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FIRST TRUST

First Trust Exchange-Traded AlphaDEX(R) Fund
Semi-Annual Report                                              January 31, 2022
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AlphaDEX(R) Sector Funds
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First Trust Consumer Discretionary AlphaDEX(R) Fund (FXD)
First Trust Consumer Staples AlphaDEX(R) Fund (FXG)
First Trust Energy AlphaDEX(R) Fund (FXN)
First Trust Financials AlphaDEX(R) Fund (FXO)
First Trust Health Care AlphaDEX(R) Fund (FXH)
First Trust Industrials/Producer Durables AlphaDEX(R) Fund (FXR)
First Trust Materials AlphaDEX(R) Fund (FXZ)
First Trust Technology AlphaDEX(R) Fund (FXL)
First Trust Utilities AlphaDEX(R) Fund (FXU)


                                  AlphaDEX(R)
                                 FAMILY OF ETFs

AlphaDEX(R) is a registered trademark of First Trust Portfolios L.P.
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TABLE OF CONTENTS
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                  FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
                                  SECTOR FUNDS
                               SEMI-ANNUAL REPORT
                                JANUARY 31, 2022

Shareholder Letter...........................................................  2
Market Overview..............................................................  3
Fund Performance Overview
      First Trust Consumer Discretionary AlphaDEX(R) Fund (FXD)..............  4
      First Trust Consumer Staples AlphaDEX(R) Fund (FXG)....................  6
      First Trust Energy AlphaDEX(R) Fund (FXN)..............................  8
      First Trust Financials AlphaDEX(R) Fund (FXO).......................... 10
      First Trust Health Care AlphaDEX(R) Fund (FXH)......................... 12
      First Trust Industrials/Producer Durables AlphaDEX(R) Fund (FXR)....... 14
      First Trust Materials AlphaDEX(R) Fund (FXZ)........................... 16
      First Trust Technology AlphaDEX(R) Fund (FXL).......................... 18
      First Trust Utilities AlphaDEX(R) Fund (FXU)........................... 20
Notes to Fund Performance Overview........................................... 22
Understanding Your Fund Expenses............................................. 23
Portfolio of Investments
      First Trust Consumer Discretionary AlphaDEX(R) Fund (FXD).............. 25
      First Trust Consumer Staples AlphaDEX(R) Fund (FXG).................... 28
      First Trust Energy AlphaDEX(R) Fund (FXN).............................. 29
      First Trust Financials AlphaDEX(R) Fund (FXO).......................... 31
      First Trust Health Care AlphaDEX(R) Fund (FXH)......................... 33
      First Trust Industrials/Producer Durables AlphaDEX(R) Fund (FXR)....... 35
      First Trust Materials AlphaDEX(R) Fund (FXZ)........................... 38
      First Trust Technology AlphaDEX(R) Fund (FXL).......................... 39
      First Trust Utilities AlphaDEX(R) Fund (FXU)........................... 41
Statements of Assets and Liabilities......................................... 44
Statements of Operations..................................................... 46
Statements of Changes in Net Assets.......................................... 48
Financial Highlights......................................................... 52
Notes to Financial Statements................................................ 57
Additional Information....................................................... 65





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                  CAUTION REGARDING FORWARD-LOOKING STATEMENTS

This report contains certain forward-looking statements within the meaning of
the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934,
as amended. Forward-looking statements include statements regarding the goals,
beliefs, plans or current expectations of First Trust Advisors L.P. ("First
Trust" or the "Advisor") and its representatives, taking into account the
information currently available to them. Forward-looking statements include all
statements that do not relate solely to current or historical fact. For example,
forward-looking statements include the use of words such as "anticipate,"
"estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or
other words that convey uncertainty of future events or outcomes.

Forward-looking statements involve known and unknown risks, uncertainties and
other factors that may cause the actual results, performance or achievements of
any series of First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust")
described in this report (each such series is referred to as a "Fund" and
collectively, as the "Funds") to be materially different from any future
results, performance or achievements expressed or implied by the forward-looking
statements. When evaluating the information included in this report, you are
cautioned not to place undue reliance on these forward-looking statements, which
reflect the judgment of the Advisor and its representatives only as of the date
hereof. We undertake no obligation to publicly revise or update these
forward-looking statements to reflect events and circumstances that arise after
the date hereof.

                        PERFORMANCE AND RISK DISCLOSURE

There is no assurance that any Fund described in this report will achieve its
investment objective. Each Fund is subject to market risk, which is the
possibility that the market values of securities owned by the Fund will decline
and that the value of the Fund's shares may therefore be less than what you paid
for them. Accordingly, you can lose money investing in a Fund. See "Risk
Considerations" in the Additional Information section of this report for a
discussion of certain other risks of investing in the Funds.

Performance data quoted represents past performance, which is no guarantee of
future results, and current performance may be lower or higher than the figures
shown. For the most recent month-end performance figures, please visit
www.ftportfolios.com or speak with your financial advisor. Investment returns,
net asset value and share price will fluctuate and Fund shares, when sold, may
be worth more or less than their original cost.

The Advisor may also periodically provide additional information on Fund
performance on each Fund's webpage at www.ftportfolios.com.

                            HOW TO READ THIS REPORT

This report contains information that may help you evaluate your investment. It
includes details about each Fund and presents data and analysis that provide
insight into each Fund's performance and investment approach.

By reading the market overview by Robert F. Carey, Chief Market Strategist of
the Advisor, you may obtain an understanding of how the market environment
affected the performance of each Fund. The statistical information that follows
may help you understand each Fund's performance compared to that of relevant
market benchmarks.

It is important to keep in mind that the opinions expressed by personnel of the
Advisor are just that: informed opinions. They should not be considered to be
promises or advice. The opinions, like the statistics, cover the period through
the date on the cover of this report. The material risks of investing in each
Fund are spelled out in its prospectus, statement of additional information, and
other Fund regulatory filings.


                                                                          Page 1





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SHAREHOLDER LETTER
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                  FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
                  SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO
                                JANUARY 31, 2022

Dear Shareholders:

First Trust is pleased to provide you with the semi-annual report for the Sector
Funds of the First Trust Exchange-Traded AlphaDEX(R) Fund (the "Funds"), which
contains detailed information about the Funds for the six-month period ended
January 31, 2022.

It is times like these that really test the resolve of investors. Since the
start of November 2021, we have seen the major U.S. stock indices decline
markedly from their all-time highs. Many pundits and experts are calling for
additional near-term selling pressure due to robust inflation and the prospects
for multiple interest rate hikes from the Federal Reserve (the "Fed"), with
anticipation that rate increases could begin as early as March 2022. For the
record, Brian Wesbury, Chief Economist at First Trust, has been steadfast in his
belief that the Fed is already behind the curve with respect to inflation and
interest rates, which means the Fed may have a little chasing to do at some
point to deliver on its mandate of price stability. In January 2022, the
Consumer Price Index stood at 7.5% on a trailing 12-month basis, the highest it
has been since 1982, according to the U.S. Bureau of Labor Statistics ("BLS").
The spike in inflation over the past year is primarily rooted in a massive
increase in the U.S. money supply, in my opinion. It was brought to bear to
mitigate the economic fallout from the coronavirus ("COVID-19") pandemic. The
disruption of the global supply chain and the overall lack of goods available
for consumption are also contributing to the spike in inflation, and both happen
to be collateral damage from the pandemic. Remember, the definition of inflation
is "too many dollars chasing too few goods." This is the climate we are in
today.

It has been roughly two years since the onset of the COVID-19 pandemic and we
are still battling this stubborn virus. There is, however, some good news to
report. Despite the recommendation from the Centers for Disease Control and
Prevention that masks continue to be worn indoors, as of mid-February 2022, many
states had terminated their divisive mask mandates, and more could do so soon.
Providing that the number of cases continues to shrink in the U.S., and we do
not encounter any other significant variants like Omicron, we could attempt
another run at fully reopening the U.S. economy (such an attempt was made in
2021 prior to the onset of the Omicron variant). Reopening the economy could
prove to be a positive, and much needed, influence on getting more people back
to work. This is especially relevant for those parents staying at home due to a
shortage of daycare services or for those with children still e-learning. The
U.S. finished 2021 with 10.9 million job openings, well above the 10-year
average of 6.0 million, according to the BLS.

Lastly, we believe that politics, both domestic and foreign, could influence the
markets in 2022. The most pressing issue currently is the conflict between
Russia and Ukraine. The prevailing concern is that a Russian invasion could
boost uncertainty and increase volatility in the markets, particularly the
energy market. A war could conceivably push the price of oil higher, putting
additional strain on inflation. On the domestic front, as it stands, the Biden
Administration's Build Back Better Act does not have the support of enough
Democrats in the Senate to pass. It included substantial tax hikes primarily
targeting the wealthy to pay for the nearly $2 trillion price tag. At best, the
hope is to split it up into smaller bills to see if pieces of it can pass. That
leads us to the second domestic political issue: the midterm elections in
November 2022. If the Republicans can win back control of the House and the
Senate, I would expect gridlock to persist throughout the last two years of
President Joe Biden's term. The good news is that gridlock is a normal byproduct
of our system of checks and balances. The markets have experienced it, and
investors have navigated it, plenty of times. The bottom line is that we need to
reopen the economy and get people back to work. Stay the course!

Thank you for giving First Trust the opportunity to play a role in your
financial future. We value our relationship with you and will report on the
Funds again in six months.

Sincerely,

/s/ James A. Bowen

James A. Bowen
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.


Page 2





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MARKET OVERVIEW
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                  FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
                               SEMI-ANNUAL REPORT
                                JANUARY 31, 2022

ROBERT F. CAREY, CFA
SENIOR VICE PRESIDENT AND CHIEF MARKET STRATEGIST
FIRST TRUST ADVISORS L.P.

Mr. Carey is responsible for the overall management of research and analysis of
the First Trust product line. Mr. Carey has more than 30 years of experience as
an Equity and Fixed-Income Analyst and is a recipient of the Chartered Financial
Analyst ("CFA") designation. He is a graduate of the University of Illinois at
Champaign-Urbana with a B.S. in Physics. He is also a member of the Investment
Analysts Society of Chicago and the CFA Institute. Mr. Carey has appeared as a
guest on such programs as Bloomberg TV, CNBC, and WBBM Radio, and has been
quoted by several publications, including The Wall Street Journal, The Wall
Street Reporter, Bloomberg News Service, and Registered Rep.

STATE OF THE U.S. ECONOMY

Suffice it to say, the most unintended consequence of the trillions of dollars
of subsidies and stimulus payments funneled into the U.S. economy by the Federal
government to help mitigate the fallout from the coronavirus ("COVID-19")
pandemic is robust inflation. It was likely unintended since significant
portions of the U.S. economy were not fully reopened, making it challenging to
accurately forecast where consumer sentiment would stand. One key measure of
inflation is the Consumer Price Index ("CPI"). The CPI stood at 7.5% on a
trailing 12-month basis in January 2022, up from 5.4% in July 2021 and way up
from 1.4% in January 2021, according to data from the U.S. Bureau of Labor
Statistics. The CPI has not been this elevated since 1982.

The surge in inflation looks as though it is here to stay. Federal Reserve (the
"Fed") Chairman Jerome Powell has changed his expectations on inflation from
characterizing it as transitory to it being more persistent in nature. In the
hopes of keeping inflation from becoming entrenched, the Fed began expediting
the tapering of its monthly bond buying program in December 2021. This program
has been successful at pushing down intermediate and longer maturity bond yields
and keeping them artificially low to help stimulate economic activity. The Fed
will reduce its purchases of Treasuries and mortgage-backed securities by $30
billion per month. At that pace, the Fed should be done buying bonds in the open
market by the end of March 2022. They also foresee hiking short-term interest
rates at least three times in 2022, but some Wall Street firms are predicting
even more hikes. The Federal Funds target rate (upper bound) is currently at
0.25%.

The global growth forecast from the International Monetary Fund ("IMF") released
in January 2022 sees real gross domestic product growth rising by 4.4% worldwide
in 2022, down from its 5.9% projection for 2021. The IMF is calling for a 4.0%
growth rate for the U.S. in 2022, down from its 5.6% estimate for 2021. As has
been the case for many years, Emerging Market and Developing Economies are
expected to grow faster than Advanced Economies in 2022. Their 2022 growth rate
estimates are 4.8% and 3.9%, respectively. While global growth is expected to
slow some in 2022, there does not appear to be any threat of recession in the
foreseeable future. Having said that, we encourage investors to monitor the
direction of inflation in the months ahead to see whether the Fed's anticipated
rate hikes are effective at curbing it. If not, the Fed may need to raise
interest rates more aggressively later.

SECTOR/EQUITY INVESTING

For the six-month period ended January 31, 2022, nine of the 11 major sectors
that comprise the S&P 500(R) Index (the "Index") generated positive total
returns, according to Bloomberg. The Index posted a total return of 3.44% over
the period. Six of the 11 sectors outperformed the broader index. Those six
sectors were Energy (+37.86%), Consumer Staples (+8.64%), Financials (+7.97%),
Utilities (+6.56%), Information Technology (+6.02%) and Real Estate (+3.65%),
according to Bloomberg. The sector that posted the lowest total return for the
period was the Communication Services sector, down 8.01%.

The Index closed at 4,515.55 on January 31, 2022, 5.86% below its all-time high,
according to Bloomberg. A Bloomberg survey of 24 equity strategists found that
their average 2022 year-end price target for the Index was 4,933 as of February
17, 2022 (most recent release). The highest and lowest estimates were 5,330 and
4,200, respectively. Brian Wesbury, Chief Economist at First Trust, has a
year-end price target of 5,250. Keep in mind that these forecasts are subject to
change. Index earnings projections are positive for 2022 and 2023. As of
February 4, 2022, Bloomberg's consensus year-over-year earnings growth rate
estimates for 2022 and 2023 stood at 7.07% and 9.97%, respectively. These
estimates are more in line with the historical norm for the Index than the
49.51% estimated earnings growth rate for 2021, which reflects a robust rebound
from the COVID-19-induced 12.44% plunge in earnings in 2020.

ETFGI, an independent research and consultancy firm, reported that total assets
invested in exchange-traded funds ("ETFs") and related exchange-traded products
("ETPs") listed globally stood at an all-time high of $10.27 trillion in
December 2021, up from $7.99 trillion a year ago, according to its own release.
Total assets of U.S. listed ETFs/ETPs stood at an all-time high of $7.21
trillion, up from $5.47 trillion a year ago.


                                                                          Page 3





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FUND PERFORMANCE OVERVIEW (UNAUDITED)
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FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD)

The First Trust Consumer Discretionary AlphaDEX(R) Fund (the "Fund") seeks
investment results that correspond generally to the price and yield (before the
Fund's fees and expenses) of an equity index called the StrataQuant(R) Consumer
Discretionary Index (the "Consumer Discretionary Index"). The Fund will normally
invest at least 90% of its net assets (including investment borrowings) in the
common stocks that comprise the Consumer Discretionary Index. The shares of the
Fund are listed and trade on the NYSE Arca, Inc. (the "NYSE Arca" or the
"Exchange") under the ticker symbol "FXD."

The Consumer Discretionary Index is a modified equal-dollar weighted index
designed by ICE Data Indices, LLC or its affiliates ("IDI") to objectively
identify and select stocks from the Russell 1000(R) Index in the consumer
discretionary sector that may generate positive alpha relative to traditional
passive-style indices through the use of the AlphaDEX(R) selection methodology.
Alpha is an indication of how much an investment outperforms or underperforms on
a risk-adjusted basis relative to its benchmark. IDI constructs the Consumer
Discretionary Index using the Industry Classification Benchmark ("ICB") sector
scheme to determine a stock's sector membership.



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PERFORMANCE
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                                                               AVERAGE ANNUAL TOTAL RETURNS           CUMULATIVE TOTAL RETURNS
                                      6 Months    1 Year     5 Years    10 Years    Inception     5 Years    10 Years    Inception
                                       Ended       Ended      Ended      Ended       (5/8/07)      Ended      Ended       (5/8/07)
                                      1/31/22     1/31/22    1/31/22    1/31/22     to 1/31/22    1/31/22    1/31/22     to 1/31/22
                                                                                                    
FUND PERFORMANCE
NAV                                    -5.81%     10.12%     10.83%      11.65%        8.26%       67.24%    201.12%      222.18%
Market Price                           -5.83%     10.15%     10.82%      11.64%        8.26%       67.13%    200.87%      222.06%

INDEX PERFORMANCE
StrataQuant(R) Consumer Discretionary
   Index                               -5.60%     10.72%     11.50%      12.36%        9.01%       72.35%    220.61%      256.47%
Russell 1000(R) Index                   1.69%     20.32%     16.59%      15.32%        9.97%      115.46%    315.91%      305.82%
S&P 500(R) Consumer Discretionary
   Index                                1.41%     11.94%     17.92%      17.68%       12.66%      128.02%    409.49%      479.38%
Russell 1000(R) Consumer
   Discretionary Index(1)              -2.53%      6.34%     18.45%      17.51%        N/A        133.15%    402.23%        N/A
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(See Notes to Fund Performance Overview on page 22.)

-----------------------------

(1) On or about September 18, 2008, Russell Investment Group ("Russell") began
calculating its Russell U.S. Indices using an enhanced Russell sector scheme,
the Russell Global Sectors ("RGS"). The RGS and the former U.S. sector scheme
ran in tandem until June 30, 2009, when Russell officially transitioned to the
RGS and ceased calculating its indices using the U.S. sector scheme. In addition
to the implementation of the RGS, Russell changed the name of the Russell
1000(R) Consumer Discretionary and Services Index to the Russell 1000(R)
Consumer Discretionary Index. Consequently, performance data is not available
for all the periods shown in the table for the Russell 1000(R) Consumer
Discretionary Index because performance data does not exist for each of the
entire periods using solely the U.S. sector scheme, or alternatively, using
solely the RGS.

Source ICE Data Indices, LLC ("ICE Data"), is used with permission.
"StrataQuant(R)" is a service/trade mark of ICE Data or its affiliates. Frank
Russell Company is the source and owner of the trademarks, service marks and
copyrights related to the Russell Indices. Russell(R), Russell 1000(R) and
Russell 3000(R) are all registered trademarks of Frank Russell Company. Russell
1000(R) and Russell 3000(R) are being utilized in the indices under license.
These trademarks have been licensed along with the StrataQuant(R) Consumer
Discretionary Index ("Index") for use by First Trust Portfolios L.P. ("FTP") in
connection with the First Trust Consumer Discretionary AlphaDEX(R) Fund ("FXD").
Neither FTP, the Trust, nor FXD is sponsored, endorsed, sold or promoted by ICE
Data, its affiliates or its Third Party Suppliers including without limitation
Frank Russell Company ("ICE Data and its Suppliers"). ICE Data and its Suppliers
make no representations or warranties regarding the advisability of investing in
securities generally, in FXD particularly, the Trust or the ability of the Index
to track general stock market performance. ICE Data's only relationship to FTP
is the licensing of certain trademarks, trade names and the Index or components
thereof. The Index is determined, composed and calculated by ICE Data without
regard to FTP or FXD or its holders. ICE Data has no obligation to take the
needs of FTP or the holders of FXD into consideration in determining, composing
or calculating the Index. ICE Data is not responsible for and has not
participated in the determination of the timing of, prices of, or quantities of
FXD to be issued or in the determination or calculation of the equation by which
FXD is to be priced, sold, purchased, or redeemed. Except for certain custom
index calculation services, all information provided by ICE Data is general in
nature and not tailored to the needs of FTP or any other person, entity or group
of persons. ICE Data has no obligation or liability in connection with the
administration, marketing, or trading of FXD. ICE Data is not an investment
advisor. Inclusion of a security within an index is not a recommendation by ICE
Data to buy, sell, or hold such security, nor is it considered to be investment
advice.

ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS,
EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS
FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY
INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM ("INDEX DATA"). ICE
DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH
RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND
THE INDEX DATA, WHICH ARE PROVIDED ON AN "AS IS" BASIS AND YOUR USE IS AT YOUR
OWN RISK.


Page 4





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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) (CONTINUED)

----------------------------------------------------------
                                          % OF TOTAL
SECTOR CLASSIFICATION                LONG-TERM INVESTMENTS
----------------------------------------------------------
Consumer Discretionary                        81.3%
Communication Services                        11.2
Industrials                                    4.5
Consumer Staples                               2.3
Information Technology                         0.7
                                            -------
  Total                                      100.0%
                                            =======

----------------------------------------------------------
                                          % OF TOTAL
TOP TEN HOLDINGS                     LONG-TERM INVESTMENTS
----------------------------------------------------------
Kohl's Corp.                                   1.8%
ViacomCBS, Inc., Class B                       1.7
Nexstar Media Group, Inc., Class A             1.6
Foot Locker, Inc.                              1.5
Dick's Sporting Goods, Inc.                    1.5
Lithia Motors, Inc.                            1.5
AutoZone, Inc.                                 1.4
Penske Automotive Group, Inc.                  1.4
AutoNation, Inc.                               1.4
Qurate Retail, Inc., Series A                  1.4
                                            -------
  Total                                       15.2%
                                            =======



                                                PERFORMANCE OF A $10,000 INITIAL INVESTMENT
                                                      JULY 31, 2011 - JANUARY 31, 2022

                 First Trust
            Consumer Discretionary    StrataQuant(R) Consumer    Russell 1000(R)    S&P 500(R) Consumer    Russell 1000(R) Consumer
               AlphaDEX(R) Fund         Discretionary Index           Index         Discretionary Index      Discretionary Index
                                                                                                    
7/31/11             10,000                    10,000                 10,000               10,000                    10,000
1/31/12              9,793                     9,839                 10,229               10,524                    10,490
7/31/12              9,694                     9,754                 10,796               11,189                    11,252
1/31/13             11,585                    11,704                 11,971               13,014                    13,140
7/31/13             13,782                    13,973                 13,627               15,519                    15,531
1/31/14             14,588                    14,849                 14,633               16,575                    16,601
7/31/14             15,487                    15,817                 15,953               17,489                    17,464
1/31/15             16,693                    17,106                 16,646               18,731                    18,655
7/31/15             18,049                    18,560                 17,745               21,631                    21,088
1/31/16             15,692                    16,184                 16,345               20,188                    19,412
7/31/16             17,628                    18,235                 18,604               22,395                    21,681
1/31/17             17,633                    18,300                 19,746               23,514                    22,596
7/31/17             18,526                    19,289                 21,571               25,508                    24,677
1/31/18             21,842                    22,816                 24,847               30,332                    29,346
7/31/18             21,151                    22,162                 25,061               31,503                    29,880
1/31/19             20,430                    21,466                 24,307               30,851                    29,551
7/31/19             21,813                    23,003                 27,067               34,415                    33,234
1/31/20             22,029                    23,316                 29,506               36,022                    35,126
7/31/20             20,199                    21,417                 30,324               41,834                    40,045
1/31/21             26,775                    28,488                 35,361               47,904                    49,548
7/31/21             31,307                    33,415                 41,837               52,873                    54,049
1/31/22             29,488                    31,544                 42,544               53,619                    52,682


Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.

FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS

Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.


                                                                          Page 5





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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG)

The First Trust Consumer Staples AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the StrataQuant(R) Consumer Staples
Index (the "Consumer Staples Index"). The Fund will normally invest at least 90%
of its net assets (including investment borrowings) in the common stocks that
comprise the Consumer Staples Index. The shares of the Fund are listed and trade
on the NYSE Arca under the ticker symbol "FXG."

The Consumer Staples Index is a modified equal-dollar weighted index designed by
IDI to objectively identify and select stocks from the Russell 1000(R) Index in
the consumer staples sector that may generate positive alpha relative to
traditional passive-style indices through the use of the AlphaDEX(R) selection
methodology. Alpha is an indication of how much an investment outperforms or
underperforms on a risk-adjusted basis relative to its benchmark. IDI constructs
the Consumer Staples Index using the ICB sector scheme to determine a stock's
sector membership.



-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
-----------------------------------------------------------------------------------------------------------------------------------
                                                               AVERAGE ANNUAL TOTAL RETURNS           CUMULATIVE TOTAL RETURNS
                                      6 Months    1 Year     5 Years    10 Years    Inception     5 Years    10 Years    Inception
                                       Ended       Ended      Ended      Ended       (5/8/07)      Ended      Ended       (5/8/07)
                                      1/31/22     1/31/22    1/31/22    1/31/22     to 1/31/22    1/31/22    1/31/22     to 1/31/22
                                                                                                  
FUND PERFORMANCE
NAV                                    10.90%     20.02%      8.04%      11.90%        9.53%       47.21%    207.94%      282.17%
Market Price                           10.85%     20.05%      8.03%      11.90%        9.52%       47.13%    207.71%      282.03%

INDEX PERFORMANCE
StrataQuant(R) Consumer Staples Index  10.99%     20.48%      8.71%      12.67%       10.30%       51.82%    229.70%      323.76%
Russell 1000(R) Index                   1.69%     20.32%     16.59%      15.32%        9.97%      115.46%    315.91%      305.82%
S&P 500(R) Consumer Staples Index       8.64%     23.38%     11.08%      12.25%       10.39%       69.14%    217.73%      329.07%
Russell 1000(R) Consumer Staples
   Index(1)                            10.28%     24.21%      9.10%      11.61%        N/A         54.57%    200.03%        N/A
-----------------------------------------------------------------------------------------------------------------------------------


(See Notes to Fund Performance Overview on page 22.)

-----------------------------

(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Consumer Staples Index because
performance data does not exist for each of the entire periods using solely the
U.S. sector scheme, or alternatively, using solely the RGS.

Source ICE Data Indices, LLC ("ICE Data"), is used with permission.
"StrataQuant(R)" is a service/trade mark of ICE Data or its affiliates. Frank
Russell Company is the source and owner of the trademarks, service marks and
copyrights related to the Russell Indices. Russell(R), Russell 1000(R) and
Russell 3000(R) are all registered trademarks of Frank Russell Company. Russell
1000(R) and Russell 3000(R) are being utilized in the indices under license.
These trademarks have been licensed, along with the StrataQuant(R) Consumer
Staples Index ("Index") for use by First Trust Portfolios L.P. ("FTP") in
connection with the First Trust Consumer Staples AlphaDEX(R) Fund ("FXG").
Neither FTP, the Trust nor FXG is sponsored, endorsed, sold or promoted by ICE
Data, its affiliates or its Third Party Suppliers including without limitation
Frank Russell Company ("ICE Data and its Suppliers"). ICE Data and its Suppliers
make no representations or warranties regarding the advisability of investing in
securities generally, in FXG particularly, the Trust or the ability of the Index
to track general stock market performance. ICE Data's only relationship to FTP
is the licensing of certain trademarks, trade names and the Index or components
thereof. The Index is determined, composed and calculated by ICE Data without
regard to FTP or FXG or its holders. ICE Data has no obligation to take the
needs of FTP or the holders of FXG into consideration in determining, composing
or calculating the Index. ICE Data is not responsible for and has not
participated in the determination of the timing of, prices of, or quantities of
FXG to be issued or in the determination or calculation of the equation by which
FXG is to be priced, sold, purchased, or redeemed. Except for certain custom
index calculation services, all information provided by ICE Data is general in
nature and not tailored to the needs of FTP or any other person, entity or group
of persons. ICE Data has no obligation or liability in connection with the
administration, marketing, or trading of FXG. ICE Data is not an investment
advisor. Inclusion of a security within an index is not a recommendation by ICE
Data to buy, sell, or hold such security, nor is it considered to be investment
advice.

ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS,
EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS
FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY
INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM ("INDEX DATA"). ICE
DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH
RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND
THE INDEX DATA, WHICH ARE PROVIDED ON AN "AS IS" BASIS AND YOUR USE IS AT YOUR
OWN RISK.


Page 6





--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG) (CONTINUED)

----------------------------------------------------------
                                          % OF TOTAL
SECTOR CLASSIFICATION                LONG-TERM INVESTMENTS
----------------------------------------------------------
Consumer Staples                              88.0%
Health Care                                    7.8
Materials                                      4.2
                                            -------
  Total                                      100.0%
                                            =======

----------------------------------------------------------
                                          % OF TOTAL
TOP TEN HOLDINGS                     LONG-TERM INVESTMENTS
----------------------------------------------------------
Archer-Daniels-Midland Co.                     4.6%
Bunge Ltd.                                     4.4
Tyson Foods, Inc., Class A                     4.3
J.M. Smucker (The) Co.                         4.3
McKesson Corp.                                 4.3
Conagra Brands, Inc.                           4.2
Corteva, Inc.                                  4.2
Pilgrim's Pride Corp.                          4.1
CVS Health Corp.                               3.4
Campbell Soup Co.                              3.4
                                            -------
  Total                                       41.2%
                                            =======



                                             PERFORMANCE OF A $10,000 INITIAL INVESTMENT
                                                   JULY 31, 2011 - JANUARY 31, 2022

                                                                                                             Russell 1000(R)
            First Trust Consumer Staples   StrataQuant(R) Consumer   Russell 1000(R)   S&P 500(R) Consumer   Consumer Staples
                  AlphaDEX(R) Fund              Staples Index             Index           Staples Index           Index
                                                                                                  
7/31/11               $10,000                      $10,000               $10,000             $10,000             $10,000
1/31/12                 9,662                        9,700                10,229              10,559              10,420
7/31/12                 9,697                        9,803                10,796              11,967              11,667
1/31/13                11,296                       11,460                11,971              12,567              12,389
7/31/13                13,953                       14,220                13,627              14,231              14,078
1/31/14                14,459                       14,789                14,633              14,208              14,133
7/31/14                16,065                       16,496                15,953              15,244              15,316
1/31/15                18,173                       18,704                16,646              17,179              17,209
7/31/15                19,776                       20,420                17,745              18,185              18,520
1/31/16                18,940                       19,607                16,345              18,636              18,895
7/31/16                21,595                       22,430                18,604              20,308              20,642
1/31/17                20,215                       21,064                19,746              19,835              20,225
7/31/17                20,880                       21,829                21,571              21,201              21,398
1/31/18                22,640                       23,748                24,847              22,497              22,068
7/31/18                20,992                       22,104                25,061              21,077              20,583
1/31/19                20,631                       21,784                24,307              21,345              20,721
7/31/19                21,165                       22,433                27,067              24,162              22,667
1/31/20                22,279                       23,699                29,506              25,987              24,457
7/31/20                22,954                       24,509                30,324              26,124              24,147
1/31/21                24,790                       26,545                35,361              27,190              25,168
7/31/21                26,829                       28,815                41,837              30,881              28,349
1/31/22                29,753                       31,982                42,544              33,549              31,263


Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.

FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS

Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.


                                                                          Page 7





--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN)

The First Trust Energy AlphaDEX(R) Fund (the "Fund") seeks investment results
that correspond generally to the price and yield (before the Fund's fees and
expenses) of an equity index called the StrataQuant(R) Energy Index (the "Energy
Index"). The Fund will normally invest at least 90% of its net assets (including
investment borrowings) in the common stocks that comprise the Energy Index. The
shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol
"FXN."

The Energy Index is a modified equal-dollar weighted index designed by IDI to
objectively identify and select stocks from the Russell 1000(R) Index in the
energy sector that may generate positive alpha relative to traditional
passive-style indices through the use of the AlphaDEX(R) selection methodology.
Alpha is an indication of how much an investment outperforms or underperforms on
a risk-adjusted basis relative to its benchmark. IDI constructs the Energy Index
using the ICB sector scheme to determine a stock's sector membership.



