N-CSR 1 adex_ncsr.txt ALPHADEX FUND N-CSR 07-07 UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-22019 --------- First Trust Exchange-Traded AlphaDEX(TM) Fund -------------------------------------------------- (Exact name of registrant as specified in charter) 1001 Warrenville Road, Suite 300 Lisle, Illinois 60532 -------------------------------------------------- (Address of principal executive offices) (Zip code) W. Scott Jardine, Esq. First Trust Portfolios L.P. 1001 Warrenville Road, Suite 300 Lisle, Illinois 60532 -------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: 630-241-4141 ------------ Date of fiscal year end: July 31 ------- Date of reporting period: July 31, 2007 ------------- Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507. Item 1. Report to Stockholders. The registrant's annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1) is as follows: -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND ANNUAL REPORT JULY 31, 2007 -------------------------------------------------------------------------------- SECTOR SERIES First Trust Consumer Discretionary AlphaDEX(TM) Fund First Trust Consumer Staples AlphaDEX(TM) Fund First Trust Energy AlphaDEX(TM) Fund First Trust Financials AlphaDEX(TM) Fund First Trust Health Care AlphaDEX(TM) Fund First Trust Industrials/Producer Durables AlphaDEX(TM) Fund First Trust Materials AlphaDEX(TM) Fund First Trust Technology AlphaDEX(TM) Fund First Trust Utilities AlphaDEX(TM) Fund CORE SERIES First Trust Large Cap Core AlphaDEX(TM) Fund First Trust Mid Cap Core AlphaDEX(TM) Fund First Trust Small Cap Core AlphaDEX(TM)Fund STYLE SERIES First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund MULTI CAP SERIES First Trust Multi Cap Value AlphaDEX(TM) Fund First Trust Multi Cap Growth AlphaDEX(TM) Fund [LOGO OMITTED] AlphaDEX (TM) Family of ETFs AlphaDEX(TM) is a trademartk of First Trust Portfolios L.P. -------------------------------------------------------------------------------- Front Cover -------------------------------------------------------------------------------- Table of Contents -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND JULY 31, 2007 Shareholder Letter...................................................... 2 Market Overview......................................................... 3 Fund Performance Overview First Trust Consumer Discretionary AlphaDEX(TM) Fund.............. 4 First Trust Consumer Staples AlphaDEX(TM) Fund.................... 6 First Trust Energy AlphaDEX(TM) Fund.............................. 8 First Trust Financials AlphaDEX(TM) Fund.......................... 10 First Trust Health Care AlphaDEX(TM) Fund......................... 12 First Trust Industrials/Producer Durables AlphaDEX(TM) Fund....... 14 First Trust Materials AlphaDEX(TM) Fund........................... 16 First Trust Technology AlphaDEX(TM) Fund.......................... 18 First Trust Utilities AlphaDEX(TM) Fund........................... 20 First Trust Large Cap Core AlphaDEX(TM) Fund...................... 22 First Trust Mid Cap Core AlphaDEX(TM) Fund........................ 24 First Trust Small Cap Core AlphaDEX(TM) Fund...................... 26 First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund....... 28 First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund...... 30 First Trust Multi Cap Value AlphaDEX(TM) Fund..................... 32 First Trust Multi Cap Growth AlphaDEX(TM) Fund.................... 34 Notes to Fund Performance Overview...................................... 36 Understanding Your Fund Expenses........................................ 37 Portfolio of Investments First Trust Consumer Discretionary AlphaDEX(TM) Fund.............. 39 First Trust Consumer Staples AlphaDEX(TM) Fund.................... 41 First Trust Energy AlphaDEX(TM) Fund.............................. 42 First Trust Financials AlphaDEX(TM) Fund.......................... 43 First Trust Health Care AlphaDEX(TM) Fund......................... 46 First Trust Industrials/Producer Durables AlphaDEX(TM) Fund....... 47 First Trust Materials AlphaDEX(TM) Fund........................... 48 First Trust Technology AlphaDEX(TM) Fund.......................... 49 First Trust Utilities AlphaDEX(TM) Fund........................... 51 First Trust Large Cap Core AlphaDEX(TM) Fund...................... 52 First Trust Mid Cap Core AlphaDEX(TM) Fund........................ 58 First Trust Small Cap Core AlphaDEX(TM) Fund...................... 63 First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund....... 70 First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund...... 74 First Trust Multi Cap Value AlphaDEX(TM) Fund..................... 78 First Trust Multi Cap Growth AlphaDEX(TM) Fund.................... 86 Statements of Assets and Liabilities.................................... 94 Statements of Operations................................................ 98 Statements of Changes in Net Assets..................................... 102 Financial Highlights.................................................... 106 Notes to Financial Statements........................................... 114 Report of Independent Registered Public Accounting Firm................. 121 Additional Information.................................................. 122 Board of Trustees and Officers.......................................... 125 Risk Considerations..................................................... 127 CAUTION REGARDING FORWARD-LOOKING STATEMENTS This report contains certain forward-looking statements within the meaning of Section 27A of the Securities Act of 1933. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. (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 First Trust Exchange-Traded AlphaDEX(TM) Fund (the "Trust") 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 (individually called a "Fund" and collectively, the "Funds") of the Trust will achieve its investment objective. Each Fund of the Trust 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 shares may therefore be less than what you paid for them. Accordingly, you can lose money investing in a Fund. 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 http://www.ftportfolios.com or speak with your financial advisor. Investment returns, net asset value and market price will fluctuate and Fund shares may be worth more or less than their original cost. HOW TO READ THIS REPORT This report contains information that may help you evaluate your investment. It includes details about the portfolios and presents data and analysis that provide insight into each Fund's performance and investment approach. By reading the letter from the President of the Trust, James A. Bowen, together with the portfolio commentary by Robert F. Carey, Chief Investment Officer 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 Mr. Bowen and Mr. Carey 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. Of course, the risks of investing in each Fund are spelled out in its prospectus. Page 1 -------------------------------------------------------------------------------- Shareholder Letter -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND ANNUAL REPORT FOR THE PERIOD MAY 8, 2007 (INCEPTION DATE) TO JULY 31, 2007 Dear Shareholders: We believe investment opportunities abound, both here and abroad, affording the potential for exceptional returns for investors. At First Trust Advisors L.P. ("First Trust"), we realize that we must be mindful of the complexities of the global economy and at the same time address the needs of our customers through the types of investments we bring to market. First Trust is single-minded about providing a range of investment products, including our family of exchange-traded funds ("ETFs"), to help us meet the challenge of maximizing our customers' financial opportunities. Translating investment ideas into products which can deliver performance over the long-term while continuing to support our current product line remains a focus for First Trust as we head into the future. Over the past 12 months, we have added 25 ETFs to our family of funds, including 16 AlphaDEX(TM) exchange-traded funds, one or more of which you have purchased. The AlphaDEX(TM) exchange-traded funds are designed to track the performance of a group of custom "enhanced" indices created by Standard & Poor's or the American Stock Exchange LLC. We are proud to bring these unique investments to our customers, and are pleased you have chosen the AlphaDEX(TM) exchange-traded fund(s) for a portion of your investment portfolio. The report you hold will give you detailed information about each fund in the First Trust Exchange-Traded AlphaDEX(TM) Fund for the period from May 8, 2007 (inception date) to July 31, 2007. I encourage you to read this report and discuss it with your financial advisor. First Trust will continue to offer you current information about your investment, as well as new opportunities in the financial marketplace, through your financial advisor. We value our relationship with you and appreciate the opportunity to assist you in achieving your financial goals. Sincerely, /s/ James A. Bowen James A. Bowen President of First Trust Exchange-Traded AlphaDEX(TM) Fund September 14, 2007 Page 2 -------------------------------------------------------------------------------- Market Overview -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND ANNUAL REPORT FOR THE PERIOD MAY 8, 2007 TO JULY 31, 2007 [PHOTO OMITTED] ROBERT F. CAREY, CFA SENIOR VICE PRESIDENT AND CHIEF INVESTMENT OFFICER 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 21 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. MARKET OVERVIEW. The equities markets were mixed in the first seven months of 2007. The S&P 500 Index posted a total return of 3.64%, while the S&P MidCap 400 Index and Russell 2000 Index of small-caps returned 7.15% and -0.83%, respectively. According to Ibbotson Associates, the S&P 500 Index averaged 10.42% a year from 1926 through 2006, while small-cap stocks averaged 12.69%. Both large- and small-caps are lagging their historical pace as of July. Mid-cap issues continue to be the sweet spot of the market. We believe mid-caps are outperforming their two counterparts because their size makes them attractive to private equity firms and others looking to make acquisitions. Private equity firms, in particular, are well-capitalized so small companies are not big enough to meet the needs of such firms, while most large companies are out of reach. With interest rates still at relatively low levels, we believe merger and acquisition activity will remain strong through at least the end of this year. With respect to fixed-income securities, the Lehman Brothers U.S. Treasury: Intermediate Index posted a total return of 4.48% in the first seven months of 2007. From 1926 through 2006, Treasury bonds returned 5.42%, on average, according to Ibbotson Associates. At this juncture they are on pace to achieve or top their average. Treasury securities, in our opinion, have benefited from a flight to quality inspired by heavy selling in speculative-grade debt in July. The Federal Reserve Board (the "Fed") has held the federal funds rate at 5.25% over the past 12 months. The Fed has been monitoring the weakness in the housing market and weighing its influence against the overall strength of the economy. Its primary concern is curbing inflation, which is still tracking above its 2.0% ceiling. The Fed also has a new concern on its hands: sub-prime mortgages. A high percentage of sub-prime mortgages written in recent years were adjustable-rate. Unfortunately, some of these homeowners will not be able to afford their homes once these mortgages reset higher over the next 6-12 months. In fact, foreclosures were already 93% higher in July 2007 versus the same period a year ago, according to RealtyTrac. As of June, the Fed did not believe the sub-prime fallout would derail the current economic expansion, according to Fed Chairman Ben Bernanke. Despite the good showing by government bonds in 2007, we still favor equities over debt in the current climate. The outlook for large-cap stocks is more optimistic than for mid- and small-cap stocks at this stage of the economic cycle, in our opinion. Mid- and small-caps have dominated their larger counterparts since the start of this decade. From December 31, 1999 through July 31, 2007, the S&P 500 Index posted a cumulative total return of 12.07%, which paled in comparison to the 109.80% gain posted by the S&P Midcap 400 Index and the 69.82% gain posted by the Russell 2000 Index. The primary reason for the anticipated shift in sentiment is the tempering of economic growth due to weakness in the housing market and fallout from sub-prime mortgages. The Blue Chip Economic Consensus Forecast out in July called for 2.1% GDP growth in 2007, well below last year's 3.3% growth rate and the 3.9% growth registered in 2004. Page 3 -------------------------------------------------------------------------------- Fund Performance Overview -------------------------------------------------------------------------------- FXD - FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(TM) FUND The First Trust Consumer Discretionary AlphaDEX(TM) 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(TM) Consumer Discretionary Index (the "Consumer Discretionary Index"). The Fund will normally invest at least 90% of its total assets in common stocks that comprise the Consumer Discretionary Index. The Shares of the Fund are listed and trade on the American Stock Exchange LLC (the "AMEX") under the ticker symbol "FXD." The Fund began trading on May 10, 2007. The Consumer Discretionary Index is a modified equal-dollar weighted index designed by the AMEX to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(TM) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (Russell 1000(R) Consumer Discretionary and Services Index). -------------------------------------------------------------------------------- Performance as of July 31, 2007 Since Fund Inception (May 8, 2007) FUND PERFORMANCE NAV -5.85% Market Price -5.80% INDEX PERFORMANCE Russell 1000(R) Index -3.26% StrataQuant(TM) Consumer Discretionary Index -5.61% Russell 1000(R) Consumer Discretionary and Services Index -4.94% -------------------------------------------------------------------------------- (See Notes to Fund Performance Overview on page 36.) FUND RECAP. Since Fund inception (May 8, 2007), the Fund has posted an NAV total return of -5.85%, slightly underperforming the Russell 1000(R) Consumer Discretionary and Services Index return of -4.94%. Fund performance was hurt by retail stocks which came under pressure during the period as questions about the sustainability of economic growth were raised. The top three performing stocks in the Fund over the period ended July 31, 2007, by contribution to return, were Crocs, Inc., Hilton Hotels Corp. and Amazon.com, Inc. The worst-performing stocks, by percentage loss, were Foot Locker, Inc., Convergys Corp. and RadioShack Corp. PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2007 SECTOR % OF NET ASSETS Consumer Discretionary 79.76% Industrials 10.25 Information Technology 6.98 Consumer Staples 3.85 Materials 0.50 Net Other Assets and Liabilities (1.34) ------ Total 100.00% ====== TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2007 SECURITY % OF NET ASSETS Crocs, Inc. 1.81% Amazon.com, Inc. 1.50 aQuantive, Inc. 1.36 GameStop Corp., Class A 1.35 Liberty Global, Inc., Class A 1.34 CDW Corp. 1.30 Guess?, Inc. 1.29 McClatchy (The) Co., Class A 1.26 Penn National Gaming Inc. 1.25 Liz Claiborne, Inc. 1.23 ----- Total 13.69% ===== ---------- The StrataQuant(TM) Consumer Discretionary Index is a trademark of the AMEX and has been licensed for use by First Trust Portfolios L.P. The First Trust Consumer Discretionary AlphaDEX(TM) Fund is not sponsored, endorsed, sold or promoted by the AMEX and the AMEX makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(TM) Consumer Discretionary Index in connection with the trading of the Fund. Page 4 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FXD - FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(TM) FUND (CONTINUED) Growth of a $10,000 Initial Investment May 8, 2007 - July 31, 2007 [GRAPHIC OMITTED] EDGARIZATION OF DATA POINTS
--------------------------------------------------------------------------------------------------------------------- First Trust StrataQuant(TM) Consumer Discretionary Consumer Russell 1000(R) Russell 1000(R) Consumer AlphaDEX(TM) Fund Discretionary Index Index Discretionary and Services Index --------------------------------------------------------------------------------------------------------------------- 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $ 9,415 $ 9,439 $ 9,674 $ 9,506
Performance figures assume reinvestment of all dividend 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 is no guarantee of future results. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2007 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through July 31, 2007.
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS 5/10/07 - 7/31/07 15 0 0 0 NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS 5/10/07 - 7/31/07 42 0 0 0
Page 5 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FXG - FIRST TRUST CONSUMER STAPLES ALPHADEX(TM) FUND The First Trust Consumer Staples AlphaDEX(TM) 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(TM) Consumer Staples Index (the "Consumer Staples Index"). The Fund will normally invest at least 90% of its total assets in common stocks that comprise the Consumer Staples Index. The Shares of the Fund are listed and trade on the AMEX under the ticker symbol "FXG." The Fund began trading on May 10, 2007. The Consumer Staples Index is a modified equal-dollar weighted index designed by the AMEX to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(TM) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (Russell 1000(R) Consumer Staples Index). -------------------------------------------------------------------------------- Performance as of July 31, 2007 Since Fund Inception (May 8, 2007) FUND PERFORMANCE NAV -4.45% Market Price -4.45% INDEX PERFORMANCE Russell 1000(R) Index -3.26% StrataQuant(TM) Consumer Staples Index -4.26% Russell 1000(R) Consumer Staples Index -2.20% -------------------------------------------------------------------------------- (See Notes to Fund Performance Overview on page 36.) FUND RECAP. Since Fund inception (May 8, 2007), the Fund has posted an NAV total return of -4.45%, underperforming the Russell 1000(R) Consumer Staples Index return of -2.20%. Beverage companies performed well over the period, leading Fund performance. Performance was hurt by the Fund's grocery and drug retailers whose performance trailed the benchmark. The top three performing stocks in the Fund over the period ended July 31, 2007, by contribution to return, were PepsiAmericas, Inc., Hansen Natural Corp. and Wm. Wrigley Jr. Co. The worst-performing stocks, by percentage loss, were Rite Aid Corp., Dean Foods Co. and SUPERVALU, Inc. PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2007 SECTOR % OF NET ASSETS Consumer Staples 100.81% Net Other Assets and Liabilities (0.81) ------ Total 100.00% ====== TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2007 SECURITY % OF NET ASSETS PepsiAmericas, Inc. 6.60% Molson Coors Brewing Co., Class B 5.64 Safeway, Inc. 5.49 Dean Foods Co. 5.29 SUPERVALU, Inc. 5.27 Rite Aid Corp. 5.06 Smithfield Foods, Inc. 4.73 Loews Corp. - Carolina Group 4.60 Del Monte Foods Co. 4.47 Kroger (The) Co. 4.33 ----- Total 51.48% ===== ---------- The StrataQuant(TM) Consumer Staples Index is a trademark of the AMEX and has been licensed for use by First Trust Portfolios L.P. The First Trust Consumer Staples AlphaDEX(TM) Fund is not sponsored, endorsed, sold or promoted by the AMEX and the AMEX makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(TM) Consumer Staples Index in connection with the trading of the Fund. Page 6 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FXG - FIRST TRUST CONSUMER STAPLES ALPHADEX(TM) FUND (CONTINUED) Growth of a $10,000 Initial Investment May 8, 2007 - July 31, 2007 [GRAPHIC OMITTED] EDGARIZATION OF DATA POINTS
------------------------------------------------------------------------------------------------------------------- First Trust StrataQuant(TM) Consumer Staples Consumer Russell 1000(R) Russell 1000(R) Consumer AlphaDEX(TM) Fund Staples Index Index Staples Index ------------------------------------------------------------------------------------------------------------------- 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $ 9,555 $ 9,574 $ 9,674 $ 9,780
Performance figures assume reinvestment of all dividend 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 is no guarantee of future results. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2007 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through July 31, 2007.
