First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund – as of December 31, 2015

First Trust Portfolios

Description

First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund » Portfolio Information Number Of Holdings Maximum Market Cap. Median Market Cap. Minimum Market Cap. Price/Earnings Price/Book Price/Cash Flow Price/Sales » Top Holdings (%) 403 $3.68 Billion $1.13 Billion $216 Million 10.52 1.10 6.46 0.57 As of 12/31/15 » Top Sector Exposure (%) Bellamy’s Australia Limited Daikyonishikawa Corporation Alpine Electronics, Inc. Create SD Holdings Co., Ltd. Megmilk Snow Brand Co., Ltd. Nishio Rent All Co., Ltd. BW LPG Limited Kasai Kogyo Co., Ltd. Kingboard Chemical Holdings Limited Nordex SE 0.70 0.67 0.56 0.55 0.54 0.54 0.52 0.52 0.51 0.51 Industrials Consumer Discretionary Materials Information Technology Financials Consumer Staples Energy Utilities Health Care Telecommunication Services 22.55 20.43 14.35 14.12 11.62 10.62 2.73 1.72 1.67 0.19 » Top Country Exposure (%) Japan South Korea Canada Australia United Kingdom Germany China Singapore Hong Kong Norway 47.57 9.36 5.83 5.79 5.70 5.40 3.95 2.33 2.19 2.00 You should consider the fund’s investment objectives, risks, and charges and expenses carefully before investing. Contact First Trust Portfolios L.P. at 1-800-621-1675 or visit www.ftportfolios.com to obtain 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 Nasdaq Stock Market LLC. The fund’s return may not match the return of the NASDAQ AlphaDEX® Developed Markets ExUS Small Cap Index.

Securities held by the fund will generally not be bought or sold in response to market fluctuations. 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. There can be no assurance that the fund’s investment objective will be achieved. The fund may invest in securities issued by companies concentrated in a particular industry or country.

The fund invests in small capitalization and mid capitalization companies. Such companies may experience greater price volatility than larger, more established companies. An investment in a fund containing securities of non-U.S. issuers is subject to additional risks, including currency fluctuations, political risks, withholding, the lack of adequate financial information, and exchange control restrictions impacting non-U.S.

issuers. The fund may invest in depositary receipts which may be less liquid than the underlying shares in their primary trading market. The fund may effect a portion of creations and redemptions for cash, rather than in-kind securities. As a result, the fund may be less tax-efficient. The fund is classified as “non-diversified” and may invest a relatively high percentage of its assets in a limited number of issuers.

As a result, the fund may be more susceptible to a single adverse economic or regulatory occurrence affecting one or more of these issuers, experience increased volatility and be highly concentrated in certain issuers. First Trust Advisors L.P. is the adviser to the fund. First Trust Advisors L.P.

is an affiliate of First Trust Portfolios L.P., the fund’s distributor. Definitions 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. The MSCI World ex-US Small Cap Index is a free float-adjusted market capitalization index that is designed to measure equity market performance of all investable small cap securities in developed markets throughout the world, with the exception of U.S.based companies.

The S&P Developed Markets ex-US Small Cap Index is a comprehensive, rules-based index measuring performance of the small capitalization segment of equity markets domiciled in developed countries outside the U.S. The NASDAQ Developed Markets Ex-US Small Cap Index is a float adjusted market capitalization-weighted index that is designed to measure the small capitalization segment performance of countries which are designated as developed markets, excluding the United States. The NASDAQ AlphaDEX® Developed Markets Ex-US Small Cap Index (the “Index”) is a trademark of Nasdaq, Inc. and has been licensed for use by First Trust Portfolios L.P.

AlphaDEX® is a trademark owned by First Trust Portfolios L.P. and has been licensed to Nasdaq, Inc. for use in the name of the Index.

The First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund is not sponsored, endorsed, sold or promoted by Nasdaq, Inc. and Nasdaq, Inc. makes no representation or warranty regarding the advisability of investing in the First Trust Developed Markets ex-US Small Cap AlphaDEX® Fund or as to the result to be obtained by any person from use of the Index in connection with the trading of the First Trust Developed Markets ex-US Small Cap AlphaDEX® 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. Not FDIC Insured • Not Bank Guaranteed • May Lose Value FDTSFS011516 .