-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
-----------------------------------------------------------------------------------------------------------------------------------
                                                               AVERAGE ANNUAL TOTAL RETURNS           CUMULATIVE TOTAL RETURNS
                                      6 Months    1 Year     5 Years    10 Years    Inception     5 Years    10 Years    Inception
                                       Ended       Ended      Ended      Ended       (5/8/07)      Ended      Ended       (5/8/07)
                                      1/31/22     1/31/22    1/31/22    1/31/22     to 1/31/22    1/31/22    1/31/22     to 1/31/22
                                                                                                    
FUND PERFORMANCE
NAV                                    31.21%     62.58%     -1.24%      -2.08%       -1.34%       -6.06%    -18.96%      -18.07%
Market Price                           31.34%     62.78%     -1.25%      -2.08%       -1.34%       -6.11%    -18.92%      -18.06%

INDEX PERFORMANCE
StrataQuant(R) Energy Index            31.86%     63.93%     -0.60%      -1.51%       -0.73%       -2.96%    -14.14%      -10.26%
Russell 1000(R) Index                   1.69%     20.32%     16.59%      15.32%        9.97%      115.46%    315.91%      305.82%
S&P 500(R) Energy Index                37.86%     77.47%      2.81%       2.83%        2.95%       14.87%     32.25%       53.47%
Russell 1000(R) Energy Index(1)        33.86%     70.21%      2.40%       2.27%        N/A         12.61%     25.20%        N/A
-----------------------------------------------------------------------------------------------------------------------------------


(See Notes to Fund Performance Overview on page 22.)

-----------------------------

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

Source ICE Data Indices, LLC ("ICE Data"), is used with permission.
"StrataQuant(R)" is a service/trade mark of ICE Data or its affiliates. Frank
Russell Company is the source and owner of the trademarks, service marks and
copyrights related to the Russell Indices. Russell(R), Russell 1000(R) and
Russell 3000(R) are all registered trademarks of Frank Russell Company. Russell
1000(R) and Russell 3000(R) are being utilized in the indices under license.
These trademarks have been licensed, along with the StrataQuant(R) Energy Index
("Index") for use by First Trust Portfolios L.P. ("FTP") in connection with the
First Trust Energy AlphaDEX(R) Fund ("FXN"). Neither FTP, the Trust nor FXN is
sponsored, endorsed, sold or promoted by ICE Data, its affiliates or its Third
Party Suppliers including without limitation Frank Russell Company ("ICE Data
and its Suppliers"). ICE Data and its Suppliers make no representations or
warranties regarding the advisability of investing in securities generally, in
FXN particularly, the Trust or the ability of the Index to track general stock
market performance. ICE Data's only relationship to FTP is the licensing of
certain trademarks, trade names and the Index or components thereof. The Index
is determined, composed and calculated by ICE Data without regard to FTP or FXN
or its holders. ICE Data has no obligation to take the needs of FTP or the
holders of FXN into consideration in determining, composing or calculating the
Index. ICE Data is not responsible for and has not participated in the
determination of the timing of, prices of, or quantities of FXN to be issued or
in the determination or calculation of the equation by which FXN is to be
priced, sold, purchased, or redeemed. Except for certain custom index
calculation services, all information provided by ICE Data is general in nature
and not tailored to the needs of FTP or any other person, entity or group of
persons. ICE Data has no obligation or liability in connection with the
administration, marketing, or trading of FXN. ICE Data is not an investment
advisor. Inclusion of a security within an index is not a recommendation by ICE
Data to buy, sell, or hold such security, nor is it considered to be investment
advice.

ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS,
EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS
FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY
INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM ("INDEX DATA"). ICE
DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH
RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND
THE INDEX DATA, WHICH ARE PROVIDED ON AN "AS IS" BASIS AND YOUR USE IS AT YOUR
OWN RISK.


Page 8





--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN) (CONTINUED)

----------------------------------------------------------
                                          % OF TOTAL
SECTOR CLASSIFICATION                LONG-TERM INVESTMENTS
----------------------------------------------------------
Energy                                        94.0%
Information Technology                         4.4
Industrials                                    1.6
                                            -------
  Total                                      100.0%
                                            =======

----------------------------------------------------------
                                          % OF TOTAL
TOP TEN HOLDINGS                     LONG-TERM INVESTMENTS
----------------------------------------------------------
EOG Resources, Inc.                            5.3%
ConocoPhillips                                 5.2
Pioneer Natural Resources Co.                  5.1
Diamondback Energy, Inc.                       5.0
Chevron Corp.                                  4.7
Continental Resources, Inc.                    4.7
HollyFrontier Corp.                            4.5
Marathon Oil Corp.                             4.0
Coterra Energy, Inc.                           3.9
Cheniere Energy, Inc.                          3.7
                                            -------
  Total                                       46.1%
                                            =======



                                      PERFORMANCE OF A $10,000 INITIAL INVESTMENT
                                           JULY 31, 2011 - JANUARY 31, 2022

            First Trust Energy      StrataQuant(R)      Russell 1000(R)       S&P 500(R)       Russell 1000(R)
             AlphaDEX(R) Fund        Energy Index            Index           Energy Index       Energy Index
                                                                                    
7/31/11          $10,000               $10,000              $10,000            $10,000             $10,000
1/31/12            8,374                 8,405               10,229              9,476               9,378
7/31/12            7,850                 7,910               10,796              9,498               9,334
1/31/13            9,342                 9,452               11,971             10,511              10,357
7/31/13            9,704                 9,845               13,627             11,266              11,094
1/31/14           10,270                10,457               14,633             11,446              11,327
7/31/14           12,158                12,418               15,953             13,343              13,257
1/31/15            8,746                 8,946               16,646             10,722              10,507
7/31/15            7,466                 7,643               17,745              9,915               9,711
1/31/16            5,755                 5,893               16,345              8,617               8,262
7/31/16            6,520                 6,687               18,604             10,117               9,648
1/31/17            7,223                 7,437               19,746             10,909              10,426
7/31/17            6,195                 6,402               21,571             10,136               9,603
1/31/18            6,921                 7,182               24,847             11,629              11,014
7/31/18            7,834                 8,158               25,061             12,135              11,597
1/31/19            6,097                 6,354               24,307             10,194               9,680
7/31/19            5,031                 5,263               27,067             10,194               9,561
1/31/20            4,145                 4,355               29,506              9,123               8,544
7/31/20            3,105                 3,254               30,324              6,293               5,967
1/31/21            4,176                 4,401               35,361              7,061               6,898
7/31/21            5,172                 5,473               41,837              9,090               8,772
1/31/22            6,786                 7,217               42,544             12,531              11,742


Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.

FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS

Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.


                                                                          Page 9





--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)

The First Trust Financials AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the StrataQuant(R) Financials Index (the
"Financials Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in the common stocks and real estate
investment trusts ("REITs") that comprise the Financials Index. The shares of
the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXO."

The Financials Index is a modified equal-dollar weighted index designed by IDI
to objectively identify and select stocks from the Russell 1000(R) Index in the
financial services sector that may generate positive alpha relative to
traditional passive-style indices through the use of the AlphaDEX(R) selection
methodology. Alpha is an indication of how much an investment outperforms or
underperforms on a risk-adjusted basis relative to its benchmark. IDI constructs
the Financials Index using the ICB sector scheme to determine a stock's sector
membership.



-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
-----------------------------------------------------------------------------------------------------------------------------------
                                                               AVERAGE ANNUAL TOTAL RETURNS           CUMULATIVE TOTAL RETURNS
                                      6 Months    1 Year     5 Years    10 Years    Inception     5 Years    10 Years    Inception
                                       Ended       Ended      Ended      Ended       (5/8/07)      Ended      Ended       (5/8/07)
                                      1/31/22     1/31/22    1/31/22    1/31/22     to 1/31/22    1/31/22    1/31/22     to 1/31/22
                                                                                                    
FUND PERFORMANCE
NAV                                    7.64%      34.67%     13.68%      14.82%       7.83%        89.84%    298.33%      203.56%
Market Price                           7.62%      34.69%     13.67%      14.81%       7.82%        89.76%    297.88%      203.41%

INDEX PERFORMANCE
StrataQuant(R) Financials Index        8.01%      35.66%     14.47%      15.64%       8.69%        96.56%    327.60%      241.17%
Russell 1000(R) Index                  1.69%      20.32%     16.59%      15.32%       9.97%       115.46%    315.91%      305.82%
S&P 500(R) Financials Index            7.97%      37.41%     13.22%      15.42%       3.86%        86.05%    319.74%       74.69%
Russell 1000(R) Financials Index(1)    8.48%      36.78%     16.45%      16.59%        N/A        114.16%    364.08%        N/A
-----------------------------------------------------------------------------------------------------------------------------------


(See Notes to Fund Performance Overview on page 22.)

-----------------------------

(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Financials Index because performance
data does not exist for each of the entire periods using solely the U.S. sector
scheme, or alternatively, using solely the RGS. On September 18, 2020, the name
of the Russell 1000(R) Financial Services Index was changed to Russell 1000(R)
Financials Index.

Source ICE Data Indices, LLC ("ICE Data"), is used with permission.
"StrataQuant(R)" is a service/trade mark of ICE Data or its affiliates. Frank
Russell Company is the source and owner of the trademarks, service marks and
copyrights related to the Russell Indices. Russell(R), Russell 1000(R) and
Russell 3000(R) are all registered trademarks of Frank Russell Company. Russell
1000(R) and Russell 3000(R) are being utilized in the indices under license.
These trademarks have been licensed along with the StrataQuant(R) Financials
Index ("Index") for use by First Trust Portfolios L.P. ("FTP") in connection
with the First Trust Financials AlphaDEX(R) Fund ("FXO"). Neither FTP, the Trust
nor FXO is sponsored, endorsed, sold or promoted by ICE Data, its affiliates or
its Third Party Suppliers including without limitation Frank Russell Company
("ICE Data and its Suppliers"). ICE Data and its Suppliers make no
representations or warranties regarding the advisability of investing in
securities generally, in FXO particularly, the Trust or the ability of the Index
to track general stock market performance. ICE Data's only relationship to FTP
is the licensing of certain trademarks, trade names and the Index or components
thereof. The Index is determined, composed and calculated by ICE Data without
regard to FTP or FXO or its holders. ICE Data has no obligation to take the
needs of FTP or the holders of FXO into consideration in determining, composing
or calculating the Index. ICE Data is not responsible for and has not
participated in the determination of the timing of, prices of, or quantities of
FXO to be issued or in the determination or calculation of the equation by which
FXO is to be priced, sold, purchased, or redeemed. Except for certain custom
index calculation services, all information provided by ICE Data is general in
nature and not tailored to the needs of FTP or any other person, entity or group
of persons. ICE Data has no obligation or liability in connection with the
administration, marketing, or trading of FXO. ICE Data is not an investment
advisor. Inclusion of a security within an index is not a recommendation by ICE
Data to buy, sell, or hold such security, nor is it considered to be investment
advice.

ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS,
EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS
FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY
INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM ("INDEX DATA"). ICE
DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH
RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND
THE INDEX DATA, WHICH ARE PROVIDED ON AN "AS IS" BASIS AND YOUR USE IS AT YOUR
OWN RISK.


Page 10





--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) (CONTINUED)

----------------------------------------------------------
                                          % OF TOTAL
SECTOR CLASSIFICATION                LONG-TERM INVESTMENTS
----------------------------------------------------------
Financials                                   100.0%
                                            -------
  Total                                      100.0%
                                            =======

----------------------------------------------------------
                                          % OF TOTAL
TOP TEN HOLDINGS                     LONG-TERM INVESTMENTS
----------------------------------------------------------
MGIC Investment Corp.                          1.8%
Berkshire Hathaway, Inc., Class B              1.7
Old Republic International Corp.               1.7
Cincinnati Financial Corp.                     1.7
OneMain Holdings, Inc.                         1.7
Mercury General Corp.                          1.7
Allstate (The) Corp.                           1.7
Blackstone, Inc.                               1.7
Annaly Capital Management, Inc.                1.7
Markel Corp.                                   1.7
                                            -------
  Total                                       17.1%
                                            =======



                                           PERFORMANCE OF A $10,000 INITIAL INVESTMENT
                                                 JULY 31, 2011 - JANUARY 31, 2022

            First Trust Financials       StrataQuant(R)       Russell 1000(R)         S&P 500(R)         Russell 1000(R)
               AlphaDEX(R) Fund         Financials Index           Index           Financials Index      Financials Index
                                                                                              
7/31/11            $10,000                  $10,000               $10,00               $10,000               $10,000
1/31/12             10,083                   10,128               10,229                 9,598                 9,754
7/31/12             10,457                   10,544               10,796                10,111                10,378
1/31/13             12,393                   12,549               11,971                12,118                12,268
7/31/13             14,582                   14,820               13,627                14,402                14,376
1/31/14             15,408                   15,720               14,633                14,948                15,060
7/31/14             16,179                   16,565               15,953                16,045                16,090
1/31/15             16,870                   17,334               16,646                16,634                16,922
7/31/15             18,506                   19,083               17,745                18,355                18,657
1/31/16             16,322                   16,877               16,345                16,037                16,541
7/31/16             18,547                   19,250               18,604                17,663                18,397
1/31/17             21,157                   22,033               19,746                21,655                21,138
7/31/17             22,997                   24,023               21,571                23,489                23,104
1/31/18             25,488                   26,721               24,847                28,107                26,819
7/31/18             25,541                   26,868               25,061                26,654                26,451
1/31/19             24,160                   25,489               24,307                24,988                25,616
7/31/19             26,315                   27,864               27,067                27,574                29,043
1/31/20             27,165                   28,867               29,506                29,548                31,269
7/31/20             21,695                   23,145               30,324                24,040                27,304
1/31/21             29,824                   31,926               35,361                29,320                33,093
7/31/21             37,312                   40,094               41,837                37,314                41,727
1/31/22             40,162                   43,306               42,544                40,288                45,265


Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.

FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS

Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.


                                                                         Page 11





--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH)

The First Trust Health Care AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the StrataQuant(R) Health Care Index
(the "Health Care Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in the common stocks that comprise the
Health Care Index. The shares of the Fund are listed and trade on the NYSE Arca
under the ticker symbol "FXH."

The Health Care Index is a modified equal-dollar weighted index designed by IDI
to objectively identify and select stocks from the Russell 1000(R) Index in the
health care sector that may generate positive alpha relative to traditional
passive-style indices through the use of the AlphaDEX(R) selection methodology.
Alpha is an indication of how much an investment outperforms or underperforms on
a risk-adjusted basis relative to its benchmark. IDI constructs the Health Care
Index using the ICB sector scheme to determine a stock's sector membership.



-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
-----------------------------------------------------------------------------------------------------------------------------------
                                                               AVERAGE ANNUAL TOTAL RETURNS           CUMULATIVE TOTAL RETURNS
                                      6 Months    1 Year     5 Years    10 Years    Inception     5 Years    10 Years    Inception
                                       Ended       Ended      Ended      Ended       (5/8/07)      Ended      Ended       (5/8/07)
                                      1/31/22     1/31/22    1/31/22    1/31/22     to 1/31/22    1/31/22    1/31/22     to 1/31/22
                                                                                                    
FUND PERFORMANCE
NAV                                    -9.39%      1.89%     13.18%      14.52%       12.36%       85.74%    288.07%      456.55%
Market Price                           -9.46%      1.86%     13.17%      14.51%       12.35%       85.61%    287.72%      456.24%

INDEX PERFORMANCE
StrataQuant(R) Health Care Index       -9.14%      2.50%     13.94%      15.27%       13.15%       92.03%    314.26%      517.63%
Russell 1000(R) Index                   1.69%     20.32%     16.59%      15.32%        9.97%      115.46%    315.91%      305.82%
S&P 500(R) Health Care Index            0.24%     15.96%     15.43%      16.02%       11.16%      104.92%    341.81%      375.43%
Russell 1000(R) Health Care Index(1)   -2.40%     11.84%     15.47%      16.28%        N/A        105.31%    352.05%        N/A
-----------------------------------------------------------------------------------------------------------------------------------


(See Notes to Fund Performance Overview on page 22.)

-----------------------------

(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Health Care Index because performance
data does not exist for each of the entire periods using solely the U.S. sector
scheme, or alternatively, using solely the RGS.

Source ICE Data Indices, LLC ("ICE Data"), is used with permission.
"StrataQuant(R)" is a service/trade mark of ICE Data or its affiliates. Frank
Russell Company is the source and owner of the trademarks, service marks and
copyrights related to the Russell Indices. Russell(R), Russell 1000(R) and
Russell 3000(R) are all registered trademarks of Frank Russell Company. Russell
1000(R) and Russell 3000(R) are being utilized in the indices under license.
These trademarks have been licensed, along with the StrataQuant(R) Health Care
Index ("Index") for use by First Trust Portfolios L.P. ("FTP") in connection
with the First Trust Health Care AlphaDEX(R) Fund ("FXH"). Neither FTP, the
Trust nor FXH is sponsored, endorsed, sold or promoted by ICE Data, its
affiliates or its Third Party Suppliers including without limitation Frank
Russell Company ("ICE Data and its Suppliers"). ICE Data and its Suppliers make
no representations or warranties regarding the advisability of investing in
securities generally, in FXH particularly, the Trust or the ability of the Index
to track general stock market performance. ICE Data's only relationship to FTP
is the licensing of certain trademarks, trade names and the Index or components
thereof. The Index is determined, composed and calculated by ICE Data without
regard to FTP or FXH or its holders. ICE Data has no obligation to take the
needs of FTP or the holders of FXH into consideration in determining, composing
or calculating the Index. ICE Data is not responsible for and has not
participated in the determination of the timing of, prices of, or quantities of
FXH to be issued or in the determination or calculation of the equation by which
FXH is to be priced, sold, purchased, or redeemed. Except for certain custom
index calculation services, all information provided by ICE Data is general in
nature and not tailored to the needs of FTP or any other person, entity or group
of persons. ICE Data has no obligation or liability in connection with the
administration, marketing, or trading of FXH. ICE Data is not an investment
advisor. Inclusion of a security within an index is not a recommendation by ICE
Data to buy, sell, or hold such security, nor is it considered to be investment
advice.

ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS,
EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS
FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY
INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM ("INDEX DATA"). ICE
DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH
RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND
THE INDEX DATA, WHICH ARE PROVIDED ON AN "AS IS" BASIS AND YOUR USE IS AT YOUR
OWN RISK.


Page 12





--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH) (CONTINUED)

----------------------------------------------------------
                                          % OF TOTAL
SECTOR CLASSIFICATION                LONG-TERM INVESTMENTS
----------------------------------------------------------
Health Care                                  100.0%
                                            -------
  Total                                      100.0%
                                            =======

----------------------------------------------------------
                                          % OF TOTAL
TOP TEN HOLDINGS                     LONG-TERM INVESTMENTS
----------------------------------------------------------
AbbVie, Inc.                                   2.2%
Cigna Corp.                                    2.2
Universal Health Services, Inc., Class B       2.2
Regeneron Pharmaceuticals, Inc.                2.1
Cooper (The) Cos., Inc.                        2.1
UnitedHealth Group, Inc.                       2.0
HCA Healthcare, Inc.                           2.0
Sage Therapeutics, Inc.                        2.0
Hologic, Inc.                                  2.0
Molina Healthcare, Inc.                        2.0
                                            -------
  Total                                       20.8%
                                            =======



                                             PERFORMANCE OF A $10,000 INITIAL INVESTMENT
                                                   JULY 31, 2011 - JANUARY 31, 2022

            First Trust Health Care       StrataQuant(R)        Russell 1000(R)         S&P 500(R)           Russell 1000(R)
               AlphaDEX(R) Fund          Health Care Index           Index           Health Care Index      Health Care Index
                                                                                                  
7/31/11             $10,000                   $10,000               $10,000               $10,000                $10,000
1/31/12              10,028                    10,070                10,229                10,612                 10,564
7/31/12              10,517                    10,583                10,796                11,543                 11,520
1/31/13              12,493                    12,619                11,971                13,041                 13,098
7/31/13              14,986                    15,200                13,627                15,656                 15,795
1/31/14              17,598                    17,911                14,633                17,326                 17,577
7/31/14              18,700                    19,087                15,953                19,010                 19,226
1/31/15              21,536                    22,054                16,646                21,776                 22,152
7/31/15              24,506                    25,190                17,745                24,228                 24,854
1/31/16              18,872                    19,451                16,345                21,248                 21,400
7/31/16              21,664                    22,398                18,604                24,231                 24,500
1/31/17              20,953                    21,724                19,746                22,877                 23,258
7/31/17              23,553                    24,503                21,571                26,171                 26,565
1/31/18              26,095                    27,235                24,847                29,131                 29,525
7/31/18              27,031                    28,310                25,061                29,655                 30,287
1/31/19              26,294                    27,625                24,307                30,489                 31,116
7/31/19              27,315                    28,819                27,067                30,925                 31,879
1/31/20              29,098                    30,804                29,506                34,178                 34,968
7/31/20              33,529                    35,621                30,324                36,734                 38,378
1/31/21              38,189                    40,697                35,361                40,429                 42,700
7/31/21              42,949                    45,911                41,837                46,772                 48,930
1/31/22              38,916                    41,715                42,544                46,885                 47,755


Performance figures assume reinvestment of all distributions and do not reflec
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.

FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS

Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.


                                                                         Page 13





--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)

The First Trust Industrials/Producer Durables AlphaDEX(R) Fund (the "Fund")
seeks investment results that correspond generally to the price and yield
(before the Fund's fees and expenses) of an equity index called the
StrataQuant(R) Industrials Index (the "Industrials Index"). The Fund will
normally invest at least 90% of its net assets (including investment borrowings)
in the common stocks that comprise the Industrials Index. The shares of the Fund
are listed and trade on the NYSE Arca under the ticker symbol "FXR."

The Industrials Index is a modified equal-dollar weighted index designed by IDI
to objectively identify and select stocks from the Russell 1000(R) Index in the
industrials and producer durables sectors that may generate positive alpha
relative to traditional passive-style indices through the use of the AlphaDEX(R)
selection methodology. Alpha is an indication of how much an investment
outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
IDI constructs the Industrials Index using the ICB sector scheme to determine a
stock's sector membership.



-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
-----------------------------------------------------------------------------------------------------------------------------------
                                                               AVERAGE ANNUAL TOTAL RETURNS           CUMULATIVE TOTAL RETURNS
                                      6 Months    1 Year     5 Years    10 Years    Inception     5 Years   10 Years     Inception
                                       Ended       Ended      Ended      Ended       (5/8/07)      Ended      Ended       (5/8/07)
                                      1/31/22     1/31/22    1/31/22    1/31/22     to 1/31/22    1/31/22    1/31/22     to 1/31/22
                                                                                                  
FUND PERFORMANCE
NAV                                    -2.64%     17.85%     12.35%      13.05%       8.34%        79.00%    241.11%      225.74%
Market Price                           -2.66%     17.86%     12.33%      13.04%       8.34%        78.86%    240.68%      225.69%

INDEX PERFORMANCE
StrataQuant(R) Industrials Index       -2.32%     18.64%     13.07%      13.83%       9.12%        84.84%    265.26%      261.75%
Russell 1000(R) Index                   1.69%     20.32%     16.59%      15.32%       9.97%       115.46%    315.91%      305.82%
S&P 500(R) Industrials Index           -1.74%     20.58%     11.40%      12.88%       8.70%        71.57%    235.84%      241.77%
Russell 1000(R) Industrials Index(1)   -5.13%     16.25%     11.43%      13.07%        N/A         71.81%    241.52%        N/A
-----------------------------------------------------------------------------------------------------------------------------------


(See Notes to Fund Performance Overview on page 22.)

-----------------------------

(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Industrials Index because performance
data does not exist for each of the entire periods using solely the U.S. sector
scheme, or alternatively, using solely the RGS. On September 18, 2020, the name
of the Russell 1000(R) Producer Durables Index was changed to Russell 1000(R)
Industrials Index.

Source ICE Data Indices, LLC ("ICE Data"), is used with permission.
"StrataQuant(R)" is a service/trade mark of ICE Data or its affiliates. Frank
Russell Company is the source and owner of the trademarks, service marks and
copyrights related to the Russell Indices. Russell(R), Russell 1000(R) and
Russell 3000(R) are all registered trademarks of Frank Russell Company. Russell
1000(R) and Russell 3000(R) are being utilized in the indices under license.
These trademarks have been licensed, along with the StrataQuant(R) Industrials
Index ("Index") for use by First Trust Portfolios L.P. ("FTP") in connection
with the First Trust Industrials/Producer Durables AlphaDEX(R) Fund ("FXR").
Neither FTP, the Trust nor FXR is sponsored, endorsed, sold or promoted by ICE
Data, its affiliates or its Third Party Suppliers including without limitation
Frank Russell Company ("ICE Data and its Suppliers"). ICE Data and its Suppliers
make no representations or warranties regarding the advisability of investing in
securities generally, in FXR particularly, the Trust or the ability of the Index
to track general stock market performance. ICE Data's only relationship to FTP
is the licensing of certain trademarks, trade names and the Index or components
thereof. The Index is determined, composed and calculated by ICE Data without
regard to FTP or FXR or its holders. ICE Data has no obligation to take the
needs of FTP or the holders of FXR into consideration in determining, composing
or calculating the Index. ICE Data is not responsible for and has not
participated in the determination of the timing of, prices of, or quantities of
FXR to be issued or in the determination or calculation of the equation by which
FXR is to be priced, sold, purchased, or redeemed. Except for certain custom
index calculation services, all information provided by ICE Data is general in
nature and not tailored to the needs of FTP or any other person, entity or group
of persons. ICE Data has no obligation or liability in connection with the
administration, marketing, or trading of FXR. ICE Data is not an investment
advisor. Inclusion of a security within an index is not a recommendation by ICE
Data to buy, sell, or hold such security, nor is it considered to be investment
advice.

ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS,
EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS
FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY
INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM ("INDEX DATA"). ICE
DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH
RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND
THE INDEX DATA, WHICH ARE PROVIDED ON AN "AS IS" BASIS AND YOUR USE IS AT YOUR
OWN RISK.


Page 14





--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) (CONTINUED)

----------------------------------------------------------
                                          % OF TOTAL
SECTOR CLASSIFICATION                LONG-TERM INVESTMENTS
----------------------------------------------------------
Industrials                                   64.5%
Materials                                     14.1
Information Technology                        12.7
Consumer Discretionary                         3.5
Financials                                     3.0
Health Care                                    1.2
Utilities                                      1.0
                                            -------
  Total                                      100.0%
                                            =======

----------------------------------------------------------
                                          % OF TOTAL
TOP TEN HOLDINGS                     LONG-TERM INVESTMENTS
----------------------------------------------------------
Westrock Co.                                   1.4%
Alliance Data Systems Corp.                    1.4
Robert Half International, Inc.                1.4
Capital One Financial Corp.                    1.4
AGCO Corp.                                     1.4
Owens Corning                                  1.4
C.H. Robinson Worldwide, Inc.                  1.3
Snap-on, Inc.                                  1.3
Schneider National, Inc., Class B              1.3
J.B. Hunt Transport Services, Inc.             1.3
                                            -------
  Total                                       13.6%
                                            =======



                                           PERFORMANCE OF A $10,000 INITIAL INVESTMENT
                                                 JULY 31, 2011 - JANUARY 31, 2022

            First Trust Industrials/
               Producer Durables         StrataQuant(R)       Russell 1000(R)        S&P 500(R)          Russell 1000(R)
                AlphaDEX(R) Fund        Industrials Index          Index          Industrials Index     Industrials Index
                                                                                              
7/31/11             $10,000                  $10,000              $10,000              $10,000               $10,000
1/31/12              10,331                   10,380               10,229               10,582                10,515
7/31/12               9,928                   10,010               10,796               10,665                10,539
1/31/13              11,852                   11,996               11,971               12,055                12,085
7/31/13              13,693                   13,908               13,627               13,722                13,815
1/31/14              15,793                   16,106               14,633               15,333                15,485
7/31/14              16,765                   17,161               15,953               16,017                16,165
1/31/15              16,822                   17,278               16,646               16,990                17,120
7/31/15              16,983                   17,484               17,745               17,124                17,413
1/31/16              14,096                   14,552               16,345               16,197                16,262
7/31/16              16,842                   17,452               18,604               18,915                18,925
1/31/17              19,685                   20,513               19,746               20,712                20,903
7/31/17              20,683                   21,625               21,571               22,378                22,680
1/31/18              24,633                   25,842               24,847               26,030                26,658
7/31/18              24,318                   25,591               25,061               25,285                26,050
1/31/19              22,671                   23,910               24,307               23,882                24,701
7/31/19              25,211                   26,678               27,067               26,191                27,336
1/31/20              26,275                   27,897               29,506               27,605                28,750
7/31/20              23,624                   25,166               30,324               24,698                25,812
1/31/21              29,901                   31,954               35,361               29,472                30,890
7/31/21              36,195                   38,813               41,837               36,168                37,853
1/31/22              35,239                   37,912               42,544               35,538                35,911


Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.

FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS

Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.


                                                                         Page 15





--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ)

The First Trust Materials AlphaDEX(R) Fund (the "Fund") seeks investment results
that correspond generally to the price and yield (before the Fund's fees and
expenses) of an equity index called the StrataQuant(R) Materials Index (the
"Materials Index"). The Fund will normally invest at least 90% of its net assets
(including investment borrowings) in the common stocks that comprise the
Materials Index. The shares of the Fund are listed and trade on the NYSE Arca
under the ticker symbol "FXZ."

The Materials Index is a modified equal-dollar weighted index designed by IDI to
objectively identify and select stocks from the Russell 1000(R) Index in the
materials and processing sector that may generate positive alpha relative to
traditional passive-style indices through the use of the AlphaDEX(R) selection
methodology. Alpha is an indication of how much an investment outperforms or
underperforms on a risk-adjusted basis relative to its benchmark. IDI constructs
the Materials Index using the ICB sector scheme to determine a stock's sector
membership.



-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
-----------------------------------------------------------------------------------------------------------------------------------
                                                               AVERAGE ANNUAL TOTAL RETURNS           CUMULATIVE TOTAL RETURNS
                                      6 Months    1 Year     5 Years    10 Years    Inception     5 Years    10 Years    Inception
                                       Ended       Ended      Ended      Ended       (5/8/07)      Ended      Ended       (5/8/07)
                                      1/31/22     1/31/22    1/31/22    1/31/22     to 1/31/22    1/31/22    1/31/22     to 1/31/22
                                                                                                    
FUND PERFORMANCE
NAV                                     2.26%     25.24%     10.88%      11.09%       9.11%        67.57%    186.23%      261.10%
Market Price                            2.28%     25.24%     10.87%      11.08%       9.11%        67.48%    186.00%      261.10%

INDEX PERFORMANCE
StrataQuant(R) Materials Index          2.62%     26.08%     11.67%      11.89%       9.91%        73.68%    207.43%      302.44%
Russell 1000(R) Index                   1.69%     20.32%     16.59%      15.32%       9.97%       115.46%    315.91%      305.82%
S&P 500(R) Materials Index              1.50%     21.48%     12.48%      10.83%       7.64%        80.06%    179.69%      196.04%
Russell 1000(R) Basic Materials
   Index(1)                            -1.25%     20.57%     11.51%      10.83%        N/A         72.44%    179.55%        N/A
-----------------------------------------------------------------------------------------------------------------------------------


(See Notes to Fund Performance Overview on page 22.)

