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
 2
3
Fund Performance Overview
4
6
8
10
12
14
16
18
20
22
24
26
28
30
32
34
35
Portfolio of Investments
37
40
44
46
48
51
55
61
65
68
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82
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92
96
100
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134
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142
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.
Page 2
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.
Page 3
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.
Page 5
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.
Page 7
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.
Page 31
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.
Page 32
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.
Page 33
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.
Page 34
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
Page 35
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).
Page 36
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.   189,917
257,765   Sino Land Co., Ltd.   320,985
Shares   Description   Value
    Hong Kong (Continued)    
13,510   Sun Hung Kai Properties Ltd.   $163,904
21,469   Techtronic Industries Co., Ltd.   427,312
76,553   Wharf Holdings (The) Ltd.   235,131
        1,337,249
    New Zealand – 2.3%    
29,046   Contact Energy Ltd.   161,138
6,332   Mainfreight Ltd.   407,224
        568,362
    Singapore – 2.4%    
11,900   Jardine Cycle & Carriage Ltd.   181,909
261,225   Olam International Ltd.   339,228
27,300   Wilmar International Ltd.   83,869
        605,006
    South Korea – 45.7%    
245   CJ CheilJedang Corp. (b) (e)   79,863
2,702   Coway Co., Ltd. (b)   169,109
4,878   Doosan Heavy Industries & Construction Co., Ltd. (b)   83,711
1,073   Ecopro BM Co., Ltd. (e)   452,036
6,481   Hana Financial Group, Inc.   229,254
11,588   Hankook Tire & Technology Co., Ltd.   386,998
1,774   HLB, Inc. (f)   51,933
8,923   HMM Co., Ltd. (b)   201,917
3,900   Hyundai Engineering & Construction Co., Ltd. (b)   145,830
1,806   Hyundai Glovis Co., Ltd.   255,233
3,099   Hyundai Heavy Industries Holdings Co., Ltd.   139,993
1,189   Hyundai Mobis Co., Ltd.   254,554
1,002   Hyundai Motor Co.   176,167
6,351   Hyundai Steel Co.   219,046
28,639   Industrial Bank of Korea   248,144
3,625   KB Financial Group, Inc.   167,718
3,703   Kia Corp.   256,056
12,769   Korea Electric Power Corp.   237,388
2,323   Korea Investment Holdings Co., Ltd.   157,700
996   Korea Zinc Co., Ltd. (b)   428,144
5,949   Korean Air Lines Co., Ltd. (b)   146,880
12,299   KT Corp.   316,593
4,938   KT&G Corp.   328,161
2,652   Kumho Petrochemical Co., Ltd. (e)   370,332
2,800   L&F Co., Ltd.   523,844
5,389   LG Corp.   366,747
26,448   LG Display Co., Ltd. (b)   547,315
20,047   LG Uplus Corp.   229,349
2,075   Lotte Chemical Corp.   378,780
11,575   Mirae Asset Securities Co., Ltd.   84,226
1,519   POSCO   350,760
1,699   POSCO Chemical Co., Ltd. (e)   205,809
 
See Notes to Financial Statements
Page 37
Table of Contents
First Trust Asia Pacific ex-Japan AlphaDEX® Fund (FPA)
Portfolio of Investments (Continued)
December 31, 2021
Shares   Description   Value
COMMON STOCKS (a) (Continued)
    South Korea (Continued)    
115   Samsung Biologics Co., Ltd. (b) (c) (d)   $87,356
565   Samsung Electro-Mechanics Co., Ltd.   93,870
2,705   Samsung Electronics Co., Ltd.   178,172
19,616   Samsung Engineering Co., Ltd. (b)   377,881
1,706   Samsung Fire & Marine Insurance Co., Ltd.   289,894
1,366   Samsung Life Insurance Co., Ltd.   73,658
419   Samsung SDI Co., Ltd.   230,869
2,481   Shinhan Financial Group Co., Ltd.   76,804
3,893   SK Hynix, Inc.   429,008
378   SK Innovation Co., Ltd. (b)   75,838
6,581   SK Telecom Co., Ltd.   320,538
374   SK, Inc.   78,969
2,966   SKC Co., Ltd.   435,388
4,556   S-Oil Corp.   328,454
25,812   Woori Financial Group, Inc.   275,762
        11,542,051
    Total Common Stocks   24,162,599
    (Cost $22,876,084)    
REAL ESTATE INVESTMENT TRUSTS (a) – 3.6%
    Australia – 3.6%    
20,501   Charter Hall Group   306,961
21,704   Dexus   175,593
69,349   GPT (The) Group   273,465
39,197   Mirvac Group   82,987
26,161   Stockland   80,702
    Total Real Estate Investment Trusts   919,708
    (Cost $837,088)    
MONEY MARKET FUNDS – 2.2%
567,378   Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (g) (h)   567,378
    (Cost $567,378)    
Principal
Value 		  Description   Value
REPURCHASE AGREEMENTS – 1.0%
$251,926   BNP Paribas S.A., 0.03% (g), dated 12/31/21, due 1/3/22, with a maturity value of $251,926. Collateralized by U.S. Treasury Note, interest rate of 1.50%, due 11/30/28. The value of the collateral including accrued interest is $256,854. (h)   $251,926
    (Cost $251,926)    
    Total Investments – 102.5%   25,901,611
    (Cost $24,532,476) (i)    
    Net Other Assets and Liabilities – (2.5)%   (644,066)
    Net Assets – 100.0%   $25,257,545
    
(a) Portfolio securities are categorized based upon their country of incorporation, which can be different from the country categorization of the Fund’s underlying index. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview.
(b) Non-income producing security.
(c) This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933, as amended (the “1933 Act”).
(d) This security is exempt from registration upon resale under Rule 144A of the 1933 Act and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities.
(e) All or a portion of this security is on loan (see Note 2F - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $780,267 and the total value of the collateral held by the Fund is $819,304.
(f) Non-income producing security which makes payment-in-kind (“PIK”) distributions. There were no in-kind distributions received for the fiscal year ended December 31, 2021.
(g) Rate shown reflects yield as of December 31, 2021.
(h) This security serves as collateral for securities on loan.
(i) Aggregate cost for federal income tax purposes was $24,810,908. As of December 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $2,873,359 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $1,782,656. The net unrealized appreciation was $1,090,703.
 
Page 38
See Notes to Financial Statements
Table of Contents
First Trust Asia Pacific ex-Japan AlphaDEX® Fund (FPA)
Portfolio of Investments (Continued)
December 31, 2021
Valuation Inputs
A summary of the inputs used to value the Fund’s investments as of December 31, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
  Total
Value at
12/31/2021 		Level 1
Quoted
Prices 		Level 2
Significant
Observable
Inputs 		Level 3
Significant
Unobservable
Inputs
Common Stocks* $ 24,162,599 $ 24,162,599 $ — $ —
Real Estate Investment Trusts*  919,708  919,708  —  —
Money Market Funds  567,378  567,378  —  —
Repurchase Agreements  251,926  —  251,926  —
Total Investments $ 25,901,611 $ 25,649,685 $ 251,926 $—
    
* See Portfolio of Investments for country breakout.
Offsetting Assets and Liabilities
Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2E – Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements).
The Fund’s loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows:
Security Lending Agency Agreement  
Total gross amount presented on the Statements of Assets and Liabilities (1) $780,267
Non-cash Collateral (2) (780,267)
Net Amount $—
    
(1) The amount presented on the Statements of Assets and Liabilities, which is included in “Investments, at value,” is not offset and is shown on a gross basis.
(2) At December 31, 2021, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments.
The Fund’s investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows:
Repurchase Agreements  
Total gross amount presented on the Statements of Assets and Liabilities (3) $251,926
Non-cash Collateral (4) (251,926)
Net Amount $—
    
(3) The amount is included in “Investments, at value” on the Statements of Assets and Liabilities.
(4) At December 31, 2021, the value of the collateral received from each seller exceeded the value of the repurchase agreements.
    
Currency Exposure
Diversification 		% of Total
Investments
South Korean Won 44.5%
Australian Dollar 35.3
Hong Kong Dollar 12.5
United States Dollar 3.2
Singapore Dollar 2.3
New Zealand Dollar 2.2
Total 100.0%
 
See Notes to Financial Statements
Page 39
Table of Contents
First Trust Europe AlphaDEX® Fund (FEP)
Portfolio of Investments
December 31, 2021
Shares   Description   Value
COMMON STOCKS (a) – 97.1%
    Austria – 2.7%    
16,592   ANDRITZ AG   $857,228
46,104   CA Immobilien Anlagen AG   1,732,151
84,629   Erste Group Bank AG   3,984,077
75,169   OMV AG   4,274,716
71,037   Raiffeisen Bank International AG   2,093,061
73,452   voestalpine AG   2,676,003
        15,617,236
    Belgium – 3.0%    
30,884   D’ieteren Group   6,033,702
17,829   Etablissements Franz Colruyt N.V.   756,315
10,304   KBC Group N.V.   885,229
137,305   Proximus S.A.D.P.   2,679,355
11,429   Sofina S.A.   5,621,148
30,619   Umicore S.A.   1,246,235
        17,221,984
    Denmark – 1.4%    
1,677   AP Moller - Maersk A.S., Class B   6,020,415
7,573   DSV A.S.   1,770,923
        7,791,338
    Finland – 2.9%    
149,196   Fortum Oyj   4,584,512
175,203   Kojamo Oyj   4,236,713
164,839   Nokia Oyj (b)   1,046,068
27,014   QT Group Oyj (b)   4,108,927
36,564   Sampo Oyj, Class A   1,834,135
54,232   Stora Enso Oyj, Class R   996,534
        16,806,889
    France – 11.3%    
6,172   Alten S.A.   1,113,751
27,405   Arkema S.A.   3,864,193
16,998   Atos SE   723,580
65,142   AXA S.A.   1,941,989
42,449   BNP Paribas S.A.   2,936,904
626,949   Bollore S.A.   3,511,805
65,555   Bouygues S.A.   2,350,236
21,772   Capgemini SE   5,341,689
100,929   Carrefour S.A.   1,850,588
53,878   Cie de Saint-Gobain   3,795,112
11,814   Cie Generale des Etablissements Michelin SCA   1,938,852
57,156   CNP Assurances   1,415,318
288,143   Electricite de France S.A.   3,388,765
69,165   Engie S.A.   1,024,779
48,275   Eurazeo SE   4,221,012
28,505   Ipsen S.A.   2,612,462
167,765   Orange S.A.   1,797,887
50,783   Renault S.A. (b)   1,766,003
93,584   Rexel S.A.   1,899,704
4,865   Sartorius Stedim Biotech   2,671,918
Shares   Description   Value
    France (Continued)    
31,291   SCOR SE   $977,545
115,385   Societe Generale S.A.   3,967,905
18,978   TotalEnergies SE   964,296
88,942   Veolia Environnement S.A.   3,266,663
359,684   Vivendi SE   4,868,958
6,543   Wendel SE   785,146
        64,997,060
    Germany – 11.4%    
37,915   Bayerische Motoren Werke AG   3,819,779
52,880   Covestro AG (c) (d)   3,263,050
50,240   Daimler AG   3,866,029
37,625   Dermapharm Holding SE   3,825,260
12,890   Fresenius Medical Care AG & Co., KGaA   838,545
37,774   Fresenius SE & Co., KGaA   1,522,402
48,439   HeidelbergCement AG   3,282,397
19,622   HelloFresh SE (b)   1,508,820
45,188   HUGO BOSS AG   2,752,390
32,098   LEG Immobilien SE   4,483,896
8,361   Merck KGaA   2,160,813
8,649   Nemetschek SE   1,110,729
45,641   Porsche Automobil Holding SE (Preference Shares)   4,335,732
98,924   ProSiebenSat.1 Media SE   1,577,876
77,035   RWE AG   3,132,799
4,281   Sartorius AG (Preference Shares)   2,900,956
118,143   Schaeffler AG (Preference Shares)   980,547
123,929   TAG Immobilien AG   3,472,303
638,299   Telefonica Deutschland Holding AG   1,773,883
108,803   Uniper SE   5,177,859
16,205   Volkswagen AG (Preference Shares)   3,274,398
60,460   Vonovia SE   3,338,435
19,442   Wacker Chemie AG   2,912,929
        65,311,827
    Ireland – 0.9%    
767,883   Bank of Ireland Group PLC (b)   4,358,935
55,089   Glanbia PLC   771,441
        5,130,376
    Isle Of Man (U.K.) – 0.6%    
158,281   Entain PLC (b)   3,605,680
    Italy – 6.7%    
1,325,491   A2A S.p.A.   2,595,603
42,542   ACEA S.p.A.   908,623
85,315   Assicurazioni Generali S.p.A.   1,809,553
20,698   Banca Generali S.p.A.   913,131
419,503   Banca Mediolanum S.p.A.   4,145,604
71,904   Brembo S.p.A.   1,025,740
198,650   Buzzi Unicem S.p.A   4,291,443
67,943   Eni S.p.A.   945,255
 
Page 40
See Notes to Financial Statements
Table of Contents
First Trust Europe AlphaDEX® Fund (FEP)
Portfolio of Investments (Continued)
December 31, 2021
Shares   Description   Value
COMMON STOCKS (a) (Continued)
    Italy (Continued)    
42,025   Interpump Group S.p.A.   $3,083,640
319,735   Intesa Sanpaolo S.p.A.   827,778
330,814   Leonardo S.p.A. (b)   2,372,780
154,423   Pirelli & C S.p.A. (c) (d)   1,073,851
263,024   Poste Italiane S.p.A. (c) (d)   3,455,686
14,764   Reply S.p.A.   3,003,735
11,556,717   Telecom Italia S.p.A.   5,712,909
136,429   UniCredit S.p.A.   2,103,714
        38,269,045
    Jersey – 1.5%    
766,551   Glencore PLC   3,890,350
160,797   Polymetal International PLC   2,854,437
134,788   WPP PLC   2,042,442
        8,787,229
    Luxembourg – 2.2%    
65,537   APERAM S.A.   3,554,605
148,237   ArcelorMittal S.A.   4,749,971
35,387   Eurofins Scientific SE   4,383,345
        12,687,921
    Netherlands – 6.3%    
15,733   Aalberts N.V.   1,043,554
62,990   ABN AMRO Bank N.V. (c) (d)   926,259
650   Adyen N.V. (b) (c) (d)   1,710,568
526,844   Aegon N.V.   2,634,974
72,670   Arcadis N.V.   3,502,991
6,959   ASM International N.V.   3,079,601
2,429   ASML Holding N.V.   1,954,320
79,400   ASR Nederland N.V.   3,661,074
14,241   IMCD N.V.   3,156,745
81,900   Koninklijke Ahold Delhaize N.V.   2,809,882
577,879   Koninklijke KPN N.V.   1,796,109
51,986   NN Group N.V.   2,817,848
153,697   OCI N.V. (b)   4,028,132
62,317   STMicroelectronics N.V.   3,077,011
        36,199,068
    Norway – 4.1%    
178,224   Equinor ASA   4,774,065
65,105   Kongsberg Gruppen ASA   2,114,339
151,110   Nordic Semiconductor ASA (b)   5,106,464
484,511   Norsk Hydro ASA   3,824,790
379,364   Storebrand ASA   3,813,219
73,095   Yara International ASA   3,693,532
        23,326,409
    Portugal – 0.4%    
1,811,371   Banco Espirito Santo
S.A. (b) (e) (f) (g) 		  0
91,165   Jeronimo Martins SGPS S.A.   2,086,206
        2,086,206
Shares   Description   Value
    Spain – 2.7%    
274,434   Banco Bilbao Vizcaya Argentaria S.A.   $1,640,326
5,405,664   Banco de Sabadell S.A. (b)   3,642,143
250,110   Banco Santander S.A.   837,308
154,789   Bankinter S.A.   794,609
876,829   CaixaBank S.A.   2,409,823
40,847   Enagas S.A.   948,688
69,435   Repsol S.A.   824,984
969,200   Telefonica S.A.   4,250,429
        15,348,310
    Sweden – 13.3%    
123,815   AddLife AB, Class B   5,225,985
51,381   Avanza Bank Holding AB   1,888,932
136,821   Beijer Ref AB   2,996,489
140,876   Boliden AB   5,456,564
185,405   Castellum AB (h)   5,002,295
78,634   Electrolux AB, Class B   1,910,113
86,928   EQT AB   4,742,647
68,215   Getinge AB, Class B   2,982,642
146,211   Industrivarden AB, Class C   4,596,904
210,264   Investor AB, Class B   5,299,531
128,641   Kinnevik AB, Class B (b)   4,594,728
16,481   L E Lundbergforetagen AB, Class B   926,534
101,108   Lifco AB, Class B   3,028,921
97,354   Lundin Energy AB   3,496,091
359,415   Nibe Industrier AB, Class B   5,439,233
820,324   Samhallsbyggnadsbolaget i Norden AB   6,029,738
139,460   Sinch AB (b) (c) (d)   1,776,393
72,079   Skanska AB, Class B   1,868,142
844,583   SSAB AB, Class B (b)   4,263,012
122,508   Tele2 AB, Class B   1,750,269
54,034   Thule Group AB (c) (d)   3,276,890
        76,552,053
    Switzerland – 5.3%    
11,153   Alcon, Inc.   988,250
4,745   Bachem Holding AG, Class B   3,728,512
16,794   BKW AG   2,185,874
192,479   Clariant AG   4,013,500
2,555   Daetwyler Holding AG   1,127,206
56,366   Holcim Ltd.   2,877,066
7,966   Kuehne + Nagel International AG   2,573,738
22,596   PSP Swiss Property AG   2,819,540
1,512   Straumann Holding AG   3,214,162
3,156   Swisscom AG   1,782,350
9,164   VAT Group AG (c) (d)   4,569,932
2,268   Zur Rose Group AG (b)   586,165
        30,466,295
    United Kingdom – 20.4%    
263,081   3i Group PLC   5,159,791
1,319,008   abrdn PLC   4,300,892
 
See Notes to Financial Statements
Page 41
Table of Contents
First Trust Europe AlphaDEX® Fund (FEP)
Portfolio of Investments (Continued)
December 31, 2021
Shares   Description   Value
COMMON STOCKS (a) (Continued)
    United Kingdom (Continued)    
102,845   Anglo American PLC   $4,198,448
23,885   Ashtead Group PLC   1,921,021
119,299   BAE Systems PLC   887,801
408,405   Barratt Developments PLC   4,134,918
15,458   Berkeley Group Holdings PLC   999,082
107,130   BHP Group PLC   3,189,403
594,426   BP PLC   2,659,154
51,788   British American Tobacco PLC   1,916,119
1,265,852   BT Group PLC   2,905,059
4,758,483   Centrica PLC (b)   4,605,204
7,892   Croda International PLC   1,081,040
13,903   Dechra Pharmaceuticals PLC   1,002,080
232,831   Direct Line Insurance Group PLC   879,264
118,294   Endeavour Mining PLC   2,673,951
113,438   Evraz PLC   923,721
394,603   Frasers Group PLC (b)   4,118,026
345,164   Fresnillo PLC   4,171,132
91,365   Future PLC   4,736,450
301,084   Howden Joinery Group PLC   3,672,680
251,440   IG Group Holdings PLC   2,766,937
129,793   Imperial Brands PLC   2,839,888
166,283   Inchcape PLC   2,047,033
472,514   J Sainsbury PLC   1,763,938
1,286,175   JD Sports Fashion PLC   3,791,685
801,518   Kingfisher PLC   3,670,199
959,484   Legal & General Group PLC   3,863,661
2,895,757   Lloyds Banking Group PLC   1,873,546
1,469,813   Marks & Spencer Group PLC (b)   4,603,623
50,546   Persimmon PLC   1,953,976
46,342   Prudential PLC   799,446
68,615   Rio Tinto PLC   4,543,388
1,443,436   Rolls-Royce Holdings PLC (b)   2,400,784
40,742   Royal Dutch Shell PLC, Class A   894,363
800,424   Royal Mail PLC   5,482,074
128,761   SSE PLC   2,873,950
223,715   St. James’s Place PLC   5,097,797
194,934   Tate & Lyle PLC   1,745,123
865,568   Taylor Wimpey PLC   2,056,140
1,190,251   Vodafone Group PLC   1,808,581
        117,011,368
    Total Common Stocks   557,216,294
    (Cost $509,031,244)    
REAL ESTATE INVESTMENT TRUSTS (a) – 2.5%
    Belgium – 0.6%    
67,240   Warehouses De Pauw CVA   3,228,994
    United Kingdom – 1.9%    
282,124   Segro PLC   5,485,547
Shares   Description   Value
    United Kingdom (Continued)    
1,585,788   Tritax Big Box REIT PLC   $5,344,644
        10,830,191
    Total Real Estate Investment Trusts   14,059,185
    (Cost $10,871,701)    
MONEY MARKET FUNDS – 0.5%
2,819,275   Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (i) (j)   2,819,275
    (Cost $2,819,275)    
Principal
Value 		  Description   Value
REPURCHASE AGREEMENTS – 0.2%
$1,251,807   BNP Paribas S.A., 0.03% (i), dated 12/31/21, due 1/3/22, with a maturity value of $1,251,810. Collateralized by U.S. Treasury Note, interest rate of 1.50%, due 11/30/28. The value of the collateral including accrued interest is $1,276,293. (j)   1,251,807
    (Cost $1,251,807)    
    Total Investments – 100.3%   575,346,561
    (Cost $523,974,027) (k)    
    Net Other Assets and Liabilities – (0.3)%   (1,437,860)
    Net Assets – 100.0%   $573,908,701
    
(a) Portfolio securities are categorized based upon their country of incorporation, which can be different from the country categorization of the Fund’s underlying index. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview.
(b) Non-income producing security.
(c) This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933, as amended (the “1933 Act”).
(d) This security is exempt from registration upon resale under Rule 144A of the 1933 Act and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities.
(e) This issuer has filed for protection in bankruptcy court.
(f) Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by First Trust Advisors L.P., the Fund’s advisor.
 
Page 42
See Notes to Financial Statements
Table of Contents
First Trust Europe AlphaDEX® Fund (FEP)
Portfolio of Investments (Continued)
December 31, 2021
(g) This security’s value was determined using significant unobservable inputs (see Note 2A – Portfolio Valuation in the Notes to Financial Statements).
(h) All or a portion of this security is on loan (see Note 2F - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $3,729,820 and the total value of the collateral held by the Fund is $4,071,082.
(i) Rate shown reflects yield as of December 31, 2021.
(j) This security serves as collateral for securities on loan.
(k) Aggregate cost for federal income tax purposes was $532,273,021. As of December 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $63,246,242 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $20,172,702. The net unrealized appreciation was $43,073,540.
Valuation Inputs
A summary of the inputs used to value the Fund’s investments as of December 31, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
  Total
Value at
12/31/2021 		Level 1
Quoted
Prices 		Level 2
Significant
Observable
Inputs 		Level 3
Significant
Unobservable
Inputs
Common Stocks:        
Portugal $ 2,086,206 $ 2,086,206 $ — $ —**
Other Country Categories*  555,130,088  555,130,088  —  —
Real Estate Investment Trusts*  14,059,185  14,059,185  —  —
Money Market Funds  2,819,275  2,819,275  —  —
Repurchase Agreements  1,251,807  —  1,251,807  —
Total Investments $ 575,346,561 $ 574,094,754 $ 1,251,807 $—**
    
* See Portfolio of Investments for country breakout.
** Investment is valued at $0.
Level 3 Common Stocks are fair valued by the Advisor’s Pricing Committee and are footnoted in the Portfolio of Investments. The Level 3 Common Stocks values are based on unobservable and non-quantitative inputs.
Offsetting Assets and Liabilities
Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2E – Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements).
The Fund’s loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows:
Security Lending Agency Agreement  
Total gross amount presented on the Statements of Assets and Liabilities (1) $3,729,820
Non-cash Collateral (2) (3,729,820)
Net Amount $—
    
(1) The amount presented on the Statements of Assets and Liabilities, which is included in “Investments, at value,” is not offset and is shown on a gross basis.
(2) At December 31, 2021, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments.
The Fund’s investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows:
Repurchase Agreements  
Total gross amount presented on the Statements of Assets and Liabilities (3) $1,251,807
Non-cash Collateral (4) (1,251,807)
Net Amount $—
    
(3) The amount is included in “Investments, at value” on the Statements of Assets and Liabilities.
(4) At December 31, 2021, the value of the collateral received from each seller exceeded the value of the repurchase agreements.
    
Currency Exposure
Diversification 		% of Total
Investments
Euro 50.9%
British Pound Sterling 24.4
Swedish Krona 13.3
Swiss Franc 5.3
Norwegian Krone 4.1
Danish Krone 1.3
United States Dollar 0.7
Total 100.0%
 
See Notes to Financial Statements
Page 43
Table of Contents
First Trust Latin America AlphaDEX® Fund (FLN)
Portfolio of Investments
December 31, 2021
Shares   Description   Value
COMMON STOCKS (a) – 97.0%
    Brazil – 48.1%    
22,136   Alpargatas S.A. (Preference Shares)   $147,123
19,098   Ambev S.A.   52,871
16,452   Atacadao S.A.   45,044
14,028   Banco Bradesco S.A. (Preference Shares)   48,380
20,221   Banco do Brasil S.A.   104,735
8,592   Banco Santander Brasil S.A.   46,246
24,620   Braskem S.A., Class A (Preference Shares)   254,731
15,175   Centrais Eletricas Brasileiras S.A.   91,023
30,303   Cia de Saneamento Basico do Estado de Sao Paulo   218,595
104,132   Cia Energetica de Minas Gerais (Preference Shares)   245,093
50,852   Cia Siderurgica Nacional S.A.   228,149
25,430   Cosan S.A.   99,026
32,550   CPFL Energia S.A.   156,789
183,481   CSN Mineracao S.A.   222,022
11,526   Equatorial Energia S.A.   46,787
53,910   Gerdau S.A. (Preference Shares)   263,840
55,081   Itausa S.A. (Preference Shares)   88,308
39,411   JBS S.A.   268,518
53,653   Petroleo Brasileiro S.A. (Preference Shares)   274,045
10,719   Suzano S.A. (b)   115,677
99,470   TIM S.A.   234,835
19,163   Vale S.A.   268,213
37,317   Vibra Energia S.A.   143,372
14,746   WEG S.A.   87,311
        3,750,733
    Cayman Islands – 0.4%    
1,037   Pagseguro Digital, Ltd., Class A (b)   27,190
    Chile – 10.7%    
2,143,928   Banco Santander Chile   86,185
123,676   Cencosud S.A.   206,852
85,512   Empresas CMPC S.A.   143,323
19,415   Empresas COPEC S.A.   150,079
907,940   Enel Americas S.A.   99,106
2,986   Sociedad Quimica y Minera de Chile S.A., Class B (Preference Shares)   152,416
        837,961
    Colombia – 1.9%    
18,583   Bancolombia S.A. (Preference Shares)   146,251
    Mexico – 35.9%    
241,333   America Movil S.A.B. de C.V., Series L   255,530
26,256   Arca Continental S.A.B. de C.V.   166,726
Shares   Description   Value
    Mexico (Continued)    
221,965   Cemex S.A.B. de C.V., Series CPO (b)   $151,659
24,587   Fomento Economico Mexicano S.A.B. de C.V., Series UBD   191,516
4,662   Gruma S.A.B. de C.V., Class B   59,583
4,591   Grupo Aeroportuario del Pacifico S.A.B. de C.V., Class B   63,405
2,856   Grupo Aeroportuario del Sureste S.A.B. de C.V., Class B   58,880
94,908   Grupo Bimbo S.A.B. de C.V., Series A   292,435
77,902   Grupo Carso S.A.B. de C.V., Series A1   248,862
702   Grupo Elektra S.A.B. de C.V.   53,142
16,620   Grupo Financiero Banorte S.A.B. de C.V., Class O   108,094
113,928   Grupo Financiero Inbursa S.A.B. de C.V., Class O (b)   136,710
53,486   Grupo Mexico S.A.B. de C.V., Series B   233,164
72,607   Grupo Televisa S.A.B., Series CPO   136,203
22,641   Industrias Penoles S.A.B. de C.V.   260,993
83,288   Orbia Advance Corp. S.A.B. de C.V.   212,577
47,363   Wal-Mart de Mexico S.A.B. de C.V.   176,309
        2,805,788
    Total Common Stocks   7,567,923
    (Cost $6,827,122)    
REAL ESTATE INVESTMENT TRUSTS (a) – 2.5%
    Mexico – 2.5%    
188,323   Fibra Uno Administracion S.A. de C.V.   199,218
    (Cost $231,176)    
    Total Investments – 99.5%   7,767,141
    (Cost $7,058,298) (c)    
    Net Other Assets and Liabilities – 0.5%   38,325
    Net Assets – 100.0%   $7,805,466
    
(a) Portfolio securities are categorized based upon their country of incorporation, which can be different from the country categorization of the Fund’s underlying index. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview.
(b) Non-income producing security.
 
Page 44
See Notes to Financial Statements
Table of Contents
First Trust Latin America AlphaDEX® Fund (FLN)
Portfolio of Investments (Continued)
December 31, 2021
(c) Aggregate cost for federal income tax purposes was $7,205,891. As of December 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $1,132,630 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $571,380. The net unrealized appreciation was $561,250.
Valuation Inputs
A summary of the inputs used to value the Fund’s investments as of December 31, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
  Total
Value at
12/31/2021 		Level 1
Quoted
Prices 		Level 2
Significant
Observable
Inputs 		Level 3
Significant
Unobservable
Inputs
Common Stocks* $ 7,567,923 $ 7,567,923 $ — $ —
Real Estate Investment Trusts*  199,218  199,218  —  —
Total Investments $ 7,767,141 $ 7,767,141 $— $—
    
* See Portfolio of Investments for country breakout.
See Notes to Financial Statements
Page 45
Table of Contents
First Trust Brazil AlphaDEX® Fund (FBZ)
Portfolio of Investments
December 31, 2021
Shares   Description   Value
COMMON STOCKS – 99.3%
    Aerospace & Defense – 5.1%    
137,830   Embraer S.A. (a)   $614,172
    Airlines – 0.9%    
23,705   Azul S.A. (Preference Shares) (a)   103,672
    Banks – 6.5%    
32,380   Banco do Brasil S.A.   167,713
20,058   Banco Inter S.A.   102,883
108,103   Banco Pan S.A. (Preference Shares)   207,278
13,358   Banco Santander Brasil S.A.   71,898
146,958   Itausa S.A. (Preference Shares)   235,608
        785,380
    Beverages – 1.4%    
60,946   Ambev S.A.   168,723
    Capital Markets – 1.1%    
4,763   XP, Inc., Class A (a)   136,889
    Chemicals – 3.8%    
43,677   Braskem S.A., Class A (Preference Shares)   451,904
    Electric Utilities – 20.5%    
36,147   Centrais Eletricas Brasileiras S.A.   216,817
103,660   Cia de Transmissao de Energia Electrica Paulista (Preference Shares)   452,419
171,533   Cia Energetica de Minas Gerais (Preference Shares)   403,734
438,602   Cia Paranaense de Energia, Class B (Preference Shares)   507,109
57,988   CPFL Energia S.A.   279,321
11,166   Energisa S.A.   88,947
41,952   Equatorial Energia S.A.   170,294
119,786   Neoenergia S.A.   348,390
        2,467,031
    Food & Staples Retailing – 1.1%    
49,541   Atacadao S.A.   135,637
    Food Products – 11.5%    
57,100   BRF S.A. (a)   230,860
89,377   JBS S.A.   608,951
135,889   Marfrig Global Foods S.A.   538,433
        1,378,244
    Health Care Providers &
Services – 0.5% 		   
33,754   Hapvida Participacoes e Investimentos S.A. (b) (c)   62,902
Shares   Description   Value
    Independent Power &
Renewable Electricity Producers – 2.2% 		   
30,636   Eneva S.A. (a)   $77,828
26,572   Engie Brasil Energia S.A.   183,237
        261,065
    Insurance – 4.4%    
22,518   BB Seguridade Participacoes S.A.   83,887
38,913   Porto Seguro S.A.   146,151
59,825   Sul America S.A.   295,258
        525,296
    IT Services – 1.1%    
57,669   Locaweb Servicos de Internet S.A. (a) (b) (c)   136,252
    Metals & Mining – 15.0%    
75,920   Bradespar S.A. (Preference Shares)   340,618
59,122   Cia Siderurgica Nacional S.A.   265,253
70,270   Gerdau S.A. (Preference Shares)   343,907
150,449   Metalurgica Gerdau S.A. (Preference Shares)   307,380
108,942   Usinas Siderurgicas de Minas Gerais S.A., Class A (Preference Shares)   296,510
18,377   Vale S.A.   257,212
        1,810,880
    Multiline Retail – 0.3%    
24,593   Magazine Luiza S.A.   31,878
    Oil, Gas & Consumable Fuels – 6.9%    
21,711   Cosan S.A.   84,544
80,071   Petro Rio S.A. (a)   297,140
88,373   Petroleo Brasileiro S.A. (Preference Shares)   451,384
        833,068
    Paper & Forest Products – 2.9%    
96,164   Dexco S.A.   258,279
8,696   Suzano S.A. (a)   93,845
        352,124
    Personal Products – 1.4%    
36,670   Natura & Co. Holding S.A. (a)   167,418
    Pharmaceuticals – 0.6%    
15,094   Hypera S.A.   76,608
    Real Estate Management &
Development – 1.2% 		   
44,271   Multiplan Empreendimentos Imobiliarios S.A.   148,789
 
Page 46
See Notes to Financial Statements
Table of Contents
First Trust Brazil AlphaDEX® Fund (FBZ)
Portfolio of Investments (Continued)
December 31, 2021
Shares   Description   Value
COMMON STOCKS (Continued)
    Software – 1.8%    
41,450   TOTVS S.A.   $213,129
    Specialty Retail – 2.7%    
32,945   Via S.A. (a)   31,053
77,991   Vibra Energia S.A.   299,642
        330,695
    Textiles, Apparel & Luxury
Goods – 1.1% 		   
20,727   Alpargatas S.A. (Preference Shares)   137,758
    Water Utilities – 2.6%    
42,658   Cia de Saneamento Basico do Estado de Sao Paulo   307,720
    Wireless Telecommunication
Services – 2.7% 		   
135,347   TIM S.A.   319,536
    Total Investments – 99.3%   11,956,770
    (Cost $12,406,964) (d)    
    Net Other Assets and Liabilities – 0.7%   81,848
    Net Assets – 100.0%   $12,038,618
    
(a) Non-income producing security.
(b) This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933, as amended (the “1933 Act”).
(c) This security is exempt from registration upon resale under Rule 144A of the 1933 Act and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities.
(d) Aggregate cost for federal income tax purposes was $12,909,919. As of December 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $566,057 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $1,519,206. The net unrealized depreciation was $953,149.
Valuation Inputs
A summary of the inputs used to value the Fund’s investments as of December 31, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
  Total
Value at
12/31/2021 		Level 1
Quoted
Prices 		Level 2
Significant
Observable
Inputs 		Level 3
Significant
Unobservable
Inputs
Common Stocks* $ 11,956,770 $ 11,956,770 $ — $ —
    
* See Portfolio of Investments for industry breakout.
    
Country Allocation† % of Net
Assets
Brazil 98.2%
Cayman Islands 1.1
Total Investments 99.3
Net Other Assets and Liabilities 0.7
Total 100.0%
† Portfolio securities are categorized based upon their country of incorporation, which can be different from the country categorization of the Fund’s underlying index.
 