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS 5/10/07 - 7/31/07 27 0 1 0 NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS 5/10/07 - 7/31/07 29 0 0 0
Page 7 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FXN - FIRST TRUST ENERGY ALPHADEX(TM) FUND The First Trust Energy AlphaDEX(TM) 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(TM) Energy Index (the "Energy Index"). The Fund will normally invest at least 90% of its total assets in common stocks that comprise the Energy Index. The Shares of the Fund are listed and trade on the AMEX under the ticker symbol "FXN." The Fund began trading on May 10, 2007. The Energy Index is a modified equal-dollar weighted index designed by the AMEX to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(TM) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (Russell 1000(R) Integrated Oils Index and Russell 1000(R) Other Energy Index). -------------------------------------------------------------------------------- Performance as of July 31, 2007 Since Fund Inception (May 8, 2007) FUND PERFORMANCE NAV 3.70% Market Price 3.75% INDEX PERFORMANCE Russell 1000(R) Index -3.26% StrataQuant(TM) Energy Index 3.87% Russell 1000(R) Integrated Oils Index 7.37% Russell 1000(R) Other Energy Index 4.00% -------------------------------------------------------------------------------- (See Notes to Fund Performance Overview on page 36.) FUND RECAP. Since Fund inception (May 8, 2007), the Fund has posted an NAV total return of 3.70%, trailing both the Russell 1000(R) Integrated Oils Index (7.37% return) and the Russell 1000(R) Other Energy Index (4.00% return). Strong performance of the Fund's energy services components was unable to make up for the relative underperformance of the Fund's energy production components. The top three performing stocks in the Fund over the period ended July 31, 2007, by contribution to return, were National Oilwell Varco, Inc., Global Industries Ltd. and ConocoPhillips. The worst-performing stocks, by percentage loss, were Plains Exploration & Production Co., Western Refining, Inc. and Patterson-UTI Energy, Inc. TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2007 SECTOR % OF NET ASSETS Energy 98.12% Utilities 2.37 Net Other Assets and Liabilities (0.49) ------ Total 100.00% ====== TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2007 SECURITY % OF NET ASSETS ConocoPhillips 3.29% Continental Resources, Inc. 3.14 Global Industries Ltd. 3.08 Cimarex Energy Co. 3.06 Western Refining, Inc. 3.06 National Oilwell Varco, Inc. 2.94 Helmerich & Payne, Inc. 2.92 Holly Corp. 2.90 Valero Energy Corp. 2.90 Plains Exploration & Production Co. 2.88 ----- Total 30.17% ===== ---------- The StrataQuant(TM) Energy Index is a trademark of the AMEX and has been licensed for use by First Trust Portfolios L.P. The First Trust Energy AlphaDEX(TM) Fund is not sponsored, endorsed, sold or promoted by the AMEX and the AMEX makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(TM) Energy Index in connection with the trading of the Fund. Page 8 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FXN - FIRST TRUST ENERGY ALPHADEX(TM) FUND (CONTINUED) Growth of a $10,000 Initial Investment May 8, 2007 - July 31, 2007 [GRAPHIC OMITTED] EDGARIZATION OF DATA POINTS
--------------------------------------------------------------------------------------------------------------- First Trust StrataQuant(TM) Russell 1000(R) Russell 1000(R) Energy Energy Russell 1000(R) Integrated Oils Other Energy AlphaDEX(TM) Fund Index Index Index Index --------------------------------------------------------------------------------------------------------------- 5/8/2007 $10,000 $10,000 $10,000 $10,000 $10,000 7/31/2007 $10,370 $10,387 $ 9,674 $10,737 $10,400
Performance figures assume reinvestment of all dividend 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 is no guarantee of future results. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2007 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through July 31, 2007.
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS 5/10/07 - 7/31/07 27 1 0 0 NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS 5/10/07 - 7/31/07 29 0 0 0
Page 9 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FXO - FIRST TRUST FINANCIALS ALPHADEX(TM) FUND The First Trust Financials AlphaDEX(TM) 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(TM) Financials Index (the "Financials Index"). The Fund will normally invest at least 90% of its total assets in common stocks that comprise the Financials Index. The Shares of the Fund are listed and trade on the AMEX under the ticker symbol "FXO." The Fund began trading on May 10, 2007. The Financials Index is a modified equal-dollar weighted index designed by the AMEX to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(TM) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (Russell 1000(R) Financial Services Index). -------------------------------------------------------------------------------- Performance as of July 31, 2007 Since Fund Inception (May 8, 2007) FUND PERFORMANCE NAV -10.45% Market Price -10.35% INDEX PERFORMANCE StrataQuant(TM) Financials Index -10.14% Russell 1000(R) Index -3.26% Russell 1000(R) Financial Services Index -10.82% -------------------------------------------------------------------------------- (See Notes to Fund Performance Overview on page 36.) FUND RECAP. Since Fund inception (May 8, 2007), the Fund has posted an NAV total return of -10.45%, outperforming the Russell 1000(R) Financial Services Index return of -10.82%. Fund performance, relative to the broader market (Russell 1000(R) Index), was hurt by sub-prime mortgage concerns which roiled global credit markets toward the end of the period. The top three performing stocks in the Fund over the period ended July 31, 2007, by contribution to return, were Alliance Data Systems Corp., CBOT Holdings, Class A and Alleghany Corp. The worst-performing stocks, by percentage loss, were Radian Group, Inc., MGIC Investment Corp. and PMI Group (The), Inc. PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2007 SECTOR % OF NET ASSETS Financials 88.65% Information Technology 6.56 Industrials 4.10 Consumer Discretionary 1.13 Health Care 0.87 Net Other Assets and Liabilities (1.31) ------ Total 100.00% ====== TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2007 SECURITY % OF NET ASSETS IntercontinentalExchange, Inc. 1.16% Ryder System, Inc. 1.14 Dow Jones & Co., Inc. 1.13 Alliance Data Systems Corp. 1.12 United Rental, Inc. 1.12 TFS Financial Corp. 1.11 Jones Lang LaSalle, Inc. 1.10 MasterCard, Inc., Class A 1.10 Arch Capital Group Ltd. 1.09 A.G. Edwards, Inc. 1.08 ----- Total 11.15% ===== ---------- The StrataQuant(TM) Financials Index is a trademark of the AMEX and has been licensed for use by First Trust Portfolios L.P. The First Trust Financials AlphaDEX(TM) Fund is not sponsored, endorsed, sold or promoted by the AMEX and the AMEX makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(TM) Financials Index in connection with the trading of the Fund. Page 10 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FXO - FIRST TRUST FINANCIALS ALPHADEX(TM) FUND (CONTINUED) Growth of a $10,000 Initial Investment May 8, 2007 - July 31, 2007 [GRAPHIC OMITTED] EDGARIZATION OF DATA POINTS
------------------------------------------------------------------------------------------------------------------- First Trust StrataQuant(TM) Financials Financials Russell 1000(R) Russell 1000(R) AlphaDEX(TM) Fund Index Index Financial Services Index ------------------------------------------------------------------------------------------------------------------- 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $ 8,955 $ 8,986 $ 9,674 $ 8,918
Performance figures assume reinvestment of all dividend 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 is no guarantee of future results. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2007 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through July 31, 2007.
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS 5/10/07 - 7/31/07 19 0 0 0 NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS 5/10/07 - 7/31/07 38 0 0 0
Page 11 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FXH - FIRST TRUST HEALTH CARE ALPHADEX(TM) FUND The First Trust Health Care AlphaDEX(TM) 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(TM) Health Care Index (the "Health Care Index"). The Fund will normally invest at least 90% of its total assets in common stocks that comprise the Health Care Index. The Shares of the Fund are listed and trade on the AMEX under the ticker symbol "FXH." The Fund began trading on May 10, 2007. The Health Care Index is a modified equal-dollar weighted index designed by AMEX to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(TM) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (Russell 1000(R) Health Care Index). -------------------------------------------------------------------------------- Performance as of July 31, 2007 Since Fund Inception (May 8, 2007) FUND PERFORMANCE NAV -2.60% Market Price -2.50% INDEX PERFORMANCE Russell 1000(R) Index -3.26% StrataQuant(TM) Health Care Index -2.36% Russell 1000(R) Health Care Index -7.09% -------------------------------------------------------------------------------- (See Notes to Fund Performance Overview on page 36.) FUND RECAP. Since Fund inception (May 8, 2007), the Fund has posted an NAV total return of -2.60%, outperforming the Russell 1000(R) Health Care Index return of -7.09%. Fund performance was led by health care equipment and services firms, while performance was hurt by the Fund's pharmaceuticals and biotechnology holdings. The top three performing stocks in the Fund over the period ended July 31, 2007, by contribution to return, were Intuitive Surgical, Inc., Dade Behring Holdings, Inc. and Cytyc Corp. The worst-performing stocks, by percentage loss, were LifePoint Hospitals, Inc., ImClone Systems, Inc. and King Pharmaceuticals, Inc. PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2007 SECTOR % OF NET ASSETS Health Care 94.57% Industrials 1.95 Consumer Staples 1.74 Net Other Assets and Liabilities 1.74 ------ Total 100.00% ====== TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2007 SECURITY % OF NET ASSETS Intuitive Surgical, Inc. 2.77% WellCare Health Plans, Inc. 2.71 Humana, Inc. 2.55 Dade Behring Holdings, Inc. 2.54 Medco Health Solutions, Inc. 2.52 Express Scripts, Inc. 2.42 Cytyc Corp. 2.36 Manor Care, Inc. 2.35 Schering-Plough Corp. 2.27 Watson Pharmaceuticals, Inc. 2.26 ----- Total 24.75% ===== ---------- The StrataQuant(TM) Health Care Index is a trademark of the AMEX and has been licensed for use by First Trust Portfolios L.P. The First Trust Health Care AlphaDEX(TM) Fund is not sponsored, endorsed, sold or promoted by the AMEX and the AMEX makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(TM) Health Care Index in connection with the trading of the Fund. Page 12 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FXH - FIRST TRUST HEALTH CARE ALPHADEX(TM) FUND (CONTINUED) Growth of a $10,000 Initial Investment May 8, 2007 - July 31, 2007 [GRAPHIC OMITTED] EDGARIZATION OF DATA POINTS
------------------------------------------------------------------------------------------------------------------- First Trust StrataQuant(TM) Health Care Health Care Russell 1000(R) Russell 1000(R) AlphaDEX(TM) Fund Index Index Health Care Index ------------------------------------------------------------------------------------------------------------------- 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $ 9,740 $ 9,764 $ 9,674 $ 9,291
Performance figures assume reinvestment of all dividend 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 is no guarantee of future results. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2007 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through July 31, 2007.
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS 5/10/07 - 7/31/07 27 0 0 0 NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS 5/10/07 - 7/31/07 30 0 0 0
Page 13 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FXR - FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(TM) FUND The First Trust Industrials/Producer Durables AlphaDEX(TM) 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(TM) Industrials Index (the "Industrials Index"). The Fund will normally invest at least 90% of its total assets in common stocks that comprise the Industrials Index. The Shares of the Fund are listed and trade on the AMEX under the ticker symbol "FXR." The Fund began trading on May 10, 2007. The Industrials Index is a modified equal-dollar weighted index designed by the AMEX to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(TM) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (Russell 1000(R) Producer Durables Index). -------------------------------------------------------------------------------- Performance as of July 31, 2007 Since Fund Inception (May 8, 2007) FUND PERFORMANCE NAV -5.65% Market Price -5.40% INDEX PERFORMANCE Russell 1000(R) Index -3.26% StrataQuant(TM) Industrials Index -5.43% Russell 1000(R) Producer Durables Index 2.91% -------------------------------------------------------------------------------- (See Notes to Fund Performance Overview on page 36.) FUND RECAP. Since Fund inception (May 8, 2007), the Fund has posted an NAV total return of -5.65%, trailing the Russell 1000(R) Producer Durables Index return of 2.91%. Machinery and aerospace and defense companies were among the stronger performers in the Fund. Fund performance was hurt by an overweight position (relative to the benchmark) in homebuilders, which declined significantly over the period. The top three performing stocks in the Fund over the period ended July 31, 2007, by contribution to return, were Cummins, Inc., Varian Semiconductor Equipment Associates, Inc. and Flowserve Corp. The worst-performing stocks, by percentage loss, were Beazer Homes USA, Inc., D.R. Horton, Inc. and Toll Brothers, Inc. PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2007 SECTOR % OF NET ASSETS Industrials 66.51% Information Technology 15.94 Consumer Discretionary 15.83 Telecommunication Services 2.00 Net Other Assets and Liabilities (0.28) ------ Total 100.00% ====== TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2007 SECURITY % OF NET ASSETS Cummins, Inc. 4.06% Terex Corp. 3.67 General Cable Corp. 3.63 BE Aerospace, Inc. 3.40 Manitowoc (The) Co., Inc. 3.34 Varian Semiconductor Equipment Associates, Inc. 3.25 Kennametal, Inc. 3.23 Ryland Group (The), Inc. 3.08 Toll Brothers, Inc. 3.04 NVR, Inc. 2.94 ----- Total 33.64% ===== ---------- The StrataQuant(TM) Industrials Index is a trademark of the AMEX and has been licensed for use by First Trust Portfolios L.P. The First Trust Industrials/Producer Durables AlphaDEX(TM) Fund is not sponsored, endorsed, sold or promoted by the AMEX and the AMEX makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(TM) Industrials Index in connection with the trading of the Fund. Page 14 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FXR - FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(TM) FUND (CONTINUED) Growth of a $10,000 Initial Investment May 8, 2007 - July 31, 2007 [GRAPHIC OMITTED] EDGARIZATION OF DATA POINTS
------------------------------------------------------------------------------------------------------------------- First Trust Industrials/Producer StrataQuant(TM) Durables Industrials Russell 1000(R) Russell 1000(R) AlphaDEX(TM) Fund Index Index Producer Durables Index ------------------------------------------------------------------------------------------------------------------- 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $ 9,435 $ 9,457 $ 9,674 $10,291
Performance figures assume reinvestment of all dividend 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 is no guarantee of future results. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2007 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through July 31, 2007.