-----------------------------

(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Basic Materials Index because
performance data does not exist for each of the entire periods using solely the
U.S. sector scheme, or alternatively, using solely the RGS. On September 18,
2020, the name of the Russell 1000(R) Materials and Processing Index was changed
to Russell 1000(R) Basic Materials Index.

Source ICE Data Indices, LLC ("ICE Data"), is used with permission.
"StrataQuant(R)" is a service/trade mark of ICE Data or its affiliates. Frank
Russell Company is the source and owner of the trademarks, service marks and
copyrights related to the Russell Indices. Russell(R), Russell 1000(R) and
Russell 3000(R) are all registered trademarks of Frank Russell Company. Russell
1000(R) and Russell 3000(R) are being utilized in the indices under license.
These trademarks have been licensed, along with the StrataQuant(R) Materials
Index ("Index") for use by First Trust Portfolios L.P. ("FTP") in connection
with the First Trust Materials AlphaDEX(R) Fund ("FXZ"). Neither FTP, the Trust
nor FXZ is sponsored, endorsed, sold or promoted by ICE Data, its affiliates or
its Third Party Suppliers including without limitation Frank Russell Company
("ICE Data and its Suppliers"). ICE Data and its Suppliers make no
representations or warranties regarding the advisability of investing in
securities generally, in FXZ particularly, the Trust or the ability of the Index
to track general stock market performance. ICE Data's only relationship to FTP
is the licensing of certain trademarks, trade names and the Index or components
thereof. The Index is determined, composed and calculated by ICE Data without
regard to FTP or FXZ or its holders. ICE Data has no obligation to take the
needs of FTP or the holders of FXZ into consideration in determining, composing
or calculating the Index. ICE Data is not responsible for and has not
participated in the determination of the timing of, prices of, or quantities of
FXZ to be issued or in the determination or calculation of the equation by which
FXZ is to be priced, sold, purchased, or redeemed. Except for certain custom
index calculation services, all information provided by ICE Data is general in
nature and not tailored to the needs of FTP or any other person, entity or group
of persons. ICE Data has no obligation or liability in connection with the
administration, marketing, or trading of FXZ. ICE Data is not an investment
advisor. Inclusion of a security within an index is not a recommendation by ICE
Data to buy, sell, or hold such security, nor is it considered to be investment
advice.

ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS,
EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS
FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY
INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM ("INDEX DATA"). ICE
DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH
RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND
THE INDEX DATA, WHICH ARE PROVIDED ON AN "AS IS" BASIS AND YOUR USE IS AT YOUR
OWN RISK.


Page 16





--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) (CONTINUED)

----------------------------------------------------------
                                          % OF TOTAL
SECTOR CLASSIFICATION                LONG-TERM INVESTMENTS
----------------------------------------------------------
Materials                                     92.4%
Industrials                                    7.6
                                            -------
  Total                                      100.0%
                                            =======

----------------------------------------------------------
                                          % OF TOTAL
TOP TEN HOLDINGS                     LONG-TERM INVESTMENTS
----------------------------------------------------------
LyondellBasell Industries N.V., Class A        5.2%
Westlake Chemical Corp.                        5.1
Reliance Steel & Aluminum Co.                  4.7
Steel Dynamics, Inc.                           4.5
Nucor Corp.                                    4.4
Olin Corp.                                     4.4
United States Steel Corp.                      4.4
Sylvamo Corp.                                  4.3
Dow, Inc.                                      4.2
Huntsman Corp.                                 4.1
                                            -------
  Total                                       45.3%
                                            =======



                                            PERFORMANCE OF A $10,000 INITIAL INVESTMENT
                                                  JULY 31, 2011 - JANUARY 31, 2022

            First Trust Materials      StrataQuant(R)       Russell 1000(R)        S&P 500(R)            Russell 1000(R)
              AlphaDEX(R) Fund         Materials Index           Index           Materials Index      Basic Materials Index
                                                                                              
7/31/11            $10,000                 $10,000              $10,000              $10,000                 $10,000
1/31/12              9,880                   9,932               10,229               10,013                  10,116
7/31/12              9,522                   9,609               10,796                9,479                   9,617
1/31/13             11,568                  11,725               11,971               10,754                  11,089
7/31/13             11,941                  12,147               13,627               11,255                  11,662
1/31/14             13,392                  13,677               14,633               12,410                  12,813
7/31/14             14,058                  14,406               15,953               13,857                  13,984
1/31/15             13,050                  13,409               16,646               13,640                  13,727
7/31/15             13,445                  13,865               17,745               13,270                  13,577
1/31/16             11,510                  11,904               16,345               11,391                  11,856
7/31/16             15,256                  15,838               18,604               14,385                  15,073
1/31/17             16,877                  17,578               19,746               15,551                  16,398
7/31/17             17,395                  18,180               21,571               16,481                  17,351
1/31/18             20,508                  21,515               24,847               19,168                  20,089
7/31/18             19,690                  20,729               25,061               18,366                  19,350
1/3/119             17,056                  18,008               24,307               16,561                  17,399
7/31/19             17,707                  18,769               27,068               18,340                  19,221
1/31/20             17,208                  18,313               29,507               18,351                  19,310
7/31/20             16,859                  18,012               30,324               19,499                  20,319
1/31/21             22,580                  24,217               35,361               23,058                  23,457
7/31/21             27,655                  29,755               41,837               27,593                  28,639
1/31/22             28,280                  30,535               42,544               28,007                  28,281


Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.

FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS

Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.


                                                                         Page 17





--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL)

The First Trust Technology AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the StrataQuant(R) Technology Index (the
"Technology Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in the common stocks that comprise the
Technology Index. The shares of the Fund are listed and trade on the NYSE Arca
under the ticker symbol "FXL."

The Technology Index is a modified equal-dollar weighted index designed by IDI
to objectively identify and select stocks from the Russell 1000(R) Index in the
technology sector that may generate positive alpha relative to traditional
passive-style indices through the use of the AlphaDEX(R) selection methodology.
Alpha is an indication of how much an investment outperforms or underperforms on
a risk-adjusted basis relative to its benchmark. IDI constructs the Technology
Index using the ICB sector scheme to determine a stock's sector membership.



-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
-----------------------------------------------------------------------------------------------------------------------------------
                                                               AVERAGE ANNUAL TOTAL RETURNS           CUMULATIVE TOTAL RETURNS
                                      6 Months    1 Year     5 Years    10 Years    Inception     5 Years    10 Years    Inception
                                       Ended       Ended      Ended      Ended       (5/8/07)      Ended      Ended       (5/8/07)
                                      1/31/22     1/31/22    1/31/22    1/31/22     to 1/31/22    1/31/22    1/31/22     to 1/31/22
                                                                                                    
FUND PERFORMANCE
NAV                                    -6.30%      5.72%     24.75%      18.68%       13.09%      202.19%    454.34%      512.43%
Market Price                           -6.33%      5.71%     24.74%      18.67%       13.09%      202.01%    453.89%      512.21%

INDEX PERFORMANCE
StrataQuant(R) Technology Index        -6.01%      6.43%     25.53%      19.43%       13.90%      211.67%    490.27%      580.23%
Russell 1000(R) Index                   1.69%     20.32%     16.59%      15.32%        9.97%      115.46%    315.91%      305.82%
S&P 500(R) Information Technology
   Index                                6.02%     26.43%     29.14%      22.23%       16.10%      259.15%    644.29%      802.43%
Russell 1000(R) Technology Index(1)     3.47%     25.70%     28.94%      21.62%        N/A        256.34%    607.76%        N/A
-----------------------------------------------------------------------------------------------------------------------------------


(See Notes to Fund Performance Overview on page 22.)

-----------------------------

(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Technology Index because performance
data does not exist for each of the entire periods using solely the U.S. sector
scheme, or alternatively, using solely the RGS.

Source ICE Data Indices, LLC ("ICE Data"), is used with permission.
"StrataQuant(R)" is a service/trade mark of ICE Data or its affiliates. Frank
Russell Company is the source and owner of the trademarks, service marks and
copyrights related to the Russell Indices. Russell(R), Russell 1000(R) and
Russell 3000(R) are all registered trademarks of Frank Russell Company. Russell
1000(R) and Russell 3000(R) are being utilized in the indices under license.
These trademarks have been licensed, along with the StrataQuant(R) Technology
Index ("Index") for use by First Trust Portfolios L.P. ("FTP") in connection
with the First Trust Technology AlphaDEX(R) Fund ("FXL"). Neither FTP, the Trust
nor FXL is sponsored, endorsed, sold or promoted by ICE Data, its affiliates or
its Third Party Suppliers including without limitation Frank Russell Company
("ICE Data and its Suppliers"). ICE Data and its Suppliers make no
representations or warranties regarding the advisability of investing in
securities generally, in FXL particularly, the Trust or the ability of the Index
to track general stock market performance. ICE Data's only relationship to FTP
is the licensing of certain trademarks, trade names and the Index or components
thereof. The Index is determined, composed and calculated by ICE Data without
regard to FTP or FXL or its holders. ICE Data has no obligation to take the
needs of FTP or the holders of FXL into consideration in determining, composing
or calculating the Index. ICE Data is not responsible for and has not
participated in the determination of the timing of, prices of, or quantities of
FXL to be issued or in the determination or calculation of the equation by which
FXL is to be priced, sold, purchased, or redeemed. Except for certain custom
index calculation services, all information provided by ICE Data is general in
nature and not tailored to the needs of FTP or any other person, entity or group
of persons. ICE Data has no obligation or liability in connection with the
administration, marketing, or trading of FXL. ICE Data is not an investment
advisor. Inclusion of a security within an index is not a recommendation by ICE
Data to buy, sell, or hold such security, nor is it considered to be investment
advice.

ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS,
EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS
FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY
INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM ("INDEX DATA"). ICE
DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH
RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND
THE INDEX DATA, WHICH ARE PROVIDED ON AN "AS IS" BASIS AND YOUR USE IS AT YOUR
OWN RISK.


Page 18





--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) (CONTINUED)

----------------------------------------------------------
                                          % OF TOTAL
SECTOR CLASSIFICATION                LONG-TERM INVESTMENTS
----------------------------------------------------------
Information Technology                        90.7%
Industrials                                    4.5
Communication Services                         3.7
Health Care                                    0.6
Consumer Discretionary                         0.5
                                            -------
  Total                                      100.0%
                                            =======

----------------------------------------------------------
                                          % OF TOTAL
TOP TEN HOLDINGS                     LONG-TERM INVESTMENTS
----------------------------------------------------------
IAC/InterActiveCorp.                           1.8%
Hewlett Packard Enterprise Co.                 1.8
Amdocs Ltd.                                    1.8
Avnet, Inc.                                    1.7
HP, Inc.                                       1.7
QUALCOMM, Inc.                                 1.7
Intel Corp.                                    1.7
Xerox Holdings Corp.                           1.6
Arrow Electronics, Inc.                        1.6
KLA Corp.                                      1.6
                                            -------
  Total                                       17.0%
                                            =======



                                            PERFORMANCE OF A $10,000 INITIAL INVESTMENT
                                                  JULY 31, 2011 - JANUARY 31, 2022

            First Trust Technology      StrataQuant(R)      Russell 1000(R)     S&P 500(R) Information     Russell 1000(R)
               AlphaDEX(R) Fund        Technology Index          Index             Technology Index        Technology Index
                                                                                                
7/31/11            $10,000                 $10,000              $10,000                $10,000                 $10,000
1/31/12             10,128                  10,172               10,229                 10,629                  10,611
7/31/12              9,620                   9,698               10,796                 11,305                  11,055
1/31/13             10,532                  10,661               11,971                 11,494                  11,127
7/31/13             11,981                  12,175               13,627                 12,564                  12,142
1/31/14             13,794                  14,075               14,633                 14,197                  13,794
7/31/14             14,687                  15,038               15,953                 16,097                  15,693
1/31/15             15,508                  15,928               16,646                 16,819                  16,297
7/31/15             16,262                  16,757               17,745                 18,153                  17,388
1/31/16             14,118                  14,597               16,345                 17,634                  16,678
7/31/16             16,329                  16,939               18,604                 19,928                  18,976
1/31/17             18,579                  19,265               19,746                 22,027                  21,077
7/31/17             21,346                  22,201               21,571                 25,802                  24,542
1/31/18             26,304                  27,452               24,847                 31,522                  29,880
7/31/18             26,799                  28,061               25,061                 33,149                  31,368
1/31/19             28,056                  29,380               24,307                 31,236                  29,953
7/31/19             33,016                  34,686               27,068                 38,361                  35,701
1/31/20             35,007                  36,924               29,507                 45,631                  42,113
7/31/20             42,698                  45,187               30,324                 53,288                  49,980
1/31/21             53,112                  56,421               35,361                 62,576                  59,751
7/31/21             59,922                  63,878               41,837                 74,623                  72,586
1/31/22             56,147                  60,039               42,544                 79,115                  75,105


Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.

FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS

Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.


                                                                         Page 19





--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU)

The First Trust Utilities AlphaDEX(R) Fund (the "Fund") seeks investment results
that correspond generally to the price and yield (before the Fund's fees and
expenses) of an equity index called the StrataQuant(R) Utilities Index (the
"Utilities Index"). The Fund will normally invest at least 90% of its net assets
(including investment borrowings) in the common stocks that comprise the
Utilities Index. The shares of the Fund are listed and trade on the NYSE Arca
under the ticker symbol "FXU."

The Utilities Index is a modified equal-dollar weighted index designed by IDI to
objectively identify and select stocks from the Russell 1000(R) Index in the
utilities sector that may generate positive alpha relative to traditional
passive-style indices through the use of the AlphaDEX(R) selection methodology.
Alpha is an indication of how much an investment outperforms or underperforms on
a risk-adjusted basis relative to its benchmark. IDI constructs the Utilities
Index using the ICB sector scheme to determine a stock's sector membership.



-----------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
-----------------------------------------------------------------------------------------------------------------------------------
                                                               AVERAGE ANNUAL TOTAL RETURNS           CUMULATIVE TOTAL RETURNS
                                      6 Months    1 Year     5 Years    10 Years    Inception     5 Years    10 Years    Inception
                                       Ended       Ended      Ended      Ended       (5/8/07)      Ended      Ended       (5/8/07)
                                      1/31/22     1/31/22    1/31/22    1/31/22     to 1/31/22    1/31/22    1/31/22     to 1/31/22
                                                                                                    
FUND PERFORMANCE
NAV                                    5.75%      18.11%      6.49%       9.69%       6.48%        36.95%    152.05%      152.26%
Market Price                           5.72%      18.12%      6.48%       9.68%       6.48%        36.91%    151.97%      152.15%

INDEX PERFORMANCE
StrataQuant(R) Utilities Index         6.01%      18.81%      7.13%      10.49%       7.30%        41.13%    171.08%      182.45%
Russell 1000(R) Index                  1.69%      20.32%     16.59%      15.32%       9.97%       115.46%    315.91%      305.82%
S&P 500(R) Utilities Index             6.56%      14.87%     10.74%      11.10%       7.38%        66.57%    186.42%      185.51%
Russell 1000(R) Utilities Index(1)     5.95%      15.79%      8.85%      10.38%        N/A         52.83%    168.45%        N/A
-----------------------------------------------------------------------------------------------------------------------------------


(See Notes to Fund Performance Overview on page 22.)

-----------------------------

(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Utilities Index because performance
data does not exist for each of the entire periods using solely the U.S. sector
scheme, or alternatively, using solely the RGS.

Source ICE Data Indices, LLC ("ICE Data"), is used with permission.
"StrataQuant(R)" is a service/trade mark of ICE Data or its affiliates. Frank
Russell Company is the source and owner of the trademarks, service marks and
copyrights related to the Russell Indices. Russell(R), Russell 1000(R) and
Russell 3000(R) are all registered trademarks of Frank Russell Company. Russell
1000(R) and Russell 3000(R) are being utilized in the indices under license.
These trademarks have been licensed, along with the StrataQuant(R) Utilities
Index (the "Utilities Index") for use by First Trust Portfolios L.P. ("FTP") in
connection with the First Trust Utilities AlphaDEX(R) Fund ("FXU"). Neither FTP,
the Trust nor FXU is sponsored, endorsed, sold or promoted by ICE Data, its
affiliates or its Third Party Suppliers including without limitation Frank
Russell Company ("ICE Data and its Suppliers"). ICE Data and its Suppliers make
no representations or warranties regarding the advisability of investing in
securities generally, in FXU particularly, the Trust or the ability of the Index
to track general stock market performance. ICE Data's only relationship to FTP
is the licensing of certain trademarks, trade names and the Index or components
thereof. The Index is determined, composed and calculated by ICE Data without
regard to FTP or FXU or its holders. ICE Data has no obligation to take the
needs of FTP or the holders of FXU into consideration in determining, composing
or calculating the Index. ICE Data is not responsible for and has not
participated in the determination of the timing of, prices of, or quantities of
FXU to be issued or in the determination or calculation of the equation by which
FXU is to be priced, sold, purchased, or redeemed. Except for certain custom
index calculation services, all information provided by ICE Data is general in
nature and not tailored to the needs of FTP or any other person, entity or group
of persons. ICE Data has no obligation or liability in connection with the
administration, marketing, or trading of FXU. ICE Data is not an investment
advisor. Inclusion of a security within an index is not a recommendation by ICE
Data to buy, sell, or hold such security, nor is it considered to be investment
advice.

ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS,
EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS
FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY
INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM ("INDEX DATA"). ICE
DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH
RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND
THE INDEX DATA, WHICH ARE PROVIDED ON AN "AS IS" BASIS AND YOUR USE IS AT YOUR
OWN RISK.


Page 20





--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU) (CONTINUED)

----------------------------------------------------------
                                          % OF TOTAL
SECTOR CLASSIFICATION                LONG-TERM INVESTMENTS
----------------------------------------------------------
Utilities                                     92.3%
Industrials                                    7.7
                                            -------
  Total                                      100.0%
                                            =======

----------------------------------------------------------
                                          % OF TOTAL
TOP TEN HOLDINGS                     LONG-TERM INVESTMENTS
----------------------------------------------------------
American Electric Power Co., Inc.              4.3%
Exelon Corp.                                   4.3
Entergy Corp.                                  4.2
OGE Energy Corp.                               4.2
UGI Corp.                                      4.2
Pinnacle West Capital Corp.                    4.2
Evergy, Inc.                                   4.0
NRG Energy, Inc.                               3.9
PG&E Corp.                                     3.6
Atmos Energy Corp.                             3.5
                                            -------
  Total                                       40.4%
                                            =======



                                     PERFORMANCE OF A $10,000 INITIAL INVESTMENT
                                           JULY 31, 2011 - JANUARY 31, 2022

            First Trust Utilities    StrataQuant(R)     Russell 1000(R)      S&P 500(R)       Russell 1000(R)
              AlphaDEX(R) Fund       Utilities Index         Index         Utilities Index    Utilities Index
                                                                                   
7/31/11            $10,000               $10,000            $10,000            $10,000            $10,000
1/31/12              9,926                 9,966             10,229             10,695             10,333
7/31/12             10,664                10,755             10,796             11,929             12,115
1/31/13             11,105                11,238             11,971             11,790             12,021
7/31/13             12,361                12,621             13,627             12,885             13,165
1/31/14             12,713                13,034             14,633             13,109             13,252
7/31/14             13,979                14,390             15,953             14,078             14,452
1/31/15             15,775                16,290             16,646             16,804             15,522
7/31/15             14,784                15,317             17,745             15,549             15,038
1/31/16             14,938                15,535             16,345             16,388             15,921
7/31/16             18,133                18,935             18,604             19,141             18,748
1/31/17             18,267                19,141             19,746             18,389             18,152
7/31/17             18,781                19,743             21,571             20,234             18,915
1/31/18             17,752                18,720             24,847             19,736             18,998
7/31/18             18,575                19,667             25,061             20,805             19,131
1/31/19             19,747                20,983             24,307             21,923             20,015
7/31/19             20,751                22,091             27,068             24,244             21,952
1/31/20             21,688                23,160             29,507             28,565             25,113
7/31/20             20,604                22,037             30,324             25,660             22,677
1/31/21             21,179                22,740             35,361             26,666             23,961
7/31/21             23,658                25,485             41,837             28,747             26,182
1/31/22             25,018                27,017             42,544             30,633             27,740


Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.

FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS

Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.


                                                                         Page 21





--------------------------------------------------------------------------------
NOTES TO FUND PERFORMANCE OVERVIEW (UNAUDITED)
--------------------------------------------------------------------------------

Total returns for the period since inception are calculated from the inception
date of each Fund. "Average Annual Total Returns" represent the average annual
change in value of an investment over the periods indicated. "Cumulative Total
Returns" represent the total change in value of an investment over the periods
indicated. The total returns would have been lower if certain fees had not been
waived and expenses reimbursed by the Advisor.

Each Fund's per share net asset value ("NAV") is the value of one share of the
Fund and is computed by dividing the value of all assets of the Fund (including
accrued interest and dividends), less all liabilities (including accrued
expenses and dividends declared but unpaid), by the total number of outstanding
shares. The price used to calculate market return ("Market Price") is determined
by using the midpoint of the national best bid and offer price ("NBBO") as of
the time that the Fund's NAV is calculated. Under SEC rules, the NBBO consists
of the highest displayed buy and lowest sell prices among the various exchanges
trading the Fund at the time the Fund's NAV is calculated. Prior to January 1,
2019, the price used was the midpoint between the highest bid and the lowest
offer on the stock exchange on which shares of the Fund were listed for trading
as of the time that the Fund's NAV was calculated. Since shares of each Fund did
not trade in the secondary market until after the Fund's inception, for the
period May 8, 2007 (inception) to May 10, 2007 (the first day of secondary
market trading) the NAV of each Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
all distributions have been reinvested in each Fund at NAV and Market Price,
respectively.

An index is a statistical composite that tracks a specified financial market or
sector. Unlike each Fund, the indices do not actually hold a portfolio of
securities and therefore do not incur the expenses incurred by each Fund. These
expenses negatively impact the performance of each Fund. Also, market returns do
not include brokerage commissions that may be payable on secondary market
transactions. If brokerage commissions were included, market returns would be
lower. The total returns presented reflect the reinvestment of dividends on
securities in the indices. The returns presented do not reflect the deduction of
taxes that a shareholder would pay on Fund distributions or the redemption or
sale of Fund shares. The investment return and principal value of shares of each
Fund will vary with changes in market conditions. Shares of each Fund may be
worth more or less than their original cost when they are redeemed or sold in
the market. Each Fund's past performance is no guarantee of future performance.


Page 22





FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND

SECTOR FUNDS
UNDERSTANDING YOUR FUND EXPENSES
JANUARY 31, 2022 (UNAUDITED)

As a shareholder of First Trust Consumer Discretionary AlphaDEX(R) Fund, First
Trust Consumer Staples AlphaDEX(R) Fund, First Trust Energy AlphaDEX(R) Fund,
First Trust Financials AlphaDEX(R) Fund, First Trust Health Care AlphaDEX(R)
Fund, First Trust Industrials/Producer Durables AlphaDEX(R) Fund, First Trust
Materials AlphaDEX(R) Fund, First Trust Technology AlphaDEX(R) Fund or First
Trust Utilities AlphaDEX(R) Fund (each a "Fund" and collectively, the "Funds"),
you incur two types of costs: (1) transaction costs; and (2) ongoing costs,
including management fees, distribution and/or service (12b-1) fees, if any, and
other Fund expenses. This Example is intended to help you understand your
ongoing costs of investing in the Funds and to compare these costs with the
ongoing costs of investing in other funds.

The Example is based on an investment of $1,000 invested at the beginning of the
period and held through the six-month period ended January 31, 2022.

ACTUAL EXPENSES

The first line in the following table provides information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over the
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
in the first line under the heading entitled "Expenses Paid During the Six-Month
Period" to estimate the expenses you paid on your account during this six-month
period.

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

The second line in the following table provides information about hypothetical
account values and hypothetical expenses based on each Fund's actual expense
ratio and an assumed rate of return of 5% per year before expenses, which is not
each Fund's actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare the ongoing costs of
investing in the Funds and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of the other funds.

Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs such as brokerage
commissions. Therefore, the second line in the table is useful in comparing
ongoing costs only, and will not help you determine the relative total costs of
owning different funds. In addition, if these transactional costs were included,
your costs would have been higher.



-------------------------------------------------------------------------------------------------------------------------
                                                                                           ANNUALIZED
                                                                                          EXPENSE RATIO     EXPENSES PAID
                                                    BEGINNING             ENDING          BASED ON THE       DURING THE
                                                  ACCOUNT VALUE       ACCOUNT VALUE         SIX-MONTH         SIX-MONTH
                                                  AUGUST 1, 2021     JANUARY 31, 2022        PERIOD          PERIOD (a)
-------------------------------------------------------------------------------------------------------------------------
                                                                                                    
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD)
Actual                                              $1,000.00           $  941.90             0.61%             $2.99
Hypothetical (5% return before expenses)            $1,000.00           $1,022.13             0.61%             $3.11

FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG)
Actual                                              $1,000.00           $1,109.00             0.64%             $3.40
Hypothetical (5% return before expenses)            $1,000.00           $1,021.98             0.64%             $3.26

FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN)
Actual                                              $1,000.00           $1,312.10             0.63%             $3.67
Hypothetical (5% return before expenses)            $1,000.00           $1,022.03             0.63%             $3.21

FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)
Actual                                              $1,000.00           $1,076.40             0.61%             $3.19
Hypothetical (5% return before expenses)            $1,000.00           $1,022.13             0.61%             $3.11

FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH)
Actual                                              $1,000.00           $  906.10             0.61%             $2.93
Hypothetical (5% return before expenses)            $1,000.00           $1,022.13             0.61%             $3.11



                                                                         Page 23





FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND

SECTOR FUNDS
UNDERSTANDING YOUR FUND EXPENSES (CONTINUED)
JANUARY 31, 2022 (UNAUDITED)



-------------------------------------------------------------------------------------------------------------------------
                                                                                           ANNUALIZED
                                                                                          EXPENSE RATIO     EXPENSES PAID
                                                     BEGINNING            ENDING          BASED ON THE       DURING THE
                                                   ACCOUNT VALUE      ACCOUNT VALUE         SIX-MONTH         SIX-MONTH
                                                  AUGUST 1, 2021     JANUARY 31, 2022        PERIOD          PERIOD (a)
-------------------------------------------------------------------------------------------------------------------------
                                                                                                   
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)
Actual                                              $1,000.00           $  973.60             0.61%             $3.03
Hypothetical (5% return before expenses)            $1,000.00           $1,022.13             0.61%             $3.11

FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ)
Actual                                              $1,000.00           $1,022.60             0.62%             $3.16
Hypothetical (5% return before expenses)            $1,000.00           $1,022.08             0.62%             $3.16

FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL)
Actual                                              $1,000.00           $  937.00             0.61%             $2.98
Hypothetical (5% return before expenses)            $1,000.00           $1,022.13             0.61%             $3.11

FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU)
Actual                                              $1,000.00           $1,057.50             0.65%             $3.37
Hypothetical (5% return before expenses)            $1,000.00           $1,021.93             0.65%             $3.31



(a)   Expenses are equal to the annualized expense ratio as indicated in the
      table multiplied by the average account value over the period (August 1,
      2021 through January 31, 2022), multiplied by 184/365 (to reflect the
      six-month period).