See Notes to Financial Statements
Page 47
Table of Contents
First Trust China AlphaDEX® Fund (FCA)
Portfolio of Investments
December 31, 2021
Shares   Description   Value
COMMON STOCKS – 100.0%
    Air Freight & Logistics – 2.3%    
688,700   Sinotrans Ltd., Class H   $220,807
    Automobiles – 8.7%    
7,272   BYD Co., Ltd., Class H   248,632
292,957   Chongqing Changan Automobile Co., Ltd., Class B   163,807
423,880   Dongfeng Motor Group Co., Ltd., Class H   352,257
21,972   Great Wall Motor Co., Ltd., Class H   75,517
        840,213
    Banks – 1.4%    
198,800   Bank of China Ltd., Class H   71,642
106,400   Bank of Communications Co., Ltd., Class H   64,269
        135,911
    Capital Markets – 0.7%    
375,500   China Cinda Asset Management Co., Ltd., Class H   68,382
    Communications Equipment – 1.7%    
43,528   BYD Electronic International Co., Ltd. (a)   159,374
    Construction & Engineering – 3.5%    
68,206   China Conch Venture Holdings Ltd.   333,265
    Construction Materials – 9.3%    
67,356   Anhui Conch Cement Co., Ltd., Class H   336,454
375,822   China Resources Cement Holdings Ltd.   283,883
153,124   Huaxin Cement Co., Ltd., Class B   281,748
        902,085
    Diversified Telecommunication
Services – 1.2% 		   
1,039,403   China Tower Corp., Ltd., Class H (b) (c)   114,637
    Electronic Equipment,
Instruments & Components – 0.7% 		   
12,950   Kingboard Holdings Ltd.   63,026
    Entertainment – 1.6%    
35,918   Kingsoft Corp., Ltd.   157,766
    Gas Utilities – 1.5%    
155,400   Kunlun Energy Co., Ltd.   145,683
Shares   Description   Value
    Health Care Providers &
Services – 1.4% 		   
21,900   Hygeia Healthcare Holdings Co., Ltd. (b) (c)   $137,058
    Independent Power &
Renewable Electricity Producers – 10.2% 		   
82,600   China Longyuan Power Group Corp., Ltd., Class H   192,794
209,187   China Resources Power Holdings Co., Ltd.   700,192
219,022   Huadian Power International Corp., Ltd., Class H   95,501
        988,487
    Insurance – 2.1%    
246,068   PICC Property & Casualty Co., Ltd., Class H   201,019
    Life Sciences Tools &
Services – 7.2% 		   
65,800   Genscript Biotech Corp. (d)   291,130
10,710   Pharmaron Beijing Co., Ltd., Class H (b) (c)   165,233
6,090   WuXi AppTec Co., Ltd., Class H (b) (c)   105,437
11,619   WuXi Biologics Cayman, Inc. (b) (c) (d)   137,907
        699,707
    Machinery – 1.6%    
100,100   Sinotruk Hong Kong Ltd.   154,048
    Marine – 3.7%    
184,490   COSCO SHIPPING Holdings Co., Ltd., Class H (a) (e)   357,739
    Metals & Mining – 12.0%    
599,512   Aluminum Corp. of China Ltd., Class H (d)   331,373
564,200   Angang Steel Co., Ltd., Class H   251,076
158,765   China Hongqiao Group Ltd.   167,570
174,612   Jiangxi Copper Co., Ltd., Class H   279,467
106,400   Zijin Mining Group Co., Ltd., Class H   126,628
        1,156,114
    Oil, Gas & Consumable Fuels – 14.8%    
600,836   China Coal Energy Co., Ltd., Class H   346,745
707,600   China Petroleum & Chemical Corp., Class H   329,410
73,253   China Shenhua Energy Co., Ltd., Class H   171,729
 
Page 48
See Notes to Financial Statements
Table of Contents
First Trust China AlphaDEX® Fund (FCA)
Portfolio of Investments (Continued)
December 31, 2021
Shares   Description   Value
COMMON STOCKS (Continued)
    Oil, Gas & Consumable
Fuels (Continued) 		   
437,800   China Suntien Green Energy Corp., Ltd., Class H   $341,367
294,000   PetroChina Co., Ltd., Class H   130,833
52,534   Yankuang Energy Group Co., Ltd., Class H   104,427
        1,424,511
    Pharmaceuticals – 2.6%    
81,200   China Medical System Holdings Ltd.   135,584
26,600   Shanghai Fosun Pharmaceutical Group Co., Ltd., Class H   117,179
        252,763
    Real Estate Management &
Development – 8.4% 		   
221,956   Agile Group Holdings Ltd.   120,406
157,772   China Overseas Land & Investment Ltd.   373,511
18,200   China Resources Land Ltd.   76,557
6,300   Country Garden Services Holdings Co., Ltd.   37,731
95,200   Logan Group Co., Ltd.   72,766
83,300   Sunac China Holdings Ltd.   125,844
        806,815
    Specialty Retail – 2.1%    
26,600   China Meidong Auto Holdings Ltd.   137,135
8,750   Zhongsheng Group Holdings Ltd.   68,227
        205,362
    Textiles, Apparel & Luxury
Goods – 1.3% 		   
200,200   Bosideng International Holdings Ltd.   126,063
    Total Common Stocks   9,650,835
    (Cost $10,207,616)    
MONEY MARKET FUNDS – 3.0%
292,797   Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (f) (g)   292,797
    (Cost $292,797)    
Principal
Value 		  Description   Value
REPURCHASE AGREEMENTS – 1.4%
$130,007   BNP Paribas S.A., 0.03% (f), dated 12/31/21, due 1/3/22, with a maturity value of $130,007. Collateralized by U.S. Treasury Note, interest rate of 1.50%, due 11/30/28. The value of the collateral including accrued interest is $132,550. (g)   $130,007
    (Cost $130,007)    
    Total Investments – 104.4%   10,073,639
    (Cost $10,630,420) (h)    
    Net Other Assets and Liabilities – (4.4)%   (424,569)
    Net Assets – 100.0%   $9,649,070
    
(a) All or a portion of this security is on loan (see Note 2F - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $401,949 and the total value of the collateral held by the Fund is $422,804.
(b) This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933, as amended (the “1933 Act”).
(c) This security is exempt from registration upon resale under Rule 144A of the 1933 Act and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities.
(d) Non-income producing security.
(e) Non-income producing security that makes payment-in-kind (“PIK”) distributions. For the fiscal year ended December 31, 2021, the Fund received 134,666 PIK shares of COSCO SHIPPING Holdings Co., Ltd.
(f) Rate shown reflects yield as of December 31, 2021.
(g) This security serves as collateral for securities on loan.
(h) Aggregate cost for federal income tax purposes was $10,773,346. As of December 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $1,016,463 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $1,716,170. The net unrealized depreciation was $699,707.
 
See Notes to Financial Statements
Page 49
Table of Contents
First Trust China AlphaDEX® Fund (FCA)
Portfolio of Investments (Continued)
December 31, 2021
Valuation Inputs
A summary of the inputs used to value the Fund’s investments as of December 31, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
  Total
Value at
12/31/2021 		Level 1
Quoted
Prices 		Level 2
Significant
Observable
Inputs 		Level 3
Significant
Unobservable
Inputs
Common Stocks* $ 9,650,835 $ 9,650,835 $ — $ —
Money Market Funds  292,797  292,797  —  —
Repurchase Agreements  130,007  —  130,007  —
Total Investments $ 10,073,639 $ 9,943,632 $ 130,007 $—
    
* See Portfolio of Investments for industry breakout.
Offsetting Assets and Liabilities
Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2E – Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements).
The Fund’s loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows:
Security Lending Agency Agreement  
Total gross amount presented on the Statements of Assets and Liabilities (1) $401,949
Non-cash Collateral (2) (401,949)
Net Amount $—
    
(1) The amount presented on the Statements of Assets and Liabilities, which is included in “Investments, at value,” is not offset and is shown on a gross basis.
(2) At December 31, 2021, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments.
The Fund’s investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows:
Repurchase Agreements  
Total gross amount presented on the Statements of Assets and Liabilities (3) $130,007
Non-cash Collateral (4) (130,007)
Net Amount $—
    
(3) The amount is included in “Investments, at value” on the Statements of Assets and Liabilities.
(4) At December 31, 2021, the value of the collateral received from each seller exceeded the value of the repurchase agreements.
    
Country Allocation† % of Net
Assets
China 58.5%
Cayman Islands 25.6
Hong Kong 14.4
United States 4.4
Bermuda 1.5
Total Investments 104.4
Net Other Assets and Liabilities (4.4)
Total 100.0%
† Portfolio securities are categorized based upon their country of incorporation, which can be different from the country categorization of the Fund’s underlying index.
Currency Exposure
Diversification 		% of Total
Investments
Hong Kong Dollar 93.0%
United States Dollar 7.0
Total 100.0%
 
Page 50
See Notes to Financial Statements
Table of Contents
First Trust Japan AlphaDEX® Fund (FJP)
Portfolio of Investments
December 31, 2021
Shares   Description   Value
COMMON STOCKS – 99.8%
    Air Freight & Logistics – 1.2%    
9,100   SG Holdings Co., Ltd.   $213,043
8,400   Yamato Holdings Co., Ltd.   197,385
        410,428
    Auto Components – 2.2%    
11,100   Aisin Corp.   425,550
1,700   Denso Corp.   140,827
16,100   Sumitomo Electric Industries Ltd.   209,875
        776,252
    Automobiles – 4.6%    
14,900   Honda Motor Co., Ltd.   418,386
27,100   Isuzu Motors Ltd.   337,130
38,000   Mazda Motor Corp.   292,359
6,000   Subaru Corp.   107,294
6,800   Toyota Motor Corp.   124,467
13,100   Yamaha Motor Co., Ltd.   314,204
        1,593,840
    Banks – 1.0%    
8,300   Mizuho Financial Group, Inc.   105,563
31,000   Resona Holdings, Inc.   120,572
3,500   Sumitomo Mitsui Financial Group, Inc.   119,973
        346,108
    Building Products – 0.8%    
5,700   AGC, Inc.   272,042
    Chemicals – 7.3%    
42,500   Mitsubishi Chemical Holdings Corp.   314,787
22,600   Mitsubishi Gas Chemical Co., Inc.   382,725
10,300   Mitsui Chemicals, Inc.   276,684
1,600   Nitto Denko Corp.   123,655
20,000   Showa Denko KK   419,890
112,300   Sumitomo Chemical Co., Ltd.   529,137
34,500   Tosoh Corp.   511,667
        2,558,545
    Commercial Services &
Supplies – 2.0% 		   
37,100   Toppan, Inc.   695,363
    Construction & Engineering – 5.6%    
47,000   Kajima Corp.   539,746
74,900   Obayashi Corp.   579,510
62,200   Shimizu Corp.   385,539
14,500   Taisei Corp.   440,559
        1,945,354
    Consumer Finance – 0.4%    
54,700   Acom Co., Ltd.   157,400
Shares   Description   Value
    Diversified Financial Services – 1.2%    
21,200   ORIX Corp.   $432,644
    Diversified Telecommunication
Services – 0.7% 		   
9,100   Nippon Telegraph & Telephone Corp.   249,196
    Electric Utilities – 4.0%    
48,700   Chubu Electric Power Co., Inc.   513,122
49,900   Kansai Electric Power (The) Co., Inc.   465,901
160,400   Tokyo Electric Power Co., Holdings, Inc. (a)   414,142
        1,393,165
    Electrical Equipment – 1.9%    
10,200   Fuji Electric Co., Ltd.   556,864
8,200   Mitsubishi Electric Corp.   103,970
        660,834
    Electronic Equipment,
Instruments & Components – 1.9% 		   
8,800   Ibiden Co., Ltd.   523,272
2,400   Taiyo Yuden Co., Ltd.   138,121
        661,393
    Entertainment – 0.3%    
2,490   Koei Tecmo Holdings Co., Ltd.   97,950
    Food & Staples Retailing – 0.6%    
5,000   Seven & i Holdings Co., Ltd.   219,769
    Food Products – 1.1%    
9,200   Ajinomoto Co., Inc.   279,687
2,000   MEIJI Holdings Co., Ltd.   119,273
        398,960
    Gas Utilities – 2.5%    
32,000   Osaka Gas Co., Ltd.   528,836
18,900   Tokyo Gas Co., Ltd.   338,797
        867,633
    Household Durables – 3.8%    
23,100   Iida Group Holdings Co., Ltd.   537,387
10,100   Open House Co., Ltd.   528,575
11,600   Sekisui House Ltd.   248,982
        1,314,944
    Industrial Conglomerates – 2.3%    
10,400   Hitachi Ltd.   563,262
5,500   Toshiba Corp.   226,158
        789,420
 
See Notes to Financial Statements
Page 51
Table of Contents
First Trust Japan AlphaDEX® Fund (FJP)
Portfolio of Investments (Continued)
December 31, 2021
Shares   Description   Value
COMMON STOCKS (Continued)
    Insurance – 4.5%    
32,500   Dai-ichi Life Holdings, Inc.   $657,035
43,600   Japan Post Holdings Co., Ltd.   339,915
12,900   Japan Post Insurance Co., Ltd.   207,468
27,600   T&D Holdings, Inc.   353,188
        1,557,606
    Internet & Direct Marketing
Retail – 1.9% 		   
6,700   Mercari, Inc. (a)   341,320
10,500   ZOZO, Inc.   327,697
        669,017
    IT Services – 2.6%    
1,900   Fujitsu Ltd.   325,889
9,300   NEC Corp.   429,305
7,600   NTT Data Corp.   162,928
        918,122
    Machinery – 6.6%    
12,100   Ebara Corp.   672,164
7,400   Kurita Water Industries Ltd.   351,248
9,000   MINEBEA MITSUMI, Inc.   255,455
8,100   Mitsubishi Heavy Industries Ltd.   187,237
15,800   Nabtesco Corp.   467,695
21,300   NGK Insulators Ltd.   359,969
        2,293,768
    Marine – 5.2%    
12,400   Mitsui OSK Lines Ltd.   920,595
11,700   Nippon Yusen KK   891,002
        1,811,597
    Media – 1.1%    
22,200   CyberAgent, Inc.   369,389
    Metals & Mining – 2.7%    
12,500   Hitachi Metals Ltd. (a)   231,570
20,300   JFE Holdings, Inc.   258,890
7,100   Nippon Steel Corp.   115,947
9,200   Sumitomo Metal Mining Co., Ltd.   347,909
        954,316
    Oil, Gas & Consumable Fuels – 1.9%    
113,800   ENEOS Holdings, Inc.   425,699
9,900   Idemitsu Kosan Co., Ltd.   252,771
        678,470
    Paper & Forest Products – 0.9%    
62,200   Oji Holdings Corp.   301,186
    Pharmaceuticals – 2.1%    
3,400   Kyowa Kirin Co., Ltd.   92,663
2,900   Otsuka Holdings Co., Ltd.   105,104
Shares   Description   Value
    Pharmaceuticals (Continued)    
22,700   Sumitomo Dainippon Pharma Co., Ltd.   $261,475
10,700   Takeda Pharmaceutical Co., Ltd.   291,801
        751,043
    Professional Services – 2.4%    
1,700   BayCurrent Consulting, Inc.   657,655
6,000   Persol Holdings Co., Ltd.   174,215
        831,870
    Real Estate Management &
Development – 0.6% 		   
4,000   Daiwa House Industry Co., Ltd.   115,031
5,100   Mitsui Fudosan Co., Ltd.   101,020
        216,051
    Road & Rail – 0.8%    
4,700   Nippon Express Co., Ltd. (b) (c)   282,335
    Semiconductors &
Semiconductor Equipment – 7.5% 		   
1,300   Advantest Corp.   123,185
2,500   Lasertec Corp.   766,974
4,800   SCREEN Holdings Co., Ltd.   516,178
16,300   Shinko Electric Industries Co., Ltd.   777,945
4,900   SUMCO Corp.   100,062
600   Tokyo Electron Ltd.   345,718
        2,630,062
    Software – 1.0%    
13,100   Rakus Co., Ltd.   353,038
    Specialty Retail – 1.3%    
128,900   Yamada Holdings Co., Ltd.   440,387
    Technology Hardware,
Storage & Peripherals – 1.9% 		   
3,200   FUJIFILM Holdings Corp.   237,183
21,200   Ricoh Co., Ltd.   197,385
13,500   Seiko Epson Corp.   243,054
        677,622
    Textiles, Apparel & Luxury
Goods – 1.2% 		   
18,800   Asics Corp.   416,761
    Tobacco – 1.1%    
18,900   Japan Tobacco, Inc. (d)   381,598
    Trading Companies &
Distributors – 4.7% 		   
54,800   Marubeni Corp.   533,327
26,500   Mitsui & Co., Ltd.   627,425
10,100   Toyota Tsusho Corp.   465,357
        1,626,109
 
Page 52
See Notes to Financial Statements
Table of Contents
First Trust Japan AlphaDEX® Fund (FJP)
Portfolio of Investments (Continued)
December 31, 2021
Shares   Description   Value
COMMON STOCKS (Continued)
    Wireless Telecommunication
Services – 2.4% 		   
15,300   KDDI Corp.   $447,175
8,500   SoftBank Group Corp.   401,539
        848,714
    Total Common Stocks   34,850,301
    (Cost $35,242,809)    
MONEY MARKET FUNDS – 0.8%
257,738   Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (e) (f)   257,738
    (Cost $257,738)    
Principal
Value 		  Description   Value
REPURCHASE AGREEMENTS – 0.3%
$114,440   BNP Paribas S.A., 0.03% (e), dated 12/31/21, due 1/3/22, with a maturity value of $114,441. Collateralized by U.S. Treasury Note, interest rate of 1.50%, due 11/30/28. The value of the collateral including accrued interest is $116,679. (f)   114,440
    (Cost $114,440)    
    Total Investments – 100.9%   35,222,479
    (Cost $35,614,987) (g)    
    Net Other Assets and Liabilities – (0.9)%   (321,462)
    Net Assets – 100.0%   $34,901,017
    
(a) Non-income producing security.
(b) This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures adopted by the Trust’s Board of Trustees, and in accordance with the provisions of the Investment Company Act of 1940, as amended. At December 31, 2021, securities noted as such are valued at $282,335 or 0.8% of net assets.
(c) Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by First Trust Advisors L.P., the Fund’s advisor.
(d) All or a portion of this security is on loan (see Note 2F - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $343,439 and the total value of the collateral held by the Fund is $372,178.
(e) Rate shown reflects yield as of December 31, 2021.
(f) This security serves as collateral for securities on loan.
(g) Aggregate cost for federal income tax purposes was $35,918,667. As of December 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $3,198,581 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $3,894,769. The net unrealized depreciation was $696,188.
Valuation Inputs
A summary of the inputs used to value the Fund’s investments as of December 31, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
  Total
Value at
12/31/2021 		Level 1
Quoted
Prices 		Level 2
Significant
Observable
Inputs 		Level 3
Significant
Unobservable
Inputs
Common Stocks:        
Road & Rail $ 282,335 $ — $ 282,335 $ —
Other industry categories*  34,567,966  34,567,966  —  —
Money Market Funds  257,738  257,738  —  —
Repurchase Agreements  114,440  —  114,440  —
Total Investments $ 35,222,479 $ 34,825,704 $ 396,775 $—
    
* See Portfolio of Investments for industry breakout.
Offsetting Assets and Liabilities
Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2E – Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements).
The Fund’s loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows:
Security Lending Agency Agreement  
Total gross amount presented on the Statements of Assets and Liabilities (1) $343,439
Non-cash Collateral (2) (343,439)
Net Amount $—
    
(1) The amount presented on the Statements of Assets and Liabilities, which is included in “Investments, at value,” is not offset and is shown on a gross basis.
(2) At December 31, 2021, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments.
 
See Notes to Financial Statements
Page 53
Table of Contents
First Trust Japan AlphaDEX® Fund (FJP)
Portfolio of Investments (Continued)
December 31, 2021
The Fund’s investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows:
Repurchase Agreements  
Total gross amount presented on the Statements of Assets and Liabilities (3) $114,440
Non-cash Collateral (4) (114,440)
Net Amount $—
    
(3) The amount is included in “Investments, at value” on the Statements of Assets and Liabilities.
(4) At December 31, 2021, the value of the collateral received from each seller exceeded the value of the repurchase agreements.
    
Country Allocation† % of Net
Assets
Japan 99.8%
United States 1.1
Total Investments 100.9
Net Other Assets and Liabilities (0.9)
Total 100.0%
† Portfolio securities are categorized based upon their country of incorporation, which can be different from the country categorization of the Fund’s underlying index.
Page 54
See Notes to Financial Statements
Table of Contents
First Trust Developed Markets ex-US AlphaDEX® Fund (FDT)
Portfolio of Investments
December 31, 2021
Shares   Description   Value
COMMON STOCKS (a) – 96.8%
    Australia – 5.7%    
495,112   Aurizon Holdings Ltd.   $1,257,163
122,047   BlueScope Steel Ltd.   1,855,822
15,592   Domino’s Pizza Enterprises Ltd.   1,338,928
209,055   Fortescue Metals Group Ltd.   2,921,802
497,409   Harvey Norman Holdings Ltd.   1,787,736
70,438   IGO Ltd.   587,805
174,232   Medibank Pvt Ltd.   424,654
41,876   Mineral Resources Ltd.   1,706,146
82,883   Newcrest Mining Ltd.   1,476,181
367,936   Northern Star Resources Ltd.   2,518,980
1,525,589   Pilbara Minerals Ltd. (b)   3,551,815
107,288   QBE Insurance Group Ltd.   885,951
24,975   Rio Tinto Ltd.   1,819,055
34,976   WiseTech Global Ltd.   1,490,673
        23,622,711
    Austria – 1.1%    
31,543   Erste Group Bank AG   1,484,949
37,357   OMV AG   2,124,421
17,652   Raiffeisen Bank International AG   520,105
12,168   voestalpine AG   443,305
        4,572,780
    Belgium – 1.7%    
15,349   D’ieteren Group   2,998,682
45,491   Proximus S.A.D.P.   887,706
5,680   Sofina S.A.   2,793,606
7,608   Umicore S.A.   309,656
        6,989,650
    Bermuda – 0.8%    
558,712   Hopson Development Holdings Ltd.   1,165,066
1,833,369   Nine Dragons Paper Holdings Ltd.   1,967,964
        3,133,030
    Canada – 10.6%    
45,810   AltaGas Ltd.   989,028
144,665   ARC Resources Ltd.   1,315,188
25,028   Barrick Gold Corp.   475,848
16,867   Brookfield Asset Management, Inc., Class A   1,018,594
19,529   BRP, Inc.   1,710,592
24,720   Canadian Natural Resources Ltd.   1,044,535
179,293   Cenovus Energy, Inc.   2,198,375
14,122   Colliers International Group, Inc.   2,103,089
4,478   Fairfax Financial Holdings, Ltd.   2,202,767
20,949   George Weston Ltd.   2,428,855
12,368   Gildan Activewear, Inc.   524,365
44,619   Great-West Lifeco, Inc.   1,338,976
23,941   iA Financial Corp., Inc.   1,369,896
42,897   Imperial Oil Ltd.   1,547,066
421,497   Kinross Gold Corp.   2,445,779
18,733   Lightspeed Commerce, Inc. (b)   756,458
Shares   Description   Value
    Canada (Continued)    
19,756   Loblaw Cos., Ltd.   $1,618,650
251,325   Lundin Mining Corp.   1,962,995
12,010   Magna International, Inc.   971,757
20,888   Nutrien Ltd.   1,570,047
19,724   Nuvei Corp. (b)   1,278,602
31,963   Onex Corp.   2,508,626
68,550   Power Corp. of Canada   2,265,220
18,154   Teck Resources Ltd., Class B   522,827
22,086   TFI International, Inc. (c)   2,477,047
4,087   Thomson Reuters Corp.   488,747
64,677   Tourmaline Oil Corp.   2,088,153
26,828   West Fraser Timber Co., Ltd.   2,559,471
        43,781,553
    Cayman Islands – 1.3%    
155,868   CK Asset Holdings Ltd.   982,477
270,912   CK Hutchison Holdings Ltd.   1,747,584
739,891   Shimao Group Holdings Ltd.   483,927
2,534,890   WH Group Ltd. (d) (e)   1,589,680
150,666   Xinyi Glass Holdings Ltd.   376,783
        5,180,451
    Denmark – 0.8%    
834   AP Moller - Maersk A.S., Class B   2,994,052
1,882   DSV A.S.   440,100
        3,434,152
    Finland – 1.5%    
74,145   Fortum Oyj   2,278,336
87,070   Kojamo Oyj   2,105,504
10,740   QT Group OYJ (b)   1,633,593
        6,017,433
    France – 3.9%    
10,214   Arkema S.A.   1,440,207
16,187   AXA S.A.   482,561
14,064   BNP Paribas S.A.   973,041
233,680   Bollore S.A.   1,308,940
8,656   Capgemini SE   2,123,721
20,082   Cie de Saint-Gobain   1,414,556
71,599   Electricite de France S.A.   842,055
19,193   Eurazeo SE   1,678,174
2,418   Sartorius Stedim Biotech   1,327,995
28,671   Societe Generale S.A.   985,950
29,468   Veolia Environnement S.A.   1,082,301
178,751   Vivendi SE   2,419,710
        16,079,211
    Germany – 5.3%    
18,843   Bayerische Motoren Werke AG   1,898,354
19,709   Covestro AG (d) (e)   1,216,177
18,726   Daimler AG   1,440,989
14,023   Dermapharm Holding SE   1,425,691
24,073   HeidelbergCement AG   1,631,271
4,876   HelloFresh SE (b)   374,937
 
See Notes to Financial Statements
Page 55
Table of Contents
First Trust Developed Markets ex-US AlphaDEX® Fund (FDT)
Portfolio of Investments (Continued)
December 31, 2021
Shares   Description   Value
COMMON STOCKS (a) (Continued)
    Germany (Continued)    
14,971   HUGO BOSS AG   $911,880
15,952   LEG Immobilien SE   2,228,398
2,078   Merck KGaA   537,037
22,682   Porsche Automobil Holding SE (Preference Shares)   2,154,709
1,418   Sartorius AG (Preference Shares)   960,887
46,192   TAG Immobilien AG   1,294,230
54,072   Uniper SE   2,573,249
6,040   Volkswagen AG (Preference Shares)   1,220,448
22,535   Vonovia SE   1,244,321
4,831   Wacker Chemie AG   723,812
        21,836,390
    Hong Kong – 0.7%    
1,033,872   Sino Land Co., Ltd.   1,287,443
36,074   Sun Hung Kai Properties Ltd.   437,650
67,833   Techtronic Industries Co., Ltd.   1,350,127
        3,075,220
    Ireland – 0.5%    
381,613   Bank of Ireland Group PLC (b)   2,166,249
    Isle Of Man (U.K.) – 0.4%    
62,929   Entain PLC (b)   1,433,538
    Israel – 1.6%    
212,099   Bank Leumi Le-Israel BM   2,282,028
184,513   ICL Group Ltd.   1,781,063
85,143   Israel Discount Bank Ltd., Class A   573,472
53,492   Mizrahi Tefahot Bank Ltd.   2,064,697
        6,701,260
    Italy – 2.9%    
439,151   A2A S.p.A.   859,954
166,784   Banca Mediolanum S.p.A.   1,648,189
98,723   Buzzi Unicem S.p.A   2,132,717
13,923   Interpump Group S.p.A.   1,021,619
54,801   Leonardo S.p.A. (b)   393,063
130,714   Poste Italiane S.p.A. (d) (e)   1,717,358
4,891   Reply S.p.A.   995,074
5,743,313   Telecom Italia S.p.A.   2,839,130
33,900   UniCredit S.p.A.   522,733
        12,129,837
    Japan – 23.2%    
245,900   Acom Co., Ltd.   707,580
43,600   AGC, Inc.   2,080,883
61,900   Aisin Corp.   2,373,111
30,500   Ajinomoto Co., Inc.   927,223
19,700   Asics Corp.   436,712
3,500   BayCurrent Consulting, Inc.   1,353,995
114,400   Chubu Electric Power Co., Inc.   1,205,362
101,900   Dai-ichi Life Holdings, Inc.   2,060,058
18,200   Ebara Corp.   1,011,023
Shares   Description   Value
    Japan (Continued)    
331,700   ENEOS Holdings, Inc.   $1,240,811
20,900   FUJIFILM Holdings Corp.   1,549,104
38,000   Hitachi Ltd.   2,058,072
58,360   Honda Motor Co., Ltd.   1,638,727
16,300   Ibiden Co., Ltd.   969,243
85,600   Idemitsu Kosan Co., Ltd.   2,185,579
52,500   Iida Group Holdings Co., Ltd.   1,221,334
115,100   Inpex Corp.   1,002,610
68,400   Isuzu Motors Ltd.   850,912
30,800   ITOCHU Corp.   941,966
148,500   JFE Holdings, Inc.   1,893,849
69,900   Kajima Corp.   802,729
92,900   Kansai Electric Power (The) Co., Inc.   867,379
41,500   Kawasaki Kisen Kaisha Ltd. (b)   2,496,566
13,700   KDDI Corp.   400,412
5,500   Kikkoman Corp.   462,358
16,400   Makita Corp.   696,177
162,100   Marubeni Corp.   1,577,597
103,300   Mazda Motor Corp.   794,754
31,800   MISUMI Group, Inc.   1,304,842
197,000   Mitsubishi Chemical Holdings Corp.   1,459,132
42,800   Mitsubishi Corp.   1,358,825
32,400   Mitsubishi Electric Corp.   410,809
68,300   Mitsubishi Gas Chemical Co., Inc.   1,156,641
85,700   Mitsubishi HC Capital, Inc.   423,918
33,300   Mitsubishi Heavy Industries Ltd.   769,753
40,900   Mitsui & Co., Ltd.   968,366
53,600   Mitsui Chemicals, Inc.   1,439,833
33,300   Mitsui OSK Lines Ltd.   2,472,242
47,400   Nabtesco Corp.   1,403,086
16,600   NEC Corp.   766,287
79,500   NGK Insulators Ltd.   1,343,545
40,300   Nikon Corp.   434,426
25,100   Nippo Corp.   870,634
6,500   Nippon Express Co., Ltd. (f) (g)   390,463
71,600   Nippon Sanso Holdings Corp.   1,564,208
49,600   Nippon Steel Corp.   809,994
29,800   Nippon Yusen KK   2,269,391
93,100   NTT Data Corp.   1,995,867
108,500   Obayashi Corp.   839,477
267,700   Oji Holdings Corp.   1,296,261
38,100   Open House Co., Ltd.   1,993,932
47,800   ORIX Corp.   975,489
73,800   Osaka Gas Co., Ltd.   1,219,628
71,800   Persol Holdings Co., Ltd.   2,084,778
51,000   Rakus Co., Ltd.   1,374,424
14,800   Recruit Holdings Co., Ltd.   897,032
111,600   Seiko Epson Corp.   2,009,246
4,600   Shimano, Inc.   1,226,080
59,800   Shimizu Corp.   370,663
38,900   SoftBank Group Corp.   1,837,630
31,000   Sompo Holdings, Inc.   1,309,476
 
Page 56
See Notes to Financial Statements
Table of Contents
First Trust Developed Markets ex-US AlphaDEX® Fund (FDT)
Portfolio of Investments (Continued)
December 31, 2021
Shares   Description   Value
COMMON STOCKS (a) (Continued)
    Japan (Continued)    
4,000   Sony Group Corp.   $503,347
35,700   Stanley Electric Co., Ltd.   893,509
48,500   Subaru Corp.   867,291
86,200   Sumitomo Chemical Co., Ltd.   406,158
101,100   Sumitomo Electric Industries Ltd.   1,317,912
49,600   Sumitomo Metal Mining Co., Ltd.   1,875,685
20,200   Suzuki Motor Corp.   777,761
97,600   T&D Holdings, Inc.   1,248,954
14,000   Taisei Corp.   425,367
38,100   Taiyo Yuden Co., Ltd.   2,192,663
8,400   Tokio Marine Holdings, Inc.   466,772
472,600   Tokyo Electric Power Co., Holdings, Inc. (b)   1,220,223
48,500   Tokyo Gas Co., Ltd.   869,399
106,000   Toppan, Inc.   1,986,751
123,880   Tosoh Corp.   1,837,254
25,200   Toyota Motor Corp.   461,259
10,600   Toyota Tsusho Corp.   488,394
64,600   Yamaha Motor Co., Ltd.   1,549,434
        96,240,637
    Jersey – 0.6%    
285,713   Glencore PLC   1,450,032
26,637   Polymetal International PLC   472,855
33,493   WPP PLC   507,519
        2,430,406
    Luxembourg – 1.4%    
32,570   APERAM S.A.   1,766,536
73,669   ArcelorMittal S.A.   2,360,582
14,069   Eurofins Scientific SE   1,742,710
        5,869,828
    Netherlands – 2.6%    
161   Adyen N.V. (b) (d) (e)   423,694
174,550   Aegon N.V.   873,000
27,086   Arcadis N.V.   1,305,656
2,306   ASM International N.V.   1,020,486
603   ASML Holding N.V.   485,160
39,459   ASR Nederland N.V.   1,819,425
4,718   IMCD N.V.   1,045,820
13,567   Koninklijke Ahold Delhaize N.V.   465,466
8,612   NN Group N.V.   466,805
76,382   OCI N.V. (b)   2,001,840
20,646   STMicroelectronics N.V.   1,019,432
        10,926,784
    New Zealand – 0.5%    
33,796   Mainfreight Ltd.   2,173,492
    Norway – 2.3%    
88,571   Equinor ASA   2,372,541
16,177   Kongsberg Gruppen ASA   525,361
Shares   Description   Value
    Norway (Continued)    
75,097   Nordic Semiconductor ASA (b)   $2,537,755
180,590   Norsk Hydro ASA   1,425,600
188,532   Storebrand ASA   1,895,050
18,163   Yara International ASA   917,787
        9,674,094
    Portugal – 0.1%    
81,454   Banco Espirito Santo
S.A. (b) (g) (h) (i) 		  0
22,653   Jeronimo Martins SGPS S.A.   518,388
        518,388
    Singapore – 0.5%    
63,300   Jardine Cycle & Carriage Ltd.   967,631
697,000   Olam International Ltd.   905,128
        1,872,759
    South Korea – 9.4%    
7,210   Coway Co., Ltd.   451,251
5,728   Ecopro BM Co., Ltd. (c)   2,413,108
11,530   Hana Financial Group, Inc.   407,854
49,476   Hankook Tire & Technology Co., Ltd.   1,652,322
11,941   Hanwha Solutions Corp. (b)   356,598
9,639   Hyundai Glovis Co., Ltd.   1,362,231
4,229   Hyundai Mobis Co., Ltd.   905,388
2,675   Hyundai Motor Co.   470,305
22,596   Hyundai Steel Co.   779,336
50,949   Industrial Bank of Korea   441,451
19,765   Kia Corp.   1,366,715
45,432   Korea Electric Power Corp.   844,624
6,199   Korea Investment Holdings Co., Ltd.   420,828
4,254   Korea Zinc Co., Ltd.   1,828,639
49,230   KT Corp.   1,267,245
19,765   KT&G Corp.   1,313,510
14,152   Kumho Petrochemical Co., Ltd. (c)   1,976,220
14,943   L&F Co., Ltd.   2,795,645
28,761   LG Corp.   1,957,321
112,921   LG Display Co., Ltd. (b)   2,336,788
106,993   LG Uplus Corp.   1,224,063
11,076   Lotte Chemical Corp.   2,021,865
6,484   POSCO   1,497,252
7,220   Samsung Electronics Co., Ltd.   475,563
83,751   Samsung Engineering Co., Ltd. (b)   1,613,374
20,775   SK Hynix, Inc.   2,289,401
26,341   SK Telecom Co., Ltd.   1,282,981
12,662   SKC Co., Ltd. (c)   1,858,691
14,590   S-Oil Corp.   1,051,830
45,920   Woori Financial Group, Inc.   490,586
        39,152,985
    Spain – 0.9%    
2,686,439   Banco de Sabadell S.A. (b)   1,810,026
 
See Notes to Financial Statements
Page 57
Table of Contents
First Trust Developed Markets ex-US AlphaDEX® Fund (FDT)
Portfolio of Investments (Continued)
December 31, 2021
Shares   Description   Value
COMMON STOCKS (a) (Continued)
    Spain (Continued)    
145,252   CaixaBank S.A.   $399,202
385,328   Telefonica S.A.   1,689,857
        3,899,085
    Sweden – 7.1%    
61,532   AddLife AB, Class B   2,597,143
12,767   Avanza Bank Holding AB   469,356
45,330   Beijer Ref AB   992,763
56,009   Boliden AB   2,169,402
73,712   Castellum AB (c)   1,988,777
32,400   EQT AB   1,767,690
11,300   Getinge AB, Class B   494,083
72,662   Industrivarden AB, Class C   2,284,508
104,494   Investor AB, Class B   2,633,686
63,930   Kinnevik AB, Class B (b)   2,283,416
33,498   Lifco AB, Class B   1,003,509
48,382   Lundin Energy AB   1,737,452
142,894   Nibe Industrier AB, Class B   2,162,497
407,674   Samhallsbyggnadsbolaget i Norden AB   2,996,581
46,205   Sinch AB (b) (d) (e)   588,543
419,730   SSAB AB, Class B (b)   2,118,577
17,902   Thule Group AB (d) (e)   1,085,666
        29,373,649
    Switzerland – 1.6%    
1,768   Bachem Holding AG, Class B   1,389,254
47,828   Clariant AG   997,292
9,337   Holcim Ltd.   476,585
1,320   Kuehne + Nagel International AG   426,479
3,743   PSP Swiss Property AG   467,053
501   Straumann Holding AG   1,065,010
3,416   VAT Group AG (d) (e)   1,703,501
        6,525,174
    United Kingdom – 7.8%    
130,743   3i Group PLC   2,564,254
655,504   abrdn PLC   2,137,403
51,111   Anglo American PLC   2,086,508
5,935   Ashtead Group PLC   477,340
101,482   Barratt Developments PLC   1,027,460
98,470   BP PLC   440,504
1,773,608   Centrica PLC (b)   1,716,477
19,596   Endeavour Mining PLC   442,954
147,079   Frasers Group PLC (b)   1,534,897
85,768   Fresnillo PLC   1,036,463
36,324   Future PLC   1,883,071
112,222   Howden Joinery Group PLC   1,368,905
41,318   Inchcape PLC   508,647
117,412   J Sainsbury PLC   438,310
479,389   JD Sports Fashion PLC   1,413,254
398,328   Kingfisher PLC   1,823,968
357,624   Legal & General Group PLC   1,440,084
547,837   Marks & Spencer Group PLC (b)   1,715,888
Shares   Description   Value
    United Kingdom (Continued)    
23,031   Prudential PLC   $397,308
27,280   Rio Tinto PLC   1,806,363
478,227   Rolls-Royce Holdings PLC (b)   795,407
397,785   Royal Mail PLC   2,724,415
111,179   St. James’s Place PLC   2,533,437
        32,313,317
    Total Common Stocks   401,124,063
    (Cost $373,484,828)    
REAL ESTATE INVESTMENT TRUSTS (a) – 2.8%
    Australia – 0.6%    
115,832   Dexus   937,122
370,113   GPT (The) Group   1,459,474
        2,396,596
    Canada – 0.9%    
38,734   Canadian Apartment Properties REIT   1,836,034
25,417   Granite Real Estate Investment Trust   2,117,832
        3,953,866
    United Kingdom – 1.3%    
140,207   Segro PLC   2,726,149
788,085   Tritax Big Box REIT PLC   2,656,114
        5,382,263
    Total Real Estate Investment Trusts   11,732,725
    (Cost $9,334,087)    
MONEY MARKET FUNDS – 1.1%
4,536,951   Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (j) (k)   4,536,951
    (Cost $4,536,951)    
 
Page 58
See Notes to Financial Statements
Table of Contents
First Trust Developed Markets ex-US AlphaDEX® Fund (FDT)
Portfolio of Investments (Continued)
December 31, 2021
Principal
Value 		  Description   Value
REPURCHASE AGREEMENTS – 0.5%
$2,014,484   BNP Paribas S.A., 0.03% (j), dated 12/31/21, due 1/3/22, with a maturity value of $2,014,489. Collateralized by U.S. Treasury Note, interest rate of 1.50%, due 11/30/28. The value of the collateral including accrued interest is $2,053,889. (k)   $2,014,484
    (Cost $2,014,484)    
    Total Investments – 101.2%   419,408,223
    (Cost $389,370,350) (l)    
    Net Other Assets and Liabilities – (1.2)%   (4,828,964)
    Net Assets – 100.0%   $414,579,259
    
(a) Portfolio securities are categorized based upon their country of incorporation.
(b) Non-income producing security.
(c) All or a portion of this security is on loan (see Note 2F - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $6,193,585 and the total value of the collateral held by the Fund is $6,551,435.
(d) This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933, as amended (the “1933 Act”).
(e) This security is exempt from registration upon resale under Rule 144A of the 1933 Act and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities.
(f) This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures adopted by the Trust’s Board of Trustees, and in accordance with the provisions of the Investment Company Act of 1940, as amended. At December 31, 2021, securities noted as such are valued at $390,463 or 0.1% of net assets.
(g) Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by First Trust Advisors L.P., the Fund’s advisor.
(h) This issuer has filed for protection in bankruptcy court.
(i) This security’s value was determined using significant unobservable inputs (see Note 2A – Portfolio Valuation in the Notes to Financial Statements).
(j) Rate shown reflects yield as of December 31, 2021.
(k) This security serves as collateral for securities on loan.
(l) Aggregate cost for federal income tax purposes was $395,744,531. As of December 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $44,094,805 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $20,431,113. The net unrealized appreciation was $23,663,692.
Valuation Inputs
A summary of the inputs used to value the Fund’s investments as of December 31, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
  Total
Value at
12/31/2021 		Level 1
Quoted
Prices 		Level 2
Significant
Observable
Inputs 		Level 3
Significant
Unobservable
Inputs
Common Stocks:        
Japan $ 96,240,637 $ 95,850,174 $ 390,463 $ —
Portugal  518,388  518,388  —  —**
Other Country Categories*  304,365,038  304,365,038  —  —
Real Estate Investment Trusts*  11,732,725  11,732,725  —  —
Money Market Funds  4,536,951  4,536,951  —  —
Repurchase Agreements  2,014,484  —  2,014,484  —
Total Investments $ 419,408,223 $ 417,003,276 $ 2,404,947 $—**
    
* See Portfolio of Investments for country breakout.
** Investment is valued at $0.
Level 3 Common Stocks are fair valued by the Advisor’s Pricing Committee and are footnoted in the Portfolio of Investments. The Level 3 Common Stocks values are based on unobservable and non-quantitative inputs.
Offsetting Assets and Liabilities
Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2E – Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements).
The Fund’s loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows:
 
See Notes to Financial Statements
Page 59
Table of Contents
First Trust Developed Markets ex-US AlphaDEX® Fund (FDT)
Portfolio of Investments (Continued)
December 31, 2021
Security Lending Agency Agreement  
Total gross amount presented on the Statements of Assets and Liabilities (1) $6,193,585
Non-cash Collateral (2) (6,193,585)
Net Amount $—
    
(1) The amount presented on the Statements of Assets and Liabilities, which is included in “Investments, at value,” is not offset and is shown on a gross basis.
(2) At December 31, 2021, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments.
    
