-------------------------------------------------------------------------------- FIRST TRUST First Trust Exchange-Traded AlphaDEX(R) Fund Semi-Annual Report January 31, 2022 -------------------------------------------------------------------------------- AlphaDEX(R) Sector Funds ------------------------ First Trust Consumer Discretionary AlphaDEX(R) Fund (FXD) First Trust Consumer Staples AlphaDEX(R) Fund (FXG) First Trust Energy AlphaDEX(R) Fund (FXN) First Trust Financials AlphaDEX(R) Fund (FXO) First Trust Health Care AlphaDEX(R) Fund (FXH) First Trust Industrials/Producer Durables AlphaDEX(R) Fund (FXR) First Trust Materials AlphaDEX(R) Fund (FXZ) First Trust Technology AlphaDEX(R) Fund (FXL) First Trust Utilities AlphaDEX(R) Fund (FXU) AlphaDEX(R) FAMILY OF ETFs AlphaDEX(R) is a registered trademark of First Trust Portfolios L.P. -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS SEMI-ANNUAL REPORT JANUARY 31, 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 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- CAUTION REGARDING FORWARD-LOOKING STATEMENTS This report contains certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. ("First Trust" or the "Advisor") and its representatives, taking into account the information currently available to them. Forward-looking statements include all statements that do not relate solely to current or historical fact. For example, forward-looking statements include the use of words such as "anticipate," "estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or other words that convey uncertainty of future events or outcomes. Forward-looking statements involve known and unknown risks, uncertainties and other factors that may cause the actual results, performance or achievements of any series of First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") described in this report (each such series is referred to as a "Fund" and collectively, as the "Funds") to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue reliance on these forward-looking statements, which reflect the judgment of the Advisor and its representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof. PERFORMANCE AND RISK DISCLOSURE There is no assurance that any Fund described in this report will achieve its investment objective. Each Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund's shares may therefore be less than what you paid for them. Accordingly, you can lose money investing in a Fund. See "Risk Considerations" in the Additional Information section of this report for a discussion of certain other risks of investing in the Funds. Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please visit www.ftportfolios.com or speak with your financial advisor. Investment returns, net asset value and share price will fluctuate and Fund shares, when sold, may be worth more or less than their original cost. The Advisor may also periodically provide additional information on Fund performance on each Fund's webpage at www.ftportfolios.com. HOW TO READ THIS REPORT This report contains information that may help you evaluate your investment. It includes details about each Fund and presents data and analysis that provide insight into each Fund's performance and investment approach. By reading the market overview by Robert F. Carey, Chief Market Strategist of the Advisor, you may obtain an understanding of how the market environment affected the performance of each Fund. The statistical information that follows may help you understand each Fund's performance compared to that of relevant market benchmarks. It is important to keep in mind that the opinions expressed by personnel of the Advisor are just that: informed opinions. They should not be considered to be promises or advice. The opinions, like the statistics, cover the period through the date on the cover of this report. The material risks of investing in each Fund are spelled out in its prospectus, statement of additional information, and other Fund regulatory filings. Page 1 -------------------------------------------------------------------------------- SHAREHOLDER LETTER -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO JANUARY 31, 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 -------------------------------------------------------------------------------- MARKET OVERVIEW -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SEMI-ANNUAL REPORT JANUARY 31, 2022 ROBERT F. CAREY, CFA SENIOR VICE PRESIDENT AND CHIEF MARKET STRATEGIST FIRST TRUST ADVISORS L.P. Mr. Carey is responsible for the overall management of research and analysis of the First Trust product line. Mr. Carey has more than 30 years of experience as an Equity and Fixed-Income Analyst and is a recipient of the Chartered Financial Analyst ("CFA") designation. He is a graduate of the University of Illinois at Champaign-Urbana with a B.S. in Physics. He is also a member of the Investment Analysts Society of Chicago and the CFA Institute. Mr. Carey has appeared as a guest on such programs as Bloomberg TV, CNBC, and WBBM Radio, and has been quoted by several publications, including The Wall Street Journal, The Wall Street Reporter, Bloomberg News Service, and Registered Rep. STATE OF THE U.S. 