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First Trust Small Cap Core AlphaDEX® Fund (FYX)
Investment Objective/Strategy - The First Trust Small Cap Core AlphaDEX® Fund is an exchange-traded fund. The investment objective of the Fund is to seek investment results that correspond generally to the price and yield, before fees and expenses, of an equity index called the Defined Small Cap Core Index.
There can be no assurance that the Fund's investment objectives will be achieved.
  • The Defined Small Cap Core Index is an "enhanced" index created and administered by Standard & Poor's which employs the AlphaDEX® stock selection methodology to select stocks from the S&P SmallCap 600 Index.
  • Standard & Poor's constructs the Defined Small Cap Core Index by ranking the stocks from the S&P SmallCap 600 Index on growth factors including three, six and 12-month price appreciation, sales to price and one year sales growth, and separately on value factors including book value to price, cash flow to price and return on assets.
  • Stocks which are classified solely as growth or value, based on S&P style designations, receive their score using the above growth or value factors respectively.
  • Stocks which S&P allocates between both growth and value receive their best score between the above growth and value factors.
  • The stocks are then ranked according to their score. The bottom 25% is eliminated and the top 75% is selected for the Defined Small Cap Core Index.
  • The selected stocks are divided into quintiles based on their rankings and the top ranked quintiles receive a higher weight within the index. The stocks are equally-weighted within each quintile.
  • The index is reconstituted and rebalanced quarterly.
Fund Overview
TickerFYX
Fund TypeSmall Cap Core
Investment AdvisorFirst Trust Advisors L.P.
Investor Servicing AgentBank of New York Mellon
CUSIP33734Y109
Intraday NAVFYXIV
Fiscal Year-End07/31
ExchangeNYSE Arca
Inception5/8/2007
Inception Price$30.00
Inception NAV$30.00
Rebalance FrequencyQuarterly
Gross Expense Ratio*0.67%
Net Expense Ratio*0.67%
* As of 1/31/2014
Expenses are capped contractually at 0.70% per year, at least until November 30, 2014.
Current Fund Data (as of 7/28/2014)
Closing NAV1$47.07
Closing Share Price2$47.09
Bid/Ask Midpoint$47.05
Bid/Ask Discount0.05%
Total Net Assets$531,876,476
Outstanding Shares11,300,002
Daily Volume42,921
Average 30-Day Daily Volume55,523
Closing Share Price 52-Week High/Low$49.89 / $41.01
Closing NAV 52-Week High/Low$49.93 / $41.05
Number of Holdings448
Fund Characteristics (as of 6/30/2014)8
Median Market Cap.$1,171
Maximum Market Cap.$5,718
Minimum Market Cap.$124
Price/Earnings19.86
Price/Book1.94
Price/Cash Flow9.53
Price/Sales0.89
Top Holdings (as of 7/28/2014)
Holding Percent
Gentiva Health Services, Inc. 0.47%
Green Plains, Inc. 0.47%
Higher One Holdings Inc. 0.44%
Clearwater Paper Corporation 0.43%
Stillwater Mining Company 0.42%
The Ensign Group, Inc. 0.42%
US Silica Holdings Inc. 0.42%
World Acceptance Corporation 0.42%
Kaiser Aluminum Corporation 0.41%
Sanderson Farms, Inc. 0.41%

Holdings are subject to change.

Bid/Ask Midpoint and NAV History (Since Inception)
Past performance is not indicative of future results.
Overall Morningstar RatingTM (as of 6/30/2014)3

Among 596 funds in the Small Blend category. This fund was rated 4 stars/596 funds (3 years), 4 stars/545 funds (5 years).
Distribution Information
Dividend per Share Amt4$0.0580
30-Day SEC Yield (as of 6/30/2014)50.33%
12-Month Distribution Rate (as of 6/30/2014)60.44%
Index Yield (as of 6/30/2014)71.03%
Bid/Ask Midpoint vs. NAV (as of 6/30/2014)
Number of Days Bid/Ask Midpoint Above NAV
Quarter Ended 0-49
Basis Points
50-99
Basis Points
100-199
Basis Points
>=200
Basis Points
6/30/2014 42 1 0 0
3/31/2014 51 0 0 0
12/31/2013 54 0 0 0
9/30/2013 46 0 0 0
Number of Days Bid/Ask Midpoint Below NAV
Quarter Ended 0-49
Basis Points
50-99
Basis Points
100-199
Basis Points
>=200
Basis Points
6/30/2014 20 0 0 0
3/31/2014 10 0 0 0
12/31/2013 10 0 0 0
9/30/2013 18 0 0 0

The price used to calculate market return is determined by using the midpoint between the highest bid and the lowest offer on the stock exchange, on which shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated.

