First Trust Exchange-Traded AlphaDEX® Fund II
Annual Report
December 31, 2021
 

First Trust Asia Pacific ex-Japan AlphaDEX® Fund (FPA)
First Trust Europe AlphaDEX® Fund (FEP)
First Trust Latin America AlphaDEX® Fund (FLN)
First Trust Brazil AlphaDEX® Fund (FBZ)
First Trust China AlphaDEX® Fund (FCA)
First Trust Japan AlphaDEX® Fund (FJP)
First Trust Developed Markets ex-US AlphaDEX® Fund (FDT)
First Trust Emerging Markets AlphaDEX® Fund (FEM)
First Trust Germany AlphaDEX® Fund (FGM)
First Trust United Kingdom AlphaDEX® Fund (FKU)
First Trust India NIFTY 50 Equal Weight ETF (NFTY)
First Trust Switzerland AlphaDEX® Fund (FSZ)
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund (FDTS)
First Trust Emerging Markets Small Cap AlphaDEX® Fund (FEMS)
First Trust Eurozone AlphaDEX® ETF (FEUZ)
AlphaDEX® is a registered trademark of First Trust Portfolios L.P.


Table of Contents
First Trust Exchange-Traded AlphaDEX® Fund II
Annual Report
December 31, 2021

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Fund Performance Overview

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Portfolio of Investments

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Table of Contents
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® Fund II (the “Trust”) described in this report (each such series is referred to as a “Fund” and collectively, 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 by 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 web page 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 the prospectus, the statement of additional information, and other Fund regulatory filings.
Page 1

Table of Contents
Shareholder Letter
First Trust Exchange-Traded AlphaDEX® Fund II
Annual Letter from the Chairman and CEO
December 31, 2021
Dear Shareholders,
First Trust is pleased to provide you with the annual report for the First Trust Exchange-Traded AlphaDEX® Fund II (the “Funds”), which contains detailed information about the Funds for the twelve months ended December 31, 2021.
Being that this is a year-end review, I would like to touch on the state of the business climate and securities markets in the U.S. The two biggest stories in 2021 were clearly the ongoing fight against the coronavirus (“COVID-19”) pandemic and the surge in the rate of inflation, which I believe is a byproduct of that fight. The COVID-19 pandemic is closing in on its second anniversary and it continues to curb economic activity in the U.S. and abroad. It is nearly as challenging today as it was at its peak in 2020.
The emergence of the Omicron variant in the latter half of 2021 was particularly disappointing because we had been making some inroads into fully reopening the U.S. economy until its arrival. Americans were dining out. Airline travel was picking up and people were even taking cruises again. We have learned that the Omicron variant, while seemingly not as dangerous as its predecessor, the Delta variant, at least in terms of the number of deaths to date, is still extremely contagious, especially for those individuals who have not been vaccinated. The U.S. federal government has funneled trillions of dollars of stimulus and subsidies into the financial system to mitigate the economic fallout from the pandemic. That level of support is unprecedented and has likely fueled much of the surge in inflation, as measured by the Consumer Price Index (“CPI”). The standard definition for inflation is “too many dollars chasing too few goods.” The explosion of the U.S. money supply has easily overwhelmed the volume of goods available to consumers. Global supply chain bottlenecks, including the backlog of container ships at ports in Southern California, have also contributed to the shortages of goods. In December 2021, the trailing 12-month rate on the CPI was 7.0%, up from 1.4% last December, according to the U.S. Bureau of Labor Statistics. The last time inflation was this elevated was in 1982.
Since the onset of COVID-19, companies and millions of employees have scrambled to adapt to the new normal of working remotely, typically from home. What an amazing thing to watch. While opinions may vary, it has become evident that the workplace culture has probably changed forever. According to Barron’s magazine, we should look for more of a hybrid arrangement moving forward that would entail workers being at the office for three days a week and home for two. I do not believe that the stock and bond markets would have performed nearly as well over the past two years had U.S. businesses not overcome the adversity brought their way by COVID-19. Oh, and the trillions of dollars from the government. In 2021, the S&P 500® Index posted a total return of 28.71%, and that came on the heels of an 18.40% gain in 2020, according to Bloomberg. From 1926-2021 (a span of 96 years), the S&P 500® Index posted an average annual total return of 10.44%, according to Morningstar/Ibbotson Associates. Investors should relish these outsized returns. Bond investors have earned more modest total returns over the past two years. Bond returns were higher for most bond categories in 2020 due to the artificially depressed yield on the 10-Year Treasury Note (“T-Note”). The 10-Year T-Note yield trended higher in 2021, putting some pressure on bond prices. Expect the Federal Reserve to tighten monetary policy by raising short-term interest rates. It could begin as early as March 2022. While the markets could experience some near-term pain, I believe normalizing interest rates and bond yields will prove to be a healthy and necessary transition for the markets long-term.
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,
James A. Bowen
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
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Table of Contents
Market Overview
First Trust Exchange-Traded AlphaDEX® Fund II
Annual Report
December 31, 2021
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 Global Economy/Investing
Inflation surged in 2021 and it 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 announced it will expedite the tapering of its monthly bond buying program as of 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, it should be done buying bonds in the open market by the end of March 2022. They also foresee hiking short-term interest rates three times in 2022. The Federal Funds target rate (upper bound) is currently at 0.25%. The trailing 12-month Consumer Price Index rate stood at 7.0% in December 2021, according to the U.S. Bureau of Labor Statistics. That is up significantly from 1.4% in December 2020 and well above its 2.3% average rate over the past 30 years.
The global growth forecast from the International Monetary Fund (“IMF”) released in October 2021 sees real gross domestic product growth rising by 4.9% worldwide in 2022, down from its 5.9% projection for 2021. The IMF is calling for a 5.2% growth rate for the U.S. in 2022, down from its 6.0% estimate for 2021. As has been the case for many years, Emerging Market and Developing Economies are expected to grow faster than Advanced Economies. Their 2022 growth rate estimates are 5.1% and 4.5%, respectively.
Global dividends increased by 22.0% year-over-year to $403.5 billion in the third quarter of 2021, as measured by the Janus Henderson Global Dividend Index, according to its own release. That is an all-time high for a third quarter. The U.S. accounted for $130.7 billion of that total, also a record high for a third quarter. Globally, 90% of companies either raised their dividend payout or maintained it. Janus Henderson estimates that global dividend payments will total $1.46 trillion in 2021. It expects the level of dividend payouts to surpass the pre-pandemic peak by year-end 2021.
The overall tone of the business climate, as measured in part by mergers and acquisitions (“M&A”) activity, reflects strength and the willingness of CEOs to risk capital. Refinitiv reported that global M&A activity jumped 64% year-over-year to a record $5.8 trillion in 2021. The U.S. accounted for $2.5 trillion of that total.
The exchange-traded funds (“ETFs”) and related exchange-traded products (“ETPs”) industry grew significantly in 2021. ETFGI, an independent research and consultancy firm, reported that total assets invested in ETFs/ETPs listed in the U.S. stood at an all-time high of $7.21 trillion as of year-end, up 31.81% from the $5.47 trillion at the end of 2020, according to its own release. Net inflows to ETFs/ETPs listed in the U.S. hit a record high of $919.78 billion in 2021, topping the prior record of $490.19 billion in 2020. U.S. ETF/ETP assets represent approximately 72% of total global ETF/ETP assets.
Performance of Foreign Stocks and Bonds
The U.S. dollar appreciated by 6.37% against a basket of major currencies in 2021, as measured by the U.S. Dollar Index (“DXY”), according to Bloomberg. The DXY closed 2021 at a reading of 95.67, above its 20-year average of 88.89. The stronger U.S. dollar likely had a negative influence on the returns of unhedged foreign securities held by U.S. investors.
The Bloomberg EM Hard Currency Aggregate Index of emerging markets debt posted a total return of -2.57% (USD), while the Bloomberg Global Aggregate Index of higher quality debt declined 4.71% (USD). With respect to equities, the MSCI Emerging Markets Index of stocks posted a total return of -2.54% (USD), while the MSCI World ex USA Index rose by 12.62% (USD) on a total return basis, according to Bloomberg.
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Table of Contents
Fund Performance Overview (Unaudited)
First Trust Asia Pacific ex-Japan AlphaDEX® Fund (FPA)
The First Trust Asia Pacific ex-Japan AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the NASDAQ AlphaDEX® Asia Pacific Ex-Japan Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks, depositary receipts, real estate investment trusts and preferred shares that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC (the “Nasdaq”) under the ticker symbol “FPA.” The Fund commenced trading on April 19, 2011.
The Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the NASDAQ DM Asia Pacific Ex-Japan Index which may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
Performance  
    Average Annual Total Returns   Cumulative Total Returns
  1 Year
Ended
12/31/21
5 Years
Ended
12/31/21
10 Years
Ended
12/31/21
Inception
(4/18/11)
to 12/31/21
  5 Years
Ended
12/31/21
10 Years
Ended
12/31/21
Inception
(4/18/11)
to 12/31/21
Fund Performance                
NAV 2.75% 6.43% 6.25% 3.43%   36.58% 83.43% 43.47%
Market Price 2.34% 6.01% 6.05% 3.31%   33.92% 79.93% 41.63%
Index Performance                
NASDAQ AlphaDEX® Asia Pacific Ex-Japan Index(1) 3.68% 7.39% N/A N/A   42.83% N/A N/A
NASDAQ DM Asia Pacific Ex-Japan Index(1) 1.91% 9.56% N/A N/A   57.88% N/A N/A
MSCI Pacific ex-Japan Index 4.68% 8.31% 6.77% 4.49%   49.07% 92.46% 60.01%
(See Notes to Fund Performance Overview Page 34.)
Performance Review
The Fund generated a net asset value (“NAV”) return of 2.75% during the 12-month period covered by this report. During the same period, the MSCI Pacific ex-Japan Index (the “Benchmark”) generated a return of 4.68%. During the period covered by this report, the Fund allocated 48.8% of its assets to investments in South Korea. Exposure to this country was far greater than to any other country in the Fund, as Australia and Hong Kong received the second and third-greatest allocations, with a 23.2% and 20.0% average weight, respectively. The allocation to South Korea contributed -0.6% to the Fund’s return. This was the poorest contribution to the Fund’s return of any country during the period covered by this report. Investments in Australia had the greatest contribution to the Fund’s return. This country received an allocation of 23.2% and contributed 3.6% to the Fund’s overall return. The total currency effect to the Fund over the period covered by this report was -6.7%. On a relative basis, the Fund underperformed the Benchmark. The greatest source of underperformance came from investments in South Korea. The Benchmark had no allocation to South Korea, which was the country with the greatest allocation in the Fund. In total, Korean exposure caused -2.9% of underperformance for the Fund versus the Benchmark. Meanwhile, the Fund’s investments in Hong Kong significantly outperformed the Benchmark’s investments in Hong Kong, and exposure to this country caused 2.0% of outperformance for the Fund versus the Benchmark.