Repurchase Agreements  
Total gross amount presented on the Statements of Assets and Liabilities (3) $2,014,484
Non-cash Collateral (4) (2,014,484)
Net Amount $—
    
(3) The amount is included in “Investments, at value” on the Statements of Assets and Liabilities.
(4) At December 31, 2021, the value of the collateral received from each seller exceeded the value of the repurchase agreements.
    
Currency Exposure
Diversification 		% of Total
Investments
Japanese Yen 23.0%
Euro 21.7
Canadian Dollar 11.4
British Pound Sterling 9.9
South Korean Won 9.3
Swedish Krona 7.0
Australian Dollar 6.2
Hong Kong Dollar 2.7
Norwegian Krone 2.3
Israeli Shekel 1.6
United States Dollar 1.6
Swiss Franc 1.6
Danish Krone 0.8
New Zealand Dollar 0.5
Singapore Dollar 0.4
Total 100.0%
Page 60
See Notes to Financial Statements
Table of Contents
First Trust Emerging Markets AlphaDEX® Fund (FEM)
Portfolio of Investments
December 31, 2021
Shares   Description   Value
COMMON STOCKS (a) – 99.0%
    Bermuda – 1.9%    
3,722,440   CGN New Energy Holdings Co., Ltd. (b)   $3,895,468
4,732,078   Kunlun Energy Co., Ltd.   4,436,200
        8,331,668
    Brazil – 9.3%    
453,257   Braskem S.A., Class A (Preference Shares)   4,689,623
278,925   Cia de Saneamento Basico do Estado de Sao Paulo   2,012,066
1,150,227   Cia Energetica de Minas Gerais (Preference Shares)   2,707,267
936,174   Cia Siderurgica Nacional S.A.   4,200,177
3,377,838   CSN Mineracao S.A.   4,087,366
992,484   Gerdau S.A. (Preference Shares)   4,857,292
725,545   JBS S.A.   4,943,345
987,741   Petroleo Brasileiro S.A. (Preference Shares)   5,045,104
915,603   TIM S.A.   2,161,612
282,219   Vale S.A.   3,950,053
458,008   Vibra Energia S.A.   1,759,672
        40,413,577
    Cayman Islands – 8.4%    
103,580   Baidu, Inc., Class A (c)   1,920,817
639,580   China Conch Venture Holdings Ltd.   3,125,084
3,835,014   China Hongqiao Group Ltd.   4,047,703
1,232,000   China Lesso Group Holdings Ltd.   1,769,581
4,093,398   China Resources Cement Holdings Ltd.   3,092,012
233,015   China Resources Land Ltd.   980,166
3,380,940   China State Construction International Holdings Ltd.   4,201,487
558,460   Chinasoft International Ltd.   727,659
954,271   Country Garden Holdings Co., Ltd.   846,876
1,089,930   Kingboard Holdings Ltd.   5,304,595
3,776,138   Logan Group Co., Ltd.   2,886,263
2,466,789   Seazen Group Ltd.   1,667,188
13,405   Silergy Corp.   2,434,674
1,852,168   Sunac China Holdings Ltd.   2,798,127
122,640   Zhongsheng Group Holdings Ltd.   956,263
        36,758,495
    China – 25.3%    
6,524,001   Aluminum Corp. of China Ltd., Class H (c)   3,606,061
8,005,492   Angang Steel Co., Ltd., Class H   3,562,537
732,008   Anhui Conch Cement Co., Ltd., Class H   3,656,496
1,663,625   Bank of Communications Co., Ltd., Class H   1,004,889
Shares   Description   Value
    China (Continued)    
94,800   BYD Co., Ltd., Class H   $3,241,233
6,485,480   CGN Power Co., Ltd., Class H (d) (e)   1,971,207
6,458,303   China Coal Energy Co., Ltd., Class H   3,727,115
1,376,998   China Construction Bank Corp., Class H   953,606
1,197,845   China Longyuan Power Group Corp., Ltd., Class H   2,795,850
2,188,200   China National Building Material Co., Ltd., Class H   2,682,790
7,963,285   China Petroleum & Chemical Corp., Class H   3,707,155
3,961,740   China Railway Group Ltd., Class H   2,093,269
17,465,837   China Reinsurance Group Corp., Class H   1,679,935
421,731   China Shenhua Energy Co., Ltd., Class H   988,675
3,940,784   China Suntien Green Energy Corp., Ltd., Class H   3,072,756
15,068,875   China Tower Corp., Ltd., Class H (d) (e)   1,661,962
4,024,300   COSCO SHIPPING Energy Transportation Co., Ltd., Class H   1,532,811
1,931,010   COSCO SHIPPING Holdings Co., Ltd., Class H (b) (f)   3,744,365
15,370,820   Datang International Power Generation Co., Ltd., Class H   3,469,377
2,983,381   Dongfang Electric Corp., Ltd., Class H (b)   5,019,777
5,529,163   Dongfeng Motor Group Co., Ltd., Class H   4,594,902
1,071,160   Great Wall Motor Co., Ltd., Class H   3,681,552
9,516,388   Huadian Power International Corp., Ltd., Class H   4,149,472
7,337,320   Huaneng Power International, Inc., Class H   4,902,493
2,146,108   Huaxin Cement Co., Ltd., Class B   3,948,839
2,317,401   Inner Mongolia ERDOS Resources Co., Ltd., Class B   4,764,576
973,526   Jiangsu Expressway Co., Ltd., Class H   997,553
2,035,820   Legend Holdings Corp., Class H (d) (e)   3,007,694
10,823,920   Maanshan Iron & Steel Co., Ltd., Class H   3,970,018
16,010,548   Metallurgical Corp. of China Ltd., Class H   4,086,026
2,022,520   Orient Securities Co., Ltd., Class H (d) (e)   1,727,464
6,247,675   PetroChina Co., Ltd., Class H   2,780,288
 
See Notes to Financial Statements
Page 61
Table of Contents
First Trust Emerging Markets AlphaDEX® Fund (FEM)
Portfolio of Investments (Continued)
December 31, 2021
Shares   Description   Value
COMMON STOCKS (a) (Continued)
    China (Continued)    
2,036,153   PICC Property & Casualty Co., Ltd., Class H   $1,663,381
263,675   Shanghai Baosight Software Co., Ltd., Class B   1,272,759
378,629   Sinopharm Group Co., Ltd., Class H   823,534
5,023,300   Sinotrans Ltd., Class H   1,610,538
1,874,457   Xinjiang Goldwind Science & Technology Co., Ltd., Class H (b)   3,658,744
2,085,935   Yankuang Energy Group Co., Ltd., Class H   4,146,430
1,102,564   Zoomlion Heavy Industry Science and Technology Co., Ltd., Class H   694,268
        110,652,397
    Hong Kong – 6.9%    
987,064   Beijing Enterprises Holdings Ltd.   3,405,175
3,920,540   China Everbright Environment Group Ltd.   3,147,473
2,300,909   China Merchants Port Holdings Co., Ltd.   4,190,151
1,732,957   China Overseas Land & Investment Ltd.   4,102,620
9,304,188   China Power International Development Ltd.   6,264,402
1,711,154   China Resources Power Holdings Co., Ltd.   5,727,584
973,255   Far East Horizon Ltd.   863,723
811,522   Fosun International Ltd.   875,262
4,269,560   Sun Art Retail Group Ltd. (b)   1,713,836
        30,290,226
    Hungary – 1.1%    
592,076   MOL Hungarian Oil & Gas PLC   4,598,478
    India – 13.2%    
49,911   Adani Enterprises Ltd.   1,147,772
366,203   Ambuja Cements Ltd.   1,859,695
16,353   Apollo Hospitals Enterprise Ltd.   1,102,891
1,643,009   Ashok Leyland Ltd.   2,706,460
303,300   Aurobindo Pharma Ltd.   2,996,252
12,362   Bajaj Finserv Ltd.   2,728,347
722,122   Bharat Electronics Ltd.   2,039,526
508,650   Bharat Petroleum Corp., Ltd.   2,637,485
212,934   Bharti Airtel Ltd. (c)   1,958,741
175,652   DLF Ltd.   922,617
461,311   GAIL India Ltd.   801,787
131,690   Grasim Industries Ltd.   2,873,912
160,097   Havells India Ltd.   3,008,725
750,876   Hindalco Industries Ltd.   4,803,605
43,034   Larsen & Toubro Ltd.   1,097,564
17,455   Mindtree Ltd.   1,122,407
47,204   Mphasis Ltd.   2,156,944
Shares   Description   Value
    India (Continued)    
323,515   State Bank of India   $2,003,917
439,653   Tata Motors Ltd. (c)   2,853,121
1,846,374   Tata Power (The) Co., Ltd.   5,488,031
284,260   Tata Steel Ltd.   4,250,192
67,784   Titan Co., Ltd.   2,300,086
1,018,992   Vedanta Ltd.   4,677,164
        57,537,241
    Indonesia – 0.6%    
1,302,228   Gudang Garam Tbk PT   2,795,873
    Malaysia – 1.5%    
2,015,200   Hartalega Holdings Bhd   2,771,746
426,600   Tenaga Nasional Bhd   956,420
4,305,700   Top Glove Corp. Bhd   2,676,851
        6,405,017
    Mexico – 2.5%    
1,397,769   Grupo Bimbo S.A.B. de C.V., Series A   4,306,867
860,492   Grupo Carso S.A.B. de C.V., Series A1   2,748,884
333,451   Industrias Penoles S.A.B. de C.V.   3,843,835
        10,899,586
    Philippines – 0.2%    
258,150   International Container Terminal Services, Inc.   1,012,502
    Poland – 2.0%    
23,601   Dino Polska S.A. (c) (d) (e)   2,151,483
19,083   mBank S.A. (c)   2,051,737
238,989   Polski Koncern Naftowy ORLEN S.A.   4,409,476
        8,612,696
    Russia – 3.3%    
77,312,477   Inter RAO UES PJSC   4,399,029
11,819   Magnit PJSC   856,494
4,192,807   Magnitogorsk Iron & Steel Works PJSC   3,877,392
265,995,395   RusHydro PJSC   2,628,471
408,037   Tatneft PJSC   2,719,748
        14,481,134
    South Africa – 8.6%    
109,647   Aspen Pharmacare Holdings Ltd.   1,544,347
75,770   Bidvest Group (The) Ltd.   900,824
690,716   FirstRand Ltd.   2,635,427
432,593   Impala Platinum Holdings Ltd.   6,108,154
89,839   Kumba Iron Ore Ltd.   2,593,914
420,279   MTN Group Ltd. (c)   4,502,405
5,238,934   Old Mutual Ltd.   4,306,874
327,992   Remgro Ltd.   2,699,476
232,358   Sanlam Ltd.   865,565
208,145   Sasol Ltd. (c)   3,383,091
83,085   Shoprite Holdings Ltd.   1,089,099
 
Page 62
See Notes to Financial Statements
Table of Contents
First Trust Emerging Markets AlphaDEX® Fund (FEM)
Portfolio of Investments (Continued)
December 31, 2021
Shares   Description   Value
COMMON STOCKS (a) (Continued)
    South Africa (Continued)    
1,596,365   Sibanye Stillwater Ltd.   $4,918,828
207,468   Standard Bank Group Ltd.   1,822,880
        37,370,884
    Taiwan – 10.3%    
603,168   Asia Cement Corp.   965,784
253,500   Asustek Computer, Inc.   3,445,115
7,791,562   AU Optronics Corp.   6,449,083
656,825   Catcher Technology Co., Ltd.   3,715,369
1,425,079   Cathay Financial Holding Co., Ltd.   3,219,266
3,873,835   China Development Financial Holding Corp.   2,450,288
436,576   Evergreen Marine Corp. Taiwan Ltd.   2,248,602
1,792,979   Fubon Financial Holding Co., Ltd.   4,944,674
8,089,468   Innolux Corp.   5,730,783
50,933   momo.com, Inc.   2,991,511
126,451   Nan Ya Printed Circuit Board Corp.   2,614,305
1,916,665   Ruentex Development Co., Ltd.   4,419,822
429,744   United Microelectronics Corp.   1,009,627
230,164   Yang Ming Marine Transport Corp. (c)   1,006,609
        45,210,838
    Thailand – 1.3%    
1,297,100   Charoen Pokphand Foods PCL   990,153
2,113,300   PTT Global Chemical PCL   3,716,700
83,300   Siam Cement (The) PCL   962,544
        5,669,397
    Turkey – 2.6%    
2,532,423   Enka Insaat ve Sanayi A.S.   2,882,931
2,107,058   Eregli Demir ve Celik Fabrikalari T.A.S.   4,485,203
1,938,688   KOC Holding A.S.   4,159,042
        11,527,176
    Total Common Stocks   432,567,185
    (Cost $406,391,354)    
REAL ESTATE INVESTMENT TRUSTS (a) – 0.6%
    Mexico – 0.6%    
2,600,231   Fibra Uno Administracion S.A. de C.V.   2,750,653
    (Cost $3,200,366)    
RIGHTS (a) – 0.0%
    Cayman Islands – 0.0%    
117,466   Seazen Group Ltd. (g) (h)   0
    (Cost $0)    
Shares   Description   Value
MONEY MARKET FUNDS – 1.3%
5,795,019   Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (i) (j)   $5,795,019
    (Cost $5,795,019)    
Principal
Value 		  Description   Value
REPURCHASE AGREEMENTS – 0.6%
$2,573,088   BNP Paribas S.A., 0.03% (i), dated 12/31/21, due 1/3/22, with a maturity value of $2,573,095. Collateralized by U.S. Treasury Note, interest rate of 1.50%, due 11/30/28. The value of the collateral including accrued interest is $2,623,420. (j)   2,573,088
    (Cost $2,573,088)    
    Total Investments – 101.5%   443,685,945
    (Cost $417,959,827) (k)    
    Net Other Assets and Liabilities – (1.5)%   (6,771,011)
    Net Assets – 100.0%   $436,914,934
    
(a) Portfolio securities are categorized based upon their country of incorporation, which can be different from the country categorization of the Fund’s underlying index. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview.
(b) All or a portion of this security is on loan (see Note 2F - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $7,341,645 and the total value of the collateral held by the Fund is $8,368,107.
(c) Non-income producing security.
(d) This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933, as amended (the “1933 Act”).
(e) This security is exempt from registration upon resale under Rule 144A of the 1933 Act and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities.
(f) Non-income producing security which makes payment-in-kind (“PIK”) distributions. For the fiscal year ended December 31, 2021, the Fund received 799,257 PIK shares of COSCO SHIPPING Holdings Co., Ltd.
 
See Notes to Financial Statements
Page 63
Table of Contents
First Trust Emerging Markets AlphaDEX® Fund (FEM)
Portfolio of Investments (Continued)
December 31, 2021
(g) This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures adopted by the Trust’s Board of Trustees, and in accordance with the provisions of the Investment Company Act of 1940, as amended. At December 31, 2021, securities noted as such are valued at $0 or 0.0% of net assets.
(h) Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by First Trust Advisors L.P., the Fund’s advisor.
(i) Rate shown reflects yield as of December 31, 2021.
(j) This security serves as collateral for securities on loan.
(k) Aggregate cost for federal income tax purposes was $419,941,362. As of December 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $58,715,014 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $34,970,431. The net unrealized appreciation was $23,744,583.
Valuation Inputs
A summary of the inputs used to value the Fund’s investments as of December 31, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
  Total
Value at
12/31/2021 		Level 1
Quoted
Prices 		Level 2
Significant
Observable
Inputs 		Level 3
Significant
Unobservable
Inputs
Common Stocks:        
Thailand $ 5,669,397 $ — $ 5,669,397 $ —
Other Country Categories*  426,897,788  426,897,788  —  —
Real Estate Investment Trusts*  2,750,653  2,750,653  —  —
Rights* —**  — —**  —
Money Market Funds  5,795,019  5,795,019  —  —
Repurchase Agreements  2,573,088  —  2,573,088  —
Total Investments $ 443,685,945 $ 435,443,460 $ 8,242,485 $—
    
* See Portfolio of Investments for country breakout.
** Investment is valued at $0.
Offsetting Assets and Liabilities
Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2E – Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements).
The Fund’s loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows:
Security Lending Agency Agreement  
Total gross amount presented on the Statements of Assets and Liabilities (1) $7,341,645
Non-cash Collateral (2) (7,341,645)
Net Amount $—
    
(1) The amount presented on the Statements of Assets and Liabilities, which is included in “Investments, at value,” is not offset and is shown on a gross basis.
(2) At December 31, 2021, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments.
The Fund’s investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows:
Repurchase Agreements  
Total gross amount presented on the Statements of Assets and Liabilities (3) $2,573,088
Non-cash Collateral (4) (2,573,088)
Net Amount $—
    
(3) The amount is included in “Investments, at value” on the Statements of Assets and Liabilities.
(4) At December 31, 2021, the value of the collateral received from each seller exceeded the value of the repurchase agreements.
    
Currency Exposure
Diversification 		% of Total
Investments
Hong Kong Dollar 39.1%
Indian Rupee 13.0
New Taiwan Dollar 10.7
Brazilian Real 9.1
South African Rand 8.4
United States Dollar 4.1
Russian Ruble 3.3
Mexican Peso 3.1
Turkish Lira 2.6
Polish Zloty 2.0
Malaysian Ringgit 1.5
Thai Baht 1.3
Hungarian Forint 1.0
Indonesian Rupiah 0.6
Philippine Peso 0.2
Total 100.0%
 
Page 64
See Notes to Financial Statements
Table of Contents
First Trust Germany AlphaDEX® Fund (FGM)
Portfolio of Investments
December 31, 2021
Shares   Description   Value
COMMON STOCKS – 100.0%
    Air Freight & Logistics – 4.1%    
63,939   Deutsche Post AG   $4,115,804
    Auto Components – 1.7%    
12,699   Hella GmbH & Co., KGaA   896,384
94,282   Schaeffler AG (Preference Shares)   782,509
        1,678,893
    Automobiles – 15.5%    
41,065   Bayerische Motoren Werke AG   4,137,129
59,829   Daimler AG   4,603,914
40,588   Porsche Automobil Holding SE (Preference Shares)   3,855,716
13,892   Volkswagen AG (Preference Shares)   2,807,031
        15,403,790
    Banks – 3.8%    
490,478   Commerzbank AG (a)   3,735,199
    Capital Markets – 1.7%    
133,536   Deutsche Bank AG (a)   1,675,075
    Chemicals – 11.5%    
53,875   Covestro AG (b) (c)   3,324,448
25,937   Evonik Industries AG   840,698
17,882   FUCHS PETROLUB SE (Preference Shares)   812,718
63,431   LANXESS AG   3,935,783
16,921   Wacker Chemie AG   2,535,216
        11,448,863
    Diversified Telecommunication
Services – 8.5% 		   
164,723   Deutsche Telekom AG   3,056,856
1,318,671   Telefonica Deutschland Holding AG   3,664,690
42,547   United Internet AG   1,692,485
        8,414,031
    Electrical Equipment – 0.7%    
5,642   Varta AG (d)   735,481
    Food & Staples Retailing – 3.5%    
44,737   HelloFresh SE (a)   3,440,020
    Health Care Equipment &
Supplies – 6.1% 		   
18,006   Carl Zeiss Meditec AG   3,789,394
3,342   Sartorius AG (Preference Shares)   2,264,657
        6,054,051
    Health Care Providers &
Services – 3.4% 		   
20,945   Fresenius Medical Care AG & Co., KGaA   1,362,554
Shares   Description   Value
    Health Care Providers &
Services (Continued) 		   
50,018   Fresenius SE & Co., KGaA   $2,015,870
        3,378,424
    Household Products – 0.7%    
8,238   Henkel AG & Co., KGaA (Preference Shares)   667,219
    Independent Power &
Renewable Electricity Producers – 2.3% 		   
47,232   Uniper SE   2,247,738
    Insurance – 1.0%    
21,274   Talanx AG   1,030,338
    Internet & Direct Marketing
Retail – 2.9% 		   
35,974   Zalando SE (a) (b) (c)   2,913,638
    Life Sciences Tools &
Services – 2.8% 		   
57,560   Evotec SE (a)   2,785,112
    Machinery – 2.7%    
17,795   Jungheinrich AG (Preference Shares)   909,251
16,322   KION Group AG   1,792,849
        2,702,100
    Media – 1.4%    
87,453   ProSiebenSat.1 Media SE   1,394,909
    Multi-Utilities – 2.9%    
72,007   RWE AG   2,928,324
    Pharmaceuticals – 3.5%    
13,609   Merck KGaA   3,517,103
    Real Estate Management &
Development – 11.8% 		   
96,599   Grand City Properties S.A.   2,296,340
30,198   LEG Immobilien SE   4,218,478
82,232   TAG Immobilien AG   2,304,016
53,816   Vonovia SE   2,971,571
        11,790,405
    Textiles, Apparel & Luxury
Goods – 1.8% 		   
14,590   Puma SE   1,785,652
    Trading Companies &
Distributors – 2.6% 		   
28,061   Brenntag SE   2,542,378
 
See Notes to Financial Statements
Page 65
Table of Contents
First Trust Germany AlphaDEX® Fund (FGM)
Portfolio of Investments (Continued)
December 31, 2021
Shares   Description   Value
COMMON STOCKS (Continued)
    Wireless Telecommunication
Services – 3.1% 		   
113,723   1&1 AG   $3,109,957
    Total Common Stocks   99,494,504
    (Cost $94,918,409)    
MONEY MARKET FUNDS – 0.5%
475,007   Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (e) (f)   475,007
    (Cost $475,007)    
Principal
Value 		  Description   Value
REPURCHASE AGREEMENTS – 0.2%
$210,911   BNP Paribas S.A., 0.03% (e), dated 12/31/21, due 1/3/22, with a maturity value of $210,912. Collateralized by U.S. Treasury Note, interest rate of 1.50%, due 11/30/28. The value of the collateral including accrued interest is $215,037. (f)   210,911
    (Cost $210,911)    
    Total Investments – 100.7%   100,180,422
    (Cost $95,604,327) (g)    
    Net Other Assets and Liabilities – (0.7)%   (683,223)
    Net Assets – 100.0%   $99,497,199
    
(a) Non-income producing security.
(b) This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933, as amended (the “1933 Act”).
(c) This security is exempt from registration upon resale under Rule 144A of the 1933 Act and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities.
(d) All or a portion of this security is on loan (see Note 2F - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $656,354 and the total value of the collateral held by the Fund is $685,918.
(e) Rate shown reflects yield as of December 31, 2021.
(f) This security serves as collateral for securities on loan.
(g) Aggregate cost for federal income tax purposes was $96,543,180. As of December 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $8,759,477 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $5,122,235. The net unrealized appreciation was $3,637,242.
    
  Total
Value at
12/31/2021 		Level 1
Quoted
Prices 		Level 2
Significant
Observable
Inputs 		Level 3
Significant
Unobservable
Inputs
Common Stocks* $ 99,494,504 $ 99,494,504 $ — $ —
Money Market Funds  475,007  475,007  —  —
Repurchase Agreements  210,911  —  210,911  —
Total Investments $ 100,180,422 $ 99,969,511 $ 210,911 $—
    
* See Portfolio of Investments for industry breakout.
    
Security Lending Agency Agreement  
Total gross amount presented on the Statements of Assets and Liabilities (1) $656,354
Non-cash Collateral (2) (656,354)
Net Amount $—
    
(1) The amount presented on the Statements of Assets and Liabilities, which is included in “Investments, at value,” is not offset and is shown on a gross basis.
(2) At December 31, 2021, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments.
The Fund’s investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows:
Repurchase Agreements  
Total gross amount presented on the Statements of Assets and Liabilities (3) $210,911
Non-cash Collateral (4) (210,911)
Net Amount $—
    
(3) The amount is included in “Investments, at value” on the Statements of Assets and Liabilities.
(4) At December 31, 2021, the value of the collateral received from each seller exceeded the value of the repurchase agreements.
    
 
Page 66
See Notes to Financial Statements
Table of Contents
First Trust Germany AlphaDEX® Fund (FGM)
Portfolio of Investments (Continued)
December 31, 2021
Country Allocation† % of Net
Assets
Germany 97.7%
Luxembourg 2.3
United States 0.7
Total Investments 100.7
Net Other Assets and Liabilities (0.7)
Total 100.0%
† Portfolio securities are categorized based upon their country of incorporation, which can be different from the country categorization of the Fund’s underlying index.
See Notes to Financial Statements
Page 67
Table of Contents
First Trust United Kingdom AlphaDEX® Fund (FKU)
Portfolio of Investments
December 31, 2021
Shares   Description   Value
COMMON STOCKS – 93.9%
    Aerospace & Defense – 0.5%    
60,826   BAE Systems PLC   $452,656
    Air Freight & Logistics – 1.9%    
274,952   Royal Mail PLC   1,883,136
    Banks – 4.1%    
371,101   Barclays PLC   939,308
2,040,142   Lloyds Banking Group PLC   1,319,966
312,514   NatWest Group PLC   954,718
137,750   Standard Chartered PLC   836,049
        4,050,041
    Beverages – 1.4%    
12,147   Coca-Cola HBC AG   420,082
18,348   Diageo PLC   1,002,338
        1,422,420
    Biotechnology – 0.4%    
6,402   Genus PLC   427,899
    Capital Markets – 13.1%    
135,343   3i Group PLC   2,654,474
585,819   abrdn PLC   1,910,181
149,948   IG Group Holdings PLC   1,650,082
59,796   Intermediate Capital Group PLC   1,775,755
550,666   Investec PLC   3,000,050
85,989   St. James’s Place PLC   1,959,432
        12,949,974
    Chemicals – 1.7%    
4,309   Croda International PLC   590,243
41,330   Johnson Matthey PLC   1,144,578
        1,734,821
    Containers & Packaging – 0.8%    
151,957   DS Smith PLC   789,405
    Diversified Financial Services – 1.1%    
416,139   M&G PLC   1,123,714
    Diversified Telecommunication
Services – 1.9% 		   
818,335   BT Group PLC   1,878,033
    Electric Utilities – 2.4%    
105,803   SSE PLC   2,361,527
    Food & Staples Retailing – 3.5%    
467,276   J Sainsbury PLC   1,744,384
427,245   Tesco PLC   1,676,484
        3,420,868
    Food Products – 1.6%    
172,001   Tate & Lyle PLC   1,539,818
Shares   Description   Value
    Health Care Equipment &
Supplies – 1.0% 		   
395,903   ConvaTec Group PLC (a) (b)   $1,035,042
    Hotels, Restaurants &
Leisure – 2.1% 		   
90,952   Entain PLC (c)   2,071,909
    Household Durables – 4.9%    
228,362   Barratt Developments PLC   2,312,063
9,800   Bellway PLC   442,514
12,763   Berkeley Group Holdings PLC   824,898
32,202   Persimmon PLC   1,244,845
        4,824,320
    Industrial Conglomerates – 0.4%    
5,365   DCC PLC   439,339
    Insurance – 4.8%    
312,899   Aviva PLC   1,738,144
334,225   Direct Line Insurance Group PLC   1,262,169
123,259   Legal & General Group PLC   496,341
140,825   Phoenix Group Holdings PLC   1,245,088
        4,741,742
    Internet & Direct Marketing
Retail – 0.2% 		   
6,402   ASOS PLC (c)   207,190
    IT Services – 1.3%    
54,206   Softcat PLC   1,323,604
    Leisure Products – 0.4%    
2,785   Games Workshop Group PLC   375,833
    Machinery – 2.7%    
92,301   IMI PLC   2,168,854
2,332   Spirax-Sarco Engineering PLC   506,615
        2,675,469
    Media – 5.6%    
50,689   Future PLC   2,627,767
505,797   ITV PLC (c)   756,849
76,509   Pearson PLC   635,022
97,777   WPP PLC   1,481,614
        5,501,252
    Metals & Mining – 9.3%    
33,768   Anglo American PLC   1,378,513
14,907   BHP Group PLC   443,801
107,268   Evraz PLC   873,479
123,450   Fresnillo PLC   1,491,831
414,072   Glencore PLC   2,101,472
81,702   Polymetal International PLC   1,450,358
21,826   Rio Tinto PLC   1,445,223
        9,184,677
 
Page 68
See Notes to Financial Statements
Table of Contents
First Trust United Kingdom AlphaDEX® Fund (FKU)
Portfolio of Investments (Continued)
December 31, 2021
Shares   Description   Value
COMMON STOCKS (Continued)
    Multiline Retail – 2.0%    
230,714   B&M European Value Retail S.A.   $1,979,874
    Multi-Utilities – 0.5%    
34,482   National Grid PLC   494,642
    Paper & Forest Products – 0.8%    
33,405   Mondi PLC   825,632
    Pharmaceuticals – 3.7%    
7,313   AstraZeneca PLC   858,993
21,797   Dechra Pharmaceuticals PLC   1,571,052
22,370   GlaxoSmithKline PLC   486,461
25,962   Hikma Pharmaceuticals PLC   779,776
        3,696,282
    Specialty Retail – 3.6%    
518,250   JD Sports Fashion PLC   1,527,818
435,548   Kingfisher PLC   1,994,400
        3,522,218
    Textiles, Apparel & Luxury
Goods – 0.4% 		   
15,369   Burberry Group PLC   378,089
    Tobacco – 3.9%    
45,359   British American Tobacco PLC   1,678,251
101,963   Imperial Brands PLC   2,230,964
        3,909,215
    Trading Companies &
Distributors – 9.3% 		   
23,677   Ashtead Group PLC   1,904,292
13,291   Bunzl PLC   519,012
32,801   Diploma PLC   1,497,982
61,713   Electrocomponents PLC   1,007,392
9,478   Ferguson PLC   1,681,233
77,765   Howden Joinery Group PLC   948,592
76,871   Travis Perkins PLC   1,617,438
        9,175,941
    Water Utilities – 1.0%    
65,171   United Utilities Group PLC   960,631
    Wireless Telecommunications
Services – 1.6% 		   
1,046,692   Vodafone Group PLC   1,590,443
    Total Common Stocks   92,947,656
    (Cost $90,065,650)    
REAL ESTATE INVESTMENT TRUSTS – 5.6%
    Equity Real Estate Investment
Trusts – 5.6% 		   
145,050   Segro PLC   2,820,315
Shares   Description   Value
    Equity Real Estate Investment
Trusts (Continued) 		   
808,747   Tritax Big Box REIT PLC   $2,725,752
    Total Real Estate Investment Trusts   5,546,067
    (Cost $4,933,373)    
    Total Investments – 99.5%   98,493,723
    (Cost $94,999,023) (d)    
    Net Other Assets and Liabilities – 0.5%   449,079
    Net Assets – 100.0%   $98,942,802
    
(a) This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933, as amended (the “1933 Act”).
(b) This security is exempt from registration upon resale under Rule 144A of the 1933 Act and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities.
(c) Non-income producing security.
(d) Aggregate cost for federal income tax purposes was $95,539,884. As of December 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $6,100,099 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $3,146,260. The net unrealized appreciation was $2,953,839.
Valuation Inputs
A summary of the inputs used to value the Fund’s investments as of December 31, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
  Total
Value at
12/31/2021 		Level 1
Quoted
Prices 		Level 2
Significant
Observable
Inputs 		Level 3
Significant
Unobservable
Inputs
Common Stocks* $ 92,947,656 $ 92,947,656 $ — $ —
Real Estate Investment Trusts*  5,546,067  5,546,067  —  —
Total Investments $ 98,493,723 $ 98,493,723 $— $—
    
* See Portfolio of Investments for industry breakout.
    