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS 5/10/07 - 7/31/07 40 1 0 0 NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS 5/10/07 - 7/31/07 16 0 0 0
Page 15 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FXZ - FIRST TRUST MATERIALS ALPHADEX(TM) FUND The First Trust Materials AlphaDEX(TM) 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(TM) Materials Index (the "Materials Index"). The Fund will normally invest at least 90% of its total assets in common stocks that comprise the Materials Index. The Shares of the Fund are listed and trade on the AMEX under the ticker symbol "FXZ." The Fund began trading on May 10, 2007. The Materials Index is a modified equal-dollar weighted index designed by the AMEX to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(TM) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (Russell 1000(R) Materials and Processing Index). -------------------------------------------------------------------------------- Performance as of July 31, 2007 Since Fund Inception (May 8, 2007) FUND PERFORMANCE NAV 0.85% Market Price 0.85% INDEX PERFORMANCE Russell 1000(R) Index -3.26% StrataQuant(TM) Materials Index 1.04% Russell 1000(R) Materials and Processing Index 1.21% -------------------------------------------------------------------------------- (See Notes to Fund Performance Overview on page 36.) FUND RECAP. Since Fund inception (May 8, 2007), the Fund has posted an NAV total return of 0.85%, trailing the Russell 1000(R) Materials and Processing Index return of 1.21%. Construction, engineering, chemicals and containers and packaging were among the portfolio leaders. Building products and materials and paper related stocks weighed on Fund performance. The top three performing stocks in the Fund over the period ended July 31, 2007, by contribution to return, were Southern Copper Corp., Owens-Illinois, Inc. and Freeport-McMoRan Copper & Gold, Inc. The worst-performing stocks, by percentage loss, were Reliance Steel & Aluminum Co., Nucor Corp. and American Standard Cos., Inc. PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2007 SECTOR % OF NET ASSETS Materials 65.98% Industrials 27.70 Consumer Staples 4.26 Net Other Assets and Liabilities 2.06 ------ Total 100.00% ====== TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2007 SECURITY % OF NET ASSETS Shaw Group (The), Inc. 3.26% Owens-Illinois, Inc. 3.24 Jacobs Engineering Group, Inc. 3.04 AK Steel Holding Corp. 3.03 McDermott International, Inc. 2.83 Celanese Corp., Series A 2.74 International Paper Co. 2.69 Reliance Steel & Aluminum Co. 2.65 Owens Corning, Inc. 2.57 Westlake Chemical Corp. 2.52 ----- Total 28.57% ===== ---------- The StrataQuant(TM) Materials Index is a trademark of the AMEX and has been licensed for use by First Trust Portfolios L.P. The First Trust Materials AlphaDEX(TM) Fund is not sponsored, endorsed, sold or promoted by the AMEX and the AMEX makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(TM) Materials Index in connection with the trading of the Fund. Page 16 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FXZ - FIRST TRUST MATERIALS ALPHADEX(TM) FUND (CONTINUED) Growth of a $10,000 Initial Investment May 8, 2007 - July 31, 2007 [GRAPHIC OMITTED] EDGARIZATION OF DATA POINTS
------------------------------------------------------------------------------------------------------------------- First Trust StrataQuant(TM) Materials Materials Russell 1000(R) Russell 1000(R) Materials AlphaDEX(TM) Fund Index Index and Processing Index ------------------------------------------------------------------------------------------------------------------- 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $10,085 $10,104 $ 9,674 $10,121
Performance figures assume reinvestment of all dividend 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 is no guarantee of future results. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2007 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through July 31, 2007.
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS 5/10/07 - 7/31/07 27 1 0 0 NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS 5/10/07 - 7/31/07 29 0 0 0
Page 17 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FXL - FIRST TRUST TECHNOLOGY ALPHADEX(TM) FUND The First Trust Technology AlphaDEX(TM) 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(TM) Technology Index (the "Technology Index"). The Fund will normally invest at least 90% of its total assets in common stocks that comprise the Technology Index. The Shares of the Fund are listed and trade on the AMEX under the ticker symbol "FXL." The Fund began trading on May 10, 2007. The Technology Index is a modified equal-dollar weighted index designed by the AMEX to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(TM) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (Russell 1000(R) Technology Index). -------------------------------------------------------------------------------- Performance as of July 31, 2007 Since Fund Inception (May 8, 2007) FUND PERFORMANCE NAV 2.35% Market Price 2.25% INDEX PERFORMANCE Russell 1000(R) Index -3.26% StrataQuant(TM) Technology Index 2.52% Russell 1000(R) Technology Index 2.26% -------------------------------------------------------------------------------- (See Notes to Fund Performance Overview on page 36.) FUND RECAP. Since Fund inception (May 8, 2007), the Fund has posted an NAV total return of 2.35%, slightly outperforming the Russell 1000(R) Technology Index return of 2.26%. Performance was led by computer and semiconductor related shares. Software and electronics held back Fund performance. The top three performing stocks in the Fund over the period ended July 31, 2007, by contribution to return, were Cree, Inc., Apple, Inc. and Avaya, Inc. The worst-performing stocks, by percentage loss, were Avnet, Inc., AVX Corp. and Vishay Intertechnology, Inc. PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2007 SECTOR % OF NET ASSETS Information Technology 89.43% Industrials 8.23 Consumer Discretionary 2.55 Health Care 0.96 Net Other Assets and Liabilities (1.17) ------ Total 100.00% ====== TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2007 SECURITY % OF NET ASSETS Garmin Ltd. 2.55% SunPower Corp., Class A 2.52 NVIDIA Corp. 2.49 Western Digital Corp. 2.48 Apple, Inc. 2.43 Cypress Semiconductor Corp. 2.42 Trimble Navigation Ltd. 2.31 EMC Corp. 2.30 ADC Telecommunications, Inc. 2.30 L-3 Communications Holdings, Inc. 2.26 ----- Total 24.06% ===== ---------- The StrataQuant(TM) Technology Index is a trademark of the AMEX and has been licensed for use by First Trust Portfolios L.P. The First Trust Technology AlphaDEX(TM) Fund is not sponsored, endorsed, sold or promoted by the AMEX and the AMEX makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(TM) Technology Index in connection with the trading of the Fund. Page 18 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FXL - FIRST TRUST TECHNOLOGY ALPHADEX(TM) FUND (CONTINUED) Growth of a $10,000 Initial Investment May 8, 2007 - July 31, 2007 [GRAPHIC OMITTED] EDGARIZATION OF DATA POINTS
------------------------------------------------------------------------------------------------------------------- First Trust StrataQuant(TM) Technology Technology Russell 1000(R) Russell 1000(R) AlphaDEX(TM) Fund Index Index Technology Index ------------------------------------------------------------------------------------------------------------------- 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $10,235 $10,252 $ 9,674 $10,226
Performance figures assume reinvestment of all dividend 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 is no guarantee of future results. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2007 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through July 31, 2007.
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS 5/10/07 - 7/31/07 23 1 0 0 NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS 5/10/07 - 7/31/07 33 0 0 0
Page 19 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FXU - FIRST TRUST UTILITIES ALPHADEX(TM) FUND The First Trust Utilities AlphaDEX(TM) 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(TM) Utilities Index (the "Utilities Index"). The Fund will normally invest at least 90% of its total assets in common stocks that comprise the Utilities Index. The Shares of the Fund are listed and trade on the AMEX under the ticker symbol "FXU." The Fund began trading on May 10, 2007. The Utilities Index is a modified equal-dollar weighted index designed by the AMEX to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(TM) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (Russell 1000(R) Utilities Index). -------------------------------------------------------------------------------- Performance as of July 31, 2007 Since Fund Inception (May 8, 2007) FUND PERFORMANCE NAV -8.15% Market Price -8.15% INDEX PERFORMANCE Russell 1000(R) Index -3.26% StrataQuant(TM) Utilities Index -7.95% Russell 1000(R) Utilities Index -4.22% -------------------------------------------------------------------------------- (See Notes to Fund Performance Overview on page 36.) FUND RECAP. Since Fund inception (May 8, 2007), the Fund has posted an NAV total return of -8.15%, underperforming the Russell 1000(R) Utilities Index retrun of -4.22%. Telecommunications stocks led Fund performance while electric and gas utilities hurt Fund performance. The top three performing stocks in the Fund over the period ended July 31, 2007, by contribution to return, were United States Cellular Corp., Leap Wireless International, Inc. and Telephone and Data Systems, Inc. The worst-performing stocks, by percentage loss, were Pinnacle West Capital Corp., NiSource, Inc. and Mirant Corp. PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2007 SECTOR % OF NET ASSETS Utilities 80.16% Telecommunication Services 17.38 Consumer Discretionary 3.11 Net Other Assets and Liabilities (0.65) ------ Total 100.00% ====== TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2007 SECURITY % OF NET ASSETS United States Cellular Corp. 3.39% Leap Wireless International, Inc. 3.31 Cablevision Systems Corp., Class A 3.11 Puget Energy, Inc. 3.03 Alliant Energy Corp. 3.01 Pinnacle West Capital Corp. 2.98 CenturyTel, Inc. 2.96 Atmos Energy Corp. 2.96 Duke Energy Corp. 2.95 NiSource, Inc. 2.92 ----- Total 30.62% ===== ---------- The StrataQuant(TM) Utilities Index is a trademark of the AMEX and has been licensed for use by First Trust Portfolios L.P. The First Trust Utilities AlphaDEX(TM) Fund is not sponsored, endorsed, sold or promoted by the AMEX and the AMEX makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(TM) Utilities Index in connection with the trading of the Fund. Page 20 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FXU - FIRST TRUST UTILITIES ALPHADEX(TM) FUND (CONTINUED) Growth of a $10,000 Initial Investment May 8, 2007 - July 31, 2007 [GRAPHIC OMITTED] EDGARIZATION OF DATA POINTS
------------------------------------------------------------------------------------------------------------------- First Trust StrataQuant(TM) Utilities Utilities Russell 1000(R) Russell 1000(R) AlphaDEX(TM) Fund Index Index Utilities Index ------------------------------------------------------------------------------------------------------------------- 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $ 9,185 $ 9,205 $ 9,674 $ 9,578
Performance figures assume reinvestment of all dividend 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 is no guarantee of future results. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2007 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through July 31, 2007.
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS 5/10/07 - 7/31/07 27 1 0 0 NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS 5/10/07 - 7/31/07 29 0 0 0
Page 21 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FEX - FIRST TRUST LARGE CAP CORE ALPHADEX(TM) FUND The First Trust Large Cap Core AlphaDEX(TM) 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 Defined Large Cap Core Index (the "Large Cap Core Index"). The Fund will normally invest at least 90% of its total assets in common stocks that comprise the Large Cap Core Index. The Shares of the Fund are listed and trade on the AMEX under the ticker symbol "FEX." The Fund began trading on May 10, 2007. The Large Cap Core Index is a modified equal-dollar weighted index designed by Standard & Poor's, a division of the McGraw-Hill Companies, Inc. ("S&P"), to objectively identify and select stocks from the S&P 500 Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(TM) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (S&P 500 Index). -------------------------------------------------------------------------------- Performance as of July 31, 2007 Since Fund Inception (May 8, 2007) FUND PERFORMANCE NAV -4.40% Market Price -4.43% INDEX PERFORMANCE S&P 500 Index -3.10% Defined Large Cap Core Index -4.21% -------------------------------------------------------------------------------- (See Notes to Fund Performance Overview on page 36.) FUND RECAP. Energy, industrials, and information technology, together comprising about 39% of the Fund's net assets, were the only sectors to post positive returns for the period ended July 31, 2007. Consumer discretionary and utility stocks had the most negative impact on the Fund's total return relative to its benchmark. The top three performing stocks in the Fund over the period ended July 31, 2007, by contribution to return, were Cummins, Inc., National Oilwell Varco, Inc. and Amazon.com, Inc. The worst-performing stocks, by percentage loss, were MGIC Investment Corp., American Standard Cos., Inc. and KB Home. PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2007 SECTOR % OF NET ASSETS Consumer Discretionary 16.32% Financials 14.54 Industrials 14.27 Information Technology 14.21 Energy 10.62 Utilities 9.20 Health Care 7.56 Materials 7.07 Consumer Staples 4.47 Telecommunication Services 2.09 Net Other Assets and Liabilities (0.35) ------ Total 100.00% ====== TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2007 SECURITY % OF NET ASSETS National Oilwell Varco, Inc. 0.54% Amazon.com, Inc. 0.54 Precision Castparts Corp. 0.53 Tyco International Ltd. 0.52 Schlumberger Ltd. 0.52 NVIDIA Corp. 0.52 Apple, Inc. 0.51 Terex Corp. 0.50 Noble Corp. 0.49 Smith International, Inc. 0.49 ---- Total 5.16% ==== ---------- The Defined Large Cap Core Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Large Cap Core 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 First Trust Large Cap Core AlphaDEX(TM) 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. Page 22 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FEX - FIRST TRUST LARGE CAP CORE ALPHADEX(TM) FUND (CONTINUED) Growth of a $10,000 Initial Investment May 8, 2007 - July 31, 2007 [GRAPHIC OMITTED] EDGARIZATION OF DATA POINTS
------------------------------------------------------------------------------- First Trust Large Cap Core Defined Large S&P 500 AlphaDEX(TM) Fund Cap Core Index Index ------------------------------------------------------------------------------- 5/8/2007 $10,000 $10,000 $10,000 7/31/2007 $ 9,560 $ 9,579 $ 9,690
Performance figures assume reinvestment of all dividend 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 is no guarantee of future results. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2007 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through July 31, 2007.
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS 5/10/07 - 7/31/07 18 1 0 0 NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS 5/10/07 - 7/31/07 38 0 0 0
Page 23 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FNX - FIRST TRUST MID CAP CORE ALPHADEX(TM) FUND The First Trust Mid Cap Core AlphaDEX(TM) 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 Defined Mid Cap Core Index (the "Mid Cap Core Index"). The Fund will normally invest at least 90% of its total assets in common stocks that comprise the Mid Cap Core Index. The Shares of the Fund are listed and trade on the AMEX under the ticker symbol "FNX." The Fund began trading on May 10, 2007. The Mid Cap Core Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P MidCap 400 Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(TM) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (S&P MidCap 400 Index). -------------------------------------------------------------------------------- Performance as of July 31, 2007 Since Fund Inception (May 8, 2007) FUND PERFORMANCE NAV -4.73% Market Price -4.77% INDEX PERFORMANCE Defined Mid Cap Core Index -4.60% S&P MidCap 400 Index -3.85% -------------------------------------------------------------------------------- (See Notes to Fund Performance Overview on page 36.) FUND RECAP. Energy and industrials were the only sectors to have positive performance over the period. An underweight position in financials, relative to its benchmark also benefited the Fund as it was the worst-performing sector for the period ended July 31, 2007. Consumer discretionary was the biggest detractor from Fund performance, relative to its benchmark, due to an overweight position in that sector. The top three performing stocks in the Fund over the period ended July 31, 2007, by contribution to return, were Intuitive Surgical, Inc., FMC Technologies, Inc. and GameStop Corp., Class A. The worst-performing stocks, by percentage loss, were Beazer Homes USA, Inc., Radian Group, Inc. and Kindred Healthcare, Inc. PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2007 SECTOR % OF NET ASSETS Industrials 17.60% Consumer Discretionary 17.11 Information Technology 15.15 Financials 10.08 Health Care 9.43 Utilities 9.19 Energy 8.79 Materials 7.29 Consumer Staples 3.80 Telecommunication Services 0.92 Net Other Assets and Liabilities 0.64 ------ Total 100.00% ====== TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2007 SECURITY % OF NET ASSETS Intuitive Surgical, Inc. 0.72% Modine Manufacturing Co. 0.67 WellCare Health Plans, Inc. 0.66 RF Micro Devices, Inc. 0.66 Cameron International Corp. 0.64 Ventana Medical Systems, Inc. 0.64 Cypress Semiconductor Corp. 0.63 Jacobs Engineering Group, Inc. 0.63 SPX Corp. 0.63 GameStop Corp., Class A 0.61 ---- Total 6.49% ==== ---------- The Defined Mid Cap Core Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Mid Cap Core 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 First Trust Mid Cap Core AlphaDEX(TM) 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. Page 24 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FNX - FIRST TRUST MID CAP CORE ALPHADEX(TM) FUND (CONTINUED) Growth of a $10,000 Initial Investment May 8, 2007 - July 31, 2007 [GRAPHIC OMITTED] EDGARIZATION OF DATA POINTS
------------------------------------------------------------------------------- First Trust Defined Mid Cap Core Mid Cap Core S&P Mid Cap AlphaDEX(TM) Fund Index 400 Index ------------------------------------------------------------------------------- 5/8/2007 $10,000 $10,000 $10,000 7/31/2007 $ 9,527 $ 9,540 $ 9,615
Performance figures assume reinvestment of all dividend 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 is no guarantee of future results. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2007 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through July 31, 2007.