(1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods.
Nasdaq® and NASDAQ AlphaDEX® Asia Pacific Ex-Japan Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 4

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Asia Pacific ex-Japan AlphaDEX® Fund (FPA) (Continued)
Sector Allocation % of Total
Long-Term
Investments
Materials 26.4%
Industrials 17.1
Financials 10.9
Information Technology 10.2
Real Estate 10.0
Consumer Discretionary 9.1
Consumer Staples 5.5
Communication Services 4.2
Energy 2.4
Utilities 2.3
Health Care 1.9
Total 100.0%
Top Ten Holdings % of Total
Long-Term
Investments
Pilbara Minerals Ltd. 2.7%
Fortescue Metals Group Ltd. 2.2
LG Display Co., Ltd. 2.2
L&F Co., Ltd. 2.1
Lynas Rare Earths Ltd. 2.1
Northern Star Resources Ltd. 1.9
Ecopro BM Co., Ltd. 1.8
SKC Co., Ltd. 1.7
SK Hynix, Inc. 1.7
Korea Zinc Co., Ltd. 1.7
Total 20.1%

Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter), is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
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Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Europe AlphaDEX® Fund (FEP)
The First Trust Europe AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the NASDAQ AlphaDEX® Europe Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks, depositary receipts, real estate investment trusts and preferred shares that comprise the Index. The shares of the Fund are listed and trade on the Nasdaq under the ticker symbol “FEP.” The Fund commenced trading on April 19, 2011.
The Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the NASDAQ DM Europe Index which may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
Performance  
    Average Annual Total Returns   Cumulative Total Returns
  1 Year
Ended
12/31/21
5 Years
Ended
12/31/21
10 Years
Ended
12/31/21
Inception
(4/18/11)
to 12/31/21
  5 Years
Ended
12/31/21
10 Years
Ended
12/31/21
Inception
(4/18/11)
to 12/31/21
Fund Performance                
NAV 16.53% 10.91% 9.78% 6.27%   67.85% 154.29% 91.91%
Market Price 16.76% 10.87% 9.57% 6.22%   67.54% 149.35% 90.69%
Index Performance                
NASDAQ AlphaDEX® Europe Index(1) 17.14% 11.57% N/A N/A   72.89% N/A N/A
NASDAQ DM Europe Index(1) 15.88% 10.17% N/A N/A   62.33% N/A N/A
MSCI Europe Index 16.30% 10.14% 8.18% 5.90%   62.08% 119.52% 84.79%
(See Notes to Fund Performance Overview Page 34.)
Performance Review
The Fund generated a NAV return of 16.53% during the 12-month period covered by this report. During the same period, the MSCI Europe Index (the “Benchmark”) generated a return of 16.30%. Investments in the United Kingdom (“UK”) received the greatest allocation in the Fund during the period covered by this report, and also had the greatest contribution to the Fund’s return of any country. These securities received an average weight of 22.5% and contributed 5.3% to the Fund’s overall return. Investments in almost every country showed positive returns during the period. The worst contribution to the Fund’s return, and one of the few negative returns, came from investments in Spain, which received an allocation of 2.8% and contributed -0.3% to the Fund’s return. The total currency effect to the Fund over the period covered by this report was -7.1%. On a relative basis, the Fund outperformed the Benchmark. The greatest source of outperformance came from investments in the UK, which was also the country with the greatest allocation. UK investments contributed 1.2% to the Fund’s outperformance versus the Benchmark. Meanwhile, investments in Switzerland caused the most underperformance of any country represented in the Fund. Swiss investments caused -0.8% of underperformance for the Fund versus the Benchmark.

(1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods.
Nasdaq® and NASDAQ AlphaDEX® Europe Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 6

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Europe AlphaDEX® Fund (FEP) (Continued)
Sector Allocation % of Total
Long-Term
Investments
Financials 20.7%
Materials 15.1
Industrials 11.9
Consumer Discretionary 11.7
Real Estate 7.9
Communication Services 7.5
Health Care 6.7
Utilities 6.1
Information Technology 5.8
Energy 3.3
Consumer Staples 3.3
Total 100.0%
Top Ten Holdings % of Total
Long-Term
Investments
D’ieteren Group 1.1%
Samhallsbyggnadsbolaget i Norden AB 1.1
AP Moller - Maersk A.S., Class B 1.1
Telecom Italia S.p.A. 1.0
Sofina S.A. 1.0
Segro PLC 1.0
Royal Mail PLC 1.0
Boliden AB 1.0
Nibe Industrier AB, Class B 1.0
Tritax Big Box REIT PLC 0.9
Total 10.2%

Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter), is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
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Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Latin America AlphaDEX® Fund (FLN)
The First Trust Latin America AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the NASDAQ AlphaDEX® Latin America Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks, depositary receipts, real estate investment trusts and preferred shares that comprise the Index. The shares of the Fund are listed and trade on the Nasdaq under the ticker symbol “FLN.” The Fund commenced trading on April 19, 2011.
The Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the NASDAQ Latin America Index which may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
Performance  
    Average Annual Total Returns   Cumulative Total Returns
  1 Year
Ended
12/31/21
5 Years
Ended
12/31/21
10 Years
Ended
12/31/21
Inception
(4/18/11)
to 12/31/21
  5 Years
Ended
12/31/21
10 Years
Ended
12/31/21
Inception
(4/18/11)
to 12/31/21
Fund Performance                
NAV -6.66% 2.87% 0.00% -1.66%   15.18% 0.02% -16.39%
Market Price -7.13% 2.95% -0.12% -1.71%   15.65% -1.15% -16.88%
Index Performance                
NASDAQ AlphaDEX® Latin America Index(1) -5.52% 4.38% N/A N/A   23.89% N/A N/A
NASDAQ Latin America Index(1) -12.28% 0.96% N/A N/A   4.88% N/A N/A
MSCI EM Latin America Index -8.09% 1.47% -2.17% -3.79%   7.59% -19.72% -33.88%
(See Notes to Fund Performance Overview Page 34.)
Performance Review
The Fund generated a NAV return of -6.66% during the 12-month period covered by this report. During the same period, the MSCI EM Latin America Index (the “Benchmark”) generated a return of -8.09%. Investments in Brazil dominated investment exposure in both the Fund and the Benchmark during the past year, with Mexico as a distant, but clear, second in both. Within the Fund, investments in Brazil received an allocation of 55.2% and contributed -4.0% to the Fund’s overall return. The Fund allocated 30.4% to investments in Mexico, which contributed 3.9% to the Fund’s return. These two countries were by far the most significant exposures of any country in the Fund during the period and were the greatest negative contributor and greatest positive contributor to the Fund’s performance, respectively. The total currency effect to the Fund during the period covered by this report was -7.4%. On a relative basis, the Fund outperformed the Benchmark. The greatest contributor to the Fund’s outperformance were investments in Brazil. While these had the worst contribution to the Fund’s return during the period, the impact of Brazilian investments on the return of the Benchmark was even worse. Ultimately, investments in this country caused 6.8% of outperformance for the Fund versus the Benchmark. The greatest cause of underperformance for the Fund versus the Benchmark came from investments in Chile. Investments in this country received the third greatest allocation in the Fund at 10.8%, and, during the 12-month period covered by this report, caused -2.5% of underperformance for the Fund versus the Benchmark.