 
See Notes to Financial Statements
Page 69
Table of Contents
First Trust United Kingdom AlphaDEX® Fund (FKU)
Portfolio of Investments (Continued)
December 31, 2021
Country Allocation† % of Net
Assets
United Kingdom 87.8%
Jersey 6.8
Isle Of Man (U.K.) 2.1
Luxembourg 2.0
Ireland 0.4
Switzerland 0.4
Total Investments 99.5
Net Other Assets and Liabilities 0.5
Total 100.0%
† Portfolio securities are categorized based upon their country of incorporation, which can be different from the country categorization of the Fund’s underlying index.
Page 70
See Notes to Financial Statements
Table of Contents
First Trust India NIFTY 50 Equal Weight ETF (NFTY)
Portfolio of Investments
December 31, 2021
Shares   Description   Value
COMMON STOCKS – 102.4%
    Automobiles – 12.4%    
29,722   Bajaj Auto Ltd.   $1,299,164
38,058   Eicher Motors Ltd.   1,326,988
39,043   Hero MotoCorp Ltd.   1,293,158
112,553   Mahindra & Mahindra Ltd.   1,267,545
12,936   Maruti Suzuki India Ltd.   1,292,362
196,581   Tata Motors Ltd. (a)   1,275,709
        7,754,926
    Banks – 12.3%    
139,756   Axis Bank Ltd. (a)   1,275,719
64,621   HDFC Bank Ltd.   1,286,063
128,293   ICICI Bank Ltd.   1,277,396
110,711   IndusInd Bank Ltd.   1,322,757
53,185   Kotak Mahindra Bank Ltd.   1,285,057
204,679   State Bank of India   1,267,823
75,422   YES Bank Ltd. Lock-In (a) (b) (c)   13,900
        7,728,715
    Chemicals – 4.0%    
28,026   Asian Paints Ltd.   1,275,438
123,923   UPL Ltd.   1,245,471
        2,520,909
    Construction & Engineering – 2.0%    
49,696   Larsen & Toubro Ltd.   1,267,476
    Construction Materials – 6.2%    
58,200   Grasim Industries Ltd.   1,270,117
3,533   Shree Cement Ltd.   1,282,651
12,746   UltraTech Cement Ltd.   1,301,603
        3,854,371
    Consumer Finance – 2.1%    
13,668   Bajaj Finance Ltd.   1,282,907
    Diversified Financial Services – 2.1%    
5,863   Bajaj Finserv Ltd.   1,293,990
    Electric Utilities – 2.0%    
459,135   Power Grid Corp. of India Ltd.   1,262,479
    Food Products – 6.2%    
26,586   Britannia Industries Ltd.   1,289,679
4,877   Nestle India Ltd.   1,292,848
129,855   Tata Consumer Products Ltd.   1,298,713
        3,881,240
    Independent Power &
Renewable Electricity Producers – 2.0% 		   
760,662   NTPC Ltd.   1,272,961
Shares   Description   Value
    Insurance – 4.1%    
146,969   HDFC Life Insurance Co., Ltd. (d) (e)   $1,284,225
80,161   SBI Life Insurance Co., Ltd. (d) (e)   1,289,725
        2,573,950
    IT Services – 10.2%    
73,525   HCL Technologies Ltd.   1,304,715
49,999   Infosys Ltd.   1,269,722
25,468   Tata Consultancy Services Ltd.   1,280,789
52,266   Tech Mahindra Ltd.   1,258,950
133,813   Wipro Ltd.   1,287,715
        6,401,891
    Life Sciences Tools &
Services – 2.1% 		   
20,860   Divi’s Laboratories Ltd.   1,312,792
    Metals & Mining – 6.1%    
206,042   Hindalco Industries Ltd.   1,318,120
143,604   JSW Steel Ltd.   1,267,185
83,727   Tata Steel Ltd.   1,251,867
        3,837,172
    Oil, Gas & Consumable Fuels – 10.1%    
248,155   Bharat Petroleum Corp., Ltd.   1,286,749
634,183   Coal India Ltd.   1,246,003
840,589   Indian Oil Corp., Ltd.   1,260,844
676,689   Oil & Natural Gas Corp., Ltd.   1,296,289
39,359   Reliance Industries Ltd.   1,253,881
        6,343,766
    Personal Products – 2.1%    
40,881   Hindustan Unilever Ltd.   1,297,968
    Pharmaceuticals – 6.2%    
101,144   Cipla Ltd.   1,284,579
19,899   Dr. Reddy’s Laboratories Ltd.   1,313,561
115,812   Sun Pharmaceutical Industries Ltd.   1,317,567
        3,915,707
    Textiles, Apparel & Luxury
Goods – 2.2% 		   
39,666   Titan Co., Ltd.   1,345,970
    Thrifts & Mortgage Finance – 2.0%    
36,797   Housing Development Finance Corp., Ltd.   1,280,323
    Tobacco – 2.0%    
428,985   ITC Ltd.   1,258,349
 
See Notes to Financial Statements
Page 71
Table of Contents
First Trust India NIFTY 50 Equal Weight ETF (NFTY)
Portfolio of Investments (Continued)
December 31, 2021
Shares   Description   Value
COMMON STOCKS (Continued)
    Transportation Infrastructure – 2.0%    
129,446   Adani Ports & Special Economic Zone Ltd.   $1,271,724
    Wireless Telecommunication
Services – 2.0% 		   
138,811   Bharti Airtel Ltd. (a)   1,276,897
    Total Investments – 102.4%   64,236,483
    (Cost $54,351,069) (f)    
    Net Other Assets and Liabilities – (2.4)%   (1,533,153)
    Net Assets – 100.0%   $62,703,330
    
(a) Non-income producing security.
(b) Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by First Trust Advisors L.P., the Fund’s advisor.
(c) This security has a lock-in period of 3 years from commencement of the YES Bank Ltd. Reconstruction Scheme 2020 (the “Scheme”), which was effective March 13, 2020. Shares to the extent of 75% held by existing shareholders as on the date of commencement of the Scheme are locked in for a period of three years. The lock-in period does not apply to shareholders holding less than 100 shares (see Note 2C - Restricted Securities in the Notes to Financial Statements).
(d) This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933, as amended (the “1933 Act”).
(e) This security is exempt from registration upon resale under Rule 144A of the 1933 Act and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities.
(f) Aggregate cost for federal income tax purposes was $54,531,123. As of December 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $10,493,215 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $787,855. The net unrealized appreciation was $9,705,360.
Valuation Inputs
A summary of the inputs used to value the Fund’s investments as of December 31, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
  Total
Value at
12/31/2021 		Level 1
Quoted
Prices 		Level 2
Significant
Observable
Inputs 		Level 3
Significant
Unobservable
Inputs
Common Stocks* $ 64,236,483 $ 64,236,483 $ — $ —
    
* See Portfolio of Investments for industry breakout.
    
Country Allocation† % of Net
Assets
India 102.4%
Total Investments 102.4
Net Other Assets and Liabilities (2.4)
Total 100.0%
† Portfolio securities are categorized based upon their country of incorporation, which can be different from the country categorization of the Fund’s underlying index.
 
Page 72
See Notes to Financial Statements
Table of Contents
First Trust Switzerland AlphaDEX® Fund (FSZ)
Portfolio of Investments
December 31, 2021
Shares   Description   Value
COMMON STOCKS – 99.3%
    Banks – 0.7%    
8,468   Banque Cantonale Vaudoise   $657,961
    Building Products – 2.5%    
3,041   Geberit AG   2,486,999
    Capital Markets – 10.5%    
290,400   Credit Suisse Group AG   2,827,512
23,308   Julius Baer Group Ltd.   1,564,951
502   Partners Group Holding AG   833,269
198,767   UBS Group AG   3,581,820
19,519   Vontobel Holding AG   1,711,554
        10,519,106
    Chemicals – 8.6%    
191,205   Clariant AG   3,986,935
326   Givaudan S.A.   1,714,434
6,979   Sika AG   2,912,001
        8,613,370
    Construction Materials – 2.6%    
50,713   Holcim Ltd.   2,588,522
    Containers & Packaging – 3.1%    
111,956   SIG Combibloc Group AG   3,128,182
    Diversified Telecommunication
Services – 3.8% 		   
6,660   Swisscom AG   3,761,234
    Electric Utilities – 4.8%    
36,533   BKW AG   4,755,063
    Electrical Equipment – 3.4%    
89,664   ABB Ltd.   3,434,234
    Food Products – 2.5%    
327   Barry Callebaut AG   795,250
742   Emmi AG   876,199
6,107   Nestle S.A.   854,122
        2,525,571
    Health Care Equipment &
Supplies – 6.8% 		   
27,529   Medmix AG (a) (b) (c)   1,364,365
6,065   Sonova Holding AG   2,381,538
1,431   Straumann Holding AG   3,041,974
        6,787,877
    Insurance – 9.4%    
14,630   Baloise Holding AG   2,393,912
21,215   Helvetia Holding AG   2,500,539
4,694   Swiss Life Holding AG   2,879,660
3,792   Zurich Insurance Group AG   1,666,283
        9,440,394
Shares   Description   Value
    Life Sciences Tools &
Services – 6.0% 		   
6,421   Bachem Holding AG, Class B   $5,045,474
1,535   Tecan Group AG   935,791
        5,981,265
    Machinery – 12.2%    
4,503   Daetwyler Holding AG   1,986,618
513   Georg Fischer AG   779,746
15,860   SFS Group AG   2,196,589
27,529   Sulzer AG   2,714,531
9,150   VAT Group AG (b) (c)   4,562,950
        12,240,434
    Marine – 3.6%    
11,112   Kuehne + Nagel International AG   3,590,181
    Pharmaceuticals – 4.2%    
16,690   Novartis AG   1,470,449
4,038   Roche Holding AG   1,679,989
5,876   Vifor Pharma AG   1,046,292
        4,196,730
    Real Estate Management &
Development – 6.8% 		   
23,955   PSP Swiss Property AG   2,989,117
38,324   Swiss Prime Site AG   3,770,574
        6,759,691
    Technology Hardware,
Storage & Peripherals – 2.7% 		   
31,384   Logitech International S.A.   2,647,939
    Textiles, Apparel & Luxury
Goods – 5.1% 		   
25,141   Cie Financiere Richemont S.A., Class A   3,778,599
4,434   Swatch Group (The) AG   1,357,645
        5,136,244
    Total Investments – 99.3%   99,250,997
    (Cost $80,477,646) (d)    
    Net Other Assets and Liabilities – 0.7%   691,829
    Net Assets – 100.0%   $99,942,826
    
(a) Non-income producing security.
(b) This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933, as amended (the “1933 Act”).
 
See Notes to Financial Statements
Page 73
Table of Contents
First Trust Switzerland AlphaDEX® Fund (FSZ)
Portfolio of Investments (Continued)
December 31, 2021
(c) This security is exempt from registration upon resale under Rule 144A of the 1933 Act and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities.
(d) Aggregate cost for federal income tax purposes was $80,851,907. As of December 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $20,157,686 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $1,758,596. The net unrealized appreciation was $18,399,090.
Valuation Inputs
A summary of the inputs used to value the Fund’s investments as of December 31, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
  Total
Value at
12/31/2021 		Level 1
Quoted
Prices 		Level 2
Significant
Observable
Inputs 		Level 3
Significant
Unobservable
Inputs
Common Stocks* $ 99,250,997 $ 99,250,997 $ — $ —
    
* See Portfolio of Investments for industry breakout.
    
Country Allocation† % of Net
Assets
Switzerland 99.3%
Total Investments 99.3
Net Other Assets and Liabilities 0.7
Total 100.0%
† Portfolio securities are categorized based upon their country of incorporation, which can be different from the country categorization of the Fund’s underlying index.
Page 74
See Notes to Financial Statements
Table of Contents
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund (FDTS)
Portfolio of Investments
December 31, 2021
Shares   Description   Value
COMMON STOCKS (a) – 94.3%
    Australia – 3.7%    
325   ARB Corp., Ltd.   $12,416
31,913   Beach Energy Ltd.   29,255
9,878   Champion Iron Ltd. (b)   39,096
4,893   City Chic Collective Ltd. (b)   19,579
742   Clinuvel Pharmaceuticals Ltd.   14,689
1,261   Dicker Data Ltd.   13,615
13,364   Dubber Corp Ltd. (b)   26,544
7,525   GrainCorp Ltd., Class A   45,222
5,254   Iluka Resources Ltd.   38,608
1,674   Lovisa Holdings Ltd.   24,468
1,102   McMillan Shakespeare Ltd.   9,685
2,391   Novonix Ltd. (b)   15,987
3,035   Pinnacle Investment Management Group Ltd.   34,469
35,738   Ramelius Resources Ltd.   40,822
31,649   Regis Resources Ltd.   44,901
2,902   Sandfire Resources Ltd.   13,893
35,605   Silver Lake Resources Ltd. (b)   45,980
12,328   Uniti Group Ltd. (b)   39,913
        509,142
    Austria – 0.5%    
1,614   Semperit AG Holding   53,840
1,287   UNIQA Insurance Group AG   11,825
        65,665
    Belgium – 0.7%    
551   Bekaert S.A.   24,553
540   Gimv N.V.   32,768
895   KBC Ancora   42,837
        100,158
    Bermuda – 3.3%    
10,446   BW LPG Ltd. (c) (d)   59,367
7,062   BW Offshore Ltd.   21,331
31,500   First Pacific Co., Ltd.   11,594
3,210   FLEX LNG Ltd.   71,807
8,436   Gulf Keystone Petroleum Ltd.   20,485
16,000   Johnson Electric Holdings Ltd.   33,898
21,250   Kerry Logistics Network Ltd.   51,943
17,350   Kerry Properties Ltd.   45,169
123,500   Pacific Basin Shipping Ltd.   45,297
18,000   PAX Global Technology Ltd.   12,742
114,400   Skyworth Group Ltd. (b)   80,105
        453,738
    Canada – 12.1%    
11,370   Advantage Energy Ltd. (b)   66,605
1,642   Alaris Equity Partners Income   24,391
21,168   Argonaut Gold, Inc. (b)   40,162
1,087   ATS Automation Tooling Systems, Inc. (b)   43,172
1,255   AutoCanada, Inc. (b)   42,364
13,444   B2Gold Corp.   52,928
21,092   Baytex Energy Corp. (b) (e)   65,196
Shares   Description   Value
    Canada (Continued)    
10,380   Birchcliff Energy Ltd.   $53,010
20,213   Bombardier, Inc., Class B (b)   26,845
4,179   Canaccord Genuity Group, Inc.   49,820
2,616   Canfor Corp. (b)   66,302
2,952   Capstone Mining Corp. (b)   13,022
1,132   CI Financial Corp.   23,661
5,124   Corus Entertainment, Inc., Class B   19,282
12,460   Crescent Point Energy Corp.   66,489
315   Docebo, Inc. (b)   21,135
7,640   Dundee Precious Metals, Inc. (e)   47,231
1,394   ECN Capital Corp.   5,885
8,704   Equinox Gold Corp. (b)   58,901
5,071   IAMGOLD Corp. (b)   15,795
2,326   Interfor Corp.   74,490
664   Linamar Corp.   39,332
3,881   Martinrea International, Inc.   35,283
5,886   MEG Energy Corp. (b)   54,442
1,247   Methanex Corp.   49,330
14,157   NuVista Energy Ltd. (b)   77,895
3,100   Paramount Resources Ltd., Class A   60,262
646   Parex Resources, Inc.   11,036
7,380   Peyto Exploration & Development Corp.   55,133
1,176   Stelco Holdings, Inc.   38,321
22,811   Tamarack Valley Energy Ltd. (b)   69,428
5,748   Torex Gold Resources, Inc. (b)   59,754
3,108   Turquoise Hill Resources Ltd. (b)   51,106
3,281   Uni-Select, Inc. (b)   66,764
5,812   Vermilion Energy, Inc. (b)   73,055
33,076   Western Forest Products, Inc.   55,172
        1,672,999
    Cayman Islands – 2.0%    
40,800   China High Speed Transmission Equipment Group Co., Ltd. (b)   29,406
12,000   IGG, Inc.   10,665
117,400   Jiayuan International Group Ltd.   39,597
62,000   Lee & Man Paper Manufacturing Ltd.   43,096
22,500   Pacific Textiles Holdings Ltd.   10,619
18,000   Towngas China Co., Ltd.   15,651
120,000   Truly International Holdings Ltd.   49,092
69,000   United Laboratories International Holdings (The) Ltd.   38,582
90,500   Value Partners Group Ltd.   45,148
        281,856
    Denmark – 0.3%    
209   cBrain A/S   9,023
76   Chemometec A/S   9,692
1,218   Matas A/S   23,215
        41,930
 
See Notes to Financial Statements
Page 75
Table of Contents
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund (FDTS)
Portfolio of Investments (Continued)
December 31, 2021
Shares   Description   Value
COMMON STOCKS (a) (Continued)
    France – 1.7%    
4,961   Derichebourg S.A. (b)   $57,328
603   Eramet S.A. (b)   49,395
175   Fnac Darty S.A.   11,456
504   IPSOS   23,670
245   Nexans S.A.   23,946
584   Societe BIC S.A.   31,462
772   Vicat S.A.   31,641
27   Virbac S.A.   13,049
        241,947
    Germany – 3.4%    
55   Amadeus Fire AG   11,396
758   Aurubis AG   75,994
657   Bilfinger SE   22,365
701   Draegerwerk AG & Co., KGaA (Preference Shares)   44,094
1,389   GFT Technologies SE   72,981
508   Hornbach Baumarkt AG   27,559
177   Hornbach Holding AG & Co. KGaA   26,701
4,576   Kloeckner & Co., SE (b)   55,849
787   PVA TePla AG (b)   37,542
1,018   Salzgitter AG (b)   36,416
2,105   SGL Carbon SE (b)   18,429
697   VERBIO Vereinigte BioEnergie AG   47,850
        477,176
    Greece – 0.1%    
3,231   FF Group (b) (f) (g) (h)   8,828
    Ireland – 0.2%    
1,336   Grafton Group PLC   22,297
    Israel – 1.7%    
460   Delta Galil Industries Ltd.   31,663
1,110   Harel Insurance Investments & Financial Services Ltd.   12,618
148   Israel (The) Corp., Ltd. (b)   64,028
2,780   Menora Mivtachim Holdings Ltd.   65,830
39,094   Migdal Insurance & Financial Holding Ltd.   64,521
        238,660
    Italy – 2.5%    
7,191   Anima Holding S.p.A (c) (d)   36,759
1,776   Banca IFIS S.p.A   34,515
3,500   El.En. S.p.A.   62,082
735   Illimity Bank S.p.A. (b)   11,021
5,886   Maire Tecnimont S.p.A.   27,877
17,254   OVS S.p.A. (b) (c) (d)   50,288
35,242   Saras S.p.A. (b)   22,100
254   Sesa S.p.A.   50,144
549   Tinexta S.p.A.   23,851
Shares   Description   Value
    Italy (Continued)    
13,492   Webuild S.p.A.   $31,950
        350,587
    Japan – 29.7%    
2,000   ADEKA Corp.   44,632
800   Alpen Co., Ltd.   14,855
2,900   Arcland Sakamoto Co., Ltd.   41,321
600   Asahi Holdings, Inc.   10,693
3,400   Avex, Inc.   42,622
3,000   Belluna Co., Ltd.   18,491
300   BML, Inc.   9,324
5,000   Citizen Watch Co., Ltd.   21,647
2,500   Cosmo Energy Holdings Co., Ltd.   48,857
1,500   Daicel Corp.   10,367
1,200   DeNA Co., Ltd.   18,475
900   Dowa Holdings Co., Ltd.   37,829
3,600   EDION Corp.   33,581
300   Eizo Corp.   10,523
800   Electric Power Development Co., Ltd.   10,620
500   eRex Co., Ltd.   8,872
2,200   Exedy Corp.   31,844
3,200   FCC Co., Ltd.   41,645
9,700   Fujikura Ltd. (b)   47,644
200   Fujimi, Inc.   13,475
3,100   G-7 Holdings, Inc.   45,491
1,000   Genky DrugStores Co., Ltd.   53,377
1,600   GLOBERIDE, Inc.   43,954
100   GMO Financial Gate, Inc.   24,385
2,100   Gree, Inc.   15,463
1,300   H.U. Group Holdings, Inc.   33,000
400   Hanwa Co., Ltd.   11,336
600   Heiwado Co., Ltd.   10,072
500   Hioki EE Corp.   38,164
1,000   Hitachi Transport System Ltd.   46,944
4,800   Hokkaido Electric Power Co., Inc.   21,407
7,500   Hokuetsu Corp.   46,879
6,300   IDOM, Inc.   39,597
3,000   Inabata & Co., Ltd.   43,736
3,500   Itoham Yonekyu Holdings, Inc.   20,021
1,300   Jaccs Co., Ltd.   33,475
900   Jafco Group Co., Ltd.   51,795
800   Japan Aviation Electronics Industry Ltd.   13,847
1,200   Japan Petroleum Exploration Co., Ltd.   26,143
200   JMDC, Inc. (b)   14,918
1,000   Joshin Denki Co., Ltd.   18,604
2,600   JTEKT Corp.   22,716
800   Kadokawa Corp.   20,843
1,000   Kanamoto Co., Ltd.   20,951
1,400   Kandenko Co., Ltd.   10,430
500   Kintetsu World Express, Inc.   12,997
 
Page 76
See Notes to Financial Statements
Table of Contents
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund (FDTS)
Portfolio of Investments (Continued)
December 31, 2021
Shares   Description   Value
COMMON STOCKS (a) (Continued)
    Japan (Continued)    
1,100   Ki-Star Real Estate Co., Ltd.   $85,395
5,600   Kobe Steel Ltd.   28,090
700   Kohnan Shoji Co., Ltd.   20,599
1,400   Komeri Co., Ltd.   31,121
4,400   K’s Holdings Corp.   42,764
300   Kureha Corp.   21,438
2,100   KYB Corp.   58,876
800   Kyokuto Kaihatsu Kogyo Co., Ltd.   10,627
1,100   Link and Motivation, Inc.   5,259
1,500   Megachips Corp.   67,156
600   Megmilk Snow Brand Co., Ltd.   10,380
200   Midac Holdings Co., Ltd.   7,076
1,700   Mirait Holdings Corp.   28,035
1,500   Mitsubishi Logistics Corp.   37,621
1,200   Mitsubishi Materials Corp.   20,603
800   Mitsui High-Tec, Inc.   78,380
2,000   Mitsui Mining & Smelting Co., Ltd.   54,508
1,000   Mizuno Corp.   19,508
200   Money Forward, Inc. (b)   12,032
2,300   Nextage Co., Ltd.   47,528
2,900   NGK Spark Plug Co., Ltd.   50,497
4,800   NHK Spring Co., Ltd.   40,810
1,100   Nikkon Holdings Co., Ltd.   20,713
1,000   Nippon Electric Glass Co., Ltd.   25,637
1,100   Nippon Paper Industries Co., Ltd.   10,385
1,000   Nippon Pillar Packing Co., Ltd.   32,339
300   Nippon Steel Trading Corp.   13,092
2,000   Nippon Suisan Kaisha Ltd.   9,441
1,000   Nippon Television Holdings, Inc.   10,154
400   Nishio Rent All Co., Ltd.   9,987
3,600   Nissha Co., Ltd.   52,265
6,000   Nisshinbo Holdings, Inc.   45,640
2,900   Nitto Kogyo Corp.   40,085
2,200   Nojima Corp.   46,054
1,000   NOK Corp.   10,884
700   Noritz Corp.   10,211
1,600   NS United Kaiun Kaisha Ltd.   48,613
1,000   Oisix ra daichi, Inc. (b)   26,906
3,100   Okamura Corp.   34,657
1,735   Okinawa Electric Power (The) Co., Inc.   21,946
1,900   Outsourcing, Inc.   25,602
5,400   Pacific Industrial Co., Ltd.   57,037
1,400   PAL GROUP Holdings Co., Ltd.   20,885
2,000   Pasona Group, Inc.   57,376
1,400   Pressance Corp.   25,498
4,400   Rengo Co., Ltd.   33,278
1,200   Resorttrust, Inc.   19,602
800   S Foods, Inc.   24,202
1,600   SAMTY Co., Ltd.   30,559
800   Sanken Electric Co., Ltd.   43,884
2,100   Sanyo Special Steel Co., Ltd.   37,151
Shares   Description   Value
    Japan (Continued)    
900   Sato Holdings Corp.   $17,221
1,500   SBS Holdings, Inc.   42,576
100   SHIFT, Inc. (b)   20,742
500   Showa Sangyo Co., Ltd.   11,558
9,000   SKY Perfect JSAT Holdings, Inc.   32,861
2,600   Snow Peak, Inc.   71,877
2,120   Sojitz Corp.   31,847
200   SRE Holdings Corp. (b)   12,623
400   Sumitomo Heavy Industries Ltd.   9,698
1,200   Sumitomo Osaka Cement Co., Ltd.   36,877
3,600   Sumitomo Rubber Industries Ltd.   36,679
2,800   SWCC Showa Holdings Co., Ltd.   40,480
2,200   Taiheiyo Cement Corp.   43,472
1,900   Tama Home Co., Ltd.   38,172
700   TBS Holdings, Inc.   10,156
4,000   Tokai Rika Co., Ltd.   53,829
2,400   Tokuyama Corp.   38,140
900   Tokyo Electron Device Ltd.   51,404
2,600   Topcon Corp.   37,498
4,800   Topre Corp.   49,698
900   Toridoll Holdings Corp.   19,451
500   Totetsu Kogyo Co., Ltd.   10,897
1,600   Towa Pharmaceutical Co., Ltd.   39,837
1,900   Toyo Seikan Group Holdings Ltd.   22,678
600   Toyo Tire Corp.   9,358
2,900   Toyoda Gosei Co., Ltd.   63,077
2,600   Toyota Boshoku Corp.   50,992
300   Transcosmos, Inc.   8,554
3,500   TS Tech Co., Ltd.   43,024
400   Tsubakimoto Chain Co.   10,988
1,700   Ube Industries Ltd.   29,528
600   Ulvac, Inc.   37,555
1,800   Usen-Next Holdings Co., Ltd.   47,023
11,600   VT Holdings Co., Ltd.   47,094
2,700   Yamada Holdings Co., Ltd.   9,225
1,100   Yokogawa Bridge Holdings Corp.   21,000
3,200   Yokohama Rubber (The) Co., Ltd.   51,270
800   Zeon Corp.   9,229
        4,098,436
    Jersey – 0.5%    
26,731   Centamin PLC   32,137
8,341   Man Group PLC   25,673
10,107   Petrofac Ltd. (b)   15,773
        73,583
    Luxembourg – 0.2%    
2,023   ADLER Group S.A. (c) (d)   25,105
    Mauritius – 0.3%    
199,100   Golden Agri-Resources Ltd.   36,197
 
See Notes to Financial Statements
Page 77
Table of Contents
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund (FDTS)
Portfolio of Investments (Continued)
December 31, 2021
Shares   Description   Value
COMMON STOCKS (a) (Continued)
    Netherlands – 0.7%    
815   CM.com N.V. (b) (c)   $25,795
18,062   Koninklijke BAM Groep N.V. (b)   55,316
12,141   MFE-MediaForEurope N.V., Class B   17,209
1,590   SRH N.V. (b) (f) (g) (h)   0
        98,320
    New Zealand – 0.3%    
41,118   Argosy Property Ltd.   45,059
    Norway – 0.8%    
5,170   Aker Solutions ASA (b)   13,726
2,444   Crayon Group Holding ASA (b) (c) (d)   50,786
2,676   Elkem ASA (c) (d)   9,061
1,604   Entra ASA (c) (d)   36,118
        109,691
    Portugal – 0.3%    
32,732   Sonae SGPS S.A.   37,377
    Singapore – 1.4%    
6,800   Frencken Group Ltd.   9,941
5,000   iFAST Corp., Ltd.   31,166
113,800   Japfa Ltd.   51,090
70,100   Riverstone Holdings Ltd.   36,413
11,425   UMS Holdings Ltd.   12,887
22,600   Yangzijiang Shipbuilding Holdings Ltd.   22,472
28,100   Yanlord Land Group Ltd.   23,146
        187,115
    South Korea – 20.2%    
361   AfreecaTV Co., Ltd.   61,556
2,053   Ananti, Inc. (b)   18,220
1,043   Bioneer Corp. (b)   42,641
4,616   BNK Financial Group, Inc.   32,618
52   Chunbo Co., Ltd.   15,249
1,389   Cosmo AM&T Co., Ltd. (b)   53,924
2,542   Creative & Innovative System (b) (e)   30,793
538   Daejoo Electronic Materials Co., Ltd. (b)   48,245
1,119   Daesang Corp.   21,933
2,039   Daewoo Engineering & Construction Co., Ltd. (b)   9,897
2,628   Daishin Securities Co., Ltd   41,230
855   DB Insurance Co., Ltd.   38,839
356   Dentium Co., Ltd.   20,903
433   Devsisters Co., Ltd.   38,319
1,370   DGB Financial Group, Inc.   10,810
44   DI Dong Il Corp.   10,253
406   DL E&C Co., Ltd. (b)   40,643
717   DL Holdings Co., Ltd.   36,732
Shares   Description   Value
    South Korea (Continued)    
584   Dong-A Socio Holdings Co., Ltd.   $56,496
2,965   Dongkuk Steel Mill Co., Ltd.   39,658
595   Dongwha Enterprise Co., Ltd. (b)   49,452
295   Dongwon Industries Co., Ltd.   56,332
273   Doosan Co., Ltd. (b)   27,099
220   Duk San Neolux Co., Ltd. (b)   10,419
701   Ecopro Co., Ltd.   69,289
165   E-MART, Inc.   20,959
391   F&F Holdings Co., Ltd.   10,953
1,916   Foosung Co., Ltd. (b)   37,232
912   GS Holdings Corp.   29,997
1,030   Handsome Co., Ltd.   30,846
3,422   Hankook & Co. Co., Ltd.   45,195
118   Hansol Chemical Co., Ltd.   30,325
1,084   Hanwha Aerospace Co., Ltd. (b)   43,770
2,876   Harim Holdings Co., Ltd.   22,863
93   Hyosung Advanced Materials Corp. (b)   46,627
152   Hyosung Chemical Corp. (b)   38,807
21   Hyosung TNC Corp.   9,204
979   Hyundai Electric & Energy System Co., Ltd. (b)   16,389
575   Hyundai Home Shopping Network Corp.   30,667
1,061   Innox Advanced Materials Co., Ltd.   41,190
3,046   JB Financial Group Co., Ltd.   21,396
163   KCC Corp.   43,192
986   KCC Glass Corp.   49,684
124   KIWOOM Securities Co., Ltd.   11,161
681   Kolon Industries, Inc.   40,617
539   Korea Electric Terminal Co., Ltd.   34,596
1,118   Korea Gas Corp. (b)   36,773
316   Korea Petrochemical Ind. Co., Ltd.   48,646
65   LG Innotek Co., Ltd.   19,903
1,046   LIG Nex1 Co., Ltd.   60,362
447   LOTTE Fine Chemical Co., Ltd.   28,202
214   LS Corp.   9,739
7,151   LX Holdings Corp. (b)   60,156
1,966   LX International Corp.   43,744
564   MegaStudyEdu Co., Ltd.   39,094
2,226   Meritz Fire & Marine Insurance Co., Ltd.   62,824
253   OCI Co., Ltd.   22,134
819   Orion Holdings Corp.   10,989
406   Osstem Implant Co., Ltd. (b)   48,737
816   People & Technology, Inc. (b)   30,066
2,042   Poongsan Corp.   53,509
2,276   Posco International Corp.   42,983
568   Samsung Securities Co., Ltd.   21,454
383   Samyang Corp.   20,201
488   Samyang Holdings Corp.   40,313
 
Page 78
See Notes to Financial Statements
Table of Contents
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund (FDTS)
Portfolio of Investments (Continued)
December 31, 2021
Shares   Description   Value
COMMON STOCKS (a) (Continued)
    South Korea (Continued)    
531   Seah Besteel Corp.   $8,889
488   SIMMTECH Co., Ltd.   18,740
853   SK Discovery Co., Ltd.   33,295
422   SK Gas Ltd.   45,262
1,495   SL Corp.   39,238
761   Solus Advanced Materials Co., Ltd. (b)   57,167
3,503   Ssangyong Motor Co. (b) (f) (g)   8,163
37   Taekwang Industrial Co., Ltd.   32,463
9,729   Tongyang Life Insurance Co., Ltd.   54,016
605   TSE Co., Ltd.   37,509
517   Unid Co., Ltd.   43,708
972   Wemade Co., Ltd. (e)   145,463
41   Young Poong Corp.   22,591
3,338   Yuanta Securities Korea Co., Ltd. (b)   11,288
        2,794,841
    Spain – 0.2%    
2,136   Indra Sistemas SA (b)   23,151
533   Let’s GOWEX
S.A. (b) (f) (g) (h) (i) 		  0
        23,151
    Sweden – 2.1%    
578   BICO Group AB (b)   17,769
1,284   Bufab AB   63,517
1,384   Bure Equity AB   67,116
1,465   Hexatronic Group AB   81,711
500   Instalco AB (c)   24,037
644   Mekonomen AB (b)   11,196
228   MIPS AB (c)   29,950
        295,296
    Switzerland – 1.3%    
99   Comet Holding AG   36,560
261   Rieter Holding AG (b)   50,699
248   Swissquote Group Holding S.A.   54,570
324   Zehnder Group AG   33,104
        174,933
    United Kingdom – 4.1%    
4,583   Babcock International Group PLC (b)   19,764
33,438   Capita PLC (b)   16,520
9,000   CMC Markets PLC (c) (d)   32,099
13,019   Ferrexpo PLC   52,760
578   Greggs PLC   26,107
11,844   Indivior PLC (b)   41,201
30,428   IP Group PLC   50,988
459   Kainos Group PLC   11,910
401   Liontrust Asset Management PLC   11,941
2,541   Molten Ventures PLC (b)   35,013
Shares   Description   Value
    United Kingdom (Continued)    
1,429   Morgan Sindall Group PLC   $48,742
1,651   Oxford Biomedica PLC (b)   27,487
2,466   Reach PLC   9,429
6,358   Redde Northgate PLC   37,565
1,276   Redrow PLC   12,104
12,716   Serco Group PLC   23,167
14,721   Serica Energy PLC   48,021
4,407   SThree PLC   27,678
1,394   Vistry Group PLC   22,340
3,913   Volex PLC   18,246
        573,082
    Total Common Stocks   13,037,169
    (Cost $12,677,159)    
REAL ESTATE INVESTMENT TRUSTS (a) – 5.2%
    Australia – 3.2%    
8,960   Abacus Property Group   24,706
24,772   Aventus Group   64,882
21,318   Centuria Industrial REIT   64,987
16,097   Charter Hall Long Wale REIT   59,142
7,952   Charter Hall Retail REIT   24,646
13,327   Charter Hall Social Infrastructure REIT   40,045
39,758   Cromwell Property Group   25,166
15,403   Growthpoint Properties Australia Ltd.   48,860
17,670   Shopping Centres Australasia Property Group   38,182
23,167   Waypoint REIT   47,700
        438,316
    Canada – 0.8%    
6,400   Artis Real Estate Investment Trust   60,410
2,793   Summit Industrial Income REIT   51,888
        112,298
    Japan – 0.2%    
45   Star Asia Investment Corp.   24,763
    New Zealand – 0.3%    
27,525   Goodman Property Trust   48,638
    Singapore – 0.2%    
33,900   ARA LOGOS Logistics Trust   22,640
    United Kingdom – 0.5%    
28,940   Warehouse Reit PLC (c)   69,256
    Total Real Estate Investment Trusts   715,911
    (Cost $668,300)    
 
See Notes to Financial Statements
Page 79
Table of Contents
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund (FDTS)
Portfolio of Investments (Continued)
December 31, 2021
Shares   Description   Value
MONEY MARKET FUNDS – 1.1%
151,856   Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (j) (k)   $151,856
    (Cost $151,856)    
Principal
Value 		  Description   Value
REPURCHASE AGREEMENTS – 0.5%
$67,426   BNP Paribas S.A., 0.03% (j), dated 12/31/21, due 1/3/22, with a maturity value of $67,426. Collateralized by U.S. Treasury Note, interest rate of 1.50%, due 11/30/28. The value of the collateral including accrued interest is $68,745. (k)   67,426
    (Cost $67,426)    
    Total Investments – 101.1%   13,972,362
    (Cost $13,564,741) (l)    
    Net Other Assets and Liabilities – (1.1)%   (155,559)
    Net Assets – 100.0%   $13,816,803
    
(a) Portfolio securities are categorized based upon their country of incorporation, which can be different from the country categorization of the Fund’s underlying index. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview.
(b) Non-income producing security.
(c) This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933, as amended (the “1933 Act”).
(d) This security is exempt from registration upon resale under Rule 144A of the 1933 Act and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities.
(e) All or a portion of this security is on loan (see Note 2F - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $210,839 and the total value of the collateral held by the Fund is $219,282.
(f) This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures adopted by the Trust’s Board of Trustees, and in accordance with the provisions of the Investment Company Act of 1940, as amended. At December 31, 2021, securities noted as such are valued at $16,991 or 0.1% of net assets.
(g) Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by First Trust Advisors L.P., the Fund’s advisor.
(h) This security’s value was determined using significant unobservable inputs (see Note 2A – Portfolio Valuation in the Notes to Financial Statements).
(i) This issuer has filed for protection in bankruptcy court.
(j) Rate shown reflects yield as of December 31, 2021.
(k) This security serves as collateral for securities on loan.
(l) Aggregate cost for federal income tax purposes was $13,744,096. As of December 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $1,117,769 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $889,503. The net unrealized appreciation was $228,266.
Valuation Inputs
A summary of the inputs used to value the Fund’s investments as of December 31, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
  Total
Value at
12/31/2021 		Level 1
Quoted
Prices 		Level 2
Significant
Observable
Inputs 		Level 3
Significant
Unobservable
Inputs
Common Stocks:        
Greece $ 8,828 $ — $ — $ 8,828
Netherlands  98,320  98,320  —  —**
South Korea  2,794,841  2,786,678  8,163  —
Spain  23,151  23,151  —  —**
Other Country Categories*  10,112,029  10,112,029  —  —
Real Estate Investment Trusts*  715,911  715,911  —  —
Money Market Funds  151,856  151,856  —  —
Repurchase Agreements  67,426  —  67,426  —
Total Investments $ 13,972,362 $ 13,887,945 $ 75,589 $ 8,828
    
* See Portfolio of Investments for country breakout.
** Investment is valued at $0.
Level 3 investments are fair valued by the Advisor’s Pricing Committee and are footnoted in the Portfolio of Investments. The Level 3 investments values are based on unobservable and non-quantitative inputs.
Offsetting Assets and Liabilities
Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2E – Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements).
 
Page 80
See Notes to Financial Statements
Table of Contents
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund (FDTS)
Portfolio of Investments (Continued)
December 31, 2021
The Fund’s loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows:
Security Lending Agency Agreement  
Total gross amount presented on the Statements of Assets and Liabilities (1) $210,839
Non-cash Collateral (2) (210,839)
Net Amount $—
    
(1) The amount presented on the Statements of Assets and Liabilities, which is included in “Investments, at value,” is not offset and is shown on a gross basis.
(2) At December 31, 2021, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments.
The Fund’s investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows:
Repurchase Agreements  
Total gross amount presented on the Statements of Assets and Liabilities (3) $67,426
Non-cash Collateral (4) (67,426)
Net Amount $—
    
(3) The amount is included in “Investments, at value” on the Statements of Assets and Liabilities.
(4) At December 31, 2021, the value of the collateral received from each seller exceeded the value of the repurchase agreements.
    