Top Sector Exposure (as of 7/28/2014)
Industrials 17.84%
Information Technology 17.07%
Financials 16.74%
Consumer Discretionary 16.15%
Health Care 9.27%
Materials 7.95%
Energy 7.05%
Consumer Staples 3.53%
Utilities 3.27%
Telecommunication Services 1.05%
Month End Performance (as of 6/30/2014)
  3 Mos YTD 1 Year 3 Year 5 Year 10 Year Since
Fund
Inception9
Fund Performance *
NAV 1.04% 1.32% 24.74% 16.19% 21.46% N/A 7.66%
After Tax Held 0.99% 1.21% 24.50% 15.90% 21.23% N/A 7.47%
After Tax Sold 0.59% 0.75% 14.00% 12.60% 17.51% N/A 6.02%
Market Price 1.17% 1.40% 24.99% 16.23% 21.40% N/A 7.68%
Index Performance **
Defined Small Cap Core Index 1.23% 1.67% 25.71% 17.04% 22.39% N/A 8.53%
S&P SmallCap 600 Index 2.07% 3.22% 25.54% 16.81% 21.98% N/A 7.96%
Quarter End Performance (as of 6/30/2014)
  3 Mos YTD 1 Year 3 Year 5 Year 10 Year Since
Fund
Inception9
Fund Performance *
NAV 1.04% 1.32% 24.74% 16.19% 21.46% N/A 7.66%
After Tax Held 0.99% 1.21% 24.50% 15.90% 21.23% N/A 7.47%
After Tax Sold 0.59% 0.75% 14.00% 12.60% 17.51% N/A 6.02%
Market Price 1.17% 1.40% 24.99% 16.23% 21.40% N/A 7.68%
Index Performance **
Defined Small Cap Core Index 1.23% 1.67% 25.71% 17.04% 22.39% N/A 8.53%
S&P SmallCap 600 Index 2.07% 3.22% 25.54% 16.81% 21.98% N/A 7.96%
3-Year Statistics (as of 6/30/2014)
  Standard Deviation Alpha Beta Sharpe Ratio Correlation
FYX 17.13% -1.45 1.07 0.94 0.99
S&P SmallCap 600 Index 16.00% --- 1.00 1.03 1.00
Standard Deviation is a measure of price variability (risk). Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.Beta is a measure of price variability relative to the market. Sharpe Ratio is a measure of excess reward per unit of volatility. Correlation is a measure of the similarity of performance.

*Performance data quoted represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate and shares when sold or redeemed, may be worth more or less than their original cost.

After Tax Held returns represent return after taxes on distributions. Assumes shares have not been sold. After Tax Sold returns represent the return after taxes on distributions and the sale of fund shares. Returns do not represent the returns you would receive if you traded shares at other times. Market Price returns are based on the midpoint of the bid/ask spread. Returns are average annualized total returns, except those for periods of less than one year, which are cumulative. The fund's performance reflects fee waivers and expense reimbursements, absent which performance would have been lower.

After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on the investor’s tax situation and may differ from those shown. The after-tax returns shown are not relevant to investors who hold their fund shares through tax-deferred arrangements such as 401(k) plans or individual retirement accounts.

**Performance information for the Defined Small Cap Core Index is for illustrative purposes only and does not represent actual fund performance. The Index does not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the performance shown. Indexes are unmanaged and an investor cannot invest directly in an index.

The gross expense ratio for this fund is 0.67%. Expenses are capped contractually at 0.70% per year, at least until November 30, 2014.

The S&P SmallCap 600 Index is an unmanaged index of of 600 stocks used to measure small cap U.S. stock market performance.

