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FIRST TRUST
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
Annual Report July 31, 2022
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AlphaDEX(R) Sector Funds
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First Trust Consumer Discretionary AlphaDEX(R) Fund (FXD)
First Trust Consumer Staples AlphaDEX(R) Fund (FXG)
First Trust Energy AlphaDEX(R) Fund (FXN)
First Trust Financials AlphaDEX(R) Fund (FXO)
First Trust Health Care AlphaDEX(R) Fund (FXH)
First Trust Industrials/Producer Durables AlphaDEX(R) Fund (FXR)
First Trust Materials AlphaDEX(R) Fund (FXZ)
First Trust Technology AlphaDEX(R) Fund (FXL)
First Trust Utilities AlphaDEX(R) Fund (FXU)
AlphaDEX(R)
FAMILY OF ETFs
AlphaDEX(R) is a registered trademark of First Trust Portfolios L.P.
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TABLE OF CONTENTS
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
ANNUAL REPORT
JULY 31, 2022
Shareholder Letter........................................................... 2
Market Overview.............................................................. 3
Fund Performance Overview
First Trust Consumer Discretionary AlphaDEX(R) Fund (FXD).............. 4
First Trust Consumer Staples AlphaDEX(R) Fund (FXG).................... 6
First Trust Energy AlphaDEX(R) Fund (FXN).............................. 8
First Trust Financials AlphaDEX(R) Fund (FXO).......................... 10
First Trust Health Care AlphaDEX(R) Fund (FXH)......................... 12
First Trust Industrials/Producer Durables AlphaDEX(R) Fund (FXR)....... 14
First Trust Materials AlphaDEX(R) Fund (FXZ)........................... 16
First Trust Technology AlphaDEX(R) Fund (FXL).......................... 18
First Trust Utilities AlphaDEX(R) Fund (FXU)........................... 20
Notes to Fund Performance Overview........................................... 22
Understanding Your Fund Expenses............................................. 23
Portfolio of Investments
First Trust Consumer Discretionary AlphaDEX(R) Fund (FXD).............. 25
First Trust Consumer Staples AlphaDEX(R) Fund (FXG).................... 28
First Trust Energy AlphaDEX(R) Fund (FXN).............................. 29
First Trust Financials AlphaDEX(R) Fund (FXO).......................... 31
First Trust Health Care AlphaDEX(R) Fund (FXH)......................... 34
First Trust Industrials/Producer Durables AlphaDEX(R) Fund (FXR)....... 36
First Trust Materials AlphaDEX(R) Fund (FXZ)........................... 39
First Trust Technology AlphaDEX(R) Fund (FXL).......................... 40
First Trust Utilities AlphaDEX(R) Fund (FXU)........................... 43
Statements of Assets and Liabilities......................................... 44
Statements of Operations..................................................... 46
Statements of Changes in Net Assets.......................................... 48
Financial Highlights......................................................... 52
Notes to Financial Statements................................................ 57
Report of Independent Registered Public Accounting Firm...................... 66
Additional Information....................................................... 67
Board of Trustees and Officers............................................... 74
Privacy Policy............................................................... 76
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CAUTION REGARDING FORWARD-LOOKING STATEMENTS
This report contains certain forward-looking statements within the meaning of
the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934,
as amended. Forward-looking statements include statements regarding the goals,
beliefs, plans or current expectations of First Trust Advisors L.P. ("First
Trust" or the "Advisor") and its representatives, taking into account the
information currently available to them. Forward-looking statements include all
statements that do not relate solely to current or historical fact. For example,
forward-looking statements include the use of words such as "anticipate,"
"estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or
other words that convey uncertainty of future events or outcomes.
Forward-looking statements involve known and unknown risks, uncertainties and
other factors that may cause the actual results, performance or achievements of
any series of First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust")
described in this report (each such series is referred to as a "Fund" and
collectively, as the "Funds") to be materially different from any future
results, performance or achievements expressed or implied by the forward-looking
statements. When evaluating the information included in this report, you are
cautioned not to place undue reliance on these forward-looking statements, which
reflect the judgment of the Advisor and its representatives only as of the date
hereof. We undertake no obligation to publicly revise or update these
forward-looking statements to reflect events and circumstances that arise after
the date hereof.
PERFORMANCE AND RISK DISCLOSURE
There is no assurance that any Fund described in this report will achieve its
investment objective. Each Fund is subject to market risk, which is the
possibility that the market values of securities owned by the Fund will decline
and that the value of the Fund's shares may therefore be less than what you paid
for them. Accordingly, you can lose money investing in a Fund. See "Risk
Considerations" in the Additional Information section of this report for a
discussion of certain other risks of investing in the Funds.
Performance data quoted represents past performance, which is no guarantee of
future results, and current performance may be lower or higher than the figures
shown. For the most recent month-end performance figures, please visit
www.ftportfolios.com or speak with your financial advisor. Investment returns,
net asset value and share price will fluctuate and Fund shares, when sold, may
be worth more or less than their original cost.
The Advisor may also periodically provide additional information on Fund
performance on each Fund's webpage at www.ftportfolios.com.
HOW TO READ THIS REPORT
This report contains information that may help you evaluate your investment. It
includes details about each Fund and presents data and analysis that provide
insight into each Fund's performance and investment approach.
By reading the market overview by Robert F. Carey, Chief Market Strategist of
the Advisor, you may obtain an understanding of how the market environment
affected the performance of each Fund. The statistical information that follows
may help you understand each Fund's performance compared to that of relevant
market benchmarks.
It is important to keep in mind that the opinions expressed by personnel of the
Advisor are just that: informed opinions. They should not be considered to be
promises or advice. The opinions, like the statistics, cover the period through
the date on the cover of this report. The material risks of investing in each
Fund are spelled out in its prospectus, statement of additional information, and
other Fund regulatory filings.
Page 1
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SHAREHOLDER LETTER
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
ANNUAL LETTER FROM THE CHAIRMAN AND CEO
JULY 31, 2022
Dear Shareholders:
First Trust is pleased to provide you with the annual report for the Sector
Funds of the First Trust Exchange-Traded AlphaDEX(R) Fund (the "Funds"), which
contains detailed information about the Funds for the 12-month period ended July
31, 2022.
When it comes to investing one's capital, it is natural to want to find some
analyst, economist, or other pundit who claims to know exactly where the
securities markets are headed at any given time. You can find them if you search
hard enough, but watch your step. Relying on someone else's crystal ball
predictions, even if they have been fortunate enough to have made a celebrated
market call or two in the past, is a fool's errand, in my opinion. It is tough
to reproduce such success. I am, as I have been for my entire career in the
financial services industry, an advocate for individual investors seeking out
professional assistance to help them meet their goals. If anything, the endless
amounts of information flowing through the financial media via the internet and
cable channels these days is likely making things more confusing for the average
investor looking to get ahead. While some individuals may be adept at sifting
through the noise to find those timely nuggets of information that can
potentially move the markets, most are not, and one's financial future is too
important to gamble on meme stocks and black swans, in my opinion.
Having said all that, for those investors who do want to steer their own ship,
there are now a plethora of packaged products available to meet almost any need
or strategy, such as mutual funds, unit investment trusts and exchange-traded
funds. With respect to equities, investors can choose from portfolios featuring
style investing (growth and value), sectors, subsectors (i.e., Semiconductors
are a subsector of the Technology sector), long/short strategies, dividend
strategies and many more. There are products out there for both bullish and
bearish investors. Again, for those individuals that are not savvy when it comes
to investing, know that financial representatives have more of these, and other
tools, at their disposal than ever before.
The markets have moved up and down in dramatic fashion in 2022. The stock
market, as measured by the S&P 500(R) Index, declined in price by 20.80% from
the close on March 23, 2022 through June 16, 2022, only to reverse course and
rise by 17.41% from the close on June 16, 2022 through August 16, 2022,
according to data from Bloomberg. So much for the adage "the trend is your
friend." The action in the bond market has been just as frantic. In the U.S.
Treasury market, the yield on the 10-Year Treasury Note ("T-Note") rose 114
basis points ("bps") from the close on March 31, 2022 through June 14, 2022,
only to reverse course and drop by 90 bps from the close on June 14, 2022
through August 1, 2022, according to data from Bloomberg. Suffice it to say that
yield swings of this magnitude are not all that common. What is driving these
divergent trading patterns? Robust inflation. The Consumer Price Index stood at
8.5% year-over-year in July 2022. A level not seen since the early 1980s. In the
hopes of reducing it, the Federal Reserve (the "Fed") is in the process of
hiking interest rates and, in September, is expected to reduce the size of its
balance sheet to the tune of $95 billion per month. The concern in the markets
is whether or not the Fed's tightening of monetary policy will push the U.S.
economy into a serious recession. Some economists and others in the financial
media believe the U.S. is already in a recession. We expect this battle (fight
inflation at the expense of economic growth) to continue to play out over the
coming months. Keep an eye on the 10-Year T-Note. If the yield rises moving
forward, expect the stock and bond markets to struggle and vice versa. If you
have not already, I encourage you to forge an investment plan and stay the
course!
Thank you for giving First Trust the opportunity to play a role in your
financial future. We value our relationship with you and will report on the
Funds again in six months.
Sincerely,
/s/ James A. Bowen
James A. Bowen
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
Page 2
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MARKET OVERVIEW
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
ANNUAL REPORT
JULY 31, 2022
ROBERT F. CAREY, CFA
SENIOR VICE PRESIDENT AND CHIEF MARKET STRATEGIST
FIRST TRUST ADVISORS L.P.
Mr. Carey is responsible for the overall management of research and analysis of
the First Trust product line. Mr. Carey has more than 30 years of experience as
an Equity and Fixed-Income Analyst and is a recipient of the Chartered Financial
Analyst ("CFA") designation. He is a graduate of the University of Illinois at
Champaign-Urbana with a B.S. in Physics. He is also a member of the Investment
Analysts Society of Chicago and the CFA Institute. Mr. Carey has appeared as a
guest on such programs as Bloomberg TV, CNBC, and WBBM Radio, and has been
quoted by several publications, including The Wall Street Journal, The Wall
Street Reporter, Bloomberg News Service, and Registered Rep.
STATE OF THE U.S. ECONOMY
The first seven months of 2022 was likely a tumultuous time for most investors.
The returns on stocks and bonds were so dismal they dragged down the results for
the last 12 months. The latest hot topic appears to be whether or not the U.S.
economy is in a recession. After all, real gross domestic product ("GDP") growth
did come in at an annualized -1.6% in the first quarter of 2022 and -0.9% in the
second quarter of 2022, according to data from the U.S. Bureau of Economic
Analysis. The traditional definition of a recession is two consecutive quarters
of negative GDP growth. Opinions on this topic vary. Some pundits believe the
U.S. economy is already in recession. Brian Wesbury, Chief Economist at First
Trust, is not one of them. While he acknowledges that a recession is inevitable,
he believes we are not there yet. Wesbury notes that the official arbiter of
recessions, the National Bureau of Economic Research, considers other factors
beyond just real GDP, including the job market, manufacturing activity and real
income, which reflect strength in the current climate. We are anticipating
additional interest rate hikes from the Federal Reserve to combat the surge in
inflation, which stood at an elevated 8.5% on a trailing 12-month basis in July
2022, as measured by the Consumer Price Index. Will the U.S. economy be
resilient to said rate hikes, or succumb to them? We should know more in the
coming months.
Economic headwinds extend beyond what is transpiring in the U.S. Two of the most
critical events to surface so far in 2022 are the war between Russia and
Ukraine, which commenced in late February 2022, and the coronavirus-induced
("COVID-19") shutdown in China. The war has helped drive the relative value of
the U.S. Dollar higher against other major world currencies, in our opinion. A
strong U.S. Dollar can put downward pressure on commodity prices. Historically
speaking, it is common for foreign investors to funnel capital into U.S. assets
when wars break out or during periods of great uncertainty. The U.S. is still
viewed by many as a safe haven for capital. The U.S. Dollar increased by 14.9%
against a basket of major currencies for the 12-month period ended July 31,
2022, as measured by the U.S. Dollar Index. An end to the Russian conflict and
the reopening of China's economy would be a net gain for the economy, in our
opinion.
The global growth forecast from the International Monetary Fund ("IMF") released
in July 2022 projected a 3.2% real GDP growth rate for 2022, down from 6.1% in
2021. Economic growth activity was elevated in 2021 following the
COVID-19-induced downturn (real GDP was -3.1%) in 2020. The IMF is calling for a
2.3% growth rate for the U.S. in 2022, down from 5.7% the previous year.
Advanced Economies are expected to register a 2.5% growth rate in 2022, down
from 5.2% the previous year. While the gap has narrowed from prior years,
Emerging Market and Developing Economies are still expected to grow faster than
Advanced Economies. Their 2022 growth rate estimate is 3.6%, down from 6.8% a
year ago. These estimates do not reflect a recession.
ETFGI, an independent research and consultancy firm, reported that total assets
invested in exchange-traded funds ("ETFs") and related exchange-traded products
("ETPs") listed globally stood at $9.37 trillion in July 2022, up from $6.36
trillion as of the close of 2019 (prior to the COVID-19 pandemic), according to
its own release. U.S. listed ETFs/ETPs had assets under management totaling
$6.61 trillion in July 2022. The U.S accounts for roughly 70.5% of total global
ETF/ETP assets.
SECTOR/EQUITY INVESTING
For the 12-month period ended July 31, 2022, just four of the 11 major sectors
that comprise the S&P 500(R) Index generated positive total returns, according
to Bloomberg. The S&P 500(R) Index posted a total return of -4.64% over the same
period. Five of the 11 sectors outperformed the broader index. Those five
sectors were as follows: Energy (67.44%); Utilities (15.58%); Consumer Staples
(7.43%); Health Care (1.82%); and Real Estate (-1.64%). The Communication
Services sector had the worst showing, with a total return of -28.96% during the
period.
Some of the headwind endured by the stock market year-to-date has stemmed from
the rise in the yield on the benchmark 10-Year Treasury Note ("T-Note"). When
bond yields trend higher, the cost of capital also rises for businesses, and
that can trim future corporate earnings and put downward pressure on stock
valuations. Year-to-date through July 31, 2022, the yield on the 10-Year T-Note
increased by 114 basis points, from 1.51% to 2.65%. It reached as high as 3.48%
in June 2022. That is a substantial move higher in just seven months. With
economic growth in negative territory in the first two quarters of 2022, it
stands to reason that the top performing sectors, excluding Energy, would be
characterized as defensive in nature. These sectors tend to be less cyclical, so
demand for their goods and services isn't as dependent on the economy as other
more growth-oriented sectors, such as Communication Services. Keep an eye on the
10-Year T-Note yield in the months ahead.
Page 3
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FUND PERFORMANCE OVERVIEW (UNAUDITED)
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FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD)
The First Trust Consumer Discretionary AlphaDEX(R) Fund (the "Fund") seeks
investment results that correspond generally to the price and yield (before the
Fund's fees and expenses) of an equity index called the StrataQuant(R) Consumer
Discretionary Index (the "Consumer Discretionary Index"). The Fund will normally
invest at least 90% of its net assets (including investment borrowings) in the
common stocks that comprise the Consumer Discretionary Index. The shares of the
Fund are listed and trade on the NYSE Arca, Inc. (the "NYSE Arca" or the
"Exchange") under the ticker symbol "FXD."
The Consumer Discretionary Index is a modified equal-dollar weighted index
designed by ICE Data Indices, LLC or its affiliates ("IDI") to objectively
identify and select stocks from the Russell 1000(R) Index in the consumer
discretionary sector that may generate positive alpha relative to traditional
passive-style indices through the use of the AlphaDEX(R) selection methodology.
Alpha is an indication of how much an investment outperforms or underperforms on
a risk-adjusted basis relative to its benchmark. IDI constructs the Consumer
Discretionary Index using the Industry Classification Benchmark ("ICB") sector
scheme to determine a stock's sector membership.
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PERFORMANCE
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AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
7/31/22 7/31/22 7/31/22 to 7/31/22 7/31/22 7/31/22 to 7/31/22
FUND PERFORMANCE
NAV -18.43% 6.63% 10.17% 6.97% 37.85% 163.43% 179.01%
Market Price -18.43% 6.63% 10.18% 6.97% 37.83% 163.63% 178.95%
INDEX PERFORMANCE
StrataQuant(R) Consumer
Discretionary Index -17.99% 7.27% 10.88% 7.70% 42.05% 180.91% 209.66%
Russell 1000(R) Index -6.87% 12.55% 13.69% 9.00% 80.64% 260.92% 271.66%
S&P 500(R) Consumer
Discretionary Index -10.29% 13.21% 15.54% 11.33% 85.93% 323.90% 412.52%
Russell 1000(R) Consumer
Discretionary Index(1) -15.50% 13.10% 15.04% N/A 85.05% 305.87% N/A
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(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
The Fund generated a net asset value ("NAV") return of -18.43% during the period
covered by this report. During the same period, the S&P 500(R) Consumer
Discretionary Index (the "Benchmark") generated a return of -10.29%. The
Specialty Retail industry received an allocation of 23.1% in the Fund, which was
the greatest allocation to any industry during the period covered by this
report. Investments in this industry had the greatest negative contribution to
the Fund's return, causing a -4.1% contribution to the Fund's overall return.
Almost every industry had a negative contribution to return. Investments in the
Food & Staples Retailing industry had the greatest positive contribution during
the period with a 0.3% contribution to the Fund's return.
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(1) On or about September 18, 2008, Russell Investment Group ("Russell") began
calculating its Russell U.S. Indices using an enhanced Russell sector scheme,
the Russell Global Sectors ("RGS"). The RGS and the former U.S. sector scheme
ran in tandem until June 30, 2009, when Russell officially transitioned to the
RGS and ceased calculating its indices using the U.S. sector scheme. In addition
to the implementation of the RGS, Russell changed the name of the Russell
1000(R) Consumer Discretionary and Services Index to the Russell 1000(R)
Consumer Discretionary Index. Consequently, performance data is not available
for all the periods shown in the table for the Russell 1000(R) Consumer
Discretionary Index because performance data does not exist for each of the
entire periods using solely the U.S. sector scheme, or alternatively, using
solely the RGS.
Source ICE Data Indices, LLC ("ICE Data"), is used with permission.
"StrataQuant(R)" is a service/trade mark of ICE Data or its affiliates. Frank
Russell Company is the source and owner of the trademarks, service marks and
copyrights related to the Russell Indices. Russell(R), Russell 1000(R) and
Russell 3000(R) are all registered trademarks of Frank Russell Company. Russell
1000(R) and Russell 3000(R) are being utilized in the indices under license.
These trademarks have been licensed along with the StrataQuant(R) Consumer
Discretionary Index ("Index") for use by First Trust Portfolios L.P. ("FTP") in
connection with the First Trust Consumer Discretionary AlphaDEX(R) Fund ("FXD").
Neither FTP, the Trust, nor FXD is sponsored, endorsed, sold or promoted by ICE
Data, its affiliates or its Third Party Suppliers including without limitation
Frank Russell Company ("ICE Data and its Suppliers"). ICE Data and its Suppliers
make no representations or warranties regarding the advisability of investing in
securities generally, in FXD particularly, the Trust or the ability of the Index
to track general stock market performance. ICE Data's only relationship to FTP
is the licensing of certain trademarks, trade names and the Index or components
thereof. The Index is determined, composed and calculated by ICE Data without
regard to FTP or FXD or its holders. ICE Data has no obligation to take the
needs of FTP or the holders of FXD into consideration in determining, composing
or calculating the Index. ICE Data is not responsible for and has not
participated in the determination of the timing of, prices of, or quantities of
FXD to be issued or in the determination or calculation of the equation by which
FXD is to be priced, sold, purchased, or redeemed. Except for certain custom
index calculation services, all information provided by ICE Data is general in
nature and not tailored to the needs of FTP or any other person, entity or group
of persons. ICE Data has no obligation or liability in connection with the
administration, marketing, or trading of FXD. ICE Data is not an investment
advisor. Inclusion of a security within an index is not a recommendation by ICE
Data to buy, sell, or hold such security, nor is it considered to be investment
advice.
ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS,
EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS
FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY
INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM ("INDEX DATA"). ICE
DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH
RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND
THE INDEX DATA, WHICH ARE PROVIDED ON AN "AS IS" BASIS AND YOUR USE IS AT YOUR
OWN RISK.
Page 4
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD) (CONTINUED)
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% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Consumer Discretionary 73.6%
Communication Services 13.2
Industrials 9.7
Consumer Staples 3.5
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Total 100.0%
=======
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% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Ford Motor Co. 1.7%
Dick's Sporting Goods, Inc. 1.6
Lennar Corp., Class A 1.5
Capri Holdings Ltd. 1.5
D.R. Horton, Inc. 1.5
Genuine Parts Co. 1.4
General Motors Co. 1.4
Thor Industries, Inc. 1.4
AMERCO 1.4
Warner Bros Discovery, Inc. 1.4
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Total 14.8%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2012 - JULY 31, 2022
First Trust Russell 1000(R)
Consumer Discretionary StrataQuant(R) Consumer Russell 1000(R) S&P 500(R) Consumer Consumer
AlphaDEX(R) Fund Discretionary Index Index Discretionary Index Discretionary Index
7/31/12 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/13 11,951 11,999 11,089 11,631 11,678
7/31/13 14,217 14,324 12,623 13,870 13,803
1/31/14 15,049 15,223 13,554 14,813 14,754
7/31/14 15,976 16,215 14,777 15,631 15,522
1/31/15 17,220 17,537 15,420 16,741 16,580
7/31/15 18,618 19,027 16,437 19,332 18,742
1/31/16 16,187 16,592 15,140 18,043 17,252
7/31/16 18,184 18,694 17,233 20,015 19,269
1/31/17 18,190 18,761 18,291 21,015 20,082
7/31/17 19,110 19,774 19,981 22,797 21,932
1/31/18 22,531 23,391 23,016 27,108 26,081
7/31/18 21,819 22,720 23,214 28,155 26,556
1/31/19 21,075 22,006 22,515 27,572 26,264
7/31/19 22,502 23,582 25,072 30,758 29,538
1/31/20 22,724 23,903 27,331 32,195 31,219
7/31/20 20,836 21,956 28,089 37,389 35,592
1/31/21 27,621 29,206 32,755 42,814 44,038
7/31/21 32,295 34,257 38,753 47,255 48,038
1/31/22 30,419 32,338 39,408 47,922 46,823
7/31/22 26,343 28,091 36,092 42,390 40,587
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 5
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG)
The First Trust Consumer Staples AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the StrataQuant(R) Consumer Staples
Index (the "Consumer Staples Index"). The Fund will normally invest at least 90%
of its net assets (including investment borrowings) in the common stocks that
comprise the Consumer Staples Index. The shares of the Fund are listed and trade
on the NYSE Arca under the ticker symbol "FXG."
The Consumer Staples Index is a modified equal-dollar weighted index designed by
IDI to objectively identify and select stocks from the Russell 1000(R) Index in
the consumer staples sector that may generate positive alpha relative to
traditional passive-style indices through the use of the AlphaDEX(R) selection
methodology. Alpha is an indication of how much an investment outperforms or
underperforms on a risk-adjusted basis relative to its benchmark. IDI constructs
the Consumer Staples Index using the ICB sector scheme to determine a stock's
sector membership.
------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
7/31/22 7/31/22 7/31/22 to 7/31/22 7/31/22 7/31/22 to 7/31/22
FUND PERFORMANCE
NAV 14.95% 8.12% 12.27% 9.46% 47.72% 218.04% 296.11%
Market Price 14.93% 8.12% 12.28% 9.46% 47.72% 218.44% 296.09%
INDEX PERFORMANCE
StrataQuant(R) Consumer
Staples Index 15.42% 8.78% 12.99% 10.23% 52.35% 239.26% 340.67%
Russell 1000(R) Index -6.87% 12.55% 13.69% 9.00% 80.64% 260.92% 271.66%
S&P 500(R) Consumer
Staples Index 7.43% 9.37% 10.73% 9.95% 56.49% 177.23% 324.31%
Russell 1000(R) Consumer
Staples Index(1) 9.18% 7.66% 10.25% N/A 44.65% 165.31% N/A
------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 14.95% during the period covered by this
report. During the same period, the S&P 500(R) Consumer Staples Index (the
"Benchmark") generated a return of 7.43%. The Food Products industry received an
allocation in the Fund of 50.9% during the period covered by this report. This
was by far the greatest allocation to any industry in the Fund during the period
and it contributed 9.1% to the Fund's overall return, which was also the
greatest contribution of any industry to the Fund's return. The industry with
the greatest drag on the Fund's return was the Personal Products industry, which
received an allocation of 2.4% and contributed -2.2% to the Fund's overall
return for the same period.
-----------------------------
(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Consumer Staples Index because
performance data does not exist for each of the entire periods using solely the
U.S. sector scheme, or alternatively, using solely the RGS.
Source ICE Data Indices, LLC ("ICE Data"), is used with permission.
"StrataQuant(R)" is a service/trade mark of ICE Data or its affiliates. Frank
Russell Company is the source and owner of the trademarks, service marks and
copyrights related to the Russell Indices. Russell(R), Russell 1000(R) and
Russell 3000(R) are all registered trademarks of Frank Russell Company. Russell
1000(R) and Russell 3000(R) are being utilized in the indices under license.
These trademarks have been licensed, along with the StrataQuant(R) Consumer
Staples Index ("Index") for use by First Trust Portfolios L.P. ("FTP") in
connection with the First Trust Consumer Staples AlphaDEX(R) Fund ("FXG").
Neither FTP, the Trust nor FXG is sponsored, endorsed, sold or promoted by ICE
Data, its affiliates or its Third Party Suppliers including without limitation
Frank Russell Company ("ICE Data and its Suppliers"). ICE Data and its Suppliers
make no representations or warranties regarding the advisability of investing in
securities generally, in FXG particularly, the Trust or the ability of the Index
to track general stock market performance. ICE Data's only relationship to FTP
is the licensing of certain trademarks, trade names and the Index or components
thereof. The Index is determined, composed and calculated by ICE Data without
regard to FTP or FXG or its holders. ICE Data has no obligation to take the
needs of FTP or the holders of FXG into consideration in determining, composing
or calculating the Index. ICE Data is not responsible for and has not
participated in the determination of the timing of, prices of, or quantities of
FXG to be issued or in the determination or calculation of the equation by which
FXG is to be priced, sold, purchased, or redeemed. Except for certain custom
index calculation services, all information provided by ICE Data is general in
nature and not tailored to the needs of FTP or any other person, entity or group
of persons. ICE Data has no obligation or liability in connection with the
administration, marketing, or trading of FXG. ICE Data is not an investment
advisor. Inclusion of a security within an index is not a recommendation by ICE
Data to buy, sell, or hold such security, nor is it considered to be investment
advice.
ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS,
EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS
FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY
INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM ("INDEX DATA"). ICE
DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH
RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND
THE INDEX DATA, WHICH ARE PROVIDED ON AN "AS IS" BASIS AND YOUR USE IS AT YOUR
OWN RISK.
Page 6
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Consumer Staples 87.5%
Health Care 10.8
Materials 1.7
-------
Total 100.0%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Performance Food Group Co. 4.3%
McKesson Corp. 4.2
Walgreens Boots Alliance, Inc. 4.2
AmerisourceBergen Corp. 4.1
Tyson Foods, Inc., Class A 4.1
Pilgrim's Pride Corp. 4.0
Sysco Corp. 4.0
Grocery Outlet Holding Corp. 4.0
Darling Ingredients, Inc. 3.7
Molson Coors Beverage Co., Class B 3.5
-------
Total 40.1%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2012 - JULY 31, 2022
S&P 500(R) Russell 1000(R)
First Trust Consumer StrataQuant(R) Russell 1000(R) Consumer Staples Consumer
Staples AlphaDEX(R) Fund Consumer Staples Index Index Index Staples Index
7/31/12 $10,002 $10,000 $10,000 $10,000 $10,000
1/31/13 11,651 11,691 11,089 10,502 10,619
7/31/13 14,392 14,506 12,623 11,892 12,066
1/31/14 14,914 15,086 13,554 11,873 12,113
7/31/14 16,571 16,827 14,777 12,739 13,127
1/31/15 18,745 19,081 15,420 14,356 14,750
7/31/15 20,399 20,830 16,437 15,197 15,874
1/31/16 19,536 20,001 15,140 15,574 16,194
7/31/16 22,275 22,881 17,233 16,971 17,692
1/31/17 20,851 21,488 18,291 16,575 17,335
7/31/17 21,537 22,268 19,981 17,717 18,340
1/31/18 23,353 24,225 23,016 18,800 18,915
7/31/18 21,653 22,549 23,214 17,614 17,642
1/31/19 21,280 22,222 22,515 17,837 17,760
7/31/19 21,832 22,884 25,072 20,192 19,427
1/31/20 22,980 24,176 27,331 21,716 20,962
7/31/20 23,677 25,002 28,089 21,830 20,696
1/31/21 25,571 27,079 32,755 22,720 21,571
7/31/21 27,674 29,395 38,753 25,805 24,298
1/31/22 30,689 32,625 39,408 28,035 26,796
7/31/22 31,804 33,926 36,092 27,723 26,531
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 7
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN)
The First Trust Energy AlphaDEX(R) Fund (the "Fund") seeks investment results
that correspond generally to the price and yield (before the Fund's fees and
expenses) of an equity index called the StrataQuant(R) Energy Index (the "Energy
Index"). The Fund will normally invest at least 90% of its net assets (including
investment borrowings) in the common stocks that comprise the Energy Index. The
shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol
"FXN."
The Energy Index is a modified equal-dollar weighted index designed by IDI to
objectively identify and select stocks from the Russell 1000(R) Index in the
energy sector that may generate positive alpha relative to traditional
passive-style indices through the use of the AlphaDEX(R) selection methodology.
Alpha is an indication of how much an investment outperforms or underperforms on
a risk-adjusted basis relative to its benchmark. IDI constructs the Energy Index
using the ICB sector scheme to determine a stock's sector membership.
------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
7/31/22 7/31/22 7/31/22 to 7/31/22 7/31/22 7/31/22 to 7/31/22
FUND PERFORMANCE
NAV 65.76% 6.71% 0.88% 0.23% 38.39% 9.21% 3.51%
Market Price 65.83% 6.70% 0.89% 0.22% 38.32% 9.22% 3.46%
INDEX PERFORMANCE
StrataQuant(R) Energy Index 67.28% 7.42% 1.47% 0.86% 43.02% 15.75% 13.85%
Russell 1000(R) Index -6.87% 12.55% 13.69% 9.00% 80.64% 260.92% 271.66%
S&P 500(R) Energy Index 67.44% 8.47% 4.83% 4.17% 50.16% 60.26% 86.39%
Russell 1000(R) Energy Index(1) 65.10% 8.56% 4.49% N/A 50.79% 55.15% N/A
------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 65.76% during the period covered by this
report. During the same period, the S&P 500(R) Energy Index (the "Benchmark")
generated a return of 67.44%. The Oil, Gas, & Consumable Fuels industry received
the greatest allocation of any industry in the Fund during the period covered by
this report. During the period, this industry's allocation in the Fund was 83.9%
and contributed 64.5% to the Fund's overall return. Investments in the
Electrical Equipment industry were the only investments with a negative
contribution to the Fund's return. This industry received an allocation of 2.4%
and caused a -2.5% contribution to the Fund's overall return for the same
period.
-----------------------------
(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. In addition to the implementation of the RGS, Russell combined the
Russell 1000(R) Integrated Oils Index and the Russell 1000(R) Other Energy Index
into one index, the Russell 1000(R) Energy Index. Consequently, performance data
is not available for all the periods shown in the table for the Russell 1000(R)
Energy Index because this index did not exist until on or about September 18,
2008.