Page 24





FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD)

PORTFOLIO OF INVESTMENTS
JANUARY 31, 2022 (UNAUDITED)

SHARES         DESCRIPTION                           VALUE
---------------------------------------------------------------
               COMMON STOCKS -- 100.0%
               AIRLINES -- 0.9%
      186,739  Alaska Air Group, Inc. (a)       $    10,222,093
      113,559  Southwest Airlines Co. (a)             5,082,901
                                                ---------------
                                                     15,304,994
                                                ---------------
               AUTO COMPONENTS -- 3.7%
       92,161  Aptiv PLC (a)                         12,587,349
      431,708  BorgWarner, Inc.                      18,930,396
      558,326  Gentex Corp.                          17,531,436
       83,084  Lear Corp.                            13,901,615
                                                ---------------
                                                     62,950,796
                                                ---------------
               AUTOMOBILES -- 5.7%
      731,888  Ford Motor Co.                        14,857,326
      432,130  General Motors Co. (a)                22,786,215
      516,247  Harley-Davidson, Inc.                 17,846,659
       18,418  Tesla, Inc. (a)                       17,252,509
      244,142  Thor Industries, Inc.                 23,093,392
                                                ---------------
                                                     95,836,101
                                                ---------------
               COMMERCIAL SERVICES & SUPPLIES
                  -- 0.7%
       64,158  Copart, Inc. (a)                       8,292,422
      142,191  Rollins, Inc.                          4,386,592
                                                ---------------
                                                     12,679,014
                                                ---------------
               DISTRIBUTORS -- 2.3%
       34,690  Genuine Parts Co.                      4,621,749
      253,230  LKQ Corp.                             13,899,795
       44,758  Pool Corp.                            21,315,997
                                                ---------------
                                                     39,837,541
                                                ---------------
               DIVERSIFIED CONSUMER SERVICES
                  -- 2.2%
      132,723  Frontdoor, Inc. (a)                    4,817,845
      227,008  Grand Canyon Education,
                  Inc. (a)                           18,996,029
      137,050  Service Corp. International            8,458,726
      107,555  Terminix Global Holdings,
                  Inc. (a)                            4,639,923
                                                ---------------
                                                     36,912,523
                                                ---------------
               ENTERTAINMENT -- 2.9%
      292,452  Activision Blizzard, Inc.             23,106,632
      127,011  Live Nation Entertainment,
                  Inc. (a)                           13,908,975
        8,066  Netflix, Inc. (a)                      3,445,311
       27,382  Take-Two Interactive Software,
                  Inc. (a)                            4,472,576
       98,591  World Wrestling Entertainment,
                  Inc., Class A                       4,923,635
                                                ---------------
                                                     49,857,129
                                                ---------------
               FOOD & STAPLES RETAILING -- 1.3%
       44,617  Costco Wholesale Corp.                22,537,385
                                                ---------------
               HOTELS, RESTAURANTS & LEISURE
                  -- 11.4%
      231,828  Boyd Gaming Corp. (a)                 13,784,493
      104,025  Caesars Entertainment, Inc. (a)        7,920,463
        2,775  Chipotle Mexican Grill, Inc. (a)       4,122,484


SHARES         DESCRIPTION                           VALUE
---------------------------------------------------------------
               HOTELS, RESTAURANTS & LEISURE
                  (CONTINUED)
      124,745  Choice Hotels International,
                  Inc.                          $    17,888,433
       40,397  Churchill Downs, Inc.                  8,495,489
       64,594  Darden Restaurants, Inc.               9,034,763
       26,927  Domino's Pizza, Inc.                  12,242,361
       53,840  Expedia Group, Inc. (a)                9,868,334
       62,359  Hilton Worldwide Holdings,
                  Inc. (a)                            9,048,914
       29,435  Marriott International, Inc.,
                  Class A (a)                         4,742,567
       36,282  McDonald's Corp.                       9,413,365
      216,782  MGM Resorts International              9,260,927
      187,632  Penn National Gaming, Inc. (a)         8,557,896
      107,406  Planet Fitness, Inc.,
                  Class A (a)                         9,520,468
      228,487  Six Flags Entertainment
                  Corp. (a)                           9,022,952
       41,599  Starbucks Corp.                        4,090,014
       88,016  Travel + Leisure Co.                   4,999,309
      203,948  Wendy's (The) Co.                      4,696,922
      169,570  Wyndham Hotels & Resorts, Inc.        14,235,401
      195,194  Yum China Holdings, Inc.               9,402,495
      109,458  Yum! Brands, Inc.                     13,700,858
                                                ---------------
                                                    194,048,908
                                                ---------------
               HOUSEHOLD DURABLES -- 11.6%
      233,610  D.R. Horton, Inc.                     20,842,684
      111,639  Garmin Ltd.                           13,890,124
      472,732  Leggett & Platt, Inc.                 18,838,370
      218,097  Lennar Corp., Class A                 20,961,303
      696,012  Newell Brands, Inc.                   16,154,439
        4,295  NVR, Inc. (a)                         22,880,410
      443,238  PulteGroup, Inc.                      23,354,210
      413,729  Tempur Sealy International, Inc.      16,470,552
      349,986  Toll Brothers, Inc.                   20,638,674
      107,965  Whirlpool Corp.                       22,693,163
                                                ---------------
                                                    196,723,929
                                                ---------------
               INTERNET & DIRECT MARKETING
                  RETAIL -- 2.3%
        1,472  Amazon.com, Inc. (a)                   4,403,444
       73,147  eBay, Inc.                             4,393,940
       44,444  Etsy, Inc. (a)                         6,981,264
    3,333,571  Qurate Retail, Inc., Series A         23,435,004
                                                ---------------
                                                     39,213,652
                                                ---------------
               LEISURE PRODUCTS -- 2.5%
       47,793  Hasbro, Inc.                           4,419,897
      705,059  Mattel, Inc. (a)                      14,749,834
      177,032  Polaris, Inc.                         19,932,033
       58,714  YETI Holdings, Inc. (a)                3,850,464
                                                ---------------
                                                     42,952,228
                                                ---------------
               MEDIA -- 8.3%
      826,566  Discovery, Inc., Class A (a) (b)      23,069,457
      527,292  Fox Corp., Class A                    21,413,328
      259,786  Interpublic Group of (The) Cos.,
                  Inc.                                9,232,794
      681,352  News Corp., Class A                   15,153,268
      167,815  Nexstar Media Group, Inc.,
                  Class A                            27,753,245


                        See Notes to Financial Statements                Page 25





FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD)

PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2022 (UNAUDITED)

SHARES         DESCRIPTION                           VALUE
---------------------------------------------------------------
               COMMON STOCKS (CONTINUED)
               MEDIA (CONTINUED)
      207,457  Omnicom Group, Inc.              $    15,633,960
      839,462  ViacomCBS, Inc., Class B              28,080,004
                                                ---------------
                                                    140,336,056
                                                ---------------
               MULTILINE RETAIL -- 5.1%
       41,251  Dollar General Corp.                   8,600,008
       69,243  Dollar Tree, Inc. (a)                  9,086,066
      512,972  Kohl's Corp.                          30,629,558
      215,059  Nordstrom, Inc. (a)                    4,838,828
      380,107  Ollie's Bargain Outlet Holdings,
                  Inc. (a)                           18,222,330
       65,690  Target Corp.                          14,480,047
                                                ---------------
                                                     85,856,837
                                                ---------------
               PERSONAL PRODUCTS -- 1.0%
      463,276  Coty, Inc., Class A (a)                3,928,581
       41,051  Estee Lauder (The) Cos., Inc.,
                  Class A                            12,799,291
                                                ---------------
                                                     16,727,872
                                                ---------------
               PROFESSIONAL SERVICES -- 0.8%
      741,160  Nielsen Holdings PLC                  13,978,277
                                                ---------------
               ROAD & RAIL -- 1.0%
       26,804  AMERCO                                16,322,296
                                                ---------------
               SOFTWARE -- 0.7%
      165,883  Trade Desk (The), Inc.,
                  Class A (a)                        11,535,504
                                                ---------------
               SPECIALTY RETAIL -- 25.7%
       40,549  Advance Auto Parts, Inc.               9,387,499
      216,822  AutoNation, Inc. (a)                  23,633,598
       12,099  AutoZone, Inc. (a)                    24,032,849
      217,816  Bath & Body Works, Inc.               12,212,943
      191,498  Best Buy Co., Inc.                    19,011,921
       33,361  Burlington Stores, Inc. (a)            7,904,222
      116,720  CarMax, Inc. (a)                      12,975,762
      220,336  Dick's Sporting Goods, Inc. (b)       25,426,774
       73,461  Five Below, Inc. (a)                  12,047,604
      149,651  Floor & Decor Holdings, Inc.,
                  Class A (a)                        16,270,057
      580,687  Foot Locker, Inc.                     25,945,095
       32,769  GameStop Corp., Class A (a) (b)        3,569,527
    1,102,414  Gap (The), Inc.                       19,920,621
       61,059  Home Depot (The), Inc.                22,407,432
      205,606  Leslie's, Inc. (a)                     4,282,773
       85,307  Lithia Motors, Inc.                   24,920,734
       98,020  Lowe's Cos., Inc.                     23,265,047
       27,542  O'Reilly Automotive, Inc. (a)         17,950,499
      236,299  Penske Automotive Group, Inc.         24,015,067
      491,602  Petco Health & Wellness Co.,
                  Inc. (a) (b)                        9,217,538
       42,569  Ross Stores, Inc.                      4,161,120
      256,298  TJX (The) Cos., Inc.                  18,445,767
      106,182  Tractor Supply Co.                    23,180,592
       47,187  Ulta Beauty, Inc. (a)                 17,163,799
      273,694  Victoria's Secret & Co. (a)           15,280,336
      115,044  Williams-Sonoma, Inc.                 18,469,164
                                                ---------------
                                                    435,098,340
                                                ---------------


SHARES         DESCRIPTION                           VALUE
---------------------------------------------------------------
               TEXTILES, APPAREL & LUXURY GOODS
                  -- 8.8%
      149,881  Capri Holdings Ltd. (a)          $     9,003,352
      192,223  Carter's, Inc.                        17,899,806
      156,015  Columbia Sportswear Co.               14,489,113
       26,559  Deckers Outdoor Corp. (a)              8,504,989
      290,932  Hanesbrands, Inc.                      4,684,005
       12,428  Lululemon Athletica, Inc. (a)          4,147,969
       58,369  NIKE, Inc., Class B                    8,642,698
      182,447  PVH Corp.                             17,334,289
      127,884  Ralph Lauren Corp.                    14,174,663
      448,323  Skechers U.S.A., Inc.,
                  Class A (a)                        18,829,566
      479,253  Tapestry, Inc.                        18,187,651
      459,121  Under Armour, Inc., Class A (a)        8,645,248
       66,423  VF Corp.                               4,331,444
                                                ---------------
                                                    148,874,793
                                                ---------------
               TRADING COMPANIES &
                  DISTRIBUTORS -- 1.1%
      104,576  SiteOne Landscape Supply,
                  Inc. (a)                           18,836,229
                                                ---------------
               TOTAL COMMON STOCKS
                  -- 100.0%                       1,696,420,404
               (Cost $1,567,209,597)            ---------------

               MONEY MARKET FUNDS -- 0.7%
   12,215,665  Goldman Sachs Financial Square
                  Treasury Obligations Fund -
                  Institutional Class -
                  0.01% (c) (d)                      12,215,665
      521,167  Morgan Stanley Institutional
                  Liquidity Funds - Treasury
                  Portfolio - Institutional
                  Class - 0.01% (c)                     521,167
                                                ---------------
               TOTAL MONEY MARKET FUNDS
                  -- 0.7%                            12,736,832
               (Cost $12,736,832)               ---------------


  PRINCIPAL
    VALUE      DESCRIPTION                           VALUE
---------------------------------------------------------------
               REPURCHASE AGREEMENTS -- 0.9%
$  15,093,346  BNP Paribas S.A., 0.03% (c),
                  dated 01/31/22, due 02/01/22,
                  with a maturity value of
                  $15,093,359. Collateralized
                  by U.S. Treasury Note,
                  interest rate of 1.13%, due
                  02/28/25. The value of the
                  collateral including accrued
                  interest is $15,424,232. (d)       15,093,346
               (Cost $15,093,346)               ---------------

               TOTAL INVESTMENTS -- 101.6%        1,724,250,582
               (Cost $1,595,039,775)
               NET OTHER ASSETS AND
                  LIABILITIES -- (1.6)%             (27,968,127)
                                                ---------------
               NET ASSETS -- 100.0%             $ 1,696,282,455
                                                ===============


Page 26                 See Notes to Financial Statements





FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD)

PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2022 (UNAUDITED)

(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 $27,654,821 and the
      total value of the collateral held by the Fund is $27,309,011.

(c)   Rate shown reflects yield as of January 31, 2022.

(d)   This security serves as collateral for securities on loan.

---------------------------------
OFFSETTING ASSETS AND LIABILITIES
---------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).

The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:

SECURITIES LENDING AGENCY AGREEMENT
---------------------------------------------------------------
Total gross amount presented on the
   Statements of Assets and Liabilities(1)      $    27,654,821
Non-cash Collateral(2)                              (27,309,011)
                                                ---------------
Net Amount                                      $       345,810
                                                ===============

(1)   The amount presented on the Statements of Assets and Liabilities, which is
      included in "Investments, at value," is not offset and is shown on a gross
      basis.

(2)   The collateral requirements are determined at the beginning of each
      business day based on the market value of the loaned securities from the
      end of the prior day. On January 31, 2022, the last business day of the
      period, there was sufficient collateral based on the end of day market
      value from the prior business day; however, as a result of market movement
      from January 28 to January 31, the value of the related securities loaned
      was above the collateral value received. See Note 2D - Securities Lending
      in the Notes to Financial Statements.

The Fund's investments in repurchase agreements were all subject to an
enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis
were as follows:

REPURCHASE AGREEMENTS
---------------------------------------------------------------
Total gross amount presented on the
   Statements of Assets and Liabilities(3)      $    15,093,346
Non-cash Collateral(4)                              (15,093,346)
                                                ---------------
Net Amount                                      $            --
                                                ===============

(3)   The amount is included in "Investments, at value" on the Statements of
      Assets and Liabilities.

(4)   At January 31, 2022, the value of the collateral received from each seller
      exceeded the value of the repurchase agreements.

-----------------------------

VALUATION INPUTS

A summary of the inputs used to value the Fund's investments as of January 31,
2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):

                                                  LEVEL 2       LEVEL 3
                   TOTAL          LEVEL 1       SIGNIFICANT   SIGNIFICANT
                  VALUE AT         QUOTED       OBSERVABLE    UNOBSERVABLE
                 1/31/2022         PRICES         INPUTS         INPUTS
               -----------------------------------------------------------
Common
  Stocks*      $1,696,420,404  $1,696,420,404  $          --  $         --
Money Market
  Funds            12,736,832      12,736,832             --            --
Repurchase
  Agreements       15,093,346              --     15,093,346            --
               -----------------------------------------------------------
Total
  Investments  $1,724,250,582  $1,709,157,236  $  15,093,346  $         --
               ===========================================================

* See Portfolio of Investments for industry breakout.


                        See Notes to Financial Statements                Page 27





FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG)

PORTFOLIO OF INVESTMENTS
JANUARY 31, 2022 (UNAUDITED)

SHARES         DESCRIPTION                           VALUE
---------------------------------------------------------------
               COMMON STOCKS -- 99.9%
               BEVERAGES -- 8.3%
       44,792  Coca-Cola (The) Co.              $     2,732,760
      143,901  Keurig Dr Pepper, Inc.                 5,461,043
       57,221  Molson Coors Beverage Co.,
                  Class B                             2,727,153
       55,228  Monster Beverage Corp. (a)             4,789,372
       61,070  PepsiCo, Inc.                         10,596,866
                                                ---------------
                                                     26,307,194
                                                ---------------
               CHEMICALS -- 4.2%
      280,467  Corteva, Inc.                         13,484,853
                                                ---------------
               FOOD & STAPLES RETAILING
                  -- 12.7%
      175,695  Albertsons Cos., Inc., Class A         4,945,814
       53,755  Casey's General Stores, Inc.          10,095,727
       93,778  Grocery Outlet Holding
                  Corp. (a)                           2,380,086
      175,792  Kroger (The) Co.                       7,662,773
       33,764  Sysco Corp.                            2,638,657
       76,143  US Foods Holding Corp. (a)             2,684,802
      203,383  Walgreens Boots Alliance, Inc.        10,120,338
                                                ---------------
                                                     40,528,197
                                                ---------------
               FOOD PRODUCTS -- 53.1%
      196,191  Archer-Daniels-Midland Co.            14,714,325
      142,036  Bunge Ltd.                            14,041,679
      244,096  Campbell Soup Co.                     10,769,515
      388,301  Conagra Brands, Inc.                  13,497,343
      153,100  Darling Ingredients, Inc. (a)          9,763,187
      289,636  Flowers Foods, Inc.                    8,147,461
      118,079  General Mills, Inc.                    8,109,666
       62,240  Hain Celestial Group (The),
                  Inc. (a)                            2,273,627
       27,415  Hershey (The) Co.                      5,402,674
      108,670  Hormel Foods Corp.                     5,158,565
       54,887  Ingredion, Inc.                        5,197,799
       97,633  J.M. Smucker (The) Co.                13,725,247
      123,506  Kellogg Co.                            7,780,878
      295,499  Kraft Heinz (The) Co.                 10,578,864
      119,987  Mondelez International, Inc.,
                  Class A                             8,042,729
      470,228  Pilgrim's Pride Corp. (a)             13,152,277
       47,053  Post Holdings, Inc. (a)                4,979,148
      152,139  Tyson Foods, Inc., Class A            13,827,914
                                                ---------------
                                                    169,162,898
                                                ---------------
               HEALTH CARE PROVIDERS & SERVICES
                  -- 7.7%
      102,833  CVS Health Corp.                      10,952,743
       53,347  McKesson Corp.                        13,695,242
                                                ---------------
                                                     24,647,985
                                                ---------------
               HOUSEHOLD PRODUCTS -- 9.5%
       77,624  Church & Dwight Co., Inc.              7,968,104
       18,556  Kimberly-Clark Corp.                   2,554,233
       16,211  Procter & Gamble (The) Co.             2,601,055
      253,385  Reynolds Consumer Products,
                  Inc.                                7,669,964


SHARES         DESCRIPTION                           VALUE
---------------------------------------------------------------
               HOUSEHOLD PRODUCTS (CONTINUED)
      104,292  Spectrum Brands Holdings, Inc.   $     9,321,619
                                                ---------------
                                                     30,114,975
                                                ---------------
               PERSONAL PRODUCTS -- 2.6%
      194,387  Herbalife Nutrition Ltd. (a)           8,263,391
                                                ---------------
               TOBACCO -- 1.8%
       55,833  Philip Morris International,
                  Inc.                                5,742,424
                                                ---------------
               TOTAL COMMON STOCKS
                  -- 99.9%                          318,251,917
               (Cost $288,521,579)              ---------------

               MONEY MARKET FUNDS -- 0.1%
      342,778  Morgan Stanley Institutional
                  Liquidity Funds - Treasury
                  Portfolio - Institutional
                  Class - 0.01% (b)                     342,778
               (Cost $342,778)                  ---------------

               TOTAL INVESTMENTS -- 100.0%          318,594,695
               (Cost $288,864,357)
               NET OTHER ASSETS AND
                  LIABILITIES -- 0.0%                   102,327
                                                ---------------
               NET ASSETS -- 100.0%             $   318,697,022
                                                ===============

(a)   Non-income producing security.

(b)   Rate shown reflects yield as of January 31, 2022.

-----------------------------

VALUATION INPUTS

A summary of the inputs used to value the Fund's investments as of January 31,
2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):

                                                  LEVEL 2       LEVEL 3
                   TOTAL          LEVEL 1       SIGNIFICANT   SIGNIFICANT
                  VALUE AT         QUOTED       OBSERVABLE    UNOBSERVABLE
                 1/31/2022         PRICES         INPUTS         INPUTS
               -----------------------------------------------------------
Common
  Stocks*      $  318,251,917  $  318,251,917  $          --  $         --
Money Market
  Funds               342,778         342,778             --            --
               -----------------------------------------------------------
Total
  Investments  $  318,594,695  $  318,594,695  $          --  $         --
               ===========================================================

* See Portfolio of Investments for industry breakout.


Page 28                 See Notes to Financial Statements





FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN)

PORTFOLIO OF INVESTMENTS
JANUARY 31, 2022 (UNAUDITED)

SHARES         DESCRIPTION                           VALUE
---------------------------------------------------------------
               COMMON STOCKS -- 99.4%
               ELECTRICAL EQUIPMENT -- 1.6%
      212,946  ChargePoint Holdings, Inc. (a)   $     2,949,302
      143,661  Plug Power, Inc. (a)                   3,141,866
      166,959  Shoals Technologies Group,
                  Inc., Class A (a)                   2,814,929
                                                ---------------
                                                      8,906,097
                                                ---------------
               ENERGY EQUIPMENT & SERVICES
                  -- 9.4%
      578,093  Baker Hughes Co.                      15,862,872
      405,431  Halliburton Co.                       12,462,949
      299,433  NOV, Inc.                              4,916,690
      464,387  Schlumberger N.V.                     18,143,600
                                                ---------------
                                                     51,386,111
                                                ---------------
               OIL, GAS & CONSUMABLE FUELS
                  -- 84.1%
    1,915,761  Antero Midstream Corp.                19,061,822
      344,820  APA Corp.                             11,451,472
      182,821  Cheniere Energy, Inc.                 20,457,670
      195,706  Chevron Corp.                         25,702,069
      321,138  ConocoPhillips                        28,459,249
      490,474  Continental Resources, Inc.           25,475,220
      976,062  Coterra Energy, Inc.                  21,375,758
      315,795  Devon Energy Corp.                    15,969,753
      214,898  Diamondback Energy, Inc.              27,111,532
      386,516  DT Midstream, Inc.                    19,982,877
      260,998  EOG Resources, Inc.                   29,096,057
      185,987  EQT Corp. (a)                          3,952,224
      151,530  Exxon Mobil Corp.                     11,510,219
      125,259  Hess Corp.                            11,560,153
      700,612  HollyFrontier Corp.                   24,633,518
    1,169,306  Kinder Morgan, Inc.                   20,299,152
    1,129,405  Marathon Oil Corp.                    21,989,515
      217,323  Marathon Petroleum Corp.              15,592,925
      168,025  New Fortress Energy, Inc. (b)          3,689,829
      479,790  Occidental Petroleum Corp.            18,073,689
      236,698  ONEOK, Inc.                           14,362,835
       55,945  Phillips 66                            4,743,576
      127,494  Pioneer Natural Resources Co.         27,907,162
      177,526  Targa Resources Corp.                 10,488,236
        3,252  Texas Pacific Land Corp.               3,495,900
      123,480  Valero Energy Corp.                   10,245,136
      534,101  Williams (The) Cos., Inc.             15,990,984
                                                ---------------
                                                    462,678,532
                                                ---------------
               SEMICONDUCTORS & SEMICONDUCTOR
                  EQUIPMENT -- 4.3%
       50,698  Enphase Energy, Inc. (a)               7,121,548
      212,789  First Solar, Inc. (a)                 16,678,402
                                                ---------------
                                                     23,799,950
                                                ---------------
               TOTAL COMMON STOCKS
                  -- 99.4%                          546,770,690
               (Cost $465,080,217)              ---------------


SHARES         DESCRIPTION                           VALUE
---------------------------------------------------------------
               MONEY MARKET FUNDS -- 1.2%
      960,660  Goldman Sachs Financial Square
                  Treasury Obligations Fund -
                  Institutional Class -
                  0.01% (c) (d)                 $       960,660
    5,818,061  Morgan Stanley Institutional
                  Liquidity Funds - Treasury
                  Portfolio - Institutional
                  Class - 0.01% (c)                   5,818,061
                                                ---------------
               TOTAL MONEY MARKET FUNDS
                  -- 1.2%                             6,778,721
               (Cost $6,778,721)                ---------------


  PRINCIPAL
    VALUE      DESCRIPTION                           VALUE
---------------------------------------------------------------
               REPURCHASE AGREEMENTS -- 0.2%
$   1,186,965  BNP Paribas S.A., 0.03% (c),
                  dated 01/31/22, due 02/01/22,
                  with a maturity value of
                  $1,186,966. Collateralized by
                  U.S. Treasury Note, interest
                  rate of 1.13%, due 02/28/25.
                  The value of the collateral
                  including accrued interest is
                  $1,212,987. (d)                     1,186,965
               (Cost $1,186,965)                ---------------

               TOTAL INVESTMENTS -- 100.8%          554,736,376
               (Cost $473,045,903)
               NET OTHER ASSETS AND
                  LIABILITIES -- (0.8)%              (4,339,470)
                                                ---------------
               NET ASSETS -- 100.0%             $   550,396,906
                                                ===============

(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 $2,272,860 and the
      total value of the collateral held by the Fund is $2,147,625.

(c)   Rate shown reflects yield as of January 31, 2022.

(d)   This security serves as collateral for securities on loan.


                        See Notes to Financial Statements                Page 29





FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN)

PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2022 (UNAUDITED)

---------------------------------
OFFSETTING ASSETS AND LIABILITIES
---------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).

The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:

SECURITIES LENDING AGENCY AGREEMENT
---------------------------------------------------------------
Total gross amount presented on the
   Statements of Assets and Liabilities(1)      $     2,272,860
Non-cash Collateral(2)                               (2,147,625)
                                                ---------------
Net Amount                                      $       125,235
                                                ===============

(1)   The amount presented on the Statements of Assets and Liabilities, which is
      included in "Investments, at value," is not offset and is shown on a gross
      basis.

(2)   The collateral requirements are determined at the beginning of each
      business day based on the market value of the loaned securities from the
      end of the prior day. On January 31, 2022, the last business day of the
      period, there was sufficient collateral based on the end of day market
      value from the prior business day; however, as a result of market movement
      from January 28 to January 31, the value of the related securities loaned
      was above the collateral value received. See Note 2D - Securities Lending
      in the Notes to Financial Statements.

The Fund's investments in repurchase agreements were all subject to an
enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis
were as follows:

REPURCHASE AGREEMENTS
---------------------------------------------------------------
Total gross amount presented on the
   Statements of Assets and Liabilities(3)      $     1,186,965
Non-cash Collateral(4)                               (1,186,965)
                                                ---------------
Net Amount                                      $            --
                                                ===============

(3)   The amount is included in "Investments, at value" on the Statements of
      Assets and Liabilities.

(4)   At January 31, 2022, the value of the collateral received from each seller
      exceeded the value of the repurchase agreements.

-----------------------------

VALUATION INPUTS

A summary of the inputs used to value the Fund's investments as of January 31,
2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):

                                                  LEVEL 2       LEVEL 3
                   TOTAL          LEVEL 1       SIGNIFICANT   SIGNIFICANT
                  VALUE AT         QUOTED       OBSERVABLE    UNOBSERVABLE
                 1/31/2022         PRICES         INPUTS         INPUTS
               -----------------------------------------------------------
Common
  Stocks*      $  546,770,690  $  546,770,690  $          --  $         --
Money Market
  Funds             6,778,721       6,778,721             --            --
Repurchase
  Agreements        1,186,965              --      1,186,965            --
               -----------------------------------------------------------
Total
  Investments  $  554,736,376  $  553,549,411  $   1,186,965  $         --
               ===========================================================

* See Portfolio of Investments for industry breakout.


Page 30                 See Notes to Financial Statements





FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)

PORTFOLIO OF INVESTMENTS
JANUARY 31, 2022 (UNAUDITED)

SHARES         DESCRIPTION                           VALUE
---------------------------------------------------------------
               COMMON STOCKS -- 99.9%
               BANKS -- 20.4%
      109,178  Bank of America Corp.            $     5,037,473
      208,781  Bank OZK                               9,781,390
       92,088  BOK Financial Corp.                    9,443,624
      321,726  Citigroup, Inc.                       20,950,797
      323,815  Citizens Financial Group, Inc.        16,666,758
      111,660  Comerica, Inc.                        10,359,815
       61,734  East West Bancorp, Inc.                5,330,113
    1,261,366  F.N.B. Corp.                          16,296,849
      111,532  Fifth Third Bancorp                    4,977,673
      177,725  First Hawaiian, Inc.                   5,038,504
      936,946  First Horizon Corp.                   16,031,146
      314,998  Huntington Bancshares, Inc.            4,743,870
       61,350  JPMorgan Chase & Co.                   9,116,610
      419,996  KeyCorp                               10,525,100
       63,254  M&T Bank Corp.                        10,713,962
      338,729  PacWest Bancorp                       15,727,187
       50,861  Pinnacle Financial Partners,
                  Inc.                                4,918,767
       24,225  PNC Financial Services Group
                  (The), Inc.                         4,990,108
      236,822  Popular, Inc.                         21,117,418
      134,365  Prosperity Bancshares, Inc.            9,842,236
      701,851  Regions Financial Corp.               16,100,462
      101,467  Synovus Financial Corp.                5,048,998
       82,959  Truist Financial Corp.                 5,211,484
       86,474  U.S. Bancorp                           5,031,922
      795,237  Umpqua Holdings Corp.                 16,127,406
       86,985  Webster Financial Corp.                4,941,618
      318,891  Wells Fargo & Co.                     17,156,336
       90,241  Western Alliance Bancorp               8,951,005
       53,481  Wintrust Financial Corp.               5,244,882
      242,246  Zions Bancorp N.A.                    16,429,124
                                                ---------------
                                                    311,852,637
                                                ---------------
               CAPITAL MARKETS -- 25.9%
       93,005  Affiliated Managers Group, Inc.       13,598,261
       50,711  Ameriprise Financial, Inc.            15,431,864
      313,777  Ares Management Corp.,
                  Class A                            25,014,302
      167,260  Bank of New York Mellon (The)
                  Corp.                               9,911,828
      197,082  Blackstone, Inc.                      26,008,912
      464,493  Carlyle Group (The), Inc.             23,712,368
      187,710  Evercore, Inc., Class A               23,429,962
        9,994  FactSet Research Systems, Inc.         4,216,369
      761,436  Franklin Resources, Inc.              24,343,109
       50,790  Goldman Sachs Group (The),
                  Inc.                               18,014,197
    1,107,758  Invesco Ltd.                          25,101,796
      608,024  Janus Henderson Group PLC             22,436,086
      657,230  Jefferies Financial Group, Inc.       24,080,907
       65,198  KKR & Co., Inc.                        4,639,490
      222,658  Lazard Ltd., Class A                   9,716,795
       95,573  LPL Financial Holdings, Inc.          16,469,139
       49,482  Morgan Stanley                         5,073,884
       56,811  Morningstar, Inc.                     16,328,050
      193,518  Raymond James Financial, Inc.         20,487,751
      251,073  SEI Investments Co.                   14,715,389


SHARES         DESCRIPTION                           VALUE
---------------------------------------------------------------
               CAPITAL MARKETS (CONTINUED)
      104,459  State Street Corp.               $     9,871,375
      137,950  Stifel Financial Corp.                10,332,455
       77,808  T. Rowe Price Group, Inc.             12,015,889
      673,915  Virtu Financial, Inc., Class A        20,844,191
                                                ---------------
                                                    395,794,369
                                                ---------------
               CONSUMER FINANCE -- 6.1%
      408,089  Ally Financial, Inc.                  19,474,007
       28,252  Credit Acceptance Corp. (a)           15,243,649
      132,404  Discover Financial Services           15,325,763
      509,605  OneMain Holdings, Inc.                26,326,194
      777,852  SLM Corp.                             14,265,806
       32,103  Upstart Holdings, Inc. (a)             3,499,548
                                                ---------------
                                                     94,134,967
                                                ---------------
               DIVERSIFIED FINANCIAL SERVICES
                  -- 4.7%
      352,073  Apollo Global Management,
                  Inc.                               24,645,131
       85,288  Berkshire Hathaway, Inc.,
                  Class B (a)                        26,696,849
      293,003  Voya Financial, Inc.                  19,912,484
                                                ---------------
                                                     71,254,464
                                                ---------------
               INSURANCE -- 35.9%
      262,036  Aflac, Inc.                           16,461,102
       22,918  Alleghany Corp. (a)                   15,217,552
      216,751  Allstate (The) Corp.                  26,155,343
       70,743  American Financial Group, Inc.         9,216,398
      341,700  American International Group,
                  Inc.                               19,733,175
      437,098  Arch Capital Group Ltd. (a)           20,246,379
      193,518  Assured Guaranty Ltd.                 10,312,574
      178,345  Axis Capital Holdings Ltd.            10,162,098
      276,453  Brown & Brown, Inc.                   18,323,305
      100,509  Chubb Ltd.                            19,828,416
      223,828  Cincinnati Financial Corp.            26,373,653
       55,857  Everest Re Group Ltd.                 15,829,874
      488,703  Fidelity National Financial,
                  Inc.                               24,606,196
      325,969  First American Financial Corp.        24,287,950
      103,654  Globe Life, Inc.                      10,603,804
    5,126,389  GoHealth, Inc., Class A (a)           14,148,834
      116,742  Hanover Insurance Group (The),
                  Inc.                               16,105,726
      281,415  Hartford Financial Services
                  Group (The), Inc.                  20,225,296
      142,318  Lincoln National Corp.                 9,959,414
      336,376  Loews Corp.                           20,068,192
       20,665  Markel Corp. (a)                      25,474,572
       55,888  Marsh & McLennan Cos., Inc.            8,586,632
      480,598  Mercury General Corp.                 26,269,487
      155,456  MetLife, Inc.                         10,424,879
    1,037,453  Old Republic International Corp.      26,589,920
       67,154  Principal Financial Group, Inc.        4,906,271
       47,318  Progressive (The) Corp.                5,141,574
      179,501  Prudential Financial, Inc.            20,026,927
       44,362  Reinsurance Group of America,
                  Inc.                                5,094,089
       28,685  RenaissanceRe Holdings Ltd.            4,508,422


                        See Notes to Financial Statements                Page 31





FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)

PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2022 (UNAUDITED)

SHARES         DESCRIPTION                           VALUE
---------------------------------------------------------------
               COMMON STOCKS (CONTINUED)
               INSURANCE (CONTINUED)
      124,202  Travelers (The) Cos., Inc.       $    20,639,888
      790,761  Unum Group                            20,069,514
       58,954  W.R. Berkley Corp.                     4,981,613
        9,582  White Mountains Insurance
                  Group Ltd.                          9,974,479
       40,904  Willis Towers Watson PLC               9,569,900
                                                ---------------
                                                    550,123,448
                                                ---------------
               MORTGAGE REAL ESTATE INVESTMENT
                  TRUSTS -- 4.2%
    1,291,822  AGNC Investment Corp.                 19,235,230
    3,260,943  Annaly Capital Management,
                  Inc.                               25,761,450
    1,814,099  New Residential Investment
                  Corp.                              19,320,154
                                                ---------------
                                                     64,316,834
                                                ---------------
               THRIFTS & MORTGAGE FINANCE
                  -- 2.7%
    1,768,416  MGIC Investment Corp.                 26,844,555
    1,253,099  New York Community Bancorp,
                  Inc.                               14,611,134
                                                ---------------
                                                     41,455,689
                                                ---------------
               TOTAL COMMON STOCKS
                  -- 99.9%                        1,528,932,408
               (Cost $1,419,777,160)            ---------------

               MONEY MARKET FUNDS -- 0.1%
    1,831,361  Morgan Stanley Institutional
                  Liquidity Funds - Treasury
                  Portfolio - Institutional
                  Class - 0.01% (b)                   1,831,361
               (Cost $1,831,361)                ---------------

               TOTAL INVESTMENTS -- 100.0%        1,530,763,769
               (Cost $1,421,608,521)
               NET OTHER ASSETS AND
                  LIABILITIES -- 0.0%                    24,284
                                                ---------------
               NET ASSETS -- 100.0%             $ 1,530,788,053
                                                ===============

(a)   Non-income producing security.