Currency Exposure
Diversification 		% of Total
Investments
Japanese Yen 29.5%
South Korean Won 20.0
Canadian Dollar 12.8
Euro 10.2
Australian Dollar 6.8
British Pound Sterling 5.4
Hong Kong Dollar 4.0
Swedish Krona 2.1
Norwegian Krone 1.9
Singapore Dollar 1.8
Israeli Shekel 1.7
United States Dollar 1.6
Swiss Franc 1.2
New Zealand Dollar 0.7
Danish Krone 0.3
Total 100.0%
See Notes to Financial Statements
Page 81
Table of Contents
First Trust Emerging Markets Small Cap AlphaDEX® Fund (FEMS)
Portfolio of Investments
December 31, 2021
Shares   Description   Value
COMMON STOCKS (a) – 99.1%
    Bermuda – 3.2%    
1,259,000   BOE Varitronix Ltd. (b)   $1,617,839
3,109,215   China Oriental Group Co., Ltd.   937,045
8,920,554   Gemdale Properties & Investment Corp., Ltd.   949,537
187,079   Shenzhen International Holdings Ltd.   194,335
5,592,371   Sinofert Holdings Ltd.   839,119
        4,537,875
    Brazil – 12.1%    
196,168   Bradespar S.A. (Preference Shares)   880,115
96,805   BRF S.A. (c)   391,391
152,823   Cia Brasileira de Distribuicao   596,202
380,065   Cia de Saneamento de Minas Gerais-Copasa   867,258
273,742   Cia de Saneamento do Parana   942,125
215,662   Cia de Transmissao de Energia Electrica Paulista (Preference Shares)   941,247
116,990   Cia Ferro Ligas da Bahia-Ferbasa (Preference Shares)   1,025,395
540,339   Cia Paranaense de Energia, Class B (Preference Shares)   624,737
364,229   Cyrela Brazil Realty S.A. Empreendimentos e Participacoes   1,031,873
71,417   EDP - Energias do Brasil S.A.   268,487
283,446   Embraer S.A. (c)   1,263,039
210,977   Empreendimentos Pague Menos S.A. (c)   354,153
475,081   Enauta Participacoes S.A.   1,135,247
885,962   JHSF Participacoes S.A.   887,553
173,764   Mahle-Metal Leve S.A.   960,849
255,500   Marfrig Global Foods S.A.   1,012,367
105,574   Metalurgica Gerdau S.A. (Preference Shares)   215,697
256,935   Neoenergia S.A.   747,280
209,628   Petro Rio S.A. (c)   777,919
111,309   Randon SA Implementos e Participacoes (Preference Shares)   217,222
287,759   SIMPAR S.A.   603,416
73,171   Transmissora Alianca de Energia Eletrica S.A.   477,779
406,707   Usinas Siderurgicas de Minas Gerais S.A., Class A (Preference Shares)   1,106,944
        17,328,295
    Cayman Islands – 12.6%    
498,000   361 Degrees International Ltd. (c)   255,465
772,000   Agile Group Holdings Ltd.   418,793
Shares   Description   Value
    Cayman Islands (Continued)    
7,225   Alchip Technologies, Ltd.   $266,364
1,518,012   Asia Cement China Holdings Corp.   969,497
502,776   C&D International Investment Group Ltd. (b)   1,060,030
912,000   China Aoyuan Group Ltd.   164,913
11,019,150   China Dongxiang Group Co., Ltd.   960,946
1,843,000   China Everbright Greentech, Ltd. (b) (d) (e)   692,524
1,823,000   China Harmony Auto Holding Ltd. (b)   1,152,591
11,550   China Metal Recycling Holdings Ltd. (c) (f) (g) (h)   0
1,517,000   China Risun Group Ltd. (d)   920,213
1,372,484   China SCE Group Holdings Ltd.   332,668
3,171,951   China Zhongwang Holdings Ltd. (c) (f) (g)   683,404
1,004,000   CIMC Enric Holdings Ltd. (b)   1,460,120
610,610   CMGE Technology Group Ltd.   242,755
1,523,478   COFCO Joycome Foods, Ltd. (b) (d)   580,276
1,767,254   Kaisa Group Holdings Ltd.   176,781
492,500   KWG Group Holdings Ltd.   322,120
3,985,886   Lonking Holdings Ltd.   1,119,466
319,361   NetDragon Websoft Holdings Ltd.   750,325
960,692   Powerlong Real Estate Holdings Ltd.   502,674
481,813   Ronshine China Holdings Ltd. (d)   185,371
203,433   Sany Heavy Equipment International Holdings Co., Ltd.   196,714
1,601,000   Shui On Land Ltd.   215,587
1,931,489   TCL Electronics Holdings Ltd.   1,003,204
22,148   Tecnoglass, Inc. (b)   580,056
807,262   Tian Lun Gas Holdings Ltd.   871,703
1,073,910   Tianneng Power International Ltd. (b)   1,136,223
578,645   Times China Holdings Ltd.   279,766
534,480   VSTECS Holdings Ltd.   501,061
        18,001,610
    Chile – 2.1%    
113,369   CAP S.A.   1,104,416
421,667   Cencosud Shopping S.A.   500,358
17,093,619   Cia Sud Americana de Vapores S.A.   1,468,607
        3,073,381
    China – 4.0%    
1,387,545   BAIC Motor Corp., Ltd., Class H (d) (e)   596,120
2,082,000   Beijing Jingneng Clean Energy Co., Ltd., Class H   675,528
 
Page 82
See Notes to Financial Statements
Table of Contents
First Trust Emerging Markets Small Cap AlphaDEX® Fund (FEMS)
Portfolio of Investments (Continued)
December 31, 2021
Shares   Description   Value
COMMON STOCKS (a) (Continued)
    China (Continued)    
2,619,212   China BlueChemical Ltd., Class H   $728,907
867,049   China Communications Services Corp., Ltd., Class H   422,541
2,691,179   China Datang Corp Renewable Power Co., Ltd., Class H   1,239,022
1,486,745   CSG Holding Co., Ltd., Class B   634,925
626,400   Guangzhou R&F Properties Co., Ltd., Class H (b)   232,965
831,705   Inner Mongolia Yitai Coal Co., Ltd., Class B   726,078
70,860   Lao Feng Xiang Co., Ltd., Class B   241,562
473,207   Sinopec Engineering Group Co., Ltd., Class H   233,644
        5,731,292
    Egypt – 0.4%    
926,037   ElSewedy Electric Co.   579,436
    Hong Kong – 1.9%    
204,000   China Everbright Ltd.   243,831
785,571   China Overseas Grand Oceans Group Ltd.   398,954
913,433   Poly Property Group Co., Ltd.   240,144
320,861   Shanghai Industrial Holdings Ltd.   467,452
1,910,781   Shenzhen Investment Ltd.   411,682
646,000   Sinotruk Hong Kong Ltd.   994,158
        2,756,221
    India – 3.3%    
14,507   BSE Ltd.   374,405
55,386   Central Depository Services India Ltd. (d)   1,117,471
365,465   Firstsource Solutions Ltd.   900,196
476,482   Indiabulls Real Estate Ltd. (c)   1,010,837
956,215   National Aluminium Co., Ltd.   1,299,211
        4,702,120
    Indonesia – 4.7%    
5,020,570   Adi Sarana Armada Tbk PT (c)   1,169,500
1,579,867   AKR Corporindo Tbk PT   455,587
3,007,957   Aneka Tambang Tbk PT   474,857
17,078,236   Erajaya Swasembada Tbk PT   718,957
401,646   Indah Kiat Pulp & Paper Tbk PT   220,514
5,438,070   Indika Energy Tbk PT (c)   589,498
331,165   Indo Tambangraya Megah Tbk PT   474,006
5,231,561   Japfa Comfeed Indonesia Tbk PT   631,348
16,498,735   Media Nusantara Citra Tbk PT   1,041,843
11,292,167   Perusahaan Perkebunan London Sumatra Indonesia Tbk PT   938,868
        6,714,978
Shares   Description   Value
    Jersey – 0.8%    
6,459,576   West China Cement Ltd.   $1,151,491
    Malaysia – 4.8%    
6,570,300   Bumi Armada Bhd (c)   741,249
704,500   D&O Green Technologies Bhd   997,732
425,100   Greatech Technology Bhd (c)   686,731
1,665,200   Hong Seng Consolidated Bhd (c)   1,075,225
2,180,600   Kossan Rubber Industries   1,004,981
1,636,300   Lotte Chemical Titan Holding Bhd (d) (e)   942,660
22,200   Malaysian Pacific Industries Bhd   263,032
1,101,000   SKP Resources Bhd   459,851
2,177,876   Supermax Corp. Bhd   768,478
        6,939,939
    Mexico – 1.2%    
237,627   Alsea S.A.B. de C.V. (c)   441,703
127,506   Coca-Cola Femsa S.A.B. de C.V.   700,628
273,140   Corp Inmobiliaria Vesta S.A.B. de CV   547,467
        1,689,798
    Philippines – 1.0%    
9,144,900   DMCI Holdings, Inc.   1,382,697
    Poland – 1.4%    
44,448   Alior Bank S.A. (c)   603,429
141,787   Bank Millennium S.A. (c)   288,385
68,579   Jastrzebska Spolka Weglowa S.A. (c)   593,512
858,361   Tauron Polska Energia S.A. (c)   565,402
        2,050,728
    Russia – 1.7%    
378,620,637   Federal Grid Co. Unified Energy System PJSC   817,560
580,351   Mechel PJSC (c)   952,892
41,053,967   ROSSETI PJSC   609,833
        2,380,285
    South Africa – 9.4%    
95,470   African Rainbow Minerals Ltd.   1,385,289
88,318   Barloworld Ltd.   833,409
95,455   Distell Group Holdings Ltd. (c)   1,011,158
89,932   Exxaro Resources Ltd.   862,749
385,891   Harmony Gold Mining Co., Ltd.   1,612,823
58,234   Massmart Holdings Ltd. (c)   221,753
866,546   Momentum Metropolitan Holdings   1,030,502
177,873   Motus Holdings Ltd.   1,228,870
244,690   PSG Group Ltd. (c)   1,370,325
243,866   Royal Bafokeng Platinum Ltd.   2,392,290
246,120   Telkom S.A. SOC Ltd. (c)   835,279
183,903   Woolworths Holdings Ltd.   598,507
        13,382,954
 
See Notes to Financial Statements
Page 83
Table of Contents
First Trust Emerging Markets Small Cap AlphaDEX® Fund (FEMS)
Portfolio of Investments (Continued)
December 31, 2021
Shares   Description   Value
COMMON STOCKS (a) (Continued)
    Taiwan – 19.4%    
583,621   Asia Polymer Corp.   $773,113
724,012   China General Plastics Corp.   908,057
281,105   ChipMOS Technologies, Inc.   493,791
518,712   Chun Yuan Steel Industry Co., Ltd.   457,461
51,178   Elite Semiconductor Microelectronics Technology, Inc.   305,215
174,896   Faraday Technology Corp.   1,510,830
129,678   Getac Technology Corp.   261,071
77,239   Gigabyte Technology Co., Ltd.   434,115
570,301   Global Brands Manufacture Ltd.   795,663
26,764   Global Unichip Corp.   566,874
1,157,919   Grand Pacific Petrochemical   1,201,152
327,441   Hannstar Board Corp.   537,312
2,205,379   HannStar Display Corp.   1,442,779
118,138   Holtek Semiconductor, Inc.   480,375
510,484   Kindom Development Co., Ltd.   696,525
132,759   Kinsus Interconnect Technology Corp.   1,118,041
238,165   Long Chen Paper & Packaging Co., Ltd.   210,042
62,077   Lotus Pharmaceutical Co., Ltd.   218,763
936,035   Mitac Holdings Corp.   1,190,893
250,162   Nuvoton Technology Corp.   1,274,907
594,621   Oriental Union Chemical Corp. (c)   481,422
225,230   Pan Jit International, Inc.   871,060
397,295   Pou Chen Corp.   476,030
272,364   Ruentex Industries Ltd.   959,825
105,998   SDI Corp.   672,377
47,718   Shiny Chemical Industrial Co., Ltd.   302,689
112,868   Sigurd Microelectronics Corp.   239,876
743,895   Sunplus Technology Co., Ltd.   1,044,577
605,359   Supreme Electronics Co., Ltd.   1,104,949
139,674   T3EX Global Holdings Corp.   689,106
117,730   Tung Ho Steel Enterprise Corp.   285,527
790,297   UPC Technology Corp.   616,996
711,337   USI Corp.   811,171
463,969   Via Technologies, Inc.   1,440,523
82,262   Wah Lee Industrial Corp.   318,142
443,263   WT Microelectronics Co., Ltd.   1,177,570
879,259   Yieh Phui Enterprise Co., Ltd. (c)   804,036
82,262   Yulon Finance Corp.   520,326
        27,693,181
    Thailand – 5.1%    
3,996,100   AP Thailand PCL   1,142,426
296,100   Bangchak Corp. PCL   223,815
1,675,300   Gunkul Engineering PCL   280,847
103,100   Hana Microelectronics PCL   273,143
5,871,700   IRPC PCL   674,969
325,700   Mega Lifesciences PCL   492,377
Shares   Description   Value
    Thailand (Continued)    
405,100   Precious Shipping PCL   $201,307
522,500   Regional Container Lines PCL   770,338
10   Siam Global House PCL   6
1,215,200   Sri Trang Agro-Industry PCL   1,127,711
781,600   Sri Trang Gloves Thailand PCL   707,780
826,600   Star Petroleum Refining PCL (c)   242,499
1,628,400   STARK Corp PCL (c)   231,062
1,125,600   Thai Union Group PCL   657,063
442,500   Tipco Asphalt PCL   239,762
        7,265,105
    Turkey – 10.0%    
281,303   AG Anadolu Grubu Holding A.S.   836,105
523,483   Aksa Akrilik Kimya Sanayii A.S.   1,356,489
196,499   Arcelik A.S.   718,917
141,209   Aselsan Elektronik Sanayi Ve Ticaret A.S.   222,877
100,726   Coca-Cola Icecek A.S.   674,222
4,208,477   Dogan Sirketler Grubu Holding A.S.   874,844
655,130   Haci Omer Sabanci Holding A.S.   655,180
255,425   Hektas Ticaret TAS (i)   287,109
1,325,833   Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S., Class D (c)   924,044
67,159   Koza Altin Isletmeleri A.S. (c)   587,368
440,200   Koza Anadolu Metal Madencilik Isletmeleri A.S. (c)   599,622
6,644   Otokar Otomotiv Ve Savunma Sanayi A.S.   178,292
1,636,988   Petkim Petrokimya Holding A.S. (c)   965,191
205,568   Tofas Turk Otomobil Fabrikasi A.S.   1,176,317
285,435   Turk Telekomunikasyon A.S.   207,781
278,918   Turkcell Iletisim Hizmetleri A.S.   389,208
93,277   Turkiye Petrol Rafinerileri A.S. (c)   1,088,667
1,044,154   Turkiye Sise ve Cam Fabrikalari A.S.   1,056,072
655,799   Turkiye Vakiflar Bankasi TAO, Class D (c)   182,428
223,630   Ulker Biskuvi Sanayi A.S.   294,646
325,157   Vestel Elektronik Sanayi ve Ticaret A.S.   615,461
1,774,196   Yapi ve Kredi Bankasi A.S.   453,306
        14,344,146
    Total Common Stocks   141,705,532
    (Cost $141,570,808)    
REAL ESTATE INVESTMENT TRUSTS (a) – 0.7%
    South Africa – 0.4%    
791,639   Fortress REIT Ltd., Class A   620,991
 
Page 84
See Notes to Financial Statements
Table of Contents
First Trust Emerging Markets Small Cap AlphaDEX® Fund (FEMS)
Portfolio of Investments (Continued)
December 31, 2021
Shares   Description   Value
REAL ESTATE INVESTMENT TRUSTS (a) (Continued)
    Turkey – 0.3%    
2,388,722   Emlak Konut Gayrimenkul Yatirim Ortakligi A.S.   $386,413
    Total Real Estate Investment Trusts   1,007,404
    (Cost $1,208,811)    
WARRANTS (a) – 0.0%
    Malaysia – 0.0%    
40   Serba Dinamik Holdings Bhd, expiring 12/5/24 (c) (f)   1
    (Cost $0)    
MONEY MARKET FUNDS – 2.0%
2,942,074   Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (j) (k)   2,942,074
    (Cost $2,942,074)    
Principal
Value 		  Description   Value
REPURCHASE AGREEMENTS – 0.9%
$1,306,332   BNP Paribas S.A., 0.03% (j) dated 12/31/21, due 1/3/22, with a maturity value of $1,306,335. Collateralized by U.S. Treasury Note, interest rate of 1.50%, due 11/30/28. The value of the collateral including accrued interest is $1,331,885. (k)   1,306,332
    (Cost $1,306,332)    
    Total Investments – 102.7%   146,961,343
    (Cost $147,028,025) (l)    
    Net Other Assets and Liabilities – (2.7)%   (3,931,277)
    Net Assets – 100.0%   $143,030,066
    
(a) Portfolio securities are categorized based upon their country of incorporation, which can be different from the country categorization of the Fund’s underlying index. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview.
(b) All or a portion of this security is on loan (see Note 2F - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $4,044,449 and the total value of the collateral held by the Fund is $4,248,406.
(c) Non-income producing security.
(d) This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933, as amended (the “1933 Act”).
(e) This security is exempt from registration upon resale under Rule 144A of the 1933 Act and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities.
(f) This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures adopted by the Trust’s Board of Trustees, and in accordance with the provisions of the Investment Company Act of 1940, as amended. At December 31, 2021, securities noted as such are valued at $683,405 or 0.5% of net assets.
(g) Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by First Trust Advisors L.P., the Fund’s advisor.
(h) This security’s value was determined using significant unobservable inputs (see Note 2A – Portfolio Valuation in the Notes to Financial Statements).
(i) Non-income producing security that makes payment-in-kind (“PIK”) distributions. For the fiscal year ended December 31, 2021, the Fund received 243,726 PIK shares of Hektas Ticaret TAS.
(j) Rate shown reflects yield as of December 31, 2021.
(k) This security serves as collateral for securities on loan.
(l) Aggregate cost for federal income tax purposes was $149,605,376. As of December 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $13,737,995 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $16,382,028. The net unrealized depreciation was $2,644,033.
 
See Notes to Financial Statements
Page 85
Table of Contents
First Trust Emerging Markets Small Cap AlphaDEX® Fund (FEMS)
Portfolio of Investments (Continued)
December 31, 2021
Valuation Inputs
A summary of the inputs used to value the Fund’s investments as of December 31, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
  Total
Value at
12/31/2021 		Level 1
Quoted
Prices 		Level 2
Significant
Observable
Inputs 		Level 3
Significant
Unobservable
Inputs
Common Stocks:        
Cayman Islands $ 18,001,610 $ 17,318,206 $ 683,404 $ —**
Thailand  7,265,105  —  7,265,105  —
Other Country Categories*  116,438,817  116,438,817  —  —
Real Estate Investment Trusts*  1,007,404  1,007,404  —  —
Warrants*  1  —  1  —
Money Market Funds  2,942,074  2,942,074  —  —
Repurchase Agreements  1,306,332  —  1,306,332  —
Total Investments $ 146,961,343 $ 137,706,501 $ 9,254,842 $—**
    
* See Portfolio of Investments for country breakout.
** Investment is valued at $0.
Level 3 Common Stocks are fair valued by the Advisor’s Pricing Committee and are footnoted in the Portfolio of Investments. All Level 3 Common Stocks values are based on unobservable and non-quantitative inputs.
Offsetting Assets and Liabilities
Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2E – Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements).
The Fund’s loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows:
Security Lending Agency Agreement  
Total gross amount presented on the Statements of Assets and Liabilities (1) $4,044,449
Non-cash Collateral (2) (4,044,449)
Net Amount $—
    
(1) The amount presented on the Statements of Assets and Liabilities, which is included in “Investments, at value,” is not offset and is shown on a gross basis.
(2) At December 31, 2021, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments.
The Fund’s investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows:
Repurchase Agreements  
Total gross amount presented on the Statements of Assets and Liabilities (3) $1,306,332
Non-cash Collateral (4) (1,306,332)
Net Amount $—
    
(3) The amount is included in “Investments, at value” on the Statements of Assets and Liabilities.
(4) At December 31, 2021, the value of the collateral received from each seller exceeded the value of the repurchase agreements.
    
Currency Exposure
Diversification 		% of Total
Investments
Hong Kong Dollar 20.7%
New Taiwan Dollar 19.0
Brazilian Real 11.8
Turkish Lira 10.0
South African Rand 9.5
Thai Baht 4.9
Malaysian Ringgit 4.7
Indonesian Rupiah 4.6
United States Dollar 4.0
Indian Rupee 3.2
Chilean Peso 2.1
Russian Ruble 1.6
Polish Zloty 1.4
Mexican Peso 1.2
Philippine Peso 0.9
Egyptian Pound 0.4
Total 100.0%
 
Page 86
See Notes to Financial Statements
Table of Contents
First Trust Eurozone AlphaDEX® ETF (FEUZ)
Portfolio of Investments
December 31, 2021
Shares   Description   Value
COMMON STOCKS (a) – 98.8%
    Austria – 4.9%    
6,478   ANDRITZ AG   $334,687
2,782   BAWAG Group AG (b) (c)   171,668
13,501   CA Immobilien Anlagen AG   507,239
16,521   Erste Group Bank AG   777,759
14,675   OMV AG   834,539
20,802   Raiffeisen Bank International AG   612,918
19,119   voestalpine AG   696,543
        3,935,353
    Belgium – 5.1%    
1,028   Ackermans & van Haaren N.V.   197,443
6,029   D’ieteren Group   1,177,865
10,442   Etablissements Franz Colruyt N.V.   442,955
2,012   KBC Group N.V.   172,853
35,740   Proximus S.A.D.P.   697,426
2,231   Sofina S.A.   1,097,277
8,966   Umicore S.A.   364,929
        4,150,748
    Finland – 4.8%    
29,126   Fortum Oyj   894,987
42,754   Kojamo Oyj   1,033,866
64,360   Nokia Oyj (d)   408,429
5,274   QT Group OYJ (d)   802,194
7,138   Sampo Oyj, Class A   358,059
21,175   Stora Enso Oyj, Class R   389,099
        3,886,634
    France – 22.2%    
2,410   Alten S.A.   434,890
2,101   Amundi S.A. (b) (c)   173,539
6,688   Arkema S.A.   943,030
6,637   Atos SE   282,527
19,076   AXA S.A.   568,687
11,049   BNP Paribas S.A.   764,443
122,394   Bollore S.A.   685,580
17,064   Bouygues S.A.   611,768
4,250   Capgemini SE   1,042,724
29,555   Carrefour S.A.   541,907
10,518   Cie de Saint-Gobain   740,877
4,613   Cie Generale des Etablissements Michelin SCA   757,061
22,316   CNP Assurances   552,597
12,820   Credit Agricole S.A.   183,174
3,493   Eiffage S.A.   359,740
56,252   Electricite de France S.A.   661,563
9,242   Elis S.A. (d)   160,145
27,005   Engie S.A.   400,118
925   EssilorLuxottica S.A.   197,185
9,424   Eurazeo SE   824,004
5,565   Ipsen S.A.   510,028
49,127   Orange S.A.   526,479
2,629   Publicis Groupe S.A.   177,193
14,871   Renault S.A. (d)   517,146
Shares   Description   Value
    France (Continued)    
36,539   Rexel S.A.   $741,722
1,843   Sanofi   185,863
1,266   Sartorius Stedim Biotech   695,303
12,217   SCOR SE   381,664
22,525   Societe Generale S.A.   774,599
11,115   TotalEnergies SE   564,767
6,315   Valeo S.A.   191,100
17,363   Veolia Environnement S.A.   637,708
70,218   Vivendi SE   950,525
2,555   Wendel SE   306,595
        18,046,251
    Germany – 23.1%    
5,601   1&1 AG   153,169
9,252   Bayerische Motoren Werke AG   932,101
1,901   Brenntag SE   172,234
1,616   Continental AG (d)   171,305
12,904   Covestro AG (b) (c)   796,263
9,808   Daimler AG   754,738
9,181   Dermapharm Holding SE   933,414
2,811   Deutsche Post AG   180,946
8,803   Deutsche Telekom AG   163,362
28,983   E.ON SE   402,301
11,232   Evonik Industries AG   364,064
3,716   Evotec SE (d)   179,803
7,549   Fresenius Medical Care AG & Co., KGaA   491,092
11,061   Fresenius SE & Co., KGaA   445,790
11,820   HeidelbergCement AG   800,965
5,746   HelloFresh SE (d)   441,835
8,822   HUGO BOSS AG   537,346
262   Hypoport SE (d)   152,425
3,802   Jungheinrich AG (Preference Shares)   194,267
6,266   LEG Immobilien SE   875,322
2,448   Merck KGaA   632,660
3,377   Nemetschek SE   433,684
8,910   Porsche Automobil Holding SE (Preference Shares)   846,418
38,624   ProSiebenSat.1 Media SE   616,068
20,052   RWE AG   815,459
1,114   Sartorius AG (Preference Shares)   754,886
69,192   Schaeffler AG (Preference Shares)   574,271
24,194   TAG Immobilien AG   677,879
4,152   Talanx AG   201,089
186,914   Telefonica Deutschland Holding AG   519,449
21,241   Uniper SE   1,010,844
9,110   United Internet AG   362,388
3,954   Volkswagen AG (Preference Shares)   798,949
14,754   Vonovia SE   814,675
3,795   Wacker Chemie AG   568,592
        18,770,053
 
See Notes to Financial Statements
Page 87
Table of Contents
First Trust Eurozone AlphaDEX® ETF (FEUZ)
Portfolio of Investments (Continued)
December 31, 2021
Shares   Description   Value
COMMON STOCKS (a) (Continued)
    Greece – 0.4%    
19,204   Hellenic Telecommunications Organization S.A.   $355,395
    Ireland – 1.7%    
149,907   Bank of Ireland Group PLC (d)   850,956
21,509   Glanbia PLC   301,203
1,781   Kingspan Group PLC   212,905
        1,365,064
    Italy – 14.6%    
345,018   A2A S.p.A.   675,621
16,610   ACEA S.p.A.   354,761
24,983   Assicurazioni Generali S.p.A.   529,896
12,122   Banca Generali S.p.A.   534,785
81,896   Banca Mediolanum S.p.A.   809,311
56,365   Banco BPM S.p.A.   169,413
42,111   Brembo S.p.A.   600,730
38,781   Buzzi Unicem S.p.A   837,787
4,927   De’ Longhi S.p.A.   176,808
844   DiaSorin S.p.A.   160,902
26,528   Eni S.p.A.   369,070
86,620   Hera S.p.A.   361,036
10,939   Interpump Group S.p.A.   802,664
124,838   Intesa Sanpaolo S.p.A.   323,199
55,287   Italgas S.p.A.   380,939
86,109   Leonardo S.p.A. (d)   617,621
60,293   Pirelli & C S.p.A. (b) (c)   419,275
64,185   Poste Italiane S.p.A. (b) (c)   843,281
3,843   Reply S.p.A.   781,858
63,864   Snam S.p.A.   385,359
2,256,113   Telecom Italia S.p.A.   1,115,279
39,951   UniCredit S.p.A.   616,038
        11,865,633
    Luxembourg – 3.5%    
15,993   APERAM S.A.   867,430
28,939   ArcelorMittal S.A.   927,295
6,908   Eurofins Scientific SE   855,686
16,844   Tenaris S.A.   176,619
        2,827,030
    Netherlands – 12.1%    
6,143   Aalberts N.V.   407,459
24,594   ABN AMRO Bank N.V. (b) (c)   361,652
190   Adyen N.V. (b) (c) (d)   500,012
137,135   Aegon N.V.   685,871
1,331   Airbus SE (d)   170,264
14,187   Arcadis N.V.   683,871
1,811   ASM International N.V.   801,431
711   ASML Holding N.V.   572,055
15,500   ASR Nederland N.V.   714,693
12,574   Davide Campari-Milano N.V.   184,026
3,707   IMCD N.V.   821,716
24,371   ING Groep N.V.   339,671
21,318   Koninklijke Ahold Delhaize N.V.   731,393
Shares   Description   Value
    Netherlands (Continued)    
169,221   Koninklijke KPN N.V.   $525,957
4,504   Koninklijke Vopak N.V.   157,936
13,532   NN Group N.V.   733,488
30,005   OCI N.V. (d)   786,379
12,166   STMicroelectronics N.V.   600,718
        9,778,592
    Portugal – 0.8%    
26,696   Jeronimo Martins SGPS S.A.   610,907
    Spain – 5.6%    
1,069   Acciona S.A.   204,587
80,363   Banco Bilbao Vizcaya Argentaria S.A.   480,340
1,055,299   Banco de Sabadell S.A. (d)   711,023
97,653   Banco Santander S.A.   326,919
60,436   Bankinter S.A.   310,248
228,234   CaixaBank S.A.   627,265
23,923   Enagas S.A.   555,621
17,635   Iberdrola S.A.   209,006
27,110   Repsol S.A.   322,104
189,208   Telefonica S.A. (e)   829,772
        4,576,885
    Total Common Stocks   80,168,545
    (Cost $80,500,220)    
REAL ESTATE INVESTMENT TRUSTS (a) – 1.0%
    Belgium – 0.8%    
13,127   Warehouses De Pauw CVA   630,384
    France – 0.2%    
2,103   Covivio   172,866
    Total Real Estate Investment Trusts   803,250
    (Cost $739,702)    
MONEY MARKET FUNDS – 0.0%
25,001   Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (f) (g)   25,001
    (Cost $25,001)    
 
Page 88
See Notes to Financial Statements
Table of Contents
First Trust Eurozone AlphaDEX® ETF (FEUZ)
Portfolio of Investments (Continued)
December 31, 2021
Principal
Value 		  Description   Value
REPURCHASE AGREEMENTS – 0.0%
$11,101   BNP Paribas S.A., 0.03% (f), dated 12/31/21, due 1/3/22, with a maturity value of $11,101. Collateralized by U.S. Treasury Note, interest rate of 1.50%, due 11/30/28. The value of the collateral including accrued interest is $11,318. (g)   $11,101
    (Cost $11,101)    
    Total Investments – 99.8%   81,007,897
    (Cost $81,276,024) (h)    
    Net Other Assets and Liabilities – 0.2%   127,456
    Net Assets – 100.0%   $81,135,353
    
(a) Portfolio securities are categorized based upon their country of incorporation, which can be different from the country categorization of the Fund’s underlying index. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview.
(b) This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933, as amended (the “1933 Act”).
(c) This security is exempt from registration upon resale under Rule 144A of the 1933 Act and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities.
(d) Non-income producing security.
(e) All or a portion of this security is on loan (see Note 2F - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $912 and the total value of the collateral held by the Fund is $36,102.
(f) Rate shown reflects yield as of December 31, 2021.
(g) This security serves as collateral for securities on loan.
(h) Aggregate cost for federal income tax purposes was $81,625,225. As of December 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $3,431,326 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $4,048,654. The net unrealized depreciation was $617,328.
Valuation Inputs
A summary of the inputs used to value the Fund’s investments as of December 31, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
  Total
Value at
12/31/2021 		Level 1
Quoted
Prices 		Level 2
Significant
Observable
Inputs 		Level 3
Significant
Unobservable
Inputs
Common Stocks* $ 80,168,545 $ 80,168,545 $ — $ —
Real Estate Investment Trusts*  803,250  803,250  —  —
Money Market Funds  25,001  25,001  —  —
Repurchase Agreements  11,101  —  11,101  —
Total Investments $ 81,007,897 $ 80,996,796 $ 11,101 $—
    
* See Portfolio of Investments for country breakout.
Offsetting Assets and Liabilities
Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2E – Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements).
The Fund’s loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows:
Security Lending Agency Agreement  
Total gross amount presented on the Statements of Assets and Liabilities (1) $912
Non-cash Collateral (2) (912)
Net Amount $—
    
(1) The amount presented on the Statements of Assets and Liabilities, which is included in “Investments, at value,” is not offset and is shown on a gross basis.
(2) At December 31, 2021, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments.
 