Source ICE Data Indices, LLC ("ICE Data"), is used with permission.
"StrataQuant(R)" is a service/trade mark of ICE Data or its affiliates. Frank
Russell Company is the source and owner of the trademarks, service marks and
copyrights related to the Russell Indices. Russell(R), Russell 1000(R) and
Russell 3000(R) are all registered trademarks of Frank Russell Company. Russell
1000(R) and Russell 3000(R) are being utilized in the indices under license.
These trademarks have been licensed, along with the StrataQuant(R) Energy Index
("Index") for use by First Trust Portfolios L.P. ("FTP") in connection with the
First Trust Energy AlphaDEX(R) Fund ("FXN"). Neither FTP, the Trust nor FXN is
sponsored, endorsed, sold or promoted by ICE Data, its affiliates or its Third
Party Suppliers including without limitation Frank Russell Company ("ICE Data
and its Suppliers"). ICE Data and its Suppliers make no representations or
warranties regarding the advisability of investing in securities generally, in
FXN particularly, the Trust or the ability of the Index to track general stock
market performance. ICE Data's only relationship to FTP is the licensing of
certain trademarks, trade names and the Index or components thereof. The Index
is determined, composed and calculated by ICE Data without regard to FTP or FXN
or its holders. ICE Data has no obligation to take the needs of FTP or the
holders of FXN into consideration in determining, composing or calculating the
Index. ICE Data is not responsible for and has not participated in the
determination of the timing of, prices of, or quantities of FXN to be issued or
in the determination or calculation of the equation by which FXN is to be
priced, sold, purchased, or redeemed. Except for certain custom index
calculation services, all information provided by ICE Data is general in nature
and not tailored to the needs of FTP or any other person, entity or group of
persons. ICE Data has no obligation or liability in connection with the
administration, marketing, or trading of FXN. ICE Data is not an investment
advisor. Inclusion of a security within an index is not a recommendation by ICE
Data to buy, sell, or hold such security, nor is it considered to be investment
advice.
ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS,
EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS
FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY
INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM ("INDEX DATA"). ICE
DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH
RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND
THE INDEX DATA, WHICH ARE PROVIDED ON AN "AS IS" BASIS AND YOUR USE IS AT YOUR
OWN RISK.
Page 8
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Energy 95.7%
Information Technology 4.3
-------
Total 100.0%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Antero Resources Corp. 4.8%
Devon Energy Corp. 4.2
Southwestern Energy Co. 4.2
Cheniere Energy, Inc. 4.2
Occidental Petroleum Corp. 4.1
Marathon Oil Corp. 4.1
Pioneer Natural Resources Co. 3.9
Continental Resources, Inc. 3.9
Coterra Energy, Inc. 3.5
Targa Resources Corp. 3.4
-------
Total 40.3%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2012 - JULY 31, 2022
First Trust Energy StrataQuant(R) Russell 1000(R) S&P 500(R) Russell 1000(R)
AlphaDEX(R) Fund Energy Index Index Energy Index Energy Index
7/31/12 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/13 11,901 11,949 11,089 11,067 11,096
7/31/13 12,362 12,446 12,623 11,862 11,886
1/31/14 13,083 13,220 13,554 12,051 12,136
7/31/14 15,488 15,699 14,777 14,048 14,204
1/31/15 11,142 11,310 15,420 11,289 11,256
7/31/15 9,511 9,663 16,437 10,439 10,404
1/31/16 7,332 7,450 15,140 9,073 8,852
7/31/16 8,306 8,454 17,233 10,652 10,336
1/31/17 9,202 9,402 18,291 11,486 11,169
7/31/17 7,892 8,093 19,981 10,672 10,288
1/31/18 8,816 9,080 23,016 12,244 11,800
7/31/18 9,979 10,314 23,214 12,776 12,425
1/31/19 7,767 8,033 22,515 10,734 10,371
7/31/19 6,409 6,653 25,072 10,734 10,243
1/31/20 5,281 5,506 27,331 9,605 9,154
7/31/20 3,955 4,114 28,089 6,626 6,393
1/31/21 5,319 5,564 32,755 7,434 7,391
7/31/21 6,589 6,920 38,753 9,571 9,398
1/31/22 8,645 9,125 39,408 13,194 12,580
7/31/22 10,921 11,575 36,092 16,026 15,515
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 9
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)
The First Trust Financials AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the StrataQuant(R) Financials Index (the
"Financials Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in the common stocks and real estate
investment trusts ("REITs") that comprise the Financials Index. The shares of
the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXO."
The Financials Index is a modified equal-dollar weighted index designed by IDI
to objectively identify and select stocks from the Russell 1000(R) Index in the
financial services sector that may generate positive alpha relative to
traditional passive-style indices through the use of the AlphaDEX(R) selection
methodology. Alpha is an indication of how much an investment outperforms or
underperforms on a risk-adjusted basis relative to its benchmark. IDI constructs
the Financials Index using the ICB sector scheme to determine a stock's sector
membership.
------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
7/31/22 7/31/22 7/31/22 to 7/31/22 7/31/22 7/31/22 to 7/31/22
FUND PERFORMANCE
NAV -2.52% 9.60% 13.28% 6.87% 58.15% 247.81% 174.90%
Market Price -2.52% 9.60% 13.27% 6.86% 58.12% 247.73% 174.82%
INDEX PERFORMANCE
StrataQuant(R) Financials Index -1.93% 10.36% 14.07% 7.71% 63.70% 272.95% 209.79%
Russell 1000(R) Index -6.87% 12.55% 13.69% 9.00% 80.64% 260.92% 271.66%
S&P 500(R) Financials Index -5.97% 8.36% 13.25% 2.79% 49.37% 246.98% 52.14%
Russell 1000(R) Financials
Index(1) -4.97% 11.41% 14.34% N/A 71.65% 282.09% N/A
------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
The Fund generated a NAV return of -2.52% during the period covered by this
report. During the same period, the S&P 500(R) Financials Index (the
"Benchmark") generated a return of -5.97%. The greatest allocation in the Fund
was 36.6% to the Insurance industry. Investments in this industry caused a 0.5%
contribution to the Fund's overall return. The industry with the greatest
contribution to the Fund's return was the Banking industry. The Banking industry
received an allocation of 19.6% and contributed 0.7% to the Fund's return.
Meanwhile, the Capital Markets industry carried an average weight of 26.3% and
caused a -1.9% contribution to the Fund's return, which was the worst of any
industry during the period covered by this report.
-----------------------------
(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Financials Index because performance
data does not exist for each of the entire periods using solely the U.S. sector
scheme, or alternatively, using solely the RGS. On September 18, 2020, the name
of the Russell 1000(R) Financial Services Index was changed to Russell 1000(R)
Financials Index.
Source ICE Data Indices, LLC ("ICE Data"), is used with permission.
"StrataQuant(R)" is a service/trade mark of ICE Data or its affiliates. Frank
Russell Company is the source and owner of the trademarks, service marks and
copyrights related to the Russell Indices. Russell(R), Russell 1000(R) and
Russell 3000(R) are all registered trademarks of Frank Russell Company. Russell
1000(R) and Russell 3000(R) are being utilized in the indices under license.
These trademarks have been licensed along with the StrataQuant(R) Financials
Index ("Index") for use by First Trust Portfolios L.P. ("FTP") in connection
with the First Trust Financials AlphaDEX(R) Fund ("FXO"). Neither FTP, the Trust
nor FXO is sponsored, endorsed, sold or promoted by ICE Data, its affiliates or
its Third Party Suppliers including without limitation Frank Russell Company
("ICE Data and its Suppliers"). ICE Data and its Suppliers make no
representations or warranties regarding the advisability of investing in
securities generally, in FXO particularly, the Trust or the ability of the Index
to track general stock market performance. ICE Data's only relationship to FTP
is the licensing of certain trademarks, trade names and the Index or components
thereof. The Index is determined, composed and calculated by ICE Data without
regard to FTP or FXO or its holders. ICE Data has no obligation to take the
needs of FTP or the holders of FXO into consideration in determining, composing
or calculating the Index. ICE Data is not responsible for and has not
participated in the determination of the timing of, prices of, or quantities of
FXO to be issued or in the determination or calculation of the equation by which
FXO is to be priced, sold, purchased, or redeemed. Except for certain custom
index calculation services, all information provided by ICE Data is general in
nature and not tailored to the needs of FTP or any other person, entity or group
of persons. ICE Data has no obligation or liability in connection with the
administration, marketing, or trading of FXO. ICE Data is not an investment
advisor. Inclusion of a security within an index is not a recommendation by ICE
Data to buy, sell, or hold such security, nor is it considered to be investment
advice.
ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS,
EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS
FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY
INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM ("INDEX DATA"). ICE
DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH
RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND
THE INDEX DATA, WHICH ARE PROVIDED ON AN "AS IS" BASIS AND YOUR USE IS AT YOUR
OWN RISK.
Page 10
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Financials 99.6%
Information Technology 0.4
-------
Total 100.0%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Coinbase Global, Inc., Class A 2.1%
Carlyle Group (The), Inc. 1.9
Jefferies Financial Group, Inc. 1.8
Franklin Resources, Inc. 1.8
New Residential Investment Corp. 1.8
Annaly Capital Management, Inc. 1.8
LPL Financial Holdings, Inc. 1.8
MGIC Investment Corp. 1.8
Berkshire Hathaway, Inc., Class B 1.7
Invesco Ltd. 1.7
-------
Total 18.2%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2012 - JULY 31, 2022
First Trust Financials StrataQuant(R) Russell 1000(R) S&P 500(R) Russell 1000(R)
AlphaDEX(R) Fund Financials Index Index Financials Index Financials Index
7/31/12 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/13 11,851 11,901 11,089 11,984 11,821
7/31/13 13,944 14,055 12,623 14,243 13,852
1/31/14 14,735 14,908 13,554 14,783 14,511
7/31/14 15,472 15,710 14,777 15,868 15,504
1/31/15 16,132 16,439 15,420 16,450 16,305
7/31/15 17,697 18,098 16,437 18,153 17,977
1/31/16 15,609 16,006 15,140 15,860 15,938
7/31/16 17,736 18,256 17,233 17,468 17,726
1/31/17 20,232 20,896 18,291 21,416 20,368
7/31/17 21,992 22,783 19,981 23,230 22,262
1/31/18 24,374 25,342 23,016 27,797 25,841
7/31/18 24,425 25,481 23,214 26,360 25,487
1/31/19 23,104 24,174 22,515 24,713 24,682
7/31/19 25,165 26,426 25,072 27,270 27,985
1/31/20 25,978 27,377 27,331 29,222 30,130
7/31/20 20,746 21,950 28,089 23,775 26,309
1/31/21 28,520 30,278 32,755 28,996 31,887
7/31/21 35,680 38,024 38,753 36,903 40,206
1/31/22 38,406 41,070 39,408 39,844 43,615
7/31/22 34,781 37,295 36,092 34,698 38,209
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 11
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH)
The First Trust Health Care AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the StrataQuant(R) Health Care Index
(the "Health Care Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in the common stocks that comprise the
Health Care Index. The shares of the Fund are listed and trade on the NYSE Arca
under the ticker symbol "FXH."
The Health Care Index is a modified equal-dollar weighted index designed by IDI
to objectively identify and select stocks from the Russell 1000(R) Index in the
health care sector that may generate positive alpha relative to traditional
passive-style indices through the use of the AlphaDEX(R) selection methodology.
Alpha is an indication of how much an investment outperforms or underperforms on
a risk-adjusted basis relative to its benchmark. IDI constructs the Health Care
Index using the ICB sector scheme to determine a stock's sector membership.
------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
7/31/22 7/31/22 7/31/22 to 7/31/22 7/31/22 7/31/22 to 7/31/22
FUND PERFORMANCE
NAV -11.03% 10.16% 13.77% 11.80% 62.24% 263.32% 446.48%
Market Price -11.02% 10.17% 13.78% 11.80% 62.27% 263.58% 446.68%
INDEX PERFORMANCE
StrataQuant(R) Health Care
Index -10.45% 10.90% 14.53% 12.59% 67.79% 288.47% 508.69%
Russell 1000(R) Index -6.87% 12.55% 13.69% 9.00% 80.64% 260.92% 271.66%
S&P 500(R) Health Care Index 1.82% 12.72% 15.23% 10.89% 81.95% 312.59% 382.92%
Russell 1000(R) Health Care
Index(1) -1.46% 12.66% 15.39% N/A 81.48% 318.55% N/A
------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
The Fund generated a NAV return of -11.03% during the period covered by this
report. During the same period, the S&P 500(R) Health Care Index (the
"Benchmark") generated a return of 1.82%. Two industries received significant,
and very similar allocations, in the Fund. The Health Care Equipment & Supplies
industry carried an average weight of 26.3% while the Health Care Providers &
Services industry had an allocation of 25.4%. The contributions to return,
however, were quite different for these two industries. The Health Care
Equipment & Supplies industry accounted for -6.8% of underperformance in the
Fund, the worst contribution to return of any industry. Meanwhile, the Health
Care Providers & Services industry accounted for 0.7% of overperformance in the
Fund, which was the best of any invested industry.
-----------------------------
(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Health Care Index because performance
data does not exist for each of the entire periods using solely the U.S. sector
scheme, or alternatively, using solely the RGS.
Source ICE Data Indices, LLC ("ICE Data"), is used with permission.
"StrataQuant(R)" is a service/trade mark of ICE Data or its affiliates. Frank
Russell Company is the source and owner of the trademarks, service marks and
copyrights related to the Russell Indices. Russell(R), Russell 1000(R) and
Russell 3000(R) are all registered trademarks of Frank Russell Company. Russell
1000(R) and Russell 3000(R) are being utilized in the indices under license.
These trademarks have been licensed, along with the StrataQuant(R) Health Care
Index ("Index") for use by First Trust Portfolios L.P. ("FTP") in connection
with the First Trust Health Care AlphaDEX(R) Fund ("FXH"). Neither FTP, the
Trust nor FXH is sponsored, endorsed, sold or promoted by ICE Data, its
affiliates or its Third Party Suppliers including without limitation Frank
Russell Company ("ICE Data and its Suppliers"). ICE Data and its Suppliers make
no representations or warranties regarding the advisability of investing in
securities generally, in FXH particularly, the Trust or the ability of the Index
to track general stock market performance. ICE Data's only relationship to FTP
is the licensing of certain trademarks, trade names and the Index or components
thereof. The Index is determined, composed and calculated by ICE Data without
regard to FTP or FXH or its holders. ICE Data has no obligation to take the
needs of FTP or the holders of FXH into consideration in determining, composing
or calculating the Index. ICE Data is not responsible for and has not
participated in the determination of the timing of, prices of, or quantities of
FXH to be issued or in the determination or calculation of the equation by which
FXH is to be priced, sold, purchased, or redeemed. Except for certain custom
index calculation services, all information provided by ICE Data is general in
nature and not tailored to the needs of FTP or any other person, entity or group
of persons. ICE Data has no obligation or liability in connection with the
administration, marketing, or trading of FXH. ICE Data is not an investment
advisor. Inclusion of a security within an index is not a recommendation by ICE
Data to buy, sell, or hold such security, nor is it considered to be investment
advice.
ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS,
EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS
FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY
INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM ("INDEX DATA"). ICE
DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH
RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND
THE INDEX DATA, WHICH ARE PROVIDED ON AN "AS IS" BASIS AND YOUR USE IS AT YOUR
OWN RISK.
Page 12
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Health Care 100.0%
-------
Total 100.0%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Molina Healthcare, Inc. 2.3%
Moderna, Inc. 2.3
Laboratory Corp. of America Holdings 2.2
Universal Health Services, Inc., Class B 2.2
UnitedHealth Group, Inc. 2.1
QuidelOrtho Corp. 2.1
Cigna Corp. 2.1
Hologic, Inc. 2.0
Humana, Inc. 2.0
Quest Diagnostics, Inc. 2.0
-------
Total 21.3%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2012 - JULY 31, 2022
First Trust Health Care StrataQuant(R) Russell 1000(R) S&P 500(R) Russell 1000(R)
AlphaDEX(R) Fund Health Care Index Index Health Care Index Health Care Index
7/31/12 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/13 11,878 11,924 11,089 11,298 11,370
7/31/13 14,249 14,364 12,623 13,563 13,711
1/31/14 16,732 16,925 13,554 15,010 15,258
7/31/14 17,780 18,037 14,777 16,469 16,689
1/31/15 20,477 20,840 15,420 18,865 19,229
7/31/15 23,301 23,803 16,437 20,990 21,575
1/31/16 17,944 18,381 15,140 18,408 18,576
7/31/16 20,598 21,165 17,233 20,992 21,268
1/31/17 19,922 20,528 18,291 19,819 20,189
7/31/17 22,395 23,154 19,981 22,673 23,060
1/31/18 24,811 25,735 23,016 25,237 25,629
7/31/18 25,702 26,752 23,214 25,691 26,290
1/31/19 25,000 26,105 22,515 26,413 27,011
7/31/19 25,971 27,232 25,072 26,791 27,673
1/31/20 27,666 29,109 27,331 29,609 30,354
7/31/20 31,879 33,660 28,089 31,824 33,314
1/31/21 36,310 38,457 32,755 35,026 37,066
7/31/21 40,836 43,384 38,753 40,521 42,474
1/31/22 37,001 39,419 39,408 40,618 41,454
7/31/22 36,332 38,847 36,092 41,259 41,855
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 13
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)
The First Trust Industrials/Producer Durables AlphaDEX(R) Fund (the "Fund")
seeks investment results that correspond generally to the price and yield
(before the Fund's fees and expenses) of an equity index called the
StrataQuant(R) Industrials Index (the "Industrials Index"). The Fund will
normally invest at least 90% of its net assets (including investment borrowings)
in the common stocks that comprise the Industrials Index. The shares of the Fund
are listed and trade on the NYSE Arca under the ticker symbol "FXR."
The Industrials Index is a modified equal-dollar weighted index designed by IDI
to objectively identify and select stocks from the Russell 1000(R) Index in the
industrials and producer durables sectors that may generate positive alpha
relative to traditional passive-style indices through the use of the AlphaDEX(R)
selection methodology. Alpha is an indication of how much an investment
outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
IDI constructs the Industrials Index using the ICB sector scheme to determine a
stock's sector membership.
------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
7/31/22 7/31/22 7/31/22 to 7/31/22 7/31/22 7/31/22 to 7/31/22
FUND PERFORMANCE
NAV -9.16% 9.71% 12.72% 7.57% 58.95% 231.17% 203.93%
Market Price -9.16% 9.71% 12.72% 7.57% 58.95% 231.17% 203.94%
INDEX PERFORMANCE
StrataQuant(R) Industrials Index -8.62% 10.40% 13.49% 8.33% 64.04% 254.35% 238.44%
Russell 1000(R) Index -6.87% 12.55% 13.69% 9.00% 80.64% 260.92% 271.66%
S&P 500(R) Industrials Index -6.03% 8.72% 12.29% 8.09% 51.87% 218.70% 226.86%
Russell 1000(R) Industrials
Index(1) -13.07% 7.73% 12.06% N/A 45.11% 212.24% N/A
------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
The Fund generated a NAV return of -9.16% during the period covered by this
report. During the same period, the S&P 500(R) Industrials Index (the
"Benchmark") generated a return of -6.03%. The industry with the greatest
allocation in the Fund was the Machinery industry, which carried an average
weight of 17.6% and contributed -2.3% to the Fund's overall return, which was
the worst of any industry during the period covered by this report. The greatest
contribution to the Fund's return came from investments in the Construction &
Engineering industry. These securities contributed 0.8% to the Fund's return
during the same period.
-----------------------------
(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Industrials Index because performance
data does not exist for each of the entire periods using solely the U.S. sector
scheme, or alternatively, using solely the RGS. On September 18, 2020, the name
of the Russell 1000(R) Producer Durables Index was changed to Russell 1000(R)
Industrials Index.
Source ICE Data Indices, LLC ("ICE Data"), is used with permission.
"StrataQuant(R)" is a service/trade mark of ICE Data or its affiliates. Frank
Russell Company is the source and owner of the trademarks, service marks and
copyrights related to the Russell Indices. Russell(R), Russell 1000(R) and
Russell 3000(R) are all registered trademarks of Frank Russell Company. Russell
1000(R) and Russell 3000(R) are being utilized in the indices under license.
These trademarks have been licensed, along with the StrataQuant(R) Industrials
Index ("Index") for use by First Trust Portfolios L.P. ("FTP") in connection
with the First Trust Industrials/Producer Durables AlphaDEX(R) Fund ("FXR").
Neither FTP, the Trust nor FXR is sponsored, endorsed, sold or promoted by ICE
Data, its affiliates or its Third Party Suppliers including without limitation
Frank Russell Company ("ICE Data and its Suppliers"). ICE Data and its Suppliers
make no representations or warranties regarding the advisability of investing in
securities generally, in FXR particularly, the Trust or the ability of the Index
to track general stock market performance. ICE Data's only relationship to FTP
is the licensing of certain trademarks, trade names and the Index or components
thereof. The Index is determined, composed and calculated by ICE Data without
regard to FTP or FXR or its holders. ICE Data has no obligation to take the
needs of FTP or the holders of FXR into consideration in determining, composing
or calculating the Index. ICE Data is not responsible for and has not
participated in the determination of the timing of, prices of, or quantities of
FXR to be issued or in the determination or calculation of the equation by which
FXR is to be priced, sold, purchased, or redeemed. Except for certain custom
index calculation services, all information provided by ICE Data is general in
nature and not tailored to the needs of FTP or any other person, entity or group
of persons. ICE Data has no obligation or liability in connection with the
administration, marketing, or trading of FXR. ICE Data is not an investment
advisor. Inclusion of a security within an index is not a recommendation by ICE
Data to buy, sell, or hold such security, nor is it considered to be investment
advice.
ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS,
EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS
FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY
INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM ("INDEX DATA"). ICE
DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH
RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND
THE INDEX DATA, WHICH ARE PROVIDED ON AN "AS IS" BASIS AND YOUR USE IS AT YOUR
OWN RISK.
Page 14
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Industrials 69.9%
Materials 11.4
Information Technology 10.8
Consumer Discretionary 4.3
Financials 2.9
Health Care 0.7
-------
Total 100.0%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Builders FirstSource, Inc. 1.5%
Owens Corning 1.4
Carlisle Cos., Inc. 1.4
Brunswick Corp. 1.4
Louisiana-Pacific Corp. 1.4
Synchrony Financial 1.4
Valmont Industries, Inc. 1.4
WESCO International, Inc. 1.4
Knight-Swift Transportation Holdings, Inc. 1.4
MKS Instruments, Inc. 1.3
-------
Total 14.0%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2012 - JULY 31, 2022
First Trust Industrials/ Russell 1000(R)
Producer Durables StrataQuant(R) Russell 1000(R) S&P 500(R) Producer Durables
AlphaDEX(R) Fund Industrials Index Index Industrials Index Index
7/31/12 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/13 11,938 11,983 11,089 11,304 11,467
7/31/13 13,792 13,893 12,623 12,867 13,108
1/31/14 15,908 16,090 13,554 14,378 14,693
7/31/14 16,886 17,143 14,777 15,019 15,338
1/31/15 16,943 17,260 15,420 15,931 16,244
7/31/15 17,106 17,465 16,437 16,057 16,522
1/31/16 14,198 14,536 15,140 15,188 15,430
7/31/16 16,964 17,434 17,233 17,737 17,957
1/31/17 19,827 20,491 18,291 19,422 19,834
7/31/17 20,832 21,602 19,981 20,983 21,520
1/31/18 24,811 25,814 23,016 24,408 25,294
7/31/18 24,494 25,564 23,214 23,710 24,717
1/31/19 22,836 23,885 22,515 22,394 23,437
7/31/19 25,393 26,650 25,072 24,559 25,938
1/31/20 26,465 27,868 27,331 25,885 27,279
7/31/20 23,795 25,140 28,089 23,159 24,492
1/31/21 30,117 31,920 32,755 27,635 29,309
7/31/21 36,457 38,772 38,753 33,914 35,916
1/31/22 35,494 37,873 39,408 33,324 34,074
7/31/22 33,117 35,435 36,092 31,870 31,224
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 15
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ)
The First Trust Materials AlphaDEX(R) Fund (the "Fund") seeks investment results
that correspond generally to the price and yield (before the Fund's fees and
expenses) of an equity index called the StrataQuant(R) Materials Index (the
"Materials Index"). The Fund will normally invest at least 90% of its net assets
(including investment borrowings) in the common stocks that comprise the
Materials Index. The shares of the Fund are listed and trade on the NYSE Arca
under the ticker symbol "FXZ."
The Materials Index is a modified equal-dollar weighted index designed by IDI to
objectively identify and select stocks from the Russell 1000(R) Index in the
materials and processing sector that may generate positive alpha relative to
traditional passive-style indices through the use of the AlphaDEX(R) selection
methodology. Alpha is an indication of how much an investment outperforms or
underperforms on a risk-adjusted basis relative to its benchmark. IDI constructs
the Materials Index using the ICB sector scheme to determine a stock's sector
membership.
------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
7/31/22 7/31/22 7/31/22 to 7/31/22 7/31/22 7/31/22 to 7/31/22
FUND PERFORMANCE
NAV 8.37% 1.50% 12.15% 9.21% 72.30% 214.73% 282.68%
Market Price 8.39% 1.50% 12.16% 9.21% 72.35% 215.01% 282.68%
INDEX PERFORMANCE
StrataQuant(R) Materials Index 9.15% 12.30% 12.95% 10.02% 78.62% 237.99% 328.07%
Russell 1000(R) Index -6.87% 12.55% 13.69% 9.00% 80.64% 260.92% 271.66%
S&P 500(R) Materials Index -5.06% 9.71% 10.70% 6.92% 58.92% 176.35% 176.92%
Russell 1000(R) Basic
Materials Index(1) -5.53% 9.29% 10.90% N/A 55.93% 181.33% N/A
------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 8.37% during the period covered by this
report. During the same period, the S&P 500(R) Materials Index (the "Benchmark")
generated a return of -5.06%. Two industries received the majority of the Fund's
allocation during the period covered by this report. Investments in the
Chemicals industry received an allocation of 50.2% and caused a 4.2%
contribution to the Fund's overall return. The Metals & Mining industry carried
an average weight of 35.2% and contributed 5.8% to the Fund's return, the
greatest contribution of any industry. The most significant drag on the Fund's
return came from investments in the Containers & Packaging industry, which
contributed -0.7% to Fund return during the same period.
-----------------------------
(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Basic Materials Index because
performance data does not exist for each of the entire periods using solely the
U.S. sector scheme, or alternatively, using solely the RGS. On September 18,
2020, the name of the Russell 1000(R) Materials and Processing Index was changed
to Russell 1000(R) Basic Materials Index.
Source ICE Data Indices, LLC ("ICE Data"), is used with permission.
"StrataQuant(R)" is a service/trade mark of ICE Data or its affiliates. Frank
Russell Company is the source and owner of the trademarks, service marks and
copyrights related to the Russell Indices. Russell(R), Russell 1000(R) and
Russell 3000(R) are all registered trademarks of Frank Russell Company. Russell
1000(R) and Russell 3000(R) are being utilized in the indices under license.
These trademarks have been licensed, along with the StrataQuant(R) Materials
Index ("Index") for use by First Trust Portfolios L.P. ("FTP") in connection
with the First Trust Materials AlphaDEX(R) Fund ("FXZ"). Neither FTP, the Trust
nor FXZ is sponsored, endorsed, sold or promoted by ICE Data, its affiliates or
its Third Party Suppliers including without limitation Frank Russell Company
("ICE Data and its Suppliers"). ICE Data and its Suppliers make no
representations or warranties regarding the advisability of investing in
securities generally, in FXZ particularly, the Trust or the ability of the Index
to track general stock market performance. ICE Data's only relationship to FTP
is the licensing of certain trademarks, trade names and the Index or components
thereof. The Index is determined, composed and calculated by ICE Data without
regard to FTP or FXZ or its holders. ICE Data has no obligation to take the
needs of FTP or the holders of FXZ into consideration in determining, composing
or calculating the Index. ICE Data is not responsible for and has not
participated in the determination of the timing of, prices of, or quantities of
FXZ to be issued or in the determination or calculation of the equation by which
FXZ is to be priced, sold, purchased, or redeemed. Except for certain custom
index calculation services, all information provided by ICE Data is general in
nature and not tailored to the needs of FTP or any other person, entity or group
of persons. ICE Data has no obligation or liability in connection with the
administration, marketing, or trading of FXZ. ICE Data is not an investment
advisor. Inclusion of a security within an index is not a recommendation by ICE
Data to buy, sell, or hold such security, nor is it considered to be investment
advice.
ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS,
EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS
FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY
INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM ("INDEX DATA"). ICE
DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH
RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND
THE INDEX DATA, WHICH ARE PROVIDED ON AN "AS IS" BASIS AND YOUR USE IS AT YOUR
OWN RISK.
Page 16
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Materials 93.1%
Industrials 6.9
-------
Total 100.0%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
United States Steel Corp. 5.7%
Nucor Corp. 5.6
Steel Dynamics, Inc. 5.1
Cleveland-Cliffs, Inc. 5.0
Reliance Steel & Aluminum Co. 4.9
Huntsman Corp. 4.4
Westlake Corp. 4.3
Olin Corp. 3.4
Mosaic (The) Co. 3.4
CF Industries Holdings, Inc. 3.4
-------
Total 45.2%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2012 - JULY 31, 2022
First Trust Materials StrataQuant(R) Russell 1000(R) S&P 500(R) Russell 1000(R)
AlphaDEX(R) Fund Materials Index Index Materials Index Basic Materials Index
7/31/12 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/13 12,148 12,202 11,089 11,345 11,530
7/31/13 12,540 12,641 12,623 11,874 12,126
1/31/14 14,063 14,233 13,554 13,092 13,323
7/31/14 14,764 14,991 14,777 14,618 14,541
1/31/15 13,705 13,954 15,420 14,389 14,273
7/31/15 14,119 14,428 16,437 13,999 14,118
1/31/16 12,087 12,388 15,140 12,017 12,327
7/31/16 16,022 16,483 17,233 15,175 15,673
1/31/17 17,723 18,292 18,291 16,405 17,051
7/31/17 18,267 18,920 19,981 17,386 18,041
1/31/18 21,537 22,390 23,016 20,220 20,888
7/31/18 20,678 21,572 23,214 19,375 20,120
1/3/119 17,911 18,740 22,515 17,471 18,092
7/31/19 18,595 19,533 25,073 19,347 19,986
1/31/20 18,071 19,058 27,332 19,359 20,079
7/31/20 17,705 18,744 28,089 20,570 21,128
1/31/21 23,712 25,201 32,755 24,324 24,390
7/31/21 29,040 30,965 38,755 29,111 29,780
1/31/22 29,697 31,776 39,410 29,547 29,408
7/31/22 31,473 33,799 36,092 27,635 28,133
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 17
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL)
The First Trust Technology AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the StrataQuant(R) Technology Index (the
"Technology Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in the common stocks that comprise the
Technology Index. The shares of the Fund are listed and trade on the NYSE Arca
under the ticker symbol "FXL."
The Technology Index is a modified equal-dollar weighted index designed by IDI
to objectively identify and select stocks from the Russell 1000(R) Index in the
technology sector that may generate positive alpha relative to traditional
passive-style indices through the use of the AlphaDEX(R) selection methodology.