(b)   Rate shown reflects yield as of January 31, 2022.

-----------------------------

VALUATION INPUTS

A summary of the inputs used to value the Fund's investments as of January 31,
2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):

                                                  LEVEL 2       LEVEL 3
                   TOTAL          LEVEL 1       SIGNIFICANT   SIGNIFICANT
                  VALUE AT         QUOTED       OBSERVABLE    UNOBSERVABLE
                 1/31/2022         PRICES         INPUTS         INPUTS
               -----------------------------------------------------------
Common
  Stocks*      $1,528,932,408  $1,528,932,408  $          --  $         --
Money Market
  Funds             1,831,361       1,831,361             --            --
               -----------------------------------------------------------
Total
  Investments  $1,530,763,769  $1,530,763,769  $          --  $         --
               ===========================================================

* See Portfolio of Investments for industry breakout.


Page 32                 See Notes to Financial Statements





FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH)

PORTFOLIO OF INVESTMENTS
JANUARY 31, 2022 (UNAUDITED)

SHARES         DESCRIPTION                           VALUE
---------------------------------------------------------------
               COMMON STOCKS -- 100.0%
               BIOTECHNOLOGY -- 17.5%
      232,093  AbbVie, Inc.                     $    31,771,211
       37,064  Alnylam Pharmaceuticals,
                  Inc. (a)                            5,100,006
       55,876  Amgen, Inc.                           12,691,675
       78,589  Biogen, Inc. (a)                      17,761,114
      687,645  Exelixis, Inc. (a)                    12,446,375
      346,237  Gilead Sciences, Inc.                 23,779,557
      174,975  Horizon Therapeutics PLC (a)          16,330,417
      171,255  Incyte Corp. (a)                      12,729,384
       74,240  Moderna, Inc. (a)                     12,571,059
       49,761  Regeneron Pharmaceuticals,
                  Inc. (a)                           30,284,047
      738,726  Sage Therapeutics, Inc. (a)           29,120,579
       69,797  Sarepta Therapeutics, Inc. (a)         4,995,371
      116,348  United Therapeutics Corp. (a)         23,487,171
       85,861  Vertex Pharmaceuticals, Inc. (a)      20,868,516
                                                ---------------
                                                    253,936,482
                                                ---------------
               HEALTH CARE EQUIPMENT &
                  SUPPLIES -- 26.3%
      178,630  Abbott Laboratories                   22,768,180
       17,499  ABIOMED, Inc. (a)                      5,177,429
        9,563  Align Technology, Inc. (a)             4,733,302
       73,220  Baxter International, Inc.             6,255,917
       49,984  Becton, Dickinson and Co.             12,702,934
      147,953  Boston Scientific Corp. (a)            6,347,184
       75,013  Cooper (The) Cos., Inc.               29,877,678
      337,968  DENTSPLY SIRONA, Inc.                 18,054,251
       23,410  Dexcom, Inc. (a)                      10,077,537
      145,543  Edwards Lifesciences Corp. (a)        15,893,296
      557,929  Envista Holdings Corp. (a)            24,124,850
      174,101  Globus Medical, Inc.,
                  Class A (a)                        11,617,760
      410,468  Hologic, Inc. (a)                     28,831,272
       52,963  ICU Medical, Inc. (a)                 11,300,186
        9,546  IDEXX Laboratories, Inc. (a)           4,842,686
      187,643  Integra LifeSciences Holdings
                  Corp. (a)                          12,148,008
       34,985  Intuitive Surgical, Inc. (a)           9,942,037
       21,467  Masimo Corp. (a)                       4,719,949
      182,264  Medtronic PLC                         18,862,501
       65,626  Penumbra, Inc. (a)                    14,832,132
      232,798  Quidel Corp. (a)                      24,062,001
       24,129  ResMed, Inc.                           5,515,889
      103,285  STERIS PLC                            23,177,154
       23,502  Stryker Corp.                          5,829,671
      208,779  Tandem Diabetes Care, Inc. (a)        24,658,888
       19,134  Teleflex, Inc.                         5,935,175
      148,421  Zimmer Biomet Holdings, Inc.          18,258,751
                                                ---------------
                                                    380,546,618
                                                ---------------
               HEALTH CARE PROVIDERS & SERVICES
                  -- 25.6%
      207,087  Acadia Healthcare Co., Inc. (a)       10,903,131
      116,476  Amedisys, Inc. (a)                    15,735,908
       40,677  Anthem, Inc.                          17,938,150
      122,065  Cardinal Health, Inc.                  6,294,892
       76,276  Centene Corp. (a)                      5,931,222


SHARES         DESCRIPTION                           VALUE
---------------------------------------------------------------
               HEALTH CARE PROVIDERS & SERVICES
                  (CONTINUED)
       23,760  Chemed Corp.                     $    11,141,302
      136,853  Cigna Corp.                           31,539,142
      110,496  DaVita, Inc. (a)                      11,974,452
      385,234  Encompass Health Corp.                23,899,917
      122,315  HCA Healthcare, Inc.                  29,361,716
      324,265  Henry Schein, Inc. (a)                24,417,154
       40,649  Humana, Inc.                          15,954,732
      100,014  Laboratory Corp. of America
                  Holdings (a)                       27,139,799
       98,798  Molina Healthcare, Inc. (a)           28,698,843
      610,647  Premier, Inc., Class A                23,338,928
      181,640  Quest Diagnostics, Inc.               24,525,033
       62,582  UnitedHealth Group, Inc.              29,574,376
      242,368  Universal Health Services, Inc.,
                  Class B                            31,522,382
                                                ---------------
                                                    369,891,079
                                                ---------------
               HEALTH CARE TECHNOLOGY -- 0.4%
       67,677  Cerner Corp.                           6,172,142
                                                ---------------
               LIFE SCIENCES TOOLS & SERVICES
                  -- 18.1%
       39,368  Agilent Technologies, Inc.             5,484,750
      596,591  Avantor, Inc. (a)                     22,270,742
       41,591  Bio-Rad Laboratories, Inc.,
                  Class A (a)                        24,943,370
       36,447  Bio-Techne Corp.                      13,719,015
      224,707  Bruker Corp.                          14,965,486
       16,680  Charles River Laboratories
                  International, Inc. (a)             5,500,397
       76,412  Danaher Corp.                         21,837,786
      111,383  IQVIA Holdings, Inc. (a)              27,277,697
      300,005  Maravai LifeSciences Holdings,
                  Inc., Class A (a)                   8,676,145
       93,779  PerkinElmer, Inc.                     16,145,930
      339,246  QIAGEN N.V. (a)                       16,789,285
       71,194  Repligen Corp. (a)                    14,120,618
      244,841  Syneos Health, Inc. (a)               22,172,801
       47,097  Thermo Fisher Scientific, Inc.        27,377,486
       53,602  West Pharmaceutical Services,
                  Inc.                               21,077,378
                                                ---------------
                                                    262,358,886
                                                ---------------
               PHARMACEUTICALS -- 12.1%
       98,181  Catalent, Inc. (a)                    10,203,951
       91,016  Eli Lilly & Co.                       22,334,416
       49,335  Jazz Pharmaceuticals PLC (a)           6,853,125
       73,481  Johnson & Johnson                     12,660,042
      164,016  Merck & Co., Inc.                     13,364,024
      825,627  Organon & Co.                         26,345,758
      425,747  Pfizer, Inc.                          22,432,609
      315,437  Royalty Pharma PLC, Class A           12,620,634
    1,858,118  Viatris, Inc.                         27,816,027
      103,022  Zoetis, Inc.                          20,582,765
                                                ---------------
                                                    175,213,351
                                                ---------------
               TOTAL COMMON STOCKS
                  -- 100.0%                       1,448,118,558
               (Cost $1,326,614,037)            ---------------


                        See Notes to Financial Statements                Page 33





FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH)

PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2022 (UNAUDITED)

SHARES         DESCRIPTION                           VALUE
---------------------------------------------------------------
               MONEY MARKET FUNDS -- 0.0%
      599,834  Morgan Stanley Institutional
                  Liquidity Funds - Treasury
                  Portfolio - Institutional
                  Class - 0.01% (b)             $       599,834
               (Cost $599,834)                  ---------------

               TOTAL INVESTMENTS -- 100.0%        1,448,718,392
               (Cost $1,327,213,871)
               NET OTHER ASSETS AND
                  LIABILITIES -- (0.0)%                (255,800)
                                                ---------------
               NET ASSETS -- 100.0%             $ 1,448,462,592
                                                ===============

(a)   Non-income producing security.

(b)   Rate shown reflects yield as of January 31, 2022.

-----------------------------

VALUATION INPUTS

A summary of the inputs used to value the Fund's investments as of January 31,
2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):

                                                  LEVEL 2       LEVEL 3
                   TOTAL          LEVEL 1       SIGNIFICANT   SIGNIFICANT
                  VALUE AT         QUOTED       OBSERVABLE    UNOBSERVABLE
                 1/31/2022         PRICES         INPUTS         INPUTS
               -----------------------------------------------------------
Common
  Stocks*      $1,448,118,558  $1,448,118,558  $          --  $         --
Money Market
  Funds               599,834         599,834             --            --
               -----------------------------------------------------------
Total
  Investments  $1,448,718,392  $1,448,718,392  $          --  $         --
               ===========================================================

* See Portfolio of Investments for industry breakout.


Page 34                 See Notes to Financial Statements





FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)

PORTFOLIO OF INVESTMENTS
JANUARY 31, 2022 (UNAUDITED)

SHARES         DESCRIPTION                           VALUE
---------------------------------------------------------------
               COMMON STOCKS -- 100.0%
               AEROSPACE & DEFENSE -- 6.7%
      197,084  BWX Technologies, Inc.           $     8,772,209
      105,999  Curtiss-Wright Corp.                  14,075,607
       70,510  General Dynamics Corp.                14,955,171
      101,064  Huntington Ingalls Industries,
                  Inc.                               18,919,181
       68,931  L3Harris Technologies, Inc.           14,426,569
       26,550  Lockheed Martin Corp.                 10,331,402
       37,976  Northrop Grumman Corp.                14,047,322
      109,648  Raytheon Technologies Corp.            9,889,153
      122,234  Textron, Inc.                          8,319,246
       43,104  Woodward, Inc.                         4,753,078
                                                ---------------
                                                    118,488,938
                                                ---------------
               AIR FREIGHT & LOGISTICS -- 4.3%
      227,615  C.H. Robinson Worldwide, Inc.         23,819,910
      182,429  Expeditors International of
                  Washington, Inc.                   20,884,472
       72,970  FedEx Corp.                           17,940,404
       68,579  United Parcel Service, Inc.,
                  Class B                            13,867,359
                                                ---------------
                                                     76,512,145
                                                ---------------
               BUILDING PRODUCTS -- 9.9%
       54,958  A.O. Smith Corp.                       4,199,890
      179,963  Advanced Drainage Systems,
                  Inc.                               20,352,016
       35,626  Allegion PLC                           4,372,379
      126,585  Armstrong World Industries, Inc.      12,534,447
      317,884  AZEK (The) Co., Inc. (a)              10,499,708
      285,828  Builders FirstSource, Inc. (a)        19,433,446
       98,737  Carlisle Cos., Inc.                   22,061,795
      271,000  Carrier Global Corp.                  12,921,280
      176,546  Fortune Brands Home &
                  Security, Inc.                     16,625,337
      270,698  Owens Corning                         24,010,913
       72,755  Trane Technologies PLC                12,593,890
      181,429  Trex Co., Inc. (a)                    16,595,311
                                                ---------------
                                                    176,200,412
                                                ---------------
               CHEMICALS -- 4.1%
      443,810  Axalta Coating Systems Ltd. (a)       13,141,214
      233,632  DuPont de Nemours, Inc.               17,896,211
       85,242  PPG Industries, Inc.                  13,314,800
      145,535  RPM International, Inc.               12,895,856
       53,591  Sherwin-Williams (The) Co.            15,354,358
                                                ---------------
                                                     72,602,439
                                                ---------------
               COMMERCIAL SERVICES & SUPPLIES
                  -- 0.7%
    1,122,043  ADT, Inc.                              8,516,306
       10,645  Cintas Corp.                           4,167,837
                                                ---------------
                                                     12,684,143
                                                ---------------
               CONSTRUCTION & ENGINEERING
                  -- 1.7%
      204,518  MasTec, Inc. (a)                      17,615,136
       82,299  Quanta Services, Inc.                  8,453,753
       18,836  Valmont Industries, Inc.               4,091,744
                                                ---------------
                                                     30,160,633
                                                ---------------


SHARES         DESCRIPTION                           VALUE
---------------------------------------------------------------
               CONSTRUCTION MATERIALS -- 1.0%
       88,305  Eagle Materials, Inc.            $    12,879,284
       10,709  Martin Marietta Materials, Inc.        4,167,086
                                                ---------------
                                                     17,046,370
                                                ---------------
               CONSUMER FINANCE -- 2.9%
       28,840  American Express Co.                   5,186,009
      168,850  Capital One Financial Corp.           24,775,360
      528,095  Synchrony Financial                   22,491,566
                                                ---------------
                                                     52,452,935
                                                ---------------
               CONTAINERS & PACKAGING -- 7.9%
      785,711  Amcor PLC                              9,436,389
       38,523  AptarGroup, Inc.                       4,518,748
       98,019  Ball Corp.                             9,517,645
      255,798  Berry Global Group, Inc. (a)          17,245,901
       85,305  Crown Holdings, Inc.                   9,758,892
      483,917  Graphic Packaging Holding Co.          9,150,870
      138,617  Packaging Corp. of America            20,879,879
      279,721  Sealed Air Corp.                      18,998,650
      343,114  Silgan Holdings, Inc.                 15,364,645
      552,262  Westrock Co.                          25,492,414
                                                ---------------
                                                    140,364,033
                                                ---------------
               ELECTRICAL EQUIPMENT -- 4.9%
       69,427  Acuity Brands, Inc.                   13,297,353
       32,087  AMETEK, Inc.                           4,388,539
       27,300  Eaton Corp. PLC                        4,325,139
      101,499  Emerson Electric Co.                   9,332,833
       22,655  Hubbell, Inc.                          4,243,055
      248,327  nVent Electric PLC                     8,589,631
      143,955  Regal Rexnord Corp.                   22,813,989
       42,137  Rockwell Automation, Inc.             12,186,863
      152,966  Sensata Technologies Holding
                  PLC (a)                             8,774,130
                                                ---------------
                                                     87,951,532
                                                ---------------
               ELECTRONIC EQUIPMENT, INSTRUMENTS
                  & COMPONENTS -- 3.5%
       35,405  Coherent, Inc. (a)                     9,151,485
       91,390  Keysight Technologies, Inc. (a)       15,428,460
       29,988  Littelfuse, Inc.                       8,095,860
      478,327  Vontier Corp.                         13,445,772
       31,709  Zebra Technologies Corp.,
                  Class A (a)                        16,143,686
                                                ---------------
                                                     62,265,263
                                                ---------------
               HOUSEHOLD DURABLES -- 2.4%
      134,474  Mohawk Industries, Inc. (a)           21,229,410
       88,790  TopBuild Corp. (a)                    20,656,994
                                                ---------------
                                                     41,886,404
                                                ---------------
               INDUSTRIAL CONGLOMERATES -- 1.0%
       82,752  3M Co.                                13,738,487
       22,628  Honeywell International, Inc.          4,626,973
                                                ---------------
                                                     18,365,460
                                                ---------------
               IT SERVICES -- 7.7%
       59,096  Accenture PLC, Class A                20,895,164
      368,008  Alliance Data Systems Corp.           25,407,272
       59,612  Automatic Data Processing, Inc.       12,290,206


                        See Notes to Financial Statements                Page 35





FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)

PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2022 (UNAUDITED)

SHARES         DESCRIPTION                           VALUE
---------------------------------------------------------------
               COMMON STOCKS (CONTINUED)
               IT SERVICES (CONTINUED)
       86,455  Fidelity National Information
                  Services, Inc.                $    10,367,684
       90,919  Fiserv, Inc. (a)                       9,610,138
       21,077  FleetCor Technologies, Inc. (a)        5,021,806
      177,777  Genpact Ltd.                           8,844,406
      108,737  Global Payments, Inc.                 16,297,502
       28,255  Jack Henry & Associates, Inc.          4,741,471
      107,684  Paychex, Inc.                         12,680,868
      528,946  Western Union (The) Co.               10,002,369
                                                ---------------
                                                    136,158,886
                                                ---------------
               LEISURE PRODUCTS -- 1.2%
      187,361  Brunswick Corp.                       17,010,505
      179,877  Hayward Holdings, Inc. (a)             3,541,778
                                                ---------------
                                                     20,552,283
                                                ---------------
               LIFE SCIENCES TOOLS & SERVICES
                  -- 1.1%
       11,119  Mettler-Toledo International,
                  Inc. (a)                           16,374,729
       12,664  Waters Corp. (a)                       4,054,000
                                                ---------------
                                                     20,428,729
                                                ---------------
               MACHINERY -- 17.3%
      211,156  AGCO Corp.                            24,747,483
      519,196  Allison Transmission Holdings,
                  Inc.                               19,724,256
       22,821  Caterpillar, Inc.                      4,599,801
      102,637  Colfax Corp. (a)                       4,220,433
      185,519  Crane Co.                             19,203,072
       86,518  Cummins, Inc.                         19,110,096
       13,759  Deere & Co.                            5,178,888
      159,237  Donaldson Co., Inc.                    8,863,131
       25,980  Dover Corp.                            4,414,262
      308,378  Flowserve Corp.                       10,059,290
      247,382  Fortive Corp.                         17,450,326
    1,186,221  Gates Industrial Corp. PLC (a)        18,350,839
       58,523  Graco, Inc.                            4,246,429
       38,234  Illinois Tool Works, Inc.              8,943,697
       33,829  Lincoln Electric Holdings, Inc.        4,324,699
       95,918  Middleby (The) Corp. (a)              17,764,014
       18,483  Nordson Corp.                          4,298,037
      167,444  Oshkosh Corp.                         19,056,802
      213,832  PACCAR, Inc.                          19,884,238
       29,662  Parker-Hannifin Corp.                  9,195,517
      129,212  Pentair PLC                            8,230,804
      113,745  Snap-on, Inc.                         23,687,396
      100,058  Stanley Black & Decker, Inc.          17,475,130
       47,225  Toro (The) Co.                         4,560,990
      102,448  Westinghouse Air Brake
                  Technologies Corp.                  9,107,627
                                                ---------------
                                                    306,697,257
                                                ---------------
               MULTI-UTILITIES -- 1.0%
      611,958  MDU Resources Group, Inc.             17,973,206
                                                ---------------
               PAPER & FOREST PRODUCTS -- 1.2%
      312,677  Louisiana-Pacific Corp.               20,774,260
                                                ---------------


SHARES         DESCRIPTION                           VALUE
---------------------------------------------------------------
               PROFESSIONAL SERVICES -- 4.2%
       64,459  Equifax, Inc.                    $    15,454,690
       95,809  FTI Consulting, Inc. (a)              13,969,910
      151,023  ManpowerGroup, Inc.                   15,837,782
      219,676  Robert Half International, Inc.       24,880,504
       20,629  Verisk Analytics, Inc.                 4,045,966
                                                ---------------
                                                     74,188,852
                                                ---------------
               ROAD & RAIL -- 9.7%
      250,967  CSX Corp.                              8,588,091
      119,855  J.B. Hunt Transport Services,
                  Inc.                               23,076,882
      402,007  Knight-Swift Transportation
                  Holdings, Inc.                     22,745,556
      138,388  Landstar System, Inc.                 22,142,080
       15,849  Norfolk Southern Corp.                 4,310,770
       68,358  Old Dominion Freight Line, Inc.       20,639,331
      297,201  Ryder System, Inc.                    21,752,141
      910,379  Schneider National, Inc.,
                  Class B                            23,305,702
       37,457  Union Pacific Corp.                    9,160,109
      243,739  XPO Logistics, Inc. (a)               16,128,210
                                                ---------------
                                                    171,848,872
                                                ---------------
               SEMICONDUCTORS & SEMICONDUCTOR
                  EQUIPMENT -- 0.9%
      108,357  MKS Instruments, Inc.                 16,831,093
                                                ---------------
               SOFTWARE -- 0.6%
       58,997  Bill.com Holdings, Inc. (a)           11,103,825
                                                ---------------
               TRADING COMPANIES &
                  DISTRIBUTORS -- 4.1%
      553,885  Air Lease Corp.                       22,050,162
      174,863  MSC Industrial Direct Co., Inc.,
                  Class A                            14,275,815
       44,235  United Rentals, Inc. (a)              14,160,508
       36,416  W.W. Grainger, Inc.                   18,029,926
       15,081  Watsco, Inc.                           4,261,288
                                                ---------------
                                                     72,777,699
                                                ---------------
               TOTAL COMMON
                  STOCKS -- 100.0%                1,776,315,669
               (Cost $1,726,711,000)            ---------------

               MONEY MARKET FUNDS -- 0.0%
      772,062  Morgan Stanley Institutional
                  Liquidity Funds - Treasury
                  Portfolio - Institutional
                  Class - 0.01% (b)                     772,062
               (Cost $772,062)                  ---------------

               TOTAL INVESTMENTS -- 100.0%        1,777,087,731
               (Cost $1,727,483,062)
               NET OTHER ASSETS AND
                  LIABILITIES -- (0.0)%                (627,344)
                                                ---------------
               NET ASSETS -- 100.0%             $ 1,776,460,387
                                                ===============

(a)   Non-income producing security.

(b)   Rate shown reflects yield as of January 31, 2022.


Page 36                 See Notes to Financial Statements





FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)

PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2022 (UNAUDITED)

-----------------------------

VALUATION INPUTS

A summary of the inputs used to value the Fund's investments as of January 31,
2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):

                                                  LEVEL 2       LEVEL 3
                   TOTAL          LEVEL 1       SIGNIFICANT   SIGNIFICANT
                  VALUE AT         QUOTED       OBSERVABLE    UNOBSERVABLE
                 1/31/2022         PRICES         INPUTS         INPUTS
               -----------------------------------------------------------
Common
  Stocks*      $1,776,315,669  $1,776,315,669  $          --  $         --
Money Market
  Funds               772,062         772,062             --            --
               -----------------------------------------------------------
Total
  Investments  $1,777,087,731  $1,777,087,731  $          --  $         --
               ===========================================================

* See Portfolio of Investments for industry breakout.


                        See Notes to Financial Statements                Page 37





FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ)

PORTFOLIO OF INVESTMENTS
JANUARY 31, 2022 (UNAUDITED)

SHARES         DESCRIPTION                           VALUE
---------------------------------------------------------------
               COMMON STOCKS -- 99.9%
               AEROSPACE & DEFENSE -- 0.9%
       84,412  Hexcel Corp. (a)                 $     4,403,774
                                                ---------------
               CHEMICALS -- 48.4%
       32,848  Air Products and Chemicals, Inc.       9,267,078
       18,704  Albemarle Corp.                        4,128,721
       92,832  Ashland Global Holdings, Inc.          8,915,585
      118,938  Celanese Corp.                        18,519,836
       61,776  CF Industries Holdings, Inc.           4,254,513
      390,869  Chemours (The) Co.                    12,785,325
      352,410  Dow, Inc.                             21,049,449
       82,659  Eastman Chemical Co.                   9,830,635
       18,639  Ecolab, Inc.                           3,531,158
      411,628  Element Solutions, Inc.                9,236,932
       39,790  FMC Corp.                              4,391,622
      573,070  Huntsman Corp.                        20,533,098
       29,025  International Flavors &
                  Fragrances, Inc.                    3,828,978
      270,908  LyondellBasell Industries N.V.,
                  Class A                            26,204,931
      508,747  Mosaic (The) Co.                      20,324,443
       29,162  NewMarket Corp.                        9,858,797
      434,385  Olin Corp.                            22,010,288
       27,159  Scotts Miracle-Gro (The) Co.           4,106,441
      117,257  Valvoline, Inc.                        3,862,446
      257,241  Westlake Chemical Corp.               25,376,825
                                                ---------------
                                                    242,017,101
                                                ---------------
               CONTAINERS & PACKAGING -- 4.6%
       46,148  Avery Dennison Corp.                   9,479,722
      279,216  International Paper Co.               13,472,172
                                                ---------------
                                                     22,951,894
                                                ---------------
               MACHINERY -- 2.5%
      189,314  Timken (The) Co.                      12,646,175
                                                ---------------
               METALS & MINING -- 35.0%
      220,167  Alcoa Corp.                           12,485,671
      918,175  Cleveland-Cliffs, Inc. (a)            15,737,520
      479,000  Freeport-McMoRan, Inc.                17,828,380
      211,505  Newmont Corp.                         12,937,761
      218,886  Nucor Corp.                           22,195,040
      154,024  Reliance Steel & Aluminum Co.         23,547,189
      124,679  Royal Gold, Inc.                      12,661,152
      212,567  Southern Copper Corp.                 13,580,906
      402,543  Steel Dynamics, Inc.                  22,349,187
    1,049,384  United States Steel Corp.             21,743,237
                                                ---------------
                                                    175,066,043
                                                ---------------
               PAPER & FOREST PRODUCTS -- 4.3%
      716,697  Sylvamo Corp. (a)                     21,350,404
                                                ---------------
               TRADING COMPANIES &
                  DISTRIBUTORS -- 4.2%
      156,015  Fastenal Co.                           8,842,930
      462,701  Univar Solutions, Inc. (a)            12,261,577
                                                ---------------
                                                     21,104,507
                                                ---------------
               TOTAL COMMON STOCKS
                  -- 99.9%                          499,539,898
               (Cost $472,334,030)              ---------------


SHARES         DESCRIPTION                           VALUE
---------------------------------------------------------------
               MONEY MARKET FUNDS -- 0.1%
      394,727  Morgan Stanley Institutional
                  Liquidity Funds - Treasury
                  Portfolio - Institutional
                  Class - 0.01% (b)             $       394,727
               (Cost $394,727)                  ---------------

               TOTAL INVESTMENTS -- 100.0%          499,934,625
               (Cost $472,728,757)
               NET OTHER ASSETS AND
                  LIABILITIES -- (0.0)%                 (88,532)
                                                ---------------
               NET ASSETS -- 100.0%             $   499,846,093
                                                ===============

(a)   Non-income producing security.

(b)   Rate shown reflects yield as of January 31, 2022.

-----------------------------

VALUATION INPUTS

A summary of the inputs used to value the Fund's investments as of January 31,
2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):

                                                  LEVEL 2       LEVEL 3
                   TOTAL          LEVEL 1       SIGNIFICANT   SIGNIFICANT
                  VALUE AT         QUOTED       OBSERVABLE    UNOBSERVABLE
                 1/31/2022         PRICES         INPUTS         INPUTS
               -----------------------------------------------------------
Common
  Stocks*      $  499,539,898  $  499,539,898  $          --  $         --
Money Market
  Funds               394,727         394,727             --            --
               -----------------------------------------------------------
Total
  Investments  $  499,934,625  $  499,934,625  $          --  $         --
               ===========================================================

* See Portfolio of Investments for industry breakout.