See Notes to Financial Statements
Page 89
Table of Contents
First Trust Eurozone AlphaDEX® ETF (FEUZ)
Portfolio of Investments (Continued)
December 31, 2021
The Fund’s investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows:
Repurchase Agreements  
Total gross amount presented on the Statements of Assets and Liabilities (3) $11,101
Non-cash Collateral (4) (11,101)
Net Amount $—
    
(3) The amount is included in “Investments, at value” on the Statements of Assets and Liabilities.
(4) At December 31, 2021, the value of the collateral received from each seller exceeded the value of the repurchase agreements.
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Page 91
Table of Contents
First Trust Exchange-Traded AlphaDEX® Fund II
Statements of Assets and Liabilities
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)
ASSETS:              
Investments, at value
 $ 25,901,611   $ 575,346,561   $ 7,767,141   $ 11,956,770
Cash
 4,561   244,178   15,169   —
Foreign currency
2   —   4,034   67,278
Due from authorized participant
 —   436,170   —   —
Receivables:              
Dividends
 184,838   546,904   24,379   29,227
Fund shares sold
 —   —   —   3,440,331
Dividend reclaims
 —   2,128,948   —   —
Securities lending income
 3,153   1,487   —   —
Investment securities sold
 —   1,408,054   —   —
Miscellaneous
 —   —   —   —
Total Assets
 26,094,165   580,112,302   7,810,723   15,493,606
LIABILITIES:              
Due to authorized participant
 —   1,310,488   —   —
Due to custodian
 —   —   —   29,505
Due to custodian foreign currency
 —   4,145   —   —
Payables:              
Collateral for securities on loan
 819,304   4,071,082   —   —
Investment advisory fees
 17,316   381,716   5,257   5,184
Investment securities purchased
 —   436,170   —   3,420,299
Fund shares redeemed
 —   —   —   —
Deferred foreign capital gains tax
 —   —   —   —
Total Liabilities
 836,620   6,203,601   5,257   3,454,988
NET ASSETS
 $25,257,545   $573,908,701   $7,805,466   $12,038,618
NET ASSETS consist of:              
Paid-in capital
 $ 37,509,717   $ 697,753,653   $ 48,488,844   $ 39,367,402
Par value
 8,000   132,500   4,500   10,500
Accumulated distributable earnings (loss)
 (12,260,172)   (123,977,452)   (40,687,878)   (27,339,284)
NET ASSETS
 $25,257,545   $573,908,701   $7,805,466   $12,038,618
NET ASSET VALUE, per share
 $31.57   $43.31   $17.35   $11.47
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)
 800,002   13,250,002   450,002   1,050,002
Investments, at cost
 $24,532,476   $523,974,027   $7,058,298   $12,406,964
Foreign currency, at cost (proceeds)
 $2   $(3,984)   $4,011   $66,562
Securities on loan, at value
 $780,267   $3,729,820   $—   $—
Page 92
See Notes to Financial Statements
Table of Contents
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)
                 
$ 10,073,639   $ 35,222,479   $ 419,408,223   $ 443,685,945   $ 100,180,422
2,366   19,718   150,205   2,197,361   4,696
—   —   23,004   10,521   —
—   —   —   —   —
                 
2,086   52,938   1,053,268   587,432   —
—   —   —   —   —
—   1,899   744,607   204,031   60,619
430   84   17,604   4,833   4,122
—   —   13,183   140,084   —
—   —   —   198,752   —
10,078,521   35,297,118   421,410,094   447,028,959   100,249,859
                 
—   —   —   140,322   —
—   —   —   —   —
—   —   —   —   —
                 
422,804   372,178   6,551,435   8,368,107   685,918
6,647   23,923   279,400   298,694   66,742
—   —   —   —   —
—   —   —   —   —
—   —   —   1,306,902   —
429,451   396,101   6,830,835   10,114,025   752,660
$ 9,649,070   $ 34,901,017   $ 414,579,259   $ 436,914,934   $ 99,497,199
                 
$ 16,561,012   $ 86,173,490   $ 654,718,270   $ 579,435,544   $ 120,684,161
3,500   7,000   68,364   166,500   18,500
(6,915,442)   (51,279,473)   (240,207,375)   (142,687,110)   (21,205,462)
$ 9,649,070   $ 34,901,017   $ 414,579,259   $ 436,914,934   $ 99,497,199
$27.57   $49.86   $60.64   $26.24   $53.78
350,002   700,002   6,836,412   16,650,002   1,850,002
$10,630,420   $35,614,987   $389,370,350   $417,959,827   $95,604,327
$—   $—   $23,029   $10,320   $—
$401,949   $343,439   $6,193,585   $7,341,645   $656,354
See Notes to Financial Statements
Page 93
Table of Contents
First Trust Exchange-Traded AlphaDEX® Fund II
Statements of Assets and Liabilities (Continued)
December 31, 2021
  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)
ASSETS:              
Investments, at value
 $ 98,493,723   $ 64,236,483   $ 99,250,997   $ 13,972,362
Cash
 8,180   —   9,316   12,036
Foreign currency
67,230   2,636,959   —   635
Due from authorized participant
 —   —   —   —
Receivables:              
Dividends
 431,762   39,928   —   47,980
Fund shares sold
 —   —   —   —
Dividend reclaims
 7,110   —   799,211   10,540
Securities lending income
 —   —   —   1,025
Investment securities sold
 —   2,627,280   —   199
Miscellaneous
 5   —   —   —
Total Assets
 99,008,010   69,540,650   100,059,524   14,044,777
LIABILITIES:              
Due to authorized participant
 —   —   —   —
Due to custodian
 —   2,653,109   —   —
Due to custodian foreign currency
 —   —   —   —
Payables:              
Collateral for securities on loan
 —   —   —   219,282
Investment advisory fees
 65,208   43,173   70,279   8,692
Investment securities purchased
 —   2,633,350   —   —
Fund shares redeemed
 —   —   46,419   —
Deferred foreign capital gains tax
 —   1,507,688   —   —
Total Liabilities
 65,208   6,837,320   116,698   227,974
NET ASSETS
 $98,942,802   $62,703,330   $99,942,826   $13,816,803
NET ASSETS consist of:              
Paid-in capital
 $ 133,475,518   $ 52,983,750   $ 110,644,488   $ 17,047,331
Par value
 22,500   13,000   14,000   3,000
Accumulated distributable earnings (loss)
 (34,555,216)   9,706,580   (10,715,662)   (3,233,528)
NET ASSETS
 $98,942,802   $62,703,330   $99,942,826   $13,816,803
NET ASSET VALUE, per share
 $43.97   $48.23   $71.39   $46.06
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)
 2,250,002   1,300,002   1,400,002   300,002
Investments, at cost
 $94,999,023   $54,351,069   $80,477,646   $13,564,741
Foreign currency, at cost (proceeds)
 $67,275   $2,636,926   $—   $634
Securities on loan, at value
 $—   $—   $—   $210,839
Page 94
See Notes to Financial Statements
Table of Contents
First Trust
Emerging
Markets
Small Cap
AlphaDEX®
Fund
(FEMS) 		  First Trust
Eurozone
AlphaDEX®
ETF
(FEUZ)
     
$ 146,961,343   $ 81,007,897
114,088   38,753
200,178   —
—   —
     
90,292   37,233
—   —
2,406   139,866
12,224   55
—   6,458
—   —
147,380,531   81,230,262
     
—   —
—   —
—   3,589
     
4,248,406   36,102
97,314   55,218
—   —
—   —
4,745   —
4,350,465   94,909
$ 143,030,066   $ 81,135,353
     
$ 175,746,069   $ 96,930,840
35,500   17,500
(32,751,503)   (15,812,987)
$ 143,030,066   $ 81,135,353
$40.29   $46.36
3,550,002   1,750,002
$147,028,025   $81,276,024
$196,560   $(3,585)
$4,044,449   $912
See Notes to Financial Statements
Page 95
Table of Contents
First Trust Exchange-Traded AlphaDEX® Fund II
Statements of Operations
For the Year Ended 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)
INVESTMENT INCOME:              
Dividends
 $ 1,134,128   $ 16,837,669   $ 568,977   $ 760,547
Interest
 —   —   —   —
Securities lending income (net of fees)
  21,541    284,984   —   —
Foreign withholding tax
 (46,318)   (1,039,516)   (44,857)   (22,551)
Other
  118    46    15    14
Total investment income
 1,109,469   16,083,183   524,135   738,010
EXPENSES:              
Investment advisory fees
  183,949    4,113,844    82,617    72,413
Excise tax expense
 —   —   —   —
Total expenses
 183,949   4,113,844   82,617   72,413
NET INVESTMENT INCOME (LOSS)
 925,520   11,969,339   441,518   665,597
NET REALIZED AND UNREALIZED GAIN (LOSS):              
Net realized gain (loss) on:              
Investments
 1,364,729   14,764,964   1,198,340   356,591
In-kind redemptions
 141,347   60,693,575   518,745   19,038
Foreign currency transactions
 (25,069)   (102,938)   (12,988)   (15,597)
Foreign capital gains tax
 —   —   —   —
Net realized gain (loss)
  1,481,007    75,355,601    1,704,097    360,032
Net change in unrealized appreciation (depreciation) on:              
Investments
 (2,507,429)   (8,949,363)   (2,902,284)   (2,113,131)
Foreign currency translation
 (984)   (153,663)   612   (3,346)
Deferred foreign capital gains tax
 —   —   —   —
Net change in unrealized appreciation (depreciation)
 (2,508,413)   (9,103,026)   (2,901,672)   (2,116,477)
NET REALIZED AND UNREALIZED GAIN (LOSS)
 (1,027,406)   66,252,575   (1,197,575)   (1,756,445)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS
 $(101,886)   $ 78,221,914   $(756,057)   $(1,090,848)
Page 96
See Notes to Financial Statements
Table of Contents
  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)
                   
  $588,561   $994,886   $13,570,203   $26,460,422   $2,787,326
  —   —   —   —   —
  18,259   920   219,719   170,586   57,550
  (35,977)   (98,156)   (1,046,643)   (2,312,437)   (233,649)
  —   —   164   3   —
  570,843   897,650   12,743,443   24,318,574   2,611,227
                   
  102,453   307,982   3,163,490   4,027,452   846,732
  —   —   —   —   —
  102,453   307,982   3,163,490   4,027,452   846,732
  468,390   589,668   9,579,953   20,291,122   1,764,495
                   
                   
  453,410   (230,090)   48,889,886   44,695,673   10,276,902
  736,674   612,005   905,566   10,601,645   3,217,100
  (2,181)   (9,490)   (91,056)   (239,762)   (1,475)
  —   —   —   (998,974)   —
  1,187,903   372,425   49,704,396   54,058,582   13,492,527
                   
  (1,661,661)   (883,347)   (21,016,906)   (38,485,575)   (9,073,649)
  16   (525)   (58,749)   2,354   (4,506)
  —   —   —   (1,312,071)   —
  (1,661,645)   (883,872)   (21,075,655)   (39,795,292)   (9,078,155)
  (473,742)   (511,447)   28,628,741   14,263,290   4,414,372
  $(5,352)   $78,221   $38,208,694   $34,554,412   $6,178,867
See Notes to Financial Statements
Page 97
Table of Contents
First Trust Exchange-Traded AlphaDEX® Fund II
Statements of Operations (Continued)
For the Year Ended December 31, 2021
  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)
INVESTMENT INCOME:              
Dividends
 $ 2,073,684   $ 1,226,165   $ 2,483,490   $ 251,977
Interest
 —    1,186   —   —
Securities lending income (net of fees)
 —   —   —    2,593
Foreign withholding tax
 (22,251)   (273,401)   (286,831)   (30,042)
Other
  13    1   —    382
Total investment income
 2,051,446   953,951   2,196,659   224,910
EXPENSES:              
Investment advisory fees
  396,030    436,653    856,048    79,547
Excise tax expense
 —    27   —   —
Total expenses
 396,030   436,680   856,048   79,547
NET INVESTMENT INCOME (LOSS)
 1,655,416   517,271   1,340,611   145,363
NET REALIZED AND UNREALIZED GAIN (LOSS):              
Net realized gain (loss) on:              
Investments
 2,109,958   4,723,662   6,385,993   382,149
In-kind redemptions
 575,560   —   5,219,793   1,324,882
Foreign currency transactions
 (2,146)   347,928   121,648   (1,012)
Foreign capital gains tax
 —   (946,404)   —   —
Net realized gain (loss)
  2,683,372    4,125,186    11,727,434    1,706,019
Net change in unrealized appreciation (depreciation) on:              
Investments
 144,821   9,219,415   5,678,452   (855,676)
Foreign currency translation
 4,884   653   (207,224)   (763)
Deferred foreign capital gains tax
 —   (1,441,368)   —   —
Net change in unrealized appreciation (depreciation)
  149,705    7,778,700    5,471,228   (856,439)
NET REALIZED AND UNREALIZED GAIN (LOSS)
 2,833,077   11,903,886   17,198,662   849,580
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS
 $ 4,488,493   $ 12,421,157   $ 18,539,273   $ 994,943
Page 98
See Notes to Financial Statements
Table of Contents
  First Trust
Emerging
Markets
Small Cap
AlphaDEX®
Fund
(FEMS) 		  First Trust
Eurozone
AlphaDEX®
ETF
(FEUZ)
       
  $7,265,941   $1,357,525
  —   —
  170,530   20,660
  (639,297)   (162,404)
  1   —
  6,797,175   1,215,781
       
  1,223,011   316,385
  —   —
  1,223,011   316,385
  5,574,164   899,396
       
       
  24,475,677   2,611,352
  4,840,631   2,230,605
  (66,523)   (2,229)
  (185,699)   —
  29,064,086   4,839,728
       
  (30,023,335)   (3,417,212)
  (1,368)   (8,039)
  (4,745)   —
  (30,029,448)   (3,425,251)
  (965,362)   1,414,477
  $4,608,802   $2,313,873
See Notes to Financial Statements
Page 99
Table of Contents
First Trust Exchange-Traded AlphaDEX® Fund II
Statements of Changes in Net Assets
  First Trust Asia Pacific
ex-Japan AlphaDEX® Fund (FPA) 		  First Trust Europe
AlphaDEX® Fund (FEP)
  Year
Ended
12/31/2021 		  Year
Ended
12/31/2020 		  Year
Ended
12/31/2021 		  Year
Ended
12/31/2020
OPERATIONS:              
Net investment income (loss)
 $ 925,520   $ 362,054   $ 11,969,339   $ 5,061,628
Net realized gain (loss)
  1,481,007    (1,338,014)    75,355,601    (29,129,145)
Net change in unrealized appreciation (depreciation)
  (2,508,413)    2,664,600    (9,103,026)    20,204,709
Net increase (decrease) in net assets resulting from operations
 (101,886)   1,688,640   78,221,914   (3,862,808)
DISTRIBUTIONS TO SHAREHOLDERS FROM:              
Investment operations
  (1,196,923)    (287,331)    (18,281,993)    (10,100,757)
Return of capital
  —    —    —    —
Total distributions to shareholders
 (1,196,923)   (287,331)   (18,281,993)   (10,100,757)
SHAREHOLDER TRANSACTIONS:              
Proceeds from shares sold
  10,439,636    —    301,558,631    57,240,311
Proceeds from shares issued through reorganization
  —    —    —    —
Cost of shares redeemed
 (1,618,879)    (3,663,141)    (230,355,044)    (112,401,189)
Net increase (decrease) in net assets resulting from shareholder transactions
 8,820,757   (3,663,141)   71,203,587   (55,160,878)
Total increase (decrease) in net assets
  7,521,948    (2,261,832)    131,143,508    (69,124,443)
NET ASSETS:              
Beginning of period
  17,735,597    19,997,429    442,765,193    511,889,636
End of period
 $ 25,257,545   $ 17,735,597   $ 573,908,701   $ 442,765,193
CHANGES IN SHARES OUTSTANDING:              
Shares outstanding, beginning of period
  550,002    700,002    11,500,002    13,600,002
Shares sold
  300,000    —    7,200,000    1,650,000
Shares issued through reorganization
 —    —    —    —
Shares redeemed
  (50,000)    (150,000)    (5,450,000)    (3,750,000)
Shares outstanding, end of period
 800,002   550,002   13,250,002   11,500,002
Page 100
See Notes to Financial Statements
Table of Contents
First Trust Latin America
AlphaDEX® Fund (FLN) 		  First Trust Brazil
AlphaDEX® Fund (FBZ) 		  First Trust China
AlphaDEX® Fund (FCA)
Year
Ended
12/31/2021 		  Year
Ended
12/31/2020 		  Year
Ended
12/31/2021 		  Year
Ended
12/31/2020 		  Year
Ended
12/31/2021 		  Year
Ended
12/31/2020
                     
$ 441,518   $ 299,989   $ 665,597   $ 228,364   $ 468,390   $ 2,201,444
1,704,097    (39,489,811)    360,032    (26,312,654)    1,187,903    12,280,775
(2,901,672)    (12,199,579)    (2,116,477)    (27,080,619)    (1,661,645)    835,270
(756,057)   (51,389,401)   (1,090,848)   (53,164,909)   (5,352)   15,317,489
                     
(400,317)    (370,400)    (502,366)    (909,571)    (517,232)    (2,184,797)
—    (211,686)    —    (202,915)    —    —
(400,317)   (582,086)   (502,366)   (1,112,486)   (517,232)   (2,184,797)
                     
912,884    1,008,224    16,473,683    7,293,654    7,297,067    68,288,075
—    —    —    —    —    —
(5,550,414)    (66,900,136)    (12,214,912)    (60,017,388)    (10,245,972)    (77,703,185)
(4,637,530)   (65,891,912)   4,258,771   (52,723,734)   (2,948,905)   (9,415,110)
(5,793,904)    (117,863,399)    2,665,557    (107,001,129)    (3,471,489)    3,717,582
                     
13,599,370    131,462,769    9,373,061    116,374,190    13,120,559    9,402,977
$7,805,466   $ 13,599,370   $ 12,038,618   $ 9,373,061   $ 9,649,070   $ 13,120,559
                     
700,002    5,800,002    700,002    6,750,002    450,002    350,002
50,000    50,000    1,250,000    450,000    250,000    2,950,000
—    —    —    —    —    —
(300,000)    (5,150,000)    (900,000)    (6,500,000)    (350,000)    (2,850,000)
450,002   700,002   1,050,002   700,002   350,002   450,002
See Notes to Financial Statements
Page 101
Table of Contents
First Trust Exchange-Traded AlphaDEX® Fund II
Statements of Changes in Net Assets (Continued)
  First Trust Japan
AlphaDEX® Fund (FJP) 		  First Trust Developed Markets
ex-US AlphaDEX® Fund (FDT)
  Year
Ended
12/31/2021 		  Year
Ended
12/31/2020 		  Year
Ended
12/31/2021 		  Year
Ended
12/31/2020
OPERATIONS:              
Net investment income (loss)
 $ 589,668   $ 567,298   $ 9,579,953   $ 6,061,037
Net realized gain (loss)
  372,425    (3,792,828)    49,704,396    (59,022,279)
Net change in unrealized appreciation (depreciation)
  (883,872)    1,248,303    (21,075,655)    10,476,029
Net increase (decrease) in net assets resulting from operations
 78,221   (1,977,227)   38,208,694   (42,485,213)
DISTRIBUTIONS TO SHAREHOLDERS FROM:              
Investment operations
  (875,402)    (529,021)    (15,144,146)    (9,436,349)
Return of capital
  —    —    —    —
Total distributions to shareholders
 (875,402)   (529,021)   (15,144,146)   (9,436,349)
SHAREHOLDER TRANSACTIONS:              
Proceeds from shares sold
  —    13,268,365    36,993,954    23,495,190
Proceeds from shares issued through reorganization
  —    —    —    11,344,484
Cost of shares redeemed
 (5,437,368)    (46,273,600)    (5,897,300)    (314,385,914)
Net increase (decrease) in net assets resulting from shareholder transactions
 (5,437,368)   (33,005,235)   31,096,654   (279,546,240)
Total increase (decrease) in net assets
  (6,234,549)    (35,511,483)    54,161,202    (331,467,802)
NET ASSETS:              
Beginning of period
  41,135,566    76,647,049    360,418,057    691,885,859
End of period
 $ 34,901,017   $ 41,135,566   $ 414,579,259   $ 360,418,057
CHANGES IN SHARES OUTSTANDING:              
Shares outstanding, beginning of period
  800,002    1,500,002    6,336,412    12,402,000
Shares sold
  —    300,000    600,000    500,000
Shares issued through reorganization
 —    —    —    234,600
Shares redeemed
  (100,000)    (1,000,000)    (100,000)    (6,800,188)
Shares outstanding, end of period
 700,002   800,002   6,836,412   6,336,412
Page 102
See Notes to Financial Statements
Table of Contents
First Trust Emerging Markets
AlphaDEX® Fund (FEM) 		  First Trust Germany
AlphaDEX® Fund (FGM) 		  First Trust United Kingdom
AlphaDEX® Fund (FKU)
Year
Ended
12/31/2021 		  Year
Ended
12/31/2020 		  Year
Ended
12/31/2021 		  Year
Ended
12/31/2020 		  Year
Ended
12/31/2021 		  Year
Ended
12/31/2020
                     
$ 20,291,122   $ 11,786,154   $ 1,764,495   $ 1,290,948   $ 1,655,416   $ 271,861
54,058,582    (65,093,980)    13,492,527    (5,187,212)    2,683,372    (2,059,059)
(39,795,292)    (5,767,241)    (9,078,155)    3,871,611    149,705    1,699,474
34,554,412   (59,075,067)   6,178,867   (24,653)   4,488,493   (87,724)
                     
(19,810,512)    (12,940,776)    (1,500,281)    (1,287,032)    (1,744,928)    (269,856)
—    —    —    —    —    —
(19,810,512)   (12,940,776)   (1,500,281)   (1,287,032)   (1,744,928)   (269,856)
                     
79,485,441    28,748,589    13,472,609    12,394,139    79,396,844    2,469,261
—    —    —    —    —    —
(99,025,014)    (159,637,004)    (14,034,516)    (59,963,132)    (2,227,657)    (1,525,272)
(19,539,573)   (130,888,415)   (561,907)   (47,568,993)   77,169,187   943,989
(4,795,673)    (202,904,258)    4,116,679    (48,880,678)    79,912,752    586,409
                     
441,710,607    644,614,865    95,380,520    144,261,198    19,030,050    18,443,641
$436,914,934   $ 441,710,607   $ 99,497,199   $ 95,380,520   $ 98,942,802   $ 19,030,050
                     
17,450,002    24,450,002    1,850,002    3,250,002    500,002    450,002
2,950,000    1,100,000    250,000    250,000    1,800,000    100,000
—    —    —    —    —    —
(3,750,000)    (8,100,000)    (250,000)    (1,650,000)    (50,000)    (50,000)
16,650,002   17,450,002   1,850,002   1,850,002   2,250,002   500,002
See Notes to Financial Statements
Page 103
Table of Contents
First Trust Exchange-Traded AlphaDEX® Fund II
Statements of Changes in Net Assets (Continued)
  First Trust India
NIFTY 50 Equal Weight ETF (NFTY) 		  First Trust Switzerland
AlphaDEX® Fund (FSZ)
  Year
Ended
12/31/2021 		  Year
Ended
12/31/2020 		  Year
Ended
12/31/2021 		  Year
Ended
12/31/2020
OPERATIONS:              
Net investment income (loss)
 $ 517,271   $ 29,988   $ 1,340,611   $ 1,471,306
Net realized gain (loss)
  4,125,186    (458,906)    11,727,434    (594,435)
Net change in unrealized appreciation (depreciation)
  7,778,700    809,049    5,471,228    (1,982,992)
Net increase (decrease) in net assets resulting from operations
 12,421,157   380,131   18,539,273   (1,106,121)
DISTRIBUTIONS TO SHAREHOLDERS FROM:              
Investment operations
  (824,801)    (23,250)    (1,875,162)    (1,542,537)
Return of capital
  —    —    —    —
Total distributions to shareholders
 (824,801)   (23,250)   (1,875,162)   (1,542,537)
SHAREHOLDER TRANSACTIONS:              
Proceeds from shares sold
  66,917,813    —    6,345,850    38,930,895
Proceeds from shares issued through reorganization
  —    —    —    —
Cost of shares redeemed
 (19,693,610)    —    (20,420,756)    (87,739,709)
Net increase (decrease) in net assets resulting from shareholder transactions
 47,224,203   —   (14,074,906)   (48,808,814)
Total increase (decrease) in net assets
  58,820,559    356,881    2,589,205    (51,457,472)
NET ASSETS:              
Beginning of period
  3,882,771    3,525,890    97,353,621    148,811,093
End of period
 $ 62,703,330   $ 3,882,771   $ 99,942,826   $ 97,353,621
CHANGES IN SHARES OUTSTANDING:              
Shares outstanding, beginning of period
  100,002    100,002    1,600,002    2,750,002
Shares sold
  1,600,000    —    100,000    700,000
Shares issued through reorganization
 —    —    —    —
Shares redeemed
  (400,000)    —    (300,000)    (1,850,000)
Shares outstanding, end of period
 1,300,002   100,002   1,400,002   1,600,002
Page 104
See Notes to Financial Statements
Table of Contents
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)
Year
Ended
12/31/2021 		  Year
Ended
12/31/2020 		  Year
Ended
12/31/2021 		  Year
Ended
12/31/2020 		  Year
Ended
12/31/2021 		  Year
Ended
12/31/2020
                     
$ 145,363   $ 97,852   $ 5,574,164   $ 3,383,287   $ 899,396   $ 428,200
1,706,019    (128,785)    29,064,086    (16,102,640)    4,839,728    (4,815,016)
(856,439)    640,380    (30,029,448)    13,853,642    (3,425,251)    1,694,089
994,943   609,447   4,608,802   1,134,289   2,313,873   (2,692,727)
                     
(347,513)    (171,922)    (8,877,525)    (5,008,472)    (1,009,147)    (459,891)
—    —    —    —    —    —
(347,513)   (171,922)   (8,877,525)   (5,008,472)   (1,009,147)   (459,891)
                     
9,293,815    —    25,725,874    35,128,829    68,170,224    —
—    —    —    —    —    —
(4,668,214)    (1,651,366)    (31,008,175)    (41,677,798)    (15,702,337)    (22,629,210)
4,625,601   (1,651,366)   (5,282,301)   (6,548,969)   52,467,887   (22,629,210)
5,273,031    (1,213,841)    (9,551,024)    (10,423,152)    53,772,613    (25,781,828)
                     
8,543,772    9,757,613    152,581,090    163,004,242    27,362,740    53,144,568
$13,816,803   $ 8,543,772   $ 143,030,066   $ 152,581,090   $ 81,135,353   $ 27,362,740
                     
200,002    250,002    3,700,002    4,150,002    650,002    1,300,002
200,000    —    550,000    1,000,000    1,450,000    —
—    —    —    —    —    —
(100,000)    (50,000)    (700,000)    (1,450,000)    (350,000)    (650,000)
300,002   200,002   3,550,002   3,700,002   1,750,002   650,002
See Notes to Financial Statements
Page 105
Table of Contents
First Trust Exchange-Traded AlphaDEX® Fund II
Financial Highlights
For a share outstanding throughout each period
First Trust Asia Pacific ex-Japan AlphaDEX® Fund (FPA)  
  Year Ended December 31,
2021   2020   2019   2018   2017
Net asset value, beginning of period
 $ 32.25   $ 28.57   $ 27.65   $ 35.73   $ 27.16
Income from investment operations:                  
Net investment income (loss)
 1.28   0.58   0.63   0.40   0.93
Net realized and unrealized gain (loss)
 (0.37)   3.61   1.40   (7.72)   8.76
Total from investment operations
 0.91   4.19   2.03   (7.32)   9.69
Distributions paid to shareholders from:                  
Net investment income
 (1.59)   (0.51)   (1.09)   (0.69)   (1.12)
Return of capital
 —   —   (0.02)   (0.07)   —
Total distributions
 (1.59)   (0.51)   (1.11)   (0.76)   (1.12)
Net asset value, end of period
 $31.57   $32.25   $28.57   $27.65   $35.73
Total return (a)
 2.75%   14.89%   7.35%   (20.71)%   35.93%
Ratios to average net assets/supplemental data:                  
Net assets, end of period (in 000’s)
 $ 25,258   $ 17,736   $ 19,997   $ 30,419   $ 58,959
Ratio of total expenses to average net assets
 0.80%   0.80%   0.80%   0.80%   0.80%
Ratio of net investment income (loss) to average net assets
 4.03%   2.33%   2.64%   1.68%   2.95%
Portfolio turnover rate (b)
 102%   103%   101%   88%   94%
    
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year.
(b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions.
Page 106
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Table of Contents
First Trust Exchange-Traded AlphaDEX® Fund II
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Europe AlphaDEX® Fund (FEP)  
  Year Ended December 31,
2021   2020   2019   2018   2017
Net asset value, beginning of period
 $ 38.50   $ 37.64   $ 31.11   $ 39.07   $ 29.32
Income from investment operations:                  
Net investment income (loss)
 1.05   0.42   0.87   0.84   0.49
Net realized and unrealized gain (loss)
 5.26   1.32   6.65   (7.99)   9.90
Total from investment operations
 6.31   1.74   7.52   (7.15)   10.39
Distributions paid to shareholders from:                  
Net investment income
 (1.50)   (0.88)   (0.99)   (0.81)   (0.64)
Net asset value, end of period
 $43.31   $38.50   $37.64   $31.11   $39.07
Total return (a)
 16.53%   4.95%   24.38%   (18.67)%   35.67%
Ratios to average net assets/supplemental data:                  
Net assets, end of period (in 000’s)
 $ 573,909   $ 442,765   $ 511,890   $ 592,586   $ 707,087
Ratio of total expenses to average net assets
 0.80%   0.80%   0.80%   0.80%   0.80%
Ratio of net investment income (loss) to average net assets
 2.33%   1.32%   2.49%   2.30%   1.39%
Portfolio turnover rate (b)
 105%   109%   102%   99%   100%
    
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year.
(b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions.
See Notes to Financial Statements
Page 107
Table of Contents
First Trust Exchange-Traded AlphaDEX® Fund II
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Latin America AlphaDEX® Fund (FLN)  
  Year Ended December 31,
2021   2020   2019   2018   2017
Net asset value, beginning of period
 $ 19.43   $ 22.67   $ 18.33   $ 20.43   $ 18.74
Income from investment operations:                  
Net investment income (loss)
 0.89   0.52   0.48   0.52   1.56
Net realized and unrealized gain (loss)
 (2.16)   (3.44)   4.29   (2.06)   2.23
Total from investment operations
 (1.27)   (2.92)   4.77   (1.54)   3.79
Distributions paid to shareholders from:                  
Net investment income
 (0.81)   (0.20)   (0.43)   (0.51)   (2.10)
Return of capital
 —   (0.12)   —   (0.05)   —
Total distributions
 (0.81)   (0.32)   (0.43)   (0.56)   (2.10)
Net asset value, end of period
 $17.35   $19.43   $22.67   $18.33   $20.43
Total return (a)
 (6.66)%   (12.32)%   26.26%   (7.50)%   20.50%
Ratios to average net assets/supplemental data:                  
Net assets, end of period (in 000’s)
 $ 7,805   $ 13,599   $ 131,463   $ 17,418   $ 17,363
Ratio of total expenses to average net assets
 0.80%   0.80%   0.80%   0.80%   0.82% (b)
Ratio of net investment income (loss) to average net assets
 4.28%   0.81%   2.02%   2.46%   3.02%
Portfolio turnover rate (c)
 91%   34%   165%   158%   187%
    
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year.
(b) Includes excise tax. If this excise tax was not included, the expense ratio would have been 0.80%.
(c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions.
Page 108
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Table of Contents
First Trust Exchange-Traded AlphaDEX® Fund II
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Brazil AlphaDEX® Fund (FBZ)  
  Year Ended December 31,
2021   2020   2019   2018   2017
Net asset value, beginning of period
 $ 13.39   $ 17.24   $ 13.38   $ 15.51   $ 13.93
Income from investment operations:                  
Net investment income (loss)
 0.94   0.09   0.35   0.55   2.46
Net realized and unrealized gain (loss)
 (2.08)   (3.60)   5.08   (0.97)   1.06
Total from investment operations
 (1.14)   (3.51)   5.43   (0.42)   3.52
Distributions paid to shareholders from:                  
Net investment income
 (0.78)   (0.28)   (1.57)   (0.54)   (1.77)
Net realized gain
 —   —   —   (1.17)   (0.17)
Return of capital
 —   (0.06)   —   —   —
Total distributions
 (0.78)   (0.34)   (1.57)   (1.71)   (1.94)
Net asset value, end of period
 $11.47   $13.39   $17.24   $13.38   $15.51
Total return (a)
 (9.00)%   (19.48)%   41.06%   (1.17)%   25.91%
Ratios to average net assets/supplemental data:                  
Net assets, end of period (in 000’s)
 $ 12,039   $ 9,373   $ 116,374   $ 129,081   $ 9,308
Ratio of total expenses to average net assets
 0.80%   0.80%   0.80%   0.80%   0.84% (b)
Ratio of net investment income (loss) to average net assets
 7.36%   0.72%   2.15%   6.84%   3.19%
Portfolio turnover rate (c)
 225%   154%   90%   128%   159%
    
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year.
(b) Includes excise tax. If this excise tax was not included, the expense ratio would have been 0.80%.
(c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions.
See Notes to Financial Statements
Page 109
Table of Contents
First Trust Exchange-Traded AlphaDEX® Fund II
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust China AlphaDEX® Fund (FCA)  
  Year Ended December 31,
2021   2020   2019   2018   2017
Net asset value, beginning of period
 $ 29.16   $ 26.87   $ 23.81   $ 29.77   $ 19.28
Income from investment operations:                  
Net investment income (loss)
 1.22   1.22   1.03   0.84   0.47
Net realized and unrealized gain (loss)
 (1.47)   2.26   3.03   (6.07)   10.70
Total from investment operations
 (0.25)   3.48   4.06   (5.23)   11.17
Distributions paid to shareholders from:                  
Net investment income
 (1.34)   (1.19)   (1.00)   (0.73)   (0.68)
Net asset value, end of period
 $27.57   $29.16   $26.87   $23.81   $29.77
Total return (a)
 (1.18)%   13.58%   17.34%   (17.87)%   58.35%
Ratios to average net assets/supplemental data:                  
Net assets, end of period (in 000’s)
 $ 9,649   $ 13,121   $ 9,403   $ 7,142   $ 7,443
Ratio of total expenses to average net assets
 0.80%   0.80%   0.80%   0.80%   0.80%
Ratio of net investment income (loss) to average net assets
 3.66%   5.16%   4.21%   2.90%   1.69%
Portfolio turnover rate (b)
 166%   83%   111%   97%   69%
    
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year.
(b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions.
Page 110
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Table of Contents
First Trust Exchange-Traded AlphaDEX® Fund II
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Japan AlphaDEX® Fund (FJP)  
  Year Ended December 31,
2021   2020   2019   2018   2017
Net asset value, beginning of period
 $ 51.42   $ 51.10   $ 48.55   $ 59.80   $ 47.85
Income from investment operations:                  
Net investment income (loss)
 0.81   0.49   1.12   0.79   0.64
Net realized and unrealized gain (loss)
 (1.16)   0.34   2.84   (11.30)   12.08
Total from investment operations
 (0.35)   0.83   3.96   (10.51)   12.72
Distributions paid to shareholders from:                  
Net investment income
 (1.21)   (0.51)   (1.41)   (0.74)   (0.77)
Net asset value, end of period
 $49.86   $51.42   $51.10   $48.55   $59.80
Total return (a)
 (0.69)%   1.71%   8.27%   (17.66)%   26.70%
Ratios to average net assets/supplemental data:                  
Net assets, end of period (in 000’s)
 $ 34,901   $ 41,136   $ 76,647   $ 152,934   $ 83,718
Ratio of total expenses to average net assets
 0.80%   0.80%   0.80%   0.80%   0.80%
Ratio of net investment income (loss) to average net assets
 1.53%   1.13%   1.90%   1.34%   1.22%
Portfolio turnover rate (b)
 126%   136%   127%   90%   101%
    
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year.
(b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions.
See Notes to Financial Statements
Page 111
Table of Contents
First Trust Exchange-Traded AlphaDEX® Fund II
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Developed Markets ex-US AlphaDEX® Fund (FDT)  
  Year Ended December 31,
2021   2020   2019   2018   2017
Net asset value, beginning of period
 $ 56.88   $ 55.79   $ 49.24   $ 62.31   $ 47.43
Income from investment operations:                  
Net investment income (loss)
 1.52   0.68   1.19   1.04   0.88
Net realized and unrealized gain (loss)
 4.55   1.78   6.91   (13.06)   14.98
Total from investment operations
 6.07   2.46   8.10   (12.02)   15.86
Distributions paid to shareholders from:                  
Net investment income
 (2.31)   (1.37)   (1.55)   (1.01)   (0.98)
Return of capital
 —   —   —   (0.04)   —
Total distributions
 (2.31)   (1.37)   (1.55)   (1.05)   (0.98)
Net asset value, end of period
 $60.64   $56.88   $55.79   $49.24   $62.31
Total return (a)
 10.70%   4.61%   16.56%   (19.52)%   33.57%
Ratios to average net assets/supplemental data:                  
Net assets, end of period (in 000’s)
 $ 414,579   $ 360,418   $ 691,886   $ 940,633   $ 810,194
Ratio of total expenses to average net assets
 0.80%   0.80%   0.80%   0.80%   0.80%
Ratio of net investment income (loss) to average net assets
 2.42%   1.39%   2.13%   1.76%   1.85%
Portfolio turnover rate (b)
 111%   117%   107%   109%   104%
    
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year.
(b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions.
Page 112
See Notes to Financial Statements
Table of Contents
First Trust Exchange-Traded AlphaDEX® Fund II
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Emerging Markets AlphaDEX® Fund (FEM)  
  Year Ended December 31,
2021   2020   2019   2018   2017
Net asset value, beginning of period
 $ 25.31   $ 26.36   $ 22.80   $ 27.84   $ 20.50
Income from investment operations:                  
Net investment income (loss)
 1.11   0.63   0.88   0.88   0.59
Net realized and unrealized gain (loss)
 0.90   (1.00)   3.56   (5.12)   7.43
Total from investment operations
 2.01   (0.37)   4.44   (4.24)   8.02
Distributions paid to shareholders from:                  
Net investment income
 (1.08)   (0.68)   (0.88)   (0.80)   (0.68)
Net asset value, end of period
 $26.24   $25.31   $26.36   $22.80   $27.84
Total return (a)
 7.90%   (0.92)%   19.81%   (15.48)%   39.43%
Ratios to average net assets/supplemental data:                  
Net assets, end of period (in 000’s)
 $ 436,915   $ 441,711   $ 644,615   $ 452,607   $ 449,663
Ratio of total expenses to average net assets
 0.80%   0.80%   0.80%   0.80%   0.80%
Ratio of net investment income (loss) to average net assets
 4.03%   2.53%   3.61%   3.37%   2.69%
Portfolio turnover rate (b)
 119%   111%   122%   103%   101%
    
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year.
(b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions.
See Notes to Financial Statements
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Table of Contents
First Trust Exchange-Traded AlphaDEX® Fund II
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Germany AlphaDEX® Fund (FGM)  
  Year Ended December 31,
2021   2020   2019   2018   2017
Net asset value, beginning of period
 $ 51.56   $ 44.39   $ 37.57   $ 51.26   $ 36.47
Income from investment operations:                  
Net investment income (loss)
 0.91   0.68   1.02   0.72   1.00
Net realized and unrealized gain (loss)
 2.08   7.17   6.82   (13.59)   14.87
Total from investment operations
 2.99   7.85   7.84   (12.87)   15.87
Distributions paid to shareholders from:                  
Net investment income
 (0.77)   (0.68)   (1.02)   (0.82)   (1.08)
Net asset value, end of period
 $53.78   $51.56   $44.39   $37.57   $51.26
Total return (a)
 5.74%   17.90%   21.06%   (25.40)%   43.96%
Ratios to average net assets/supplemental data:                  
Net assets, end of period (in 000’s)
 $ 99,497   $ 95,381   $ 144,261   $ 139,022   $ 258,845
Ratio of total expenses to average net assets
 0.80%   0.80%   0.80%   0.80%   0.80%
Ratio of net investment income (loss) to average net assets
 1.67%   1.40%   2.48%   1.66%   2.38%
Portfolio turnover rate (b)
 80%   106%   99%   81%   82%
    
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year.
(b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions.
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Table of Contents
First Trust Exchange-Traded AlphaDEX® Fund II
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust United Kingdom AlphaDEX® Fund (FKU)  
  Year Ended December 31,
2021   2020   2019   2018   2017
Net asset value, beginning of period
 $ 38.06   $ 40.99   $ 32.11   $ 39.97   $ 32.85
Income from investment operations:                  
Net investment income (loss)
 1.29   0.58   1.34   1.13   1.15
Net realized and unrealized gain (loss)
 5.93   (2.95)   8.91   (7.35)   7.14
Total from investment operations
 7.22   (2.37)   10.25   (6.22)   8.29
Distributions paid to shareholders from:                  
Net investment income
 (1.31)   (0.56)   (1.37)   (1.64)   (1.17)
Net asset value, end of period
 $43.97   $38.06   $40.99   $32.11   $39.97
Total return (a)
 19.10%   (5.25)%   32.36%   (16.16)%   25.53%
Ratios to average net assets/supplemental data:                  
Net assets, end of period (in 000’s)
 $ 98,943   $ 19,030   $ 18,444   $ 9,632   $ 17,986
Ratio of total expenses to average net assets
 0.80%   0.80%   0.80%   0.80%   0.80%
Ratio of net investment income (loss) to average net assets
 3.34%   1.72%   3.58%   2.81%   2.87%
Portfolio turnover rate (b)
 45%   109%   73%   107%   98%
    
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year.
(b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions.
See Notes to Financial Statements
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First Trust Exchange-Traded AlphaDEX® Fund II
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust India NIFTY 50 Equal Weight ETF (NFTY)  
  Year Ended December 31,
2021   2020   2019   2018   2017
Net asset value, beginning of period
 $ 38.83   $ 35.26   $ 35.35   $ 36.33   $ 30.87
Income from investment operations:                  
Net investment income (loss)
 0.48   0.30   0.26   0.23   0.87
Net realized and unrealized gain (loss)
 9.65   3.50   (0.01)   (1.21)   6.06
Total from investment operations
 10.13   3.80   0.25   (0.98)   6.93
Distributions paid to shareholders from:                  
Net investment income
 (0.73)   (0.23)   (0.27)   (0.01)   (1.47)
Return of capital
 —   —   (0.07)   —   —
Total distributions
 (0.73)   (0.23)   (0.34)   —   (1.47)
Net asset value, end of period
 $48.23   $38.83   $35.26   $35.35   $36.33
Total return (a)
 26.15%   10.66%   0.71%   (2.67)% (b)   22.54%
Ratios to average net assets/supplemental data:                  
Net assets, end of period (in 000’s)
 $ 62,703   $ 3,883   $ 3,526   $ 3,535   $ 3,633
Ratio of total expenses to average net assets
 0.80%   0.80%   0.80%   0.80%   0.80%
Ratio of net investment income (loss) to average net assets
 0.95%   0.98%   0.74%   0.77%   2.45%
Portfolio turnover rate (c)
 57%   38%   24%   156% (d)   64%
    