(1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods.
Nasdaq® and NASDAQ AlphaDEX® Latin America Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 8

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Latin America AlphaDEX® Fund (FLN) (Continued)
Sector Allocation % of Total
Long-Term
Investments
Materials 32.3%
Consumer Staples 18.8
Utilities 11.0
Financials 10.5
Communication Services 8.1
Energy 6.7
Industrials 5.9
Consumer Discretionary 3.7
Real Estate 2.6
Information Technology 0.4
Total 100.0%
Top Ten Holdings % of Total
Long-Term
Investments
Grupo Bimbo S.A.B. de C.V., Series A 3.8%
Petroleo Brasileiro S.A. (Preference Shares) 3.5
JBS S.A. 3.5
Vale S.A. 3.5
Gerdau S.A. (Preference Shares) 3.4
Industrias Penoles S.A.B. de C.V. 3.4
America Movil S.A.B. de C.V., Series L 3.3
Braskem S.A., Class A (Preference Shares) 3.3
Grupo Carso S.A.B. de C.V., Series A1 3.2
Cia Energetica de Minas Gerais (Preference Shares) 3.2
Total 34.1%

Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter), is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 9

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Brazil AlphaDEX® Fund (FBZ)
The First Trust Brazil AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the NASDAQ AlphaDEX® Brazil Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks, depositary receipts, real estate investment trusts and preferred shares that comprise the Index. The shares of the Fund are listed and trade on the Nasdaq under the ticker symbol “FBZ.” The Fund commenced trading on April 19, 2011.
The Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the NASDAQ Brazil Index which may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
Performance  
    Average Annual Total Returns   Cumulative Total Returns
  1 Year
Ended
12/31/21
5 Years
Ended
12/31/21
10 Years
Ended
12/31/21
Inception
(4/18/11)
to 12/31/21
  5 Years
Ended
12/31/21
10 Years
Ended
12/31/21
Inception
(4/18/11)
to 12/31/21
Fund Performance                
NAV -9.00% 5.16% -1.02% -3.16%   28.62% -9.72% -29.06%
Market Price -9.08% 5.44% -1.07% -3.17%   30.33% -10.19% -29.14%
Index Performance                
NASDAQ AlphaDEX® Brazil Index(1) -7.86% 7.43% N/A N/A   43.12% N/A N/A
NASDAQ Brazil Index(1) -21.39% 0.70% N/A N/A   3.55% N/A N/A
MSCI Brazil Index -17.40% 0.85% -3.04% -4.98%   4.34% -26.57% -42.09%
(See Notes to Fund Performance Overview Page 34.)
Performance Review
The Fund generated a NAV return of -9.00% during the 12-month period covered by this report. During the same period, the MSCI Brazil Index (the “Benchmark”) generated a return of -17.40%. The Fund allocated 21.9% to investments in Materials stocks, which contributed a return of 0.5% in the Fund over the period covered by this report. The greatest source of return for the Fund was from the allocation to the Consumer Staples sector. Securities from the Materials sector carried an average weight in the Fund of 12.4% and contributed 2.8% to the Fund’s return. The greatest drag on the Fund was investments in the Consumer Staples sector which contributed -3.2% to the Fund’s return. The total currency effect to the Fund over the period covered by this report was 0.3%. On a relative basis, the Fund outperformed the Benchmark. The Fund earned 5.2% of outperformance versus the Benchmark from the Financials sector due to both weighting and investment selection, but the Fund earned -2.2% relative underperformance from the allocation to the Energy sector.

(1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods.
Nasdaq® and NASDAQ AlphaDEX® Brazil Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 10

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Brazil AlphaDEX® Fund (FBZ) (Continued)
Sector Allocation % of Total
Long-Term
Investments
Utilities 25.4%
Materials 21.9
Consumer Staples 15.5
Financials 12.1
Energy 7.0
Industrials 6.0
Consumer Discretionary 4.2
Information Technology 2.9
Communication Services 2.7
Real Estate 1.2
Health Care 1.1
Total 100.0%
Top Ten Holdings % of Total
Long-Term
Investments
Embraer S.A. 5.1%
JBS S.A. 5.1
Marfrig Global Foods S.A. 4.5
Cia Paranaense de Energia, Class B (Preference Shares) 4.2
Cia de Transmissao de Energia Electrica Paulista (Preference Shares) 3.8
Braskem S.A., Class A (Preference Shares) 3.8
Petroleo Brasileiro S.A. (Preference Shares) 3.8
Cia Energetica de Minas Gerais (Preference Shares) 3.4
Neoenergia S.A. 2.9
Gerdau S.A. (Preference Shares) 2.9
Total 39.5%

Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter), is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 11

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust China AlphaDEX® Fund (FCA)
The First Trust China AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the NASDAQ AlphaDEX® China Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks, depositary receipts, real estate investment trusts and preferred shares that comprise the Index. The shares of the Fund are listed and trade on the Nasdaq under the ticker symbol “FCA.” The Fund commenced trading on April 19, 2011.
The Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the NASDAQ China Index which may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
Performance  
    Average Annual Total Returns   Cumulative Total Returns
  1 Year
Ended
12/31/21
5 Years
Ended
12/31/21
10 Years
Ended
12/31/21
Inception
(4/18/11)
to 12/31/21
  5 Years
Ended
12/31/21
10 Years
Ended
12/31/21
Inception
(4/18/11)
to 12/31/21
Fund Performance                
NAV -1.18% 11.36% 6.78% 2.41%   71.29% 92.80% 29.03%
Market Price -0.42% 11.66% 6.76% 2.35%   73.57% 92.31% 28.27%
Index Performance                
NASDAQ AlphaDEX® China Index(1) -2.00% 12.38% N/A N/A   79.22% N/A N/A
NASDAQ China Index(1) -21.14% 6.37% N/A N/A   36.14% N/A N/A
MSCI China Index -21.72% 9.36% 7.17% 4.17%   56.42% 99.80% 54.77%
(See Notes to Fund Performance Overview Page 34.)
Performance Review
The Fund generated a NAV return of -1.18% during the 12-month period covered by this report. During the same period, the MSCI China Index (the “Benchmark”) generated a return of -21.72%. The Fund allocated broadly across the sectors. The sector with the greatest allocation during the period covered by the report was the Materials sector, which received an average weight of 21.1%. The investments in the Materials sector contributed a -2.0% drag on the Fund’s return. The sector with the worst contribution to the Fund’s return was the Health Care sector, which received an allocation of 8.4% and contributed -3.5% to the Fund’s return. The best contributor to the Fund was the Utilities sector. These investments received an average weight of 8.2% and contributed 7.3% to the Fund’s return. The total currency effect to the Fund over the period covered in this report was -0.5%. On a relative basis, the Fund outperformed the Benchmark. Outperformance of 8.5% for the Fund came from investments in the Consumer Discretionary sector. Meanwhile, the Fund earned -1.9% of underperformance via investment selections in the Information Technology sector, relative to the Benchmark.