Alpha is an indication of how much an investment outperforms or underperforms on
a risk-adjusted basis relative to its benchmark. IDI constructs the Technology
Index using the ICB sector scheme to determine a stock's sector membership.
------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
7/31/22 7/31/22 7/31/22 to 7/31/22 7/31/22 7/31/22 to 7/31/22
FUND PERFORMANCE
NAV -16.64% 18.53% 17.91% 11.77% 134.00% 419.23% 444.84%
Market Price -16.64% 18.53% 17.91% 11.77% 133.93% 419.42% 444.78%
INDEX PERFORMANCE
StrataQuant(R) Technology Index -16.16% 19.26% 18.64% 12.57% 141.24% 452.25% 506.77%
Russell 1000(R) Index -6.87% 12.55% 13.69% 9.00% 80.64% 260.92% 271.66%
S&P 500(R) Information
Technology Index -5.51% 22.27% 20.09% 14.67% 173.26% 523.70% 704.30%
Russell 1000(R) Technology
Index(1) -11.86% 21.12% 19.19% N/A 160.71% 478.78% N/A
------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
The Fund generated a NAV return of -16.64% during the period covered by this
report. During the same period, the S&P 500(R) Information Technology Index (the
"Benchmark") generated a return of -5.51%. The Software industry received an
allocation of 31.1%, the greatest allocation of any industry in the Fund, during
the period covered by this report. Investments in the Software industry earned a
-7.8% contribution to the Fund's return, the worst contribution to return of any
invested industry. No industry had a significantly positive contribution to the
Fund's return, although a few had small positive contributions. The most
significant positive contribution to the Fund's return was the 0.4% contribution
from Vertiv Holdings Co., which was the only representative of the Electrical
Equipment industry in the Fund, making this the best contributing industry
during the same period.
-----------------------------
(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Technology Index because performance
data does not exist for each of the entire periods using solely the U.S. sector
scheme, or alternatively, using solely the RGS.
Source ICE Data Indices, LLC ("ICE Data"), is used with permission.
"StrataQuant(R)" is a service/trade mark of ICE Data or its affiliates. Frank
Russell Company is the source and owner of the trademarks, service marks and
copyrights related to the Russell Indices. Russell(R), Russell 1000(R) and
Russell 3000(R) are all registered trademarks of Frank Russell Company. Russell
1000(R) and Russell 3000(R) are being utilized in the indices under license.
These trademarks have been licensed, along with the StrataQuant(R) Technology
Index ("Index") for use by First Trust Portfolios L.P. ("FTP") in connection
with the First Trust Technology AlphaDEX(R) Fund ("FXL"). Neither FTP, the Trust
nor FXL is sponsored, endorsed, sold or promoted by ICE Data, its affiliates or
its Third Party Suppliers including without limitation Frank Russell Company
("ICE Data and its Suppliers"). ICE Data and its Suppliers make no
representations or warranties regarding the advisability of investing in
securities generally, in FXL particularly, the Trust or the ability of the Index
to track general stock market performance. ICE Data's only relationship to FTP
is the licensing of certain trademarks, trade names and the Index or components
thereof. The Index is determined, composed and calculated by ICE Data without
regard to FTP or FXL or its holders. ICE Data has no obligation to take the
needs of FTP or the holders of FXL into consideration in determining, composing
or calculating the Index. ICE Data is not responsible for and has not
participated in the determination of the timing of, prices of, or quantities of
FXL to be issued or in the determination or calculation of the equation by which
FXL is to be priced, sold, purchased, or redeemed. Except for certain custom
index calculation services, all information provided by ICE Data is general in
nature and not tailored to the needs of FTP or any other person, entity or group
of persons. ICE Data has no obligation or liability in connection with the
administration, marketing, or trading of FXL. ICE Data is not an investment
advisor. Inclusion of a security within an index is not a recommendation by ICE
Data to buy, sell, or hold such security, nor is it considered to be investment
advice.
ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS,
EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS
FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY
INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM ("INDEX DATA"). ICE
DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH
RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND
THE INDEX DATA, WHICH ARE PROVIDED ON AN "AS IS" BASIS AND YOUR USE IS AT YOUR
OWN RISK.
Page 18
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Information Technology 87.0%
Industrials 8.3
Communication Services 4.1
Health Care 0.6
-------
Total 100.0%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
ON Semiconductor Corp. 2.0%
Cirrus Logic, Inc. 1.8
Skyworks Solutions, Inc. 1.8
Corning, Inc. 1.8
Jabil, Inc. 1.7
Arrow Electronics, Inc. 1.7
IPG Photonics Corp. 1.7
Micron Technology, Inc. 1.7
Avnet, Inc. 1.7
Qorvo, Inc. 1.7
-------
Total 17.6%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2012 - JULY 31, 2022
First Trust Technology StrataQuant(R) Russell 1000(R) S&P 500(R) Information Russell 1000(R)
AlphaDEX(R) Fund Technology Index Index Technology Index Technology Index
7/31/12 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/13 10,948 10,993 11,089 10,167 10,066
7/31/13 12,454 12,554 12,623 11,114 10,984
1/31/14 14,340 14,514 13,554 12,558 12,478
7/31/14 15,268 15,506 14,777 14,239 14,196
1/31/15 16,121 16,424 15,420 14,878 14,743
7/31/15 16,905 17,278 16,437 16,058 15,729
1/31/16 14,677 15,051 15,140 15,598 15,087
7/31/16 16,975 17,467 17,233 17,628 17,166
1/31/17 19,314 19,865 18,291 19,484 19,066
7/31/17 22,190 22,893 19,981 22,824 22,201
1/31/18 27,345 28,307 23,016 27,884 27,030
7/31/18 27,859 28,935 23,214 29,322 28,376
1/31/19 29,165 30,295 22,515 27,631 27,096
7/31/19 34,322 35,766 25,073 33,933 32,296
1/31/20 36,391 38,073 27,332 40,363 38,096
7/31/20 44,387 46,594 28,089 47,136 45,212
1/31/21 55,213 58,178 32,755 55,352 54,051
7/31/21 62,296 65,874 38,755 66,008 65,667
1/31/22 58,372 61,915 39,410 69,981 67,946
7/31/22 51,923 55,225 36,092 62,370 57,878
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 19
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU)
The First Trust Utilities AlphaDEX(R) Fund (the "Fund") seeks investment results
that correspond generally to the price and yield (before the Fund's fees and
expenses) of an equity index called the StrataQuant(R) Utilities Index (the
"Utilities Index"). The Fund will normally invest at least 90% of its net assets
(including investment borrowings) in the common stocks that comprise the
Utilities Index. The shares of the Fund are listed and trade on the NYSE Arca
under the ticker symbol "FXU."
The Utilities Index is a modified equal-dollar weighted index designed by IDI to
objectively identify and select stocks from the Russell 1000(R) Index in the
utilities sector that may generate positive alpha relative to traditional
passive-style indices through the use of the AlphaDEX(R) selection methodology.
Alpha is an indication of how much an investment outperforms or underperforms on
a risk-adjusted basis relative to its benchmark. IDI constructs the Utilities
Index using the ICB sector scheme to determine a stock's sector membership.
------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
7/31/22 7/31/22 7/31/22 to 7/31/22 7/31/22 7/31/22 to 7/31/22
FUND PERFORMANCE
NAV 13.69% 7.45% 9.69% 6.77% 43.20% 152.21% 171.19%
Market Price 13.72% 7.45% 9.70% 6.77% 43.25% 152.28% 171.24%
INDEX PERFORMANCE
StrataQuant(R) Utilities Index 14.57% 8.14% 10.50% 7.60% 47.89% 171.48% 205.26%
Russell 1000(R) Index -6.87% 12.55% 13.69% 9.00% 80.64% 260.92% 271.66%
S&P 500(R) Utilities Index 15.58% 10.43% 10.79% 7.70% 64.20% 178.53% 209.67%
Russell 1000(R) Utilities
Index(1) 14.55% 9.66% 9.49% N/A 58.58% 147.56% N/A
------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 13.69% during the period covered by this
report. During the same period, the S&P 500(R) Utilities Index (the "Benchmark")
generated a return of 15.58%. The Fund allocated 56.9% to the Electric Utilities
industry during the same period. This was by far the largest allocation of any
industry during the period covered by this report. Investments in this industry
caused a 6.3% contribution to the Fund's return, which is also the greatest of
any industry during the period. Almost every invested industry had a positive
contribution to the Fund's return during the period covered by this report. The
most negative contribution to the Fund's return came from the small allocation
to the Electrical Equipment industry. The only holding in this industry was
Sunrun, Inc. and its contribution to the Fund's return was -0.1%.
-----------------------------
(1) On or about September 18, 2008, Russell began calculating its Russell U.S.
Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former
U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially
transitioned to the RGS and ceased calculating its indices using the U.S. sector
scheme. Consequently, performance data is not available for all the periods
shown in the table for the Russell 1000(R) Utilities Index because performance
data does not exist for each of the entire periods using solely the U.S. sector
scheme, or alternatively, using solely the RGS.
Source ICE Data Indices, LLC ("ICE Data"), is used with permission.
"StrataQuant(R)" is a service/trade mark of ICE Data or its affiliates. Frank
Russell Company is the source and owner of the trademarks, service marks and
copyrights related to the Russell Indices. Russell(R), Russell 1000(R) and
Russell 3000(R) are all registered trademarks of Frank Russell Company. Russell
1000(R) and Russell 3000(R) are being utilized in the indices under license.
These trademarks have been licensed, along with the StrataQuant(R) Utilities
Index (the "Utilities Index") for use by First Trust Portfolios L.P. ("FTP") in
connection with the First Trust Utilities AlphaDEX(R) Fund ("FXU"). Neither FTP,
the Trust nor FXU is sponsored, endorsed, sold or promoted by ICE Data, its
affiliates or its Third Party Suppliers including without limitation Frank
Russell Company ("ICE Data and its Suppliers"). ICE Data and its Suppliers make
no representations or warranties regarding the advisability of investing in
securities generally, in FXU particularly, the Trust or the ability of the Index
to track general stock market performance. ICE Data's only relationship to FTP
is the licensing of certain trademarks, trade names and the Index or components
thereof. The Index is determined, composed and calculated by ICE Data without
regard to FTP or FXU or its holders. ICE Data has no obligation to take the
needs of FTP or the holders of FXU into consideration in determining, composing
or calculating the Index. ICE Data is not responsible for and has not
participated in the determination of the timing of, prices of, or quantities of
FXU to be issued or in the determination or calculation of the equation by which
FXU is to be priced, sold, purchased, or redeemed. Except for certain custom
index calculation services, all information provided by ICE Data is general in
nature and not tailored to the needs of FTP or any other person, entity or group
of persons. ICE Data has no obligation or liability in connection with the
administration, marketing, or trading of FXU. ICE Data is not an investment
advisor. Inclusion of a security within an index is not a recommendation by ICE
Data to buy, sell, or hold such security, nor is it considered to be investment
advice.
ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS,
EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS
FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY
INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM ("INDEX DATA"). ICE
DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH
RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND
THE INDEX DATA, WHICH ARE PROVIDED ON AN "AS IS" BASIS AND YOUR USE IS AT YOUR
OWN RISK.
Page 20
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU) (CONTINUED)
----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
----------------------------------------------------------
Utilities 87.0%
Industrials 13.0
-------
Total 100.0%
=======
----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
----------------------------------------------------------
Vistra Corp. 4.4%
UGI Corp. 4.4
National Fuel Gas Co. 4.3
Waste Management, Inc. 4.2
OGE Energy Corp. 4.2
Republic Services, Inc. 4.2
Pinnacle West Capital Corp. 4.0
NRG Energy, Inc. 3.9
PG&E Corp. 3.4
Avangrid, Inc. 3.3
-------
Total 40.3%
=======
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 31, 2012 - JULY 31, 2022
First Trust Utilities StrataQuant(R) Russell 1000(R) S&P 500(R) Russell 1000(R)
AlphaDEX(R) Fund Utilities Index Index Utilities Index Utilities Index
7/31/12 $10,000 $10,000 $10,000 $10,000 $10,000
1/31/13 10,413 10,449 11,089 9,883 9,922
7/31/13 11,591 11,734 12,623 10,801 10,867
1/31/14 11,920 12,119 13,554 10,989 10,938
7/31/14 13,108 13,379 14,777 11,801 11,928
1/31/15 14,792 15,146 15,420 14,086 12,812
7/31/15 13,863 14,241 16,437 13,033 12,412
1/31/16 14,007 14,444 15,140 13,737 13,141
7/31/16 17,003 17,605 17,233 16,045 15,475
1/31/17 17,129 17,797 18,291 15,414 14,983
7/31/17 17,611 18,356 19,981 16,961 15,612
1/31/18 16,645 17,405 23,016 16,543 15,681
7/31/18 17,418 18,286 23,214 17,440 15,790
1/31/19 18,517 19,509 22,515 18,376 16,520
7/31/19 19,458 20,539 25,073 20,323 18,119
1/31/20 20,337 21,533 27,332 23,944 20,728
7/31/20 19,320 20,489 28,089 21,509 18,718
1/31/21 19,859 21,143 32,755 22,352 19,777
7/31/21 22,181 23,695 38,755 24,096 21,616
1/31/22 23,456 25,119 39,410 25,676 22,902
7/31/22 25,221 27,148 36,092 27,853 24,756
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 21
--------------------------------------------------------------------------------
NOTES TO FUND PERFORMANCE OVERVIEW (UNAUDITED)
--------------------------------------------------------------------------------
Total returns for the period since inception are calculated from the inception
date of each Fund. "Average Annual Total Returns" represent the average annual
change in value of an investment over the periods indicated. "Cumulative Total
Returns" represent the total change in value of an investment over the periods
indicated. The total returns would have been lower if certain fees had not been
waived and expenses reimbursed by the Advisor.
Each Fund's per share net asset value ("NAV") is the value of one share of the
Fund and is computed by dividing the value of all assets of the Fund (including
accrued interest and dividends), less all liabilities (including accrued
expenses and dividends declared but unpaid), by the total number of outstanding
shares. The price used to calculate market return ("Market Price") is determined
by using the midpoint of the national best bid and offer price ("NBBO") as of
the time that the Fund's NAV is calculated. Under SEC rules, the NBBO consists
of the highest displayed buy and lowest sell prices among the various exchanges
trading the Fund at the time the Fund's NAV is calculated. Prior to January 1,
2019, the price used was the midpoint between the highest bid and the lowest
offer on the stock exchange on which shares of the Fund were listed for trading
as of the time that the Fund's NAV was calculated. Since shares of each Fund did
not trade in the secondary market until after the Fund's inception, for the
period May 8, 2007 (inception) to May 10, 2007 (the first day of secondary
market trading), the NAV of each Fund is used as a proxy for the secondary
market trading price to calculate market returns. NAV and market returns assume
that all distributions have been reinvested in each Fund at NAV and Market
Price, respectively.
An index is a statistical composite that tracks a specified financial market or
sector. Unlike each Fund, the indices do not actually hold a portfolio of
securities and therefore do not incur the expenses incurred by each Fund. These
expenses negatively impact the performance of each Fund. Also, market returns do
not include brokerage commissions that may be payable on secondary market
transactions. If brokerage commissions were included, market returns would be
lower. The total returns presented reflect the reinvestment of dividends on
securities in the indices. The returns presented do not reflect the deduction of
taxes that a shareholder would pay on Fund distributions or the redemption or
sale of Fund shares. The investment return and principal value of shares of each
Fund will vary with changes in market conditions. Shares of each Fund may be
worth more or less than their original cost when they are redeemed or sold in
the market. Each Fund's past performance is no guarantee of future performance.
Page 22
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
UNDERSTANDING YOUR FUND EXPENSES
JULY 31, 2022 (UNAUDITED)
As a shareholder of First Trust Consumer Discretionary AlphaDEX(R) Fund, First
Trust Consumer Staples AlphaDEX(R) Fund, First Trust Energy AlphaDEX(R) Fund,
First Trust Financials AlphaDEX(R) Fund, First Trust Health Care AlphaDEX(R)
Fund, First Trust Industrials/Producer Durables AlphaDEX(R) Fund, First Trust
Materials AlphaDEX(R) Fund, First Trust Technology AlphaDEX(R) Fund or First
Trust Utilities AlphaDEX(R) Fund (each a "Fund" and collectively, the "Funds"),
you incur two types of costs: (1) transaction costs; and (2) ongoing costs,
including management fees, distribution and/or service (12b-1) fees, if any, and
other Fund expenses. This Example is intended to help you understand your
ongoing costs of investing in the Funds and to compare these costs with the
ongoing costs of investing in other funds.
The Example is based on an investment of $1,000 invested at the beginning of the
period and held through the six-month period ended July 31, 2022.
ACTUAL EXPENSES
The first line in the following table provides information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over the
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
in the first line under the heading entitled "Expenses Paid During the Six-Month
Period" to estimate the expenses you paid on your account during this six-month
period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line in the following table provides information about hypothetical
account values and hypothetical expenses based on each Fund's actual expense
ratio and an assumed rate of return of 5% per year before expenses, which is not
each Fund's actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare the ongoing costs of
investing in the Funds and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs such as brokerage
commissions. Therefore, the second line in the table is useful in comparing
ongoing costs only, and will not help you determine the relative total costs of
owning different funds. In addition, if these transactional costs were included,
your costs would have been higher.
------------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
FEBRUARY 1, 2022 JULY 31, 2022 PERIOD PERIOD (a)
------------------------------------------------------------------------------------------------------------------------
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD)
Actual $1,000.00 $ 866.00 0.63% $2.91
Hypothetical (5% return before expenses) $1,000.00 $1,021.67 0.63% $3.16
FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG)
Actual $1,000.00 $1,036.50 0.62% $3.13
Hypothetical (5% return before expenses) $1,000.00 $1,021.72 0.62% $3.11
FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN)
Actual $1,000.00 $1,263.40 0.61% $3.42
Hypothetical (5% return before expenses) $1,000.00 $1,021.77 0.61% $3.06
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)
Actual $1,000.00 $ 905.60 0.62% $2.93
Hypothetical (5% return before expenses) $1,000.00 $1,021.72 0.62% $3.11
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH)
Actual $1,000.00 $ 981.90 0.61% $3.00
Hypothetical (5% return before expenses) $1,000.00 $1,021.77 0.61% $3.06
Page 23
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
UNDERSTANDING YOUR FUND EXPENSES (CONTINUED)
JULY 31, 2022 (UNAUDITED)
------------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
FEBRUARY 1, 2022 JULY 31, 2022 PERIOD PERIOD (a)
------------------------------------------------------------------------------------------------------------------------
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)
Actual $1,000.00 $ 933.00 0.62% $2.97
Hypothetical (5% return before expenses) $1,000.00 $1,021.72 0.62% $3.11
FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ)
Actual $1,000.00 $1,059.80 0.61% $3.12
Hypothetical (5% return before expenses) $1,000.00 $1,021.77 0.61% $3.06
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL)
Actual $1,000.00 $ 889.60 0.62% $2.90
Hypothetical (5% return before expenses) $1,000.00 $1,021.72 0.62% $3.11
FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU)
Actual $1,000.00 $1,075.00 0.63% $3.24
Hypothetical (5% return before expenses) $1,000.00 $1,021.67 0.63% $3.16
(a) Expenses are equal to the annualized expense ratio as indicated in the
table multiplied by the average account value over the period (February 1,
2022 through July 31, 2022), multiplied by 181/365 (to reflect the
six-month period).
Page 24
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD)
PORTFOLIO OF INVESTMENTS
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 100.0%
AIRLINES -- 3.7%
98,690 Alaska Air Group, Inc. (a) $ 4,374,928
44,916 Copa Holdings S.A., Class A (a) 3,019,253
68,221 Delta Air Lines, Inc. (a) 2,169,428
340,021 JetBlue Airways Corp. (a) 2,862,977
54,718 Southwest Airlines Co. (a) 2,085,850
---------------
14,512,436
---------------
AUTO COMPONENTS -- 2.5%
118,450 BorgWarner, Inc. 4,555,587
101,749 Gentex Corp. 2,871,357
15,696 Lear Corp. 2,372,293
---------------
9,799,237
---------------
AUTOMOBILES -- 5.7%
443,923 Ford Motor Co. 6,521,229
155,574 General Motors Co. (a) 5,641,113
124,851 Harley-Davidson, Inc. 4,720,616
66,114 Thor Industries, Inc. 5,575,394
---------------
22,458,352
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 2.8%
8,729 Copart, Inc. (a) 1,118,185
143,522 Driven Brands Holdings, Inc. (a) 4,360,198
60,313 IAA, Inc. (a) 2,275,609
81,494 Rollins, Inc. 3,143,224
---------------
10,897,216
---------------
DISTRIBUTORS -- 2.8%
37,145 Genuine Parts Co. 5,678,356
80,525 LKQ Corp. 4,415,991
2,701 Pool Corp. 966,148
---------------
11,060,495
---------------
DIVERSIFIED CONSUMER SERVICES
-- 1.0%
30,215 Grand Canyon Education, Inc. (a) 2,902,755
13,729 Service Corp. International 1,022,261
---------------
3,925,016
---------------
ENTERTAINMENT -- 7.0%
23,396 Electronic Arts, Inc. 3,070,257
62,272 Liberty Media Corp.-Liberty
Formula One, Class C (a) 4,220,173
23,929 Live Nation Entertainment,
Inc. (a) 2,249,087
18,841 Madison Square Garden Sports
Corp. (a) 2,897,369
11,303 Netflix, Inc. (a) 2,542,045
149,268 Playtika Holding Corp. (a) 1,831,518
7,738 Take-Two Interactive Software,
Inc. (a) 1,027,065
368,166 Warner Bros Discovery,
Inc. (a) (b) 5,522,490
63,251 World Wrestling Entertainment,
Inc., Class A 4,383,927
---------------
27,743,931
---------------
FOOD & STAPLES RETAILING -- 2.8%
79,277 BJ's Wholesale Club Holdings,
Inc. (a) 5,367,053
8,246 Costco Wholesale Corp. 4,463,560
7,804 Walmart, Inc. 1,030,518
---------------
10,861,131
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE
-- 10.3%
30,968 Aramark $ 1,034,331
548 Booking Holdings, Inc. (a) 1,060,758
57,202 Boyd Gaming Corp. 3,175,283
720 Chipotle Mexican Grill, Inc. (a) 1,126,238
8,504 Choice Hotels International,
Inc. 1,027,878
10,317 Churchill Downs, Inc. 2,164,507
17,470 Darden Restaurants, Inc. 2,174,840
2,438 Domino's Pizza, Inc. 955,964
8,506 Hilton Worldwide Holdings, Inc. 1,089,363
28,237 Las Vegas Sands Corp. (a) 1,064,253
20,919 Marriott International, Inc.,
Class A 3,322,356
8,168 Marriott Vacations Worldwide
Corp. 1,118,363
11,527 McDonald's Corp. 3,035,866
98,309 MGM Resorts International 3,217,654
129,940 Penn National Gaming, Inc. (a) 4,489,427
13,945 Planet Fitness, Inc.,
Class A (a) 1,099,005
43,716 Six Flags Entertainment
Corp. (a) 991,042
12,420 Starbucks Corp. 1,052,968
24,433 Travel + Leisure Co. 1,053,307
4,355 Vail Resorts, Inc. 1,032,701
50,246 Wendy's (The) Co. 1,056,673
14,432 Wyndham Hotels & Resorts, Inc. 1,001,725
16,645 Wynn Resorts Ltd. (a) 1,056,625
17,410 Yum! Brands, Inc. 2,133,421
---------------
40,534,548
---------------
HOUSEHOLD DURABLES -- 12.1%
74,650 D.R. Horton, Inc. 5,824,939
28,969 Garmin Ltd. 2,827,954
114,304 Leggett & Platt, Inc. 4,531,011
70,018 Lennar Corp., Class A 5,951,530
207,595 Newell Brands, Inc. 4,195,495
990 NVR, Inc. (a) 4,349,169
124,676 PulteGroup, Inc. 5,438,367
133,170 Tempur Sealy International, Inc. 3,659,512
110,778 Toll Brothers, Inc. 5,448,062
31,899 Whirlpool Corp. 5,514,380
---------------
47,740,419
---------------
LEISURE PRODUCTS -- 2.2%
221,261 Mattel, Inc. (a) 5,133,255
28,670 Polaris, Inc. 3,362,418
---------------
8,495,673
---------------
MEDIA -- 6.1%
88,488 Fox Corp., Class A 2,929,838
71,788 Interpublic Group of (The) Cos.,
Inc. 2,144,308
70,834 New York Times (The) Co.,
Class A 2,263,146
253,698 News Corp., Class A 4,348,384
24,263 Nexstar Media Group, Inc.,
Class A 4,570,421
31,075 Omnicom Group, Inc. 2,170,278
200,198 Paramount Global, Class B 4,734,683
154,758 Sirius XM Holdings, Inc. (b) 1,033,783
---------------
24,194,841
---------------
See Notes to Financial Statements Page 25
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MULTILINE RETAIL -- 6.4%
16,108 Dollar General Corp. $ 4,001,710
25,360 Dollar Tree, Inc. (a) 4,193,530
138,435 Kohl's Corp. 4,033,996
269,700 Macy's, Inc. 4,760,205
134,688 Nordstrom, Inc. 3,166,515
33,634 Ollie's Bargain Outlet Holdings,
Inc. (a) 1,982,724
20,148 Target Corp. 3,291,780
---------------
25,430,460
---------------
PERSONAL PRODUCTS -- 0.7%
246,733 Coty, Inc., Class A (a) 1,806,086
3,731 Estee Lauder (The) Cos., Inc.,
Class A 1,018,936
---------------
2,825,022
---------------
ROAD & RAIL -- 2.7%
10,331 AMERCO 5,548,574
13,435 Avis Budget Group, Inc. (a) 2,445,573
124,765 Hertz Global Holdings,
Inc. (a) (b) 2,672,466
---------------
10,666,613
---------------
SPECIALTY RETAIL -- 19.3%
5,485 Advance Auto Parts, Inc. 1,062,006
44,210 AutoNation, Inc. (a) 5,249,495
1,834 AutoZone, Inc. (a) 3,919,973
105,717 Bath & Body Works, Inc. 3,757,182
60,638 Best Buy Co., Inc. 4,668,520
31,451 CarMax, Inc. (a) 3,130,633
65,558 Dick's Sporting Goods, Inc. (b) 6,135,573
345,383 Gap (The), Inc. 3,322,584
3,456 Home Depot (The), Inc. 1,040,049
17,980 Lithia Motors, Inc. 4,769,734
11,317 Lowe's Cos., Inc. 2,167,545
4,509 O'Reilly Automotive, Inc. (a) 3,172,487
47,193 Penske Automotive Group, Inc. 5,403,127
134,084 Petco Health & Wellness Co.,
Inc. (a) (b) 1,866,449
18,623 RH (a) 5,203,825
28,141 Ross Stores, Inc. 2,286,738
50,959 TJX (The) Cos., Inc. 3,116,652
10,197 Tractor Supply Co. 1,952,522
12,812 Ulta Beauty, Inc. (a) 4,982,715
101,749 Victoria's Secret & Co. (a) 3,760,643
35,627 Williams-Sonoma, Inc. 5,145,251
---------------
76,113,703
---------------
TEXTILES, APPAREL & LUXURY GOODS
-- 11.3%
120,476 Capri Holdings Ltd. (a) 5,864,772
56,079 Carter's, Inc. 4,569,317
55,224 Columbia Sportswear Co. 4,087,128
11,146 Deckers Outdoor Corp. (a) 3,491,039
276,579 Hanesbrands, Inc. 3,092,153
86,836 PVH Corp. 5,376,885
44,094 Ralph Lauren Corp. 4,348,991
138,871 Skechers U.S.A., Inc.,
Class A (a) 5,271,543
129,505 Tapestry, Inc. 4,355,253
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
TEXTILES, APPAREL & LUXURY GOODS
(CONTINUED)
237,258 Under Armour, Inc., Class A (a) $ 2,197,009
44,749 VF Corp. 1,999,386
---------------
44,653,476
---------------
TRADING COMPANIES & DISTRIBUTORS
-- 0.6%
16,620 SiteOne Landscape Supply,
Inc. (a) 2,315,664
---------------
TOTAL COMMON STOCKS -- 100.0% 394,228,233
(Cost $453,732,412) ---------------
MONEY MARKET FUNDS -- 1.4%
5,242,585 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
2.15% (c) (d) 5,242,585
207,555 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 1.75% (c) 207,555
---------------
TOTAL MONEY MARKET FUNDS
-- 1.4% 5,450,140
(Cost $5,450,140) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
-------------------------------------------------------------
REPURCHASE AGREEMENTS -- 1.2%
$ 4,618,278 BNP Paribas S.A., 2.16% (c),
dated 07/29/22, due 08/01/22,
with a maturity value of
$4,619,110. Collateralized by
U.S. Treasury Note, interest
rate of 0.75%, due 01/31/28.
The value of the collateral
including accrued interest
is $4,716,166. (d) 4,618,278
(Cost $4,618,278) ---------------
TOTAL INVESTMENTS -- 102.6% 404,296,651
(Cost $463,800,830)
NET OTHER ASSETS AND
LIABILITIES -- (2.6)% (10,179,732)
---------------
NET ASSETS -- 100.0% $ 394,116,919
===============
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The remaining contractual
maturity of all of the securities lending transactions is overnight and
continuous. The aggregate value of such securities is $9,817,113 and the
total value of the collateral held by the Fund is $9,860,863.
(c) Rate shown reflects yield as of July 31, 2022.
(d) This security serves as collateral for securities on loan.
Page 26 See Notes to Financial Statements
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
-------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 9,817,113
Non-cash Collateral(2) (9,817,113)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value," is not offset and is shown on a gross
basis.
(2) At July 31, 2022, the value of the collateral received from each borrower
exceeded the value of the related securities loaned. This amount is
disclosed on the Portfolio of Investments.