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year.
(b) The Fund received a reimbursement from the advisor in the amount of $7,227, which represents less than $0.01 per share. Since the advisor reimbursed the Fund, there was no effect on the Fund’s total return.
(c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions.
(d) The variation in the portfolio turnover rate is due to the change in the Fund’s underlying index effective April 17, 2018 which resulted in a complete rebalance of the Fund’s portfolio.
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Table of Contents
First Trust Exchange-Traded AlphaDEX® Fund II
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Switzerland AlphaDEX® Fund (FSZ)  
  Year Ended December 31,
2021   2020   2019   2018   2017
Net asset value, beginning of period
 $ 60.85   $ 54.11   $ 43.89   $ 52.73   $ 40.82
Income from investment operations:                  
Net investment income (loss)
 0.78   0.88   1.07   0.82   0.66
Net realized and unrealized gain (loss)
 10.92   6.78   10.24   (8.66)   12.03
Total from investment operations
 11.70   7.66   11.31   (7.84)   12.69
Distributions paid to shareholders from:                  
Net investment income
 (1.16)   (0.92)   (1.09)   (0.84)   (0.78)
Return of capital
 —   —   —   (0.16)   —
Total distributions
 (1.16)   (0.92)   (1.09)   (1.00)   (0.78)
Net asset value, end of period
 $71.39   $60.85   $54.11   $43.89   $52.73
Total return (a)
 19.34%   14.50%   25.91%   (15.11)%   31.26%
Ratios to average net assets/supplemental data:                  
Net assets, end of period (in 000’s)
 $ 99,943   $ 97,354   $ 148,811   $ 151,409   $ 237,288
Ratio of total expenses to average net assets
 0.80%   0.80%   0.80%   0.80%   0.80%
Ratio of net investment income (loss) to average net assets
 1.25%   1.59%   2.24%   1.79%   1.43%
Portfolio turnover rate (b)
 66%   86%   77%   65%   50%
    
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year.
(b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions.
See Notes to Financial Statements
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First Trust Exchange-Traded AlphaDEX® Fund II
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund (FDTS)  
  Year Ended December 31,
2021   2020   2019   2018   2017
Net asset value, beginning of period
 $ 42.72   $ 39.03   $ 33.54   $ 44.89   $ 33.70
Income from investment operations:                  
Net investment income (loss)
 0.74   0.46   0.61   0.58   0.71
Net realized and unrealized gain (loss)
 3.99   4.09   5.77   (11.28)   11.41
Total from investment operations
 4.73   4.55   6.38   (10.70)   12.12
Distributions paid to shareholders from:                  
Net investment income
 (1.39)   (0.86)   (0.89)   (0.62)   (0.93)
Return of capital
 —   —   —   (0.03)   —
Total distributions
 (1.39)   (0.86)   (0.89)   (0.65)   (0.93)
Net asset value, end of period
 $46.06   $42.72   $39.03   $33.54   $44.89
Total return (a)
 11.09%   12.18%   19.13%   (24.03)%   36.23%
Ratios to average net assets/supplemental data:                  
Net assets, end of period (in 000’s)
 $ 13,817   $ 8,544   $ 9,758   $ 10,063   $ 8,977
Ratio of total expenses to average net assets
 0.80%   0.80%   0.80%   0.80%   0.80%
Ratio of net investment income (loss) to average net assets
 1.46%   1.35%   1.66%   1.30%   1.80%
Portfolio turnover rate (b)
 116%   127%   119%   142%   111%
    
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year.
(b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions.
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Table of Contents
First Trust Exchange-Traded AlphaDEX® Fund II
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Emerging Markets Small Cap AlphaDEX® Fund (FEMS)  
  Year Ended December 31,
2021   2020   2019   2018   2017
Net asset value, beginning of period
 $ 41.24   $ 39.28   $ 32.44   $ 43.02   $ 30.42
Income from investment operations:                  
Net investment income (loss)
 1.57   0.74   1.11   1.19   1.11
Net realized and unrealized gain (loss)
 (0.01)   2.41   7.46   (10.26)   12.96
Total from investment operations
 1.56   3.15   8.57   (9.07)   14.07
Distributions paid to shareholders from:                  
Net investment income
 (2.51)   (1.19)   (1.73)   (1.44)   (1.26)
Net realized gain
 —   —   —   (0.07)   (0.21)
Total distributions
 (2.51)   (1.19)   (1.73)   (1.51)   (1.47)
Net asset value, end of period
 $40.29   $41.24   $39.28   $32.44   $43.02
Total return (a)
 3.68%   8.73%   26.90%   (21.42)%   46.57%
Ratios to average net assets/supplemental data:                  
Net assets, end of period (in 000’s)
 $ 143,030   $ 152,581   $ 163,004   $ 157,326   $ 271,055
Ratio of total expenses to average net assets
 0.80%   0.80%   0.80%   0.80%   0.80%
Ratio of net investment income (loss) to average net assets
 3.65%   2.38%   2.88%   3.02%   3.26%
Portfolio turnover rate (b)
 127%   123%   127%   126%   113%
    
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year.
(b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions.
See Notes to Financial Statements
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Table of Contents
First Trust Exchange-Traded AlphaDEX® Fund II
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Eurozone AlphaDEX® ETF (FEUZ)  
  Year Ended December 31,
2021   2020   2019   2018   2017
Net asset value, beginning of period
 $ 42.10   $ 40.88   $ 34.43   $ 43.81   $ 32.64
Income from investment operations:                  
Net investment income (loss)
 1.10   0.50   0.73   0.80   0.47
Net realized and unrealized gain (loss)
 4.32   1.34   6.51   (9.34)   11.26
Total from investment operations
 5.42   1.84   7.24   (8.54)   11.73
Distributions paid to shareholders from:                  
Net investment income
 (1.16)   (0.62)   (0.79)   (0.84)   (0.56)
Net asset value, end of period
 $46.36   $42.10   $40.88   $34.43   $43.81
Total return (a)
 12.90%   4.69%   21.15%   (19.82)%   36.19%
Ratios to average net assets/supplemental data:                  
Net assets, end of period (in 000’s)
 $ 81,135   $ 27,363   $ 53,145   $ 49,925   $ 39,425
Ratio of total expenses to average net assets
 0.80%   0.80%   0.80%   0.80%   0.80%
Ratio of net investment income (loss) to average net assets
 2.27%   1.26%   1.96%   2.10%   0.96%
Portfolio turnover rate (b)
 59%   93%   87%   90%   77%
    
(a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year.
(b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions.
Page 120
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Table of Contents
Notes to Financial Statements
First Trust Exchange-Traded AlphaDEX® Fund II
December 31, 2021
1. Organization
First Trust Exchange-Traded AlphaDEX® Fund II (the “Trust”) is an open-end management investment company organized as a Massachusetts business trust on December 3, 2010, and is registered with the Securities and Exchange Commission (“SEC”) under the Investment Company Act of 1940, as amended (the “1940 Act”).
The Trust currently consists of the following fifteen funds (each a “Fund” and collectively, the “Funds”). The shares of each Fund are listed and traded on The Nasdaq Stock Market LLC (“Nasdaq”).
First Trust Asia Pacific ex-Japan AlphaDEX® Fund – (ticker “FPA”)
First Trust Europe AlphaDEX® Fund – (ticker “FEP”)
First Trust Latin America AlphaDEX® Fund – (ticker “FLN”)
First Trust Brazil AlphaDEX® Fund – (ticker “FBZ”)
First Trust China AlphaDEX® Fund – (ticker “FCA”)
First Trust Japan AlphaDEX® Fund – (ticker “FJP”)
First Trust Developed Markets ex-US AlphaDEX® Fund – (ticker “FDT”)
First Trust Emerging Markets AlphaDEX® Fund – (ticker “FEM”)
First Trust Germany AlphaDEX® Fund – (ticker “FGM”)
First Trust United Kingdom AlphaDEX® Fund – (ticker “FKU”)
First Trust India NIFTY 50 Equal Weight ETF – (ticker “NFTY”)
First Trust Switzerland AlphaDEX® Fund – (ticker “FSZ”)
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund – (ticker “FDTS”)
First Trust Emerging Markets Small Cap AlphaDEX® Fund – (ticker “FEMS”)
First Trust Eurozone AlphaDEX® ETF – (ticker “FEUZ”)
Each Fund represents a separate series of beneficial interest in the Trust. Unlike conventional mutual funds, each Fund issues and redeems shares on a continuous basis, at net asset value (“NAV”), only in large blocks of shares known as “Creation Units.” The investment objective of each Fund is to seek investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of the following indices:
Fund Index
First Trust Asia Pacific ex-Japan AlphaDEX® Fund NASDAQ AlphaDEX® Asia Pacific Ex-Japan Index
First Trust Europe AlphaDEX® Fund NASDAQ AlphaDEX® Europe Index
First Trust Latin America AlphaDEX® Fund NASDAQ AlphaDEX® Latin America Index
First Trust Brazil AlphaDEX® Fund NASDAQ AlphaDEX® Brazil Index
First Trust China AlphaDEX® Fund NASDAQ AlphaDEX® China Index
First Trust Japan AlphaDEX® Fund NASDAQ AlphaDEX® Japan Index
First Trust Developed Markets ex-US AlphaDEX® Fund NASDAQ AlphaDEX® Developed Markets Ex-US Index
First Trust Emerging Markets AlphaDEX® Fund NASDAQ AlphaDEX® Emerging Markets Index
First Trust Germany AlphaDEX® Fund NASDAQ AlphaDEX® Germany Index
First Trust United Kingdom AlphaDEX® Fund NASDAQ AlphaDEX® United Kingdom Index
First Trust India NIFTY 50 Equal Weight ETF NIFTY 50 Equal Weight Index
First Trust Switzerland AlphaDEX® Fund NASDAQ AlphaDEX® Switzerland Index
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund NASDAQ AlphaDEX® Developed Markets Ex-US Small Cap Index
First Trust Emerging Markets Small Cap AlphaDEX® Fund NASDAQ AlphaDEX® Emerging Markets Small Cap Index
First Trust Eurozone AlphaDEX® ETF NASDAQ AlphaDEX® Eurozone Index
2. Significant Accounting Policies
The Funds are each considered an investment company and follow accounting and reporting guidance under Financial Accounting Standards Board Accounting Standards Codification Topic 946, “Financial Services-Investment Companies.” The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of the financial statements. The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
A. Portfolio Valuation
Each Fund’s NAV is determined daily as of the close of regular trading on the New York Stock Exchange (“NYSE”), normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. If the NYSE closes early on a valuation day, the NAV is determined as of that time. Foreign securities are priced using data reflecting the earlier closing of the principal markets for those securities. Each
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First Trust Exchange-Traded AlphaDEX® Fund II
December 31, 2021
Fund’s NAV is calculated by dividing the value of all assets of each Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding.
Each Fund’s investments are valued daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value. Market value prices represent last sale or official closing prices from a national or foreign exchange (i.e., a regulated market) and are primarily obtained from third-party pricing services. Fair value prices represent any prices not considered market value prices and are either obtained from a third-party pricing service or are determined by the Pricing Committee of the Funds’ investment advisor, First Trust Advisors L.P. (“First Trust” or the “Advisor”), in accordance with valuation procedures adopted by the Trust’s Board of Trustees, and in accordance with provisions of the 1940 Act. Investments valued by the Advisor’s Pricing Committee, if any, are footnoted as such in the footnotes to the Portfolio of Investments. Each Fund’s investments are valued as follows:
Common stocks, real estate investment trusts (“REITs”), and other equity securities listed on any national or foreign exchange (excluding Nasdaq and the London Stock Exchange Alternative Investment Market (“AIM”)) are valued at the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the securities exchange representing the principal market for such securities.
Securities trading on foreign exchanges or over-the-counter markets that close prior to the NYSE close may be valued using a systematic fair valuation model provided by a third-party pricing service. If these foreign securities meet certain criteria in relation to the valuation model, their valuation is systematically adjusted to reflect the impact of movement in the U.S. market after the close of the foreign markets.
Shares of open-end funds are valued at fair value which is based on NAV per share.
Securities traded in an over-the-counter market are fair valued at the mean of their most recent bid and asked price, if available, and otherwise at their closing bid price.
Overnight repurchase agreements are valued at amortized cost when it represents the best estimate of fair value.
Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Trust’s Board of Trustees or its delegate, the Advisor’s Pricing Committee, at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a third-party pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market or fair value price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund’s NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the third-party pricing service, does not reflect the security’s fair value. As a general principle, the current fair value of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. When fair value prices are used, generally they will differ from market quotations or official closing prices on the applicable exchanges. A variety of factors may be considered in determining the fair value of such securities, including, but not limited to, the following:
1) the type of security;
2) the size of the holding;
3) the initial cost of the security;
4) transactions in comparable securities;
5) price quotes from dealers and/or third-party pricing services;
6) relationships among various securities;
7) information obtained by contacting the issuer, analysts, or the appropriate stock exchange;
8) an analysis of the issuer’s financial statements; and
9) the existence of merger proposals or tender offers that might affect the value of the security.
If the securities in question are foreign securities, the following additional information may be considered:
1) the value of similar foreign securities traded on other foreign markets;
2) ADR trading of similar securities;
3) closed-end fund or exchange-traded fund trading of similar securities;
4) foreign currency exchange activity;
5) the trading prices of financial products that are tied to baskets of foreign securities;
6) factors relating to the event that precipitated the pricing problem;
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First Trust Exchange-Traded AlphaDEX® Fund II
December 31, 2021
7) whether the event is likely to recur; and
8) whether the effects of the event are isolated or whether they affect entire markets, countries or regions.
In addition, differences between the prices used to calculate a Fund’s NAV and the prices used by such Fund’s corresponding index could result in a difference between a Fund’s performance and the performance of its underlying index.
Because foreign markets may be open on different days than the days during which investors may transact in the shares of a Fund, the value of the Fund’s securities may change on the days when investors are not able to transact in the shares of the Fund. The value of securities denominated in foreign currencies is converted into U.S. dollars using exchange rates determined daily as of the close of regular trading on the NYSE. Any use of a different rate from the rates used by a relevant index may adversely affect the Fund’s ability to track the index.
The Funds are subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows:
• Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis.
• Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following:
o Quoted prices for similar investments in active markets.
o Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly.
o Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates).
o Inputs that are derived principally from or corroborated by observable market data by correlation or other means.
• Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment.
The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value each Fund’s investments as of December 31, 2021, is included with each Fund’s Portfolio of Investments.
B. Securities Transactions and Investment Income
Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date except that certain dividends from foreign securities are recorded as soon as the information becomes available after the ex-dividend date. Interest income, if any, is recorded on the accrual basis.
Withholding taxes and tax reclaims on foreign dividends have been provided for in accordance with each Fund’s understanding of the applicable country’s tax rules and rates.
Distributions received from a Fund’s investments in REITs may be comprised of return of capital, capital gains, and income. The actual character of the amounts received during the year are not known until after the REITs’ fiscal year end. A Fund records the character of distributions received from the REITs during the year based on estimates available. The characterization of distributions received by a Fund may be subsequently revised based on information received from the REITs after their tax reporting periods conclude.
C. Restricted Securities
NFTY invests in restricted securities, which are securities that may not be offered for public sale without first being registered under the 1933 Act. Prior to registration, restricted securities may only be resold in transactions exempt from registration under Rule 144A under the 1933 Act, normally to qualified institutional buyers. As of December 31, 2021, NFTY held restricted securities as shown in the following table that the Advisor has deemed illiquid pursuant to procedures adopted by the Trust’s Board of Trustees. Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security-specific factors and assumptions, which require subjective judgment. NFTY does not have the right to demand that such
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December 31, 2021
securities be registered. These securities are valued according to the valuation procedures as stated in the Portfolio Valuation note (Note 2A) and are not expressed as a discount to the carrying value of a comparable unrestricted security. There are no unrestricted securities with the same maturity dates and yields for these issuers.
Security Acquisition
Date 		Principal
Value/Shares 		Current Price Carrying
Cost 		Value % of
Net
Assets
YES Bank Ltd. Lock-In 03/18/20 75,422 $0.18 $36,638 $13,900 0.02%
D. Foreign Currency
The books and records of the Funds are maintained in U.S. dollars. Foreign currencies, investments and other assets and liabilities are translated into U.S. dollars at the exchange rates prevailing at the end of the period. Purchases and sales of investments and items of income and expense are translated on the respective dates of such transactions. Unrealized gains and losses on assets and liabilities, other than investments in securities, which result from changes in foreign currency exchange rates have been included in “Net change in unrealized appreciation (depreciation) on foreign currency translation” on the Statements of Operations. Unrealized gains and losses on investments in securities which result from changes in foreign exchange rates are included with fluctuations arising from changes in market price and are included in “Net change in unrealized appreciation (depreciation) on investments” on the Statements of Operations. Net realized foreign currency gains and losses include the effect of changes in exchange rates between trade date and settlement date on investment security transactions, foreign currency transactions and interest and dividends received and are included in “Net realized gain (loss) on foreign currency transactions” on the Statements of Operations. The portion of foreign currency gains and losses related to fluctuations in exchange rates between the initial purchase settlement date and subsequent sale trade date is included in “Net realized gain (loss) on investments” on the Statements of Operations.
E. Offsetting on the Statements of Assets and Liabilities
Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset on the Statements of Assets and Liabilities, and disclose instruments and transactions subject to master netting or similar agreements. These disclosure requirements are intended to help investors and other financial statement users better assess the effect or potential effect of offsetting arrangements on a Fund’s financial position. The transactions subject to offsetting disclosures are derivative instruments, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions.
This disclosure, if applicable, is included within each Fund’s Portfolio of Investments under the heading “Offsetting Assets and Liabilities.” For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting arrangements (“MNAs”) or similar agreements on the Statements of Assets and Liabilities. MNAs provide the right, in the event of default (including bankruptcy and insolvency), for the non-defaulting counterparty to liquidate the collateral and calculate the net exposure to the defaulting party or request additional collateral.
F. Securities Lending
The Funds may lend securities representing up to 33 1/3% of the value of their total assets to broker-dealers, banks and other institutions to generate additional income. When a Fund loans its portfolio securities, it will receive, at the inception of each loan, collateral equal to at least 102% (for domestic securities) or 105% (for international securities) of the market value of the loaned securities. The collateral amount is valued at the beginning of each business day and is compared to the market value of the loaned securities from the prior business day to determine if additional collateral is required. If additional collateral is required, a request is sent to the borrower. Securities lending involves the risk that the Fund may lose money because the borrower of the Fund’s loaned securities fails to return the securities in a timely manner or at all. The Fund could also lose money in the event of (i) a decline in the value of the collateral provided for the loaned securities, (ii) a decline in the value of any investments made with cash collateral or (iii) an increase in the value of the loaned securities if the borrower does not increase the collateral accordingly and the borrower fails to return the securities. These events could also trigger adverse tax consequences for the Funds.
Under the Funds’ Securities Lending Agency Agreement, the securities lending agent will generally bear the risk that a borrower may default on its obligation to return loaned securities. Brown Brothers Harriman & Co. (“BBH”) acts as the Funds’ securities lending agent and is responsible for executing the lending of the portfolio securities to creditworthy borrowers. The Funds, however, will be responsible for the risks associated with the investment of cash collateral. A Fund may lose money on its investment of cash collateral, which may affect its ability to repay the collateral to the borrower without the use of other Fund assets. Each Fund that engages in securities lending receives compensation (net of any rebate and securities lending agent fees) for lending its securities. Compensation can be in the form of fees received from the securities lending agent or dividends or interest earned from the investment of cash collateral. The fees received from the securities lending agent are accrued daily. The dividend and interest earned on the securities
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December 31, 2021
loaned is accounted for in the same manner as other dividend and interest income. At December 31, 2021, FPA, FEP, FCA, FJP, FDT, FEM, FGM, FDTS, FEMS, and FEUZ had securities in the securities lending program. During the fiscal year ended December 31, 2021, FPA, FEP, FCA, FJP, FDT, FEM, FGM, FDTS, FEMS and FEUZ participated in the securities lending program.
In the event of a default by a borrower with respect to any loan, BBH will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If, despite such efforts by BBH to exercise these remedies, a Fund sustains losses as a result of a borrower’s default, BBH will indemnify the Fund by purchasing replacement securities at its own expense, or paying the Funds an amount equal to the market value of the replacement securities, subject to certain limitations which are set forth in detail in the Securities Lending Agency Agreement between the Trust on behalf of the Funds and BBH.
G. Repurchase Agreements
Repurchase agreements involve the purchase of securities subject to the seller’s agreement to repurchase the securities at a mutually agreed upon date and price, under the terms of a Master Repurchase Agreement (“MRA”). During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of a Fund, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. The underlying securities for all repurchase agreements are held at the Funds’ custodian or designated sub-custodians under tri-party repurchase agreements.
MRAs govern transactions between a Fund and select counterparties. The MRAs maintain provisions for, among other things, initiation, income payments, events of default, and maintenance of collateral for repurchase agreements.
Repurchase agreements received for lending securities are collateralized by U.S. Treasury securities. The U.S. Treasury securities are held in a joint custody account at BBH on behalf of the Funds participating in the securities lending program. In the event the counterparty defaults on the repurchase agreement, the U.S. Treasury securities can either be maintained as part of a Fund’s portfolio or sold for cash. A Fund could suffer a loss to the extent that the proceeds from the sale of the underlying collateral held by the Fund are less than the repurchase price and the Fund’s costs associated with the delay and enforcement of the MRA.
While the Funds may invest in repurchase agreements, any repurchase agreements held by the Funds during the fiscal year ended December 31, 2021, were received as collateral for lending securities.
H. Dividends and Distributions to Shareholders
Dividends from net investment income, if any, are declared and paid quarterly by each Fund, or as the Board of Trustees may determine from time to time. Distributions of net realized capital gains earned by each Fund, if any, are distributed at least annually.
Distributions from net investment income and realized capital gains are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These permanent differences are primarily due to the varying treatment of income and gain/loss on portfolio securities held by the Funds and have no impact on net assets or NAV per share. Temporary differences, which arise from recognizing certain items of income, expense and gain/loss in different periods for financial statement and tax purposes, will reverse at some time in the future.
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December 31, 2021
The tax character of distributions paid by each Fund during the fiscal year ended December 31, 2021, was as follows:
  Distributions
paid from
Ordinary
Income 		  Distributions
paid from
Capital
Gains 		  Distributions
paid from
Return of
Capital
First Trust Asia Pacific ex-Japan AlphaDEX® Fund
 $ 1,196,923   $ —   $ —
First Trust Europe AlphaDEX® Fund
  18,281,993    —    —
First Trust Latin America AlphaDEX® Fund
  400,317    —    —
First Trust Brazil AlphaDEX® Fund
  502,366    —    —
First Trust China AlphaDEX® Fund
  517,232    —    —
First Trust Japan AlphaDEX® Fund
  875,402    —    —
First Trust Developed Markets ex-US AlphaDEX® Fund
  15,144,146    —    —
First Trust Emerging Markets AlphaDEX® Fund
  19,810,512    —    —
First Trust Germany AlphaDEX® Fund
  1,500,281    —    —
First Trust United Kingdom AlphaDEX® Fund
  1,744,928    —    —
First Trust India NIFTY 50 Equal Weight ETF
  824,801    —    —
First Trust Switzerland AlphaDEX® Fund
  1,875,162    —    —
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund
  347,513    —    —
First Trust Emerging Markets Small Cap AlphaDEX® Fund
  8,877,525    —    —
First Trust Eurozone AlphaDEX® ETF
  1,009,147    —    —
The tax character of distributions paid by each Fund during the fiscal year ended December 31, 2020, was as follows:
  Distributions
paid from
Ordinary
Income 		  Distributions
paid from
Capital
Gains 		  Distributions
paid from
Return of
Capital
First Trust Asia Pacific ex-Japan AlphaDEX® Fund
 $ 287,331   $ —   $ —
First Trust Europe AlphaDEX® Fund
  10,100,757    —    —
First Trust Latin America AlphaDEX® Fund
  370,400    —    211,686
First Trust Brazil AlphaDEX® Fund
  909,571    —    202,915
First Trust China AlphaDEX® Fund
  2,184,797    —    —
First Trust Japan AlphaDEX® Fund
  529,021    —    —
First Trust Developed Markets ex-US AlphaDEX® Fund
  9,436,349    —    —
First Trust Emerging Markets AlphaDEX® Fund
  12,940,776    —    —
First Trust Germany AlphaDEX® Fund
  1,287,032    —    —
First Trust United Kingdom AlphaDEX® Fund
  269,856    —    —
First Trust India NIFTY 50 Equal Weight ETF
  23,250    —    —
First Trust Switzerland AlphaDEX® Fund
  1,542,537    —    —
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund
  171,922    —    —
First Trust Emerging Markets Small Cap AlphaDEX® Fund
  5,008,472    —    —
First Trust Eurozone AlphaDEX® ETF
  459,891    —    —
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First Trust Exchange-Traded AlphaDEX® Fund II
December 31, 2021
As of December 31, 2021, the components of distributable earnings on a tax basis for each Fund were as follows:
  Undistributed
Ordinary
Income 		  Accumulated
Capital and
Other
Gain (Loss) 		  Net
Unrealized
Appreciation
(Depreciation)
First Trust Asia Pacific ex-Japan AlphaDEX® Fund
 $ —   $ (13,350,617)   $ 1,090,445
First Trust Europe AlphaDEX® Fund
  369,361    (167,272,385)    42,925,572
First Trust Latin America AlphaDEX® Fund
  14,608    (41,263,993)    561,507
First Trust Brazil AlphaDEX® Fund
  152,930    (26,534,866)    (957,348)
First Trust China AlphaDEX® Fund
  —    (6,215,735)    (699,707)
First Trust Japan AlphaDEX® Fund
  46,909    (50,630,028)    (696,354)
First Trust Developed Markets ex-US AlphaDEX® Fund
  —    (263,841,660)    23,634,285
First Trust Emerging Markets AlphaDEX® Fund
  —    (165,112,502)    22,425,391
First Trust Germany AlphaDEX® Fund
  262,330    (25,100,818)    3,633,026
First Trust United Kingdom AlphaDEX® Fund
  412,969    (37,928,201)    2,960,016
First Trust India NIFTY 50 Equal Weight ETF
  1,508,243    —    8,198,337
First Trust Switzerland AlphaDEX® Fund
  —    (29,141,507)    18,425,845
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund
  —    (3,461,431)    227,903
First Trust Emerging Markets Small Cap AlphaDEX® Fund
  248,950    (30,349,268)    (2,651,185)
First Trust Eurozone AlphaDEX® ETF
  75,925    (15,268,300)    (620,612)
I. Income and Other Taxes
Each Fund intends to continue to qualify as a regulated investment company by complying with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended, which includes distributing substantially all of its net investment income and net realized gains to shareholders. Accordingly, no provision has been made for federal and state income taxes. However, due to the timing and amount of distributions, each Fund may be subject to an excise tax of 4% of the amount by which approximately 98% of each Fund’s taxable income exceeds the distributions from such taxable income for the calendar year.
Certain countries assess a capital gains tax on securities sold in their local markets. This tax is accrued as the securities in these foreign markets appreciate in value and is paid at the time of sale to the extent a capital gain is realized. Taxes accrued on securities in an unrealized appreciation position are included in “Net change in unrealized appreciation (depreciation) on deferred foreign capital gains tax” on the Statements of Operations. The capital gains tax paid on securities sold is included in “Net realized gain (loss) on foreign capital gains tax” on the Statements of Operations.
India’s Finance Bill, 2018 (“Finance Bill, 2018”) was enacted into law on March 29, 2018 and amongst other provisions, it introduced a long-term capital gains tax beginning April 1, 2018. Long-term capital gains on the sale of listed shares in excess of INR 0.1 million are taxed at the rate of 10% (plus applicable surcharge and cess (which is a type of tax)) subject to satisfaction of certain conditions. Long-term capital gains accruing as of January 31, 2018 are considered exempt due to a grandfather clause in the provision. The aforesaid exemption from long-term capital gains tax is available with respect to shares acquired between October 1, 2004 and March 31, 2018 only if on such acquisitions Securities Transaction Tax (“STT”) was chargeable. Certain exceptions in this regard, such as acquisition of shares in a public offer, bonus, rights issued, etc. for which the condition of chargeability of STT on acquisition is not applicable, have been notified.
In the case of the sale of listed shares held by a Fund for one year or less, the income is classified as short-term capital gains and is taxable at 15% (plus applicable surcharge and cess) provided the shares are sold on the stock exchange and subjected to STT. For above purposes, the applicable rate of surcharge is 2% or 5% (depending on the level of income of the Fund). The Finance Bill, 2018 increases the cess imposed on the sum of tax and surcharge from 3% to 4%. The cess 4% rate is applied to the capital gains tax, resulting in a higher effective rate of capital gains tax.
Where the sale of shares is outside the stock exchange and not subject to STT, the long-term capital gains are taxed at 10% (plus applicable surcharge and cess) and short-term capital gains are taxed at 30% (plus applicable surcharge and cess). The Finance Bill, 2018, approves the carry forward of long-term capital losses to be offset against long-term capital gains. Short-term losses can be netted against both short-term gains and long-term gains.
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December 31, 2021
Until March 31, 2020, dividends received by a Fund from Indian companies were exempt from tax in India because Indian companies were required to pay dividend distribution tax. The Indian Finance Act, 2020 has amended the dividend taxation framework effective April 1, 2020 and accordingly dividends would now be taxable in the hands of the shareholders at 20%, plus applicable surcharge and cess. Subsequent to the Indian Finance Act, 2020, “The Taxation and Other Laws (Relaxation and Amendment of Certain Provisions) Bill, 2020” (the “Bill”) was enacted into law and is effective retroactively to April 1, 2020. The Bill caps the maximum surcharge at 15% of the tax on dividend income earned by the Fund. The highest effective tax rate proposed for non-corporate entities on dividends will be 23.92%. Note, the Fund will not obtain relief under the US-India tax treaty as the treaty rate of 25% is higher than the domestic rate. Any excess taxes withheld can be off-set against capital gains tax liability during the year or claimed as a refund in the annual tax return.
Please note that the above description is based on current provisions of Indian law, and any change or modification made by subsequent legislation, regulation, or administrative or judicial decision could increase the Indian tax liability of a Fund and thus reduce the return to a Fund’s shareholders. There can be no assurance that the Indian tax authorities and/or regulators will not take a position contrary to the views expressed herein. If the Indian tax authorities and/or regulators take a position contrary to the views expressed herein, adverse unpredictable consequences may follow.
The Funds are subject to accounting standards that establish a minimum threshold for recognizing, and a system for measuring, the benefits of a tax position taken or expected to be taken in a tax return. Taxable years ended 2018, 2019, 2020, and 2021 remain open to federal and state audit. As of December 31, 2021, management has evaluated the application of these standards to the Funds and has determined that no provision for income tax is required in the Funds’ financial statements for uncertain tax positions.
The Funds intend to utilize provisions of the federal income tax laws, which allow them to carry a realized capital loss forward indefinitely following the year of the loss and offset such loss against any future realized capital gains. The Funds are subject to certain limitations under U.S. tax rules on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership. At December 31, 2021, for federal income tax purposes, each applicable Fund had a capital loss carryforward available that is shown in the table below, to the extent provided by regulations, to offset future capital gains.
  Non-Expiring
Capital Loss
Carryforward
First Trust Asia Pacific ex-Japan AlphaDEX® Fund
 $ 13,350,617
First Trust Europe AlphaDEX® Fund
  167,272,385
First Trust Latin America AlphaDEX® Fund
  41,263,993
First Trust Brazil AlphaDEX® Fund
  26,534,866
First Trust China AlphaDEX® Fund
  6,215,735
First Trust Japan AlphaDEX® Fund
  50,630,028
First Trust Developed Markets ex-US AlphaDEX® Fund
  263,841,660
First Trust Emerging Markets AlphaDEX® Fund
  165,112,502
First Trust Germany AlphaDEX® Fund
  25,100,818
First Trust United Kingdom AlphaDEX® Fund
  37,928,201
First Trust India NIFTY 50 Equal Weight ETF
  —
First Trust Switzerland AlphaDEX® Fund
  29,141,507
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund
  3,461,431
First Trust Emerging Markets Small Cap AlphaDEX® Fund
  30,349,268
First Trust Eurozone AlphaDEX® ETF
  15,268,300
Certain losses realized during the current fiscal year may be deferred and treated as occurring on the first day of the following fiscal year for federal income tax purposes. For the fiscal year ended December 31, 2021, the Funds did not defer any net ordinary losses.
In order to present paid-in capital and accumulated distributable earnings (loss) (which consists of accumulated net investment income (loss), accumulated net realized gain (loss) on investments and net unrealized appreciation (depreciation) on investments) on the Statements of Assets and Liabilities that more closely represent their tax character, certain adjustments have been made to paid-in capital, accumulated net investment income (loss) and accumulated net realized gain (loss) on investments. These adjustments are primarily due to the difference between book and tax treatments of income and gains on various investment securities held by the
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December 31, 2021
Funds and in-kind transactions. The results of operations and net assets were not affected by these adjustments. For the fiscal year ended December 31, 2021, the adjustments for each Fund were as follows:
  Accumulated
Net
Investment
Income (Loss) 		  Accumulated
Net Realized
Gain (Loss)
on Investments 		  Paid-in
Capital
First Trust Asia Pacific ex-Japan AlphaDEX® Fund
 $ 261,392   $ (265,922)   $ 4,530
First Trust Europe AlphaDEX® Fund
  1,741,196    (61,499,204)    59,758,008
First Trust Latin America AlphaDEX® Fund
  (12,988)    (500,435)    513,423
First Trust Brazil AlphaDEX® Fund
  (15,579)    (3,386)    18,965
First Trust China AlphaDEX® Fund
  17,250    (709,158)    691,908
First Trust Japan AlphaDEX® Fund
  55,693    (637,754)    582,061
First Trust Developed Markets ex-US AlphaDEX® Fund
  2,303,659    (2,912,622)    608,963
First Trust Emerging Markets AlphaDEX® Fund
  (1,183,262)    (8,953,004)    10,136,266
First Trust Germany AlphaDEX® Fund
  (1,475)    (3,016,656)    3,018,131
First Trust United Kingdom AlphaDEX® Fund
  35,909    (608,173)    572,264
First Trust India NIFTY 50 Equal Weight ETF
  (518,657)    (339,746)    858,403
First Trust Switzerland AlphaDEX® Fund
  281,366    (5,352,638)    5,071,272
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund
  127,899    (1,376,299)    1,248,400
First Trust Emerging Markets Small Cap AlphaDEX® Fund
  2,179,355    (6,642,575)    4,463,220
First Trust Eurozone AlphaDEX® ETF
  8,530    (2,135,241)    2,126,711
J. Expenses
Expenses that are directly related to the Funds are charged to First Trust pursuant to the Investment Management Agreement, with the exception of the advisory fees, Rule 12b-1 distribution and service fees, if any, brokerage expenses, taxes, interest, acquired fund fees and expenses, and extraordinary expenses, which are paid by each respective Fund.
First Trust Portfolios L.P. (“FTP”) has entered into licensing agreements with Nasdaq (“Licensor”) for all the Funds except NFTY and with NSE Indices Limited (“NSE”) for NFTY (Nasdaq and NSE collectively, the “Licensors”). The respective license agreements allow for the use by First Trust of each Fund’s respective index and of certain trademarks and trade names of the Licensors. The Funds are sub-licensees to the applicable license agreements.
3. Investment Advisory Fee, Affiliated Transactions and Other Fee Arrangements
First Trust, the investment advisor to the Funds, is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. The Charger Corporation is an Illinois corporation controlled by James A. Bowen, Chief Executive Officer of First Trust. First Trust is responsible for the selection and ongoing monitoring of the securities in each Fund’s portfolio, managing the Funds’ business affairs and providing certain administrative services necessary for the management of the Funds.
First Trust is paid an annual unitary management fee of 0.80% of each Fund’s average daily net assets. First Trust is responsible for the expenses of each Fund including the cost of transfer agency, custody, fund administration, licensing fees, legal, audit and other services, but excluding fee payments under the Investment Management Agreement, Rule 12b-1 distribution and service fees, if any, brokerage expenses, taxes, interest, acquired fund fees and expenses, and extraordinary expenses, which are paid by each respective Fund. First Trust also provides fund reporting services to the Funds for a flat annual fee in the amount of $9,250 per Fund, which is covered under the annual unitary management fee.
The Trust has multiple service agreements with BBH. Under the service agreements, BBH performs custodial, fund accounting, certain administrative services, and transfer agency services for the Funds. As custodian, BBH is responsible for custody of each Fund’s assets. As fund accountant and administrator, BBH is responsible for maintaining the books and records of each Fund’s securities and cash. As transfer agent, BBH is responsible for maintaining shareholder records for each Fund.
Each Trustee who is not an officer or employee of First Trust, any sub-advisor or any of their affiliates (“Independent Trustees”) is paid a fixed annual retainer that is allocated equally among each fund in the First Trust Fund Complex. Each Independent Trustee is
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December 31, 2021
also paid an annual per fund fee that varies based on whether the fund is a closed-end or other actively managed fund, a defined-outcome fund or an index fund.
Additionally, the Lead Independent Trustee and the Chairs of the Audit Committee, Nominating and Governance Committee and Valuation Committee are paid annual fees to serve in such capacities, with such compensation allocated pro rata among each fund in the First Trust Fund Complex based on net assets. Independent Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The Lead Independent Trustee and Committee Chairs rotate every three years. The officers and “Interested” Trustee receive no compensation from the Trust for acting in such capacities.
4. Reorganization
On February 6, 2020, the Board of Trustees of FDT approved a reorganization of FDT with First Trust Australia AlphaDEX® Fund (“FAUS”), First Trust Canada AlphaDEX® Fund (“FCAN”), First Trust Hong Kong AlphaDEX® Fund (“FHK”) and First Trust South Korea AlphaDEX® Fund (“FKO”). The merger was completed on November 2, 2020. FDT was the surviving fund.
Under the terms of the reorganization, which was tax-free, the assets of FAUS, FCAN, FHK and FKO were transferred to, and the liabilities of FAUS, FCAN, FHK and FKO were assumed by, FDT in exchange for shares of FDT. The cost of the investments received from FAUS, FCAN, FHK and FKO were carried forward to FDT for U.S. GAAP and tax purposes. The FDT shares were then distributed to FAUS, FCAN, FHK and FKO shareholders and the separate existence of FAUS, FCAN, FHK and FKO ceased. The reorganization was subject to certain conditions, including that the reorganization was approved on September 14, 2020, by the shareholders of FAUS, FCAN, FHK and FKO. When the reorganization occurred, the transactions were based on the relative NAVs of FAUS, FCAN, FHK, FKO and FDT.
The following table summarizes the asset transfers and conversion ratios for the reorganization.
Acquired
Fund 		  Shares
Redeemed 		  Net Assets on
October 30, 2020 		  Unrealized
Appreciation
(Depreciation) 		  Accumulated
Net Realized
Gains/Loss 		  Share
Conversion
Ratio 		  Acquiring
(Surviving)
Fund 		  Shares
Issued* 		  Net Assets on
October 30, 2020**
FAUS
   100,002   $ 2,715,358   $ —   $(660,638)   0.561515   FDT   56,153   $328,922,686
FCAN
   150,002   3,109,344   —   (16,691,672)   0.428662   FDT   64,300   328,922,686
FHK
   100,002   3,469,351   —   (49,458,851)   0.717435   FDT   71,745   328,922,686
FKO
   100,002   2,050,424   —   (2,327,830)   0.424012   FDT   42,402   328,922,686
    450,008   $11,344,477   $ —   $(69,138,991)           234,600    
* Amount includes 188 shares that were distributed cash in lieu.
** Amount reflects net assets of FDT prior to the reorganization.
The following table summarizes the operations of the Acquired Fund for the period January 1, 2020 to October 30, 2020, and the operations of FDT, the Acquiring (Surviving) Fund, for the fiscal year ended December 31, 2020, as presented in the Statements of Operations and the combined Acquired and Acquiring (Surviving) Funds’ pro-forma results of operations for the fiscal year ended December 31, 2020, assuming the acquisition had been completed on January 1, 2020.
Because the combined investment portfolios have been managed as a single integrated portfolio since the reorganization was completed, it is not practicable to separate the amounts of revenue and earnings of FAUS, FCAN, FHK and FKO that have been included in FDT’s Statement of Operations since October 30, 2020.
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First Trust Exchange-Traded AlphaDEX® Fund II
December 31, 2021
  Net Investment
Income 		  Net Realized
and Unrealized
Gain (Loss) on
Investments 		  Net Increase
(Decrease) from
Operations
Acquired Fund for the Period January 1, 2020 to October 30, 2020          
FAUS $71,239   $ (165,950)   $ (94,711)
FCAN 36,355   (739,608)   (703,253)
FHK 112,264   (21,591)   90,673
FKO (11,721)   (89,926)   (101,647)
Acquiring Fund for the Fiscal Year Ended December 31, 2020
FDT 		6,061,037   (48,546,250)   (42,485,213)
Combined Total $6,269,174   $ (49,563,325)   $(43,294,151)
5. Purchases and Sales of Securities
For the fiscal year ended December 31, 2021, the cost of purchases and proceeds from sales of investment securities for each Fund, excluding short-term investments and in-kind transactions, were as follows:
  Purchases   Sales
First Trust Asia Pacific ex-Japan AlphaDEX® Fund $ 29,311,976   $ 22,891,036
First Trust Europe AlphaDEX® Fund  526,727,188    530,527,835
First Trust Latin America AlphaDEX® Fund  9,159,405    12,216,175
First Trust Brazil AlphaDEX® Fund  25,635,794    21,269,391
First Trust China AlphaDEX® Fund  27,030,560    20,479,616
First Trust Japan AlphaDEX® Fund  47,422,151    47,714,301
First Trust Developed Markets ex-US AlphaDEX® Fund  444,503,698    445,164,045
First Trust Emerging Markets AlphaDEX® Fund  601,121,884    584,399,601
First Trust Germany AlphaDEX® Fund  83,277,925    82,935,493
First Trust United Kingdom AlphaDEX® Fund  23,099,964    22,788,373
First Trust India NIFTY 50 Equal Weight ETF  77,343,212    30,967,416
First Trust Switzerland AlphaDEX® Fund  69,687,000    68,464,297
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund  13,706,710    11,385,128
First Trust Emerging Markets Small Cap AlphaDEX® Fund  192,935,662    191,711,103
First Trust Eurozone AlphaDEX® ETF  23,998,621    24,021,456
       