(1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods.
Nasdaq® and NASDAQ AlphaDEX® China Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 12

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust China AlphaDEX® Fund (FCA) (Continued)
Sector Allocation % of Total
Long-Term
Investments
Materials 21.3%
Energy 14.8
Consumer Discretionary 12.1
Utilities 11.8
Health Care 11.3
Industrials 11.0
Real Estate 8.4
Financials 4.2
Communication Services 2.8
Information Technology 2.3
Total 100.0%
Top Ten Holdings % of Total
Long-Term
Investments
China Resources Power Holdings Co., Ltd. 7.3%
China Overseas Land & Investment Ltd. 3.9
COSCO SHIPPING Holdings Co., Ltd., Class H 3.7
Dongfeng Motor Group Co., Ltd., Class H 3.7
China Coal Energy Co., Ltd., Class H 3.6
China Suntien Green Energy Corp., Ltd., Class H 3.5
Anhui Conch Cement Co., Ltd., Class H 3.5
China Conch Venture Holdings Ltd. 3.5
Aluminum Corp. of China Ltd., Class H 3.4
China Petroleum & Chemical Corp., Class H 3.4
Total 39.5%

Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter), is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 13

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Japan AlphaDEX® Fund (FJP)
The First Trust Japan AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the NASDAQ AlphaDEX® Japan Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks, depositary receipts, real estate investment trusts and preferred shares that comprise the Index. The shares of the Fund are listed and trade on the Nasdaq under the ticker symbol “FJP.” The Fund commenced trading on April 19, 2011.
The Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the NASDAQ Japan Index which may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
Performance  
    Average Annual Total Returns   Cumulative Total Returns
  1 Year
Ended
12/31/21
5 Years
Ended
12/31/21
10 Years
Ended
12/31/21
Inception
(4/18/11)
to 12/31/21
  5 Years
Ended
12/31/21
10 Years
Ended
12/31/21
Inception
(4/18/11)
to 12/31/21
Fund Performance                
NAV -0.69% 2.67% 4.33% 3.58%   14.09% 52.85% 45.73%
Market Price -1.02% 2.69% 4.31% 3.58%   14.20% 52.47% 45.67%
Index Performance                
NASDAQ AlphaDEX® Japan Index(1) -0.23% 3.33% N/A N/A   17.82% N/A N/A
NASDAQ Japan Index(1) 1.08% 7.83% N/A N/A   45.75% N/A N/A
MSCI Japan Index 1.71% 8.51% 8.34% 7.02%   50.44% 122.81% 106.73%
(See Notes to Fund Performance Overview Page 34.)
Performance Review
The Fund generated a NAV return of -0.69% during the 12-month period covered by this report. During the same period, the MSCI Japan Index (the “Benchmark”) generated a return of 1.71%. The Fund allocated 24.6% to investments in the Industrials sector. These investments outperformed relative to the Benchmark’s allocation to Industrials. Investments in this sector contributed 2.6% to the Fund’s return and 1.4% of outperformance versus the Benchmark during this period, which tied with the Health Care sector for the greatest source of outperformance in the Fund. The most negative investments were those in the Materials sector, which contributed -1.9% to the Fund’s total return. The total currency effect to the Fund during the period covered by this report was negligible at less than 0.1%. On a relative basis, the Fund underperformed the Benchmark. Investments in the Materials sector caused -2.5% of underperformance for the Fund versus the Benchmark.

(1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods.
Nasdaq® and NASDAQ AlphaDEX® Japan Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 14

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Japan AlphaDEX® Fund (FJP) (Continued)
Sector Allocation % of Total
Long-Term
Investments
Industrials 33.3%
Information Technology 15.0
Consumer Discretionary 15.0
Materials 10.9
Financials 7.2
Utilities 6.5
Communication Services 4.5
Consumer Staples 2.9
Health Care 2.2
Energy 1.9
Real Estate 0.6
Total 100.0%
Top Ten Holdings % of Total
Long-Term
Investments
Mitsui OSK Lines Ltd. 2.6%
Nippon Yusen KK 2.6
Shinko Electric Industries Co., Ltd. 2.2
Lasertec Corp. 2.2
Toppan, Inc. 2.0
Ebara Corp. 1.9
BayCurrent Consulting, Inc. 1.9
Dai-ichi Life Holdings, Inc. 1.9
Mitsui & Co., Ltd. 1.8
Obayashi Corp. 1.7
Total 20.8%

Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter), is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 15

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Developed Markets ex-US AlphaDEX® Fund (FDT)
The First Trust Developed Markets ex-US AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the NASDAQ AlphaDEX® Developed Markets Ex-US Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks, depositary receipts, real estate investment trusts and preferred shares that comprise the Index. The shares of the Fund are listed and trade on the Nasdaq under the ticker symbol “FDT.” The Fund commenced trading on April 19, 2011.
The Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the NASDAQ Developed Markets Ex-US Index which may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
Performance  
    Average Annual Total Returns   Cumulative Total Returns
  1 Year
Ended
12/31/21
5 Years
Ended
12/31/21
10 Years
Ended
12/31/21
Inception
(4/18/11)
to 12/31/21
  5 Years
Ended
12/31/21
10 Years
Ended
12/31/21
Inception
(4/18/11)
to 12/31/21
Fund Performance                
NAV 10.70% 7.73% 7.01% 4.23%   45.10% 96.94% 55.74%
Market Price 11.35% 7.77% 6.83% 4.22%   45.40% 93.67% 55.73%
Index Performance                
NASDAQ AlphaDEX® Developed Markets Ex-US Index(1) 11.52% 8.58% N/A N/A   50.89% N/A N/A
NASDAQ Developed Markets Ex-US Index(1) 11.05% 9.54% N/A N/A   57.74% N/A N/A
MSCI World ex USA Index 12.62% 9.63% 7.84% 5.74%   58.37% 112.68% 81.74%
(See Notes to Fund Performance Overview Page 34.)
Performance Review
The Fund generated a NAV return of 10.70% during the 12-month period covered by this report. During the same period, the MSCI World ex USA Index (the “Benchmark”) generated a return of 12.62%. Japan received the greatest allocation of any country in the Fund during the period covered by this report. Investments in Japan received an allocation of 24.4%. The second greatest allocation was to South Korea, which received an allocation of only 13.1%. The allocation to Japan caused a contribution to the Fund’s overall return of only 0.9%. The greatest contribution to the Fund’s return came from investments in United Kingdom (“UK”) securities. UK securities received an allocation in the Fund of 9.0%, the third largest allocation after Japan and South Korea. UK securities contributed 2.0% to the Fund’s return during the period covered by this report. The country with the most negative contribution to the Fund’s return were the investments in Spain. Investments in Spanish securities received an allocation of 1.0% and contributed -0.2% to the Fund’s overall performance. The total currency effect to the Fund over the period covered by this report was -7.8%. On a relative basis, the Fund underperformed the Benchmark. The greatest source of underperformance were the investments in South Korea. The Benchmark had no allocation to South Korea and the 13.1% allocation in the Fund resulted in underperformance of -1.8% for the Fund versus the Benchmark. Meanwhile, the greatest source of outperformance for the Fund came from investments in the most heavily weighted country, Japan. Investments in Japan caused 0.5% of outperformance for the Fund versus the Benchmark.

(1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods.
Nasdaq® and NASDAQ AlphaDEX® Developed Markets Ex-US Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 16

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Developed Markets ex-US AlphaDEX® Fund (FDT) (Continued)
Sector Allocation % of Total
Long-Term
Investments
Materials 20.2%
Industrials 17.6
Financials 16.1
Consumer Discretionary 12.0
Information Technology 8.0
Real Estate 7.4
Energy 4.9
Communication Services 4.3
Utilities 4.0
Health Care 2.8
Consumer Staples 2.7
Total 100.0%
Top Ten Holdings % of Total
Long-Term
Investments
Pilbara Minerals Ltd. 0.9%
D’ieteren Group 0.7
Samhallsbyggnadsbolaget i Norden AB 0.7
AP Moller - Maersk A.S., Class B 0.7
Fortescue Metals Group Ltd. 0.7
Telecom Italia S.p.A. 0.7
L&F Co., Ltd. 0.7
Sofina S.A. 0.7
Segro PLC 0.7
Royal Mail PLC 0.7
Total 7.2%

Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter), is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 17