The Fund's investments in repurchase agreements were all subject to an
enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis
were as follows:
REPURCHASE AGREEMENTS
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(3) $ 4,618,278
Non-cash Collateral(4) (4,618,278)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At July 31, 2022, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2022
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
7/31/2022 PRICES INPUTS INPUTS
-----------------------------------------------------------------------------
Common Stocks*.................................. $ 394,228,233 $ 394,228,233 $ -- $ --
Money Market Funds.............................. 5,450,140 5,450,140 -- --
Repurchase Agreements........................... 4,618,278 -- 4,618,278 --
-----------------------------------------------------------------------------
Total Investments............................... $ 404,296,651 $ 399,678,373 $ 4,618,278 $ --
=============================================================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 27
FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG)
PORTFOLIO OF INVESTMENTS
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.9%
BEVERAGES -- 15.3%
148,652 Brown-Forman Corp., Class B $ 11,032,951
331,566 Coca-Cola (The) Co. 21,276,590
147,351 Keurig Dr Pepper, Inc. 5,708,378
382,660 Molson Coors Beverage Co.,
Class B 22,863,935
168,760 Monster Beverage Corp. (a) 16,811,871
125,157 PepsiCo, Inc. 21,897,469
---------------
99,591,194
---------------
CHEMICALS -- 1.7%
192,638 Corteva, Inc. 11,086,317
---------------
FOOD & STAPLES RETAILING
-- 23.1%
585,483 Albertsons Cos., Inc., Class A 15,720,219
56,382 Casey's General Stores, Inc. 11,425,812
611,624 Grocery Outlet Holding Corp. (a) 26,128,577
220,356 Kroger (The) Co. 10,233,333
567,062 Performance Food Group Co. (a) 28,188,652
307,797 Sysco Corp. 26,131,965
169,971 US Foods Holding Corp. (a) 5,354,086
687,956 Walgreens Boots Alliance, Inc. 27,256,817
---------------
150,439,461
---------------
FOOD PRODUCTS -- 40.3%
201,600 Archer-Daniels-Midland Co. 16,686,432
230,002 Bunge Ltd. 21,236,085
108,527 Campbell Soup Co. 5,355,807
456,895 Conagra Brands, Inc. 15,630,378
348,810 Darling Ingredients, Inc. (a) 24,165,557
198,128 Flowers Foods, Inc. 5,628,816
72,711 Hershey (The) Co. 16,575,200
236,602 Ingredion, Inc. 21,526,050
81,473 J.M. Smucker (The) Co. 10,780,507
292,387 Kellogg Co. 21,613,247
136,726 Kraft Heinz (The) Co. 5,035,619
218,922 Lamb Weston Holdings, Inc. 17,439,327
83,987 Mondelez International, Inc.,
Class A 5,378,527
834,887 Pilgrim's Pride Corp. (a) 26,190,405
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
FOOD PRODUCTS (CONTINUED)
253,295 Post Holdings, Inc. (a) $ 22,021,467
302,970 Tyson Foods, Inc., Class A 26,664,390
---------------
261,927,814
---------------
HEALTH CARE PROVIDERS & SERVICES
-- 10.8%
184,291 AmerisourceBergen Corp. 26,893,586
168,834 CVS Health Corp. 16,154,037
79,929 McKesson Corp. 27,302,148
---------------
70,349,771
---------------
HOUSEHOLD PRODUCTS -- 8.7%
112,555 Church & Dwight Co., Inc. 9,901,463
36,990 Clorox (The) Co. 5,246,662
130,139 Colgate-Palmolive Co. 10,247,145
115,754 Kimberly-Clark Corp. 15,255,220
72,532 Procter & Gamble (The) Co. 10,075,420
191,225 Reynolds Consumer Products,
Inc. 5,556,998
---------------
56,282,908
---------------
TOTAL COMMON STOCKS -- 99.9% 649,677,465
(Cost $623,024,925) ---------------
MONEY MARKET FUNDS -- 0.1%
901,283 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 1.75% (b) 901,283
(Cost $901,283) ---------------
TOTAL INVESTMENTS -- 100.0% 650,578,748
(Cost $623,926,208)
NET OTHER ASSETS AND
LIABILITIES -- 0.0% 74,740
---------------
NET ASSETS -- 100.0% $ 650,653,488
===============
(a) Non-income producing security.
(b) Rate shown reflects yield as of July 31, 2022.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2022
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
7/31/2022 PRICES INPUTS INPUTS
-----------------------------------------------------------------------------
Common Stocks*.................................. $ 649,677,465 $ 649,677,465 $ -- $ --
Money Market Funds.............................. 901,283 901,283 -- --
-----------------------------------------------------------------------------
Total Investments............................... $ 650,578,748 $ 650,578,748 $ -- $ --
=============================================================================
* See Portfolio of Investments for industry breakout.
Page 28 See Notes to Financial Statements
FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN)
PORTFOLIO OF INVESTMENTS
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.8%
ENERGY EQUIPMENT & SERVICES
-- 4.3%
425,113 Baker Hughes Co. $ 10,921,153
1,174,005 Halliburton Co. 34,398,346
725,740 NOV, Inc. 13,506,021
343,186 Schlumberger N.V. 12,708,178
---------------
71,533,698
---------------
OIL, GAS & CONSUMABLE FUELS
-- 91.2%
2,712,076 Antero Midstream Corp. 27,283,485
2,001,966 Antero Resources Corp. (a) 79,357,932
703,256 APA Corp. 26,140,026
461,232 Cheniere Energy, Inc. 68,991,083
151,346 Chesapeake Energy Corp. 14,252,253
254,312 Chevron Corp. 41,651,219
546,563 ConocoPhillips 53,251,633
938,955 Continental Resources, Inc. 64,684,610
1,903,402 Coterra Energy, Inc. 58,225,067
1,113,460 Devon Energy Corp. 69,980,961
405,216 Diamondback Energy, Inc. 51,875,752
500,713 DT Midstream, Inc. 27,554,236
214,484 Enviva, Inc. (b) 14,934,521
444,493 EOG Resources, Inc. 49,436,511
356,741 EQT Corp. 15,707,306
429,892 Exxon Mobil Corp. 41,669,432
463,344 Hess Corp. 52,112,300
543,502 HF Sinclair Corp. 25,990,266
1,464,455 Kinder Morgan, Inc. 26,345,545
2,729,595 Marathon Oil Corp. 67,693,956
298,531 Marathon Petroleum Corp. 27,363,351
930,438 New Fortress Energy, Inc. 45,563,549
1,042,114 Occidental Petroleum Corp. 68,518,995
663,332 ONEOK, Inc. 39,627,454
1,110,878 Ovintiv, Inc. 56,754,757
796,756 PDC Energy, Inc. 52,338,902
299,355 Phillips 66 26,642,595
275,049 Pioneer Natural Resources Co. 65,172,861
1,487,552 Range Resources Corp. (a) 49,193,345
9,817,806 Southwestern Energy Co. (a) 69,313,710
822,665 Targa Resources Corp. 56,854,378
24,779 Texas Pacific Land Corp. 45,440,969
230,978 Valero Energy Corp. 25,585,433
393,234 Williams (The) Cos., Inc. 13,405,347
---------------
1,518,913,740
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 4.3%
188,578 Enphase Energy, Inc. (a) 53,590,096
180,115 First Solar, Inc. (a) 17,862,005
---------------
71,452,101
---------------
TOTAL COMMON STOCKS -- 99.8% 1,661,899,539
(Cost $1,431,911,287) ---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MONEY MARKET FUNDS -- 0.2%
141,319 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
2.15% (c) (d) $ 141,319
2,422,101 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 1.75% (c) 2,422,101
---------------
TOTAL MONEY MARKET FUNDS
-- 0.2% 2,563,420
(Cost $2,563,420) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
-------------------------------------------------------------
REPURCHASE AGREEMENTS -- 0.0%
$ 124,491 BNP Paribas S.A., 2.16% (c),
dated 07/29/22, due 08/01/22,
with a maturity value of
$124,513. Collateralized by
U.S. Treasury Note, interest
rate of 0.75%, due 01/31/28.
The value of the collateral
including accrued interest
is $127,129. (d) 124,491
(Cost $124,491) ---------------
TOTAL INVESTMENTS -- 100.0% 1,664,587,450
(Cost $1,434,599,198)
NET OTHER ASSETS AND
LIABILITIES -- 0.0% 703,455
---------------
NET ASSETS -- 100.0% $ 1,665,290,905
===============
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The remaining contractual
maturity of all of the securities lending transactions is overnight and
continuous. The aggregate value of such securities is $264,594 and the
total value of the collateral held by the Fund is $265,810.
(c) Rate shown reflects yield as of July 31, 2022.
(d) This security serves as collateral for securities on loan.
See Notes to Financial Statements Page 29
FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
-------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 264,594
Non-cash Collateral(2) (264,594)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value," is not offset and is shown on a gross
basis.
(2) At July 31, 2022, the value of the collateral received from each borrower
exceeded the value of the related securities loaned. This amount is
disclosed on the Portfolio of Investments.
The Fund's investments in repurchase agreements were all subject to an
enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis
were as follows:
REPURCHASE AGREEMENTS
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(3) $ 124,491
Non-cash Collateral(4) (124,491)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At July 31, 2022, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2022
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
7/31/2022 PRICES INPUTS INPUTS
-----------------------------------------------------------------------------
Common Stocks*.................................. $ 1,661,899,539 $ 1,661,899,539 $ -- $ --
Money Market Funds.............................. 2,563,420 2,563,420 -- --
Repurchase Agreements........................... 124,491 -- 124,491 --
-----------------------------------------------------------------------------
Total Investments............................... $ 1,664,587,450 $ 1,664,462,959 $ 124,491 $ --
=============================================================================
* See Portfolio of Investments for industry breakout.
Page 30 See Notes to Financial Statements
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)
PORTFOLIO OF INVESTMENTS
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.9%
BANKS -- 20.6%
234,552 Bank of America Corp. $ 7,930,203
389,104 Bank OZK 15,603,070
96,607 BOK Financial Corp. 8,504,314
317,529 Citigroup, Inc. 16,479,755
306,876 Citizens Financial Group, Inc. 11,652,082
99,505 Comerica, Inc. 7,738,504
56,337 East West Bancorp, Inc. 4,043,870
672,336 F.N.B. Corp. 8,041,139
217,305 Fifth Third Bancorp 7,414,447
5,583 First Citizens BancShares, Inc.,
Class A 4,224,544
160,753 First Hawaiian, Inc. 4,097,594
303,474 Huntington Bancshares, Inc. 4,033,169
64,838 JPMorgan Chase & Co. 7,479,712
635,657 KeyCorp 11,632,523
22,901 M&T Bank Corp. 4,063,782
547,759 PacWest Bancorp 15,353,685
100,974 Pinnacle Financial Partners,
Inc. 7,987,043
23,140 PNC Financial Services Group
(The), Inc. 3,839,852
142,368 Popular, Inc. 11,057,723
106,954 Prosperity Bancshares, Inc. 7,924,222
584,125 Regions Financial Corp. 12,371,767
20,372 Signature Bank 3,780,432
202,544 Synovus Financial Corp. 8,178,727
153,948 Truist Financial Corp. 7,769,756
79,334 U.S. Bancorp 3,744,565
372,813 Wells Fargo & Co. 16,355,306
103,422 Western Alliance Bancorp 7,899,372
45,547 Wintrust Financial Corp. 3,918,864
143,448 Zions Bancorp N.A. 7,825,088
---------------
240,945,110
---------------
CAPITAL MARKETS -- 28.4%
125,239 Affiliated Managers Group, Inc. 15,827,705
262,582 Bank of New York Mellon (The)
Corp. 11,411,814
576,565 Carlyle Group (The), Inc. 22,434,144
388,217 Coinbase Global, Inc.,
Class A (a) (b) 24,442,142
195,001 Evercore, Inc., Class A 19,494,250
783,094 Franklin Resources, Inc. 21,495,930
49,165 Goldman Sachs Group (The), Inc. 16,391,119
38,819 Intercontinental Exchange, Inc. 3,959,150
1,131,675 Invesco Ltd. 20,075,915
776,434 Janus Henderson Group PLC 20,008,704
660,893 Jefferies Financial Group, Inc. 21,525,285
78,865 KKR & Co., Inc. 4,373,853
337,932 Lazard Ltd., Class A 12,729,899
98,949 LPL Financial Holdings, Inc. 20,771,374
95,997 Morgan Stanley 8,092,547
37,839 Northern Trust Corp. 3,775,575
122,494 Raymond James Financial, Inc. 12,061,984
270,332 SEI Investments Co. 14,965,580
177,657 State Street Corp. 12,620,753
195,508 Stifel Financial Corp. 11,693,334
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
CAPITAL MARKETS (CONTINUED)
160,675 T. Rowe Price Group, Inc. $ 19,838,542
623,800 Virtu Financial, Inc., Class A 14,553,254
---------------
332,542,853
---------------
CONSUMER FINANCE -- 6.2%
435,787 Ally Financial, Inc. 14,411,476
30,844 Credit Acceptance Corp. (a) (b) 17,763,368
154,402 Discover Financial Services 15,594,602
488,336 OneMain Holdings, Inc. 18,166,099
229,036 SLM Corp. 3,572,962
115,461 Upstart Holdings, Inc. (a) (b) 2,809,166
---------------
72,317,673
---------------
DIVERSIFIED FINANCIAL SERVICES
-- 3.3%
66,862 Berkshire Hathaway, Inc.,
Class B (b) 20,098,717
280,074 Equitable Holdings, Inc. 7,962,504
183,977 Voya Financial, Inc. 11,068,056
---------------
39,129,277
---------------
INSURANCE -- 32.3%
197,949 Aflac, Inc. 11,342,478
57,615 Allstate (The) Corp. 6,739,226
26,297 American Financial Group, Inc. 3,515,383
285,608 American International Group,
Inc. 14,785,926
240,765 Arch Capital Group Ltd. (b) 10,689,966
67,175 Arthur J. Gallagher & Co. 12,023,653
105,605 Assurant, Inc. 18,563,247
261,754 Assured Guaranty Ltd. 15,283,816
255,789 Axis Capital Holdings Ltd. 12,914,787
356,002 Brighthouse Financial, Inc. (b) 15,457,607
55,712 Chubb Ltd. 10,509,512
122,738 Cincinnati Financial Corp. 11,947,317
37,993 Erie Indemnity Co., Class A 7,726,256
65,129 Everest Re Group Ltd. 17,021,464
493,885 Fidelity National Financial,
Inc. 19,735,645
344,932 First American Financial Corp. 20,006,056
37,458 Globe Life, Inc. 3,773,144
24,964 Hanover Insurance Group (The),
Inc. 3,406,837
223,187 Hartford Financial Services
Group (The), Inc. 14,388,866
234,179 Lincoln National Corp. 12,022,750
184,820 Loews Corp. 10,765,765
11,292 Markel Corp. (b) 14,647,305
47,033 Marsh & McLennan Cos., Inc. 7,711,531
116,284 MetLife, Inc. 7,354,963
816,365 Old Republic International Corp. 18,996,814
54,658 Principal Financial Group, Inc. 3,658,806
156,995 Progressive (The) Corp. 18,063,845
114,465 Prudential Financial, Inc. 11,445,355
70,041 RenaissanceRe Holdings Ltd. 9,057,002
64,754 Travelers (The) Cos., Inc. 10,276,460
429,250 Unum Group 13,817,557
53,481 W.R. Berkley Corp. 3,344,167
36,994 Willis Towers Watson PLC 7,655,538
---------------
378,649,044
---------------
See Notes to Financial Statements Page 31
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
IT SERVICES -- 0.4%
25,613 Broadridge Financial Solutions,
Inc. $ 4,112,167
---------------
MORTGAGE REAL ESTATE INVESTMENT
TRUSTS -- 4.3%
3,088,649 Annaly Capital Management, Inc. 21,249,905
1,958,573 New Residential Investment Corp. 21,368,031
349,522 Starwood Property Trust, Inc. 8,255,710
---------------
50,873,646
---------------
THRIFTS & MORTGAGE FINANCE
-- 4.4%
1,448,726 MGIC Investment Corp. 20,484,986
1,599,467 New York Community Bancorp,
Inc. 16,986,340
1,488,091 Rocket Cos., Inc., Class A (a) 14,166,626
---------------
51,637,952
---------------
TOTAL COMMON STOCKS -- 99.9% 1,170,207,722
(Cost $1,231,385,831) ---------------
MONEY MARKET FUNDS -- 2.1%
23,354,505 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
2.15% (c) (d) 23,354,505
1,348,648 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 1.75% (c) 1,348,648
---------------
TOTAL MONEY MARKET FUNDS
-- 2.1% 24,703,153
(Cost $24,703,153) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
-------------------------------------------------------------
REPURCHASE AGREEMENTS -- 1.7%
$ 20,573,364 BNP Paribas S.A., 2.16% (c),
dated 07/29/22, due 08/01/22,
with a maturity value of
$20,577,068. Collateralized
by U.S. Treasury Note,
interest rate of 0.75%, due
01/31/28. The value of the
collateral including accrued
interest is $21,009,432. (d) 20,573,364
(Cost $20,573,364) ---------------
TOTAL INVESTMENTS -- 103.7% 1,215,484,239
(Cost $1,276,662,348)
NET OTHER ASSETS AND
LIABILITIES -- (3.7)% (43,746,495)
---------------
NET ASSETS -- 100.0% $ 1,171,737,744
===============
(a) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The remaining contractual
maturity of all of the securities lending transactions is overnight and
continuous. The aggregate value of such securities is $43,378,400 and the
total value of the collateral held by the Fund is $43,927,869.
(b) Non-income producing security.
(c) Rate shown reflects yield as of July 31, 2022.
(d) This security serves as collateral for securities on loan.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
-------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 43,378,400
Non-cash Collateral(2) (43,378,400)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value," is not offset and is shown on a gross
basis.
(2) At July 31, 2022, the value of the collateral received from each borrower
exceeded the value of the related securities loaned. This amount is
disclosed on the Portfolio of Investments.
The Fund's investments in repurchase agreements were all subject to an
enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis
were as follows:
REPURCHASE AGREEMENTS
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(3) $ 20,573,364
Non-cash Collateral(4) (20,573,364)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At July 31, 2022, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
Page 32 See Notes to Financial Statements
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2022
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
7/31/2022 PRICES INPUTS INPUTS
-----------------------------------------------------------------------------
Common Stocks*.................................. $ 1,170,207,722 $ 1,170,207,722 $ -- $ --
Money Market Funds.............................. 24,703,153 24,703,153 -- --
Repurchase Agreements........................... 20,573,364 -- 20,573,364 --
-----------------------------------------------------------------------------
Total Investments............................... $ 1,215,484,239 $ 1,194,910,875 $ 20,573,364 $ --
=============================================================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 33
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH)
PORTFOLIO OF INVESTMENTS
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.9%
BIOTECHNOLOGY -- 25.2%
155,531 AbbVie, Inc. $ 22,320,254
115,291 Alnylam Pharmaceuticals,
Inc. (a) 16,375,934
97,908 Amgen, Inc. 24,229,293
82,454 Biogen, Inc. (a) 17,732,557
1,430,211 Exelixis, Inc. (a) 29,920,014
272,047 Gilead Sciences, Inc. 16,254,808
210,822 Horizon Therapeutics PLC (a) 17,491,901
313,566 Incyte Corp. (a) 24,357,807
643,480 Ionis Pharmaceuticals, Inc. (a) 24,169,109
208,452 Moderna, Inc. (a) 34,204,889
244,373 Neurocrine Biosciences, Inc. (a) 23,002,830
50,373 Regeneron Pharmaceuticals,
Inc. (a) 29,301,470
317,789 Sarepta Therapeutics, Inc. (a) 29,538,488
95,034 Seagen, Inc. (a) 17,104,219
101,094 United Therapeutics Corp. (a) 23,359,791
105,668 Vertex Pharmaceuticals, Inc. (a) 29,630,364
---------------
378,993,728
---------------
HEALTH CARE EQUIPMENT & SUPPLIES
-- 19.1%
154,767 Abbott Laboratories 16,844,840
50,328 Align Technology, Inc. (a) 14,140,658
185,437 Baxter International, Inc. 10,877,734
22,736 Becton, Dickinson and Co. 5,554,632
76,080 Cooper (The) Cos., Inc. 24,878,160
666,712 DENTSPLY SIRONA, Inc. 24,108,306
58,946 Edwards Lifesciences Corp. (a) 5,926,431
433,122 Enovis Corp. (a) 25,866,046
309,052 Envista Holdings Corp. (a) 12,562,964
99,839 Globus Medical, Inc.,
Class A (a) 5,859,551
429,682 Hologic, Inc. (a) 30,670,701
34,096 ICU Medical, Inc. (a) 6,040,788
25,720 Insulet Corp. (a) 6,373,416
220,449 Integra LifeSciences Holdings
Corp. (a) 12,133,513
27,927 Intuitive Surgical, Inc. (a) 6,427,958
42,895 Masimo Corp. (a) 6,201,759
187,355 Medtronic PLC 17,334,085
306,410 QuidelOrtho Corp. (a) 31,266,076
26,740 ResMed, Inc. 6,431,505
48,448 Teleflex, Inc. 11,649,806
53,353 Zimmer Biomet Holdings, Inc. 5,889,638
---------------
287,038,567
---------------
HEALTH CARE PROVIDERS & SERVICES
-- 30.8%
176,119 Acadia Healthcare Co., Inc. (a) 14,602,026
545,618 agilon health, Inc. (a) 13,656,819
159,959 Amedisys, Inc. (a) 19,171,086
140,772 Centene Corp. (a) 13,087,573
35,822 Chemed Corp. 17,233,606
112,997 Cigna Corp. 31,114,854
61,705 Elevance Health, Inc. 29,439,456
425,005 Encompass Health Corp. 21,513,753
141,746 HCA Healthcare, Inc. 30,109,685
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES
(CONTINUED)
219,119 Henry Schein, Inc. (a) $ 17,273,151
63,618 Humana, Inc. 30,663,876
127,058 Laboratory Corp. of America
Holdings 33,313,337
106,492 Molina Healthcare, Inc. (a) 34,899,558
667,645 Premier, Inc., Class A 25,677,627
223,918 Quest Diagnostics, Inc. 30,580,481
863,103 Signify Health, Inc.,
Class A (a) 14,767,692
319,925 Tenet Healthcare Corp. (a) 21,153,441
57,973 UnitedHealth Group, Inc. 31,441,077
295,669 Universal Health Services, Inc.,
Class B 33,253,892
---------------
462,952,990
---------------
HEALTH CARE TECHNOLOGY -- 1.7%
555,025 Certara, Inc. (a) 12,760,025
160,973 Doximity, Inc., Class A (a) (b) 6,812,377
28,302 Veeva Systems, Inc., Class A (a) 6,327,761
---------------
25,900,163
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 11.2%
47,191 Agilent Technologies, Inc. 6,328,313
540,684 Avantor, Inc. (a) 15,690,650
189,783 Bruker Corp. 13,009,625
55,666 Charles River Laboratories
International, Inc. (a) 13,946,560
46,983 Danaher Corp. 13,694,135
30,404 Illumina, Inc. (a) 6,587,939
77,495 IQVIA Holdings, Inc. (a) 18,619,724
197,292 Maravai LifeSciences Holdings,
Inc., Class A (a) 5,147,348
83,747 PerkinElmer, Inc. 12,827,528
356,255 QIAGEN N.V. (a) 17,684,498
34,516 Repligen Corp. (a) 7,364,334
234,588 Syneos Health, Inc. (a) 18,565,294
30,952 Thermo Fisher Scientific, Inc. 18,521,986
---------------
167,987,934
---------------
PHARMACEUTICALS -- 11.9%
154,683 Bristol-Myers Squibb Co. 11,412,512
222,032 Catalent, Inc. (a) 25,111,819
73,470 Eli Lilly & Co. 24,222,324
67,098 Johnson & Johnson 11,709,943
326,609 Merck & Co., Inc. 29,179,248
498,231 Organon & Co. 15,803,887
138,160 Perrigo Co. PLC 5,784,759
454,349 Pfizer, Inc. 22,949,168
2,844,030 Viatris, Inc. 27,558,651
32,610 Zoetis, Inc. 5,952,956
---------------
179,685,267
---------------
TOTAL COMMON STOCKS -- 99.9% 1,502,558,649
(Cost $1,380,647,181) ---------------
Page 34 See Notes to Financial Statements
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MONEY MARKET FUNDS -- 0.3%
2,618,730 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
2.15% (c) (d) $ 2,618,730
1,540,091 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 1.75% (c) 1,540,091
---------------
TOTAL MONEY MARKET FUNDS
-- 0.3% 4,158,821
(Cost $4,158,821) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
-------------------------------------------------------------
REPURCHASE AGREEMENTS -- 0.2%
$ 2,306,882 BNP Paribas S.A., 2.16% (c),
dated 07/29/22, due 08/01/22,
with a maturity value of
$2,307,297. Collateralized by
U.S. Treasury Note, interest
rate of 0.75%, due 01/31/28.
The value of the collateral
including accrued interest
is $2,355,778. (d) 2,306,882
(Cost $2,306,882) ---------------
TOTAL INVESTMENTS -- 100.4% 1,509,024,352
(Cost $1,387,112,884)
NET OTHER ASSETS AND
LIABILITIES -- (0.4)% (5,296,456)
---------------
NET ASSETS -- 100.0% $ 1,503,727,896
===============
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The remaining contractual
maturity of all of the securities lending transactions is overnight and
continuous. The aggregate value of such securities is $4,909,120 and the
total value of the collateral held by the Fund is $4,925,612.
(c) Rate shown reflects yield as of July 31, 2022.
(d) This security serves as collateral for securities on loan.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
-------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 4,909,120
Non-cash Collateral(2) (4,909,120)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value," is not offset and is shown on a gross
basis.
(2) At July 31, 2022, the value of the collateral received from each borrower
exceeded the value of the related securities loaned. This amount is
disclosed on the Portfolio of Investments.
The Fund's investments in repurchase agreements were all subject to an
enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis
were as follows:
REPURCHASE AGREEMENTS
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(3) $ 2,306,882
Non-cash Collateral(4) (2,306,882)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At July 31, 2022, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2022
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
7/31/2022 PRICES INPUTS INPUTS
-----------------------------------------------------------------------------
Common Stocks*.................................. $ 1,502,558,649 $ 1,502,558,649 $ -- $ --
Money Market Funds.............................. 4,158,821 4,158,821 -- --
Repurchase Agreements........................... 2,306,882 -- 2,306,882 --
-----------------------------------------------------------------------------
Total Investments............................... $ 1,509,024,352 $ 1,506,717,470 $ 2,306,882 $ --
=============================================================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 35
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)
PORTFOLIO OF INVESTMENTS
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.9%
AEROSPACE & DEFENSE -- 6.4%
263,675 BWX Technologies, Inc. $ 14,945,099
54,989 Curtiss-Wright Corp. 7,887,622
16,414 General Dynamics Corp. 3,720,561
27,695 HEICO Corp. 4,367,779
230,927 Howmet Aerospace, Inc. 8,574,320
83,362 Huntington Ingalls Industries,
Inc. 18,076,216
15,028 L3Harris Technologies, Inc. 3,606,269
33,781 Lockheed Martin Corp. 13,978,916
30,356 Northrop Grumman Corp. 14,537,488
178,391 Textron, Inc. 11,709,585
---------------
101,403,855
---------------
AIR FREIGHT & LOGISTICS -- 4.2%
179,111 C.H. Robinson Worldwide, Inc. 19,827,588
149,042 Expeditors International of
Washington, Inc. 15,835,712
64,073 FedEx Corp. 14,934,776
167,850 GXO Logistics, Inc. (a) 8,056,800
39,791 United Parcel Service, Inc.,
Class B 7,754,868
---------------
66,409,744
---------------
BUILDING PRODUCTS -- 10.1%
132,829 A.O. Smith Corp. 8,404,091
37,093 Allegion PLC 3,920,730
48,443 Armstrong World Industries, Inc. 4,328,382
650,796 AZEK (The) Co., Inc. (a) 13,458,461
338,129 Builders FirstSource, Inc. (a) 22,992,772
76,094 Carlisle Cos., Inc. 22,531,433
305,501 Carrier Global Corp. 12,381,955
242,576 Fortune Brands Home & Security,
Inc. 16,902,696
1,009,428 Hayward Holdings, Inc. (a) 11,780,025
75,846 Johnson Controls International
PLC 4,088,858
17,579 Lennox International, Inc. 4,210,698
215,305 Masco Corp. 11,923,591
244,339 Owens Corning 22,659,999
---------------
159,583,691
---------------
CHEMICALS -- 2.1%
164,244 Axalta Coating Systems Ltd. (a) 4,142,234
261,350 DuPont de Nemours, Inc. 16,002,460
138,393 RPM International, Inc. 12,510,727
---------------
32,655,421
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 0.8%
9,726 Cintas Corp. 4,138,316
53,186 Tetra Tech, Inc. 8,151,818
---------------
12,290,134
---------------
CONSTRUCTION & ENGINEERING
-- 5.7%
111,359 AECOM 8,017,848
152,021 MasTec, Inc. (a) 11,999,018
538,185 MDU Resources Group, Inc. 15,375,945
144,863 Quanta Services, Inc. 20,096,844
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
CONSTRUCTION & ENGINEERING
(CONTINUED)
80,829 Valmont Industries, Inc. $ 21,943,457
336,039 WillScot Mobile Mini Holdings
Corp. (a) 12,974,466
---------------
90,407,578
---------------
CONSTRUCTION MATERIALS -- 1.1%
132,116 Eagle Materials, Inc. 16,706,068
---------------
CONSUMER FINANCE -- 2.9%
26,201 American Express Co. 4,035,478
174,270 Capital One Financial Corp. 19,140,074
657,392 Synchrony Financial 22,009,484
---------------
45,185,036
---------------
CONTAINERS & PACKAGING -- 6.8%
292,144 Amcor PLC 3,783,265
35,187 AptarGroup, Inc. 3,791,751
265,849 Berry Global Group, Inc. (a) 15,326,195
78,800 Crown Holdings, Inc. 8,012,384
885,718 Graphic Packaging Holding Co. 19,707,225
105,634 Packaging Corp. of America 14,853,197
188,748 Sealed Air Corp. 11,536,278
263,470 Silgan Holdings, Inc. 11,724,415
455,747 Westrock Co. 19,305,443
---------------
108,040,153
---------------
DIVERSIFIED CONSUMER SERVICES
-- 0.8%
1,771,430 ADT, Inc. 12,931,439
---------------
ELECTRICAL EQUIPMENT -- 3.7%
70,723 Acuity Brands, Inc. 12,899,875
33,045 AMETEK, Inc. 4,081,057
28,823 Eaton Corp. PLC 4,277,045
91,310 Emerson Electric Co. 8,224,292
347,731 nVent Electric PLC 12,278,382
63,982 Regal Rexnord Corp. 8,592,783
175,817 Sensata Technologies Holding
PLC 7,818,582
---------------
58,172,016
---------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 2.6%
42,885 Littelfuse, Inc. 11,959,340
9,678 Teledyne Technologies, Inc. (a) 3,787,969
631,831 Vontier Corp. 16,301,240
24,708 Zebra Technologies Corp.,
Class A (a) 8,837,804
---------------
40,886,353
---------------
HOUSEHOLD DURABLES -- 2.1%
146,327 Mohawk Industries, Inc. (a) 18,800,093
65,176 TopBuild Corp. (a) 13,799,063
---------------
32,599,156
---------------
INDUSTRIAL CONGLOMERATES -- 0.8%
84,185 3M Co. 12,058,659
---------------
IT SERVICES -- 6.9%
13,078 Accenture PLC, Class A 4,005,268
34,580 Automatic Data Processing, Inc. 8,337,930
Page 36 See Notes to Financial Statements
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
IT SERVICES (CONTINUED)
36,099 Euronet Worldwide, Inc. (a) $ 3,547,449
79,232 Fidelity National Information
Services, Inc. 8,094,341
81,636 Fiserv, Inc. (a) 8,627,292
34,569 FleetCor Technologies, Inc. (a) 7,608,291
257,186 Genpact Ltd. 12,365,503
98,465 Global Payments, Inc. 12,044,239
60,519 Jack Henry & Associates, Inc. 12,574,033
11,515 Mastercard, Inc., Class A 4,073,892
31,890 Paychex, Inc. 4,090,849
18,442 Visa, Inc., Class A 3,911,733
440,972 Western Union (The) Co. 7,505,343
70,033 WEX, Inc. (a) 11,640,185
---------------
108,426,348
---------------
LEISURE PRODUCTS -- 1.4%
277,721 Brunswick Corp. 22,251,007
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 0.8%
32,916 Waters Corp. (a) 11,982,411
---------------
MACHINERY -- 18.9%
183,968 AGCO Corp. 20,037,795
472,224 Allison Transmission Holdings,
Inc. 19,772,019
40,629 Caterpillar, Inc. 8,054,699
165,897 Crane Holdings Co. 16,412,190
56,296 Cummins, Inc. 12,458,868
150,863 Donaldson Co., Inc. 8,208,456
59,868 Dover Corp. 8,003,154
415,017 Esab Corp. 17,107,001
66,770 Fortive Corp. 4,303,326
1,679,661 Gates Industrial Corp. PLC (a) 20,659,830
61,127 Graco, Inc. 4,105,289
19,994 IDEX Corp. 4,173,748
86,302 Ingersoll Rand, Inc. 4,297,840
162,015 ITT, Inc. 12,155,985
117,751 Lincoln Electric Holdings, Inc. 16,654,701
86,907 Middleby (The) Corp. (a) 12,574,574
17,934 Nordson Corp. 4,142,575
176,833 Oshkosh Corp. 15,225,321
205,538 Otis Worldwide Corp. 16,066,905
176,415 PACCAR, Inc. 16,145,501
29,517 Parker-Hannifin Corp. 8,533,070
238,016 Pentair PLC 11,636,602
73,722 Snap-on, Inc. 16,517,414
138,518 Stanley Black & Decker, Inc. 13,481,957
88,483 Westinghouse Air Brake
Technologies Corp. 8,270,506
---------------
298,999,326
---------------
PAPER & FOREST PRODUCTS -- 1.4%
346,450 Louisiana-Pacific Corp. 22,044,614
---------------
PROFESSIONAL SERVICES -- 3.9%
200,935 Booz Allen Hamilton Holding
Corp. 19,285,741
100,403 FTI Consulting, Inc. (a) 16,421,915
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
PROFESSIONAL SERVICES (CONTINUED)
190,104 ManpowerGroup, Inc. $ 14,906,054
145,470 Robert Half International, Inc. 11,512,496
---------------
62,126,206
---------------
ROAD & RAIL -- 8.4%
249,931 CSX Corp. 8,080,269
69,188 J.B. Hunt Transport Services,
Inc. 12,680,085
392,242 Knight-Swift Transportation
Holdings, Inc. 21,553,698
124,860 Landstar System, Inc. 19,550,579
15,976 Norfolk Southern Corp. 4,012,692
28,339 Old Dominion Freight Line, Inc. 8,601,170
255,515 Ryder System, Inc. 20,011,935
811,317 Schneider National, Inc.,
Class B 20,550,659
301,607 XPO Logistics, Inc. (a) 18,018,002
---------------
133,059,089
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 1.3%
176,923 MKS Instruments, Inc. 20,912,299
---------------
TRADING COMPANIES & DISTRIBUTORS
-- 6.8%
434,508 Air Lease Corp. 16,124,592
325,684 Core & Main, Inc., Class A (a) 7,862,012
193,398 MSC Industrial Direct Co., Inc.,
Class A 15,986,279
59,802 United Rentals, Inc. (a) 19,296,311
31,963 W.W. Grainger, Inc. 17,372,849
30,414 Watsco, Inc. 8,331,915
169,535 WESCO International, Inc. (a) 21,673,355
---------------
106,647,313
---------------
TOTAL COMMON STOCKS -- 99.9% 1,575,777,916
(Cost $1,591,975,558) ---------------
MONEY MARKET FUNDS -- 0.8%
13,010,054 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 1.75% (b) 13,010,054
(Cost $13,010,054) ---------------
TOTAL INVESTMENTS -- 100.7% 1,588,787,970
(Cost $1,604,985,612)
NET OTHER ASSETS AND
LIABILITIES -- (0.7)% (10,561,586)
---------------
NET ASSETS -- 100.0% $ 1,578,226,384
===============
(a) Non-income producing security.