Page 38                 See Notes to Financial Statements





FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL)

PORTFOLIO OF INVESTMENTS
JANUARY 31, 2022 (UNAUDITED)

SHARES         DESCRIPTION                           VALUE
---------------------------------------------------------------
               COMMON STOCKS -- 100.1%
               COMMUNICATIONS EQUIPMENT
                  -- 0.3%
       21,805  F5, Inc. (a)                     $     4,527,154
                                                ---------------
               ELECTRONIC EQUIPMENT, INSTRUMENTS
                  & COMPONENTS -- 11.0%
      244,085  Amphenol Corp., Class A               19,426,725
      208,204  Arrow Electronics, Inc. (a)           25,817,296
      678,052  Avnet, Inc.                           27,366,179
      104,246  CDW Corp.                             19,707,706
      573,411  Corning, Inc.                         24,106,198
       62,001  IPG Photonics Corp. (a)                9,577,295
      397,388  Jabil, Inc.                           24,435,388
      122,221  National Instruments Corp.             5,037,950
      186,677  TD SYNNEX Corp.                       19,520,814
                                                ---------------
                                                    174,995,551
                                                ---------------
               HEALTH CARE TECHNOLOGY -- 0.6%
      499,261  Change Healthcare, Inc. (a)            9,825,456
                                                ---------------
               INDUSTRIAL CONGLOMERATES -- 0.3%
       10,855  Roper Technologies, Inc.               4,745,372
                                                ---------------
               INTERACTIVE MEDIA & SERVICES
                  -- 3.7%
        7,375  Alphabet, Inc., Class A (a)           19,957,266
      213,874  IAC/InterActiveCorp. (a)              29,202,356
       31,736  Meta Platforms, Inc.,
                  Class A (a)                         9,941,619
                                                ---------------
                                                     59,101,241
                                                ---------------
               INTERNET & DIRECT MARKETING
                  RETAIL -- 0.3%
       35,838  DoorDash, Inc., Class A (a)            4,067,254
                                                ---------------
               IT SERVICES -- 15.3%
      136,805  Akamai Technologies, Inc. (a)         15,671,013
      373,541  Amdocs Ltd.                           28,348,026
      162,343  Cloudflare, Inc., Class A (a)         15,649,865
      180,471  Cognizant Technology Solutions
                  Corp., Class A                     15,415,833
       89,637  Concentrix Corp.                      18,016,141
      663,196  DXC Technology Co. (a)                19,948,936
       41,820  EPAM Systems, Inc. (a)                19,912,175
       47,894  Gartner, Inc. (a)                     14,075,568
       67,962  Globant S.A. (a)                      17,342,543
      125,781  GoDaddy, Inc., Class A (a)             9,522,879
       79,855  International Business Machines
                  Corp.                              10,666,232
       40,332  MongoDB, Inc. (a)                     16,338,897
       23,812  Okta, Inc. (a)                         4,712,157
       47,266  Snowflake, Inc., Class A (a)          13,040,689
      559,041  Switch, Inc., Class A                 14,328,221
      199,069  Thoughtworks Holding, Inc. (a)         4,264,058
       21,024  VeriSign, Inc. (a)                     4,565,992
                                                ---------------
                                                    241,819,225
                                                ---------------
               PROFESSIONAL SERVICES -- 4.1%
       79,293  CACI International, Inc.,
                  Class A (a)                        19,621,846
      226,918  Clarivate PLC (a)                      3,735,070
      520,937  Dun & Bradstreet Holdings,
                  Inc. (a)                           10,449,996


SHARES         DESCRIPTION                           VALUE
---------------------------------------------------------------
               PROFESSIONAL SERVICES (CONTINUED)
      180,098  Leidos Holdings, Inc.            $    16,109,766
      191,546  Science Applications
                  International Corp.                15,712,519
                                                ---------------
                                                     65,629,197
                                                ---------------
               SEMICONDUCTORS & SEMICONDUCTOR
                  EQUIPMENT -- 25.9%
      194,279  Advanced Micro Devices,
                  Inc. (a)                           22,196,376
      442,545  Allegro MicroSystems, Inc. (a)        12,559,427
       60,725  Analog Devices, Inc.                   9,957,078
      135,669  Applied Materials, Inc.               18,746,742
       32,079  Broadcom, Inc.                        18,794,445
      173,999  Cirrus Logic, Inc. (a)                15,562,471
      115,535  Entegris, Inc.                        13,845,714
      542,826  Intel Corp.                           26,500,765
       64,991  KLA Corp.                             25,299,047
       29,684  Lam Research Corp.                    17,511,185
      183,906  Microchip Technology, Inc.            14,249,037
      300,118  Micron Technology, Inc.               24,690,708
       32,459  Monolithic Power Systems, Inc.        13,078,705
       95,053  NVIDIA Corp.                          23,274,678
       70,294  NXP Semiconductors N.V.               14,441,199
      411,598  ON Semiconductor Corp. (a)            24,284,282
      136,512  Qorvo, Inc. (a)                       18,740,367
      152,872  QUALCOMM, Inc.                        26,868,783
      137,614  Skyworks Solutions, Inc.              20,163,203
      130,551  Teradyne, Inc.                        15,330,604
       56,630  Texas Instruments, Inc.               10,164,519
       32,335  Universal Display Corp.                4,963,746
      100,682  Xilinx, Inc.                          19,487,001
                                                ---------------
                                                    410,710,082
                                                ---------------
               SOFTWARE -- 27.3%
        9,409  Adobe, Inc. (a)                        5,027,229
       26,604  ANSYS, Inc. (a)                        9,045,626
      105,203  Aspen Technology, Inc. (a)            15,797,282
       41,998  Atlassian Corp. PLC, Class A (a)      13,621,631
       18,987  Autodesk, Inc. (a)                     4,742,763
       64,392  Black Knight, Inc. (a)                 4,803,643
       85,919  Cadence Design Systems,
                  Inc. (a)                           13,071,717
      255,724  CDK Global, Inc.                      10,988,460
       56,422  Citrix Systems, Inc.                   5,751,659
       26,064  Crowdstrike Holdings, Inc.,
                  Class A (a)                         4,708,201
      156,960  Datadog, Inc., Class A (a)            22,933,426
      168,143  Dolby Laboratories, Inc.,
                  Class A                            14,771,362
      217,488  Dropbox, Inc., Class A (a)             5,382,828
       88,441  Dynatrace, Inc. (a)                    4,851,873
       77,786  Fortinet, Inc. (a)                    23,121,111
       16,193  HubSpot, Inc. (a)                      7,915,138
       33,188  Intuit, Inc.                          18,426,973
      280,818  Jamf Holding Corp. (a)                 9,283,843
       34,327  Manhattan Associates, Inc. (a)         4,595,355
      620,824  McAfee Corp., Class A                 15,924,136
       63,477  Microsoft Corp.                       19,740,077
      132,756  NCR Corp. (a)                          5,052,693


                        See Notes to Financial Statements                Page 39





FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL)

PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2022 (UNAUDITED)

SHARES         DESCRIPTION                           VALUE
---------------------------------------------------------------
               COMMON STOCKS (CONTINUED)
               SOFTWARE (CONTINUED)
      194,140  New Relic, Inc. (a)              $    20,411,880
      410,860  NortonLifeLock, Inc.                  10,686,469
      122,396  Oracle Corp.                           9,933,659
       38,344  Palo Alto Networks, Inc. (a)          19,839,186
       12,846  Paycom Software, Inc. (a)              4,307,264
       44,056  PTC, Inc. (a)                          5,121,951
       20,997  salesforce.com, Inc. (a)               4,884,532
       16,442  ServiceNow, Inc. (a)                   9,631,395
      137,823  Smartsheet, Inc., Class A (a)          8,575,347
      130,203  SS&C Technologies Holdings,
                  Inc.                               10,399,314
       43,448  Synopsys, Inc. (a)                    13,490,604
      251,329  Teradata Corp. (a)                    10,138,612
       29,768  Tyler Technologies, Inc. (a)          14,104,078
       74,654  Unity Software, Inc. (a)               7,849,868
       92,111  VMware, Inc., Class A                 11,834,421
       39,068  Workday, Inc., Class A (a)             9,884,595
       87,000  Zscaler, Inc. (a)                     22,368,570
                                                ---------------
                                                    433,018,771
                                                ---------------
               SPECIALTY RETAIL -- 0.3%
      494,631  Vroom, Inc. (a)                        3,966,941
                                                ---------------
               TECHNOLOGY HARDWARE, STORAGE &
                  PERIPHERALS -- 11.0%
      120,224  Apple, Inc.                           21,012,751
      285,052  Dell Technologies, Inc.,
                  Class C (a)                        16,193,804
    1,772,731  Hewlett Packard Enterprise Co.        28,948,697
      742,122  HP, Inc.                              27,258,141
      116,030  NetApp, Inc.                          10,037,755
      858,857  Pure Storage, Inc., Class A (a)       22,751,122
      428,711  Western Digital Corp. (a)             22,181,507
    1,234,795  Xerox Holdings Corp.                  26,066,523
                                                ---------------
                                                    174,450,300
                                                ---------------
               TOTAL COMMON STOCKS
                  -- 100.1%                       1,586,856,544
               (Cost $1,475,993,513)            ---------------

               MONEY MARKET FUNDS -- 0.0%
      671,061  Morgan Stanley Institutional
                  Liquidity Funds - Treasury
                  Portfolio - Institutional
                  Class - 0.01% (b)                     671,061
               (Cost $671,061)                  ---------------

               TOTAL INVESTMENTS -- 100.1%        1,587,527,605
               (Cost $1,476,664,574)
               NET OTHER ASSETS AND
                  LIABILITIES -- (0.1)%                (984,250)
                                                ---------------
               NET ASSETS -- 100.0%             $ 1,586,543,355
                                                ===============

(a)   Non-income producing security.

(b)   Rate shown reflects yield as of January 31, 2022.

-----------------------------

VALUATION INPUTS

A summary of the inputs used to value the Fund's investments as of January 31,
2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):

                                                  LEVEL 2       LEVEL 3
                   TOTAL          LEVEL 1       SIGNIFICANT   SIGNIFICANT
                  VALUE AT         QUOTED       OBSERVABLE    UNOBSERVABLE
                 1/31/2022         PRICES         INPUTS         INPUTS
               -----------------------------------------------------------
Common
  Stocks*      $1,586,856,544  $1,586,856,544  $          --  $         --
Money Market
  Funds               671,061         671,061             --            --
               -----------------------------------------------------------
Total
  Investments  $1,587,527,605  $1,587,527,605  $          --  $         --
               ===========================================================

* See Portfolio of Investments for industry breakout.


Page 40                 See Notes to Financial Statements





FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU)

PORTFOLIO OF INVESTMENTS
JANUARY 31, 2022 (UNAUDITED)

SHARES         DESCRIPTION                         VALUE
---------------------------------------------------------------
               COMMON STOCKS -- 99.9%
               COMMERCIAL SERVICES & SUPPLIES
                  -- 7.0%
       49,180  Clean Harbors, Inc. (a)          $     4,551,609
       11,729  Republic Services, Inc.                1,497,324
       27,424  Stericycle, Inc. (a)                   1,610,886
       39,199  Waste Management, Inc.                 5,897,098
                                                ---------------
                                                     13,556,917
                                                ---------------
               ELECTRIC UTILITIES -- 58.4%
       79,823  Alliant Energy Corp.                   4,778,205
       91,917  American Electric Power Co.,
                  Inc.                                8,309,297
      131,161  Avangrid, Inc. (b)                     6,127,842
       62,367  Duke Energy Corp.                      6,552,277
       71,894  Edison International                   4,514,224
       72,596  Entergy Corp.                          8,114,055
      119,194  Evergy, Inc.                           7,742,842
       35,954  Eversource Energy                      3,217,523
      141,584  Exelon Corp.                           8,204,793
       78,653  FirstEnergy Corp.                      3,300,280
      118,235  Hawaiian Electric Industries,
                  Inc.                                5,024,987
       43,303  IDACORP, Inc.                          4,772,857
       17,519  NextEra Energy, Inc.                   1,368,584
      189,830  NRG Energy, Inc.                       7,579,912
      213,076  OGE Energy Corp.                       8,079,842
      538,905  PG&E Corp. (a)                         6,892,595
      115,851  Pinnacle West Capital Corp.            8,064,388
       54,411  PPL Corp.                              1,614,918
       47,699  Southern (The) Co.                     3,314,604
       72,477  Xcel Energy, Inc.                      5,048,748
                                                ---------------
                                                    112,622,773
                                                ---------------
               ELECTRICAL EQUIPMENT -- 0.6%
       47,685  Sunrun, Inc. (a)                       1,236,472
                                                ---------------
               GAS UTILITIES -- 10.9%
       62,445  Atmos Energy Corp.                     6,695,353
      102,319  National Fuel Gas Co.                  6,213,833
      178,129  UGI Corp.                              8,078,150
                                                ---------------
                                                     20,987,336
                                                ---------------
               INDEPENDENT POWER AND RENEWABLE
                  ELECTRICITY PRODUCERS -- 0.8%
       67,308  AES (The) Corp.                        1,492,891
                                                ---------------
               MULTI-UTILITIES -- 20.7%
       55,126  Ameren Corp.                           4,891,881
      234,408  CenterPoint Energy, Inc.               6,647,811
       50,287  CMS Energy Corp.                       3,237,477
       76,680  Consolidated Edison, Inc.              6,628,986
       41,639  Dominion Energy, Inc.                  3,358,602
       27,365  DTE Energy Co.                         3,295,567
      177,716  NiSource, Inc.                         5,185,753
       24,729  Sempra Energy                          3,416,558
       33,699  WEC Energy Group, Inc.                 3,270,151
                                                ---------------
                                                     39,932,786
                                                ---------------


SHARES         DESCRIPTION                           VALUE
---------------------------------------------------------------
               WATER UTILITIES -- 1.5%
        8,660  American Water Works Co., Inc.   $     1,392,528
       30,463  Essential Utilities, Inc.              1,484,767
                                                ---------------
                                                      2,877,295
                                                ---------------
               TOTAL COMMON STOCKS
                  -- 99.9%                          192,706,470
               (Cost $183,324,706)              ---------------

               MONEY MARKET FUNDS -- 0.2%
      196,992  Goldman Sachs Financial Square
                  Treasury Obligations Fund -
                  Institutional Class -
                  0.01% (c) (d)                         196,992
      168,622  Morgan Stanley Institutional
                  Liquidity Funds - Treasury
                  Portfolio - Institutional
                  Class - 0.01% (c)                     168,622
                                                ---------------
               TOTAL MONEY MARKET FUNDS
                  -- 0.2%                               365,614
               (Cost $365,614)                  ---------------


  PRINCIPAL
    VALUE      DESCRIPTION                           VALUE
---------------------------------------------------------------
               REPURCHASE AGREEMENTS -- 0.1%
$     243,398  BNP Paribas S.A., 0.03% (c),
                  dated 01/31/22, due 02/01/22,
                  with a maturity value of
                  $243,398. Collateralized by
                  U.S. Treasury Note, interest
                  rate of 1.13%, due 02/28/25.
                  The value of the collateral
                  including accrued interest
                  is $248,734. (d)                      243,398
               (Cost $243,398)                  ---------------

               TOTAL INVESTMENTS -- 100.2%          193,315,482
               (Cost $183,933,718)
               NET OTHER ASSETS AND
                  LIABILITIES -- (0.2)%                (378,981)
                                                ---------------
               NET ASSETS -- 100.0%             $   192,936,501
                                                ===============

(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 $439,168 and the
      total value of the collateral held by the Fund is $440,390.

(c)   Rate shown reflects yield as of January 31, 2022.

(d)   This security serves as collateral for securities on loan.


                        See Notes to Financial Statements                Page 41





FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU)

PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2022 (UNAUDITED)

---------------------------------
OFFSETTING ASSETS AND LIABILITIES
---------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).

The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:

SECURITIES LENDING AGENCY AGREEMENT
---------------------------------------------------------------
Total gross amount presented on the
   Statements of Assets and Liabilities(1)      $       439,168
Non-cash Collateral(2)                                 (439,168)
                                                ---------------
Net Amount                                      $            --
                                                ===============

(1)   The amount presented on the Statements of Assets and Liabilities, which is
      included in "Investments, at value," is not offset and is shown on a gross
      basis.

(2)   At January 31, 2022, the value of the collateral received from each
      borrower exceeded the value of the related securities loaned. This amount
      is disclosed on the Portfolio of Investments.

The Fund's investments in repurchase agreements were all subject to an
enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis
were as follows:

REPURCHASE AGREEMENTS
---------------------------------------------------------------
Total gross amount presented on the
   Statements of Assets and Liabilities(3)      $       243,398
Non-cash Collateral(4)                                 (243,398)
                                                ---------------
Net Amount                                      $            --
                                                ===============

(3)   The amount is included in "Investments, at value" on the Statements of
      Assets and Liabilities.

(4)   At January 31, 2022, the value of the collateral received from each seller
      exceeded the value of the repurchase agreements.

-----------------------------

VALUATION INPUTS

A summary of the inputs used to value the Fund's investments as of January 31,
2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):

                                                  LEVEL 2       LEVEL 3
                   TOTAL          LEVEL 1       SIGNIFICANT   SIGNIFICANT
                  VALUE AT         QUOTED       OBSERVABLE    UNOBSERVABLE
                 1/31/2022         PRICES         INPUTS         INPUTS
               -----------------------------------------------------------
Common
  Stocks*      $  192,706,470  $  192,706,470  $          --  $         --
Money Market
  Funds               365,614         365,614             --            --
Repurchase
  Agreements          243,398              --        243,398            --
               -----------------------------------------------------------
Total
  Investments  $  193,315,482  $  193,072,084  $     243,398  $         --
               ===========================================================

* See Portfolio of Investments for industry breakout.


Page 42                 See Notes to Financial Statements





                     This page is intentionally left blank.





FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND

SECTOR FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
JANUARY 31, 2022 (UNAUDITED)



                                                                        FIRST TRUST           FIRST TRUST
                                                                          CONSUMER              CONSUMER            FIRST TRUST
                                                                       DISCRETIONARY            STAPLES                ENERGY
                                                                      ALPHADEX(R) FUND      ALPHADEX(R) FUND      ALPHADEX(R) FUND
                                                                           (FXD)                 (FXG)                 (FXN)
                                                                    --------------------  --------------------  --------------------

ASSETS:
                                                                                                          
Investments, at value...............................................   $1,724,250,582        $  318,594,695        $  554,736,376
Receivables:
   Investment securities sold.......................................       28,576,338                    --                    --
   Dividends........................................................          431,506               316,256             1,045,999
   Securities lending income........................................           14,621                    94                   224
   Capital shares sold..............................................               --                    --            14,771,822
Prepaid expenses....................................................            9,847                 1,809                 2,073
                                                                       --------------        --------------        --------------
   Total Assets.....................................................    1,753,282,894           318,912,854           570,556,494
                                                                       --------------        --------------        --------------

LIABILITIES:
Payables:
   Capital shares redeemed..........................................       28,608,918                    --                    --
   Collateral for securities on loan................................       27,309,011                    --             2,147,625
   Investment advisory fees.........................................          773,958               132,458               207,529
   Licensing fees...................................................           64,536                11,142                17,984
   Audit and tax fees...............................................           20,641                20,761                23,761
   Shareholder reporting fees.......................................           19,332                12,148                11,560
   Trustees' fees...................................................              451                   426                   456
   Investment securities purchased..................................               --                    --            17,694,246
Other liabilities...................................................          203,592                38,897                56,427
                                                                       --------------        --------------        --------------
   Total Liabilities................................................       57,000,439               215,832            20,159,588
                                                                       --------------        --------------        --------------
NET ASSETS..........................................................   $1,696,282,455        $  318,697,022        $  550,396,906
                                                                       ==============        ==============        ==============
NET ASSETS CONSIST OF:
Paid-in capital.....................................................   $1,815,510,259        $  532,516,097        $  910,781,909
Par value...........................................................          295,000                51,500               409,500
Accumulated distributable earnings (loss)...........................     (119,522,804)         (213,870,575)         (360,794,503)
                                                                       --------------        --------------        --------------
NET ASSETS..........................................................   $1,696,282,455        $  318,697,022        $  550,396,906
                                                                       ==============        ==============        ==============
NET ASSET VALUE, per share..........................................   $        57.50        $        61.88        $        13.44
                                                                       ==============        ==============        ==============
Number of shares outstanding (unlimited number of shares
   authorized, par value $0.01 per share)...........................       29,500,002             5,150,002            40,950,002
                                                                       ==============        ==============        ==============
Investments, at cost................................................   $1,595,039,775        $  288,864,357        $  473,045,903
                                                                       ==============        ==============        ==============
Securities on loan, at value........................................   $   27,654,821        $           --        $    2,272,860
                                                                       ==============        ==============        ==============



Page 44                 See Notes to Financial Statements







                                                  FIRST TRUST
      FIRST TRUST           FIRST TRUST           INDUSTRIALS/          FIRST TRUST           FIRST TRUST           FIRST TRUST
       FINANCIALS           HEALTH CARE        PRODUCER DURABLES         MATERIALS             TECHNOLOGY            UTILITIES
    ALPHADEX(R) FUND      ALPHADEX(R) FUND      ALPHADEX(R) FUND      ALPHADEX(R) FUND      ALPHADEX(R) FUND      ALPHADEX(R) FUND
         (FXO)                 (FXH)                 (FXR)                 (FXZ)                 (FXL)                 (FXU)
  --------------------  --------------------  --------------------  --------------------  --------------------  --------------------


                                                                                                    
     $1,530,763,769        $1,448,718,392        $1,777,087,731        $  499,934,625        $1,587,527,605        $  193,315,482

                 --                    --            11,461,663                    --            11,750,819             1,591,300
            939,687               752,183               437,578               237,198                88,186               209,959
                 --                     8                    --                    --                    16                    90
                 --                    --                    --             5,762,835                    --                    --
             11,492                 8,988                12,413                 2,900                15,928                 3,079
     --------------        --------------        --------------        --------------        --------------        --------------
      1,531,714,948         1,449,479,571         1,788,999,385           505,937,558         1,599,382,554           195,119,910
     --------------        --------------        --------------        --------------        --------------        --------------



                 --                    --            11,458,527                    --            11,747,822             1,591,787
                 --                    --                    --                    --                    --               440,390
            661,886               635,299               788,731               221,635               727,013                81,635
             55,730               144,164                61,527                18,240                64,984                 7,678
             20,641                20,685                20,652                20,750                20,728                20,783
              8,684                48,503                 5,425                 3,492                67,647                12,997
                497                   470                   510                   419                   498                   416
                 --                    --                    --             5,759,427                    --                    --
            179,457               167,858               203,626                67,502               210,507                27,723
     --------------        --------------        --------------        --------------        --------------        --------------
            926,895             1,016,979            12,538,998             6,091,465            12,839,199             2,183,409
     --------------        --------------        --------------        --------------        --------------        --------------
     $1,530,788,053        $1,448,462,592        $1,776,460,387        $  499,846,093        $1,586,543,355        $  192,936,501
     ==============        ==============        ==============        ==============        ==============        ==============

     $1,544,131,193        $1,872,097,745        $1,863,523,804        $  597,048,810        $1,730,821,836        $  376,467,602
            331,500               131,000               307,500                85,000               135,050                60,000
        (13,674,640)         (423,766,153)          (87,370,917)          (97,287,717)         (144,413,531)         (183,591,101)
     --------------        --------------        --------------        --------------        --------------        --------------
     $1,530,788,053        $1,448,462,592        $1,776,460,387        $  499,846,093        $1,586,543,355        $  192,936,501
     ==============        ==============        ==============        ==============        ==============        ==============
     $        46.18        $       110.57        $        57.77        $        58.81        $       117.48        $        32.16
     ==============        ==============        ==============        ==============        ==============        ==============

         33,150,002            13,100,002            30,750,002             8,500,002            13,505,000             6,000,002
     ==============        ==============        ==============        ==============        ==============        ==============
     $1,421,608,521        $1,327,213,871        $1,727,483,062        $  472,728,757        $1,476,664,574        $  183,933,718
     ==============        ==============        ==============        ==============        ==============        ==============
     $           --        $           --        $           --        $           --        $           --        $      439,168
     ==============        ==============        ==============        ==============        ==============        ==============



                        See Notes to Financial Statements                Page 45





FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND

SECTOR FUNDS
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JANUARY 31, 2022 (UNAUDITED)



                                                                        FIRST TRUST           FIRST TRUST
                                                                          CONSUMER              CONSUMER            FIRST TRUST
                                                                       DISCRETIONARY            STAPLES                ENERGY
                                                                      ALPHADEX(R) FUND      ALPHADEX(R) FUND      ALPHADEX(R) FUND
                                                                           (FXD)                 (FXG)                 (FXN)
                                                                    --------------------  --------------------  --------------------

INVESTMENT INCOME:
                                                                                                          
Dividends...........................................................   $   14,166,818        $    2,764,812        $    6,011,269
Securities lending income (net of fees).............................           88,826                 9,189                 2,790
Foreign withholding tax.............................................               --                    --                    --
                                                                       --------------        --------------        --------------
   Total investment income..........................................       14,255,644             2,774,001             6,014,059
                                                                       --------------        --------------        --------------
EXPENSES:
Investment advisory fees............................................        4,892,463               684,833               932,247
Accounting and administration fees..................................          442,644                69,121                93,893
Licensing fees......................................................          391,397                54,787                74,580
Custodian fees......................................................           75,195                10,767                14,544
Shareholder reporting fees..........................................           38,834                16,601                22,608
Transfer agent fees.................................................           37,065                 6,848                 9,323
Legal fees..........................................................           17,325                 2,688                 2,823
Audit and tax fees..................................................           15,167                15,167                19,167
Listing fees........................................................            6,377                 5,262                 5,262
Trustees' fees and expenses.........................................            3,606                 3,174                 3,232
Other expenses......................................................           13,155                 3,222                 2,348
                                                                       --------------        --------------        --------------
   Total expenses...................................................        5,933,228               872,470             1,180,027
                                                                       --------------        --------------        --------------
NET INVESTMENT INCOME (LOSS)........................................        8,322,416             1,901,531             4,834,032
                                                                       --------------        --------------        --------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
   Investments......................................................      (16,065,616)            3,067,476             2,198,361
   In-kind redemptions..............................................      143,694,775             4,440,876            24,657,901
                                                                       --------------        --------------        --------------
Net realized gain (loss)............................................      127,629,159             7,508,352            26,856,262
                                                                       --------------        --------------        --------------
Net change in unrealized appreciation (depreciation) on investments.     (253,019,970)           17,193,943            57,227,221
                                                                       --------------        --------------        --------------
NET REALIZED AND UNREALIZED GAIN (LOSS).............................     (125,390,811)           24,702,295            84,083,483
                                                                       --------------        --------------        --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
   FROM OPERATIONS..................................................   $ (117,068,395)       $   26,603,826        $   88,917,515
                                                                       ==============        ==============        ==============



Page 46                 See Notes to Financial Statements







                                                  FIRST TRUST
      FIRST TRUST           FIRST TRUST           INDUSTRIALS/          FIRST TRUST           FIRST TRUST           FIRST TRUST
       FINANCIALS           HEALTH CARE        PRODUCER DURABLES         MATERIALS             TECHNOLOGY            UTILITIES
    ALPHADEX(R) FUND      ALPHADEX(R) FUND      ALPHADEX(R) FUND      ALPHADEX(R) FUND      ALPHADEX(R) FUND      ALPHADEX(R) FUND
         (FXO)                 (FXH)                 (FXR)                 (FXZ)                 (FXL)                 (FXU)
  --------------------  --------------------  --------------------  --------------------  --------------------  --------------------


                                                                                                    
     $   21,681,358        $    4,360,601        $   11,279,637        $    4,631,268        $   11,271,907        $    2,964,286
              8,723                 5,203                 2,130                 2,805                93,195                   434
            (18,918)                   --                    --                    --               (12,543)                   --
     --------------        --------------        --------------        --------------        --------------        --------------
         21,671,163             4,365,804            11,281,767             4,634,073            11,352,559             2,964,720
     --------------        --------------        --------------        --------------        --------------        --------------

          3,750,058             3,971,714             4,624,845             1,221,649             6,332,566               461,766
            351,171               368,871               421,223               122,826               547,865                46,802
            300,005               317,737               369,988                97,732               506,605                36,941
             58,460                61,340                73,406                18,698                97,790                 7,829
             33,094                54,457                29,060                17,633                71,890                16,612
             31,353                32,461                35,727                12,217                44,266                 4,618
             11,731                13,510                14,612                 3,859                22,847                 1,891
             15,167                15,167                15,167                15,167                15,167                15,167
              5,668                 5,263                 5,262                 5,262                 5,399                 5,398
              3,590                 3,496                 3,670                 3,260                 3,737                 3,141
             11,227                14,133                 9,438                 2,425                24,746                 4,547
     --------------        --------------        --------------        --------------        --------------        --------------
          4,571,524             4,858,149             5,602,398             1,520,728             7,672,878               604,712
     --------------        --------------        --------------        --------------        --------------        --------------
         17,099,639              (492,345)            5,679,369             3,113,345             3,679,681             2,360,008
     --------------        --------------        --------------        --------------        --------------        --------------


          4,158,670               175,141           (11,820,596)           (2,773,842)           (9,329,718)           (1,166,157)
        127,842,826            24,572,659            61,700,777            17,078,057           304,564,758             1,347,274
     --------------        --------------        --------------        --------------        --------------        --------------
        132,001,496            24,747,800            49,880,181            14,304,215           295,235,040               181,117
     --------------        --------------        --------------        --------------        --------------        --------------
        (43,980,083)         (177,736,144)         (111,355,464)          (10,950,877)         (380,928,856)            6,966,535
     --------------        --------------        --------------        --------------        --------------        --------------
         88,021,413          (152,988,344)          (61,475,283)            3,353,338           (85,693,816)            7,147,652
     --------------        --------------        --------------        --------------        --------------        --------------

     $  105,121,052        $ (153,480,689)       $  (55,795,914)       $    6,466,683        $  (82,014,135)       $    9,507,660
     ==============        ==============        ==============        ==============        ==============        ==============



                        See Notes to Financial Statements                Page 47





FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND

SECTOR FUNDS
STATEMENTS OF CHANGES IN NET ASSETS



                                                                         FIRST TRUST                         FIRST TRUST
                                                                    CONSUMER DISCRETIONARY                 CONSUMER STAPLES
                                                                       ALPHADEX(R) FUND                    ALPHADEX(R) FUND
                                                                            (FXD)                               (FXG)
                                                              ----------------------------------  ----------------------------------
                                                              Six Months Ended                    Six Months Ended
                                                                 1/31/2022         Year Ended        1/31/2022         Year Ended
                                                                (Unaudited)        7/31/2021        (Unaudited)        7/31/2021
                                                              ----------------  ----------------  ----------------  ----------------

                                                                                                         
OPERATIONS:
Net investment income (loss)..............................     $    8,322,416    $    5,589,720    $    1,901,531    $    3,700,096
Net realized gain (loss)..................................        127,629,159       220,645,136         7,508,352        40,853,212
Net change in unrealized appreciation (depreciation)......       (253,019,970)      349,773,051        17,193,943        (6,724,081)
                                                               --------------    --------------    --------------    --------------
Net increase (decrease) in net assets resulting
   from operations........................................       (117,068,395)      576,007,907        26,603,826        37,829,227
                                                               --------------    --------------    --------------    --------------

DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations.....................................         (9,878,401)       (4,077,825)       (1,999,446)       (3,532,571)
                                                               --------------    --------------    --------------    --------------

SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold.................................        355,653,547       782,562,374        73,073,259        48,212,403
Cost of shares redeemed...................................       (480,560,141)     (355,304,614)      (26,291,395)      (93,627,143)
                                                               --------------    --------------    --------------    --------------
Net increase (decrease) in net assets resulting
   from shareholder transactions..........................       (124,906,594)      427,257,760        46,781,864       (45,414,740)
                                                               --------------    --------------    --------------    --------------
Total increase (decrease) in net assets...................       (251,853,390)      999,187,842        71,386,244       (11,118,084)

NET ASSETS:
Beginning of period.......................................      1,948,135,845       948,948,003       247,310,778       258,428,862
                                                               --------------    --------------    --------------    --------------
End of period.............................................     $1,696,282,455    $1,948,135,845    $  318,697,022    $  247,310,778
                                                               ==============    ==============    ==============    ==============

CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period...................         31,750,002        23,900,002         4,400,002         5,300,002
Shares sold...............................................          5,700,000        14,300,000         1,200,000           850,000
Shares redeemed...........................................         (7,950,000)       (6,450,000)         (450,000)       (1,750,000)
                                                               --------------    --------------    --------------    --------------
Shares outstanding, end of period.........................         29,500,002        31,750,002         5,150,002         4,400,002
                                                               ==============    ==============    ==============    ==============



Page 48                 See Notes to Financial Statements







           FIRST TRUST                             FIRST TRUST                             FIRST TRUST
              ENERGY                                FINANCIALS                             HEALTH CARE
         ALPHADEX(R) FUND                        ALPHADEX(R) FUND                        ALPHADEX(R) FUND
              (FXN)                                   (FXO)                                   (FXH)
----------------------------------      ----------------------------------      ----------------------------------
Six Months Ended                        Six Months Ended                        Six Months Ended
   1/31/2022         Year Ended            1/31/2022         Year Ended            1/31/2022         Year Ended
  (Unaudited)        7/31/2021            (Unaudited)        7/31/2021            (Unaudited)        7/31/2021
----------------  ----------------      ----------------  ----------------      ----------------  ----------------


                                                                                    
 $    4,834,032    $    4,726,946        $   17,099,639    $   19,642,777        $     (492,345)   $   (1,922,467)
     26,856,262       (53,740,595)          132,001,496       122,812,618            24,747,800       190,085,638
     57,227,221        70,852,124           (43,980,083)      222,303,365          (177,736,144)      162,241,943
 --------------    --------------        --------------    --------------        --------------    --------------

     88,917,515        21,838,475           105,121,052       364,758,760          (153,480,689)      350,405,114
 --------------    --------------        --------------    --------------        --------------    --------------


     (3,093,510)       (6,451,416)          (17,752,181)      (19,322,307)                   --                --
 --------------    --------------        --------------    --------------        --------------    --------------


    257,982,037       298,299,815           545,608,927       829,324,790            90,733,018       212,370,515
   (122,375,348)     (600,515,709)         (415,075,815)     (400,047,202)          (93,537,609)     (306,336,510)
 --------------    --------------        --------------    --------------        --------------    --------------

    135,606,689      (302,215,894)          130,533,112       429,277,588            (2,804,591)      (93,965,995)
 --------------    --------------        --------------    --------------        --------------    --------------
    221,430,694      (286,828,835)          217,901,983       774,714,041           156,285,280)      256,439,119