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Emerging Markets AlphaDEX® Fund (FEM)
The First Trust Emerging Markets AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the NASDAQ AlphaDEX® Emerging Markets Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks, depositary receipts, real estate investment trusts and preferred shares that comprise the Index. The shares of the Fund are listed and trade on the Nasdaq under the ticker symbol “FEM.” The Fund commenced trading on April 19, 2011.
The Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the NASDAQ Emerging Markets Index which may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
Performance  
    Average Annual Total Returns   Cumulative Total Returns
  1 Year
Ended
12/31/21
5 Years
Ended
12/31/21
10 Years
Ended
12/31/21
Inception
(4/18/11)
to 12/31/21
  5 Years
Ended
12/31/21
10 Years
Ended
12/31/21
Inception
(4/18/11)
to 12/31/21
Fund Performance                
NAV 7.90% 8.58% 4.81% 1.93%   50.95% 59.90% 22.77%
Market Price 7.31% 8.58% 4.60% 1.88%   50.94% 56.85% 22.04%
Index Performance                
NASDAQ AlphaDEX® Emerging Markets Index(1) 8.99% 9.94% N/A N/A   60.63% N/A N/A
NASDAQ Emerging Markets Index(1) 0.22% 9.22% N/A N/A   55.44% N/A N/A
MSCI Emerging Markets Index -2.54% 9.87% 5.49% 3.00%   60.14% 70.62% 37.22%
(See Notes to Fund Performance Overview Page 34.)
Performance Review
The Fund generated a NAV return of 7.90% during the 12-month period covered by this report. During the same period, the MSCI Emerging Markets Index (the “Benchmark”) generated a return of -2.54%. The most significant allocation in the Fund during the period covered by this report was to investments in China. Chinese securities carried an average weight of 44.3% and contributed 4.2% to the Fund’s overall return, which was the greatest contribution to return of any country in the Fund. The most negative contribution to the Fund’s return came from investments in Turkey. This country received an allocation of only 3.5% but caused a -1.0% contribution to the Fund’s overall return. The total currency effect to the Fund over the period covered by this report was -4.0%. On a relative basis, the Fund outperformed the Benchmark. The greatest source of outperformance came from investments in China. The Fund and the Benchmark each allocated more to this country than to any other. The Fund’s allocation was 44.3% while the Benchmark’s allocation to China was 43.4%, but the performance of the Chinese securities in the Fund was far superior to the performance of the Chinese securities in the Benchmark. Thus, due to the selection effect, Chinese investments earned 14.8% of outperformance for the Fund versus the Benchmark during the period. Meanwhile, the greatest source of underperformance in the Fund came from investments in Russia, which caused -1.0% of underperformance for the Fund versus the Benchmark.

(1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods.
Nasdaq® and NASDAQ AlphaDEX® Emerging Markets Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 18

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Emerging Markets AlphaDEX® Fund (FEM) (Continued)
Sector Allocation % of Total
Long-Term
Investments
Materials 24.9%
Industrials 14.7
Utilities 13.8
Energy 9.1
Information Technology 9.0
Financials 8.7
Consumer Discretionary 5.1
Real Estate 4.9
Consumer Staples 4.3
Communication Services 2.8
Health Care 2.7
Total 100.0%
Top Ten Holdings % of Total
Long-Term
Investments
AU Optronics Corp. 1.5%
China Power International Development Ltd. 1.4
Impala Platinum Holdings Ltd. 1.4
Innolux Corp. 1.3
China Resources Power Holdings Co., Ltd. 1.3
Tata Power (The) Co., Ltd. 1.3
Kingboard Holdings Ltd. 1.2
Petroleo Brasileiro S.A. (Preference Shares) 1.2
Dongfang Electric Corp., Ltd., Class H 1.2
Fubon Financial Holding Co., Ltd. 1.1
Total 12.9%

Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter), is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 19

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Germany AlphaDEX® Fund (FGM)
The First Trust Germany AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the NASDAQ AlphaDEX® Germany Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks, depositary receipts, real estate investment trusts and preferred shares that comprise the Index. The shares of the Fund are listed and trade on the Nasdaq under the ticker symbol “FGM.” The Fund commenced trading on February 15, 2012.
The Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the NASDAQ Germany Index which may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
Performance  
    Average Annual Total Returns   Cumulative Total Returns
  1 Year
Ended
12/31/21
5 Years
Ended
12/31/21
Inception
(2/14/12)
to 12/31/21
  5 Years
Ended
12/31/21
Inception
(2/14/12)
to 12/31/21
Fund Performance            
NAV 5.74% 10.14% 7.94%   62.08% 112.63%
Market Price 6.71% 10.16% 7.93%   62.21% 112.58%
Index Performance            
NASDAQ AlphaDEX® Germany Index(1) 5.92% 10.50% N/A   64.75% N/A
NASDAQ Germany Index(1) 4.28% 6.64% N/A   37.92% N/A
MSCI Germany Index 5.34% 7.12% 6.71%   41.04% 89.88%
(See Notes to Fund Performance Overview Page 34.)
Performance Review
The Fund generated a NAV return of 5.74% during the 12-month period covered by this report. During the same period, the MSCI Germany Index (the “Benchmark”) generated a return of 5.34%. The Consumer Discretionary sector carried more weight in the Fund than any other sector during the period. This sector’s allocation was 29.5% and caused 3.2% contribution to the Fund’s return, which was the most of any sector. The sector with the largest negative contribution to the Fund was the Real Estate sector. Investments in the Real Estate sector received an allocation of 12.1% and caused -0.8% drag on the Fund’s return over the period. The total currency effect to the Fund over the period covered in this report was negligible at less than 0.1%. On a relative basis, the Fund outperformed the Benchmark. The Financials sector caused the most outperformance of any sector. These investments earned 2.0% of outperformance versus the Benchmark. Meanwhile, investments in the Industrials and Real Estate sectors each caused -1.0% of underperformance versus the Benchmark.

(1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods.
Nasdaq® and NASDAQ AlphaDEX® Germany Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 20

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Germany AlphaDEX® Fund (FGM) (Continued)
Sector Allocation % of Total
Long-Term
Investments
Consumer Discretionary 21.9%
Health Care 15.8
Communication Services 13.0
Real Estate 11.9
Materials 11.5
Industrials 10.1
Financials 6.5
Utilities 5.2
Consumer Staples 4.1
Total 100.0%
Top Ten Holdings % of Total
Long-Term
Investments
Daimler AG 4.6%
LEG Immobilien SE 4.2
Bayerische Motoren Werke AG 4.2
Deutsche Post AG 4.1
LANXESS AG 4.0
Porsche Automobil Holding SE (Preference Shares) 3.9
Carl Zeiss Meditec AG 3.8
Commerzbank AG 3.8
Telefonica Deutschland Holding AG 3.7
Merck KGaA 3.5
Total 39.8%

Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter), is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 21

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust United Kingdom AlphaDEX® Fund (FKU)
The First Trust United Kingdom AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the NASDAQ AlphaDEX® United Kingdom Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks, depositary receipts, real estate investment trusts and preferred shares that comprise the Index. The shares of the Fund are listed and trade on the Nasdaq under the ticker symbol “FKU.” The Fund commenced trading on February 15, 2012.
The Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the NASDAQ United Kingdom Index which may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
Performance  
    Average Annual Total Returns   Cumulative Total Returns
  1 Year
Ended
12/31/21
5 Years
Ended
12/31/21
Inception
(2/14/12)
to 12/31/21
  5 Years
Ended
12/31/21
Inception
(2/14/12)
to 12/31/21
Fund Performance            
NAV 19.10% 9.47% 7.08%   57.20% 96.45%
Market Price 20.78% 9.69% 7.13%   58.79% 97.45%
Index Performance            
NASDAQ AlphaDEX® United Kingdom Index(1) 20.45% 10.54% N/A   65.01% N/A
NASDAQ United Kingdom Index(1) 17.13% 6.78% N/A   38.81% N/A
MSCI United Kingdom Index 18.50% 6.16% 4.43%   34.83% 53.40%
(See Notes to Fund Performance Overview Page 34.)
Performance Review
The Fund generated a NAV return of 19.10% during the 12-month period covered by this report. During the same period, the MSCI United Kingdom Index (the “Benchmark”) generated a return of 18.50%. The Fund allocated most heavily to investments in the Financials sector with an average weight of 20.9%. Investments in this sector contributed a return of 4.7% to the Fund’s return. Investments in the Industrials sector contributed the most to the Fund’s return at 4.8%. The worst sector in the Fund was the Health Care sector. This sector received an allocation of 3.6% and contributed -0.4% to the Fund’s return. The total currency effect to the Fund during the period covered by this report was 0.1%. On a relative basis, the Fund outperformed the Benchmark. The greatest degree of outperformance came from the Consumer Discretionary sector at 2.5% and the greatest degree of underperformance came from the Energy and Materials sectors, both at -1.0%.