(b) Rate shown reflects yield as of July 31, 2022.
See Notes to Financial Statements Page 37
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2022
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
7/31/2022 PRICES INPUTS INPUTS
-----------------------------------------------------------------------------
Common Stocks*.................................. $ 1,575,777,916 $ 1,575,777,916 $ -- $ --
Money Market Funds.............................. 13,010,054 13,010,054 -- --
-----------------------------------------------------------------------------
Total Investments............................... $ 1,588,787,970 $ 1,588,787,970 $ -- $ --
=============================================================================
* See Portfolio of Investments for industry breakout.
Page 38 See Notes to Financial Statements
FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ)
PORTFOLIO OF INVESTMENTS
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.9%
AEROSPACE & DEFENSE -- 0.9%
227,587 Hexcel Corp. $ 13,771,289
---------------
CHEMICALS -- 48.8%
49,503 Air Products and Chemicals, Inc. 12,288,130
113,940 Albemarle Corp. 27,836,681
115,535 Ashland Global Holdings, Inc. 11,607,801
404,911 Celanese Corp. 47,581,092
555,474 CF Industries Holdings, Inc. 53,042,212
1,487,234 Chemours (The) Co. 52,930,658
922,703 Dow, Inc. 49,097,027
397,864 Eastman Chemical Co. 38,167,094
77,428 Ecolab, Inc. 12,788,783
1,337,666 Element Solutions, Inc. 26,432,280
222,503 FMC Corp. 24,720,083
2,399,661 Huntsman Corp. 69,494,183
99,935 International Flavors &
Fragrances, Inc. 12,396,937
82,805 Linde PLC 25,007,110
544,492 LyondellBasell Industries N.V.,
Class A 48,525,127
1,008,275 Mosaic (The) Co. 53,095,761
39,561 NewMarket Corp. 12,295,559
1,028,971 Olin Corp. 53,784,314
301,433 Scotts Miracle-Gro (The) Co. 26,812,465
1,238,849 Valvoline, Inc. 39,915,715
694,038 Westlake Corp. 67,557,659
---------------
765,376,671
---------------
CONTAINERS & PACKAGING -- 4.1%
147,091 Avery Dennison Corp. 28,014,952
853,841 International Paper Co. 36,518,779
---------------
64,533,731
---------------
MACHINERY -- 2.8%
673,240 Timken (The) Co. 44,016,431
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
METALS & MINING -- 40.0%
783,579 Alcoa Corp. $ 39,876,335
4,426,174 Cleveland-Cliffs, Inc. (a) 78,387,542
1,220,644 Freeport-McMoRan, Inc. 38,511,318
371,120 MP Materials Corp. (a) 12,458,498
399,031 Newmont Corp. 18,068,124
651,562 Nucor Corp. 88,482,120
400,499 Reliance Steel & Aluminum Co. 76,194,935
222,982 Royal Gold, Inc. 23,361,824
717,043 Southern Copper Corp. 35,708,741
2,851,563 SSR Mining, Inc. 46,936,727
1,028,431 Steel Dynamics, Inc. 80,094,206
3,798,444 United States Steel Corp. 89,833,201
---------------
627,913,571
---------------
TRADING COMPANIES & DISTRIBUTORS
-- 3.3%
238,493 Fastenal Co. 12,249,001
1,436,104 Univar Solutions, Inc. (a) 38,832,252
---------------
51,081,253
---------------
TOTAL COMMON STOCKS -- 99.9% 1,566,692,946
(Cost $1,716,354,193) ---------------
MONEY MARKET FUNDS -- 0.1%
1,243,545 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 1.75% (b) 1,243,545
(Cost $1,243,545) ---------------
TOTAL INVESTMENTS -- 100.0% 1,567,936,491
(Cost $1,717,597,738)
NET OTHER ASSETS AND
LIABILITIES -- (0.0)% (21,364)
---------------
NET ASSETS -- 100.0% $ 1,567,915,127
===============
(a) Non-income producing security.
(b) Rate shown reflects yield as of July 31, 2022.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2022
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
7/31/2022 PRICES INPUTS INPUTS
-----------------------------------------------------------------------------
Common Stocks*.................................. $ 1,566,692,946 $ 1,566,692,946 $ -- $ --
Money Market Funds.............................. 1,243,545 1,243,545 -- --
-----------------------------------------------------------------------------
Total Investments............................... $ 1,567,936,491 $ 1,567,936,491 $ -- $ --
=============================================================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 39
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL)
PORTFOLIO OF INVESTMENTS
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.9%
COMMUNICATIONS EQUIPMENT
-- 1.0%
67,468 F5, Inc. (a) $ 11,291,444
---------------
ELECTRICAL EQUIPMENT -- 1.6%
1,595,074 Vertiv Holdings Co. 18,215,745
---------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 14.4%
203,657 Amphenol Corp., Class A 15,708,064
153,526 Arrow Electronics, Inc. (a) 19,677,427
401,325 Avnet, Inc. 19,211,428
83,216 CDW Corp. 15,106,201
546,139 Corning, Inc. 20,076,070
257,340 II-VI, Inc. (a) 13,546,378
182,821 IPG Photonics Corp. (a) 19,485,062
336,044 Jabil, Inc. 19,940,851
209,919 National Instruments Corp. 7,976,922
143,924 TD SYNNEX Corp. 14,452,848
---------------
165,181,251
---------------
HEALTH CARE TECHNOLOGY -- 0.3%
142,952 Definitive Healthcare Corp. (a) 3,713,893
---------------
INTERACTIVE MEDIA & SERVICES
-- 4.1%
120,322 Alphabet, Inc., Class A (a) 13,995,855
86,294 IAC/InterActiveCorp. (a) 5,911,139
47,034 Match Group, Inc. (a) 3,448,063
106,722 Meta Platforms, Inc.,
Class A (a) 16,979,470
360,999 Pinterest, Inc., Class A (a) 7,032,260
---------------
47,366,787
---------------
IT SERVICES -- 14.5%
143,562 Akamai Technologies, Inc. (a) 13,813,535
157,383 Amdocs Ltd. 13,701,764
254,983 Cognizant Technology Solutions
Corp., Class A 17,328,645
126,871 Concentrix Corp. 16,970,265
567,762 DXC Technology Co. (a) 17,941,279
35,027 EPAM Systems, Inc. (a) 12,233,180
42,696 Gartner, Inc. (a) 11,334,934
37,676 Globant S.A. (a) 7,506,566
148,438 GoDaddy, Inc., Class A (a) 11,011,131
121,885 International Business Machines
Corp. 15,941,339
335,161 Kyndryl Holdings, Inc. (a) 3,509,136
225,787 SS&C Technologies Holdings, Inc. 13,359,817
39,110 Twilio, Inc., Class A (a) 3,316,528
39,178 VeriSign, Inc. (a) 7,410,910
---------------
165,379,029
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 0.3%
45,463 Azenta, Inc. 3,103,304
---------------
PROFESSIONAL SERVICES -- 6.7%
46,532 CACI International, Inc.,
Class A (a) 14,066,158
744,972 Clarivate PLC (a) 10,794,644
686,981 Dun & Bradstreet Holdings,
Inc. (a) 10,826,821
355,628 KBR, Inc. 18,930,079
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
PROFESSIONAL SERVICES (CONTINUED)
102,525 Leidos Holdings, Inc. $ 10,970,175
110,906 Science Applications
International Corp. 10,743,464
---------------
76,331,341
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 25.1%
171,459 Advanced Micro Devices, Inc. (a) 16,197,732
158,428 Allegro MicroSystems, Inc. (a) 3,933,767
89,749 Analog Devices, Inc. 15,433,238
36,029 Applied Materials, Inc. 3,818,353
13,494 Broadcom, Inc. 7,225,767
237,232 Cirrus Logic, Inc. (a) 20,273,847
35,579 Entegris, Inc. 3,910,132
162,512 GLOBALFOUNDRIES,
Inc. (a) (b) 8,366,118
460,006 Intel Corp. 16,702,818
41,091 KLA Corp. 15,760,042
15,384 Lam Research Corp. 7,699,846
135,170 Lattice Semiconductor Corp. (a) 8,312,955
75,301 Marvell Technology, Inc. 4,192,760
177,778 Microchip Technology, Inc. 12,241,793
311,303 Micron Technology, Inc. 19,257,204
26,885 Monolithic Power Systems, Inc. 12,493,997
21,623 NVIDIA Corp. 3,927,385
342,057 ON Semiconductor Corp. (a) 22,842,566
182,451 Qorvo, Inc. (a) 18,987,676
102,643 QUALCOMM, Inc. 14,889,394
185,760 Skyworks Solutions, Inc. 20,225,549
146,416 Teradyne, Inc. 14,771,910
85,334 Texas Instruments, Inc. 15,265,399
---------------
286,730,248
---------------
SOFTWARE -- 23.0%
67,697 Alteryx, Inc., Class A (a) 3,278,566
27,397 ANSYS, Inc. (a) 7,643,489
95,177 AppLovin Corp., Class A (a) 3,382,591
68,822 Cadence Design Systems, Inc. (a) 12,806,398
38,892 Crowdstrike Holdings, Inc.,
Class A (a) 7,140,571
68,834 Datadog, Inc., Class A (a) 7,021,756
144,288 Dolby Laboratories, Inc.,
Class A 11,167,891
289,182 DoubleVerify Holdings, Inc. (a) 6,630,943
491,916 Dropbox, Inc., Class A (a) 11,186,170
166,220 Dynatrace, Inc. (a) 6,254,859
48,439 Elastic N.V. (a) 3,869,792
35,966 Five9, Inc. (a) 3,888,644
231,733 Fortinet, Inc. (a) 13,822,873
157,818 Informatica, Inc.,
Class A (a) (b) 3,614,032
17,008 Intuit, Inc. 7,758,539
132,333 Jamf Holding Corp. (a) 3,234,219
57,206 Manhattan Associates, Inc. (a) 8,047,168
40,204 Microsoft Corp. 11,286,871
331,896 NCR Corp. (a) 10,770,025
65,492 New Relic, Inc. (a) 3,973,400
470,187 NortonLifeLock, Inc. 11,533,687
93,828 Oracle Corp. 7,303,572
26,545 Palo Alto Networks, Inc. (a) 13,248,610
23,403 Paycom Software, Inc. (a) 7,734,457
97,097 PTC, Inc. (a) 11,979,828
Page 40 See Notes to Financial Statements
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
SOFTWARE (CONTINUED)
16,611 Roper Technologies, Inc. $ 7,253,525
19,860 Salesforce, Inc. (a) 3,654,637
21,714 ServiceNow, Inc. (a) 9,698,775
37,055 Splunk, Inc. (a) 3,850,385
43,172 Synopsys, Inc. (a) 15,865,710
177,136 Teradata Corp. (a) 6,782,537
9,859 Tyler Technologies, Inc. (a) 3,933,741
180,203 UiPath, Inc., Class A (a) 3,303,121
95,632 Zoom Video Communications,
Inc., Class A (a) 9,932,340
---------------
262,853,722
---------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 8.9%
75,521 Apple, Inc. 12,272,918
283,737 Dell Technologies, Inc., Class C 12,785,189
1,297,802 Hewlett Packard Enterprise Co. 18,480,701
524,980 HP, Inc. 17,529,082
100,486 NetApp, Inc. 7,167,666
509,976 Pure Storage, Inc., Class A (a) 14,457,820
383,869 Western Digital Corp. (a) 18,847,968
---------------
101,541,344
---------------
TOTAL COMMON STOCKS -- 99.9% 1,141,708,108
(Cost $1,151,921,894) ---------------
MONEY MARKET FUNDS -- 0.6%
5,359,207 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
2.15% (c) (d) 5,359,207
2,132,800 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 1.75% (c) 2,132,800
---------------
TOTAL MONEY MARKET FUNDS
-- 0.6% 7,492,007
(Cost $7,492,007) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
-------------------------------------------------------------
REPURCHASE AGREEMENTS -- 0.4%
$ 4,721,013 BNP Paribas S.A., 2.16% (c),
dated 07/29/22, due 08/01/22,
with a maturity value of
$4,721,863. Collateralized by
U.S. Treasury Note, interest
rate of 0.75%, due 01/31/28.
The value of the collateral
including accrued interest
is $4,821,078. (d) 4,721,013
(Cost $4,721,013) ---------------
TOTAL INVESTMENTS -- 100.9% 1,153,921,128
(Cost $1,164,134,914)
NET OTHER ASSETS AND
LIABILITIES -- (0.9)% (10,757,082)
---------------
NET ASSETS -- 100.0% $ 1,143,164,046
===============
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The remaining contractual
maturity of all of the securities lending transactions is overnight and
continuous. The aggregate value of such securities is $10,674,044 and the
total value of the collateral held by the Fund is $10,080,220.
(c) Rate shown reflects yield as of July 31, 2022.
(d) This security serves as collateral for securities on loan.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
-------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 10,674,044
Non-cash Collateral(2) (10,080,220)
---------------
Net Amount $ 593,824
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value," is not offset and is shown on a gross
basis.
(2) The collateral requirements are determined at the beginning of each
business day based on the market value of the loaned securities from the
end of the prior day. On July 29, 2022, the last business day of the
period, there was sufficient collateral based on the end of day market
value from the prior business day; however, as a result of market movement
from July 28 to July 29, the value of the related securities loaned was
above the collateral value received. See Note 2D - Securities Lending in
the Notes to Financial Statements.
The Fund's investments in repurchase agreements were all subject to an
enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis
were as follows:
REPURCHASE AGREEMENTS
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(3) $ 4,721,013
Non-cash Collateral(4) (4,721,013)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At July 31, 2022, the value of the collateral received from each seller
exceeded the value of the repurchase agreements.
See Notes to Financial Statements Page 41
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2022
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2022
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
7/31/2022 PRICES INPUTS INPUTS
-----------------------------------------------------------------------------
Common Stocks*.................................. $ 1,141,708,108 $ 1,141,708,108 $ -- $ --
Money Market Funds.............................. 7,492,007 7,492,007 -- --
Repurchase Agreements........................... 4,721,013 -- 4,721,013 --
-----------------------------------------------------------------------------
Total Investments............................... $ 1,153,921,128 $ 1,149,200,115 $ 4,721,013 $ --
=============================================================================
* See Portfolio of Investments for industry breakout.
Page 42 See Notes to Financial Statements
FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU)
PORTFOLIO OF INVESTMENTS
JULY 31, 2022
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.8%
COMMERCIAL SERVICES & SUPPLIES
-- 11.9%
106,572 Clean Harbors, Inc. (a) $ 10,400,362
118,988 Republic Services, Inc. 16,498,876
71,023 Stericycle, Inc. (a) 3,328,848
101,791 Waste Management, Inc. 16,750,727
---------------
46,978,813
---------------
ELECTRIC UTILITIES -- 49.8%
106,275 Alliant Energy Corp. 6,475,336
97,386 American Electric Power Co.,
Inc. 9,598,364
270,112 Avangrid, Inc. 13,162,558
116,198 Duke Energy Corp. 12,773,646
147,742 Edison International 10,012,475
110,597 Entergy Corp. 12,733,033
190,920 Evergy, Inc. 13,032,199
73,739 Eversource Energy 6,505,255
274,880 Exelon Corp. 12,779,171
243,376 FirstEnergy Corp. 10,002,754
228,440 Hawaiian Electric Industries,
Inc. 9,663,012
58,807 IDACORP, Inc. 6,569,918
407,964 NRG Energy, Inc. 15,400,641
403,837 OGE Energy Corp. 16,589,624
1,248,255 PG&E Corp. (a) 13,556,049
212,965 Pinnacle West Capital Corp. 15,646,538
114,795 PPL Corp. 3,338,239
43,674 Southern (The) Co. 3,358,094
88,027 Xcel Energy, Inc. 6,441,816
---------------
197,638,722
---------------
ELECTRICAL EQUIPMENT -- 1.1%
133,322 Sunrun, Inc. (a) 4,358,296
---------------
GAS UTILITIES -- 11.2%
83,347 Atmos Energy Corp. 10,117,492
235,761 National Fuel Gas Co. 17,054,951
403,315 UGI Corp. 17,407,075
---------------
44,579,518
---------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
INDEPENDENT POWER AND RENEWABLE
ELECTRICITY PRODUCERS -- 6.9%
444,702 AES (The) Corp. $ 9,881,278
681,487 Vistra Corp. 17,616,439
---------------
27,497,717
---------------
MULTI-UTILITIES -- 17.2%
68,933 Ameren Corp. 6,419,041
315,861 CenterPoint Energy, Inc. 10,009,635
92,278 CMS Energy Corp. 6,342,267
130,994 Consolidated Edison, Inc. 13,003,774
39,023 Dominion Energy, Inc. 3,199,106
49,143 DTE Energy Co. 6,403,333
422,434 NiSource, Inc. 12,841,994
20,726 Sempra Energy 3,436,371
61,892 WEC Energy Group, Inc. 6,425,008
---------------
68,080,529
---------------
WATER UTILITIES -- 1.7%
20,935 American Water Works Co., Inc. 3,254,136
67,926 Essential Utilities, Inc. 3,528,077
---------------
6,782,213
---------------
TOTAL COMMON STOCKS -- 99.8% 395,915,808
(Cost $368,954,053) ---------------
MONEY MARKET FUNDS -- 0.1%
288,804 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 1.75% (b) 288,804
(Cost $288,804) ---------------
TOTAL INVESTMENTS -- 99.9% 396,204,612
(Cost $369,242,857)
NET OTHER ASSETS AND
LIABILITIES -- 0.1% 353,130
---------------
NET ASSETS -- 100.0% $ 396,557,742
===============
(a) Non-income producing security.
(b) Rate shown reflects yield as of July 31, 2022.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2022
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
7/31/2022 PRICES INPUTS INPUTS
-----------------------------------------------------------------------------
Common Stocks*.................................. $ 395,915,808 $ 395,915,808 $ -- $ --
Money Market Funds.............................. 288,804 288,804 -- --
-----------------------------------------------------------------------------
Total Investments............................... $ 396,204,612 $ 396,204,612 $ -- $ --
=============================================================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 43
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
JULY 31, 2022
FIRST TRUST FIRST TRUST
CONSUMER CONSUMER FIRST TRUST
DISCRETIONARY STAPLES ENERGY
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXD) (FXG) (FXN)
---------------- ---------------- ----------------
ASSETS:
Investments, at value................................................ $ 404,296,651 $ 650,578,748 $ 1,664,587,450
Receivables:
Capital shares sold............................................... 2,478,722 -- 6,642,380
Dividends......................................................... 70,633 535,581 2,018,689
Securities lending income......................................... 12,211 -- 5,361
Investment securities sold........................................ -- -- --
Reclaims.......................................................... -- -- --
Prepaid expenses..................................................... 5,430 2,113 2,151
---------------- ---------------- ----------------
Total Assets...................................................... 406,863,647 651,116,442 1,673,256,031
---------------- ---------------- ----------------
LIABILITIES:
Due to custodian..................................................... -- -- --
Payables:
Collateral for securities on Loan................................. 9,860,863 -- 265,810
Investment securities purchased................................... 2,478,372 -- 6,624,676
Investment advisory fees.......................................... 165,176 271,896 642,361
Licensing fees.................................................... 88,345 78,019 224,987
Shareholder reporting fees........................................ 52,481 7,674 5,364
Audit and tax fees................................................ 27,274 28,564 30,487
Trustees' fees.................................................... 163 -- --
Capital shares redeemed........................................... -- -- --
Other liabilities.................................................... 74,054 76,801 171,441
---------------- ---------------- ----------------
Total Liabilities................................................. 12,746,728 462,954 7,965,126
---------------- ---------------- ----------------
NET ASSETS........................................................... $ 394,116,919 $ 650,653,488 $ 1,665,290,905
================ ================ ================
NET ASSETS CONSIST OF:
Paid-in capital...................................................... $ 890,377,096 $ 882,462,631 $ 1,949,119,376
Par value............................................................ 79,500 102,000 991,500
Accumulated distributable earnings (loss)............................ (496,339,677) (231,911,143) (284,819,971)
---------------- ---------------- ----------------
NET ASSETS........................................................... $ 394,116,919 $ 650,653,488 $ 1,665,290,905
================ ================ ================
NET ASSET VALUE, per share........................................... $ 49.57 $ 63.79 $ 16.80
================ ================ ================
Number of shares outstanding (unlimited number of shares
authorized, par value $0.01 per share)............................ 7,950,002 10,200,002 99,150,002
================ ================ ================
Investments, at cost................................................. $ 463,800,830 $ 623,926,208 $ 1,434,599,198
================ ================ ================
Securities on loan, at value......................................... $ 9,817,113 $ -- $ 264,594
================ ================ ================
Page 44 See Notes to Financial Statements
FIRST TRUST
FIRST TRUST FIRST TRUST INDUSTRIALS/ FIRST TRUST FIRST TRUST FIRST TRUST
FINANCIALS HEALTH CARE PRODUCER DURABLES MATERIALS TECHNOLOGY UTILITIES
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXO) (FXH) (FXR) (FXZ) (FXL) (FXU)
---------------- ---------------- ----------------- ---------------- ---------------- ----------------
$ 1,215,484,239 $ 1,509,024,352 $ 1,588,787,970 $ 1,567,936,491 $ 1,153,921,128 $ 396,204,612
-- -- -- -- -- --
893,239 670,413 746,099 1,061,757 183,653 631,130
148,614 1,151 -- -- 3,527 --
-- -- -- 3,096,623 -- --
-- -- -- -- -- 4,536
4,054 4,336 4,618 2,407 6,186 1,985
---------------- ---------------- ----------------- ---------------- ---------------- ----------------
1,216,530,146 1,509,700,252 1,589,538,687 1,572,097,278 1,154,114,494 396,842,263
---------------- ---------------- ----------------- ---------------- ---------------- ----------------
-- -- 10,228,020 -- -- --
43,927,869 4,925,612 -- -- 10,080,220 --
-- -- -- -- -- --
478,771 615,134 621,659 629,287 457,557 157,260
168,868 193,611 211,491 234,013 161,055 45,747
41,040 45,849 42,471 16,666 77,776 8,486
27,726 27,545 27,388 28,394 26,707 28,625
42 8 18 -- 39 --
-- -- -- 3,098,646 -- --
148,086 164,597 181,256 175,145 147,094 44,403
---------------- ---------------- ----------------- ---------------- ---------------- ----------------
44,792,402 5,972,356 11,312,303 4,182,151 10,950,448 284,521
---------------- ---------------- ----------------- ---------------- ---------------- ----------------
$ 1,171,737,744 $ 1,503,727,896 $ 1,578,226,384 $ 1,567,915,127 $ 1,143,164,046 $ 396,557,742
================ ================ ================= ================ ================ ================
$ 1,490,960,056 $ 1,992,560,506 $ 1,886,203,376 $ 1,909,239,789 $ 1,779,581,777 $ 564,992,492
282,500 138,500 294,000 253,000 109,550 115,500
(319,504,812) (488,971,110) (308,270,992) (341,577,662) (636,527,281) (168,550,250)
---------------- ---------------- ----------------- ---------------- ---------------- ----------------
$ 1,171,737,744 $ 1,503,727,896 $ 1,578,226,384 $ 1,567,915,127 $ 1,143,164,046 $ 396,557,742
================ ================ ================= ================ ================ ================
$ 41.48 $ 108.57 $ 53.68 $ 61.97 $ 104.35 $ 34.33
================ ================ ================= ================ ================ ================
28,250,002 13,850,002 29,400,002 25,300,002 10,955,000 11,550,002
================ ================ ================= ================ ================ ================
$ 1,276,662,348 $ 1,387,112,884 $ 1,604,985,612 $ 1,717,597,738 $ 1,164,134,914 $ 369,242,857
================ ================ ================= ================ ================ ================
$ 43,378,400 $ 4,909,120 $ -- $ -- $ 10,674,044 $ --
================ ================ ================= ================ ================ ================
See Notes to Financial Statements Page 45
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JULY 31, 2022
FIRST TRUST FIRST TRUST
CONSUMER CONSUMER FIRST TRUST
DISCRETIONARY STAPLES ENERGY
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXD) (FXG) (FXN)
---------------- ---------------- ----------------
INVESTMENT INCOME:
Dividends............................................................ $ 20,802,506 $ 7,859,970 $ 26,432,529
Securities lending income (net of fees).............................. 209,502 9,310 64,092
Foreign withholding tax.............................................. -- -- --
---------------- ---------------- ----------------
Total investment income........................................... 21,012,008 7,869,280 26,496,621
---------------- ---------------- ----------------
EXPENSES:
Investment advisory fees............................................. 7,308,183 1,930,852 4,492,207
Accounting and administration fees................................... 671,727 194,358 425,195
Licensing fees....................................................... 584,654 154,468 359,376
Shareholder reporting fees........................................... 130,713 33,017 51,204
Custodian fees....................................................... 115,301 30,274 68,515
Transfer agent fees.................................................. 57,897 19,308 38,584
Audit and tax fees................................................... 28,660 28,541 32,541
Legal fees........................................................... 28,029 5,627 16,307
Listing fees......................................................... 10,301 8,084 10,021
Trustees' fees and expenses.......................................... 7,174 6,427 6,552
Other expenses....................................................... 22,129 5,442 4,840
---------------- ---------------- ----------------
Total expenses.................................................... 8,964,768 2,416,398 5,505,342
---------------- ---------------- ----------------
NET INVESTMENT INCOME (LOSS)......................................... 12,047,240 5,452,882 20,991,279
---------------- ---------------- ----------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments....................................................... (88,373,244) (9,391,125) (51,732,847)
In-kind redemptions............................................... 242,420,096 21,499,045 154,511,869
---------------- ---------------- ----------------
Net realized gain (loss)............................................. 154,046,852 12,107,920 102,779,022
---------------- ---------------- ----------------
Net change in unrealized appreciation (depreciation) on investments.. (441,734,956) 14,116,145 205,525,000
---------------- ---------------- ----------------
NET REALIZED AND UNREALIZED GAIN (LOSS).............................. (287,688,104) 26,224,065 308,304,022
---------------- ---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS................................................... $ (275,640,864) $ 31,676,947 $ 329,295,301
================ ================ ================
Page 46 See Notes to Financial Statements
FIRST TRUST
FIRST TRUST FIRST TRUST INDUSTRIALS/ FIRST TRUST FIRST TRUST FIRST TRUST
FINANCIALS HEALTH CARE PRODUCER DURABLES MATERIALS TECHNOLOGY UTILITIES
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXO) (FXH) (FXR) (FXZ) (FXL) (FXU)
---------------- ---------------- ----------------- ---------------- ---------------- ----------------
$ 38,291,191 $ 11,024,216 $ 23,277,276 $ 22,470,388 $ 16,485,424 $ 6,853,724
165,723 6,449 2,828 2,806 101,607 1,649
(44,155) -- -- -- (28,752) (6,803)
---------------- ---------------- ----------------- ---------------- ---------------- ----------------
38,412,759 11,030,665 23,280,104 22,473,194 16,558,279 6,848,570
---------------- ---------------- ----------------- ---------------- ---------------- ----------------
7,077,467 7,523,292 8,639,335 4,889,407 9,453,163 1,195,958
667,726 703,280 792,790 461,817 847,874 120,835
566,197 601,863 691,147 391,152 756,253 95,676
130,779 107,605 127,985 62,753 138,816 29,482
110,727 116,242 135,387 74,260 147,726 19,780
60,387 62,617 68,197 41,791 72,266 11,960
28,660 28,616 28,649 28,552 28,573 28,518
24,348 24,983 28,627 18,739 40,492 3,630
9,951 8,084 10,021 8,084 8,061 8,061
7,092 6,996 7,206 6,592 7,211 6,370
22,292 22,248 21,376 6,036 38,238 7,633
---------------- ---------------- ----------------- ---------------- ---------------- ----------------
8,705,626 9,205,826 10,550,720 5,989,183 11,538,673 1,527,903
---------------- ---------------- ----------------- ---------------- ---------------- ----------------
29,707,133 1,824,839 12,729,384 16,484,011 5,019,606 5,320,667
---------------- ---------------- ----------------- ---------------- ---------------- ----------------
(13,458,586) (45,234,205) (120,301,236) (65,515,597) (85,528,864) (3,420,592)
157,350,730 40,665,449 102,852,892 141,330,176 337,875,377 3,176,556
---------------- ---------------- ----------------- ---------------- ---------------- ----------------
143,892,144 (4,568,756) (17,448,344) 75,814,579 252,346,513 (244,036)
---------------- ---------------- ----------------- ---------------- ---------------- ----------------
(214,313,440) (177,329,197) (177,157,775) (187,817,992) (502,005,673) 24,546,526
---------------- ---------------- ----------------- ---------------- ---------------- ----------------
(70,421,296) (181,897,953) (194,606,119) (112,003,413) (249,659,160) 24,302,490
---------------- ---------------- ----------------- ---------------- ---------------- ----------------
$ (40,714,163) $ (180,073,114) $ (181,876,735) $ (95,519,402) $ (244,639,554) $ 29,623,157
================ ================ ================= ================ ================ ================
See Notes to Financial Statements Page 47
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
FIRST TRUST FIRST TRUST
CONSUMER DISCRETIONARY CONSUMER STAPLES
ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXD) (FXG)
------------------------------------ ------------------------------------
Year Ended Year Ended Year Ended Year Ended
7/31/2022 7/31/2021 7/31/2022 7/31/2021
----------------- ----------------- ----------------- -----------------
OPERATIONS:
Net investment income (loss)............................ $ 12,047,240 $ 5,589,720 $ 5,452,882 $ 3,700,096
Net realized gain (loss)................................ 154,046,852 220,645,136 12,107,920 40,853,212
Net change in unrealized appreciation (depreciation).... (441,734,956) 349,773,051 14,116,145 (6,724,081)
--------------- --------------- --------------- ---------------
Net increase (decrease) in net assets resulting
from operations...................................... (275,640,864) 576,007,907 31,676,947 37,829,227
--------------- --------------- --------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations................................... (13,315,221) (4,077,825) (4,675,407) (3,532,571)
--------------- --------------- --------------- ---------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold............................... 821,836,474 782,562,374 502,041,230 48,212,403
Cost of shares redeemed................................. (2,086,899,315) (355,304,614) (125,700,060) (93,627,143)
--------------- --------------- --------------- ---------------
Net increase (decrease) in net assets resulting
from shareholder transactions........................ (1,265,062,841) 427,257,760 376,341,170 (45,414,740)
--------------- --------------- --------------- ---------------
Total increase (decrease) in net assets................. (1,554,018,926) 999,187,842 403,342,710 (11,118,084)
NET ASSETS:
Beginning of period..................................... 1,948,135,845 948,948,003 247,310,778 258,428,862
--------------- --------------- --------------- ---------------
End of period........................................... $ 394,116,919 $ 1,948,135,845 $ 650,653,488 $ 247,310,778
=============== =============== =============== ===============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period................. 31,750,002 23,900,002 4,400,002 5,300,002
Shares sold............................................. 14,350,000 14,300,000 7,850,000 850,000
Shares redeemed......................................... (38,150,000) (6,450,000) (2,050,000) (1,750,000)
--------------- --------------- --------------- ---------------
Shares outstanding, end of period....................... 7,950,002 31,750,002 10,200,002 4,400,002
=============== =============== =============== ===============
Page 48 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST
ENERGY FINANCIALS HEALTH CARE
ALPHADEX(R) FUND ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXN) (FXO) (FXH)