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 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) The First Trust Consumer Discretionary AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Consumer Discretionary Index (the "Consumer Discretionary Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks that comprise the Consumer Discretionary Index. The shares of the Fund are listed and trade on the NYSE Arca, Inc. (the "NYSE Arca" or the "Exchange") under the ticker symbol "FXD." The Consumer Discretionary Index is a modified equal-dollar weighted index designed by ICE Data Indices, LLC or its affiliates ("IDI") to objectively identify and select stocks from the Russell 1000(R) Index in the consumer discretionary sector that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX(R) selection methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. IDI constructs the Consumer Discretionary Index using the Industry Classification Benchmark ("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 -5.81% 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 ----------------------------------------------------------------------------------------------------------------------------------- (See Notes to Fund Performance Overview on page 22.) ----------------------------- (1) On or about September 18, 2008, Russell Investment Group ("Russell") began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the Russell Global Sectors ("RGS"). The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. In addition to the implementation of the RGS, Russell changed the name of the Russell 1000(R) Consumer Discretionary and Services Index to the Russell 1000(R) Consumer Discretionary Index. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000(R) Consumer Discretionary Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme, or alternatively, using solely the RGS. Source ICE Data Indices, LLC ("ICE Data"), is used with permission. "StrataQuant(R)" is a service/trade mark of ICE Data or its affiliates. Frank Russell Company is the source and owner of the trademarks, service marks and copyrights related to the Russell Indices. Russell(R), Russell 1000(R) and Russell 3000(R) are all registered trademarks of Frank Russell Company. Russell 1000(R) and Russell 3000(R) are being utilized in the indices under license. These trademarks have been licensed along with the StrataQuant(R) Consumer Discretionary Index ("Index") for use by First Trust Portfolios L.P. ("FTP") in connection with the First Trust Consumer Discretionary AlphaDEX(R) Fund ("FXD"). Neither FTP, the Trust, nor FXD is sponsored, endorsed, sold or promoted by ICE Data, its affiliates or its Third Party Suppliers including without limitation Frank Russell Company ("ICE Data and its Suppliers"). ICE Data and its Suppliers make no representations or warranties regarding the advisability of investing in securities generally, in FXD particularly, the Trust or the ability of the Index to track general stock market performance. ICE Data's only relationship to FTP is the licensing of certain trademarks, trade names and the Index or components thereof. The Index is determined, composed and calculated by ICE Data without regard to FTP or FXD or its holders. ICE Data has no obligation to take the needs of FTP or the holders of FXD into consideration in determining, composing or calculating the Index. ICE Data is not responsible for and has not participated in the determination of the timing of, prices of, or quantities of FXD to be issued or in the determination or calculation of the equation by which FXD is to be priced, sold, purchased, or redeemed. Except for certain custom index calculation services, all information provided by ICE Data is general in nature and not tailored to the needs of FTP or any other person, entity or group of persons. ICE Data has no obligation or liability in connection with the administration, marketing, or trading of FXD. ICE Data is not an investment advisor. Inclusion of a security within an index is not a recommendation by ICE Data to buy, sell, or hold such security, nor is it considered to be investment advice. ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS, EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM ("INDEX DATA"). ICE DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND THE INDEX DATA, WHICH ARE PROVIDED ON AN "AS IS" BASIS AND YOUR USE IS AT YOUR OWN RISK. Page 4 -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) (CONTINUED) ---------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ---------------------------------------------------------- Consumer Discretionary 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 -------------------------------------------------------------------------------- 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 Page 60 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- 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 -- Page 61 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- 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. Page 62 -------------------------------------------------------------------------------- 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 Page 63 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- 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. Page 64 -------------------------------------------------------------------------------- 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 Page 65 -------------------------------------------------------------------------------- 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. Page 66 -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- 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 Page 67 This page is intentionally left blank. -------------------------------------------------------------------------------- FIRST TRUST FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND SECTOR FUNDS -------------------------------------------------------------------------------- INVESTMENT ADVISOR First Trust Advisors L.P. 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 ADMINISTRATOR, CUSTODIAN, FUND ACCOUNTANT & TRANSFER AGENT The Bank of New York Mellon 240 Greenwich Street New York, NY 10286 INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Deloitte & Touche LLP 111 S. Wacker Drive Chicago, IL 60606 LEGAL COUNSEL Chapman and Cutler LLP 320 South Canal Street Chicago, IL 60606 [BLANK BACK COVER]