    328,966,212       615,795,047         1,312,886,070       538,172,029         1,604,747,872     1,348,308,753
 --------------    --------------        --------------    --------------        --------------    --------------
 $  550,396,906    $  328,966,212        $1,530,788,053    $1,312,886,070        $1,448,462,592    $1,604,747,872
 ==============    ==============        ==============    ==============        ==============    ==============


     31,850,002        94,150,002            30,250,002        20,800,002            13,150,002        14,150,002
     20,550,000        33,500,000            11,950,000        19,850,000               750,000         1,950,000
    (11,450,000)      (95,800,000)           (9,050,000)      (10,400,000)             (800,000)       (2,950,000)
 --------------    --------------        --------------    --------------        --------------    --------------
     40,950,002        31,850,002            33,150,002        30,250,002            13,100,002        13,150,002
 ==============    ==============        ==============    ==============        ==============    ==============



                        See Notes to Financial Statements                Page 49





FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND

SECTOR FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)



                                                                         FIRST TRUST                         FIRST TRUST
                                                                INDUSTRIALS/PRODUCER DURABLES                 MATERIALS
                                                                       ALPHADEX(R) FUND                    ALPHADEX(R) FUND
                                                                            (FXR)                               (FXZ)
                                                              ----------------------------------  ----------------------------------
                                                              Six Months Ended                    Six Months Ended
                                                                 1/31/2022         Year Ended        1/31/2022         Year Ended
                                                                (Unaudited)        7/31/2021        (Unaudited)        7/31/2021
                                                              ----------------  ----------------  ----------------  ----------------

                                                                                                         
OPERATIONS:
Net investment income (loss)..............................     $    5,679,369    $    5,234,123    $    3,113,345    $    3,593,974
Net realized gain (loss)..................................         49,880,181       113,251,146        14,304,215        35,659,553
Net change in unrealized appreciation (depreciation)......       (111,355,464)      153,513,072       (10,950,877)       39,448,502
                                                               --------------    --------------    --------------    --------------
Net increase (decrease) in net assets resulting
   from operations........................................        (55,795,914)      271,998,341         6,466,683        78,702,029
                                                               --------------    --------------    --------------    --------------

DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations.....................................         (5,348,520)       (5,682,851)       (3,340,471)       (3,372,847)
                                                               --------------    --------------    --------------    --------------

SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold.................................        406,860,115     1,711,548,130       111,313,100       360,933,761
Cost of shares redeemed...................................       (336,859,783)     (390,238,248)      (74,955,040)      (72,695,856)
                                                               --------------    --------------    --------------    --------------
Net increase (decrease) in net assets resulting
   from shareholder transactions..........................         70,000,332     1,321,309,882        36,358,060       288,237,905
                                                               --------------    --------------    --------------    --------------
Total increase (decrease) in net assets...................          8,855,898     1,587,625,372        39,484,272       363,567,087

NET ASSETS:
Beginning of period.......................................      1,767,604,489       179,979,117       460,361,821        96,794,734
                                                               --------------    --------------    --------------    --------------
End of period.............................................     $1,776,460,387    $1,767,604,489    $  499,846,093    $  460,361,821
                                                               ==============    ==============    ==============    ==============

CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period...................         29,700,002         4,600,002         7,950,002         2,700,002
Shares sold...............................................          6,550,000        32,100,000         1,850,000         6,550,000
Shares redeemed...........................................         (5,500,000)       (7,000,000)       (1,300,000)       (1,300,000)
                                                               --------------    --------------    --------------    --------------
Shares outstanding, end of period.........................         30,750,002        29,700,002         8,500,002         7,950,002
                                                               ==============    ==============    ==============    ==============



Page 50                 See Notes to Financial Statements







           FIRST TRUST                             FIRST TRUST
            TECHNOLOGY                              UTILITIES
         ALPHADEX(R) FUND                        ALPHADEX(R) FUND
              (FXL)                                   (FXU)
----------------------------------      ----------------------------------
Six Months Ended                        Six Months Ended
   1/31/2022         Year Ended            1/31/2022         Year Ended
  (Unaudited)        7/31/2021            (Unaudited)        7/31/2021
----------------  ----------------      ----------------  ----------------

                                                  

 $    3,679,681    $   (1,198,161)       $    2,360,008    $    4,416,268
    295,235,040       838,129,241               181,117         1,197,025
   (380,928,856)      (15,385,932)            6,966,535        19,219,926
 --------------    --------------        --------------    --------------

    (82,014,135)      821,545,148             9,507,660        24,833,219
 --------------    --------------        --------------    --------------


     (2,329,740)               --            (2,439,426)       (4,925,266)
 --------------    --------------        --------------    --------------


     83,353,688     2,373,439,398            25,566,239        10,559,951
 (1,080,540,023)   (2,732,020,436)          (13,844,350)      (86,309,615)
 --------------    --------------        --------------    --------------

   (997,186,335)     (358,581,038)           11,721,889       (75,749,664)
 --------------    --------------        --------------    --------------
 (1,081,530,210)      462,964,110            18,790,123       (55,841,711)


  2,668,073,565     2,205,109,455           174,146,378       229,988,089
 --------------    --------------        --------------    --------------
 $1,586,543,355    $2,668,073,565        $  192,936,501    $  174,146,378
 ==============    ==============        ==============    ==============


     21,255,000        24,655,000             5,650,002         8,350,002
        650,000        21,650,000               800,000           350,000
     (8,400,000)      (25,050,000)             (450,000)       (3,050,000)
 --------------    --------------        --------------    --------------
     13,505,000        21,255,000             6,000,002         5,650,002
 ==============    ==============        ==============    ==============



                        See Notes to Financial Statements                Page 51





FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND

SECTOR FUNDS
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD

FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD)



                                           SIX MONTHS ENDED                      YEAR ENDED JULY 31,
                                              1/31/2022       --------------------------------------------------------------
                                             (UNAUDITED)         2021         2020         2019         2018         2017
                                           ----------------   ----------   ----------   ----------   ----------   ----------
                                                                                                
Net asset value, beginning of period          $    61.36      $    39.70   $    43.40   $    42.42   $    37.53   $    36.06
                                              ----------      ----------   ----------   ----------   ----------   ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)                        0.26            0.20         0.36         0.37         0.43         0.34
Net realized and unrealized gain (loss)            (3.81)          21.61        (3.61)        0.93         4.88         1.48
                                              ----------      ----------   ----------   ----------   ----------   ----------
Total from investment operations                   (3.55)          21.81        (3.25)        1.30         5.31         1.82
                                              ----------      ----------   ----------   ----------   ----------   ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income                              (0.31)          (0.15)       (0.45)       (0.32)       (0.42)       (0.35)
                                              ----------      ----------   ----------   ----------   ----------   ----------
Net asset value, end of period                $    57.50      $    61.36   $    39.70   $    43.40   $    42.42   $    37.53
                                              ==========      ==========   ==========   ==========   ==========   ==========
TOTAL RETURN (a)                                   (5.81)%         54.99%       (7.39)%       3.13%       14.17%        5.10%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)          $1,696,282      $1,948,136   $  948,948   $  384,117   $  409,343   $  407,197
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
   assets                                           0.61% (b)       0.61%        0.63%        0.64%        0.64%        0.63%
Ratio of net expenses to average net
   assets                                           0.61% (b)       0.61%        0.63%        0.64%        0.64%        0.63%
Ratio of net investment income (loss) to
   average net assets                               0.85% (b)       0.38%        0.77%        0.90%        1.03%        0.79%
Portfolio turnover rate (c)                           33%             88%         115%          97%         101%          93%



FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG)



                                           SIX MONTHS ENDED                      YEAR ENDED JULY 31,
                                              1/31/2022       --------------------------------------------------------------
                                             (UNAUDITED)         2021         2020         2019         2018         2017
                                           ----------------   ----------   ----------   ----------   ----------   ----------
                                                                                                
Net asset value, beginning of period          $    56.21      $    48.76   $    45.80   $    46.50   $    46.84   $    49.06
                                              ----------      ----------   ----------   ----------   ----------   ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)                        0.41            0.79         0.84         0.70         1.00         0.56
Net realized and unrealized gain (loss)             5.70            7.40         2.98        (0.32)       (0.74)       (2.20)
                                              ----------      ----------   ----------   ----------   ----------   ----------
Total from investment operations                    6.11            8.19         3.82         0.38         0.26        (1.64)
                                              ----------      ----------   ----------   ----------   ----------   ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income                              (0.44)          (0.74)       (0.86)       (1.08)       (0.60)       (0.58)
                                              ----------      ----------   ----------   ----------   ----------   ----------
Net asset value, end of period                $    61.88      $    56.21   $    48.76   $    45.80   $    46.50   $    46.84
                                              ==========      ==========   ==========   ==========   ==========   ==========
TOTAL RETURN (a)                                   10.90%          16.88%        8.46%        0.83%        0.53%       (3.31)%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)          $  318,697      $  247,311   $  258,429   $  329,792   $  369,643   $  461,376
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
   assets                                           0.64% (b)       0.64%        0.63%        0.64%        0.64%        0.62%
Ratio of net expenses to average net
   assets                                           0.64% (b)       0.64%        0.63%        0.64%        0.64%        0.62%
Ratio of net investment income (loss) to
   average net assets                               1.39% (b)       1.43%        1.72%        1.51%        2.09%        0.94%
Portfolio turnover rate (c)                           31%             94%         113%          90%         107%         100%



(a)   Total return is calculated assuming an initial investment made at the net
      asset value at the beginning of the period, reinvestment of all
      distributions at net asset value during the period, and redemption at net
      asset value on the last day of the period. The returns presented do not
      reflect the deduction of taxes that a shareholder would pay on Fund
      distributions or the redemption or sale of Fund shares. Total return is
      calculated for the time period presented and is not annualized for periods
      of less than a year.

(b)   Annualized.

(c)   Portfolio turnover is calculated for the time period presented and is not
      annualized for periods of less than a year and does not include securities
      received or delivered from processing creations or redemptions and in-kind
      transactions.


Page 52                 See Notes to Financial Statements





FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND

SECTOR FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD

FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN)



                                           SIX MONTHS ENDED                      YEAR ENDED JULY 31,
                                              1/31/2022       --------------------------------------------------------------
                                             (UNAUDITED)         2021         2020         2019         2018         2017
                                           ----------------   ----------   ----------   ----------   ----------   ----------
                                                                                                
Net asset value, beginning of period          $    10.33      $     6.54   $    10.88   $    17.10   $    13.66   $    14.54
                                              ----------      ----------   ----------   ----------   ----------   ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)                        0.14            0.31         0.16         0.16         0.12         0.14
Net realized and unrealized gain (loss)             3.07            3.81        (4.31)       (6.25)        3.47        (0.85)
                                              ----------      ----------   ----------   ----------   ----------   ----------
Total from investment operations                    3.21            4.12        (4.15)       (6.09)        3.59        (0.71)
                                              ----------      ----------   ----------   ----------   ----------   ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income                              (0.10)          (0.33)       (0.19)       (0.13)       (0.15)       (0.17)
                                              ----------      ----------   ----------   ----------   ----------   ----------
Net asset value, end of period                $    13.44      $    10.33   $     6.54   $    10.88   $    17.10   $    13.66
                                              ==========      ==========   ==========   ==========   ==========   ==========
TOTAL RETURN (a)                                   31.21%          66.66%      (38.32)%     (35.77)%      26.45%       (4.99)%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)          $  550,397      $  328,966   $  615,795   $  122,374   $  437,773   $  249,296
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
   assets                                           0.63% (b)       0.64%        0.64%        0.65%        0.63%        0.63%
Ratio of net expenses to average net
   assets                                           0.63% (b)       0.64%        0.64%        0.65%        0.63%        0.63%
Ratio of net investment income (loss) to
   average net assets                               2.59% (b)       1.70%        2.39%        1.17%        0.68%        1.03%
Portfolio turnover rate (c)                           26%             71%         165%          99%         108%          55%



FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)



                                           SIX MONTHS ENDED                      YEAR ENDED JULY 31,
                                              1/31/2022       --------------------------------------------------------------
                                             (UNAUDITED)         2021         2020         2019         2018         2017
                                           ----------------   ----------   ----------   ----------   ----------   ----------
                                                                                                
Net asset value, beginning of period          $    43.40      $    25.87   $    32.35   $    32.04   $    29.39   $    24.09
                                              ----------      ----------   ----------   ----------   ----------   ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)                        0.50            0.81         0.72         0.65         0.62         0.44
Net realized and unrealized gain (loss)             2.81           17.55        (6.37)        0.25         2.61         5.30
                                              ----------      ----------   ----------   ----------   ----------   ----------
Total from investment operations                    3.31           18.36        (5.65)        0.90         3.23         5.74
                                              ----------      ----------   ----------   ----------   ----------   ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income                              (0.53)          (0.83)       (0.83)       (0.59)       (0.58)       (0.44)
                                              ----------      ----------   ----------   ----------   ----------   ----------
Net asset value, end of period                $    46.18      $    43.40   $    25.87   $    32.35   $    32.04   $    29.39
                                              ==========      ==========   ==========   ==========   ==========   ==========
TOTAL RETURN (a)                                    7.64%          71.99%      (17.56)%       3.03%       11.06%       24.00%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)          $1,530,788      $1,312,886   $  538,172   $  988,353   $1,252,910   $1,121,234
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
   assets                                           0.61% (b)       0.61%        0.62%        0.63%        0.63%        0.63%
Ratio of net expenses to average net
   assets                                           0.61% (b)       0.61%        0.62%        0.63%        0.63%        0.63%
Ratio of net investment income (loss) to
   average net assets                               2.28% (b)       2.25%        2.36%        2.06%        1.99%        1.72%
Portfolio turnover rate (c)                           30%             86%          90%          81%          70%          80%



(a)   Total return is calculated assuming an initial investment made at the net
      asset value at the beginning of the period, reinvestment of all
      distributions at net asset value during the period, and redemption at net
      asset value on the last day of the period. The returns presented do not
      reflect the deduction of taxes that a shareholder would pay on Fund
      distributions or the redemption or sale of Fund shares. Total return is
      calculated for the time period presented and is not annualized for periods
      of less than a year.

(b)   Annualized.

(c)   Portfolio turnover is calculated for the time period presented and is not
      annualized for periods of less than a year and does not include securities
      received or delivered from processing creations or redemptions and in-kind
      transactions.


                        See Notes to Financial Statements                Page 53





FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND

SECTOR FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD

FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH)



                                           SIX MONTHS ENDED                      YEAR ENDED JULY 31,
                                              1/31/2022       --------------------------------------------------------------
                                             (UNAUDITED)         2021         2020         2019         2018         2017
                                           ----------------   ----------   ----------   ----------   ----------   ----------
                                                                                                
Net asset value, beginning of period          $   122.03      $    95.29   $    77.62   $    76.80   $    66.92   $    61.55
                                              ----------      ----------   ----------   ----------   ----------   ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)                       (0.04)          (0.15)        0.01        (0.11)       (0.02)       (0.03)
Net realized and unrealized gain (loss)           (11.42)          26.89        17.66         0.93         9.90         5.40
                                              ----------      ----------   ----------   ----------   ----------   ----------
Total from investment operations                  (11.46)          26.74        17.67         0.82         9.88         5.37
                                              ----------      ----------   ----------   ----------   ----------   ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income                                 --              --           --           --           --           --
                                              ----------      ----------   ----------   ----------   ----------   ----------
Net asset value, end of period                $   110.57      $   122.03   $    95.29   $    77.62   $    76.80   $    66.92
                                              ==========      ==========   ==========   ==========   ==========   ==========
TOTAL RETURN (a)                                   (9.39)%         28.08%       22.75%        1.07%       14.76%        8.72%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)          $1,448,463      $1,604,748   $1,348,309   $1,183,740   $1,063,745   $1,067,382
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
   assets                                           0.61% (b)       0.61%        0.61%        0.62%        0.63%        0.62%
Ratio of net expenses to average net
   assets                                           0.61% (b)       0.61%        0.61%        0.62%        0.63%        0.62%
Ratio of net investment income (loss) to
   average net assets                              (0.06)% (b)     (0.14)%       0.01%       (0.11)%      (0.03)%      (0.05)%
Portfolio turnover rate (c)                           43%            103%         107%         123%         107%         112%



FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)



                                           SIX MONTHS ENDED                      YEAR ENDED JULY 31,
                                              1/31/2022       --------------------------------------------------------------
                                             (UNAUDITED)         2021         2020         2019         2018         2017
                                           ----------------   ----------   ----------   ----------   ----------   ----------
                                                                                                
Net asset value, beginning of period          $    59.52      $    39.13   $    42.49   $    41.28   $    35.36   $    28.94
                                              ----------      ----------   ----------   ----------   ----------   ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)                        0.19            0.33         0.58         0.30         0.28         0.17
Net realized and unrealized gain (loss)            (1.76)          20.42        (3.29)        1.17         5.92         6.42
                                              ----------      ----------   ----------   ----------   ----------   ----------
Total from investment operations                   (1.57)          20.75        (2.71)        1.47         6.20         6.59
                                              ----------      ----------   ----------   ----------   ----------   ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income                              (0.18)          (0.36)       (0.65)       (0.26)       (0.28)       (0.17)
                                              ----------      ----------   ----------   ----------   ----------   ----------
Net asset value, end of period                $    57.77      $    59.52   $    39.13   $    42.49   $    41.28   $    35.36
                                              ==========      ==========   ==========   ==========   ==========   ==========
TOTAL RETURN (a)                                   (2.64)%         53.21%       (6.30)%       3.67%       17.57%       22.81%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)          $1,776,460      $1,767,604   $  179,979   $  378,173   $1,579,093   $1,444,369
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
   assets                                           0.61% (b)       0.61%        0.64%        0.63%        0.62%        0.63%
Ratio of net expenses to average net
   assets                                           0.61% (b)       0.61%        0.64%        0.63%        0.62%        0.63%
Ratio of net investment income (loss) to
   average net assets                               0.61% (b)       0.55%        1.30%        0.71%        0.70%        0.53%
Portfolio turnover rate (c)                           35%             91%          97%          79%          91%         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)   Annualized.

(c)   Portfolio turnover is calculated for the time period presented and is not
      annualized for periods of less than a year and does not include securities
      received or delivered from processing creations or redemptions and in-kind
      transactions.


Page 54                 See Notes to Financial Statements





FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND

SECTOR FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD

FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ)



                                           SIX MONTHS ENDED                      YEAR ENDED JULY 31,
                                              1/31/2022       --------------------------------------------------------------
                                             (UNAUDITED)         2021         2020         2019         2018         2017
                                           ----------------   ----------   ----------   ----------   ----------   ----------
                                                                                                
Net asset value, beginning of period          $    57.91      $    35.85   $    38.48   $    43.31   $    38.63   $    34.32
                                              ----------      ----------   ----------   ----------   ----------   ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)                        0.38            0.72         0.71         0.50         0.40         0.48
Net realized and unrealized gain (loss)             0.93           22.05        (2.57)       (4.88)        4.69         4.30
                                              ----------      ----------   ----------   ----------   ----------   ----------
Total from investment operations                    1.31           22.77        (1.86)       (4.38)        5.09         4.78
                                              ----------      ----------   ----------   ----------   ----------   ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income                              (0.41)          (0.71)       (0.77)       (0.45)       (0.41)       (0.47)
                                              ----------      ----------   ----------   ----------   ----------   ----------
Net asset value, end of period                $    58.81      $    57.91   $    35.85   $    38.48   $    43.31   $    38.63
                                              ==========      ==========   ==========   ==========   ==========   ==========
TOTAL RETURN (a)                                    2.26%          64.02%       (4.78)%     (10.08)%      13.20%       14.01%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)          $  499,846      $  460,362   $   96,795   $  167,369   $  314,026   $  260,726
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
   assets                                           0.62% (b)       0.64%        0.67%        0.65%        0.64%        0.65%
Ratio of net expenses to average net
   assets                                           0.62% (b)       0.64%        0.67%        0.65%        0.64%        0.65%
Ratio of net investment income (loss) to
   average net assets                               1.27% (b)       1.39%        1.95%        1.27%        0.92%        1.40%
Portfolio turnover rate (c)                           31%             77%          84%          82%          92%          84%



FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL)



                                           SIX MONTHS ENDED                      YEAR ENDED JULY 31,
                                              1/31/2022       --------------------------------------------------------------
                                             (UNAUDITED)         2021         2020         2019         2018         2017
                                           ----------------   ----------   ----------   ----------   ----------   ----------
                                                                                                
Net asset value, beginning of period          $   125.53      $    89.44   $    69.32   $    56.54   $    45.12   $    34.84
                                              ----------      ----------   ----------   ----------   ----------   ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)                        0.22           (0.06)        0.11         0.31         0.09         0.32
Net realized and unrealized gain (loss)            (8.13)          36.15        20.17        12.75        11.43        10.32
                                              ----------      ----------   ----------   ----------   ----------   ----------
Total from investment operations                   (7.91)          36.09        20.28        13.06        11.52        10.64
                                              ----------      ----------   ----------   ----------   ----------   ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income                              (0.14)             --        (0.16)       (0.28)       (0.10)       (0.36)
                                              ----------      ----------   ----------   ----------   ----------   ----------
Net asset value, end of period                $   117.48      $   125.53   $    89.44   $    69.32   $    56.54   $    45.12
                                              ==========      ==========   ==========   ==========   ==========   ==========
TOTAL RETURN (a)                                   (6.30)%         40.34%       29.33%       23.20%       25.55%       30.72%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)          $1,586,543      $2,668,074   $2,205,109   $2,395,347   $1,996,201   $  607,101
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
   assets                                           0.61% (b)       0.61%        0.61%        0.61%        0.63%        0.63%
Ratio of net expenses to average net
   assets                                           0.61% (b)       0.61%        0.61%        0.61%        0.63%        0.63%
Ratio of net investment income (loss) to
   average net assets                               0.29% (b)      (0.05)%       0.16%        0.50%        0.17%        0.82%
Portfolio turnover rate (c)                           45%             92%         110%          91%         127%         115%



(a)   Total return is calculated assuming an initial investment made at the net
      asset value at the beginning of the period, reinvestment of all
      distributions at net asset value during the period, and redemption at net
      asset value on the last day of the period. The returns presented do not
      reflect the deduction of taxes that a shareholder would pay on Fund
      distributions or the redemption or sale of Fund shares. Total return is
      calculated for the time period presented and is not annualized for periods
      of less than a year.

(b)   Annualized.

(c)   Portfolio turnover is calculated for the time period presented and is not
      annualized for periods of less than a year and does not include securities
      received or delivered from processing creations or redemptions and in-kind
      transactions.


                        See Notes to Financial Statements                Page 55





FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND

SECTOR FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD

FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU)



                                           SIX MONTHS ENDED                      YEAR ENDED JULY 31,
                                              1/31/2022       --------------------------------------------------------------
                                             (UNAUDITED)         2021         2020         2019         2018         2017
                                           ----------------   ----------   ----------   ----------   ----------   ----------
                                                                                                

Net asset value, beginning of period          $    30.82      $    27.54   $    28.87   $    26.37   $    27.64   $    27.46
                                              ----------      ----------   ----------   ----------   ----------   ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)                        0.40            0.68         1.05         0.63         0.98         0.76
Net realized and unrealized gain (loss)             1.36            3.32        (1.29)        2.43        (1.30)        0.19
                                              ----------      ----------   ----------   ----------   ----------   ----------
Total from investment operations                    1.76            4.00        (0.24)        3.06        (0.32)        0.95
                                              ----------      ----------   ----------   ----------   ----------   ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income                              (0.42)          (0.72)       (1.09)       (0.56)       (0.95)       (0.77)
                                              ----------      ----------   ----------   ----------   ----------   ----------
Net asset value, end of period                $    32.16      $    30.82   $    27.54   $    28.87   $    26.37   $    27.64
                                              ==========      ==========   ==========   ==========   ==========   ==========
TOTAL RETURN (a)                                    5.75%          14.80%       (0.70)%      11.71%       (1.09)%       3.57%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)          $  192,937      $  174,146   $  229,988   $1,349,541   $  308,540   $1,350,332
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
   assets                                           0.65% (b)       0.64%        0.62%        0.63%        0.63%        0.62%
Ratio of net expenses to average net
   assets                                           0.65% (b)       0.64%        0.62%        0.63%        0.63%        0.62%
Ratio of net investment income (loss) to
   average net assets                               2.56% (b)       2.33%        2.42%        2.23%        2.67%        2.74%
Portfolio turnover rate (c)                           22%             38%          64%          60%          76%          57%



(a)   Total return is calculated assuming an initial investment made at the net
      asset value at the beginning of the period, reinvestment of all
      distributions at net asset value during the period, and redemption at net
      asset value on the last day of the period. The returns presented do not
      reflect the deduction of taxes that a shareholder would pay on Fund
      distributions or the redemption or sale of Fund shares. Total return is
      calculated for the time period presented and is not annualized for periods
      of less than a year.

(b)   Annualized.

(c)   Portfolio turnover is calculated for the time period presented and is not
      annualized for periods of less than a year and does not include securities
      received or delivered from processing creations or redemptions and in-kind
      transactions.


Page 56                 See Notes to Financial Statements





--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------

                  FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
                                  SECTOR FUNDS
                          JANUARY 31, 2022 (UNAUDITED)

                                1. ORGANIZATION

First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") is an open-end
management investment company organized as a Massachusetts business trust on
December 6, 2006, and is registered with the Securities and Exchange Commission
under the Investment Company Act of 1940, as amended (the "1940 Act").

The Trust currently consists of twenty exchange-traded funds considered either a
Sector Fund or a Style Fund. This report covers the nine Sector Funds (each a
"Fund" and collectively, the "Funds") listed below. The shares of each Sector
Fund are listed and traded on NYSE Arca, Inc.

        First Trust Consumer Discretionary AlphaDEX(R) Fund - (ticker "FXD")
        First Trust Consumer Staples AlphaDEX(R) Fund - (ticker "FXG")
        First Trust Energy AlphaDEX(R) Fund - (ticker "FXN")
        First Trust Financials AlphaDEX(R) Fund - (ticker "FXO")
        First Trust Health Care AlphaDEX(R) Fund - (ticker "FXH")
        First Trust Industrials/Producer Durables AlphaDEX(R) Fund - (ticker
           "FXR")
        First Trust Materials AlphaDEX(R) Fund - (ticker "FXZ")
        First Trust Technology AlphaDEX(R) Fund - (ticker "FXL")
        First Trust Utilities AlphaDEX(R) Fund - (ticker "FXU")

Each Fund represents a separate series of shares of beneficial interest in the
Trust. Unlike conventional mutual funds, each Fund issues and redeems shares on
a continuous basis, at net asset value ("NAV"), only in large blocks of shares
known as "Creation Units." The investment objective of each Fund is to seek
investment results that correspond generally to the price and yield (before the
Fund's fees and expenses) of the following indices:



FUND                                                                    INDEX
                                                                     
First Trust Consumer Discretionary AlphaDEX(R) Fund                     StrataQuant(R) Consumer Discretionary Index(1)
First Trust Consumer Staples AlphaDEX(R) Fund                           StrataQuant(R) Consumer Staples Index(1)
First Trust Energy AlphaDEX(R) Fund                                     StrataQuant(R) Energy Index(1)
First Trust Financials AlphaDEX(R) Fund                                 StrataQuant(R) Financials Index(1)
First Trust Health Care AlphaDEX(R) Fund                                StrataQuant(R) Health Care Index(1)
First Trust Industrials/Producer Durables AlphaDEX(R) Fund              StrataQuant(R) Industrials Index(1)
First Trust Materials AlphaDEX(R) Fund                                  StrataQuant(R) Materials Index(1)
First Trust Technology AlphaDEX(R) Fund                                 StrataQuant(R) Technology Index(1)
First Trust Utilities AlphaDEX(R) Fund                                  StrataQuant(R) Utilities Index(1)


(1)   This index is developed, maintained and sponsored by ICE Data Indices, LLC
      or its affiliates ("IDI"), and licensed to First Trust Portfolios L.P.
      ("FTP"), the distributor of the Trust, by IDI. IDI is a
      successor-in-interest to previous entities that maintained the index in
      NYSE Group, Inc. and American Stock Exchange LLC.

                       2. SIGNIFICANT ACCOUNTING POLICIES

The Funds are each considered an investment company and follow accounting and
reporting guidance under Financial Accounting Standards Board Accounting
Standards Codification Topic 946, "Financial Services-Investment Companies." The
following is a summary of significant accounting policies consistently followed
by the Funds in the preparation of the financial statements. The preparation of
the financial statements in accordance with accounting principles generally
accepted in the United States of America ("U.S. GAAP") requires management to
make estimates and assumptions that affect the reported amounts and disclosures
in the financial statements. Actual results could differ from those estimates.

A. PORTFOLIO VALUATION

Each Fund's NAV is determined daily as of the close of regular trading on the
New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day
the NYSE is open for trading. If the NYSE closes early on a valuation day, the
NAV is determined as of that time. Each Fund's NAV is calculated by dividing the
value of all assets of each Fund (including accrued interest and dividends),
less all liabilities (including accrued expenses and dividends declared but
unpaid), by the total number of shares outstanding.

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 57





--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------

                  FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
                                  SECTOR FUNDS
                          JANUARY 31, 2022 (UNAUDITED)

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 The Nasdaq Stock Market LLC ("Nasdaq") and the
      London Stock Exchange Alternative Investment Market ("AIM")) are valued at
      the last sale price on the exchange on which they are principally traded
      or, for Nasdaq and AIM securities, the official closing price. Securities
      traded on more than one securities exchange are valued at the last sale
      price or official closing price, as applicable, at the close of the
      securities exchange representing the 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 58





--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------

                  FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
                                  SECTOR FUNDS
                          JANUARY 31, 2022 (UNAUDITED)

The inputs or methodologies used for valuing investments are not necessarily an
indication of the risk associated with investing in those investments. A summary
of the inputs used to value each Fund's investments as of January 31, 2022, is
included with each Fund's Portfolio of Investments.

B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME

Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Dividend income is recorded on the ex-dividend date. Interest income, if any, is
recorded on the accrual basis.

Withholding taxes and tax reclaims on foreign dividends have been provided for
in accordance with each Fund's understanding of the applicable country's tax
rules and rates.

Distributions received from a Fund's investments in real estate investment
trusts ("REITs") may be comprised of return of capital, capital gains and
income. The actual character of the amounts received during the year is not
known until after the REITs' fiscal year end. A Fund records the character of
distributions received from the REITs during the year based on estimates
available. The characterization of distributions received by a Fund may be
subsequently revised based on information received from the REITs after their
tax reporting periods conclude.

C. OFFSETTING ON THE STATEMENTS OF ASSETS AND LIABILITIES

Offsetting Assets and Liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset on the
Statements of Assets and Liabilities, and disclose instruments and transactions
subject to master netting or similar agreements. These disclosure requirements
are intended to help investors and other financial statement users better assess
the effect or potential effect of offsetting arrangements on a fund's financial
position. The transactions subject to offsetting disclosures are derivative
instruments, repurchase agreements and reverse repurchase agreements, and
securities borrowing and securities lending transactions.

This disclosure, if applicable, is included within each Fund's Portfolio of
Investments under the heading "Offsetting Assets and Liabilities." For financial
reporting purposes, the Funds do not offset financial assets and financial
liabilities that are subject to master netting arrangements ("MNAs") or similar
agreements on the Statements of Assets and Liabilities. MNAs provide the right,
in the event of default (including bankruptcy and insolvency), for the
non-defaulting counterparty to liquidate the collateral and calculate the net
exposure to the defaulting party or request additional collateral.