------------------------------------ ------------------------------------ ------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
7/31/2022 7/31/2021 7/31/2022 7/31/2021 7/31/2022 7/31/2021
----------------- ----------------- ----------------- ----------------- ----------------- -----------------
$ 20,991,279 $ 4,726,946 $ 29,707,133 $ 19,642,777 $ 1,824,839 $ (1,922,467)
102,779,022 (53,740,595) 143,892,144 122,812,618 (4,568,756) 190,085,638
205,525,000 70,852,124 (214,313,440) 222,303,365 (177,329,197) 162,241,943
--------------- --------------- --------------- --------------- --------------- ---------------
329,295,301 21,838,475 (40,714,163) 364,758,760 (180,073,114) 350,405,114
--------------- --------------- --------------- --------------- --------------- ---------------
(19,922,141) (6,451,416) (28,346,142) (19,322,307) -- --
--------------- --------------- --------------- --------------- --------------- ---------------
1,605,588,558 298,299,815 604,854,268 829,324,790 252,759,574 212,370,515
(578,637,025) (600,515,709) (676,942,289) (400,047,202) (173,706,436) (306,336,510)
--------------- --------------- --------------- --------------- --------------- ---------------
1,026,951,533 (302,215,894) (72,088,021) 429,277,588 79,053,138 (93,965,995)
--------------- --------------- --------------- --------------- --------------- ---------------
1,336,324,693 (286,828,835) (141,148,326) 774,714,041 (101,019,976) 256,439,119
328,966,212 615,795,047 1,312,886,070 538,172,029 1,604,747,872 1,348,308,753
--------------- --------------- --------------- --------------- --------------- ---------------
$ 1,665,290,905 $ 328,966,212 $ 1,171,737,744 $ 1,312,886,070 $ 1,503,727,896 $ 1,604,747,872
=============== =============== =============== =============== =============== ===============
31,850,002 94,150,002 30,250,002 20,800,002 13,150,002 14,150,002
109,350,000 33,500,000 13,250,000 19,850,000 2,250,000 1,950,000
(42,050,000) (95,800,000) (15,250,000) (10,400,000) (1,550,000) (2,950,000)
--------------- --------------- --------------- --------------- --------------- ---------------
99,150,002 31,850,002 28,250,002 30,250,002 13,850,002 13,150,002
=============== =============== =============== =============== =============== ===============
See Notes to Financial Statements Page 49
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FIRST TRUST FIRST TRUST
INDUSTRIALS/PRODUCER DURABLES MATERIALS
ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXR) (FXZ)
------------------------------------ ------------------------------------
Year Ended Year Ended Year Ended Year Ended
7/31/2022 7/31/2021 7/31/2022 7/31/2021
----------------- ----------------- ----------------- -----------------
OPERATIONS:
Net investment income (loss)............................ $ 12,729,384 $ 5,234,123 $ 16,484,011 $ 3,593,974
Net realized gain (loss)................................ (17,448,344) 113,251,146 75,814,579 35,659,553
Net change in unrealized appreciation (depreciation).... (177,157,775) 153,513,072 (187,817,992) 39,448,502
--------------- --------------- --------------- ---------------
Net increase (decrease) in net assets resulting
from operations...................................... (181,876,735) 271,998,341 (95,519,402) 78,702,029
--------------- --------------- --------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations................................... (11,751,221) (5,682,851) (12,438,026) (3,372,847)
--------------- --------------- --------------- ---------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold............................... 880,928,164 1,711,548,130 2,011,606,379 360,933,761
Cost of shares redeemed................................. (876,678,313) (390,238,248) (796,095,645) (72,695,856)
--------------- --------------- --------------- ---------------
Net increase (decrease) in net assets resulting
from shareholder transactions........................ 4,249,851 1,321,309,882 1,215,510,734 288,237,905
--------------- --------------- --------------- ---------------
Total increase (decrease) in net assets................. (189,378,105) 1,587,625,372 1,107,553,306 363,567,087
NET ASSETS:
Beginning of period..................................... 1,767,604,489 179,979,117 460,361,821 96,794,734
--------------- --------------- --------------- ---------------
End of period........................................... $ 1,578,226,384 $ 1,767,604,489 $ 1,567,915,127 $ 460,361,821
=============== =============== =============== ===============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period................. 29,700,002 4,600,002 7,950,002 2,700,002
Shares sold............................................. 15,200,000 32,100,000 29,600,000 6,550,000
Shares redeemed......................................... (15,500,000) (7,000,000) (12,250,000) (1,300,000)
--------------- --------------- --------------- ---------------
Shares outstanding, end of period....................... 29,400,002 29,700,002 25,300,002 7,950,002
=============== =============== =============== ===============
Page 50 See Notes to Financial Statements
FIRST TRUST FIRST TRUST
TECHNOLOGY UTILITIES
ALPHADEX(R) FUND ALPHADEX(R) FUND
(FXL) (FXU)
------------------------------------ ------------------------------------
Year Ended Year Ended Year Ended Year Ended
7/31/2022 7/31/2021 7/31/2022 7/31/2021
----------------- ----------------- ----------------- -----------------
$ 5,019,606 $ (1,198,161) $ 5,320,667 $ 4,416,268
252,346,513 838,129,241 (244,036) 1,197,025
(502,005,673) (15,385,932) 24,546,526 19,219,926
--------------- --------------- --------------- ---------------
(244,639,554) 821,545,148 29,623,157 24,833,219
--------------- --------------- --------------- ---------------
(4,345,452) -- (4,580,661) (4,925,266)
--------------- --------------- --------------- ---------------
89,100,450 2,373,439,398 225,477,669 10,559,951
(1,365,024,963) (2,732,020,436) (28,108,801) (86,309,615)
--------------- --------------- --------------- ---------------
(1,275,924,513) (358,581,038) 197,368,868 (75,749,664)
--------------- --------------- --------------- ---------------
(1,524,909,519) 462,964,110 222,411,364 (55,841,711)
2,668,073,565 2,205,109,455 174,146,378 229,988,089
--------------- --------------- --------------- ---------------
$ 1,143,164,046 $ 2,668,073,565 $ 396,557,742 $ 174,146,378
=============== =============== =============== ===============
21,255,000 24,655,000 5,650,002 8,350,002
700,000 21,650,000 6,800,000 350,000
(11,000,000) (25,050,000) (900,000) (3,050,000)
--------------- --------------- --------------- ---------------
10,955,000 21,255,000 11,550,002 5,650,002
=============== =============== =============== ===============
See Notes to Financial Statements Page 51
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND (FXD)
YEAR ENDED JULY 31,
--------------------------------------------------------------
2022 2021 2020 2019 2018
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 61.36 $ 39.70 $ 43.40 $ 42.42 $ 37.53
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.52 0.20 0.36 0.37 0.43
Net realized and unrealized gain (loss) (11.78) 21.61 (3.61) 0.93 4.88
---------- ---------- ---------- ---------- ----------
Total from investment operations (11.26) 21.81 (3.25) 1.30 5.31
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.53) (0.15) (0.45) (0.32) (0.42)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 49.57 $ 61.36 $ 39.70 $ 43.40 $ 42.42
========== ========== ========== ========== ==========
TOTAL RETURN (a) (18.43)% 54.99% (7.39)% 3.13% 14.17%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 394,117 $1,948,136 $ 948,948 $ 384,117 $ 409,343
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.61% 0.61% 0.63% 0.64% 0.64%
Ratio of net expenses to average net assets 0.61% 0.61% 0.63% 0.64% 0.64%
Ratio of net investment income (loss) to
average net assets 0.82% 0.38% 0.77% 0.90% 1.03%
Portfolio turnover rate (b) 76% 88% 115% 97% 101%
FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND (FXG)
YEAR ENDED JULY 31,
--------------------------------------------------------------
2022 2021 2020 2019 2018
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 56.21 $ 48.76 $ 45.80 $ 46.50 $ 46.84
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.81 0.79 0.84 0.70 1.00
Net realized and unrealized gain (loss) 7.55 7.40 2.98 (0.32) (0.74)
---------- ---------- ---------- ---------- ----------
Total from investment operations 8.36 8.19 3.82 0.38 0.26
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.78) (0.74) (0.86) (1.08) (0.60)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 63.79 $ 56.21 $ 48.76 $ 45.80 $ 46.50
========== ========== ========== ========== ==========
TOTAL RETURN (a) 14.95% 16.88% 8.46% 0.83% 0.53%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 650,653 $ 247,311 $ 258,429 $ 329,792 $ 369,643
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.63% 0.64% 0.63% 0.64% 0.64%
Ratio of net expenses to average net assets 0.63% 0.64% 0.63% 0.64% 0.64%
Ratio of net investment income (loss) to
average net assets 1.41% 1.43% 1.72% 1.51% 2.09%
Portfolio turnover rate (b) 88% 94% 113% 90% 107%
(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 52 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST ENERGY ALPHADEX(R) FUND (FXN)
YEAR ENDED JULY 31,
--------------------------------------------------------------
2022 2021 2020 2019 2018
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 10.33 $ 6.54 $ 10.88 $ 17.10 $ 13.66
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.27 0.31 0.16 0.16 0.12
Net realized and unrealized gain (loss) 6.46 3.81 (4.31) (6.25) 3.47
---------- ---------- ---------- ---------- ----------
Total from investment operations 6.73 4.12 (4.15) (6.09) 3.59
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.26) (0.33) (0.19) (0.13) (0.15)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 16.80 $ 10.33 $ 6.54 $ 10.88 $ 17.10
========== ========== ========== ========== ==========
TOTAL RETURN (a) 65.76% 66.66% (38.32)% (35.77)% 26.45%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $1,665,291 $ 328,966 $ 615,795 $ 122,374 $ 437,773
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.61% 0.64% 0.64% 0.65% 0.63%
Ratio of net expenses to average net assets 0.61% 0.64% 0.64% 0.65% 0.63%
Ratio of net investment income (loss) to
average net assets 2.34% 1.70% 2.39% 1.17% 0.68%
Portfolio turnover rate (b) 79% 71% 165% 99% 108%
FIRST TRUST FINANCIALS ALPHADEX(R) FUND (FXO)
YEAR ENDED JULY 31,
--------------------------------------------------------------
2022 2021 2020 2019 2018
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 43.40 $ 25.87 $ 32.35 $ 32.04 $ 29.39
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.92 0.81 0.72 0.65 0.62
Net realized and unrealized gain (loss) (1.97) 17.55 (6.37) 0.25 2.61
---------- ---------- ---------- ---------- ----------
Total from investment operations (1.05) 18.36 (5.65) 0.90 3.23
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.87) (0.83) (0.83) (0.59) (0.58)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 41.48 $ 43.40 $ 25.87 $ 32.35 $ 32.04
========== ========== ========== ========== ==========
TOTAL RETURN (a) (2.52)% 71.99% (17.56)% 3.03% 11.06%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $1,171,738 $1,312,886 $ 538,172 $ 988,353 $1,252,910
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.62% 0.61% 0.62% 0.63% 0.63%
Ratio of net expenses to average net assets 0.62% 0.61% 0.62% 0.63% 0.63%
Ratio of net investment income (loss) to
average net assets 2.10% 2.25% 2.36% 2.06% 1.99%
Portfolio turnover rate (b) 64% 86% 90% 81% 70%
(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 53
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST HEALTH CARE ALPHADEX(R) FUND (FXH)
YEAR ENDED JULY 31,
--------------------------------------------------------------
2022 2021 2020 2019 2018
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 122.03 $ 95.29 $ 77.62 $ 76.80 $ 66.92
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.13 (0.15) 0.01 (0.11) (0.02)
Net realized and unrealized gain (loss) (13.59) 26.89 17.66 0.93 9.90
---------- ---------- ---------- ---------- ----------
Total from investment operations (13.46) 26.74 17.67 0.82 9.88
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income -- -- -- -- --
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 108.57 $ 122.03 $ 95.29 $ 77.62 $ 76.80
========== ========== ========== ========== ==========
TOTAL RETURN (a) (11.03)% 28.08% 22.75% 1.07% 14.76%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $1,503,728 $1,604,748 $1,348,309 $1,183,740 $1,063,745
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.61% 0.61% 0.61% 0.62% 0.63%
Ratio of net expenses to average net assets 0.61% 0.61% 0.61% 0.62% 0.63%
Ratio of net investment income (loss) to
average net assets 0.12% (0.14)% 0.01% (0.11)% (0.03)%
Portfolio turnover rate (b) 88% 103% 107% 123% 107%
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND (FXR)
YEAR ENDED JULY 31,
--------------------------------------------------------------
2022 2021 2020 2019 2018
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 59.52 $ 39.13 $ 42.49 $ 41.28 $ 35.36
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.42 0.33 0.58 0.30 0.28
Net realized and unrealized gain (loss) (5.87) 20.42 (3.29) 1.17 5.92
---------- ---------- ---------- ---------- ----------
Total from investment operations (5.45) 20.75 (2.71) 1.47 6.20
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.39) (0.36) (0.65) (0.26) (0.28)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 53.68 $ 59.52 $ 39.13 $ 42.49 $ 41.28
========== ========== ========== ========== ==========
TOTAL RETURN (a) (9.16)% 53.21% (6.30)% 3.67% 17.57%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $1,578,226 $1,767,604 $ 179,979 $ 378,173 $1,579,093
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.61% 0.61% 0.64% 0.63% 0.62%
Ratio of net expenses to average net assets 0.61% 0.61% 0.64% 0.63% 0.62%
Ratio of net investment income (loss) to
average net assets 0.74% 0.55% 1.30% 0.71% 0.70%
Portfolio turnover rate (b) 77% 91% 97% 79% 91%
(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 54 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST MATERIALS ALPHADEX(R) FUND (FXZ)
YEAR ENDED JULY 31,
--------------------------------------------------------------
2022 2021 2020 2019 2018
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 57.91 $ 35.85 $ 38.48 $ 43.31 $ 38.63
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.89 0.72 0.71 0.50 0.40
Net realized and unrealized gain (loss) 3.93(a) 22.05 (2.57) (4.88) 4.69
---------- ---------- ---------- ---------- ----------
Total from investment operations 4.82 22.77 (1.86) (4.38) 5.09
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.76) (0.71) (0.77) (0.45) (0.41)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 61.97 $ 57.91 $ 35.85 $ 38.48 $ 43.31
========== ========== ========== ========== ==========
TOTAL RETURN (b) 8.37% 64.02% (4.78)% (10.08)% 13.20%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $1,567,915 $ 460,362 $ 96,795 $ 167,369 $ 314,026
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.61% 0.64% 0.67% 0.65% 0.64%
Ratio of net expenses to average net assets 0.61% 0.64% 0.67% 0.65% 0.64%
Ratio of net investment income (loss) to
average net assets 1.69% 1.39% 1.95% 1.27% 0.92%
Portfolio turnover rate (c) 60% 77% 84% 82% 92%
FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND (FXL)
YEAR ENDED JULY 31,
--------------------------------------------------------------
2022 2021 2020 2019 2018
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 125.53 $ 89.44 $ 69.32 $ 56.54 $ 45.12
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.34 (0.06) 0.11 0.31 0.09
Net realized and unrealized gain (loss) (21.21) 36.15 20.17 12.75 11.43
---------- ---------- ---------- ---------- ----------
Total from investment operations (20.87) 36.09 20.28 13.06 11.52
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.31) -- (0.16) (0.28) (0.10)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 104.35 $ 125.53 $ 89.44 $ 69.32 $ 56.54
========== ========== ========== ========== ==========
TOTAL RETURN (b) (16.64)% 40.34% 29.33% 23.20% 25.55%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $1,143,164 $2,668,074 $2,205,109 $2,395,347 $1,996,201
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.61% 0.61% 0.61% 0.61% 0.63%
Ratio of net expenses to average net assets 0.61% 0.61% 0.61% 0.61% 0.63%
Ratio of net investment income (loss) to
average net assets 0.27% (0.05)% 0.16% 0.50% 0.17%
Portfolio turnover rate (c) 91% 92% 110% 91% 127%
(a) The per share amount does not correlate with the aggregate realized and
unrealized gain (loss) due to the timing of the Fund share sales and
repurchases in relation to market value fluctuation of the underlying
investments.
(b) 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.
(c) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
See Notes to Financial Statements Page 55
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST UTILITIES ALPHADEX(R) FUND (FXU)
YEAR ENDED JULY 31,
--------------------------------------------------------------
2022 2021 2020 2019 2018
---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 30.82 $ 27.54 $ 28.87 $ 26.37 $ 27.64
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.69 0.68 1.05 0.63 0.98
Net realized and unrealized gain (loss) 3.47 3.32 (1.29) 2.43 (1.30)
---------- ---------- ---------- ---------- ----------
Total from investment operations 4.16 4.00 (0.24) 3.06 (0.32)
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.65) (0.72) (1.09) (0.56) (0.95)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 34.33 $ 30.82 $ 27.54 $ 28.87 $ 26.37
========== ========== ========== ========== ==========
TOTAL RETURN (a) 13.69% 14.80% (0.70)% 11.71% (1.09)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 396,558 $ 174,146 $ 229,988 $1,349,541 $ 308,540
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.64% 0.64% 0.62% 0.63% 0.63%
Ratio of net expenses to average net assets 0.64% 0.64% 0.62% 0.63% 0.63%
Ratio of net investment income (loss) to
average net assets 2.22% 2.33% 2.42% 2.23% 2.67%
Portfolio turnover rate (b) 48% 38% 64% 60% 76%
(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 56 See Notes to Financial Statements
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2022
1. ORGANIZATION
First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") is an open-end
management investment company organized as a Massachusetts business trust on
December 6, 2006, and is registered with the Securities and Exchange Commission
("SEC") under the Investment Company Act of 1940, as amended (the "1940 Act").
The Trust currently consists of twenty exchange-traded funds considered either a
Sector Fund or a Style Fund. This report covers the nine Sector Funds (each a
"Fund" and collectively, the "Funds") listed below. The shares of each Sector
Fund are listed and traded on NYSE Arca, Inc.
First Trust Consumer Discretionary AlphaDEX(R) Fund - (ticker "FXD")
First Trust Consumer Staples AlphaDEX(R) Fund - (ticker "FXG")
First Trust Energy AlphaDEX(R) Fund - (ticker "FXN")
First Trust Financials AlphaDEX(R) Fund - (ticker "FXO")
First Trust Health Care AlphaDEX(R) Fund - (ticker "FXH")
First Trust Industrials/Producer Durables AlphaDEX(R) Fund - (ticker
"FXR")
First Trust Materials AlphaDEX(R) Fund - (ticker "FXZ")
First Trust Technology AlphaDEX(R) Fund - (ticker "FXL")
First Trust Utilities AlphaDEX(R) Fund - (ticker "FXU")
Each Fund represents a separate series of shares of beneficial interest in the
Trust. Unlike conventional mutual funds, each Fund issues and redeems shares on
a continuous basis, at net asset value ("NAV"), only in large blocks of shares
known as "Creation Units." The investment objective of each Fund is to seek
investment results that correspond generally to the price and yield (before the
Fund's fees and expenses) of the following indices:
FUND INDEX
First Trust Consumer Discretionary AlphaDEX(R) Fund StrataQuant(R) Consumer Discretionary Index(1)
First Trust Consumer Staples AlphaDEX(R) Fund StrataQuant(R) Consumer Staples Index(1)
First Trust Energy AlphaDEX(R) Fund StrataQuant(R) Energy Index(1)
First Trust Financials AlphaDEX(R) Fund StrataQuant(R) Financials Index(1)
First Trust Health Care AlphaDEX(R) Fund StrataQuant(R) Health Care Index(1)
First Trust Industrials/Producer Durables AlphaDEX(R) Fund StrataQuant(R) Industrials Index(1)
First Trust Materials AlphaDEX(R) Fund StrataQuant(R) Materials Index(1)
First Trust Technology AlphaDEX(R) Fund StrataQuant(R) Technology Index(1)
First Trust Utilities AlphaDEX(R) Fund StrataQuant(R) Utilities Index(1)
(1) This index is developed, maintained and sponsored by ICE Data Indices, LLC
or its affiliates ("IDI"), and licensed to First Trust Portfolios L.P.
("FTP"), the distributor of the Trust, by IDI. IDI is a
successor-in-interest to previous entities that maintained the index in
NYSE Group, Inc. and American Stock Exchange LLC.
2. SIGNIFICANT ACCOUNTING POLICIES
The Funds are each considered an investment company and follow accounting and
reporting guidance under Financial Accounting Standards Board Accounting
Standards Codification Topic 946, "Financial Services-Investment Companies." The
following is a summary of significant accounting policies consistently followed
by the Funds in the preparation of the financial statements. The preparation of
the financial statements in accordance with accounting principles generally
accepted in the United States of America ("U.S. GAAP") requires management to
make estimates and assumptions that affect the reported amounts and disclosures
in the financial statements. Actual results could differ from those estimates.
A. PORTFOLIO VALUATION
Each Fund's NAV is determined daily as of the close of regular trading on the
New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day
the NYSE is open for trading. If the NYSE closes early on a valuation day, the
NAV is determined as of that time. Each Fund's NAV is calculated by dividing the
value of all assets of each Fund (including accrued interest and dividends),
less all liabilities (including accrued expenses and dividends declared but
unpaid), by the total number of shares outstanding.
Each Fund's investments are valued daily at market value or, in the absence of
market value with respect to any portfolio securities, at fair value. Market
value prices represent last sale or official closing prices from a national or
foreign exchange (i.e., a regulated market) and are primarily obtained from
third-party pricing services. Fair value prices represent any prices not
considered market value prices and are either obtained from a third-party
pricing service or are determined by the Pricing Committee of the Funds'
Page 57
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2022
investment advisor, First Trust Advisors L.P. ("First Trust" or the "Advisor"),
in accordance with valuation procedures adopted by the Trust's Board of
Trustees, and in accordance with provisions of the 1940 Act. Investments valued
by the Advisor's Pricing Committee, if any, are footnoted as such in the
footnotes to the Portfolio of Investments. Each Fund's investments are valued as
follows:
Common stocks and other equity securities listed on any national or
foreign exchange (excluding The Nasdaq Stock Market LLC ("Nasdaq") and the
London Stock Exchange Alternative Investment Market ("AIM")) are valued at
the last sale price on the exchange on which they are principally traded
or, for Nasdaq and AIM securities, the official closing price. Securities
traded on more than one securities exchange are valued at the last sale
price or official closing price, as applicable, at the close of the
securities exchange representing the principal market for such securities.
Shares of open-end funds are valued at fair value which is based on NAV
per share.
Securities traded in an over-the-counter market are fair valued at the
mean of their most recent bid and asked price, if available, and otherwise
at their closing bid price.
Overnight repurchase agreements are valued at amortized cost when it
represents the best estimate of fair value.
Certain securities may not be able to be priced by pre-established pricing
methods. Such securities may be valued by the Trust's Board of Trustees or its
delegate, the Advisor's Pricing Committee, at fair value. These securities
generally include, but are not limited to, restricted securities (securities
which may not be publicly sold without registration under the Securities Act of
1933, as amended) for which a third-party pricing service is unable to provide a
market price; securities whose trading has been formally suspended; a security
whose market or fair value price is not available from a pre-established pricing
source; a security with respect to which an event has occurred that is likely to
materially affect the value of the security after the market has closed but
before the calculation of a Fund's NAV or make it difficult or impossible to
obtain a reliable market quotation; and a security whose price, as provided by
the third-party pricing service, does not reflect the security's fair value. As
a general principle, the current fair value of a security would appear to be the
amount which the owner might reasonably expect to receive for the security upon
its current sale. When fair value prices are used, generally they will differ
from market quotations or official closing prices on the applicable exchanges. A
variety of factors may be considered in determining the fair value of such
securities, including, but not limited to, the following:
1) the type of security;
2) the size of the holding;
3) the initial cost of the security;
4) transactions in comparable securities;
5) price quotes from dealers and/or third-party pricing services;
6) relationships among various securities;
7) information obtained by contacting the issuer, analysts, or the
appropriate stock exchange;
8) an analysis of the issuer's financial statements; and
9) the existence of merger proposals or tender offers that might affect
the value of the security.
In addition, differences between the prices used to calculate a Fund's NAV and
the prices used by such Fund's corresponding index could result in a difference
between a Fund's performance and the performance of its underlying index.
The Funds are subject to fair value accounting standards that define fair value,
establish the framework for measuring fair value and provide a three-level
hierarchy for fair valuation based upon the inputs to the valuation as of the
measurement date. The three levels of the fair value hierarchy are as follows:
o Level 1 - Level 1 inputs are quoted prices in active markets for
identical investments. An active market is a market in which
transactions for the investment occur with sufficient frequency and
volume to provide pricing information on an ongoing basis.
o Level 2 - Level 2 inputs are observable inputs, either directly or
indirectly, and include the following:
o Quoted prices for similar investments in active markets.
o Quoted prices for identical or similar investments in markets
that are non-active. A non-active market is a market where
there are few transactions for the investment, the prices are
not current, or price quotations vary substantially either
over time or among market makers, or in which little
information is released publicly.
o Inputs other than quoted prices that are observable for the
investment (for example, interest rates and yield curves
observable at commonly quoted intervals, volatilities,
prepayment speeds, loss severities, credit risks, and default
rates).
o Inputs that are derived principally from or corroborated by
observable market data by correlation or other means.
o Level 3 - Level 3 inputs are unobservable inputs. Unobservable
inputs may reflect the reporting entity's own assumptions about the
assumptions that market participants would use in pricing the
investment.
Page 58
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2022
The inputs or methodologies used for valuing investments are not necessarily an
indication of the risk associated with investing in those investments. A summary
of the inputs used to value each Fund's investments as of July 31, 2022, is
included with each Fund's Portfolio of Investments.
In December 2020, the SEC adopted Rule 2a-5 under the 1940 Act, establishing
requirements to determine fair value in good faith for purposes of the 1940 Act.
The rule permits fund boards to designate a fund's investment adviser to perform
fair value determinations, subject to board oversight and certain other
conditions. The rule also defines when market quotations are "readily available"
for purposes of the 1940 Act and requires a fund to fair value a portfolio
investment when a market quotation is not readily available. The SEC also
adopted new Rule 31a-4 under the 1940 Act, which sets forth recordkeeping
requirements associated with fair value determinations. The compliance date for
Rule 2a-5 and Rule 31a-4 is September 8, 2022.
Effective September 8, 2022 and pursuant to the requirements of Rule 2a-5, the
Trust's Board of Trustees designated the Advisor as its valuation designee to
perform fair value determinations and approved new Advisor Valuation Procedures
for the Trust.
B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME
Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Dividend income is recorded on the ex-dividend date. Interest income, if any, is
recorded on the accrual basis.
Withholding taxes and tax reclaims on foreign dividends have been provided for
in accordance with each Fund's understanding of the applicable country's tax
rules and rates.
Distributions received from a Fund's investments in real estate investment
trusts ("REITs") may be comprised of return of capital, capital gains and
income. The actual character of the amounts received during the year is not
known until after the REITs' fiscal year end. A Fund records the character of
distributions received from the REITs during the year based on estimates
available. The characterization of distributions received by a Fund may be
subsequently revised based on information received from the REITs after their
tax reporting periods conclude.
C. OFFSETTING ON THE STATEMENTS OF ASSETS AND LIABILITIES
Offsetting Assets and Liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset on the
Statements of Assets and Liabilities and disclose instruments and transactions
subject to master netting or similar agreements. These disclosure requirements
are intended to help investors and other financial statement users better assess
the effect or potential effect of offsetting arrangements on a fund's financial
position. The transactions subject to offsetting disclosures are derivative
instruments, repurchase agreements and reverse repurchase agreements, and
securities borrowing and securities lending transactions.
This disclosure, if applicable, is included within each Fund's Portfolio of
Investments under the heading "Offsetting Assets and Liabilities." For financial
reporting purposes, the Funds do not offset financial assets and financial
liabilities that are subject to master netting arrangements ("MNAs") or similar
agreements on the Statements of Assets and Liabilities. MNAs provide the right,
in the event of default (including bankruptcy and insolvency), for the
non-defaulting counterparty to liquidate the collateral and calculate the net
exposure to the defaulting party or request additional collateral.