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS 5/10/07 - 7/31/07 22 1 0 0 NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS 5/10/07 - 7/31/07 34 0 0 0
Page 25 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FYX - FIRST TRUST SMALL CAP CORE ALPHADEX(TM) FUND The First Trust Small Cap Core AlphaDEX(TM) 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 Defined Small Cap Core Index (the "Small Cap Core Index"). The Fund will normally invest at least 90% of its total assets in common stocks that comprise the Small Cap Core Index. The Shares of the Fund are listed and trade on the AMEX under the ticker symbol "FYX." The Fund began trading on May 10, 2007. The Small Cap Core Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P SmallCap 600 Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(TM) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (S&P SmallCap 600 Index). -------------------------------------------------------------------------------- Performance as of July 31, 2007 Since Fund Inception (May 8, 2007) FUND PERFORMANCE NAV -5.67% Market Price -5.77% INDEX PERFORMANCE Defined Small Cap Core Index -5.46% S&P SmallCap 600 Index -4.65% -------------------------------------------------------------------------------- (See Notes to Fund Performance Overview on page 36.) FUND RECAP. Telecommunication services and energy were the only two sectors to have positive returns over the period ended July 31, 2007. An underweight position in financials, relative to its benchmark, also benefited the Fund as it was the worst-performing sector for the period ended July 31, 2007. Consumer discretionary and industrials were the biggest detractors from Fund performance, relative to its benchmark, due to underperformance of the Fund's holdings in those sectors. The top three performing stocks in the Fund over the period ended July 31, 2007, by contribution to return, were Crocs, Inc., Penford Corp. and Blue Nile, Inc. The worst-performing stocks, by percentage loss, were Standard Motor Products, Inc., Finish Line (The), Inc., Class A and Advanced Energy Industries, Inc. PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2007 SECTOR % OF NET ASSETS Industrials 20.28% Information Technology 19.07 Consumer Discretionary 18.59 Financials 10.55 Health Care 9.69 Materials 7.71 Utilities 5.56 Energy 4.91 Consumer Staples 2.89 Telecommunication Services 0.32 Net Other Assets and Liabilities 0.43 ------ Total 100.00% ====== TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2007 SECURITY % OF NET ASSETS Crocs, Inc. 0.55% Penford Corp. 0.52 Option Care, Inc. 0.50 Blue Nile, Inc. 0.50 Chaparral Steel Co. 0.46 Triumph Group, Inc. 0.46 Keystone Automotive Industries, Inc. 0.45 Woodward Governor Co. 0.43 Hutchinson Technology, Inc. 0.42 Oceaneering International, Inc. 0.42 ---- Total 4.71% ==== ---------- The Defined Small Cap Core Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Small Cap Core 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 First Trust Small Cap Core AlphaDEX(TM) 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. Page 26 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FYX - FIRST TRUST SMALL CAP CORE ALPHADEX(TM) FUND (CONTINUED) Growth of a $10,000 Initial Investment May 8, 2007 - July 31, 2007 [GRAPHIC OMITTED] EDGARIZATION OF DATA POINTS
-------------------------------------------------------------------------------- First Trust Small Defined Small S&P SmallCap Cap Core Cap Core 600 AlphaDEX(TM) Fund Index Index -------------------------------------------------------------------------------- 5/8/2007 $10,000 $10,000 $10,000 7/31/2007 $ 9,433 $ 9,454 $ 9,535
Performance figures assume reinvestment of all dividend 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 is no guarantee of future results. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2007 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through July 31, 2007.
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS 5/10/07 - 7/31/07 24 0 1 0 NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS 5/10/07 - 7/31/07 32 0 0 0
Page 27 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FTA - FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(TM) FUND The First Trust Large Cap Value Opportunities AlphaDEX(TM) 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 Defined Large Cap Value Opportunities Index (the "Large Cap Value Index"). The Fund will normally invest at least 90% of its total assets in common stocks that comprise the Large Cap Value Index. The Shares of the Fund are listed and trade on the AMEX under the ticker symbol "FTA." The Fund began trading on May 10, 2007. The Large Cap Value Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P 500/Citigroup Value Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(TM) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (S&P 500/Citigroup Value Index). -------------------------------------------------------------------------------- Performance as of July 31, 2007 Since Fund Inception (May 8, 2007) FUND PERFORMANCE NAV -5.50% Market Price -5.30% INDEX PERFORMANCE S&P 500 Index -3.10% Defined Large Cap Value Opportunities Index -5.38% S&P 500/Citigroup Value Index -4.14% -------------------------------------------------------------------------------- (See Notes to Fund Performance Overview on page 36.) FUND RECAP. Energy and industrials were the two best-performing sectors over the period ended July 31, 2007 and biggest contributors to the Fund's return. A significantly underweight position in financials benefited the Fund as it was the worst-performing sector over the period ended July 31, 2007. Consumer discretionary was the biggest detractor to performance due to an overweight position and underperformance relative to its benchmark. An overweight position in utilities also hurt Fund performance. The top three performing stocks in the Fund over the period ended July 31, 2007, by contribution to return, were Cummins, Inc., Freeport-McMoRan Copper & Gold, Inc. and VeriSign, Inc. The worst-performing stocks, by percentage loss, were MGIC Investment Corp., KB Home and CIT Group, Inc. PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2007 SECTOR % OF NET ASSETS Financials 17.91% Consumer Discretionary 16.39 Utilities 14.28 Industrials 13.00 Information Technology 9.90 Materials 8.59 Energy 8.39 Consumer Staples 5.45 Telecommunication Services 3.67 Health Care 2.45 Net Other Assets and Liabilities (0.03) ------ Total 100.00% ====== TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2007 SECURITY % OF NET ASSETS Tyco International Ltd. 1.01% Hess Corp. 0.94 ConocoPhillips 0.93 Rowan Cos., Inc. 0.93 ADC Telecommunications, Inc. 0.92 Archer-Daniels-Midland Co. 0.92 Chevron Corp. 0.91 Ryder System, Inc. 0.91 Parker Hannifin Corp. 0.91 Novellus Systems, Inc. 0.91 ---- Total 9.29% ==== ---------- The Defined Large Cap Value Opportunities Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Large Cap Value Opportunities 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 First Trust Large Cap Value Opportunities AlphaDEX(TM) 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. Page 28 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FTA - FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(TM) FUND (CONTINUED) Growth of a $10,000 Initial Investment May 8, 2007 - July 31, 2007 [GRAPHIC OMITTED] EDGARIZATION OF DATA POINTS
------------------------------------------------------------------------------------------------------------------- First Trust Large Cap Defined Large Cap Value Opportunities Value Opportunities S&P 500 S&P 500/Citigroup AlphaDEX(TM) Fund Index Index Value Index ------------------------------------------------------------------------------------------------------------------- 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $ 9,450 $ 9,462 $ 9,690 $ 9,586
Performance figures assume reinvestment of all dividend 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 is no guarantee of future results. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2007 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through July 31, 2007.
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS 5/10/07 - 7/31/07 40 0 0 0 NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS 5/10/07 - 7/31/07 17 0 0 0
Page 29 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FTC - FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(TM) FUND The First Trust Large Cap Growth Opportunities AlphaDEX(TM) 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 Defined Large Cap Growth Opportunities Index (the "Large Cap Growth Index"). The Fund will normally invest at least 90% of its total assets in common stocks that comprise the Large Cap Growth Index. The Shares of the Fund are listed and trade on the AMEX under the ticker symbol "FTC." The Fund began trading on May 10, 2007. The Large Cap Growth Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P 500/Citigroup Growth Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(TM) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (S&P 500/Citigroup Growth Index). -------------------------------------------------------------------------------- Performance as of July 31, 2007 Since Fund Inception (May 8, 2007) FUND PERFORMANCE NAV -2.60% Market Price -2.43% INDEX PERFORMANCE S&P 500 Index -3.10% Defined Large Cap Growth Opportunities Index -2.43% S&P 500/Citigroup Growth Index -1.98% -------------------------------------------------------------------------------- (See Notes to Fund Performance Overview on page 36.) FUND RECAP. Energy was the best-performing sector in the Fund and had the largest contribution to return. The Fund also benefited from an underweight position in the health care sector, the second worst-performing sector over the period ended July 31, 2007. Information technology was the biggest detractor from performance, relative to its benchmark, due to an underweight position in the sector. The top three performing stocks in the Fund over the period ended July 31, 2007, by contribution to return, were National Oilwell Varco, Inc., Amazon.com, Inc. and Hilton Hotels Corp. The worst-performing stocks, by percentage loss, were American Standard Cos., Inc., Big Lots, Inc. and Sunoco, Inc. PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2007 SECTOR % OF NET ASSETS Information Technology 20.14% Consumer Discretionary 16.18 Industrials 15.67 Health Care 14.16 Energy 13.28 Financials 10.29 Materials 4.73 Utilities 2.94 Consumer Staples 2.64 Net Other Assets and Liabilities (0.03) ------ Total 100.00% ====== TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2007 SECURITY % OF NET ASSETS National Oilwell Varco, Inc. 1.14% Amazon.com, Inc. 1.14 Precision Castparts Corp. 1.12 Schlumberger Ltd. 1.10 NVIDIA Corp. 1.10 Apple, Inc. 1.07 Terex Corp. 1.05 Noble Corp. 1.04 Smith International, Inc. 1.04 Fluor Corp. 1.03 ----- Total 10.83% ===== ---------- The Defined Large Cap Growth Opportunities Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Large Cap Growth Opportunities 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 First Trust Large Cap Growth Opportunities AlphaDEX(TM) 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. Page 30 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FTC - FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(TM) FUND (CONTINUED) Growth of a $10,000 Initial Investment May 8, 2007 - July 31, 2007 [GRAPHIC OMITTED] EDGARIZATION OF DATA POINTS
------------------------------------------------------------------------------------------------------------------- First Trust Large Cap Defined Large Cap Growth Opportunities Growth Opportunities S&P 500 S&P 500/Citigroup AlphaDEX(TM) Fund Index Index Growth Index ------------------------------------------------------------------------------------------------------------------- 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $ 9,740 $ 9,757 $ 9,690 $ 9,802
Performance figures assume reinvestment of all dividend 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 is no guarantee of future results. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2007 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through July 31, 2007.
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS 5/10/07 - 7/31/07 37 1 0 0 NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS 5/10/07 - 7/31/07 19 0 0 0
Page 31 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FAB - FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND The First Trust Multi Cap Value AlphaDEX(TM) 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 Defined Multi Cap Value Index (the "Multi Cap Value Index"). The Fund will normally invest at least 90% of its total assets in common stocks that comprise the Multi Cap Value Index. The Shares of the Fund are listed and trade on the AMEX under the ticker symbol "FAB." The Fund began trading on May 10, 2007. The Multi Cap Value Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P Composite 1500/Citigroup Value Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(TM) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (S&P Composite 1500/Citigroup Value Index). -------------------------------------------------------------------------------- Performance as of July 31, 2007 Since Fund Inception (May 8, 2007) FUND PERFORMANCE NAV -6.83% Market Price -6.50% INDEX PERFORMANCE S&P Composite 1500 Index -3.22% Defined Multi Cap Value Index -6.66% S&P Composite 1500/Citigroup Value Index -4.33% -------------------------------------------------------------------------------- (See Notes to Fund Performance Overview on page 36.) FUND RECAP. Energy was the best-performing sector over the period ended July 31, 2007, followed by telecommunication services. A significantly underweight position in financials also benefited the Fund as it was the worst-performing sector over the period ended July 31, 2007. Consumer discretionary was the biggest detractor from Fund performance over the period ended July 31, 2007 due to an overweight position and underperformance of the Fund's holdings in that sector. The top three performing stocks in the Fund over the period ended July 31, 2007, by contribution to return, were Cummins, Inc., Penford Corp. and Freeport-McMoRan Copper & Gold, Inc. The worst-performing stocks, by percentage loss, were Beazer Homes USA, Inc., MGIC Investment Corp. and Radian Group, Inc. PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2007 SECTOR % OF NET ASSETS Financials 16.78% Consumer Discretionary 16.17 Utilities 14.43 Industrials 14.22 Information Technology 11.88 Materials 9.41 Energy 7.21 Consumer Staples 4.90 Health Care 2.91 Telecommunication Services 2.25 Net Other Assets and Liabilities (0.16) ------ Total 100.00% ====== TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2007 SECURITY % OF NET ASSETS Tyco International Ltd. 0.51% Hess Corp. 0.48 Rowan Cos., Inc. 0.47 ConocoPhillips 0.47 ADC Telecommunications, Inc. 0.47 Archer-Daniels Midland Co. 0.47 Chevron Corp. 0.46 Ryder System, Inc. 0.46 Parker Hannifin Corp. 0.46 Novellus System, Inc. 0.46 ---- Total 4.71% ==== ---------- The Defined Multi Cap Value Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Multi Cap Value 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 First Trust Multi Cap Value AlphaDEX(TM) 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. Page 32 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FAB - FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND (CONTINUED) Growth of a $10,000 Initial Investment May 8, 2007 - July 31, 2007 [GRAPHIC OMITTED] EDGARIZATION OF DATA POINTS
------------------------------------------------------------------------------------------------------------ First Trust Defined Multi Multi Cap Value Cap Value S&P Composite S&P Composite 1500/Citigroup AlphaDEX(TM) Fund Index 1500 Index Value Index ------------------------------------------------------------------------------------------------------------ 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $ 9,317 $ 9,334 $ 9,678 $ 9,567
Performance figures assume reinvestment of all dividend 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 is no guarantee of future results. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2007 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through July 31, 2007.
