Inception Stan Ueland Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P. and (1970) First Trust Portfolios L.P. o Since Inception ----------------------------- (2) The term "officer" means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. Page 139 -------------------------------------------------------------------------------- PRIVACY POLICY -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND JULY 31, 2022 (UNAUDITED) PRIVACY POLICY First Trust values our relationship with you and considers your privacy an important priority in maintaining that relationship. We are committed to protecting the security and confidentiality of your personal information. SOURCES OF INFORMATION We collect nonpublic personal information about you from the following sources: o Information we receive from you and your broker-dealer, investment professional or financial representative through interviews, applications, agreements or other forms; o Information about your transactions with us, our affiliates or others; o Information we receive from your inquiries by mail, e-mail or telephone; and o Information we collect on our website through the use of "cookies." For example, we may identify the pages on our website that your browser requests or visits. INFORMATION COLLECTED The type of data we collect may include your name, address, social security number, age, financial status, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, investment objectives, marital status, family relationships and other personal information. DISCLOSURE OF INFORMATION We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law. In addition to using this information to verify your identity (as required under law), the permitted uses may also include the disclosure of such information to unaffiliated companies for the following reasons: o In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers. o We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). In addition, in order to alert you to our other financial products and services, we may share your personal information within First Trust. USE OF WEBSITE ANALYTICS We currently use third party analytics tools, Google Analytics and AddThis, to gather information for purposes of improving First Trust's website and marketing our products and services to you. These tools employ cookies, which are small pieces of text stored in a file by your web browser and sent to websites that you visit, to collect information, track website usage and viewing trends such as the number of hits, pages visited, videos and PDFs viewed and the length of user sessions in order to evaluate website performance and enhance navigation of the website. We may also collect other anonymous information, which is generally limited to technical and web navigation information such as the IP address of your device, internet browser type and operating system for purposes of analyzing the data to make First Trust's website better and more useful to our users. The information collected does not include any personal identifiable information such as your name, address, phone number or email address unless you provide that information through the website for us to contact you in order to answer your questions or respond to your requests. To find out how to opt-out of these services click on: Google Analytics and AddThis. CONFIDENTIALITY AND SECURITY With regard to our internal security procedures, First Trust restricts access to your nonpublic personal information to those First Trust employees who need to know that information to provide products or services to you. We maintain physical, electronic and procedural safeguards to protect your nonpublic personal information. POLICY UPDATES AND INQUIRIES As required by federal law, we will notify you of our privacy policy annually. We reserve the right to modify this policy at any time, however, if we do change it, we will tell you promptly. For questions about our policy, or for additional copies of this notice, please go to www.ftportfolios.com, or contact us at 1-800-621-1675 (First Trust Portfolios) or 1-800-222-6822 (First Trust Advisors). March 2022 Page 140 -------------------------------------------------------------------------------- FIRST TRUST FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND STYLE FUNDS -------------------------------------------------------------------------------- INVESTMENT ADVISOR First Trust Advisors L.P. 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 ADMINISTRATOR, CUSTODIAN, FUND ACCOUNTANT & TRANSFER AGENT The Bank of New York Mellon 240 Greenwich Street New York, NY 10286 INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Deloitte & Touche LLP 111 S. Wacker Drive Chicago, IL 60606 LEGAL COUNSEL Chapman and Cutler LLP 320 South Canal Street Chicago, IL 60606 [BLANK BACK COVER]