(1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods.
Nasdaq® and NASDAQ AlphaDEX® United Kingdom Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 22

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust United Kingdom AlphaDEX® Fund (FKU) (Continued)
Sector Allocation % of Total
Long-Term
Investments
Financials 23.2%
Industrials 14.9
Consumer Discretionary 13.6
Materials 12.7
Consumer Staples 10.5
Communication Services 9.1
Real Estate 5.6
Health Care 5.2
Utilities 3.9
Information Technology 1.3
Total 100.0%
Top Ten Holdings % of Total
Long-Term
Investments
Investec PLC 3.0%
Segro PLC 2.9
Tritax Big Box REIT PLC 2.8
3i Group PLC 2.7
Future PLC 2.7
SSE PLC 2.4
Barratt Developments PLC 2.3
Imperial Brands PLC 2.3
IMI PLC 2.2
Glencore PLC 2.1
Total 25.4%

Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter), is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 23

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust India NIFTY 50 Equal Weight ETF (NFTY)
The First Trust India NIFTY 50 Equal Weight ETF (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 NIFTY 50 Equal Weight Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks that comprise the Index. The shares of the Fund are listed and trade on the Nasdaq under the ticker symbol “NFTY.” The Fund commenced trading on February 15, 2012.
The Index is an equally weighted total return index designed to provide diversified exposure to the NIFTY 50 Index, the main index for Indian equity securities. The NIFTY 50 Index is a market capitalization-weighted index comprising the 50 largest and most liquid Indian equity securities. All constituents of the NIFTY 50 Index will be included in the Index, but will be equally weighted.
Performance  
    Average Annual Total Returns   Cumulative Total Returns
  1 Year
Ended
12/31/21
5 Years
Ended
12/31/21
Inception
(2/14/12)
to 12/31/21
  5 Years
Ended
12/31/21
Inception
(2/14/12)
to 12/31/21
Fund Performance            
NAV 26.15% 10.88% 6.94%   67.63% 94.08%
Market Price 26.81% 11.16% 6.96%   69.72% 94.37%
Index Performance            
NIFTY 50 Equal Weight Index* 32.70% N/A N/A   N/A N/A
NIFTY 50 Index 23.48% 15.59% 9.29%   106.33% 140.46%
(See Notes to Fund Performance Overview Page 34.)
Performance Review
The Fund generated a NAV return of 26.15% during the 12-month period covered by this report. During the same period, the NIFTY 50 Index (the “Benchmark”) generated a return of 23.48%. The Financials sector received the greatest allocation of any sector in the Fund, with an average weight of 21.7%. This sector returned 19.4% and contributed 5.0% to the Fund’s return. The sector with the greatest contribution to the Fund’s return was the Materials sector. Investments in this sector received an allocation of 16.6% and contributed 9.5% to the Fund’s return. All sectors contributed positive returns for the Fund during the period covered by this report. The total currency effect to the Fund over the period covered by this report was -1.3%. On a relative basis, the Fund outperformed the Benchmark. The most significant sources of outperformance were investments in the Financials and Materials sectors. Each of these sectors caused 3.8% of outperformance for the Fund. The most underperformance came from investments in the Information Technology sector which caused -0.8% of underperformance versus the Benchmark.

* On April 17, 2018, the Fund’s underlying index changed from the NASDAQ AlphaDEX® Taiwan Index to the Index. On July 14, 2015, the Fund’s underlying index changed from the Defined Taiwan Index to the NASDAQ AlphaDEX® Taiwan Index. Therefore, the Fund’s performance and total returns shown for the periods prior to April 17, 2018, are not necessarily indicative of the performance that the Fund, based on the current index, would have generated. Since the Fund’s new underlying index had an inception date of September 29, 2017, it was not in existence for all the periods disclosed.
The First Trust India NIFTY 50 Equal Weight ETF (the “Product”) offered by First Trust is not sponsored, endorsed, sold or promoted by NSE INDICES LIMITED (formerly known as India Index Services & Products Limited (IISL)). NSE INDICES LIMITED does not make any representation or warranty, express or implied (including warranties of merchantability or fitness for particular purpose or use) and disclaims all liability to the owners of the Product or any member of the public regarding the advisability of investing in securities generally or in the Product linked to the NIFTY 50 Equal Weight Index or particularly in the ability of the NIFTY 50 Equal Weight Index to track general stock market performance in India. Please read the full Disclaimers in relation to the NIFTY 50 Equal Weight Index in the Prospectus and Statement of Additional Information.
Page 24

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust India NIFTY 50 Equal Weight ETF (NFTY) (Continued)
Sector Allocation % of Total
Long-Term
Investments
Financials 22.0%
Materials 15.9
Consumer Discretionary 14.2
Consumer Staples 10.0
Information Technology 10.0
Energy 9.9
Health Care 8.1
Industrials 4.0
Utilities 3.9
Communication Services 2.0
Total 100.0%
Top Ten Holdings % of Total
Long-Term
Investments
Titan Co., Ltd. 2.1%
Eicher Motors Ltd. 2.1
IndusInd Bank Ltd. 2.1
Hindalco Industries Ltd. 2.1
Sun Pharmaceutical Industries Ltd. 2.1
Dr. Reddy’s Laboratories Ltd. 2.0
Divi’s Laboratories Ltd. 2.0
HCL Technologies Ltd. 2.0
UltraTech Cement Ltd. 2.0
Bajaj Auto Ltd. 2.0
Total 20.5%

Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter), is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 25

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Switzerland AlphaDEX® Fund (FSZ)
The First Trust Switzerland AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the NASDAQ AlphaDEX® Switzerland Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks, depositary receipts, real estate investment trusts and preferred shares that comprise the Index. The shares of the Fund are listed and trade on the Nasdaq under the ticker symbol “FSZ.” The Fund commenced trading on February 15, 2012.
The Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the NASDAQ Switzerland Index which may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
Performance  
    Average Annual Total Returns   Cumulative Total Returns
  1 Year
Ended
12/31/21
5 Years
Ended
12/31/21
Inception
(2/14/12)
to 12/31/21
  5 Years
Ended
12/31/21
Inception
(2/14/12)
to 12/31/21
Fund Performance            
NAV 19.34% 13.90% 11.20%   91.69% 185.31%
Market Price 19.72% 13.86% 11.17%   91.39% 184.52%
Index Performance            
NASDAQ AlphaDEX® Switzerland Index(1) 20.05% 14.43% N/A   96.22% N/A
NASDAQ Switzerland Index(1) 18.78% 13.99% N/A   92.49% N/A
MSCI Switzerland Index 19.29% 14.44% 10.57%   96.30% 169.84%
(See Notes to Fund Performance Overview Page 34.)
Performance Review
The Fund generated a NAV return of 19.34% during the 12-month period covered by this report. During the same period, the MSCI Switzerland Index (the “Benchmark”) generated a return of 19.29%. The Fund allocated 23.1% to the Financials sector, the greatest allocation of any sector, during the period. The investments in the Financials sector contributed 3.2% to the Fund’s total return. The greatest contributor to the Fund’s total return was the Industrials sector whose investments returned 43.4%, resulting in a contribution of 8.6% to the Fund’s return. The greatest drag on the Fund’s performance came from the Information Technology sector with a contribution of -0.9% to the Fund’s return. The Fund’s investments in this sector were the greatest source of underperformance relative to the Benchmark, which resulted in underperformance of -1.8%. The total currency effect to the Fund over the period covered by this report was negligible, at less than 0.1%. On a relative basis, the Fund outperformed the Benchmark. Outperformance of 4.7% for the Fund versus the Benchmark came from the allocation to the Health Care sector, the most of any sector.

(1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods.
Nasdaq® and NASDAQ AlphaDEX® Switzerland Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 26

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Switzerland AlphaDEX® Fund (FSZ) (Continued)
Sector Allocation % of Total
Long-Term
Investments
Industrials 21.9%
Financials 20.8
Health Care 17.1
Materials 14.4
Real Estate 6.8
Consumer Discretionary 5.2
Utilities 4.8
Communication Services 3.8
Information Technology 2.7
Consumer Staples 2.5
Total 100.0%
Top Ten Holdings % of Total
Long-Term
Investments
Bachem Holding AG, Class B 5.1%
BKW AG 4.8
VAT Group AG 4.6
Clariant AG 4.0
Cie Financiere Richemont S.A., Class A 3.8
Swiss Prime Site AG 3.8
Swisscom AG 3.8
Kuehne + Nagel International AG 3.6
UBS Group AG 3.6
ABB Ltd. 3.5
Total 40.6%

Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter), is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 27