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS 5/10/07 - 7/31/07 39 0 0 0 NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS 5/10/07 - 7/31/07 18 0 0 0
Page 33 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FAD - FIRST TRUST MULTI CAP GROWTH ALPHADEX(TM) FUND The First Trust Multi Cap Growth AlphaDEX(TM) 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 Defined Multi Cap Growth Index (the "Multi Cap Growth Index"). The Fund will normally invest at least 90% of its total assets in common stocks that comprise the Multi Cap Growth Index. The Shares of the Fund are listed and trade on the AMEX under the ticker symbol "FAD." The Fund began trading on May 10, 2007. The Multi Cap Growth Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P Composite 1500/Citigroup Growth Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(TM) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark (S&P Composite 1500/Citigroup Growth Index). -------------------------------------------------------------------------------- Performance as of July 31, 2007 Since Fund Inception (May 8, 2007) FUND PERFORMANCE NAV -2.03% Market Price -1.90% INDEX PERFORMANCE S&P Composite 1500 Index -3.22% Defined Multi Cap Growth Index -1.82% S&P Composite 1500/Citigroup Growth Index -2.04% -------------------------------------------------------------------------------- (See Notes to Fund Performance Overview on page 36.) FUND RECAP. Energy was the best-performing sector in the Fund over the period ended July 31, 2007, followed by industrials. Health care was the biggest contributor to performance, relative to its benchmark, due to the outperformance of the Fund's holdings in the sector versus its benchmark. The consumer discretionary sector had the worst contribution to return due to an overweight position in that sector. An underweight position in information technology also held back Fund performance as it was the third best-performing sector over the period ended July 31, 2007. The top three performing stocks in the Fund over the period ended July 31, 2007, by contribution to return, were National Oilwell Varco, Inc., Intuitive Surgical, Inc. and Crocs, Inc. The worst-performing stocks, by percentage loss, were American Standard Cos., Inc., Big Lots, Inc. and Sunoco, Inc. PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2007 SECTOR % OF NET ASSETS Information Technology 20.28% Industrials 18.95 Consumer Discretionary 17.89 Health Care 15.15 Energy 11.27 Financials 7.17 Materials 4.41 Consumer Staples 2.52 Utilities 1.54 Telecommunication Services 0.26 Net Other Assets and Liabilities 0.56 ------ Total 100.00% ====== TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2007 SECURITY % OF NET ASSETS National Oilwell Varco, Inc. 0.57% Amazon.com, Inc. 0.57 Precision Castparts Corp. 0.56 Schlumberger Ltd. 0.55 NVIDIA Corp. 0.55 Apple, Inc. 0.54 Terex Corp. 0.53 Noble Corp. 0.52 Smith International, Inc. 0.52 Fluor Corp. 0.51 ---- Total 5.42% ==== ---------- The Defined Multi Cap Growth Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Multi Cap Growth 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 First Trust Multi Cap Growth AlphaDEX(TM) 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. Page 34 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FAD - FIRST TRUST MULTI CAP GROWTH ALPHADEX(TM) FUND (CONTINUED) Growth of a $10,000 Initial Investment May 8, 2007 - July 31, 2007 [GRAPHIC OMITTED] EDGARIZATION OF DATA POINTS
------------------------------------------------------------------------------------------------------------------- First Trust Multi Defined Multi Cap S&P S&P Composite Cap Growth Growth Composite 1500/Citigroup AlphaDEX(TM) Fund Index 1500 Index Growth Index ------------------------------------------------------------------------------------------------------------------- 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $ 9,797 $ 9,818 $ 9,678 $ 9,796
Performance figures assume reinvestment of all dividend 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 is no guarantee of future results. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2007 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through July 31, 2007.
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS 5/10/07 - 7/31/07 29 1 0 0 NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS 5/10/07 - 7/31/07 27 0 0 0
Page 35 -------------------------------------------------------------------------------- Notes to Fund Performance Overview -------------------------------------------------------------------------------- Total returns for the periods since inception are calculated from the inception date of each Fund. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the Advisor. The 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 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. Since shares of the Fund did not trade in the secondary market until after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund, the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that all dividend distributions have been reinvested in the Fund at NAV and Market Price, respectively. 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. 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 the Fund will vary with changes in market conditions. Shares of the Fund may be worth more or less than their original cost when they are redeemed or sold in the market. The Fund's past performance is no guarantee of future results. Page 36 First Trust Exchange-Traded AlphaDEX(TM) Fund Understanding Your Fund Expenses July 31, 2007 (Unaudited) As a shareholder of First Trust Consumer Discretionary AlphaDEX(TM) Fund, First Trust Consumer Staples AlphaDEX(TM) Fund, First Trust Energy AlphaDEX(TM) Fund, First Trust Financials AlphaDEX(TM) Fund, First Trust Health Care AlphaDEX(TM) Fund, First Trust Industrials/Producer Durables AlphaDEX(TM) Fund, First Trust Materials AlphaDEX(TM) Fund, First Trust Technology AlphaDEX(TM) Fund, First Trust Utilities AlphaDEX(TM) Fund, First Trust Large Cap Core AlphaDEX(TM) Fund, First Trust Mid Cap Core AlphaDEX(TM) Fund, First Trust Small Cap Core AlphaDEX(TM) Fund, First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund, First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund, First Trust Multi Cap Value AlphaDEX(TM) Fund, or First Trust Multi Cap Growth AlphaDEX(TM) Fund (collectively, the "Funds"), you incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, distribution and/or service fees, and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. The Hypothetical Example is based on an investment of $1,000 invested for the most recent fiscal half-year ended July 31, 2007. The Actual Example is based on an investment of $1,000 invested for the period since inception through July 31, 2007. 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 Period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line in the following table provides information about hypothetical account values and hypothetical expenses based on the Funds' actual expense ratios and an assumed rate of return of 5% per year before expenses, which are not the Funds' actual returns. 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 paid on purchases and sales of Fund shares. 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 PERIOD ACCOUNT VALUE ACCOUNT VALUE NUMBER OF DAYS MAY 8, 2007 (A) TO MAY 8, 2007 (A) JULY 31, 2007 IN THE PERIOD (B) JULY 31, 2007 (C) FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(TM) FUND Actual $1,000.00 $941.50 0.70% $1.58 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST CONSUMER STAPLES ALPHADEX(TM) FUND Actual $1,000.00 $955.50 0.70% $1.59 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST ENERGY ALPHADEX(TM) FUND Actual $1,000.00 $1,037.00 0.70% $1.66 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST FINANCIALS ALPHADEX(TM) FUND Actual $1,000.00 $895.50 0.70% $1.54 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST HEALTH CARE ALPHADEX(TM) FUND Actual $1,000.00 $974.00 0.70% $1.61 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 Page 37 First Trust Exchange-Traded AlphaDEX(TM) Fund Understanding Your Fund Expenses (Continued) July 31, 2007 (Unaudited) ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE PERIOD ACCOUNT VALUE ACCOUNT VALUE NUMBER OF DAYS MAY 8, 2007 (A) TO MAY 8, 2007 (A) JULY 31, 2007 IN THE PERIOD (B) JULY 31, 2007 (C) FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(TM) FUND Actual $1,000.00 $943.50 0.70% $1.58 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST MATERIALS ALPHADEX(TM) FUND Actual $1,000.00 $1,008.50 0.70% $1.64 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST TECHNOLOGY ALPHADEX(TM) FUND Actual $1,000.00 $1,023.50 0.70% $1.65 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST UTILITIES ALPHADEX(TM) FUND Actual $1,000.00 $918.50 0.70% $1.56 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST LARGE CAP CORE ALPHADEX(TM) FUND Actual $1,000.00 $956.00 0.70% $1.59 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST MID CAP CORE ALPHADEX(TM) FUND Actual $1,000.00 $952.70 0.70% $1.59 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST SMALL CAP CORE ALPHADEX(TM) FUND Actual $1,000.00 $943.30 0.70% $1.58 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(TM) FUND Actual $1,000.00 $945.00 0.70% $1.59 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(TM) FUND Actual $1,000.00 $974.00 0.70% $1.61 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND Actual $1,000.00 $931.70 0.70% $1.57 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 FIRST TRUST MULTI CAP GROWTH ALPHADEX(TM) FUND Actual $1,000.00 $979.70 0.70% $1.61 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
(a) Inception date. (b) These expense ratios reflect expense caps. (c) Actual expenses are equal to the annualized expense ratio of 0.70%, multiplied by the average account value over the period, multiplied by 85/365 (to reflect the actual period May 8, 2007 to July 31, 2007). Hypothetical expenses are assumed for the most recent fiscal half-year. Page 38 First Trust Consumer Discretionary AlphaDEX(TM) Fund Portfolio of Investments July 31, 2007 (Unaudited) SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCK--101.3% CHEMICALS--0.5% 189 International Flavors & Fragrances, Inc. $ 9,471 ------------- COMMERCIAL SERVICES & SUPPLIES--6.6% 1,098 Allied Waste Industries, Inc. (a) 14,131 77 Brink's (The) Co. 4,709 375 Cintas Corp. 13,710 322 Copart, Inc. (a) 9,061 781 Corrections Corp. of America (a) 22,533 267 Manpower, Inc. 21,106 340 R.R. Donnelley & Sons Co. 14,368 322 Republic Services, Inc. 10,288 378 Waste Management, Inc. 14,375 ------------- 124,281 ------------- DIVERSIFIED CONSUMER SERVICES--3.7% 253 Apollo Group, Inc., Class A (a) 14,955 292 Career Education Corp. (a) 8,667 210 ITT Educational Services, Inc. (a) 22,188 320 Laureate Education, Inc. (a) 19,731 94 Weight Watchers International, Inc. 4,561 ------------- 70,102 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--1.8% 290 CDW Corp. (a) 24,410 278 Dolby Laboratories, Inc., Class A (a) 9,246 ------------- 33,656 ------------- FOOD & STAPLES RETAILING--2.0% 273 BJ's Wholesale Club, Inc. (a) 9,271 253 Costco Wholesale Corp. 15,129 307 Wal-Mart Stores, Inc. 14,107 ------------- 38,507 ------------- HOTELS, RESTAURANTS & LEISURE--9.1% 935 Burger King Holdings, Inc. 22,711 404 Carnival Corp. 17,901 108 Darden Restaurants, Inc. 4,598 116 Harrah's Entertainment, Inc. 9,824 142 Hilton Hotels Corp. 6,278 90 International Speedway Corp., Class A 4,310 291 McDonald's Corp. 13,930 239 MGM MIRAGE, Inc. (a) 17,473 89 Orient-Express Hotels Ltd., Class A 4,134 410 Penn National Gaming, Inc. (a) 23,576 459 Royal Caribbean Cruises Ltd. 17,685 136 Scientific Games Corp., Class A (a) 4,666 55 Station Casinos, Inc. 4,759 272 Wyndham Worldwide Corp. (a) 9,153 301 Yum! Brands, Inc. 9,644 ------------- 170,642 ------------- HOUSEHOLD DURABLES--7.5% 112 Black & Decker (The) Corp. $ 9,696 169 Harman International Industries, Inc. 19,604 573 Jarden Corp. (a) 20,702 1,117 Leggett & Platt, Inc. 23,156 244 Mohawk Industries, Inc. (a) 21,962 94 Snap-on, Inc. 4,919 325 Stanley Works (The) 17,982 222 Whirlpool Corp. 22,669 ------------- 140,690 ------------- HOUSEHOLD PRODUCTS--0.5% 147 Kimberly-Clark Corp. 9,889 ------------- INTERNET & CATALOG RETAIL--3.8% 360 Amazon.com, Inc. (a) 28,274 162 Expedia, Inc. (a) 4,311 137 IAC/InterActiveCorp. (a) 3,937 1,103 Liberty Media Corp. - Interactive, Class A (a) 23,108 212 NutriSystem, Inc. (a) 11,813 ------------- 71,443 ------------- INTERNET SOFTWARE & SERVICES--2.6% 386 aQuantive, Inc. (a) 25,533 28 Google, Inc., Class A (a) 14,280 311 VeriSign, Inc. (a) 9,234 ------------- 49,047 ------------- IT SERVICES--2.6% 459 Accenture Ltd., Class A 19,337 813 Convergys Corp. (a) 15,488 462 Hewitt Associates, Inc., Class A (a) 13,823 ------------- 48,648 ------------- LEISURE EQUIPMENT & PRODUCTS --2.1% 627 Hasbro, Inc. 17,569 584 Mattel, Inc. 13,379 252 Pool Corp. 8,470 ------------- 39,418 ------------- MACHINERY--0.7% 251 Toro (The) Co. 14,111 ------------- MEDIA--19.1% 