D. SECURITIES LENDING
The Funds may lend securities representing up to 33 1/3% of the value of their
total assets to broker-dealers, banks and other institutions to generate
additional income. When a Fund loans its portfolio securities, it will receive,
at the inception of each loan, collateral equal to at least 102% (for domestic
securities) or 105% (for international securities) of the market value of the
loaned securities. The collateral amount is valued at the beginning of each
business day and is compared to the market value of the loaned securities from
the prior business day to determine if additional collateral is required. If
additional collateral is required, a request is sent to the borrower. Securities
lending involves the risk that the Fund may lose money because the borrower of
the Fund's loaned securities fails to return the securities in a timely manner
or at all. The Fund could also lose money in the event of (i) a decline in the
value of the collateral provided for the loaned securities, (ii) a decline in
the value of any investments made with cash collateral or (iii) an increase in
the value of the loaned securities if the borrower does not increase the
collateral accordingly and the borrower fails to return the securities. These
events could also trigger adverse tax consequences for the Funds.
Under the Funds' Securities Lending Agency Agreement, the securities lending
agent will generally bear the risk that a borrower may default on its obligation
to return loaned securities. Brown Brothers Harriman & Co. ("BBH") acts as the
Funds' securities lending agent and is responsible for executing the lending of
the portfolio securities to creditworthy borrowers. The Funds, however, will be
responsible for the risks associated with the investment of cash collateral. A
Fund may lose money on its investment of cash collateral, which may affect its
ability to repay the collateral to the borrower without the use of other Fund
assets. Each Fund that engages in securities lending receives compensation (net
of any rebate and securities lending agent fees) for lending its securities.
Compensation can be in the form of fees received from the securities lending
agent or dividends or interest earned from the investment of cash collateral.
The fees received from the securities lending agent are accrued daily. The
dividend and interest earned on the securities loaned is accounted for in the
Page 59
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2022
same manner as other dividend and interest income. At July 31, 2022, all the
Funds except FXG, FXR, FXZ, and FXU had securities in the securities lending
program. During the fiscal year ended July 31, 2022, all the Funds participated
in the securities lending program.
In the event of a default by a borrower with respect to any loan, BBH will
exercise any and all remedies provided under the applicable borrower agreement
to make the Funds whole. These remedies include purchasing replacement
securities by applying the collateral held from the defaulting broker against
the purchase cost of the replacement securities. If, despite such efforts by BBH
to exercise these remedies, a Fund sustains losses as a result of a borrower's
default, BBH will indemnify the Fund by purchasing replacement securities at its
own expense, or paying the Fund an amount equal to the market value of the
replacement securities, subject to certain limitations which are set forth in
detail in the Securities Lending Agency Agreement between the Trust on behalf of
the Funds and BBH.
E. REPURCHASE AGREEMENTS
Repurchase agreements involve the purchase of securities subject to the seller's
agreement to repurchase the securities at a mutually agreed upon date and price,
under the terms of a Master Repurchase Agreement ("MRA"). During the term of a
repurchase agreement, the value of the underlying securities held as collateral
on behalf of a Fund, including accrued interest, is required to exceed the value
of the repurchase agreement, including accrued interest. The underlying
securities for all repurchase agreements are held at the Funds' custodian or
designated sub-custodians under tri-party repurchase agreements.
MRAs govern transactions between a Fund and select counterparties. The MRAs
contain provisions for, among other things, initiation, income payments, events
of default, and maintenance of collateral for repurchase agreements.
Repurchase agreements received for lending securities are collateralized by U.S.
Treasury securities. The U.S. Treasury securities are held in a joint custody
account at BBH on behalf of the Funds participating in the securities lending
program. In the event the counterparty defaults on the repurchase agreement, the
U.S. Treasury securities can either be maintained as part of a Fund's portfolio
or sold for cash. A Fund could suffer a loss to the extent that the proceeds
from the sale of the underlying collateral held by the Fund are less than the
repurchase price and the Fund's costs associated with the delay and enforcement
of the MRA.
While the Funds may invest in repurchase agreements, any repurchase agreements
held by the Funds during the fiscal year ended July 31, 2022, were received as
collateral for lending securities.
F. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends from net investment income of each Fund, if any, are declared and paid
quarterly, or as the Board of Trustees may determine from time to time.
Distributions of net realized gains earned by each Fund, if any, are distributed
at least annually.
Distributions from net investment income and realized capital gains are
determined in accordance with federal income tax regulations, which may differ
from U.S. GAAP. Certain capital accounts in the financial statements are
periodically adjusted for permanent differences in order to reflect their tax
character. These permanent differences are primarily due to the varying
treatment of income and gain/loss on significantly modified portfolio securities
held by the Funds and have no impact on net assets or NAV per share. Temporary
differences, which arise from recognizing certain items of income, expense and
gain/loss in different periods for financial statement and tax purposes, will
reverse at some time in the future.
The tax character of distributions paid by each Fund during the fiscal year
ended July 31, 2022 was as follows:
Distributions paid from Distributions paid from Distributions paid from
Ordinary Income Capital Gains Return of Capital
----------------------- ----------------------- -----------------------
First Trust Consumer Discretionary AlphaDEX(R) Fund $ 13,315,221 $ -- $ --
First Trust Consumer Staples AlphaDEX(R) Fund 4,675,407 -- --
First Trust Energy AlphaDEX(R) Fund 19,922,141 -- --
First Trust Financials AlphaDEX(R) Fund 28,346,142 -- --
First Trust Health Care AlphaDEX(R) Fund -- -- --
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 11,751,221 -- --
First Trust Materials AlphaDEX(R) Fund 12,438,026 -- --
First Trust Technology AlphaDEX(R) Fund 4,345,452 -- --
First Trust Utilities AlphaDEX(R) Fund 4,580,661 -- --
Page 60
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2022
The tax character of distributions paid by each Fund during the fiscal year
ended July 31, 2021 was as follows:
Distributions paid from Distributions paid from Distributions paid from
Ordinary Income Capital Gains Return of Capital
----------------------- ----------------------- -----------------------
First Trust Consumer Discretionary AlphaDEX(R) Fund $ 4,077,825 $ -- $ --
First Trust Consumer Staples AlphaDEX(R) Fund 3,532,571 -- --
First Trust Energy AlphaDEX(R) Fund 6,451,416 -- --
First Trust Financials AlphaDEX(R) Fund 19,322,307 -- --
First Trust Health Care AlphaDEX(R) Fund -- -- --
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 5,682,851 -- --
First Trust Materials AlphaDEX(R) Fund 3,372,847 -- --
First Trust Technology AlphaDEX(R) Fund -- -- --
First Trust Utilities AlphaDEX(R) Fund 4,925,266 -- --
As of July 31, 2022, the components of distributable earnings on a tax basis for
each Fund were as follows:
Accumulated
Undistributed Capital and Net Unrealized
Ordinary Other Appreciation
Income Gain (Loss) (Depreciation)
----------------------- ----------------------- -----------------------
First Trust Consumer Discretionary AlphaDEX(R) Fund $ 342,885 $ (434,139,547) $ (62,543,015)
First Trust Consumer Staples AlphaDEX(R) Fund 1,143,506 (256,753,947) 23,699,298
First Trust Energy AlphaDEX(R) Fund 1,172,154 (509,470,538) 223,478,413
First Trust Financials AlphaDEX(R) Fund 3,459,721 (250,428,470) (72,536,063)
First Trust Health Care AlphaDEX(R) Fund 1,444,806 (605,995,854) 115,579,938
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 1,248,060 (279,915,924) (29,603,128)
First Trust Materials AlphaDEX(R) Fund 4,349,887 (189,562,104) (156,365,445)
First Trust Technology AlphaDEX(R) Fund -- (621,843,707) (14,683,574)
First Trust Utilities AlphaDEX(R) Fund 1,049,272 (193,039,184) 23,439,662
G. INCOME TAXES
Each Fund intends to continue to qualify as a regulated investment company by
complying with the requirements under Subchapter M of the Internal Revenue Code
of 1986, as amended, which includes distributing substantially all of its net
investment income and net realized gains to shareholders. Accordingly, no
provision has been made for federal and state income taxes. However, due to the
timing and amount of distributions, each Fund may be subject to an excise tax of
4% of the amount by which approximately 98% of each Fund's taxable income
exceeds the distributions from such taxable income for the calendar year.
The Funds are subject to accounting standards that establish a minimum threshold
for recognizing, and a system for measuring, the benefits of a tax position
taken or expected to be taken in a tax return. The taxable years ended 2019,
2020, 2021, and 2022 remain open to federal and state audit. As of July 31,
2022, management has evaluated the application of these standards to the Funds
and has determined that no provision for income tax is required in the Funds'
financial statements for uncertain tax positions.
Each Fund intends to utilize provisions of the federal income tax laws, which
allow it to carry a realized capital loss forward indefinitely following the
year of the loss and offset such loss against any future realized capital gains.
Each Fund is subject to certain limitations under U.S. tax rules on the use of
capital loss carryforwards and net unrealized built-in losses. These limitations
apply when there has been a 50% change in ownership. At July 31, 2022, for
federal income tax purposes, each applicable Fund had a capital loss
carryforward available that is shown in the table below, to the extent provided
by regulations, to offset future capital gains. To the extent that these loss
carryforwards are used to offset future capital gains, it is probable that the
capital gains so offset will not be distributed to each applicable Fund's
shareholders.
Page 61
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2022
Non-Expiring
Capital Loss
Carryforward
--------------------
First Trust Consumer Discretionary AlphaDEX(R) Fund $ 434,139,547
First Trust Consumer Staples AlphaDEX(R) Fund 256,753,947
First Trust Energy AlphaDEX(R) Fund 509,470,538
First Trust Financials AlphaDEX(R) Fund 250,428,470
First Trust Health Care AlphaDEX(R) Fund 605,995,854
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 279,915,924
First Trust Materials AlphaDEX(R) Fund 189,562,104
First Trust Technology AlphaDEX(R) Fund 621,843,707
First Trust Utilities AlphaDEX(R) Fund 193,039,184
Certain losses realized during the current fiscal year may be deferred and
treated as occurring on the first day of the following fiscal year for federal
income tax purposes. For the fiscal year ended July 31, 2022, the Funds had no
net late year ordinary or capital 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 Funds and in-kind transactions. The results of
operations and net assets were not affected by these adjustments. For the fiscal
year ended July 31, 2022, the adjustments for each Fund were as follows:
Accumulated
Accumulated Net Realized
Net Investment Gain (Loss) Paid-in
Income (Loss) on Investments Capital
------------------ ------------------ ------------------
First Trust Consumer Discretionary AlphaDEX(R) Fund $ -- $ (214,807,584) $ 214,807,584
First Trust Consumer Staples AlphaDEX(R) Fund -- (20,437,728) 20,437,728
First Trust Energy AlphaDEX(R) Fund -- (147,574,623) 147,574,623
First Trust Financials AlphaDEX(R) Fund (682,804) (148,718,192) 149,400,996
First Trust Health Care AlphaDEX(R) Fund 73,811 (38,686,343) 38,612,532
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 269,897 (88,686,450) 88,416,553
First Trust Materials AlphaDEX(R) Fund -- (133,206,305) 133,206,305
First Trust Technology AlphaDEX(R) Fund 2,306 (327,474,925) 327,472,619
First Trust Utilities AlphaDEX(R) Fund -- (2,933,411) 2,933,411
As of July 31, 2022, the aggregate cost, gross unrealized appreciation, gross
unrealized depreciation, and net unrealized appreciation/(depreciation) on
investments (including short positions and derivatives, if any) for federal
income tax purposes were as follows:
Gross Gross Net Unrealized
Unrealized Unrealized Appreciation
Tax Cost Appreciation (Depreciation) (Depreciation)
---------------- ---------------- ---------------- ----------------
First Trust Consumer Discretionary AlphaDEX(R) Fund $ 466,839,666 $ 14,894,267 $ (77,437,282) $ (62,543,015)
First Trust Consumer Staples AlphaDEX(R) Fund 626,879,450 40,881,415 (17,182,117) 23,699,298
First Trust Energy AlphaDEX(R) Fund 1,441,109,037 244,778,360 (21,299,947) 223,478,413
First Trust Financials AlphaDEX(R) Fund 1,288,020,302 54,897,157 (127,433,220) (72,536,063)
First Trust Health Care AlphaDEX(R) Fund 1,393,444,414 187,170,327 (71,590,389) 115,579,938
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 1,618,391,098 98,984,977 (128,588,105) (29,603,128)
First Trust Materials AlphaDEX(R) Fund 1,724,301,936 60,566,871 (216,932,316) (156,365,445)
First Trust Technology AlphaDEX(R) Fund 1,168,604,702 104,532,211 (119,215,785) (14,683,574)
First Trust Utilities AlphaDEX(R) Fund 372,764,950 31,874,094 (8,434,432) 23,439,662
H. EXPENSES
Expenses that are directly related to one of the Funds are charged directly to
the respective Fund. General expenses of the Trust are allocated to all the
Funds based upon the net assets of each Fund.
Page 62
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2022
FTP has entered into licensing agreements with IDI for each of the Funds. The
license agreements allow for the use by FTP of certain trademarks and trade
names of IDI. The Funds and First Trust are sub-licensees to the license
agreement. The Funds are required to pay licensing fees, which are shown on the
Statements of Operations.
3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS
First Trust, the investment advisor to the Funds, is a limited partnership with
one limited partner, Grace Partners of DuPage L.P., and one general partner, The
Charger Corporation. The Charger Corporation is an Illinois corporation
controlled by James A. Bowen, Chief Executive Officer of First Trust. First
Trust is responsible for the selection and ongoing monitoring of the securities
in each Fund's portfolio, managing the Fund's business affairs and providing
certain administrative services necessary for the management of the Funds.
For these services, First Trust is paid an annual management fee of 0.50% of
each Fund's average daily net assets. The Trust and First Trust have entered
into an Expense Reimbursement, Fee Waiver and Recovery Agreement ("Recovery
Agreement") in which First Trust has agreed to waive fees and/or reimburse Fund
expenses to the extent that the operating expenses of each Fund (excluding
interest expense, brokerage commissions and other trading expenses, acquired
fund fees and expenses, taxes and extraordinary expenses) exceed 0.70% of
average daily net assets per year (the "Expense Cap"). The Expense Cap will be
in effect until at least November 30, 2023.
Expenses reimbursed and fees waived by First Trust under the Recovery Agreement
are subject to recovery by First Trust for up to three years from the date the
fee or expense was incurred, but no reimbursement payment will be made by a Fund
if it results in the Fund's expenses exceeding (i) the applicable expense
limitation in place for the most recent fiscal year for which such expense
limitation was in place, (ii) the applicable expense limitation in place at the
time the fees were waived, or (iii) the current expense limitation. These
amounts would be included in "Expenses previously waived or reimbursed" on the
Statements of Operations.
For the fiscal year ended July 31, 2022, there were no fees waived or expenses
reimbursed by First Trust for the Funds. As of July 31, 2022, none of the Funds
had previously waived fees or expenses reimbursed that are subject to recovery.
The Trust has multiple service agreements with The Bank of New York Mellon
("BNYM"). Under the service agreements, BNYM performs custodial, fund
accounting, certain administrative services, and transfer agency services for
each Fund. As custodian, BNYM is responsible for custody of each Fund's assets.
As fund accountant and administrator, BNYM is responsible for maintaining the
books and records of each Fund's securities and cash. As transfer agent, BNYM is
responsible for maintaining shareholder records for each Fund. BNYM is a
subsidiary of The Bank of New York Mellon Corporation, a financial holding
company.
Each Trustee who is not an officer or employee of First Trust, any sub-advisor
or any of their affiliates ("Independent Trustees") is paid a fixed annual
retainer that is allocated equally among each fund in the First Trust Fund
Complex. Each Independent Trustee is also paid an annual per fund fee that
varies based on whether the fund is a closed-end or other actively managed fund,
a defined-outcome fund or an index fund.
Additionally, the Lead Independent Trustee and the Chairs of the Audit
Committee, Nominating and Governance Committee and Valuation Committee are paid
annual fees to serve in such capacities, with such compensation allocated pro
rata among each fund in the First Trust Fund Complex based on net assets.
Independent Trustees are reimbursed for travel and out-of-pocket expenses in
connection with all meetings. The Lead Independent Trustee and Committee Chairs
rotate every three years. The officers and "Interested" Trustee receive no
compensation from the Trust for acting in such capacities.
4. PURCHASES AND SALES OF SECURITIES
For the fiscal year ended July 31, 2022, the cost of purchases and proceeds from
sales of investments for each Fund, excluding short-term investments and in-kind
transactions, were as follows:
Purchases Sales
--------------- ---------------
First Trust Consumer Discretionary AlphaDEX(R) Fund $ 1,068,233,069 $ 1,071,426,019
First Trust Consumer Staples AlphaDEX(R) Fund 347,941,817 346,357,110
First Trust Energy AlphaDEX(R) Fund 731,583,449 710,827,129
First Trust Financials AlphaDEX(R) Fund 892,151,656 888,043,055
First Trust Health Care AlphaDEX(R) Fund 1,334,349,447 1,331,264,604
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 1,324,889,580 1,325,017,673
First Trust Materials AlphaDEX(R) Fund 608,093,522 583,267,251
First Trust Technology AlphaDEX(R) Fund 1,731,947,314 1,733,902,118
First Trust Utilities AlphaDEX(R) Fund 117,691,945 116,175,832
Page 63
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2022
For the fiscal year ended July 31, 2022, the cost of in-kind purchases and
proceeds from in-kind sales for each Fund were as follows:
Purchases Sales
--------------- ---------------
First Trust Consumer Discretionary AlphaDEX(R) Fund $ 820,909,892 $ 2,082,784,038
First Trust Consumer Staples AlphaDEX(R) Fund 501,368,281 125,533,493
First Trust Energy AlphaDEX(R) Fund 1,585,202,145 575,459,777
First Trust Financials AlphaDEX(R) Fund 602,411,385 673,622,364
First Trust Health Care AlphaDEX(R) Fund 252,566,037 173,897,264
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 880,052,764 875,543,068
First Trust Materials AlphaDEX(R) Fund 1,986,453,135 792,732,744
First Trust Technology AlphaDEX(R) Fund 89,049,180 1,364,002,043
First Trust Utilities AlphaDEX(R) Fund 224,910,517 28,019,226
5. CREATIONS, REDEMPTIONS AND TRANSACTION FEES
Each Fund generally issues and redeems its shares in primary market transactions
through a creation and redemption mechanism and does not sell or redeem
individual shares. Instead, financial entities known as "Authorized
Participants" have contractual arrangements with a Fund or one of the Fund's
service providers to purchase and redeem Fund shares directly with the Fund in
large blocks of shares known as "Creation Units." Prior to the start of trading
on every business day, a Fund publishes through the National Securities Clearing
Corporation ("NSCC") the "basket" of securities, cash or other assets that it
will accept in exchange for a Creation Unit of the Fund's shares. An Authorized
Participant that wishes to effectuate a creation of a Fund's shares deposits
with the Fund the "basket" of securities, cash or other assets identified by the
Fund that day, and then receives the Creation Unit of the Fund's shares in
return for those assets. After purchasing a Creation Unit, the Authorized
Participant may continue to hold the Fund's shares or sell them in the secondary
market. The redemption process is the reverse of the purchase process: the
Authorized Participant redeems a Creation Unit of a Fund's shares for a basket
of securities, cash or other assets. The combination of the creation and
redemption process with secondary market trading in a Fund's shares and
underlying securities provides arbitrage opportunities that are designed to help
keep the market price of a Fund's shares at or close to the NAV per share of the
Fund.
Each Fund imposes fees in connection with the purchase of Creation Units. These
fees may vary based upon various fact-based circumstances, including, but not
limited to, the composition of the securities included in the Creation Unit or
the countries in which the transactions are settled. The price for each Creation
Unit will equal the daily NAV per share of a Fund times the number of shares in
a Creation Unit, plus the fees described above and, if applicable, any
operational processing and brokerage costs, transfer fees, stamp taxes and part
or all of the spread between the expected bid and offer side of the market
related to the securities comprising the creation basket.
Each Fund also imposes fees in connection with the redemption of Creation Units.
These fees may vary based upon various fact-based circumstances, including, but
not limited to, the composition of the securities included in the Creation Unit
or the countries in which the transactions are settled. The price received for
each Creation Unit will equal the daily NAV per share of a Fund times the number
of shares in a Creation Unit, minus the fees described above and, if applicable,
any operational processing and brokerage costs, transfer fees, stamp taxes and
part or all of the spread between the expected bid and offer side of the market
related to the securities comprising the redemption basket. Investors who use
the services of a broker or other such intermediary in addition to an Authorized
Participant to effect a redemption of a Creation Unit may also be assessed an
amount to cover the cost of such services. The redemption fee charged by a Fund
will comply with Rule 22c-2 of the 1940 Act which limits redemption fees to no
more than 2% of the value of the shares redeemed.
6. DISTRIBUTION PLAN
The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule
12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are
authorized to pay an amount up to 0.25% of their average daily net assets each
year to reimburse FTP, the distributor of the Funds, for amounts expended to
finance activities primarily intended to result in the sale of Creation Units or
the provision of investor services. FTP may also use this amount to compensate
securities dealers or other persons that are Authorized Participants for
providing distribution assistance, including broker-dealer and shareholder
support and educational and promotional services.
No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual
arrangement, no 12b-1 fees will be paid any time before November 30, 2023.
Page 64
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2022
7. INDEMNIFICATION
The Trust, on behalf of the Funds, has a variety of indemnification obligations
under contracts with its service providers. The Trust's maximum exposure under
these arrangements is unknown. However, the Trust has not had prior claims or
losses pursuant to these contracts and expects the risk of loss to be remote.
8. SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Funds
through the date the financial statements were issued and has determined that
there were no subsequent events requiring recognition or disclosure in the
financial statements that have not already been disclosed.
Page 65
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
--------------------------------------------------------------------------------
TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF FIRST TRUST EXCHANGE-TRADED
ALPHADEX(R) FUND:
OPINION ON THE FINANCIAL STATEMENTS AND FINANCIAL HIGHLIGHTS
We have audited the accompanying statements of assets and liabilities of First
Trust Consumer Discretionary AlphaDEX(R) Fund, First Trust Consumer Staples
AlphaDEX(R) Fund, First Trust Energy AlphaDEX(R) Fund, First Trust Financials
AlphaDEX(R) Fund, First Trust Health Care AlphaDEX(R) Fund, First Trust
Industrials/Producer Durables AlphaDEX(R) Fund, First Trust Materials
AlphaDEX(R) Fund, First Trust Technology AlphaDEX(R) Fund, and First Trust
Utilities AlphaDEX(R) Fund (the "Funds"), each a series of the First Trust
Exchange-Traded AlphaDEX(R) Fund, including the portfolios of investments, as of
July 31, 2022, the related statements of operations for the year then ended, the
statements of changes in net assets for each of the two years in the period then
ended, and the financial highlights for each of the five years in the period
then ended, and the related notes. In our opinion, the financial statements and
financial highlights present fairly, in all material respects, the financial
position of each of the Funds as of July 31, 2022, and the results of their
operations for the year then ended, the changes in their net assets for each of
the two years in the period then ended, and the financial highlights for each of
the five years in the period then ended in conformity with accounting principles
generally accepted in the United States of America.
BASIS FOR OPINION
These financial statements and financial highlights are the responsibility of
the Funds' management. Our responsibility is to express an opinion on the Funds'
financial statements and financial highlights based on our audits. We are a
public accounting firm registered with the Public Company Accounting Oversight
Board (United States) (PCAOB) and are required to be independent with respect to
the Funds in accordance with the U.S. federal securities laws and the applicable
rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those
standards require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements and financial highlights are
free of material misstatement, whether due to error or fraud. The Funds are not
required to have, nor were we engaged to perform, an audit of its internal
control over financial reporting. As part of our audits we are required to
obtain an understanding of internal control over financial reporting but not for
the purpose of expressing an opinion on the effectiveness of the Funds' internal
control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material
misstatement of the financial statements and financial highlights, whether due
to error or fraud, and performing procedures that respond to those risks. Such
procedures included examining, on a test basis, evidence regarding the amounts
and disclosures in the financial statements and financial highlights. Our audits
also included evaluating the accounting principles used and significant
estimates made by management, as well as evaluating the overall presentation of
the financial statements and financial highlights. Our procedures included
confirmation of securities owned as of July 31, 2022, by correspondence with the
custodian and brokers; when replies were not received from brokers, we performed
other auditing procedures. We believe that our audits provide a reasonable basis
for our opinion.
/s/ Deloitte & Touche LLP
Chicago, Illinois
September 22, 2022
We have served as the auditor of one or more First Trust investment companies
since 2001.
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ADDITIONAL INFORMATION
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2022 (UNAUDITED)
PROXY VOTING POLICIES AND PROCEDURES
A description of the policies and procedures that the Trust uses to determine
how to vote proxies and information on how each Fund voted proxies relating to
its portfolio securities during the most recent 12-month period ended June 30 is
available (1) without charge, upon request, by calling (800) 988-5891; (2) on
each Fund's website at www.ftportfolios.com; and (3) on the Securities and
Exchange Commission's ("SEC") website at www.sec.gov.
PORTFOLIO HOLDINGS
Each Fund files portfolio holdings information for each month in a fiscal
quarter within 60 days after the end of the relevant fiscal quarter on Form
N-PORT. Portfolio holdings information for the third month of each fiscal
quarter will be publicly available on the SEC's website at www.sec.gov. Each
Fund's complete schedule of portfolio holdings for the second and fourth
quarters of each fiscal year is included in the semi-annual and annual reports
to shareholders, respectively, and is filed with the SEC on Form N-CSR. The
semi-annual and annual report for each Fund is available to investors within 60
days after the period to which it relates. Each Fund's Forms N-PORT and Forms
N-CSR are available on the SEC's website listed above.
FEDERAL TAX INFORMATION
For the taxable year ended July 31, 2022, the following percentages of income
dividend paid by the Funds qualify for the dividends received deduction
available to corporations:
Dividends Received
Deduction
---------------------
First Trust Consumer Discretionary AlphaDEX(R) Fund 100.00%
First Trust Consumer Staples AlphaDEX(R) Fund 100.00%
First Trust Energy AlphaDEX(R) Fund 100.00%
First Trust Financials AlphaDEX(R) Fund 100.00%
First Trust Health Care AlphaDEX(R) Fund 0.00%
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 100.00%
First Trust Materials AlphaDEX(R) Fund 100.00%
First Trust Technology AlphaDEX(R) Fund 100.00%
First Trust Utilities AlphaDEX(R) Fund 100.00%
For the taxable year ended July 31, 2022, the following percentages of income
dividend paid by the Funds are hereby designated as qualified dividend income:
Qualified Dividend
Income
---------------------
First Trust Consumer Discretionary AlphaDEX(R) Fund 100.00%
First Trust Consumer Staples AlphaDEX(R) Fund 100.00%
First Trust Energy AlphaDEX(R) Fund 100.00%
First Trust Financials AlphaDEX(R) Fund 100.00%
First Trust Health Care AlphaDEX(R) Fund 0.00%
First Trust Industrials/Producer Durables AlphaDEX(R) Fund 100.00%
First Trust Materials AlphaDEX(R) Fund 100.00%
First Trust Technology AlphaDEX(R) Fund 100.00%
First Trust Utilities AlphaDEX(R) Fund 100.00%
A portion of each of the First Trust Exchange-Traded AlphaDEX(R) Sector Funds'
2022 ordinary dividends (including short-term capital gains) paid to its
shareholders during the fiscal year ended July 31, 2022, may be eligible for the
Qualified Business Income Deduction (QBI) under the Internal Revenue Code of
1986, as amended Section 199A for the aggregate dividends each Fund received
from the underlying Real Estate Investment Trusts (REITs) these Funds invest in.
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2022 (UNAUDITED)
RISK CONSIDERATIONS
RISKS ARE INHERENT IN ALL INVESTING. CERTAIN GENERAL RISKS THAT MAY BE
APPLICABLE TO A FUND ARE IDENTIFIED BELOW, BUT NOT ALL OF THE MATERIAL RISKS
RELEVANT TO EACH FUND ARE INCLUDED IN THIS REPORT AND NOT ALL OF THE RISKS BELOW
APPLY TO EACH FUND. THE MATERIAL RISKS OF INVESTING IN EACH FUND ARE SPELLED OUT
IN ITS PROSPECTUS, STATEMENT OF ADDITIONAL INFORMATION AND OTHER REGULATORY
FILINGS. BEFORE INVESTING, YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE,
RISKS, CHARGES AND EXPENSES, AND READ EACH FUND'S PROSPECTUS AND STATEMENT OF
ADDITIONAL INFORMATION CAREFULLY. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT
WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO
REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND.
CONCENTRATION RISK. To the extent that a fund is able to invest a significant
percentage of its assets in a single asset class or the securities of issuers
within the same country, state, region, industry or sector, an adverse economic,
business or political development may affect the value of the fund's investments
more than if the fund were more broadly diversified. A fund that tracks an index
will be concentrated to the extent the fund's corresponding index is
concentrated. A concentration makes a fund more susceptible to any single
occurrence and may subject the fund to greater market risk than a fund that is
more broadly diversified.
CREDIT RISK. Credit risk is the risk that an issuer of a security will be unable
or unwilling to make dividend, interest and/or principal payments when due and
the related risk that the value of a security may decline because of concerns
about the issuer's ability to make such payments.
CYBER SECURITY RISK. The funds are susceptible to potential operational risks
through breaches in cyber security. A breach in cyber security refers to both
intentional and unintentional events that may cause a fund to lose proprietary
information, suffer data corruption or lose operational capacity. Such events
could cause a fund to incur regulatory penalties, reputational damage,
additional compliance costs associated with corrective measures and/or financial
loss. In addition, cyber security breaches of a fund's third-party service
providers, such as its administrator, transfer agent, custodian, or sub-advisor,
as applicable, or issuers in which the fund invests, can also subject a fund to
many of the same risks associated with direct cyber security breaches.
DEFINED OUTCOME FUNDS RISK. To the extent a fund's investment strategy is
designed to deliver returns tied to the price performance of an underlying ETF,
an investor may not realize the returns the fund seeks to achieve if that
investor does not hold shares for the entire target outcome period. In the event
an investor purchases shares after the first day of the target outcome period or
sells shares prior to the end of the target outcome period, the buffer that the
fund seeks to provide against a decline in the value of the underlying ETF may
not be available, the enhanced returns that the fund seeks to provide (if any)
may not be available and the investor may not participate in a gain in the value
of the underlying ETF up to the cap for the investor's investment period.
Additionally, the fund will not participate in gains of the underlying ETF above
the cap and a shareholder may lose their entire investment. If the fund seeks
enhanced returns, there are certain time periods when the value of the fund may
fall faster than the value of the underlying ETF, and it is very unlikely that,
on any given day during which the underlying ETF share price increases in value,
the fund's share price will increase at the same rate as the enhanced returns
sought by the fund, which is designed for an entire target outcome period.
Trading flexible exchange options involves risks different from, or possibly
greater than, the risks associated with investing directly in securities, such
as less liquidity and correlation and valuation risks. A fund may experience
substantial downside from specific flexible exchange option positions and
certain positions may expire worthless.
DERIVATIVES RISK. To the extent a fund uses derivative instruments such as
futures contracts, options contracts and swaps, the fund may experience losses
because of adverse movements in the price or value of the underlying asset,
index or rate, which may be magnified by certain features of the derivative.
These risks are heightened when a fund's portfolio managers use derivatives to
enhance the fund's return or as a substitute for a position or security, rather
than solely to hedge (or offset) the risk of a position or security held by the
fund.