Footnotes
1 The NAV represents the fund's net assets (assets less liabilities) divided by the fund's shares outstanding.
2 Fund shares are purchased and sold on an exchange at their share price rather than net asset value (NAV), which may cause the shares to trade at a price greater than NAV (premium) or less than NAV (discount).
3
The Morningstar RatingTM is provided for those exchange-traded funds ("ETFs") with at least a three-year history. Ratings are based on the ETF's Morningstar Risk-Adjusted Return measure which accounts for variation in monthly performance, placing more emphasis on downward variations and rewarding consistent performance. An ETF's risk-adjusted return includes a brokerage commission estimate. This estimate is intended to reflect what an average investor would pay when buying or selling an ETF. PLEASE NOTE, this estimate is subject to change and the actual brokerage commission an investor pays may be higher or lower than this estimate. Morningstar compares each ETF's risk-adjusted return to the open-end mutual fund rating breakpoints for that category. Consistent with the open-end mutual fund ratings, the top 10% of ETFs in each category receive 5 stars, the next 22.5% receive 4 stars, the next 35% receive 3 stars, the next 22.5% receive 2 stars and the bottom 10% receive 1 star. The overall rating for an ETF is based on a weighted average of the time-period ratings (e.g., the ETF's 3,5, and 10 year rating). The determination of an ETF's rating does not affect the retail open end mutual fund data published by Morningstar. Past performance is no guarantee of future results.
4 Most recent distribution paid or declared through today's date. Subject to change in the future.
5 30-day SEC yield is calculated by dividing the net investment income per share earned during the most recent 30-day period by the maximum offering price per share on the last day of the period.
6 12-Month Distribution Rate is calculated by dividing the sum of the fund's trailing 12-month ordinary distributions paid or declared by the NAV price. Distribution rates may vary.
7 Index yield represents the weighted average trailing 12-month dividend of the constituents of the Defined Small Cap Core Index
8 All market capitalization numbers are in USD$ Millions.
9 Inception Date is 5/8/2007

You should consider the fund's investment objectives, risks, and charges and expenses carefully before investing. You can download a prospectus or summary prospectus, or contact First Trust Portfolios L.P. at 1-800-621-1675 to request a prospectus or summary prospectus which contains this and other information about the fund. The prospectus or summary prospectus should be read carefully before investing.

ETF Characteristics

The fund lists and principally trades its shares on the NYSE Arca, Inc.

The fund's return may not match the return of the Defined Small Cap Core Index.  Securities held by the fund will generally not be bought or sold in response to market fluctuations.

The fund may not be fully invested at times. Investors buying or selling fund shares on the secondary market may incur customary brokerage commissions. Market prices may differ to some degree from the net asset value of the shares. Investors who sell fund shares may receive less than the share's net asset value. Shares may be sold throughout the day on the exchange through any brokerage account. However, unlike mutual funds, shares may only be redeemed directly from the fund by authorized participants, in very large creation/redemption units.

Risk Considerations

The fund's shares will change in value, and you could lose money by investing in the fund. One of the principal risks of investing in the fund is market risk. Market risk is the risk that a particular stock owned by the fund, fund shares or stocks in general may fall in value.

The fund may invest in securities issued by companies concentrated in a particular industry. The fund invests in small capitalization companies. Such companies may experience greater price volatility than larger, more established companies.

The fund is classified as "non-diversified." A non-diversified fund generally may invest a larger percentage of its assets in the securities of a smaller number of issuers. As a result, the fund may be more susceptible to the risks associated with these particular companies, or to a single economic, political or regulatory occurrence affecting these companies.

The Defined Small Cap Core Index is the exclusive property of Standard and Poor's, a division of the McGraw-Hill Companies, Inc. ("S&P"). First Trust Portfolios L.P. has contracted with S&P to create, calculate and maintain the Index. STANDARD & POOR'S and S&P are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by First Trust Portfolios L.P. The fund is not sponsored, endorsed, sold or promoted by Standard & Poor's and Standard & Poor's does not make any representation regarding the advisability of investing in the fund.

"AlphaDEX®" is a registered trademark of First Trust Portfolios L.P.

First Trust Portfolios L.P. has obtained a patent for the AlphaDEX® stock selection methodology from the United States Patent and Trademark Office.

©2013 Morningstar, Inc. All Rights Reserved. The Morningstar RatingTM information contained herein: (1) is proprietary to Morningstar; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. Past performance is no guarantee of future results.

Not FDIC Insured • Not Bank Guaranteed • May Lose Value
 
First Trust Portfolios L.P.  Member SIPC and FINRA.
First Trust Advisors L.P.
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