444 CBS Corp., Class B 14,084 202 Central European Media Enterprises Ltd., Class A (a) 18,681 126 Clear Channel Communications, Inc. 4,649 168 Clear Channel Outdoor Holdings, Inc., Class A (a) 4,612 545 CTC Media, Inc. (a) 13,314 206 DIRECTV Group (The), Inc. (a) 4,616 643 Discovery Holding Co., Class A (a) 15,252 216 E.W. Scripps (The) Co., Class A 8,850 See Notes to Financial Statements Page 39 First Trust Consumer Discretionary AlphaDEX(TM) Fund Portfolio of Investments (Continued) July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) MEDIA (CONTINUED) 341 EchoStar Communications Corp., Class A (a) $ 14,421 448 Gannett Co., Inc. 22,355 309 Getty Images, Inc. (a) 13,883 384 Harte-Hanks, Inc. 9,043 409 Hearst-Argyle Television, Inc. 8,589 558 Idearc, Inc. 19,368 408 John Wiley & Sons, Inc., Class A 17,254 600 Liberty Global, Inc., Class A (a) 25,159 973 McClatchy (The) Co., Class A 23,761 70 McGraw-Hill (The) Cos., Inc. 4,235 160 Meredith Corp. 9,038 465 News Corp., Class A 9,821 90 Omnicom Group, Inc. 4,668 449 Regal Entertainment Group, Class A 9,604 937 Time Warner, Inc. 18,047 670 Tribune Co. 18,733 114 Viacom, Inc., Class B (a) 4,366 606 Virgin Media, Inc. 15,053 577 Walt Disney (The) Co. 19,041 13 Washington Post (The) Co., Class B 10,280 ------------- 360,777 ------------- MULTILINE RETAIL--8.5% 670 Big Lots, Inc. (a) 17,326 686 Dillard's, Inc., Class A 20,505 566 Dollar Tree Stores, Inc. (a) 21,654 718 Family Dollar Stores, Inc. 21,267 67 Kohl's Corp. (a) 4,074 495 Macy's, Inc. 17,855 193 Nordstrom, Inc. 9,183 692 Saks, Inc. (a) 12,809 116 Sears Holdings Corp. (a) 15,868 310 Target Corp. 18,777 ------------- 159,318 ------------- PERSONAL PRODUCTS--1.3% 623 Alberto-Culver Co. 14,653 129 Avon Products, Inc. 4,645 105 Estee Lauder (The) Cos., Inc., Class A 4,727 ------------- 24,025 ------------- ROAD & RAIL--1.2% 693 Avis Budget Group, Inc. (a) 17,789 179 Hertz Global Holdings, Inc. (a) 4,008 ------------- 21,797 ------------- SPECIALTY RETAIL--19.1% 135 Abercrombie & Fitch Co., Class A 9,437 365 Advance Auto Parts, Inc. 12,691 695 AnnTaylor Stores Corp. (a) 21,837 878 AutoNation, Inc. (a) 17,103 108 Autozone, Inc. (a) 13,695 SPECIALTY RETAIL (CONTINUED) 512 Barnes & Noble, Inc. $ 17,178 580 CarMax, Inc. (a) 13,879 195 Chico's FAS, Inc. (a) 3,775 315 Circuit City Stores, Inc. 3,749 205 Coldwater Creek, Inc. (a) 4,036 339 Dick's Sporting Goods, Inc. (a) 19,062 1,130 Foot Locker, Inc. 20,973 630 GameStop Corp., Class A (a) 25,421 774 Gap (The), Inc. 13,313 513 Guess?, Inc. 24,362 501 Home Depot (The), Inc. 18,622 173 Limited Brands, Inc. 4,178 501 OfficeMax, Inc. 16,473 404 O'Reilly Automotive, Inc. (a) 13,457 694 Penske Automotive Group, Inc. 13,519 304 PetSmart, Inc. 9,828 743 RadioShack Corp. 18,672 154 Ross Stores, Inc. 4,455 464 Tiffany & Co. 22,388 173 TJX (The) Cos., Inc. 4,801 189 Tractor Supply Co. (a) 8,981 198 Urban Outfitters, Inc. (a) 3,972 ------------- 359,857 ------------- TEXTILES, APPAREL & LUXURY GOODS--6.9% 208 Coach, Inc. (a) 9,456 573 Crocs, Inc. (a) 33,990 660 Liz Claiborne, Inc. 23,192 254 NIKE, Inc., Class B 14,338 325 Phillips-Van Heusen Corp. 16,920 251 Polo Ralph Lauren Corp. 22,427 108 VF Corp. 9,265 ------------- 129,588 ------------- TRADING COMPANIES & DISTRIBUTORS --1.7% 235 Fastenal Co. 10,591 358 MSC Industrial Direct Co., Inc., Class A 18,005 79 WESCO International, Inc. (a) 4,230 ------------- 32,826 ------------- TOTAL INVESTMENTS--101.3% (Cost $2,023,036) 1,908,093 NET OTHER ASSETS AND LIABILITIES--(1.3%) (25,267) ------------- NET ASSETS--100.0% $ 1,882,826 ============= (a) Non-income producing security. Page 40 See Notes to Financial Statements First Trust Consumer Staples AlphaDEX(TM) Fund Portfolio of Investments July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCKS--100.8% BEVERAGES--25.2% 552 Anheuser-Busch Cos., Inc. $ 26,921 394 Brown-Forman Corp., Class B 26,177 551 Coca-Cola (The) Co. 28,713 5,537 Constellation Brands, Inc., Class A (a) 121,426 2,011 Hansen Natural Corp. (a) 81,546 1,818 Molson Coors Brewing Co., Class B 161,693 2,566 Pepsi Bottling Group (The), Inc. 85,858 6,842 PepsiAmericas, Inc. 189,319 ------------- 721,653 ------------- FOOD & STAPLES RETAILING--20.1% 4,779 Kroger (The) Co. 124,063 26,340 Rite Aid Corp. (a) 145,133 4,938 Safeway, Inc. 157,374 3,628 SUPERVALU, Inc. 151,179 ------------- 577,749 ------------- FOOD PRODUCTS--34.0% 1,732 Campbell Soup Co. 63,790 1,073 ConAgra Foods, Inc. 27,201 5,273 Dean Foods Co. (a) 151,703 11,056 Del Monte Foods Co. 128,249 1,151 General Mills, Inc. 64,019 3,599 Hormel Foods Corp. 123,878 1,056 J.M. Smucker (The) Co. 58,935 2,452 Kraft Foods, Inc., Class A 80,303 755 McCormick & Co., Inc. 25,791 1,656 Sara Lee Corp. 26,248 4,366 Smithfield Foods, Inc. (a) 135,607 1,563 Wm. Wrigley Jr. Co. 90,154 ------------- 975,878 ------------- HOUSEHOLD PRODUCTS--7.1% 1,783 Church & Dwight Co., Inc. 87,475 464 Clorox (The) Co. 28,053 1,412 Procter & Gamble (The) Co. 87,346 ------------- 202,874 ------------- PERSONAL PRODUCTS--2.4% 1,556 NBTY, Inc. (a) 67,748 ------------- TOBACCO--12.0% 958 Altria Group, Inc. $ 63,678 1,740 Loews Corp. - Carolina Group 131,875 1,326 Reynolds American, Inc. 81,111 1,252 UST, Inc. 67,045 ------------- 343,709 ------------- TOTAL INVESTMENTS--100.8% (Cost $3,048,199) 2,889,611 NET OTHER ASSETS AND LIABILITIES--(0.8%) (23,125) ------------- NET ASSETS--100.0% $ 2,866,486 ============= (a) Non-income producing security. See Notes to Financial Statements Page 41 First Trust Energy AlphaDEX(TM) Fund Portfolio of Investments July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCKS--100.5% ENERGY EQUIPMENT & SERVICES--39.1% 361 Baker Hughes, Inc. $ 28,537 1,272 Cameron International Corp. (a) 99,216 297 Diamond Offshore Drilling, Inc. 30,644 3,350 Dresser-Rand Group, Inc. (a) 124,285 1,491 ENSCO International, Inc. 91,055 382 FMC Technologies, Inc. (a) 34,961 6,167 Global Industries Ltd. (a) 159,726 421 GlobalSantaFe Corp. 30,190 563 Grant Prideco, Inc. (a) 31,584 4,670 Helmerich & Payne, Inc. 151,168 3,963 Nabors Industries Ltd. (a) 115,878 1,270 National Oilwell Varco, Inc. (a) 152,540 678 Noble Corp. 69,468 1,256 Oceaneering International, Inc. (a) 70,537 6,312 Patterson-UTI Energy, Inc. 144,545 1,767 Pride International, Inc. (a) 61,933 1,613 Rowan Cos., Inc. 68,052 779 Schlumberger Ltd. 73,787 1,417 SEACOR Holdings, Inc. (a) 123,591 1,552 Smith International, Inc. 95,308 759 Superior Energy Services, Inc. (a) 30,603 623 Transocean, Inc. (a) 66,941 2,628 Unit Corp. (a) 144,698 548 Weatherford International Ltd. (a) 30,321 ------------- 2,029,568 ------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS--2.4% 3,184 NRG Energy, Inc. (a) 122,743 ------------- OIL, GAS & CONSUMABLE FUELS--59.0% 1,749 Anadarko Petroleum Corp. 88,027 1,622 Apache Corp. 131,122 3,823 Chesapeake Energy Corp. 130,135 1,571 Chevron Corp. 133,943 4,198 Cimarex Energy Co. 158,894 2,108 ConocoPhillips 170,411 10,336 Continental Resources, Inc. (a) 162,585 809 Denbury Resources, Inc. (a) 32,360 1,161 Devon Energy Corp. 86,622 905 EOG Resources, Inc. 63,441 789 Exxon Mobil Corp. 67,168 2,154 Forest Oil Corp. (a) 87,172 2,079 Frontier Oil Corp. 80,520 2,280 Helix Energy Solutions Group, Inc. (a) 88,806 1,542 Hess Corp. 94,370 2,230 Holly Corp. 150,280 2,206 Marathon Oil Corp. 121,771 511 Murphy Oil Corp. 31,702 1,452 Newfield Exploration Co. (a) 69,769 487 Noble Energy, Inc. 29,775 2,286 Occidental Petroleum Corp. 129,662 623 Pioneer Natural Resources Co. 28,347 3,460 Plains Exploration & Production Co. (a) 149,507 2,606 Pogo Producing Co. 138,796 OIL, GAS & CONSUMABLE FUELS (CONTINUED) 809 Range Resources Corp. $ 30,046 2,485 St. Mary Land & Exploration Co. 82,726 829 Sunoco, Inc. 55,311 1,592 Tesoro Corp. 79,282 2,240 Valero Energy Corp. 150,102 3,250 W&T Offshore, Inc. 76,115 2,862 Western Refining, Inc. 158,841 ------------- 3,057,608 ------------- TOTAL INVESTMENTS--100.5% (Cost $5,463,172) 5,209,919 NET OTHER ASSETS AND LIABILITIES--(0.5%) (25,432) ------------- NET ASSETS--100.0% $ 5,184,487 ============= (a) Non-income producing security. Page 42 See Notes to Financial Statements First Trust Financials AlphaDEX(TM) Fund Portfolio of Investments July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCKS--101.3% CAPITAL MARKETS--14.7% 240 A.G. Edwards, Inc. $ 19,406 122 Affiliated Managers Group, Inc. (a) 13,786 381 Allied Capital Corp. 10,790 477 American Capital Strategies Ltd. 18,112 112 Bear Stearns (The) Cos., Inc. 13,577 25 BlackRock, Inc. 3,988 201 Charles Schwab (The) Corp. 4,046 178 E*TRADE Financial Corp. (a) 3,297 356 Eaton Vance Corp. 14,902 103 Federated Investors, Inc., Class B 3,709 89 Franklin Resources, Inc. 11,336 73 Goldman Sachs Group (The), Inc. 13,749 91 Investment Technology Group, Inc. (a) 3,636 565 Janus Capital Group, Inc. 16,984 146 Jefferies Group, Inc. 3,835 120 Legg Mason, Inc. 10,800 104 Lehman Brothers Holdings, Inc. 6,448 141 Merrill Lynch & Co., Inc. 10,462 188 Morgan Stanley 12,008 123 Northern Trust Corp. 7,683 253 Nuveen Investments, Inc. 15,468 127 Raymond James Financial, Inc. 3,895 135 SEI Investments Co. 3,680 115 State Street Corp. 7,708 227 T. Rowe Price Group, Inc. 11,834 1,014 TD Ameritrade Holding Corp. (a) 17,187 ------------- 262,326 ------------- COMMERCIAL BANKS--13.5% 241 Associated Banc-Corp. 6,926 322 BancorpSouth, Inc. 7,519 193 BB&T Corp. 7,222 74 BOK Financial Corp. 3,701 52 City National Corp. 3,681 315 Colonial BancGroup (The), Inc. 6,870 132 Comerica, Inc. 6,951 213 Commerce Bancorp, Inc. 7,125 174 Commerce Bancshares, Inc. 7,734 74 Cullen/Frost Bankers, Inc. 3,676 101 East West Bancorp, Inc. 3,703 61 First Citizens BancShares, Inc., Class A 10,960 101 First Horizon National Corp. 3,204 546 Fulton Financial Corp. 7,218 519 Huntington Bancshares, Inc. 9,965 344 KeyCorp 11,933 74 M&T Bank Corp. 7,865 165 Marshall & Ilsley Corp. 6,800 472 National City Corp. 13,872 220 PNC Financial Services Group, Inc. 14,664 735 Popular, Inc. 9,695 238 Regions Financial Corp. 7,157 92 SunTrust Banks, Inc. 7,204 128 Synovus Financial Corp. 3,579 142 TCF Financial Corp. 3,492 COMMERCIAL BANKS (CONTINUED) 119 U.S. Bancorp $ 3,564 198 UnionBanCal Corp. 10,941 175 Valley National Bancorp 3,705 230 Wachovia Corp. 10,858 184 Webster Financial Corp. 7,997 224 Wells Fargo & Co. 7,564 261 Whitney Holding Corp. 6,522 102 Zions Bancorporation 7,604 ------------- 241,471 ------------- COMMERCIAL SERVICES & SUPPLIES --1.2% 115 Dun & Bradstreet (The) Corp. 11,243 266 Equifax, Inc. 10,762 ------------- 22,005 ------------- CONSUMER FINANCE--2.6% 129 American Express Co. 7,552 593 AmeriCredit Corp. (a) 12,062 150 Capital One Financial Corp. 10,614 273 SLM Corp. (a) 13,423 19 Student Loan (The) Corp. 3,534 ------------- 47,185 ------------- DIVERSIFIED FINANCIAL SERVICES --3.9% 241 Bank of America Corp. 11,428 287 CIT Group, Inc. 11,819 153 Citigroup, Inc. 7,125 7 CME Group, Inc. 3,868 137 IntercontinentalExchange, Inc. (a) 20,704 244 JPMorgan Chase & Co. 10,738 132 Nasdaq Stock Market, Inc. (a) 4,062 ------------- 69,744 ------------- HEALTH CARE PROVIDERS & SERVICES--0.9% 301 CIGNA Corp. 15,544 ------------- INSURANCE--39.4% 324 ACE Ltd. 18,701 77 AFLAC, Inc. 4,013 39 Alleghany Corp. (a) 16,380 396 Allied World Assurance Holdings Ltd. 18,790 256 Allstate (The) Corp. 13,606 181 Ambac Financial Group, Inc. 12,154 461 American Financial Group, Inc. 12,949 169 American International Group, Inc. 10,846 52 American National Insurance Co. 7,776 92 Aon Corp. 3,684 279 Arch Capital Group Ltd. (a) 19,435 141 Arthur J. Gallagher & Co. 3,889 200 Assurant, Inc. 10,144 499 Axis Capital Holdings Ltd. 18,388 374 Chubb (The) Corp. 18,853 See Notes to Financial Statements Page 43 First Trust Financials AlphaDEX(TM) Fund Portfolio of Investments (Continued) July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 363 Cincinnati Financial Corp. $ 14,230 330 CNA Financial Corp. 13,702 753 Conseco, Inc. (a) 13,697 506 Endurance Specialty Holdings Ltd. 18,924 146 Erie Indemnity Co., Class A 7,539 187 Everest Re Group, Ltd. 18,373 855 Fidelity National Financial, Inc., Class A 17,861 318 First American Corp. 14,720 343 Genworth Financial, Inc., Class A 10,468 242 Hanover Insurance Group, Inc. 10,621 120 Hartford Financial Services Group (The), Inc. 11,024 471 HCC Insurance Holdings, Inc. 13,791 111 Lincoln National Corp. 6,696 309 Loews Corp. 14,647 24 Markel Corp. (a) 11,172 255 Marsh & McLennan Cos., Inc. 7,025 253 MBIA, Inc. 14,193 286 Mercury General Corp. 14,809 122 MetLife, Inc. 7,347 124 Nationwide Financial Services, Class A 7,057 740 Old Republic International Corp. 13,586 621 OneBeacon Insurance Group Ltd. 14,345 262 PartnerRe Ltd. 18,610 485 Philadelphia Consolidated Holding Corp. (a) 17,528 68 Principal Financial Group, Inc. 3,835 658 Progressive (The) Corp. 13,805 247 Protective Life Corp. 10,626 121 Prudential Financial, Inc. 10,724 196 Reinsurance Group of America, Inc. 10,449 327 RenaissanceRe Holdings Ltd. 18,803 326 SAFECO Corp. 19,061 150 StanCorp Financial Group, Inc. 7,044 176 Torchmark Corp. 10,831 166 Transatlantic Holdings, Inc. 12,143 379 Travelers (The) Cos., Inc. 19,246 