EQUITY SECURITIES RISK. To the extent a fund invests in equity securities, the
value of the fund's shares will fluctuate with changes in the value of the
equity securities. Equity securities prices fluctuate for several reasons,
including changes in investors' perceptions of the financial condition of an
issuer or the general condition of the relevant stock market, such as market
volatility, or when political or economic events affecting the issuers occur. In
addition, common stock prices may be particularly sensitive to rising interest
rates, as the cost of capital rises and borrowing costs increase. Equity
securities may decline significantly in price over short or extended periods of
time, and such declines may occur in the equity market as a whole, or they may
occur in only a particular country, company, industry or sector of the market.
ETF RISK. The shares of an ETF trade like common stock and represent an interest
in a portfolio of securities. The risks of owning an ETF generally reflect the
risks of owning the underlying securities, although lack of liquidity in an ETF
could result in it being more volatile and ETFs have management fees that
increase their costs. Shares of an ETF trade on an exchange at market prices
rather than net asset value, which may cause the shares to trade at a price
greater than net asset value (premium) or less than net asset value (discount).
In times of market stress, decisions by market makers to reduce or step away
from their role of providing a market for an ETF's shares, or decisions by an
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SECTOR FUNDS
JULY 31, 2022 (UNAUDITED)
ETF's authorized participants that they are unable or unwilling to proceed with
creation and/or redemption orders of an ETF's shares, could result in shares of
the ETF trading at a discount to net asset value and in greater than normal
intraday bid-ask spreads.
FIXED INCOME SECURITIES RISK. To the extent a fund invests in fixed income
securities, the fund will be subject to credit risk, income risk, interest rate
risk, liquidity risk and prepayment risk. Income risk is the risk that income
from a fund's fixed income investments could decline during periods of falling
interest rates. Interest rate risk is the risk that the value of a fund's fixed
income securities will decline because of rising interest rates. Liquidity risk
is the risk that a security cannot be purchased or sold at the time desired, or
cannot be purchased or sold without adversely affecting the price. Prepayment
risk is the risk that the securities will be redeemed or prepaid by the issuer,
resulting in lower interest payments received by the fund. In addition to these
risks, high yield securities, or "junk" bonds, are subject to greater market
fluctuations and risk of loss than securities with higher ratings, and the
market for high yield securities is generally smaller and less liquid than that
for investment grade securities.
INDEX OR MODEL CONSTITUENT RISK. Certain funds may be a constituent of one or
more indices or ETF models. As a result, such a fund may be included in one or
more index-tracking exchange-traded funds or mutual funds. Being a component
security of such a vehicle could greatly affect the trading activity involving a
fund, the size of the fund and the market volatility of the fund. Inclusion in
an index could increase demand for the fund and removal from an index could
result in outsized selling activity in a relatively short period of time. As a
result, a fund's net asset value could be negatively impacted and the fund's
market price may be significantly below its net asset value during certain
periods. In addition, index rebalances may potentially result in increased
trading activity in a fund's shares.
INDEX PROVIDER RISK. To the extent a fund seeks to track an index, it is subject
to Index Provider Risk. There is no assurance that the Index Provider will
compile the Index accurately, or that the Index will be determined, maintained,
constructed, reconstituted, rebalanced, composed, calculated or disseminated
accurately. To correct any such error, the Index Provider may carry out an
unscheduled rebalance or other modification of the Index constituents or
weightings, which may increase the fund's costs. The Index Provider does not
provide any representation or warranty in relation to the quality, accuracy or
completeness of data in the Index, and it does not guarantee that the Index will
be calculated in accordance with its stated methodology. Losses or costs
associated with any Index Provider errors generally will be borne by the fund
and its shareholders.
INVESTMENT COMPANIES RISK. To the extent a fund invests in the securities of
other investment vehicles, the fund will incur additional fees and expenses that
would not be present in a direct investment in those investment vehicles.
Furthermore, the fund's investment performance and risks are directly related to
the investment performance and risks of the investment vehicles in which the
fund invests.
LIBOR RISK. To the extent a fund invests in floating or variable rate
obligations that use the London Interbank Offered Rate ("LIBOR") as a reference
interest rate, it is subject to LIBOR Risk. The United Kingdom's Financial
Conduct Authority, which regulates LIBOR, has ceased making LIBOR available as a
reference rate over a phase-out period that began December 31, 2021. There is no
assurance that any alternative reference rate, including the Secured Overnight
Financing Rate ("SOFR") will be similar to or produce the same value or economic
equivalence as LIBOR or that instruments using an alternative rate will have the
same volume or liquidity. The unavailability or replacement of LIBOR may affect
the value, liquidity or return on certain fund investments and may result in
costs incurred in connection with closing out positions and entering into new
trades. Any potential effects of the transition away from LIBOR on the fund or
on certain instruments in which the fund invests can be difficult to ascertain,
and they may vary depending on a variety of factors, and they could result in
losses to the fund.
MANAGEMENT RISK. To the extent that a fund is actively managed, it is subject to
management risk. In managing an actively-managed fund's investment portfolio,
the fund's portfolio managers will apply investment techniques and risk analyses
that may not have the desired result. There can be no guarantee that a fund will
meet its investment objective.
MARKET RISK. Securities held by a fund, as well as shares of a fund itself, are
subject to market fluctuations caused by factors such as general economic
conditions, political events, regulatory or market developments, changes in
interest rates and perceived trends in securities prices. Shares of a fund could
decline in value or underperform other investments as a result of the risk of
loss associated with these market fluctuations. In addition, local, regional or
global events such as war, acts of terrorism, spread of infectious diseases or
other public health issues, recessions, or other events could have a significant
negative impact on a fund and its investments. Such events may affect certain
geographic regions, countries, sectors and industries more significantly than
others. In February 2022, Russia invaded Ukraine which has caused and could
continue to cause significant market disruptions and volatility within the
markets in Russia, Europe, and the United States. The hostilities and sanctions
resulting from those hostilities could have a significant impact on certain fund
investments as well as fund performance. The outbreak of the respiratory disease
designated as COVID-19 in December 2019 has caused significant volatility and
declines in global financial markets, which have caused losses for investors.
While the development of vaccines has slowed the spread of the virus and allowed
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SECTOR FUNDS
JULY 31, 2022 (UNAUDITED)
for the resumption of "reasonably" normal business activity in the United
States, many countries continue to impose lockdown measures in an attempt to
slow the spread. Additionally, there is no guarantee that vaccines will be
effective against emerging variants of the disease.
NON-U.S. SECURITIES RISK. To the extent a fund invests in non-U.S. securities,
it is subject to additional risks not associated with securities of domestic
issuers. Non-U.S. securities are subject to higher volatility than securities of
domestic issuers due to: possible adverse political, social or economic
developments; restrictions on foreign investment or exchange of securities;
capital controls; lack of liquidity; currency exchange rates; excessive
taxation; government seizure of assets; the imposition of sanctions by foreign
governments; different legal or accounting standards; and less government
supervision and regulation of exchanges in foreign countries. Investments in
non-U.S. securities may involve higher costs than investments in U.S.
securities, including higher transaction and custody costs, as well as
additional taxes imposed by non-U.S. governments. These risks may be heightened
for securities of companies located, or with significant operations, in emerging
market countries.
OPERATIONAL RISK. Each fund is subject to risks arising from various operational
factors, including, but not limited to, human error, processing and
communication errors, errors of a fund's service providers, counterparties or
other third-parties, failed or inadequate processes and technology or systems
failures. Each fund relies on third-parties for a range of services, including
custody. Any delay or failure relating to engaging or maintaining such service
providers may affect a fund's ability to meet its investment objective. Although
the funds and the funds' investment advisor seek to reduce these operational
risks through controls and procedures, there is no way to completely protect
against such risks.
PASSIVE INVESTMENT RISK. To the extent a fund seeks to track an index, the fund
will invest in the securities included in, or representative of, the index
regardless of their investment merit. A fund generally will not attempt to take
defensive positions in declining markets.
NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE
REMUNERATION
First Trust Advisors L.P. ("First Trust") is authorised and regulated by the
U.S. Securities and Exchange Commission and is entitled to market shares of the
First Trust Exchange-Traded AlphaDEX(R) Fund funds it manages (the "Funds") in
certain member states in the European Economic Area in accordance with the
cooperation arrangements in Article 42 of the Alternative Investment Fund
Managers Directive (the "Directive"). First Trust is required under the
Directive to make disclosures in respect of remuneration. The following
disclosures are made in line with First Trust's interpretation of currently
available regulatory guidance on remuneration disclosures.
During the year ended December 31, 2021, the amount of remuneration paid (or to
be paid) by First Trust Advisors L.P. in respect of the Funds is $5,222,814.
This figure is comprised of $200,977 paid (or to be paid) in fixed compensation
and $5,021,837 paid (or to be paid) in variable compensation. There were a total
of 24 beneficiaries of the remuneration described above. Those amounts include
$2,682,094 paid (or to be paid) to senior management of First Trust Advisors
L.P. and $2,540,720 paid (or to be paid) to other employees whose professional
activities have a material impact on the risk profiles of First Trust Advisors
L.P. or the Funds (collectively, "Code Staff").
Code Staff included in the aggregated figures disclosed above are rewarded in
line with First Trust's remuneration policy (the "Remuneration Policy") which is
determined and implemented by First Trust's senior management. The Remuneration
Policy reflects First Trust's ethos of good governance and encapsulates the
following principal objectives:
i. to provide a clear link between remuneration and performance of
First Trust and to avoid rewarding for failure;
ii. to promote sound and effective risk management consistent with the
risk profiles of the Funds managed by First Trust; and
iii. to remunerate staff in line with the business strategy, objectives,
values and interests of First Trust and the Funds managed by First
Trust in a manner that avoids conflicts of interest.
First Trust assesses various risk factors which it is exposed to when
considering and implementing remuneration for Code Staff and considers whether
any potential award to such person(s) would give rise to a conflict of interest.
First Trust does not reward failure, or consider the taking of risk or failure
to take risk in its remuneration of Code Staff.
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
JULY 31, 2022 (UNAUDITED)
First Trust assesses performance for the purposes of determining payments in
respect of performance-related remuneration of Code Staff by reference to a
broad range of measures including (i) individual performance (using financial
and non-financial criteria), and (ii) the overall performance of First Trust.
Remuneration is not based upon the performance of the Funds.
The elements of remuneration are balanced between fixed and variable and the
senior management sets fixed salaries at a level sufficient to ensure that
variable remuneration incentivises and rewards strong individual performance but
does not encourage excessive risk taking.
No individual is involved in setting his or her own remuneration.
ADVISORY AGREEMENT
BOARD CONSIDERATIONS REGARDING CONTINUATION OF INVESTMENT MANAGEMENT AGREEMENT
The Board of Trustees of First Trust Exchange-Traded AlphaDEX(R) Fund (the
"Trust"), including the Independent Trustees, unanimously approved the
continuation of the Investment Management Agreement (the "Agreement") with First
Trust Advisors L.P. (the "Advisor") on behalf of the following nine series of
the Trust (each a "Fund" and collectively, the "Funds"):
First Trust Consumer Discretionary AlphaDEX(R) Fund (FXD)
First Trust Consumer Staples AlphaDEX(R) Fund (FXG)
First Trust Energy AlphaDEX(R) Fund (FXN)
First Trust Financials AlphaDEX(R) Fund (FXO)
First Trust Health Care AlphaDEX(R) Fund (FXH)
First Trust Industrials/Producer Durables AlphaDEX(R) Fund (FXR)
First Trust Materials AlphaDEX(R) Fund (FXZ)
First Trust Technology AlphaDEX(R) Fund (FXL)
First Trust Utilities AlphaDEX(R) Fund (FXU)
The Board approved the continuation of the Agreement for each Fund for a
one-year period ending June 30, 2023 at a meeting held on June 12-13, 2022. The
Board determined for each Fund that the continuation of the Agreement is in the
best interests of the Fund in light of the nature, extent and quality of the
services provided and such other matters as the Board considered to be relevant
in the exercise of its business judgment.
To reach this determination for each Fund, the Board considered its duties under
the Investment Company Act of 1940, as amended (the "1940 Act"), as well as
under the general principles of state law, in reviewing and approving advisory
contracts; the requirements of the 1940 Act in such matters; the fiduciary duty
of investment advisors with respect to advisory agreements and compensation; the
standards used by courts in determining whether investment company boards have
fulfilled their duties; and the factors to be considered by the Board in voting
on such agreements. At meetings held on April 18, 2022 and June 12-13, 2022, the
Board, including the Independent Trustees, reviewed materials provided by the
Advisor responding to requests for information from counsel to the Independent
Trustees, submitted on behalf of the Independent Trustees, that, among other
things, outlined: the services provided by the Advisor to each Fund (including
the relevant personnel responsible for these services and their experience); the
advisory fee rate payable by each Fund as compared to fees charged to a peer
group of funds (the "Expense Group") and a broad peer universe of funds (the
"Expense Universe"), each assembled by Broadridge Financial Solutions, Inc.
("Broadridge"), an independent source, and as compared to fees charged to other
clients of the Advisor, including other exchange-traded funds ("ETFs") managed
by the Advisor; the expense ratio of each Fund as compared to expense ratios of
the funds in the Fund's Expense Group and Expense Universe; performance
information for each Fund, including comparisons of each Fund's performance to
that of one or more relevant benchmark indexes and to that of a performance
group of funds and a broad performance universe of funds (the "Performance
Universe"), each assembled by Broadridge; the nature of expenses incurred in
providing services to each Fund and the potential for the Advisor to realize
economies of scale, if any; profitability and other financial data for the
Advisor; any indirect benefits to the Advisor and its affiliate, First Trust
Portfolios L.P. ("FTP"); and information on the Advisor's compliance program.
The Board reviewed initial materials with the Advisor at the meeting held on
April 18, 2022, prior to which the Independent Trustees and their counsel met
separately to discuss the information provided by the Advisor. Following the
April meeting, counsel to the Independent Trustees, on behalf of the Independent
Trustees, requested certain clarifications and supplements to the materials
provided, and the information provided in response to those requests was
considered at an executive session of the Independent Trustees and their counsel
held prior to the June 12-13, 2022 meeting, as well as at the June meeting. The
Board applied its business judgment to determine whether the arrangement between
the Trust and the Advisor continues to be a reasonable business arrangement from
each Fund's perspective. The Board determined that, given the totality of the
information provided with respect to the Agreement, the Board had received
sufficient information to renew the Agreement. The Board considered that
shareholders chose to invest or remain invested in a Fund knowing that the
Advisor manages the Fund and knowing the Fund's advisory fee.
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SECTOR FUNDS
JULY 31, 2022 (UNAUDITED)
In reviewing the Agreement for each Fund, the Board considered the nature,
extent and quality of the services provided by the Advisor under the Agreement.
The Board considered that the Advisor is responsible for the overall management
and administration of the Trust and each Fund and reviewed all of the services
provided by the Advisor to the Funds, as well as the background and experience
of the persons responsible for such services. In reviewing the services
provided, the Board noted the compliance program that had been developed by the
Advisor and considered that it includes a robust program for monitoring the
Advisor's and each Fund's compliance with the 1940 Act, as well as each Fund's
compliance with its investment objective, policies and restrictions. The Board
also considered a report from the Advisor with respect to its risk management
functions related to the operation of the Funds. Finally, as part of the Board's
consideration of the Advisor's services, the Advisor, in its written materials
and at the April 18, 2022 meeting, described to the Board the scope of its
ongoing investment in additional personnel and infrastructure to maintain and
improve the quality of services provided to the Funds and the other funds in the
First Trust Fund Complex. In light of the information presented and the
considerations made, the Board concluded that the nature, extent and quality of
the services provided to the Trust and each Fund by the Advisor under the
Agreement have been and are expected to remain satisfactory and that the Advisor
has managed each Fund consistent with its investment objective, policies and
restrictions.
The Board considered the advisory fee rate payable by each Fund under the
Agreement for the services provided. The Board considered that the Advisor
agreed to extend the current expense cap for each Fund through November 30,
2023. For each Fund, the Board noted that expenses reimbursed and fees waived
are subject to recovery by the Advisor for up to three years from the date the
fee was waived or expense was incurred, but no reimbursement payment will be
made by the Fund if it would result in the Fund exceeding (i) the applicable
expense limitation in place for the most recent fiscal year for which such
expense limitation was in place, (ii) the applicable expense limitation in place
at the time the fees were waived, or (iii) the current expense limitation. The
Board received and reviewed information showing the fee rates and expense ratios
of the peer funds in the Expense Groups, as well as advisory and unitary fee
rates charged by the Advisor to other fund (including ETFs) and non-fund
clients, as applicable. Because each Fund's Expense Group included peer funds
that pay a unitary fee, the Board determined that expense ratios were the most
relevant comparative data point. Based on the information provided, the Board
noted that the total (net) expense ratio of each Fund was above the median total
(net) expense ratio of the peer funds in its respective Expense Group. With
respect to the Expense Groups, the Board, at the April 18, 2022 meeting,
discussed with Broadridge its methodology for assembling peer groups and
discussed with the Advisor limitations in creating peer groups for index ETFs,
including differences in underlying indexes and index-tracking methodologies
that can result in greater management complexities across seemingly comparable
ETFs, and different business models that may affect the pricing of services
among ETF sponsors. The Board took these limitations and differences into
account in considering the peer data. With respect to fees charged to other
non-ETF clients, the Board considered differences between the Funds and other
non-ETF clients that limited their comparability. In considering the advisory
fee rates overall, the Board also considered the Advisor's statement that it
seeks to meet investor needs through innovative and value-added investment
solutions and the Advisor's demonstrated long-term commitment to each Fund and
the other funds in the First Trust Fund Complex.
The Board considered performance information for each Fund. The Board noted the
process it has established for monitoring each Fund's performance and portfolio
risk on an ongoing basis, which includes quarterly performance reporting from
the Advisor for the Funds. The Board determined that this process continues to
be effective for reviewing each Fund's performance. The Board received and
reviewed information for periods ended December 31, 2021 regarding the
performance of each Fund's underlying index, the correlation between each Fund's
performance and that of its underlying index, each Fund's tracking difference
and each Fund's excess return as compared to its benchmark index. The Board
considered the Advisor's explanations of how the AlphaDEX(R) stock selection
methodology impacts Fund performance in various market environments, and the
Advisor's statement that AlphaDEX(R) is designed to provide long-term
outperformance. Based on the information provided and its ongoing review of
performance, the Board concluded that each Fund was correlated to its underlying
index and that the tracking difference for each Fund was within a reasonable
range. In addition, the Board reviewed data prepared by Broadridge comparing
each Fund's performance to that of its respective Performance Universe and to
that of a broad-based benchmark index, but given each Fund's objective of
seeking investment results that correspond generally to the performance of its
underlying index, the Board placed more emphasis on its review of correlation
and tracking difference.
On the basis of all the information provided on the fees, expenses and
performance of each Fund and the ongoing oversight by the Board, the Board
concluded that the advisory fee for each Fund continues to be reasonable and
appropriate in light of the nature, extent and quality of the services provided
by the Advisor to each Fund under the Agreement.
The Board considered information and discussed with the Advisor whether there
were any economies of scale in connection with providing advisory services to
the Funds and noted the Advisor's statement that it believes that its expenses
relating to providing advisory services to the Funds will likely increase during
the next twelve months as the Advisor continues to build infrastructure and add
new staff. The Board considered the revenues and allocated costs (including the
allocation methodology) of the Advisor in serving as investment advisor to each
Fund for the twelve months ended December 31, 2021 and the estimated
profitability level for each Fund calculated by the Advisor based on such data,
as well as complex-wide and product-line profitability data, for the same
period. The Board noted the inherent limitations in the profitability analysis
and concluded that, based on the information provided, the Advisor's
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SECTOR FUNDS
JULY 31, 2022 (UNAUDITED)
profitability level for each Fund was not unreasonable. In addition, the Board
considered indirect benefits described by the Advisor that may be realized from
its relationship with the Funds. The Board considered that the Advisor had
identified as an indirect benefit to the Advisor and FTP their exposure to
investors and brokers who, absent their exposure to the Funds, may have had no
dealings with the Advisor or FTP, and noted that the Advisor does not utilize
soft dollars in connection with the Funds. The Board concluded that the
character and amount of potential indirect benefits to the Advisor were not
unreasonable.
Based on all of the information considered and the conclusions reached, the
Board, including the Independent Trustees, unanimously determined that the terms
of the Agreement continue to be fair and reasonable and that the continuation of
the Agreement is in the best interests of each Fund. No single factor was
determinative in the Board's analysis.
LIQUIDITY RISK MANAGEMENT PROGRAM
In accordance with Rule 22e-4 under the Investment Company Act of 1940, as
amended (the "1940 Act"), the Funds and each other fund in the First Trust Fund
Complex, other than the closed-end funds, have adopted and implemented a
liquidity risk management program (the "Program") reasonably designed to assess
and manage the funds' liquidity risk, i.e., the risk that a fund could not meet
requests to redeem shares issued by the fund without significant dilution of
remaining investors' interests in the fund. The Board of Trustees of the First
Trust Funds has appointed First Trust Advisors, L.P. (the "Advisor") as the
person designated to administer the Program, and in this capacity the Advisor
performs its duties primarily through the activities and efforts of the First
Trust Liquidity Committee (the "Liquidity Committee").
Pursuant to the Program, the Liquidity Committee classifies the liquidity of
each fund's portfolio investments into one of the four liquidity categories
specified by Rule 22e-4: highly liquid investments, moderately liquid
investments, less liquid investments and illiquid investments. The Liquidity
Committee determines certain of the inputs for this classification process,
including reasonably anticipated trade sizes and significant investor dilution
thresholds. The Liquidity Committee also determines and periodically reviews a
highly liquid investment minimum for certain funds, monitors the funds' holdings
of assets classified as illiquid investments to seek to ensure they do not
exceed 15% of a fund's net assets and establishes policies and procedures
regarding redemptions in kind.
At the April 18, 2022 meeting of the Board of Trustees, as required by Rule
22e-4 and the Program, the Advisor provided the Board with a written report
prepared by the Advisor that addressed the operation of the Program during the
period from March 16, 2021 through the Liquidity Committee's annual meeting held
on March 17, 2022 and assessed the Program's adequacy and effectiveness of
implementation during this period, including the operation of the highly liquid
investment minimum for each fund that is required under the Program to have one,
and any material changes to the Program. Note that because the Funds primarily
hold assets that are highly liquid investments, the Funds have not adopted any
highly liquid investment minimums.
As stated in the written report, during the review period, no fund breached the
15% limitation on illiquid investments, no fund with a highly liquid investment
minimum breached that minimum and no fund filed a Form N-LIQUID. The Advisor
concluded that each fund's investment strategy is appropriate for an open-end
fund; that the Program operated effectively in all material respects during the
review period; and that the Program is reasonably designed to assess and manage
the liquidity risk of each fund and to maintain compliance with Rule 22e-4.
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BOARD OF TRUSTEES AND OFFICERS
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
JULY 31, 2022 (UNAUDITED)
The following tables identify the Trustees and Officers of the Trust. Unless
otherwise indicated, the address of all persons is 120 East Liberty Drive, Suite
400, Wheaton, IL 60187.
The Trust's statement of additional information includes additional information
about the Trustees and is available, without charge, upon request, by calling
(800) 988-5891.
NUMBER OF OTHER
PORTFOLIOS IN TRUSTEESHIPS OR
TERM OF OFFICE THE FIRST TRUST DIRECTORSHIPS
NAME, AND YEAR FIRST FUND COMPLEX HELD BY TRUSTEE
YEAR OF BIRTH AND ELECTED OR PRINCIPAL OCCUPATIONS OVERSEEN BY DURING PAST
POSITION WITH THE TRUST APPOINTED DURING PAST 5 YEARS TRUSTEE 5 YEARS
------------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
------------------------------------------------------------------------------------------------------------------------------------
Richard E. Erickson, Trustee o Indefinite Term Physician, Edward-Elmhurst Medical 220 None
(1951) Group; Physician and Officer,
o Since Inception Wheaton Orthopedics (1990 to 2021)
Thomas R. Kadlec, Trustee o Indefinite Term Retired; President, ADM Investors 220 Director, National
(1957) Services, Inc. (Futures Commission Futures Association
o Since Inception Merchant) (2010 to July 2022) and ADMIS Singapore
Ltd.; Formerly,
Director of ADM
Investor Services,
Inc., ADM
Investor Services
International, ADMIS
Hong Kong Ltd., and
Futures Industry
Association
Denise M. Keefe, Trustee o Indefinite Term Executive Vice President, Advocate Aurora 220 Director and Board
(1964) Health and President, Advocate Aurora Chair of Advocate Home
o Since 2021 Continuing Health Division (Integrated Health Services,
Healthcare System) Advocate Home Care
Products and Advocate
Hospice; Director and
Board Chair of Aurora
At Home (since 2018);
Director of Advocate
Physician Partners
Accountable Care
Organization; Director
and Board Chair of
RML Long Term Acute
Care Hospitals; and
Director of Senior
Helpers (since 2021)
Robert F. Keith, Trustee o Indefinite Term President, Hibs Enterprises (Financial 220 Formerly, Director of
(1956) and Management Consulting) Trust Company of
o Since Inception Illinois
Niel B. Nielson, Trustee o Indefinite Term Senior Advisor (2018 to Present), 220 None
(1954) Managing Director and Chief Operating
o Since Inception Officer (2015 to 2018), Pelita Harapan
Educational Foundation (Educational
Products and Services)
------------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEE
------------------------------------------------------------------------------------------------------------------------------------
James A. Bowen(1), Trustee, o Indefinite Term Chief Executive Officer, First Trust 220 None
Chairman of the Board Advisors L.P. and First Trust Portfolios
(1955) o Since Inception L.P., Chairman of the Board of Directors,
BondWave LLC (Software Development
Company) and Stonebridge Advisors LLC
(Investment Advisor)
-----------------------------
(1) Mr. Bowen is deemed an "interested person" of the Trust due to his
position as Chief Executive Officer of First Trust Advisors L.P.,
investment advisor of the Trust.
Page 74
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BOARD OF TRUSTEES AND OFFICERS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
JULY 31, 2022 (UNAUDITED)
POSITION AND TERM OF OFFICE
NAME AND OFFICES AND LENGTH OF PRINCIPAL OCCUPATIONS
YEAR OF BIRTH WITH TRUST SERVICE DURING PAST 5 YEARS
------------------------------------------------------------------------------------------------------------------------------------
OFFICERS(2)
------------------------------------------------------------------------------------------------------------------------------------
James M. Dykas President and Chief o Indefinite Term Managing Director and Chief Financial Officer, First
(1966) Executive Officer Trust Advisors L.P. and First Trust Portfolios L.P.;
o Since 2016 Chief Financial Officer, BondWave LLC (Software
Development Company) and Stonebridge Advisors
LLC (Investment Advisor)
Donald P. Swade Treasurer, Chief Financial o Indefinite Term Senior Vice President, First Trust Advisors L.P. and
(1972) Officer and Chief Accounting First Trust Portfolios L.P.
Officer o Since 2016
W. Scott Jardine Secretary and Chief Legal o Indefinite Term General Counsel, First Trust Advisors L.P. and First
(1960) Officer Trust Portfolios L.P.; Secretary and General Counsel,
o Since Inception BondWave LLC; Secretary, Stonebridge Advisors LLC
Daniel J. Lindquist Vice President o Indefinite Term Managing Director, First Trust Advisors L.P. and First
(1970) Trust Portfolios L.P.
o Since Inception
Kristi A. Maher Chief Compliance Officer and o Indefinite Term Deputy General Counsel, First Trust Advisors L.P. and
(1966) Assistant Secretary First Trust Portfolios L.P.
o Chief Compliance
Officer Since 2011
o Assistant Secretary
Since Inception
Roger F. Testin Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P. and
(1966) First Trust Portfolios L.P.
o Since Inception
Stan Ueland Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P. and
(1970) First Trust Portfolios L.P.
o Since Inception
-----------------------------
(2) The term "officer" means the president, vice president, secretary,
treasurer, controller or any other officer who performs a policy making
function.
Page 75
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PRIVACY POLICY
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FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
JULY 31, 2022 (UNAUDITED)
PRIVACY POLICY
First Trust values our relationship with you and considers your privacy an
important priority in maintaining that relationship. We are committed to
protecting the security and confidentiality of your personal information.
SOURCES OF INFORMATION
We collect nonpublic personal information about you from the following sources:
o Information we receive from you and your broker-dealer, investment
professional or financial representative through interviews,
applications, agreements or other forms;
o Information about your transactions with us, our affiliates or
others;
o Information we receive from your inquiries by mail, e-mail or
telephone; and
o Information we collect on our website through the use of "cookies."
For example, we may identify the pages on our website that your
browser requests or visits.
INFORMATION COLLECTED
The type of data we collect may include your name, address, social security
number, age, financial status, assets, income, tax information, retirement and
estate plan information, transaction history, account balance, payment history,
investment objectives, marital status, family relationships and other personal
information.
DISCLOSURE OF INFORMATION
We do not disclose any nonpublic personal information about our customers or
former customers to anyone, except as permitted by law. In addition to using
this information to verify your identity (as required under law), the permitted
uses may also include the disclosure of such information to unaffiliated
companies for the following reasons:
o In order to provide you with products and services and to effect
transactions that you request or authorize, we may disclose your
personal information as described above to unaffiliated financial
service providers and other companies that perform administrative or
other services on our behalf, such as transfer agents, custodians
and trustees, or that assist us in the distribution of investor
materials such as trustees, banks, financial representatives, proxy
services, solicitors and printers.
o We may release information we have about you if you direct us to do
so, if we are compelled by law to do so, or in other legally limited
circumstances (for example to protect your account from fraud).
In addition, in order to alert you to our other financial products and services,
we may share your personal information within First Trust.
USE OF WEBSITE ANALYTICS
We currently use third party analytics tools, Google Analytics and AddThis, to
gather information for purposes of improving First Trust's website and marketing
our products and services to you. These tools employ cookies, which are small
pieces of text stored in a file by your web browser and sent to websites that
you visit, to collect information, track website usage and viewing trends such
as the number of hits, pages visited, videos and PDFs viewed and the length of
user sessions in order to evaluate website performance and enhance navigation of
the website. We may also collect other anonymous information, which is generally
limited to technical and web navigation information such as the IP address of
your device, internet browser type and operating system for purposes of
analyzing the data to make First Trust's website better and more useful to our
users. The information collected does not include any personal identifiable
information such as your name, address, phone number or email address unless you
provide that information through the website for us to contact you in order to
answer your questions or respond to your requests. To find out how to opt-out of
these services click on: Google Analytics and AddThis.
CONFIDENTIALITY AND SECURITY
With regard to our internal security procedures, First Trust restricts access to
your nonpublic personal information to those First Trust employees who need to
know that information to provide products or services to you. We maintain
physical, electronic and procedural safeguards to protect your nonpublic
personal information.
POLICY UPDATES AND INQUIRIES
As required by federal law, we will notify you of our privacy policy annually.
We reserve the right to modify this policy at any time, however, if we do change
it, we will tell you promptly. For questions about our policy, or for additional
copies of this notice, please go to www.ftportfolios.com, or contact us at
1-800-621-1675 (First Trust Portfolios) or 1-800-222-6822 (First Trust
Advisors).
March 2022
Page 76
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FIRST TRUST
FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND
SECTOR FUNDS
--------------------------------------------------------------------------------
INVESTMENT ADVISOR
First Trust Advisors L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
ADMINISTRATOR, CUSTODIAN,
FUND ACCOUNTANT &
TRANSFER AGENT
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
111 S. Wacker Drive
Chicago, IL 60606
LEGAL COUNSEL
Chapman and Cutler LLP
320 South Canal Street
Chicago, IL 60606
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