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First Trust Exchange-Traded AlphaDEX® Fund II
December 31, 2021
For the fiscal year ended December 31, 2021, the cost of in-kind purchases and proceeds from in-kind sales for each Fund were as follows:
  Purchases   Sales
First Trust Asia Pacific ex-Japan AlphaDEX® Fund $ 2,930,955   $ 860,601
First Trust Europe AlphaDEX® Fund  298,178,821    230,236,112
First Trust Latin America AlphaDEX® Fund  279,078    1,717,587
First Trust Brazil AlphaDEX® Fund  381,138    306,373
First Trust China AlphaDEX® Fund  —    9,491,204
First Trust Japan AlphaDEX® Fund  —    5,275,861
First Trust Developed Markets ex-US AlphaDEX® Fund  30,976,656    4,961,287
First Trust Emerging Markets AlphaDEX® Fund  23,658,728    62,944,425
First Trust Germany AlphaDEX® Fund  13,448,376    14,001,997
First Trust United Kingdom AlphaDEX® Fund  78,619,262    2,209,885
First Trust India NIFTY 50 Equal Weight ETF  —    —
First Trust Switzerland AlphaDEX® Fund  6,192,441    20,230,621
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund  6,759,814    4,676,691
First Trust Emerging Markets Small Cap AlphaDEX® Fund  7,172,013    17,257,148
First Trust Eurozone AlphaDEX® ETF  67,947,779    15,652,364
6. Creations, Redemptions and Transaction Fees
Each Fund generally issues and redeems its shares in primary market transactions through a creation and redemption mechanism and does not sell or redeem individual shares. Instead, financial entities known as “Authorized Participants” have contractual arrangements with a Fund or one of the Fund’s service providers to purchase and redeem Fund shares directly with the Fund in large blocks of shares known as “Creation Units.” Prior to start of trading on every business day, a Fund publishes through the National Securities Clearing Corporation (“NSCC”) the “basket” of securities, cash or other assets that it will accept in exchange for a Creation Unit of the Fund’s shares. An Authorized Participant that wishes to effectuate a creation of a Fund’s shares deposits with the Fund the “basket” of securities, cash or other assets identified by the Fund that day, and then receives the Creation Unit of the Fund’s shares in return for those assets. After purchasing a Creation Unit, the Authorized Participant may continue to hold the Fund’s shares or sell them in the secondary market. The redemption process is the reverse of the purchase process: the authorized participant redeems a Creation Unit of a Fund’s shares for a basket of securities, cash or other assets. The combination of the creation and redemption process with secondary market trading in a Fund’s shares and underlying securities provides arbitrage opportunities that are designed to help keep the market price of a Fund’s shares at or close to the NAV per share of the Fund.
Each Fund imposes fees in connection with the purchase of Creation Units. These fees may vary based upon various facts-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price for each Creation Unit will equal the daily NAV per share of a Fund times the number of shares in a Creation Unit, plus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees, stamp taxes and part or all of the spread between the expected bid and offer side of the market related to the securities comprising the creation basket.
Each Fund also imposes fees in connection with the redemption of Creation Units. These fees may vary based upon various facts-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price received for each Creation Unit will equal the daily NAV per share of a Fund times the number of shares in a Creation Unit, minus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees, stamp taxes and part or all of the spread between the expected bid and offer side of the market related to the securities comprising the redemption basket. Investors who use the services of a broker or other such intermediary in addition to an Authorized Participant to effect a redemption of a Creation Unit may also be assessed an amount to cover the cost of such services. The redemption fee charged by a Fund will comply with Rule 22c-2 of the 1940 Act which limits redemption fees to no more than 2% of the value of the shares redeemed.
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First Trust Exchange-Traded AlphaDEX® Fund II
December 31, 2021
7. Distribution Plan
The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, each Fund is authorized to pay an amount up to 0.25% of its average daily net assets each year to reimburse FTP, the distributor of the Funds, for amounts expended to finance activities primarily intended to result in the sale of Creation Units or to provide investor services. FTP may also use this amount to compensate securities dealers or other persons that are Authorized Participants for providing distribution assistance, including broker-dealer and shareholder support and educational and promotional services.
No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual arrangement, no 12b-1 fees will be paid any time before April 30, 2023.
8. Indemnification
The Trust, on behalf of the Funds, has a variety of indemnification obligations under contracts with its service providers. The Trust’s maximum exposure under these arrangements is unknown. However, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.
9. Subsequent Events
Management has evaluated the impact of all subsequent events to the Funds through the date the financial statements were issued and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements that have not already been disclosed.
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Report of Independent Registered Public Accounting Firm
To the Shareholders and the Board of Trustees of First Trust Exchange-Traded AlphaDEX® Fund II:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statements of assets and liabilities 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, and First Trust Eurozone AlphaDEX® ETF (the “Funds”), each a series of First Trust Exchange-Traded AlphaDEX® Fund II, including the portfolios of investments, as of December 31, 2021, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2021, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of December 31, 2021, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
Chicago, Illinois
February 23, 2022
We have served as the auditor of one or more First Trust investment companies since 2001.
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Additional Information
First Trust Exchange-Traded AlphaDEX® Fund II
December 31, 2021 (Unaudited)
Proxy Voting Policies and Procedures
A description of the policies and procedures that the Trust uses to determine how to vote proxies and information on how each Fund voted proxies relating to portfolio investments during the most recent 12-month period ended June 30 is available (1) without charge, upon request, by calling (800) 988-5891; (2) on each Fund’s website at www.ftportfolios.com; and (3) on the Securities and Exchange Commission’s (“SEC”) website at www.sec.gov.
Portfolio Holdings
Each Fund files portfolio holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be publicly available on the SEC’s website at www.sec.gov. Each Fund’s complete schedule of portfolio holdings for the second and fourth quarters of each fiscal year is included in the semi-annual and annual reports to shareholders, respectively, and is filed with the SEC on Form N-CSR. The semi-annual and annual report for each Fund is available to investors within 60 days after the period to which it relates. Each Fund’s Forms N-PORT and Forms N-CSR are available on the SEC’s website listed above.
Federal Tax Information
For the taxable year ended December 31, 2021, none of the income dividends paid by the Funds qualify for the dividends received deduction available to corporations.
For the taxable year ended December 31, 2021, the following percentages of income dividends paid by the Funds are hereby designated as qualified dividend income:
  Qualified
Dividend Income
First Trust Asia Pacific ex-Japan AlphaDEX® Fund
 37.56%
First Trust Europe AlphaDEX® Fund
 64.18%
First Trust Latin America AlphaDEX® Fund
 19.20%
First Trust Brazil AlphaDEX® Fund
 0.00%
First Trust China AlphaDEX® Fund
 63.29%
First Trust Japan AlphaDEX® Fund
 100.00%
First Trust Developed Markets ex-US AlphaDEX® Fund
 54.69%
First Trust Emerging Markets AlphaDEX® Fund
 58.61%
First Trust Germany AlphaDEX® Fund
 100.00%
First Trust United Kingdom AlphaDEX® Fund
 75.66%
First Trust India NIFTY 50 Equal Weight ETF
 27.85%
First Trust Switzerland AlphaDEX® Fund
 100.00%
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund
 51.06%
First Trust Emerging Markets Small Cap AlphaDEX® Fund
 20.44%
First Trust Eurozone AlphaDEX® ETF
 79.24%
The following Funds met the requirements of Section 853 of the Internal Revenue Code of 1986, as amended, and elect to pass through to their shareholders credit for foreign taxes paid. For the taxable year ended December 31, 2021, the total amount of income
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December 31, 2021 (Unaudited)
received by the Funds from sources within foreign countries and possessions of the United States and of taxes paid to such countries are as follows:
  Gross Foreign Income   Foreign Taxes Paid
  Amount   Per Share   Amount   Per Share
First Trust Asia Pacific ex-Japan AlphaDEX® Fund
 $ 1,133,792   $ 1.42   $ 45,815   $ 0.06
First Trust Europe AlphaDEX® Fund
  13,892,647    1.05    558,562    0.04
First Trust Latin America AlphaDEX® Fund
  568,977    1.26    41,432    0.09
First Trust Brazil AlphaDEX® Fund
  760,547    0.72    22,551    0.02
First Trust China AlphaDEX® Fund
  585,769    1.67    35,691    0.10
First Trust Japan AlphaDEX® Fund
  987,793    1.41    97,447    0.14
First Trust Developed Markets ex-US AlphaDEX® Fund
  12,424,728    1.82    851,019    0.12
First Trust Emerging Markets AlphaDEX® Fund
  26,376,775    1.58    3,303,548    0.20
First Trust Germany AlphaDEX® Fund
  2,713,780    1.47    233,649    0.13
First Trust United Kingdom AlphaDEX® Fund
  2,073,684    0.92    18,048    0.01
First Trust India NIFTY 50 Equal Weight ETF
  1,226,165    0.94    1,219,805    0.94
First Trust Switzerland AlphaDEX® Fund
  2,483,490    1.77    286,831    0.20
First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund
  250,738    0.84    28,892    0.10
First Trust Emerging Markets Small Cap AlphaDEX® Fund
  7,128,701    2.01    821,870    0.23
First Trust Eurozone AlphaDEX® ETF
  1,163,869    0.67    134,293    0.08
Risk Considerations
Risks are inherent in all investing. Certain general risks that may be applicable to a Fund are identified below, but not all of the material risks relevant to each Fund are included in this report and not all of the risks below apply to each Fund. The material risks of investing in each Fund are spelled out in its prospectus, statement of additional information and other regulatory filings. Before investing, you should consider each Fund’s investment objective, risks, charges and expenses, and read each Fund’s prospectus and statement of additional information carefully. You can download each Fund’s prospectus at www.ftportfolios.com or contact First Trust Portfolios L.P. at (800) 621-1675 to request a prospectus, which contains this and other information about each Fund.
Concentration Risk. To the extent that a fund is able to invest a significant percentage of its assets in a single asset class or the securities of issuers within the same country, state, region, industry or sector, an adverse economic, business or political development may affect the value of the fund’s investments more than if the fund were more broadly diversified. A fund that tracks an index will be concentrated to the extent the fund’s corresponding index is concentrated. A concentration makes a fund more susceptible to any single occurrence and may subject the fund to greater market risk than a fund that is more broadly diversified.
Credit Risk. Credit risk is the risk that an issuer of a security will be unable or unwilling to make dividend, interest and/or principal payments when due and the related risk that the value of a security may decline because of concerns about the issuer’s ability to make such payments.
Cyber Security Risk. The funds are susceptible to potential operational risks through breaches in cyber security. A breach in cyber security refers to both intentional and unintentional events that may cause a fund to lose proprietary information, suffer data corruption or lose operational capacity. Such events could cause a fund to incur regulatory penalties, reputational damage, additional compliance costs associated with corrective measures and/or financial loss. In addition, cyber security breaches of a fund’s third-party service providers, such as its administrator, transfer agent, custodian, or sub-advisor, as applicable, or issuers in which the fund invests, can also subject a fund to many of the same risks associated with direct cyber security breaches.
Defined Outcome Funds Risk. To the extent a fund’s investment strategy is designed to deliver returns tied to the price performance of an underlying ETF, an investor may not realize the returns the fund seeks to achieve if that investor does not hold shares for the entire target outcome period. In the event an investor purchases shares after the first day of the target outcome period or sells shares prior to the end of the target outcome period, the buffer that the fund seeks to provide against a decline in the value of the underlying ETF may not be available, the enhanced returns that the fund seeks to provide (if any) may not be available and the investor may not participate in a gain in the value of the underlying ETF up to the cap for the investor’s investment period. Additionally, the fund will not participate in gains of the underlying ETF above the cap and a shareholder may lose their entire investment. If the fund seeks
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December 31, 2021 (Unaudited)
enhanced returns, there are certain time periods when the value of the fund may fall faster than the value of the underlying ETF, and it is very unlikely that, on any given day during which the underlying ETF share price increases in value, the fund’s share price will increase at the same rate as the enhanced returns sought by the fund, which is designed for an entire target outcome period. Trading flexible exchange options involves risks different from, or possibly greater than, the risks associated with investing directly in securities, such as less liquidity and correlation and valuation risks. A fund may experience substantial downside from specific flexible exchange option positions and certain positions may expire worthless.
Derivatives Risk. To the extent a fund uses derivative instruments such as futures contracts, options contracts and swaps, the fund may experience losses because of adverse movements in the price or value of the underlying asset, index or rate, which may be magnified by certain features of the derivative. These risks are heightened when a fund’s portfolio managers use derivatives to enhance the fund’s return or as a substitute for a position or security, rather than solely to hedge (or offset) the risk of a position or security held by the fund.
Equity Securities Risk. To the extent a fund invests in equity securities, the value of the fund’s shares will fluctuate with changes in the value of the equity securities. Equity securities prices fluctuate for several reasons, including changes in investors’ perceptions of the financial condition of an issuer or the general condition of the relevant stock market, such as market volatility, or when political or economic events affecting the issuers occur. In addition, common stock prices may be particularly sensitive to rising interest rates, as the cost of capital rises and borrowing costs increase. Equity securities may decline significantly in price over short or extended periods of time, and such declines may occur in the equity market as a whole, or they may occur in only a particular country, company, industry or sector of the market.
ETF Risk. The shares of an ETF trade like common stock and represent an interest in a portfolio of securities. The risks of owning an ETF generally reflect the risks of owning the underlying securities, although lack of liquidity in an ETF could result in it being more volatile and ETFs have management fees that increase their costs. Shares of an ETF trade on an exchange at market prices rather than net asset value, which may cause the shares to trade at a price greater than net asset value (premium) or less than net asset value (discount). In times of market stress, decisions by market makers to reduce or step away from their role of providing a market for an ETF’s shares, or decisions by an ETF’s authorized participants that they are unable or unwilling to proceed with creation and/or redemption orders of an ETF’s shares, could result in shares of the ETF trading at a discount to net asset value and in greater than normal intraday bid-ask spreads.
Fixed Income Securities Risk. To the extent a fund invests in fixed income securities, the fund will be subject to credit risk, income risk, interest rate risk, liquidity risk and prepayment risk. Income risk is the risk that income from a fund’s fixed income investments could decline during periods of falling interest rates. Interest rate risk is the risk that the value of a fund’s fixed income securities will decline because of rising interest rates. Liquidity risk is the risk that a security cannot be purchased or sold at the time desired, or cannot be purchased or sold without adversely affecting the price. Prepayment risk is the risk that the securities will be redeemed or prepaid by the issuer, resulting in lower interest payments received by the fund. In addition to these risks, high yield securities, or “junk” bonds, are subject to greater market fluctuations and risk of loss than securities with higher ratings, and the market for high yield securities is generally smaller and less liquid than that for investment grade securities.
Index or Model Constituent Risk. Certain funds may be a constituent of one or more indices or ETF models. As a result, such a fund may be included in one or more index-tracking exchange-traded funds or mutual funds. Being a component security of such a vehicle could greatly affect the trading activity involving a fund, the size of the fund and the market volatility of the fund. Inclusion in an index could increase demand for the fund and removal from an index could result in outsized selling activity in a relatively short period of time. As a result, a fund’s net asset value could be negatively impacted and the fund’s market price may be significantly below its net asset value during certain periods. In addition, index rebalances may potentially result in increased trading activity in a fund’s shares.
Index Provider Risk. To the extent a fund seeks to track an index, it is subject to Index Provider Risk. There is no assurance that the Index Provider will compile the Index accurately, or that the Index will be determined, maintained, constructed, reconstituted, rebalanced, composed, calculated or disseminated accurately. To correct any such error, the Index Provider may carry out an unscheduled rebalance or other modification of the Index constituents or weightings, which may increase the fund’s costs. The Index Provider does not provide any representation or warranty in relation to the quality, accuracy or completeness of data in the Index, and it does not guarantee that the Index will be calculated in accordance with its stated methodology. Losses or costs associated with any Index Provider errors generally will be borne by the fund and its shareholders.
Investment Companies Risk. To the extent a fund invests in the securities of other investment vehicles, the fund will incur additional fees and expenses that would not be present in a direct investment in those investment vehicles. Furthermore, the fund’s investment performance and risks are directly related to the investment performance and risks of the investment vehicles in which the fund invests.
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LIBOR Risk. To the extent a fund invests in floating or variable rate obligations that use the London Interbank Offered Rate (“LIBOR”) as a reference interest rate, it is subject to LIBOR Risk. The United Kingdom’s Financial Conduct Authority, which regulates LIBOR, will cease making LIBOR available as a reference rate over a phase-out period that will begin immediately after December 31, 2021. The unavailability or replacement of LIBOR may affect the value, liquidity or return on certain fund investments and may result in costs incurred in connection with closing out positions and entering into new trades. Any potential effects of the transition away from LIBOR on the fund or on certain instruments in which the fund invests can be difficult to ascertain, and they may vary depending on a variety of factors, and they could result in losses to the fund.
Management Risk. To the extent that a fund is actively managed, it is subject to management risk. In managing an actively-managed fund’s investment portfolio, the fund’s portfolio managers will apply investment techniques and risk analyses that may not have the desired result. There can be no guarantee that a fund will meet its investment objective.
Market Risk. Securities held by a fund, as well as shares of a fund itself, are subject to market fluctuations caused by factors such as general economic conditions, political events, regulatory or market developments, changes in interest rates and perceived trends in securities prices. Shares of a fund could decline in value or underperform other investments as a result of the risk of loss associated with these market fluctuations. In addition, local, regional or global events such as war, acts of terrorism, spread of infectious diseases or other public health issues, recessions, or other events could have a significant negative impact on a fund and its investments. Such events may affect certain geographic regions, countries, sectors and industries more significantly than others. The outbreak of the respiratory disease designated as COVID-19 in December 2019 has caused significant volatility and declines in global financial markets, which have caused losses for investors. While the development of vaccines has slowed the spread of the virus and allowed for the resumption of “reasonably” normal business activity in the United States, many countries continue to impose lockdown measures in an attempt to slow the spread. Additionally, there is no guarantee that vaccines will be effective against emerging variants of the disease.
Non-U.S. Securities Risk. To the extent a fund invests in non-U.S. securities, it is subject to additional risks not associated with securities of domestic issuers. Non-U.S. securities are subject to higher volatility than securities of domestic issuers due to: possible adverse political, social or economic developments; restrictions on foreign investment or exchange of securities; capital controls; lack of liquidity; currency exchange rates; excessive taxation; government seizure of assets; the imposition of sanctions by foreign governments; different legal or accounting standards; and less government supervision and regulation of exchanges in foreign countries. Investments in non-U.S. securities may involve higher costs than investments in U.S. securities, including higher transaction and custody costs, as well as additional taxes imposed by non-U.S. governments. These risks may be heightened for securities of companies located, or with significant operations, in emerging market countries.
Operational Risk. Each fund is subject to risks arising from various operational factors, including, but not limited to, human error, processing and communication errors, errors of a fund’s service providers, counterparties or other third-parties, failed or inadequate processes and technology or systems failures. Each fund relies on third-parties for a range of services, including custody. Any delay or failure relating to engaging or maintaining such service providers may affect a fund’s ability to meet its investment objective. Although the funds and the funds’ investment advisor seek to reduce these operational risks through controls and procedures, there is no way to completely protect against such risks.
Passive Investment Risk. To the extent a fund seeks to track an index, the fund will invest in the securities included in, or representative of, the index regardless of their investment merit. A fund generally will not attempt to take defensive positions in declining markets.
Variable Interest Entities Risk. In order to gain exposure to certain Chinese companies that are included in a Fund’s Index but are unavailable to direct investment by foreign investors, certain Funds invest significantly in non-Chinese shell companies that have created structures known as variable interest entities (“VIEs”) in order to gain exposure to such Chinese companies. In China, direct ownership of companies in certain sectors by foreign individuals and entities is prohibited. In order to allow for foreign investment in these businesses, many Chinese companies have created VIE structures to enable indirect foreign ownership. In such an arrangement, a Chinese operating company typically establishes an offshore shell company in another jurisdiction, such as the Cayman Islands. That shell company enters into service and other contracts with the Chinese issuer or operating company to obtain economic exposure to the Chinese company, then issues shares on an exchange outside of mainland China, and U.S. investors hold stock in the non-Chinese shell company rather than directly in the Chinese issuer or operating company. This arrangement allows U.S. investors, such as the Fund, to obtain economic exposure to the Chinese issuer or operating company through contractual means rather than through formal equity ownership. Because neither the shell company nor the Fund owns actual equity interests in the Chinese operating company, they do not have the voting rights or other types of control that an equity holder would expect to benefit from. Although VIEs are a longstanding industry practice and well known to officials and regulators in China, VIEs are not formally recognized under Chinese law. Intervention by the Chinese government with respect to VIEs could significantly affect the Chinese company’s performance and the enforceability of the VIE’s contractual arrangements that establish the links between the Chinese company and the shell company in
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December 31, 2021 (Unaudited)
which the Fund invests. This could considerably impact the financial condition of the shell company in which the Fund invests by limiting its ability to consolidate the financial results of the Chinese operating company into its own financial statements, as well as make the value of the shares held by the Fund effectively worthless. Further, if Chinese officials prohibit the existence of VIEs, the market value of the Fund’s associated holdings would likely suffer significant, and possibly permanent effects, which could negatively impact the Fund’s net asset value and could result in substantial losses. Further, it is uncertain whether any new laws, rules or regulations relating to VIE structures will be adopted or, if adopted, what impact they would have on the value of the Fund’s shares.
VIEs are also subject to the investment risks associated with the underlying Chinese issuer or operating company. Chinese companies are not subject to the same degree of regulatory requirements or accounting standards and oversight as companies in more developed countries. As a result, information about the Chinese securities and VIEs in which the Fund invests may be less reliable and incomplete. There also may be significant obstacles to obtaining information necessary for investigations into or litigation against Chinese companies and VIEs, and shareholders may have limited legal remedies, which could negatively impact the Fund. Additionally, U.S.-listed VIEs may be delisted if they do not meet U.S. accounting standards and auditor oversight requirements. Delisting would significantly decrease the liquidity and value of the securities, decrease the ability of the Fund to invest in such securities and may increase the cost of the Fund if required to seek alternative markets in which to invest in such securities.
NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE
Remuneration
First Trust Advisors L.P. (“First Trust”) is authorized and regulated by the U.S. Securities and Exchange Commission and is entitled to market shares of the First Trust Exchange-Traded AlphaDEX® Fund II funds it manages (the “Funds”), in certain member states in the European Economic Area in accordance with the cooperation arrangements in Article 42 of the Alternative Investment Fund Managers Directive (the “Directive”). First Trust is required under the Directive to make disclosures in respect of remuneration. The following disclosures are made in line with First Trust’s interpretation of currently available regulatory guidance on remuneration disclosures.
During the year ended December 31, 2021, the amount of remuneration paid (or to be paid) by First Trust Advisors L.P. in respect of the Funds is $1,060,835. This figure is comprised of $40,822 paid (or to be paid) in fixed compensation and $1,020,013 paid (or to be paid) in variable compensation. There were a total of 24 beneficiaries of the remuneration described above. Those amounts include $544,775 paid (or to be paid) to senior management of First Trust Advisors L.P. and $516,060 paid (or to be paid) to other employees whose professional activities have a material impact on the risk profiles of First Trust Advisors L.P. or the Fund (collectively, “Code Staff”).
Code Staff included in the aggregated figures disclosed above are rewarded in line with First Trust’s remuneration policy (the “Remuneration Policy”) which is determined and implemented by First Trust’s senior management. The Remuneration Policy reflects First Trust’s ethos of good governance and encapsulates the following principal objectives:
i. to provide a clear link between remuneration and performance of First Trust and to avoid rewarding for failure;
ii. to promote sound and effective risk management consistent with the risk profiles of the funds managed by First Trust; and
iii. to remunerate staff in line with the business strategy, objectives, values and interests of First Trust and the funds managed by First Trust in a manner that avoids conflicts of interest.
First Trust assesses various risk factors which it is exposed to when considering and implementing remuneration for Code Staff and considers whether any potential award to such person(s) would give rise to a conflict of interest. First Trust does not reward failure, or consider the taking of risk or failure to take risk in its remuneration of Code Staff.
First Trust assesses performance for the purposes of determining payments in respect of performance-related remuneration of Code Staff by reference to a broad range of measures including (i) individual performance (using financial and non-financial criteria), and (ii) the overall performance of First Trust. Remuneration is not based upon the performance of the Fund.
The elements of remuneration are balanced between fixed and variable and the senior management sets fixed salaries at a level sufficient to ensure that variable remuneration incentivises and rewards strong individual performance but does not encourage excessive risk taking.
No individual is involved in setting his or her own remuneration.
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Board of Trustees and Officers
First Trust Exchange-Traded AlphaDEX® Fund II
December 31, 2021 (Unaudited)
The following tables identify the Trustees and Officers of the Trust. Unless otherwise indicated, the address of all persons is 120 East Liberty Drive, Suite 400, Wheaton, IL 60187.
The Trust’s statement of additional information includes additional information about the Trustees and is available, without charge, upon request, by calling (800) 988-5891.
Name, Year of Birth and Position with the Trust Term of Office and Year First Elected or Appointed Principal Occupations
During Past 5 Years 		Number of Portfolios in the First Trust Fund Complex Overseen by Trustee Other Trusteeships or Directorships Held by Trustee During Past 5 Years
INDEPENDENT TRUSTEES
Richard E. Erickson, Trustee
(1951) 		• Indefinite Term
 
• Since Inception 		Physician; Officer, Wheaton Orthopedics; Limited Partner, Gundersen Real Estate Limited Partnership (June 1992 to December 2016) 216 None
Thomas R. Kadlec, Trustee
(1957) 		• Indefinite Term
 
• Since Inception 		President, ADM Investor Services, Inc. (Futures Commission Merchant) 216 Director of ADM Investor Services, Inc., ADM Investor Services International, Futures Industry Association, and National Futures Association
Denise M. Keefe, Trustee
(1964) 		• Indefinite Term
 
• Since 2021 		Executive Vice President, Advocate Aurora Health and President, Advocate Aurora Continuing Health Division (Integrated Healthcare System) 216 Director and Board Chair of Advocate Home Health Services, Advocate Home Care Products and Advocate Hospice; Director and Board Chair of Aurora At Home (since 2018); Director of Advocate Physician Partners Accountable Care Organization; Director and Board Chair of RML Long Term Acute Care Hospitals; and Director of Senior Helpers (since 2021)
Robert F. Keith, Trustee
(1956) 		• Indefinite Term
 
• Since Inception 		President, Hibs Enterprises (Financial and Management Consulting) 216 Director of Trust Company of Illinois
Niel B. Nielson, Trustee
(1954) 		• Indefinite Term
 
• Since Inception 		Senior Advisor (August 2018 to Present), Managing Director and Chief Operating Officer (January 2015 to August 2018), Pelita Harapan Educational Foundation (Educational Products and Services) 216 None
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Board of Trustees and Officers (Continued)
First Trust Exchange-Traded AlphaDEX® Fund II
December 31, 2021 (Unaudited)
Name, Year of Birth and Position with the Trust Term of Office and Year First Elected or Appointed Principal Occupations
During Past 5 Years 		Number of Portfolios in the First Trust Fund Complex Overseen by Trustee Other Trusteeships or Directorships Held by Trustee During Past 5 Years
INTERESTED TRUSTEE
James A. Bowen(1), Trustee and
Chairman of the Board
(1955) 		• Indefinite Term
 
• Since Inception 		Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) 216 None
    
Name and Year of Birth Position and Offices with Trust Term of Office and Length of Service Principal Occupations
During Past 5 Years
OFFICERS(2)
James M. Dykas
(1966) 		President and Chief Executive Officer • Indefinite Term
 
• Since January 2016 		Managing Director and Chief Financial Officer (January 2016 to Present), Controller (January 2011 to January 2016), Senior Vice President (April 2007 to January 2016), First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer (January 2016 to Present), BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor)
Donald P. Swade
(1972) 		Treasurer, Chief Financial Officer and Chief Accounting Officer • Indefinite Term
 
• Since January 2016 		Senior Vice President (July 2016 to Present), Vice President (April 2012 to July 2016), First Trust Advisors L.P. and First Trust Portfolios L.P.
W. Scott Jardine
(1960) 		Secretary and Chief Legal Officer • Indefinite Term
 
• Since Inception 		General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC
Daniel J. Lindquist
(1970) 		Vice President • Indefinite Term
 
• Since Inception 		Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P.
Kristi A. Maher
(1966) 		Chief Compliance Officer and Assistant Secretary • Indefinite Term
 
• Since Inception 		Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.
Roger F. Testin
(1966) 		Vice President • Indefinite Term
 
• Since Inception 		Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P.
Stan Ueland
(1970) 		Vice President • Indefinite Term
 
• Since Inception 		Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P.
(1) Mr. Bowen is deemed an “interested person” of the Trust due to his position as CEO of First Trust Advisors L.P., investment advisor of the Trust.
(2) The term “officer” means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function.
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Privacy Policy
First Trust Exchange-Traded AlphaDEX® Fund II
December 31, 2021 (Unaudited)
Privacy Policy
First Trust values our relationship with you and considers your privacy an important priority in maintaining that relationship. We are committed to protecting the security and confidentiality of your personal information.
Sources of Information
We collect nonpublic personal information about you from the following sources:
• Information we receive from you and your broker-dealer, investment professional or financial representative through interviews, applications, agreements or other forms;
• Information about your transactions with us, our affiliates or others;
• Information we receive from your inquiries by mail, e-mail or telephone; and
• Information we collect on our website through the use of “cookies”. For example, we may identify the pages on our website that your browser requests or visits.
Information Collected
The type of data we collect may include your name, address, social security number, age, financial status, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, investment objectives, marital status, family relationships and other personal information.
Disclosure of Information
We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law. In addition to using this information to verify your identity (as required under law), the permitted uses may also include the disclosure of such information to unaffiliated companies for the following reasons:
• In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers.
• We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud).
In addition, in order to alert you to our other financial products and services, we may share your personal information within First Trust.
Use of Website Analytics
We currently use third party analytics tools, Google Analytics and AddThis, to gather information for purposes of improving First Trust’s website and marketing our products and services to you. These tools employ cookies, which are small pieces of text stored in a file by your web browser and sent to websites that you visit, to collect information, track website usage and viewing trends such as the number of hits, pages visited, videos and PDFs viewed and the length of user sessions in order to evaluate website performance and enhance navigation of the website. We may also collect other anonymous information, which is generally limited to technical and web navigation information such as the IP address of your device, internet browser type and operating system for purposes of analyzing the data to make First Trust’s website better and more useful to our users. The information collected does not include any personal identifiable information such as your name, address, phone number or email address unless you provide that information through the website for us to contact you in order to answer your questions or respond to your requests. To find out how to opt-out of these services click on: Google Analytics and AddThis.
Confidentiality and Security
With regard to our internal security procedures, First Trust restricts access to your nonpublic personal information to those First Trust employees who need to know that information to provide products or services to you. We maintain physical, electronic and procedural safeguards to protect your nonpublic personal information.
Policy Updates and Inquiries
As required by federal law, we will notify you of our privacy policy annually. We reserve the right to modify this policy at any time, however, if we do change it, we will tell you promptly. For questions about our policy, or for additional copies of this notice, please go to www.ftportfolios.com, or contact us at 1-800-621-1675 (First Trust Portfolios) or 1-800-222-6822 (First Trust Advisors).
March 2021
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First Trust Exchange-Traded AlphaDEX® Fund II
INVESTMENT ADVISOR
First Trust Advisors L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
ADMINISTRATOR, CUSTODIAN,
FUND ACCOUNTANT &
TRANSFER AGENT
Brown Brothers Harriman & Co.
50 Post Office Square
Boston, MA 02110
INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
111 S. Wacker Drive
Chicago, IL 60606
LEGAL COUNSEL
Chapman and Cutler LLP
320 South Canal Street
Chicago, IL 60606
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