320 Unitrin, Inc. 13,562 301 Unum Group 7,314 26 White Mountains Insurance Group Ltd. 14,287 623 W.R. Berkley Corp. 18,329 187 XL Capital Ltd., Class A 14,560 ------------- 706,192 ------------- IT SERVICES--5.5% 262 Alliance Data Systems Corp. (a) 20,122 196 CheckFree Corp. (a) 7,221 99 DST Systems, Inc. (a) 7,511 373 Fidelity National Information Services, Inc. 18,512 241 First Data Corp. 7,661 IT SERVICES (CONTINUED) 208 Fiserv, Inc. (a) $ 10,279 122 MasterCard, Inc., Class A 19,618 133 Total System Services, Inc. 3,741 189 Western Union Co. 3,771 ------------- 98,436 ------------- MEDIA--1.1% 353 Dow Jones & Co., Inc. 20,255 ------------- REAL ESTATE INVESTMENT TRUSTS --5.0% 273 Annaly Capital Management, Inc. 3,945 198 Boston Properties, Inc. 18,709 160 CapitalSource, Inc. 3,040 556 Colonial Properties Trust 19,233 95 Hospitality Properties Trust 3,644 1,135 HRPT Properties Trust 10,612 89 iStar Financial, Inc. 3,233 69 ProLogis 3,926 262 Rayonier, Inc. 11,093 451 Thornburg Mortgage, Inc. 11,464 ------------- 88,899 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT--1.9% 431 CB Richard Ellis Group, Inc., Class A (a) 15,051 179 Jones Lang LaSalle, Inc. 19,650 ------------- 34,701 ------------- ROAD & RAIL--1.1% 377 Ryder System, Inc. 20,497 ------------- SOFTWARE--1.1% 173 FactSet Research Systems, Inc. 11,416 196 Fair Isaac Corp. 7,695 ------------- 19,111 ------------- THRIFTS & MORTGAGE FINANCE --7.7% 157 Astoria Financial Corp. 3,697 433 Countrywide Financial Corp. 12,198 120 Fannie Mae 7,181 334 Freddie Mac 19,128 695 IndyMac Bancorp, Inc. 15,290 356 MGIC Investment Corp. 13,763 231 New York Community Bancorp, Inc. 3,749 454 PMI Group (The), Inc. 15,468 375 Radian Group, Inc. 12,641 1,757 TFS Financial Corp. (a) 19,959 162 Washington Federal, Inc. 3,650 277 Washington Mutual, Inc. 10,396 ------------- 137,120 ------------- Page 44 See Notes to Financial Statements First Trust Financials AlphaDEX(TM) Fund Portfolio of Investments (Continued) July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) TRADING COMPANIES & DISTRIBUTORS --1.7% 240 GATX Corp. $ 10,886 623 United Rentals, Inc. (a) 20,024 ------------- 30,910 ------------- TOTAL INVESTMENTS--101.3% (Cost $2,026,884) 1,814,396 NET OTHER ASSETS AND LIABILITIES--(1.3%) (23,435) ------------- NET ASSETS--100.0% $ 1,790,961 ============= (a) Non-income producing security. See Notes to Financial Statements Page 45 First Trust Health Care AlphaDEX(TM) Fund Portfolio of Investments July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCKS--98.3% BIOTECHNOLOGY--8.9% 318 Amgen, Inc. (a) $ 17,089 214 Amylin Pharmaceuticals, Inc. (a) 9,953 329 Biogen Idec, Inc. (a) 18,602 307 Celgene Corp. (a) 18,592 586 Cephalon, Inc. (a) 44,031 137 Genzyme Corp. (a) 8,641 729 Gilead Sciences, Inc. (a) 27,141 1,214 PDL BioPharma, Inc. (a) 28,517 ------------- 172,566 ------------- COMMERCIAL SERVICES & SUPPLIES --2.0% 792 Stericycle, Inc. (a) 37,968 ------------- FOOD & STAPLES RETAILING--1.7% 965 CVS Caremark Corp. 33,958 ------------- HEALTH CARE EQUIPMENT & SUPPLIES --22.3% 679 Bausch & Lomb, Inc. 43,408 502 Baxter International, Inc. 26,405 136 Beckman Coulter, Inc. 9,632 192 Biomet, Inc. (a) 8,742 330 Cooper Cos. (The), Inc. 16,543 1,093 Cytyc Corp. (a) 46,015 662 Dade Behring Holdings, Inc. 49,551 920 DENTSPLY International, Inc. 33,571 291 Gen-Probe, Inc. (a) 18,336 299 IDEXX Laboratories, Inc. (a) 29,978 254 Intuitive Surgical, Inc. (a) 54,003 544 Kinetic Concepts, Inc. (a) 33,445 413 Respironics, Inc. (a) 18,895 682 St. Jude Medical, Inc. (a) 29,421 139 Stryker Corp. 8,678 104 Zimmer Holdings, Inc. (a) 8,087 ------------- 434,710 ------------- HEALTH CARE PROVIDERS & SERVICES --37.6% 712 Aetna, Inc. 34,226 572 AmerisourceBergen Corp. 26,947 193 Brookdale Senior Living, Inc. 7,722 249 Cardinal Health, Inc. 16,367 870 Community Health Systems, Inc. (a) 33,843 610 Coventry Health Care, Inc. (a) 34,044 327 DaVita, Inc. (a) 17,311 942 Express Scripts, Inc. (a) 47,222 333 Health Net, Inc. (a) 16,497 329 Henry Schein, Inc. (a) 17,878 774 Humana, Inc. (a) 49,606 225 Laboratory Corp. of America Holdings (a) 16,616 1,218 LifePoint Hospitals, Inc. (a) 35,992 221 Lincare Holdings, Inc. (a) 7,887 722 Manor Care, Inc. 45,739 HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 590 McKesson Corp. $ 34,078 604 Medco Health Solutions, Inc. (a) 49,087 244 Omnicare, Inc. 8,091 236 Patterson Cos., Inc. (a) 8,465 160 Pediatrix Medical Group, Inc. (a) 8,634 681 Quest Diagnostics, Inc. 37,775 423 Sierra Health Services, Inc. (a) 17,191 344 UnitedHealth Group, Inc. 16,660 766 Universal Health Services, Inc., Class B 40,169 467 VCA Antech, Inc. (a) 18,372 521 WellCare Health Plans, Inc. (a) 52,757 441 WellPoint, Inc. (a) 33,128 ------------- 732,304 ------------- HEALTH CARE TECHNOLOGY--3.0% 634 Cerner Corp. (a) 33,520 880 IMS Health, Inc. 24,754 ------------- 58,274 ------------- LIFE SCIENCES TOOLS & SERVICES--9.3% 682 Charles River Laboratories International, Inc. (a) 34,905 412 Covance, Inc. (a) 29,075 383 Invitrogen Corp. (a) 27,499 377 Millipore Corp. (a) 29,636 739 Pharmaceutical Product Development, Inc. 24,757 680 Thermo Fisher Scientific, Inc. (a) 35,502 ------------- 181,374 ------------- PHARMACEUTICALS--13.5% 153 Allergan, Inc. 8,894 175 Barr Pharmaceuticals, Inc. (a) 8,964 279 Bristol-Myers Squibb Co. 7,926 257 Endo Pharmaceuticals Holdings, Inc. (a) 8,741 459 Johnson & Johnson 27,770 2,304 King Pharmaceuticals, Inc. (a) 39,191 353 Merck & Co., Inc. 17,526 1,376 Pfizer, Inc. 32,350 1,548 Schering-Plough Corp. 44,179 1,449 Watson Pharmaceuticals, Inc. (a) 44,079 493 Wyeth 23,920 ------------- 263,540 ------------- TOTAL INVESTMENTS--98.3% (Cost $1,939,767) 1,914,694 NET OTHER ASSETS AND LIABILITIES--1.7% 33,838 ------------- NET ASSETS--100.0% $ 1,948,532 ============= (a) Non-income producing security. Page 46 See Notes to Financial Statements First Trust Industrials/Producer Durables AlphaDEX(TM) Fund Portfolio of Investments July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCKS--100.3% AEROSPACE & DEFENSE--12.2% 1,318 Alliant Techsystems, Inc. (a) $ 130,627 3,950 BE Aerospace, Inc. (a) 160,213 310 Boeing (The), Co. 32,063 2,191 Goodrich Corp. 137,836 1,143 Northrop Grumman Corp. 86,982 417 United Technologies Corp. 30,428 ------------- 578,149 ------------- COMMERCIAL SERVICES & SUPPLIES--1.9% 2,647 Covanta Holding Corp. (a) 60,034 1,604 Steelcase, Inc., Class A 27,926 ------------- 87,960 ------------- COMPUTERS & PERIPHERALS--2.5% 1,252 Diebold, Inc. 63,439 1,323 Lexmark International, Inc., Class A (a) 52,311 ------------- 115,750 ------------- ELECTRICAL EQUIPMENT--10.8% 2,245 AMETEK, Inc. 87,600 1,559 Cooper Industries Ltd., Class A 82,502 2,155 General Cable Corp. (a) 171,322 1,203 Hubbell, Inc., Class B 69,353 521 Roper Industries, Inc. 31,250 1,127 Thomas & Betts Corp. (a) 69,649 ------------- 511,676 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--3.8% 682 Mettler-Toledo International, Inc. (a) 64,899 2,967 Molex, Inc. 84,085 878 Tektronix, Inc. 28,842 ------------- 177,826 ------------- HOUSEHOLD DURABLES--15.8% 8,189 D.R. Horton, Inc. 133,644 3,317 KB Home 105,514 1,785 Lennar Corp., Class A 54,728 240 NVR, Inc. (a) 138,835 1,323 Pulte Homes, Inc. 25,587 4,366 Ryland Group (The), Inc. 145,169 6,535 Toll Brothers, Inc. (a) 143,313 ------------- 746,790 ------------- MACHINERY--39.8% 3,007 AGCO Corp. (a 115,559 1,137 Caterpillar, Inc. 89,596 652 Crane Co. 29,901 1,613 Cummins, Inc. 191,463 737 Deere & Co. 88,750 1,824 Flowserve Corp. 131,820 2,091 Gardner Denver, Inc. (a) 86,965 2,310 IDEX Corp. 83,645 MACHINERY (CONTINUED) 1,204 Illinois Tool Works, Inc. $ 66,280 2,381 Ingersoll-Rand Co., Ltd., Class A 119,812 1,118 Joy Global, Inc. 55,330 1,990 Kennametal, Inc. 152,553 1,759 Lincoln Electric Holdings, Inc. 126,630 2,030 Manitowoc (The) Co., Inc. 157,670 2,838 Pall Corp. 117,834 908 Parker Hannifin Corp. 89,601 2,009 Terex Corp. (a) 173,276 ------------- 1,876,685 ------------- OFFICE ELECTRONICS--1.8% 4,817 Xerox Corp. (a) 84,105 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--7.9% 1,493 Applied Materials, Inc. 32,906 541 KLA-Tencor Corp. 30,723 4,601 Novellus Systems, Inc. (a) 131,221 1,689 Teradyne, Inc. (a) 26,500 3,258 Varian Semiconductor Equipment Associates, Inc. (a) 153,126 ------------- 374,476 ------------- TRADING COMPANIES & DISTRIBUTORS --1.8% 957 W.W. Grainger, Inc. 83,604 ------------- WIRELESS TELECOMMUNICATION SERVICES--2.0% 707 American Tower Corp., Class A (a) 29,454 1,944 SBA Communications Corp. (a) 64,774 ------------- 94,228 ------------- TOTAL INVESTMENTS--100.3% (Cost $4,997,436) 4,731,249 NET OTHER ASSETS AND LIABILITIES--(0.3%) (12,930) ------------- NET ASSETS--100.0% $ 4,718,319 ============= (a) Non-income producing security. See Notes to Financial Statements Page 47 First Trust Materials AlphaDEX(TM) Fund Portfolio of Investments July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCK--97.9% AEROSPACE & DEFENSE--2.4% 522 Precision Castparts Corp. $ 71,545 ------------- BUILDING PRODUCTS--9.0% 806 American Standard Cos., Inc. 43,564 1,711 Armstrong World Industries, Inc. (a) 74,121 926 Lennox International, Inc. 35,466 2,551 Owens Corning, Inc. (a) 77,627 969 USG Corp. (a) 40,223 ------------- 271,001 ------------- CHEMICALS--25.8% 394 Air Products and Chemicals, Inc. 34,030 992 Airgas, Inc. 46,327 248 Ashland, Inc. 15,143 664 Cabot Corp. 26,812 2,213 Celanese Corp., Class A 82,989 2,852 Chemtura Corp. 29,746 745 Cytec Industries, Inc. 49,908 1,075 Dow Chemical (The) Co. 46,741 312 E.I. du Pont de Nemours and Co. 14,580 739 Eastman Chemical Co. 50,858 982 Lubrizol (The) Corp. 61,532 704 Monsanto Co. 45,373 1,218 Mosaic (The) Co. (a) 45,748 1,731 Nalco Holding Co. 39,882 208 PPG Industries, Inc. 15,864 220 Praxair, Inc. 16,856 579 Rohm and Haas Co. 32,725 685 RPM International, Inc. 16,104 371 Sigma-Aldrich Corp. 16,814 558 Valspar (The) Corp. 15,395 3,051 Westlake Chemical Corp. 76,214 ------------- 779,641 ------------- CONSTRUCTION & ENGINEERING--10.9% 427 Fluor Corp. 49,323 1,492 Jacobs Engineering Group, Inc. (a) 91,952 2,066 Quanta Services, Inc. (a) 58,736 1,854 Shaw Group (The), Inc. (a) 98,670 653 URS Corp. (a) 32,167 ------------- 330,848 ------------- CONSTRUCTION MATERIALS--1.3% 293 Martin Marietta Materials, Inc. 40,141 ------------- CONTAINERS & PACKAGING--9.1% 1,192 Ball Corp. 61,114 955 Bemis Co., Inc. 28,144 1,269 Crown Holdings, Inc. (a) 31,167 2,452 Owens-Illinois, Inc. (a) 98,030 626 Packaging Corp. of America 15,976 1,021 Sealed Air Corp. 27,822 370 Sonoco Products Co. 13,568 ------------- 275,821 ------------- FOOD PRODUCTS--2.7% 1,436 Archer-Daniels-Midland Co. $ 48,250 187 Bunge Ltd. 16,944 349 Corn Products International, Inc. 15,572 ------------- 80,766 ------------- HOUSEHOLD PRODUCTS--1.6% 477 Energizer Holdings, Inc. (a) 48,129 ------------- INDUSTRIAL CONGLOMERATES--2.8% 1,032 McDermott International, Inc. (a) 85,594 ------------- MACHINERY--2.6% 1,219 Harsco Corp. 64,192 439 Timken (The) Co. 14,663 ------------- 78,855 ------------- METALS & MINING--26.1% 2,296 AK Steel Holding Corp. (a) 91,770 782 Alcoa, Inc. 29,872 302 Allegheny Technologies, Inc. 31,689 243 Carpenter Technology Corp. 28,842 882 Chaparral Steel Co. 74,123 816 Cleveland-Cliffs, Inc. 56,524 1,876 Commercial Metals Co. 57,856 765 Freeport-McMoRan Copper & Gold, Inc. 71,895 406 Newmont Mining Corp. 16,951 1,080 Nucor Corp. 54,216 1,525 Reliance Steel & Aluminum Co. 80,124 672 Southern Copper Corp. 75,741 1,512 Steel Dynamics, Inc. 63,398 583 United States Steel Corp. 57,303 ------------- 790,304 ------------- PAPER & FOREST PRODUCTS--3.6% 2,197 International Paper Co. 81,443 401 Weyerhaeuser Co. 28,567 ------------- 110,010 ------------- TOTAL INVESTMENTS--97.9% (Cost $3,016,697) 2,962,655 NET OTHER ASSETS AND LIABILITIES--2.1% 62,452 ------------- NET ASSETS--100.0% $ 3,025,107 ============= (a) Non-income producing security. Page 48 See Notes to Financial Statements First Trust Technology AlphaDEX(TM) Fund Portfolio of Investments July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCKS--101.2% AEROSPACE & DEFENSE--4.8% 676 DRS Technologies, Inc. $ 35,395 247 General Dynamics Corp. 19,404 497 L-3 Communications Holdings, Inc. 48,488 ------------- 103,287 ------------- COMMUNICATIONS EQUIPMENT--17.4% 2,639 ADC Telecommunications, Inc. (a) 49,323 2,298 Avaya, Inc. (a) 38,009 1,071 Ciena Corp. (a) 39,124 695 Cisco Systems, Inc. (a) 20,092 829 CommScope, Inc. (a) 45,122 355 Corning, Inc. 8,463 480 F5 Networks, Inc. (a) 41,611 709 Harris Corp. 38,910 1,537 Juniper Networks, Inc. (a) 46,049 1,093 Motorola, Inc. 18,570 209 QUALCOMM, Inc. 8,705 1,798 Tellabs, Inc. (a) 20,407 ------------- 374,385 ------------- COMPUTERS & PERIPHERALS--16.2% 396 Apple, Inc. (a) 52,177 1,160 Brocade Communications Systems, Inc. (a) 8,166 1,016 Dell, Inc. (a) 28,418 2,672 EMC Corp. (a) 49,459 650 Hewlett-Packard Co. 29,920 184 International Business Machines Corp. 20,360 552 NCR Corp. (a) 28,825 1,162 QLogic Corp. (a) 15,443 395 SanDisk Corp. (a) 21,184 1,333 Seagate Technology 31,339 1,724 Sun Microsystems, Inc. (a) 8,792 2,500 Western