D. SECURITIES LENDING

The Funds may lend securities representing up to 33 1/3% of the value of their
total assets to broker-dealers, banks and other institutions to generate
additional income. When a Fund loans its portfolio securities, it will receive,
at the inception of each loan, collateral equal to at least 102% (for domestic
securities) or 105% (for international securities) of the market value of the
loaned securities. The collateral amount is valued at the beginning of each
business day and is compared to the market value of the loaned securities from
the prior business day to determine if additional collateral is required. If
additional collateral is required, a request is sent to the borrower. Securities
lending involves the risk that the Fund may lose money because the borrower of
the Fund's loaned securities fails to return the securities in a timely manner
or at all. The Fund could also lose money in the event of (i) a decline in the
value of the collateral provided for the loaned securities, (ii) a decline in
the value of any investments made with cash collateral or (iii) an increase in
the value of the loaned securities if the borrower does not increase the
collateral accordingly and the borrower fails to return the securities. These
events could also trigger adverse tax consequences for the Funds.

Under the Funds' Securities Lending Agency Agreement, the securities lending
agent will generally bear the risk that a borrower may default on its obligation
to return loaned securities. Brown Brothers Harriman & Co. ("BBH") acts as the
Funds' securities lending agent and is responsible for executing the lending of
the portfolio securities to creditworthy borrowers. The Funds, however, will be
responsible for the risks associated with the investment of cash collateral. A
Fund may lose money on its investment of cash collateral, which may affect its
ability to repay the collateral to the borrower without the use of other Fund
assets. Each Fund that engages in securities lending receives compensation (net
of any rebate and securities lending agent fees) for lending its securities.
Compensation can be in the form of fees received from the securities lending
agent or dividends or interest earned from the investment of cash collateral.
The fees received from the securities lending agent are accrued daily. The
dividend and interest earned on the securities loaned is accounted for in the
same manner as other dividend and interest income. At January 31, 2022, only
FXD, FXN, and FXU had securities in the securities lending program. During the
six months ended January 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 will
exercise any and all remedies provided under the applicable borrower agreement
to make the Funds whole. These remedies include purchasing replacement
securities by applying the collateral held from the defaulting broker against
the purchase cost of the replacement securities. If, despite such efforts by BBH
to exercise these remedies, a Fund sustains losses as a result of a borrower's
default, BBH will indemnify the Fund by purchasing replacement securities at its
own expense, or paying the Fund an amount equal to the market value of the
replacement securities, subject to certain limitations which are set forth in
detail in the Securities Lending Agency Agreement between the Trust on behalf of
the Funds and BBH.


                                                                         Page 59





--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------

                  FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
                                  SECTOR FUNDS
                          JANUARY 31, 2022 (UNAUDITED)

E. REPURCHASE AGREEMENTS

Repurchase agreements involve the purchase of securities subject to the seller's
agreement to repurchase the securities at a mutually agreed upon date and price,
under the terms of a Master Repurchase Agreement ("MRA"). During the term of a
repurchase agreement, the value of the underlying securities held as collateral
on behalf of a Fund, including accrued interest, is required to exceed the value
of the repurchase agreement, including accrued interest. The underlying
securities for all repurchase agreements are held at the Funds' custodian or
designated sub-custodians under tri-party repurchase agreements.

MRAs govern transactions between a Fund and select counterparties. The MRAs
contain provisions for, among other things, initiation, income payments, events
of default, and maintenance of collateral for repurchase agreements.

Repurchase agreements received for lending securities are collateralized by U.S.
Treasury securities. The U.S. Treasury securities are held in a joint custody
account at BBH on behalf of the Funds participating in the securities lending
program. In the event the counterparty defaults on the repurchase agreement, the
U.S. Treasury securities can either be maintained as part of a Fund's portfolio
or sold for cash. A Fund could suffer a loss to the extent that the proceeds
from the sale of the underlying collateral held by the Fund are less than the
repurchase price and the Fund's costs associated with the delay and enforcement
of the MRA.

While the Funds may invest in repurchase agreements, any repurchase agreements
held by the Funds during the six months ended January 31, 2022, were received as
collateral for lending securities.

F. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS

Dividends from net investment income of each Fund, if any, are declared and paid
quarterly, or as the Board of Trustees may determine from time to time.
Distributions of net realized gains earned by each Fund, if any, are distributed
at least annually.

Distributions from net investment income and realized capital gains are
determined in accordance with federal income tax regulations, which may differ
from U.S. GAAP. Certain capital accounts in the financial statements are
periodically adjusted for permanent differences in order to reflect their tax
character. These permanent differences are primarily due to the varying
treatment of income and gain/loss on significantly modified portfolio securities
held by the Funds and have no impact on net assets or NAV per share. Temporary
differences, which arise from recognizing certain items of income, expense and
gain/loss in different periods for financial statement and tax purposes, will
reverse at some time in the future.

The tax character of distributions paid by each Fund during the fiscal year
ended July 31, 2021 was as follows:



                                                           Distributions paid from  Distributions paid from  Distributions paid from
                                                               Ordinary Income           Capital Gains          Return of Capital
                                                           -----------------------  -----------------------  -----------------------
                                                                                                       
First Trust Consumer Discretionary AlphaDEX(R) Fund           $       4,077,825        $              --        $              --
First Trust Consumer Staples AlphaDEX(R) Fund                         3,532,571                       --                       --
First Trust Energy AlphaDEX(R) Fund                                   6,451,416                       --                       --
First Trust Financials AlphaDEX(R) Fund                              19,322,307                       --                       --
First Trust Health Care AlphaDEX(R) Fund                                     --                       --                       --
First Trust Industrials/Producer Durables AlphaDEX(R) Fund            5,682,851                       --                       --
First Trust Materials AlphaDEX(R) Fund                                3,372,847                       --                       --
First Trust Technology AlphaDEX(R) Fund                                      --                       --                       --
First Trust Utilities AlphaDEX(R) Fund                                4,925,266                       --                       --


As of July 31, 2021, the components of distributable earnings on a tax basis for
each Fund were as follows:



                                                                                          Accumulated
                                                                Undistributed             Capital and            Net Unrealized
                                                                  Ordinary                   Other                Appreciation
                                                                   Income                 Gain (Loss)            (Depreciation)
                                                           -----------------------  -----------------------  -----------------------
                                                                                                       
First Trust Consumer Discretionary AlphaDEX(R) Fund           $       1,610,866        $    (364,581,172)       $     370,394,298
First Trust Consumer Staples AlphaDEX(R) Fund                           366,031             (250,660,847)              11,819,861
First Trust Energy AlphaDEX(R) Fund                                     103,016             (466,017,608)              19,296,084
First Trust Financials AlphaDEX(R) Fund                               2,234,373             (238,645,650)             135,367,766
First Trust Health Care AlphaDEX(R) Fund                              (453,844)             (564,968,527)             295,136,907
First Trust Industrials/Producer Durables AlphaDEX(R) Fund                   --             (181,053,205)             154,826,722
First Trust Materials AlphaDEX(R) Fund                                  303,902             (136,666,584)              35,948,753
First Trust Technology AlphaDEX(R) Fund                               (676,460)             (534,219,060)             474,825,864
First Trust Utilities AlphaDEX(R) Fund                                  309,266             (191,935,197)                 966,596



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                  FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
                                  SECTOR FUNDS
                          JANUARY 31, 2022 (UNAUDITED)

G. INCOME TAXES

Each Fund intends to continue to qualify as a regulated investment company by
complying with the requirements under Subchapter M of the Internal Revenue Code
of 1986, as amended, which includes distributing substantially all of its net
investment income and net realized gains to shareholders. Accordingly, no
provision has been made for federal and state income taxes. However, due to the
timing and amount of distributions, each Fund may be subject to an excise tax of
4% of the amount by which approximately 98% of each Fund's taxable income
exceeds the distributions from such taxable income for the calendar year.

The Funds are subject to accounting standards that establish a minimum threshold
for recognizing, and a system for measuring, the benefits of a tax position
taken or expected to be taken in a tax return. The taxable years ended 2018,
2019, 2020, and 2021 remain open to federal and state audit. As of January 31,
2022, management has evaluated the application of these standards to the Funds,
and has determined that no provision for income tax is required in the Funds'
financial statements for uncertain tax positions.

Each Fund intends to utilize provisions of the federal income tax laws, which
allow it to carry a realized capital loss forward indefinitely following the
year of the loss and offset such loss against any future realized capital gains.
Each Fund is subject to certain limitations under U.S. tax rules on the use of
capital loss carryforwards and net unrealized built-in losses. These limitations
apply when there has been a 50% change in ownership. At July 31, 2021, for
federal income tax purposes, each applicable Fund had a capital loss
carryforward available that is shown in the table below, to the extent provided
by regulations, to offset future capital gains. To the extent that these loss
carryforwards are used to offset future capital gains, it is probable that the
capital gains so offset will not be distributed to each applicable Fund's
shareholders.



                                                            Non-Expiring Capital
                                                              Loss Carryforward
                                                           -----------------------
                                                           
First Trust Consumer Discretionary AlphaDEX(R) Fund           $     364,581,172
First Trust Consumer Staples AlphaDEX(R) Fund                       250,660,847
First Trust Energy AlphaDEX(R) Fund                                 466,017,608
First Trust Financials AlphaDEX(R) Fund                             238,645,650
First Trust Health Care AlphaDEX(R) Fund                            564,968,527
First Trust Industrials/Producer Durables AlphaDEX(R) Fund          181,053,205
First Trust Materials AlphaDEX(R) Fund                              136,666,584
First Trust Technology AlphaDEX(R) Fund                             534,219,060
First Trust Utilities AlphaDEX(R) Fund                              191,935,197


During the taxable year ended July 31, 2021, the following Funds utilized
capital loss carryforwards in the following amounts:



                                                                Capital Loss
                                                            Carryforward Utilized
                                                           -----------------------
                                                           
First Trust Consumer Discretionary AlphaDEX(R) Fund           $     101,716,487
First Trust Consumer Staples AlphaDEX(R) Fund                        23,413,331
First Trust Energy AlphaDEX(R) Fund                                   3,321,616
First Trust Financials AlphaDEX(R) Fund                              25,098,162
First Trust Health Care AlphaDEX(R) Fund                            110,489,727
First Trust Industrials/Producer Durables AlphaDEX(R) Fund           30,198,576
First Trust Materials AlphaDEX(R) Fund                                7,143,048
First Trust Technology AlphaDEX(R) Fund                                      --
First Trust Utilities AlphaDEX(R) Fund                                       --


Certain losses realized during the current fiscal year may be deferred and
treated as occurring on the first day of the following fiscal year for federal
income tax purposes. For the fiscal year ended July 31, 2021, the following
Funds listed below incurred and elected to defer net late year ordinary or
capital losses as follows:



                                                               Qualified Late Year Losses
                                                            ---------------------------------
                                                            Ordinary Losses   Capital Losses
                                                            ---------------   ---------------
                                                                        
First Trust Health Care AlphaDEX(R) Fund                    $       453,844   $            --
First Trust Technology AlphaDEX(R) Fund                             676,460                --



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                  FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
                                  SECTOR FUNDS
                          JANUARY 31, 2022 (UNAUDITED)

As of January 31, 2022, the aggregate cost, gross unrealized appreciation, gross
unrealized depreciation, and net unrealized appreciation/(depreciation) on
investments (including short positions and derivatives, if any) for federal
income tax purposes were as follows:



                                                                   Gross            Gross         Net Unrealized
                                                                Unrealized        Unrealized       Appreciation
                                                Tax Cost       Appreciation     (Depreciation)    (Depreciation)
                                             -------------------------------------------------------------------
                                                                                      
First Trust Consumer Discretionary
   AlphaDEX(R) Fund                          $1,595,039,775    $ 217,215,099    $  (88,004,292)   $  129,210,807
First Trust Consumer Staples AlphaDEX(R)
   Fund                                         288,864,357       33,747,127        (4,016,789)       29,730,338
First Trust Energy AlphaDEX(R) Fund             473,045,903       92,065,260       (10,374,787)       81,690,473
First Trust Financials AlphaDEX(R) Fund       1,421,608,521      135,045,533       (25,890,285)      109,155,248
First Trust Health Care AlphaDEX(R) Fund      1,327,213,871      174,513,152       (53,008,631)      121,504,521
First Trust Industrials/Producer Durables
   AlphaDEX(R) Fund                           1,727,483,062      107,801,101       (58,196,432)       49,604,669
First Trust Materials AlphaDEX(R) Fund          472,728,757       38,983,325       (11,777,457)       27,205,868
First Trust Technology AlphaDEX(R) Fund       1,476,664,574      180,621,956       (69,758,925)      110,863,031
First Trust Utilities AlphaDEX(R) Fund          183,933,718       13,350,312        (3,968,548)        9,381,764


H. EXPENSES

Expenses that are directly related to one of the Funds are charged directly to
the respective Fund. General expenses of the Trust are allocated to all the
Funds based upon the net assets of each Fund.

FTP has entered into licensing agreements with IDI for each of the Funds. The
license agreements allow for the use by FTP of certain trademarks and trade
names of IDI. The Funds and First Trust are sub-licensees to the license
agreement. The Funds are required to pay licensing fees, which are shown on the
Statements of Operations.

3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS

First Trust, the investment advisor to the Funds, is a limited partnership with
one limited partner, Grace Partners of DuPage L.P., and one general partner, The
Charger Corporation. The Charger Corporation is an Illinois corporation
controlled by James A. Bowen, Chief Executive Officer of First Trust. First
Trust is responsible for the selection and ongoing monitoring of the securities
in each Fund's portfolio, managing the Fund's business affairs and providing
certain administrative services necessary for the management of the Funds.

For these services, First Trust is paid an annual management fee of 0.50% of
each Fund's average daily net assets. The Trust and First Trust have entered
into an Expense Reimbursement, Fee Waiver and Recovery Agreement ("Recovery
Agreement") in which First Trust has agreed to waive fees and/or reimburse Fund
expenses to the extent that the operating expenses of each Fund (excluding
interest expense, brokerage commissions and other trading expenses, acquired
fund fees and expenses, taxes and extraordinary expenses) exceed 0.70% of
average daily net assets per year (the "Expense Cap"). The Expense Cap will be
in effect until at least November 30, 2022.

Expenses reimbursed and fees waived by First Trust under the Recovery Agreement
are subject to recovery by First Trust for up to three years from the date the
fee or expense was incurred, but no reimbursement payment will be made by a Fund
if it results in the Fund's expenses exceeding (i) the applicable expense
limitation in place for the most recent fiscal year for which such expense
limitation was in place, (ii) the applicable expense limitation in place at the
time the fees were waived, or (iii) the current expense limitation. These
amounts would be included in "Expenses previously waived or reimbursed" on the
Statements of Operations.

For the six months ended January 31, 2022, there were no fees waived or expenses
reimbursed by First Trust for the Funds. As of January 31, 2022, none of the
Funds had previously waived fees or expenses reimbursed that are subject to
recovery.

The Trust has multiple service agreements with The Bank of New York Mellon
("BNYM"). Under the service agreements, BNYM performs custodial, fund
accounting, certain administrative services, and transfer agency services for
each Fund. As custodian, BNYM is responsible for custody of each Fund's assets.
As fund accountant and administrator, BNYM is responsible for maintaining the
books and records of each Fund's securities and cash. As transfer agent, BNYM is
responsible for maintaining shareholder records for each Fund. BNYM is a
subsidiary of The Bank of New York Mellon Corporation, a financial holding
company.


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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------

                  FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
                                  SECTOR FUNDS
                          JANUARY 31, 2022 (UNAUDITED)

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 six months ended January 31, 2022, the cost of purchases and proceeds
from sales of investments for each Fund, excluding short-term investments and
in-kind transactions, were as follows:



                                                                             Purchases              Sales
                                                                          ---------------      ---------------
                                                                                         
First Trust Consumer Discretionary AlphaDEX(R) Fund                       $   635,394,110      $   637,087,669
First Trust Consumer Staples AlphaDEX(R) Fund                                  83,988,846           83,213,545
First Trust Energy AlphaDEX(R) Fund                                            98,878,574           96,692,020
First Trust Financials AlphaDEX(R) Fund                                       430,793,535          432,764,483
First Trust Health Care AlphaDEX(R) Fund                                      681,390,639          680,402,890
First Trust Industrials/Producer Durables AlphaDEX(R) Fund                    629,282,459          628,443,395
First Trust Materials AlphaDEX(R) Fund                                        147,323,876          147,658,563
First Trust Technology AlphaDEX(R) Fund                                     1,105,709,852        1,105,366,153
First Trust Utilities AlphaDEX(R) Fund                                         39,964,111           39,835,177


For the six months ended January 31, 2022, the cost of in-kind purchases and
proceeds from in-kind sales for each Fund were as follows:



                                                                             Purchases              Sales
                                                                          ---------------      ---------------
                                                                                         
First Trust Consumer Discretionary AlphaDEX(R) Fund                       $   355,279,496      $   478,900,550
First Trust Consumer Staples AlphaDEX(R) Fund                                  73,007,745           26,268,144
First Trust Energy AlphaDEX(R) Fund                                           254,923,977          112,057,138
First Trust Financials AlphaDEX(R) Fund                                       543,351,958          412,362,589
First Trust Health Care AlphaDEX(R) Fund                                       90,768,046           93,795,661
First Trust Industrials/Producer Durables AlphaDEX(R) Fund                    406,656,224          336,390,139
First Trust Materials AlphaDEX(R) Fund                                        111,173,069           74,829,557
First Trust Technology AlphaDEX(R) Fund                                        83,304,526        1,079,774,825
First Trust Utilities AlphaDEX(R) Fund                                         25,511,029           13,811,759



                 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


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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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                  FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
                                  SECTOR FUNDS
                          JANUARY 31, 2022 (UNAUDITED)

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, 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.


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ADDITIONAL INFORMATION
--------------------------------------------------------------------------------

                  FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
                                  SECTOR FUNDS
                          JANUARY 31, 2022 (UNAUDITED)


                      PROXY VOTING POLICIES AND PROCEDURES

A description of the policies and procedures that the Trust uses to determine
how to vote proxies and information on how each Fund voted proxies relating to
its portfolio securities during the most recent 12-month period ended June 30 is
available (1) without charge, upon request, by calling (800) 988-5891; (2) on
each Fund's website at www.ftportfolios.com; and (3) on the Securities and
Exchange Commission's ("SEC") website at www.sec.gov.

                               PORTFOLIO HOLDINGS

Each Fund files portfolio holdings information for each month in a fiscal
quarter within 60 days after the end of the relevant fiscal quarter on Form
N-PORT. Portfolio holdings information for the third month of each fiscal
quarter will be publicly available on the SEC's website at www.sec.gov. Each
Fund's complete schedule of portfolio holdings for the second and fourth
quarters of each fiscal year is included in the semi-annual and annual reports
to shareholders, respectively, and is filed with the SEC on Form N-CSR. The
semi-annual and annual report for each Fund is available to investors within 60
days after the period to which it relates. Each Fund's Forms N-PORT and Forms
N-CSR are available on the SEC's website listed above.

                              RISK CONSIDERATIONS

RISKS ARE INHERENT IN ALL INVESTING. CERTAIN GENERAL RISKS THAT MAY BE
APPLICABLE TO A FUND ARE IDENTIFIED BELOW, BUT NOT ALL OF THE MATERIAL RISKS
RELEVANT TO EACH FUND ARE INCLUDED IN THIS REPORT AND NOT ALL OF THE RISKS BELOW
APPLY TO EACH FUND. THE MATERIAL RISKS OF INVESTING IN EACH FUND ARE SPELLED OUT
IN ITS PROSPECTUS, STATEMENT OF ADDITIONAL INFORMATION AND OTHER REGULATORY
FILINGS. BEFORE INVESTING, YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE,
RISKS, CHARGES AND EXPENSES, AND READ EACH FUND'S PROSPECTUS AND STATEMENT OF
ADDITIONAL INFORMATION CAREFULLY. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT
WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO
REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND.

CONCENTRATION RISK. To the extent that a fund is able to invest a significant
percentage of its assets in a single asset class or the securities of issuers
within the same country, state, region, industry or sector, an adverse economic,
business or political development may affect the value of the fund's investments
more than if the fund were more broadly diversified. A fund that tracks an index
will be concentrated to the extent the fund's corresponding index is
concentrated. A concentration makes a fund more susceptible to any single
occurrence and may subject the fund to greater market risk than a fund that is
more broadly diversified.

CREDIT RISK. Credit risk is the risk that an issuer of a security will be unable
or unwilling to make dividend, interest and/or principal payments when due and
the related risk that the value of a security may decline because of concerns
about the issuer's ability to make such payments.

CYBER SECURITY RISK. The funds are susceptible to potential operational risks
through breaches in cyber security. A breach in cyber security refers to both
intentional and unintentional events that may cause a fund to lose proprietary
information, suffer data corruption or lose operational capacity. Such events
could cause a fund to incur regulatory penalties, reputational damage,
additional compliance costs associated with corrective measures and/or financial
loss. In addition, cyber security breaches of a fund's third-party service
providers, such as its administrator, transfer agent, custodian, or sub-advisor,
as applicable, or issuers in which the fund invests, can also subject a fund to
many of the same risks associated with direct cyber security breaches.

DEFINED OUTCOME FUNDS RISK. To the extent a fund's investment strategy is
designed to deliver returns tied to the price performance of an underlying ETF,
an investor may not realize the returns the fund seeks to achieve if that
investor does not hold shares for the entire target outcome period. In the event
an investor purchases shares after the first day of the target outcome period or
sells shares prior to the end of the target outcome period, the buffer that the
fund seeks to provide against a decline in the value of the underlying ETF may
not be available, the enhanced returns that the fund seeks to provide (if any)
may not be available and the investor may not participate in a gain in the value
of the underlying ETF up to the cap for the investor's investment period.
Additionally, the fund will not participate in gains of the underlying ETF above
the cap and a shareholder may lose their entire investment. If the fund seeks
enhanced returns, there are certain time periods when the value of the fund may
fall faster than the value of the underlying ETF, and it is very unlikely that,
on any given day during which the underlying ETF share price increases in value,
the fund's share price will increase at the same rate as the enhanced returns


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ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------

                  FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
                                  SECTOR FUNDS
                          JANUARY 31, 2022 (UNAUDITED)

sought by the fund, which is designed for an entire target outcome period.
Trading flexible exchange options involves risks different from, or possibly
greater than, the risks associated with investing directly in securities, such
as less liquidity and correlation and valuation risks. A fund may experience
substantial downside from specific flexible exchange option positions and
certain positions may expire worthless.

DERIVATIVES RISK. To the extent a fund uses derivative instruments such as
futures contracts, options contracts and swaps, the fund may experience losses
because of adverse movements in the price or value of the underlying asset,
index or rate, which may be magnified by certain features of the derivative.
These risks are heightened when a fund's portfolio managers use derivatives to
enhance the fund's return or as a substitute for a position or security, rather
than solely to hedge (or offset) the risk of a position or security held by the
fund.

EQUITY SECURITIES RISK. To the extent a fund invests in equity securities, the
value of the fund's shares will fluctuate with changes in the value of the
equity securities. Equity securities prices fluctuate for several reasons,
including changes in investors' perceptions of the financial condition of an
issuer or the general condition of the relevant stock market, such as market
volatility, or when political or economic events affecting the issuers occur. In
addition, common stock prices may be particularly sensitive to rising interest
rates, as the cost of capital rises and borrowing costs increase. Equity
securities may decline significantly in price over short or extended periods of
time, and such declines may occur in the equity market as a whole, or they may
occur in only a particular country, company, industry or sector of the market.

ETF RISK. The shares of an ETF trade like common stock and represent an interest
in a portfolio of securities. The risks of owning an ETF generally reflect the
risks of owning the underlying securities, although lack of liquidity in an ETF
could result in it being more volatile and ETFs have management fees that
increase their costs. Shares of an ETF trade on an exchange at market prices
rather than net asset value, which may cause the shares to trade at a price
greater than net asset value (premium) or less than net asset value (discount).
In times of market stress, decisions by market makers to reduce or step away
from their role of providing a market for an ETF's shares, or decisions by an
ETF's authorized participants that they are unable or unwilling to proceed with
creation and/or redemption orders of an ETF's shares, could result in shares of
the ETF trading at a discount to net asset value and in greater than normal
intraday bid-ask spreads.

FIXED INCOME SECURITIES RISK. To the extent a fund invests in fixed income
securities, the fund will be subject to credit risk, income risk, interest rate
risk, liquidity risk and prepayment risk. Income risk is the risk that income
from a fund's fixed income investments could decline during periods of falling
interest rates. Interest rate risk is the risk that the value of a fund's fixed
income securities will decline because of rising interest rates. Liquidity risk
is the risk that a security cannot be purchased or sold at the time desired, or
cannot be purchased or sold without adversely affecting the price. Prepayment
risk is the risk that the securities will be redeemed or prepaid by the issuer,
resulting in lower interest payments received by the fund. In addition to these
risks, high yield securities, or "junk" bonds, are subject to greater market
fluctuations and risk of loss than securities with higher ratings, and the
market for high yield securities is generally smaller and less liquid than that
for investment grade securities.

INDEX OR MODEL CONSTITUENT RISK. Certain funds may be a constituent of one or
more indices or ETF models. As a result, such a fund may be included in one or
more index-tracking exchange-traded funds or mutual funds. Being a component
security of such a vehicle could greatly affect the trading activity involving a
fund, the size of the fund and the market volatility of the fund. Inclusion in
an index could increase demand for the fund and removal from an index could
result in outsized selling activity in a relatively short period of time. As a
result, a fund's net asset value could be negatively impacted and the fund's
market price may be significantly below its net asset value during certain
periods. In addition, index rebalances may potentially result in increased
trading activity in a fund's shares.

INDEX PROVIDER RISK. To the extent a fund seeks to track an index, it is subject
to Index Provider Risk. There is no assurance that the Index Provider will
compile the Index accurately, or that the Index will be determined, maintained,
constructed, reconstituted, rebalanced, composed, calculated or disseminated
accurately. To correct any such error, the Index Provider may carry out an
unscheduled rebalance or other modification of the Index constituents or
weightings, which may increase the fund's costs. The Index Provider does not
provide any representation or warranty in relation to the quality, accuracy or
completeness of data in the Index, and it does not guarantee that the Index will
be calculated in accordance with its stated methodology. Losses or costs
associated with any Index Provider errors generally will be borne by the fund
and its shareholders.

INVESTMENT COMPANIES RISK. To the extent a fund invests in the securities of
other investment vehicles, the fund will incur additional fees and expenses that
would not be present in a direct investment in those investment vehicles.
Furthermore, the fund's investment performance and risks are directly related to
the investment performance and risks of the investment vehicles in which the
fund invests.


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ADDITIONAL INFORMATION (CONTINUED)
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                  FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
                                  SECTOR FUNDS
                          JANUARY 31, 2022 (UNAUDITED)

LIBOR RISK. To the extent a fund invests in floating or variable rate
obligations that use the London Interbank Offered Rate ("LIBOR") as a reference
interest rate, it is subject to LIBOR Risk. The United Kingdom's Financial
Conduct Authority, which regulates LIBOR has ceased making LIBOR available as a
reference rate over a phase-out period that began December 31, 2021. There is no
assurance that any alternative reference rate, including the Secured Overnight
Financing Rate ("SOFR") will be similar to or produce the same value or economic
equivalence as LIBOR or that instruments using an alternative rate will have the
same volume or liquidity. The unavailability or replacement of LIBOR may affect
the value, liquidity or return on certain fund investments and may result in
costs incurred in connection with closing out positions and entering into new
trades. Any potential effects of the transition away from LIBOR on the fund or
on certain instruments in which the fund invests can be difficult to ascertain,
and they may vary depending on a variety of factors, and they could result in
losses to the fund.

MANAGEMENT RISK. To the extent that a fund is actively managed, it is subject to
management risk. In managing an actively-managed fund's investment portfolio,
the fund's portfolio managers will apply investment techniques and risk analyses
that may not have the desired result. There can be no guarantee that a fund will
meet its investment objective.

MARKET RISK. Securities held by a fund, as well as shares of a fund itself, are
subject to market fluctuations caused by factors such as general economic
conditions, political events, regulatory or market developments, changes in
interest rates and perceived trends in securities prices. Shares of a fund could
decline in value or underperform other investments as a result of the risk of
loss associated with these market fluctuations. In addition, local, regional or
global events such as war, acts of terrorism, spread of infectious diseases or
other public health issues, recessions, or other events could have a significant
negative impact on a fund and its investments. Such events may affect certain
geographic regions, countries, sectors and industries more significantly than
others. In February 2022, Russia invaded Ukraine which has caused and could
continue to cause significant market disruptions and volatility within the
markets in Russia, Europe, and the United States. The hostilities and sanctions
resulting from those hostilities could have a significant impact on certain fund
investments as well as fund performance. The outbreak of the respiratory disease
designated as COVID-19 in December 2019 has caused significant volatility and
declines in global financial markets, which have caused losses for investors.
While the development of vaccines has slowed the spread of the virus and allowed
for the resumption of "reasonably" normal business activity in the United
States, many countries continue to impose lockdown measures in an attempt to
slow the spread. Additionally, there is no guarantee that vaccines will be
effective against emerging variants of the disease.

NON-U.S. SECURITIES RISK. To the extent a fund invests in non-U.S. securities,
it is subject to additional risks not associated with securities of domestic
issuers. Non-U.S. securities are subject to higher volatility than securities of
domestic issuers due to: possible adverse political, social or economic
developments; restrictions on foreign investment or exchange of securities;
capital controls; lack of liquidity; currency exchange rates; excessive
taxation; government seizure of assets; the imposition of sanctions by foreign
governments; different legal or accounting standards; and less government
supervision and regulation of exchanges in foreign countries. Investments in
non-U.S. securities may involve higher costs than investments in U.S.
securities, including higher transaction and custody costs, as well as
additional taxes imposed by non-U.S. governments. These risks may be heightened
for securities of companies located, or with significant operations, in emerging
market countries.

OPERATIONAL RISK. Each fund is subject to risks arising from various operational
factors, including, but not limited to, human error, processing and
communication errors, errors of a fund's service providers, counterparties or
other third-parties, failed or inadequate processes and technology or systems
failures. Each fund relies on third-parties for a range of services, including
custody. Any delay or failure relating to engaging or maintaining such service
providers may affect a fund's ability to meet its investment objective. Although
the funds and the funds' investment advisor seek to reduce these operational
risks through controls and procedures, there is no way to completely protect
against such risks.

PASSIVE INVESTMENT RISK. To the extent a fund seeks to track an index, the fund
will invest in the securities included in, or representative of, the index
regardless of their investment merit. A fund generally will not attempt to take
defensive positions in declining markets.

          NOT FDIC INSURED     NOT BANK GUARANTEED     MAY LOSE VALUE


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FIRST TRUST

FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS

--------------------------------------------------------------------------------

INVESTMENT ADVISOR
First Trust Advisors L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187

ADMINISTRATOR, CUSTODIAN,
FUND ACCOUNTANT &
TRANSFER AGENT
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286

INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
111 S. Wacker Drive
Chicago, IL 60606

LEGAL COUNSEL
Chapman and Cutler LLP
320 South Canal Street
Chicago, IL 60606





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