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund (FDTS)
The First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the NASDAQ AlphaDEX® Developed Markets Ex-US Small Cap Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks, depositary receipts, real estate investment trusts and preferred shares that comprise the Index. The shares of the Fund are listed and trade on the Nasdaq under the ticker symbol “FDTS.” The Fund commenced trading on February 16, 2012.
The Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the NASDAQ Developed Markets Ex-US Small Cap Index which may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
Performance  
    Average Annual Total Returns   Cumulative Total Returns
  1 Year
Ended
12/31/21
5 Years
Ended
12/31/21
Inception
(2/15/12)
to 12/31/21
  5 Years
Ended
12/31/21
Inception
(2/15/12)
to 12/31/21
Fund Performance            
NAV 11.09% 8.97% 6.72%   53.65% 90.09%
Market Price 11.87% 9.13% 6.68%   54.76% 89.33%
Index Performance            
NASDAQ AlphaDEX® Developed Markets Ex-US Small Cap Index(1) 12.24% 9.88% N/A   60.18% N/A
NASDAQ Developed Markets Ex-US Small Cap Index(1) 8.32% 8.63% N/A   51.27% N/A
MSCI World ex-USA Small Cap Index 11.14% 11.03% 8.92%   68.76% 132.51%
(See Notes to Fund Performance Overview Page 34.)
Performance Review
The Fund generated a NAV return of 11.09% during the 12-month period covered by this report. During the same period, the MSCI World ex-USA Small Cap Index (the “Benchmark”) generated a return of 11.14%. Japanese investments received the greatest allocation in the Fund during the period covered by this report. During the period, the Fund invested 30.1% of the Fund’s assets in Japan. These investments contributed 0.3% to the Fund’s overall return. The greatest contributor to the Fund’s return during the period came from the Fund’s allocation to South Korea. These investments received an allocation of 22.0% and contributed 2.9% to the Fund’s overall return. Very few of the country allocations in the Fund had a negative contribution to the Fund’s return, and the few that did have a negative contribution had very small impact on the return. The most significant negative contribution to the Fund’s return came from the Fund’s allocation to investments in Malta. This allocation was 0.2% and contributed -0.1% to the Fund’s return. The total currency effect to the Fund over the period covered by this report was -8.3%. On a relative basis, the Fund underperformed the Benchmark.

(1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods.
Nasdaq® and NASDAQ AlphaDEX® Developed Markets Ex-US Small Cap Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 28

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund (FDTS) (Continued)
Sector Allocation % of Total
Long-Term
Investments
Materials 18.4%
Industrials 17.5
Consumer Discretionary 17.0
Information Technology 9.6
Financials 8.7
Energy 8.6
Real Estate 7.1
Health Care 4.1
Communication Services 4.1
Consumer Staples 4.1
Utilities 0.8
Total 100.0%
Top Ten Holdings % of Total
Long-Term
Investments
Wemade Co., Ltd. 1.1%
Ki-Star Real Estate Co., Ltd. 0.6
Hexatronic Group AB 0.6
Skyworth Group Ltd. 0.6
Mitsui High-Tec, Inc. 0.6
NuVista Energy Ltd. 0.6
Aurubis AG 0.6
Interfor Corp. 0.5
Vermilion Energy, Inc. 0.5
GFT Technologies SE 0.5
Total 6.2%

Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter), is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 29

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Emerging Markets Small Cap AlphaDEX® Fund (FEMS)
The First Trust Emerging Markets Small Cap AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the NASDAQ AlphaDEX® Emerging Markets Small Cap Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks, depositary receipts, real estate investment trusts and preferred shares that comprise the Index. The shares of the Fund are listed and trade on the Nasdaq under the ticker symbol “FEMS.” The Fund commenced trading on February 16, 2012.
The Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the NASDAQ Emerging Markets Small Cap Index which may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
Performance  
    Average Annual Total Returns   Cumulative Total Returns
  1 Year
Ended
12/31/21
5 Years
Ended
12/31/21
Inception
(2/15/12)
to 12/31/21
  5 Years
Ended
12/31/21
Inception
(2/15/12)
to 12/31/21
Fund Performance            
NAV 3.68% 10.50% 6.61%   64.76% 88.11%
Market Price 4.01% 10.67% 6.59%   66.05% 87.80%
Index Performance            
NASDAQ AlphaDEX® Emerging Markets Small Cap Index(1) 4.87% 12.22% N/A   78.01% N/A
NASDAQ Emerging Markets Small Cap Index(1) 14.91% 10.75% N/A   66.65% N/A
MSCI Emerging Markets Small Cap Index 18.75% 11.47% 5.67%   72.10% 72.32%
(See Notes to Fund Performance Overview Page 34.)
Performance Review
The Fund generated a NAV return of 3.68% during the 12-month period covered by this report. During the same period, the MSCI Emerging Markets Small Cap Index (the “Benchmark”) generated a return of 18.75%. The greatest country allocation in the Fund during the period covered by this report was to investments in Taiwan. Securities in this country carried an average weight of 24.8% and contributed 8.1% to the Fund’s overall return, which was the greatest contribution to return of any country in the Fund during the period. The most negative contribution to the Fund’s return came from investments in Turkey. This country received an allocation of 10.8% and generated a contribution of -3.7% to the Fund’s return. The total currency effect to the Fund over the period covered by this report was -8.3%. On a relative basis, the Fund underperformed the Benchmark.

(1) Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods.
Nasdaq® and NASDAQ AlphaDEX® Emerging Markets Small Cap Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 30

Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Emerging Markets Small Cap AlphaDEX® Fund (FEMS) (Continued)
Sector Allocation % of Total
Long-Term
Investments
Materials 22.1%
Information Technology 16.8
Industrials 13.1
Consumer Discretionary 11.9
Real Estate 8.2
Utilities 7.4
Consumer Staples 5.7
Energy 5.6
Financials 3.8
Communication Services 3.2
Health Care 2.2
Total 100.0%
Top Ten Holdings % of Total
Long-Term
Investments
Royal Bafokeng Platinum Ltd. 1.7%
BOE Varitronix Ltd. 1.1
Harmony Gold Mining Co., Ltd. 1.1
Faraday Technology Corp. 1.1
Cia Sud Americana de Vapores S.A. 1.0
CIMC Enric Holdings Ltd. 1.0
HannStar Display Corp. 1.0
Via Technologies, Inc. 1.0
African Rainbow Minerals Ltd. 1.0
DMCI Holdings, Inc. 1.0
Total 11.0%

Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter), is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
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Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Eurozone AlphaDEX® ETF (FEUZ)
The First Trust Eurozone AlphaDEX® ETF (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the NASDAQ AlphaDEX® Eurozone Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks, depositary receipts, real estate investment trusts and preferred shares that comprise the Index. The shares of the Fund are listed and trade on the Nasdaq under the ticker symbol “FEUZ.” The Fund commenced trading on October 22, 2014.
The Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the NASDAQ Eurozone Index which may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
Performance  
    Average Annual Total Returns   Cumulative Total Returns
  1 Year
Ended
12/31/21
5 Years
Ended
12/31/21
Inception
(10/21/14)
to 12/31/21
  5 Years
Ended
12/31/21
Inception
(10/21/14)
to 12/31/21
Fund Performance            
NAV 12.90% 9.35% 7.89%   56.38% 72.74%
Market Price 13.44% 9.31% 7.80%   56.04% 71.63%
Index Performance            
NASDAQ AlphaDEX® Eurozone Index 13.22% 9.86% 8.49%   60.01% 79.71%
NASDAQ Eurozone Index 13.31% 9.73% 7.10%   59.11% 63.75%
MSCI EMU Index 13.54% 9.94% 6.99%   60.62% 62.55%
(See Notes to Fund Performance Overview Page 34.)
Performance Review
The Fund generated a NAV return of 12.90% during the 12-month period covered by this report. During the same period, the MSCI EMU Index (the “Benchmark”) generated a return of 13.54%. France and Germany were noticeably the largest allocation in both the Fund and the Benchmark during the period covered by this report. Within the Fund, German investments carried an average weight of 27.8% and contributed 2.4% to the Fund’s overall return while French investments carried an average weight of 23.3% and contributed 4.2% to the Fund’s overall return. Investments in France had the greatest contribution to the Fund’s return of any country during the period. The only country exposure with a negative contribution to the Fund’s return were the investments in Spain. These securities received an allocation of 6.1% and generated a -0.4% contribution to Fund return, the worst contribution to return of any country. The total currency effect to the Fund during the period covered by this report was -8.6%, as the Euro depreciated significantly against the U.S. Dollar during the period. On a relative basis, the Fund underperformed the Benchmark. The most significant source of underperformance for the Fund versus the Benchmark came from investments in French securities. Investments in this country performed comparatively well within both the Fund and the Benchmark. The Fund suffered slightly from both the allocation and selection effect, as the Fund’s underweight investments in France in comparison to the Benchmark and the French investments in the Fund slightly underperformed the French investments in the Benchmark. This resulted in a -1.4% contribution to the Fund’s underperformance versus the Benchmark. The most significant source of outperformance for the Fund versus the Benchmark came from investments in Belgium. Investments in this country carried an allocation of only 5.7% but caused 1.2% of outperformance for the Fund versus the Benchmark.

Nasdaq® and NASDAQ AlphaDEX® Eurozone Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
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Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Eurozone AlphaDEX® ETF (FEUZ) (Continued)
Sector Allocation % of Total
Long-Term
Investments
Financials 22.3%
Consumer Discretionary 10.7
Materials 10.3
Utilities 9.8
Communication Services 9.5
Industrials 9.2
Information Technology 8.2
Health Care 7.2
Real Estate 5.8
Consumer Staples 4.0
Energy 3.0
Total 100.0%
Top Ten Holdings % of Total
Long-Term
Investments
D’ieteren Group 1.5%
Telecom Italia S.p.A. 1.4
Sofina S.A. 1.4
Capgemini SE 1.3
Kojamo Oyj 1.3
Uniper SE 1.2
Vivendi SE 1.2
Arkema S.A. 1.2
Dermapharm Holding SE 1.2
Bayerische Motoren Werke AG 1.2
Total 12.9%

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.
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Table of Contents
Notes to Fund Performance Overview (Unaudited)
Total returns for the periods since inception are calculated from the inception date of each Fund. “Average Annual Total Returns” represent the average annual change in value of an investment over the periods indicated. “Cumulative Total Returns” represent the total change in value of an investment over the periods indicated.
Each Fund’s per share net asset value (“NAV”) is the value of one share of the Fund and is computed by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of outstanding shares. The price used to calculate market return (“Market Price”) is determined by using the midpoint of the national best bid and offer price (“NBBO”) as of the time that the Fund’s NAV is calculated. Under SEC rules, the NBBO consists of the highest displayed buy and lowest sell prices among the various exchanges trading the Fund at the time the Fund’s NAV is calculated. Prior to January 1, 2019, the price used was the midpoint between the highest bid and the lowest offer on the stock exchange on which shares of the Fund were listed for trading as of the time that the Fund’s NAV was calculated. Since shares of each Fund did not trade in the secondary market until after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund, the NAV of each Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that all distributions have been reinvested in each Fund at NAV and Market Price, respectively.
An index is a statistical composite that tracks a specified financial market or sector. Unlike each Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by each Fund. These expenses negatively impact the performance of each Fund. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. The total returns presented reflect the reinvestment of dividends on securities in the indices. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. The investment return and principal value of shares of each Fund will vary with changes in market conditions. Shares of each Fund may be worth more or less than their original cost when they are redeemed or sold in the market. Each Fund’s past performance is no guarantee of future performance.
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Table of Contents
First Trust Exchange-Traded AlphaDEX® Fund II
Understanding Your Fund Expenses
December 31, 2021 (Unaudited)
As a shareholder of First Trust Asia Pacific ex-Japan AlphaDEX® Fund, First Trust Europe AlphaDEX® Fund, First Trust Latin America AlphaDEX® Fund, First Trust Brazil AlphaDEX® Fund, First Trust China AlphaDEX® Fund, First Trust Japan AlphaDEX® Fund, First Trust Developed Markets ex-US AlphaDEX® Fund, First Trust Emerging Markets AlphaDEX® Fund, First Trust Germany AlphaDEX® Fund, First Trust United Kingdom AlphaDEX® Fund, First Trust India NIFTY 50 Equal Weight ETF, First Trust Switzerland AlphaDEX® Fund, First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund, First Trust Emerging Markets Small Cap AlphaDEX® Fund or First Trust Eurozone AlphaDEX® ETF (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 (in U.S. dollars) 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 December 31, 2021.
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.
  Beginning
Account Value
July 1, 2021
Ending
Account Value
December 31, 2021
Annualized
Expense Ratio
Based on the
Six-Month
Period
Expenses Paid
During the
Six-Month
Period (a)
First Trust Asia Pacific ex-Japan AlphaDEX® Fund (FPA)
Actual $1,000.00 $897.20 0.80% $3.83
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
First Trust Europe AlphaDEX® Fund (FEP)
Actual $1,000.00 $1,038.60 0.80% $4.11
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
First Trust Latin America AlphaDEX® Fund (FLN)
Actual $1,000.00 $885.00 0.80% $3.80
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
First Trust Brazil AlphaDEX® Fund (FBZ)
Actual $1,000.00 $804.70 0.80% $3.64
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
First Trust China AlphaDEX® Fund (FCA)
Actual $1,000.00 $902.60 0.80% $3.84
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
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Table of Contents
First Trust Exchange-Traded AlphaDEX® Fund II
Understanding Your Fund Expenses (Continued)
December 31, 2021 (Unaudited)
  Beginning
Account Value
July 1, 2021
Ending
Account Value
December 31, 2021
Annualized
Expense Ratio
Based on the
Six-Month
Period
Expenses Paid
During the
Six-Month
Period (a)
First Trust Japan AlphaDEX® Fund (FJP)
Actual $1,000.00 $985.30 0.80% $4.00
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
First Trust Developed Markets ex-US AlphaDEX® Fund (FDT)
Actual $1,000.00 $991.70 0.80% $4.02
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
First Trust Emerging Markets AlphaDEX® Fund (FEM)
Actual $1,000.00 $963.10 0.80% $3.96
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
First Trust Germany AlphaDEX® Fund (FGM)
Actual $1,000.00 $949.30 0.80% $3.93
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
First Trust United Kingdom AlphaDEX® Fund (FKU)
Actual $1,000.00 $1,022.90 0.80% $4.08
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
First Trust India NIFTY 50 Equal Weight ETF (NFTY)
Actual $1,000.00 $1,085.80 0.80% $4.21
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
First Trust Switzerland AlphaDEX® Fund (FSZ)
Actual $1,000.00 $1,080.90 0.80% $4.20
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund (FDTS)
Actual $1,000.00 $983.60 0.80% $4.00
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
First Trust Emerging Markets Small Cap AlphaDEX® Fund (FEMS)
Actual $1,000.00 $896.10 0.80% $3.82
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
First Trust Eurozone AlphaDEX® ETF (FEUZ)
Actual $1,000.00 $1,013.30 0.80% $4.06
Hypothetical (5% return before expenses) $1,000.00 $1,021.17 0.80% $4.08
    
(a) Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (July 1, 2021 through December 31, 2021), multiplied by 184/365 (to reflect the six-month period).
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Table of Contents
First Trust Asia Pacific ex-Japan AlphaDEX® Fund (FPA)
Portfolio of Investments
December 31, 2021
Shares   Description   Value
COMMON STOCKS (a) – 95.7%
    Australia – 32.5%    
4,993   Aristocrat Leisure Ltd.   $158,275
92,770   Aurizon Holdings Ltd.   235,557
93,015   AusNet Services Ltd.   173,920
22,868   BlueScope Steel Ltd.   347,726
1,123   Commonwealth Bank of Australia   82,521
12,865   Computershare Ltd.   187,199
3,652   Domino’s Pizza Enterprises Ltd.   313,607
39,171   Fortescue Metals Group Ltd.   547,463
93,200   Harvey Norman Holdings Ltd.   334,970
6,872   IDP Education Ltd.   173,240
69,865   Lynas Rare Earths Ltd. (b)   516,944
644   Macquarie Group Ltd.   96,239
130,584   Medibank Pvt Ltd.   318,271
7,846   Mineral Resources Ltd.   319,668
15,530   Newcrest Mining Ltd.   276,596
68,941   Northern Star Resources Ltd.   471,987
285,851   Pilbara Minerals Ltd. (b)   665,507
20,670   Qantas Airways Ltd. (b)   75,343
40,206   QBE Insurance Group Ltd.   332,009
35,515   Qube Holdings Ltd.   81,909
4,680   Rio Tinto Ltd.   340,868
5,665   Seven Group Holdings Ltd.   89,026
11,530   Sonic Healthcare Ltd.   391,163
132,804   South32 Ltd.   387,452
37,325   Suncorp Group Ltd.   300,615
59,643   Telstra Corp., Ltd.   181,384
18,888   Treasury Wine Estates Ltd.   170,125
9,011   Washington H Soul Pattinson & Co., Ltd.   194,122
8,738   WiseTech Global Ltd.   372,412
2,978   Woolworths Group Ltd.   82,354
        8,218,472
    Bermuda – 2.5%    
130,832   Hopson Development Holdings Ltd.   272,820
343,573   Nine Dragons Paper Holdings Ltd.   368,796
        641,616
    Cayman Islands – 5.0%    
43,589   CK Asset Holdings Ltd.   274,753
50,948   CK Hutchison Holdings Ltd.   328,652
184,796   Shimao Group Holdings Ltd.   120,866
24,015   SITC International Holdings Co., Ltd.   86,851
474,988   WH Group Ltd. (c) (d)   297,874
56,321   Xinyi Glass Holdings Ltd.   140,847
        1,249,843
    Hong Kong – 5.3%    
44,605   Henderson Land Development Co., Ltd.