Digital Corp. (a) 53,374 ------------- 347,457 ------------- ELECTRICAL EQUIPMENT--3.4% 279 Rockwell Automation, Inc. 19,527 767 SunPower Corp., Class A (a) 54,097 ------------- 73,624 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS --17.2% 1,085 Amphenol Corp., Class A 37,172 1,259 Arrow Electronics, Inc. (a) 48,119 1,220 Avnet, Inc. (a) 46,214 2,311 AVX Corp. 36,953 1,337 Ingram Micro, Inc., Class A (a) 26,807 411 Jabil Circuit, Inc. 9,260 891 National Instruments Corp. 28,824 10,514 Solectron Corp. (a) 39,533 1,502 Trimble Navigation Ltd. (a) 49,610 ELECTRONIC EQUIPMENT & INSTRUMENTS (CONTINUED) 3,057 Vishay Intertechnology, Inc. (a) $ 47,414 ------------- 369,906 ------------- HOUSEHOLD DURABLES--2.6% 654 Garmin Ltd. 54,871 ------------- IT SERVICES--6.0% 343 Acxiom Corp. 8,630 512 Affiliated Computer Services, Inc., Class A (a) 27,474 553 Ceridian Corp. (a) 18,747 654 Computer Sciences Corp. (a) 36,415 1,395 Electronic Data Systems Corp. 37,650 ------------- 128,916 ------------- LIFE SCIENCES TOOLS & SERVICES--1.0% 742 PerkinElmer, Inc. 20,650 ------------- OFFICE ELECTRONICS--0.4% 234 Zebra Technologies Corp., Class A (a) 8,478 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--18.7% 874 Altera Corp. 20,277 241 Analog Devices, Inc. 8,543 748 Cree, Inc. (a) 19,164 2,077 Cypress Semiconductor Corp. (a) 52,050 1,502 Fairchild Semiconductor International, Inc. (a) 27,412 382 Intel Corp. 9,023 779 International Rectifier Corp. (a) 28,597 922 Intersil Corp., Class A 26,969 5,152 LSI Corp. (a) 37,094 271 Maxim Integrated Products, Inc. 8,591 475 MEMC Electronic Materials, Inc. (a) 29,127 3,860 Micron Technology, Inc. (a) 45,818 321 National Semiconductor Corp. 8,343 1,171 NVIDIA Corp. (a) 53,584 771 Texas Instruments, Inc. 27,131 ------------- 401,723 ------------- SOFTWARE--13.5% 228 Amdocs Ltd. (a) 8,251 822 Autodesk, Inc. (a) 34,829 1,413 BEA Systems, Inc. (a) 17,493 881 Cadence Design Systems, Inc. (a) 18,853 269 Citrix Systems, Inc. (a) 9,730 3,262 Compuware Corp. (a) 30,434 1,099 McAfee, Inc. (a) 39,411 308 Microsoft Corp. 8,929 457 NAVTEQ Corp. (a) 24,737 1,164 Novell, Inc. (a) 7,810 1,472 Oracle Corp. (a) 28,145 677 Salesforce.com, Inc. (a) 26,308 See Notes to Financial Statements Page 49 First Trust Technology AlphaDEX(TM) Fund Portfolio of Investments (Continued) July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 1,437 Symantec Corp. (a) $ 27,590 343 Synopsys, Inc. (a) 8,390 ------------- 290,910 ------------- TOTAL INVESTMENTS--101.2% (Cost $2,170,215) 2,174,207 NET OTHER ASSETS AND LIABILITIES--(1.2%) (25,271) ------------- NET ASSETS--100.0% $ 2,148,936 ============= (a) Non-income producing security. Page 50 See Notes to Financial Statements First Trust Utilities AlphaDEX(TM) Fund Portfolio of Investments July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCKS--100.6% DIVERSIFIED TELECOMMUNICATION SERVICES--4.2% 421 AT&T, Inc. $ 16,486 1,780 CenturyTel, Inc. 81,649 424 Verizon Communications, Inc. 18,071 ------------- 116,206 ------------- ELECTRIC UTILITIES--24.7% 775 American Electric Power Co., Inc. 33,705 4,770 Duke Energy Corp. 81,232 622 Edison International 32,898 163 Entergy Corp. 16,293 809 FirstEnergy Corp. 49,147 308 FPL Group, Inc. 17,781 2,398 Great Plains Energy, Inc. 66,568 737 Hawaiian Electric Industries, Inc. 16,811 1,231 Northeast Utilities 33,656 1,238 Pepco Holdings, Inc. 33,513 2,191 Pinnacle West Capital Corp. 82,118 1,119 PPL Corp. 52,750 1,532 Progress Energy, Inc. 66,887 3,977 Sierra Pacific Resources (a) 63,195 1,018 Southern Co. 34,246 ------------- 680,800 ------------- GAS UTILITIES--9.6% 863 AGL Resources, Inc. 32,535 2,904 Atmos Energy Corp. 81,514 1,271 Energen Corp. 67,249 346 ONEOK, Inc. 17,560 330 Questar Corp. 16,992 536 Southern Union Company 16,552 1,280 UGI Corp. 33,037 ------------- 265,439 ------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS--4.0% 401 Constellation Energy Group 33,604 2,047 Mirant Corp. (a) 77,438 ------------- 111,042 ------------- MEDIA--3.1% 2,412 Cablevision Systems Corp., Class A (a) 85,843 ------------- MULTI-UTILITIES--41.8% 2,247 Alliant Energy Corp. 83,027 1,425 Ameren Corp. 68,372 1,015 CMS Energy Corp. 16,402 1,548 Consolidated Edison, Inc. 67,617 202 Dominion Resources, Inc. 17,012 1,448 DTE Energy Co. 67,158 2,677 Energy East Corp. 67,755 344 Integrys Energy Group, Inc. 17,025 1,248 KeySpan Corp. 51,854 MULTI-UTILITIES (CONTINUED) 1,868 MDU Resources Group, Inc. $ 50,922 4,215 NiSource, Inc. 80,380 1,614 NSTAR 50,760 1,429 OGE Energy Corp. 47,371 1,156 PG&E Corp. 49,488 3,610 Puget Energy, Inc. 83,571 1,824 SCANA Corp. 68,181 590 Sempra Energy 31,105 3,049 TECO Energy, Inc. 49,211 2,593 Vectren Corp. 64,747 1,184 Wisconsin Energy Corp. 50,829 3,412 Xcel Energy, Inc. 69,264 ------------- 1,152,051 ------------- WIRELESS TELECOMMUNICATION SERVICES--13.2% 517 ALLTEL Corp. 34,096 1,033 Leap Wireless International, Inc. (a) 91,317 432 NII Holdings, Inc. (a) 36,297 2,529 Sprint Nextel Corp. 51,920 837 Telephone and Data Systems, Inc. 55,577 964 United States Cellular Corp. (a) 93,508 ------------- 362,715 ------------- TOTAL INVESTMENTS--100.6% (Cost $3,010,654) 2,774,096 NET OTHER ASSETS AND LIABILITIES--(0.6%) (17,883) ------------- NET ASSETS--100.0% $ 2,756,213 ============= (a) Non-income producing security. See Notes to Financial Statements Page 51 First Trust Large Cap Core AlphaDEX(TM) Fund Portfolio of Investments July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCKS --100.4% AEROSPACE & DEFENSE--2.7% 84 Boeing (The) Co. $ 8,688 103 General Dynamics Corp. 8,092 45 Goodrich Corp. 2,831 138 L-3 Communications Holdings, Inc. 13,463 29 Lockheed Martin Corp. 2,856 138 Northrop Grumman Corp. 10,502 111 Precision Castparts Corp. 15,213 50 Raytheon Co. 2,768 76 Rockwell Collins, Inc. 5,221 113 United Technologies Corp. 8,246 ------------- 77,880 ------------- AIR FREIGHT & LOGISTICS--0.8% 153 C.H. Robinson Worldwide, Inc. 7,443 97 FedEx Corp. 10,743 74 United Parcel Service, Inc., Class B 5,603 ------------- 23,789 ------------- AIRLINES--0.3% 540 Southwest Airlines Co. 8,456 ------------- AUTO COMPONENTS--0.2% 46 Johnson Controls, Inc. 5,205 ------------- BEVERAGES--1.0% 37 Brown-Forman Corp., Class B 2,458 51 Coca-Cola (The) Co. 2,658 331 Constellation Brands, Inc., Class A (a) 7,259 116 Molson Coors Brewing Co., Class B 10,317 159 Pepsi Bottling Group (The), Inc. 5,320 ------------- 28,012 ------------- BIOTECHNOLOGY--0.7% 100 Biogen Idec, Inc. (a) 5,654 94 Celgene Corp. (a) 5,693 208 Gilead Sciences, Inc. (a) 7,743 ------------- 19,090 ------------- BUILDING PRODUCTS--0.4% 227 American Standard Cos., Inc. 12,269 ------------- CAPITAL MARKETS--3.5% 169 Ameriprise Financial, Inc. 10,186 77 Bear Stearns (The) Cos., Inc. 9,334 121 E*TRADE Financial Corp. (a) 2,241 70 Federated Investors, Inc., Class B 2,521 81 Franklin Resources, Inc. 10,317 62 Goldman Sachs Group (The), Inc. 11,677 385 Janus Capital Group, Inc. 11,573 55 Legg Mason, Inc. 4,950 144 Lehman Brothers Holdings, Inc. 8,928 96 Merrill Lynch & Co., Inc. 7,123 32 Morgan Stanley 2,044 84 Northern Trust Corp. 5,247 CAPITAL MARKETS (CONTINUED) 78 State Street Corp. $ 5,228 155 T. Rowe Price Group, Inc. 8,080 ------------- 99,449 ------------- CHEMICALS--3.3% 100 Air Products and Chemicals, Inc. 8,637 42 Ashland, Inc. 2,565 303 Dow Chemical (The) Co. 13,174 158 E.I. du Pont de Nemours & Co. 7,383 167 Eastman Chemical Co. 11,493 273 Hercules, Inc. (a) 5,667 154 International Flavors & Fragrances, Inc. 7,717 199 Monsanto Co. 12,826 70 PPG Industries, Inc. 5,339 112 Praxair, Inc. 8,581 196 Rohm and Haas Co. 11,078 ------------- 94,460 ------------- COMMERCIAL BANKS--3.0% 66 BB&T Corp. 2,470 90 Comerica, Inc. 4,739 145 Commerce Bancorp, Inc. 4,850 78 Compass Bancshares, Inc. 5,404 69 First Horizon National Corp. 2,189 354 Huntington Bancshares, Inc. 6,797 234 KeyCorp 8,117 50 M&T Bank Corp. 5,315 56 Marshall & Ilsley Corp. 2,308 322 National City Corp. 9,463 150 PNC Financial Services Group, Inc. 9,997 162 Regions Financial Corp. 4,871 31 SunTrust Banks, Inc. 2,427 81 U.S. Bancorp 2,426 157 Wachovia Corp. 7,412 76 Wells Fargo & Co. 2,567 70 Zions Bancorporation 5,219 ------------- 86,571 ------------- COMMERCIAL SERVICES & SUPPLIES --1.3% 797 Allied Waste Industries, Inc. (a) 10,257 81 Avery Dennison Corp. 4,969 121 Equifax, Inc. 4,896 185 R.R. Donnelley & Sons Co. 7,818 74 Robert Half International, Inc. 2,515 206 Waste Management, Inc. 7,834 ------------- 38,289 ------------- COMMUNICATIONS EQUIPMENT--2.6% 732 ADC Telecommunications, Inc. (a) 13,682 797 Avaya, Inc. (a) 13,182 297 Ciena Corp. (a) 10,849 289 Cisco Systems, Inc. (a) 8,355 105 Corning, Inc. (a) 2,503 426 Juniper Networks, Inc. (a) 12,763 Page 52 See Notes to Financial Statements First Trust Large Cap Core AlphaDEX(TM) Fund Portfolio of Investments (Continued) July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMUNICATIONS EQUIPMENT (CONTINUED) 303 Motorola, Inc. $ 5,148 62 QUALCOMM, Inc. 2,582 499 Tellabs, Inc. (a) 5,664 ------------- 74,728 ------------- COMPUTERS & PERIPHERALS--2.4% 110 Apple, Inc. (a) 14,493 282 Dell, Inc. (a) 7,888 741 EMC Corp. (a) 13,716 120 Hewlett-Packard Co. 5,524 76 International Business Machines Corp. 8,409 204 NCR Corp. (a) 10,653 110 SanDisk Corp. (a) 5,899 510 Sun Microsystems, Inc. (a) 2,601 ------------- 69,183 ------------- CONSTRUCTION & ENGINEERING--0.5% 120 Fluor Corp. 13,861 ------------- CONSTRUCTION MATERIALS--0.2% 47 Vulcan Materials Co. 4,499 ------------- CONSUMER FINANCE--0.4% 44 American Express Co. 2,576 186 SLM Corp. (a) 9,145 ------------- 11,721 ------------- CONTAINERS & PACKAGING--1.2% 252 Ball Corp. 12,919 323 Bemis Co., Inc. 9,519 346 Sealed Air Corp. 9,429 44 Temple-Inland, Inc. 2,558 ------------- 34,425 ------------- DISTRIBUTORS--0.2% 108 Genuine Parts Co. 5,139 ------------- DIVERSIFIED CONSUMER SERVICES --0.4% 138 Apollo Group, Inc., Class A (a) 8,157 115 H&R Block, Inc. 2,294 ------------- 10,451 ------------- DIVERSIFIED FINANCIAL SERVICES--0.9% 165 Bank of America Corp. 7,824 196 CIT Group, Inc. 8,071 52 Citigroup, Inc. 2,422 166 JPMorgan Chase & Co. 7,306 ------------- 25,623 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES--1.3% 129 AT&T, Inc. 5,052 273 CenturyTel, Inc. 12,522 DIVERSIFIED TELECOMMUNICATION SERVICES (CONTINUED) 351 Citizens Communications Co. $ 5,065 85 Embarq Corp. 5,252 195 Verizon Communications, Inc. 8,311 182 Windstream Corp. 2,504 ------------- 38,706 ------------- ELECTRIC UTILITIES--3.5% 52 Allegheny Energy, Inc. (a) 2,716 238 American Electric Power Co., Inc. 10,351 733 Duke Energy Corp. 12,483 191 Edison International 10,102 50 Entergy Corp. 4,998 74 Exelon Corp. 5,191 166 FirstEnergy Corp. 10,085 142 FPL Group, Inc. 8,198 337 Pinnacle West Capital Corp. 12,631 57 PPL Corp. 2,687 294 Progress Energy, Inc. 12,835 235 Southern Co. 7,905 ------------- 100,182 ------------- ELECTRICAL EQUIPMENT--0.7% 188 Cooper Industries Ltd., Class A 9,949 115 Emerson Electric Co. 5,413 77 Rockwell Automation, Inc. 5,389 ------------- 20,751 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--1.1% 70 Agilent Technologies, Inc. (a) 2,671 122 Jabil Circuit, Inc. 2,749 447 Molex, Inc. 12,667 1,458 Solectron Corp. (a) 5,482 239 Tektronix, Inc. 7,851 ------------- 31,420 ------------- ENERGY EQUIPMENT & SERVICES--4.8% 159 Baker Hughes, Inc. 12,569 220 ENSCO International, Inc. 13,435 233 Halliburton Co. 8,393 241 Nabors Industries Ltd. (a) 7,047 129 National Oilwell Varco, Inc. (a) 15,494 138 Noble Corp. 14,139 327 Rowan Cos., Inc. 13,796 158 Schlumberger Ltd. 14,966 229 Smith International, Inc. 14,063 27 Transocean, Inc. (a) 13,646 194 Weatherford International Ltd. (a) 10,734 ------------- 138,282 ------------- FOOD & STAPLES RETAILING--1.5% 46 Costco Wholesale Corp. 2,751 294 CVS Caremark Corp. 10,347 See Notes to Financial Statements Page 53 First Trust Large Cap Core AlphaDEX(TM) Fund Portfolio of Investments (Continued) July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) FOOD & STAPLES RETAILING (CONTINUED) 191 Kroger (The) Co. $ 4,958 315 Safeway, Inc. 10,039 232 SUPERVALU, Inc. 9,667 56 Wal-Mart Stores, Inc. 2,573 70 Whole Foods Market, Inc. 2,593 ------------- 42,928 ------------- FOOD PRODUCTS--1.3% 405 Archer-Daniels-Midland Co. 13,608 337 Dean Foods Co. (a) 9,695 46 General Mills, Inc. 2,559 152 Kraft Foods, Inc., Class A 4,978 97 Wm. Wrigley Jr. Co. 5,595 ------------- 36,435 ------------- GAS UTILITIES--0.5% 250 Nicor, Inc. 9,852 102 Questar Corp. 5,252 ------------- 15,104 ------------- HEALTH CARE EQUIPMENT & SUPPLIES--0.8% 143 Baxter International, Inc. 7,522 59 Biomet, Inc. (a) 2,686 194 St. Jude Medical, Inc. (a) 8,370 43 Stryker Corp. 2,684 32 Zimmer Holdings, Inc. (a) 2,488 ------------- 23,750 ------------- HEALTH CARE PROVIDERS & SERVICES --3.0% 54 Aetna, Inc. 2,596 54 AmerisourceBergen Corp. 2,544 76 Cardinal Health, Inc. 4,995 206 CIGNA Corp. 10,638 140 Coventry Health Care, Inc. (a) 7,813 268 Express Scripts, Inc. (a) 13,435 176 Humana, Inc. (a) 11,280 69 Laboratory Corp. of America Holdings (a) 5,096 205 Manor Care, Inc. 12,987 45 McKesson Corp. 2,599 105 UnitedHealth Group, Inc. 5,085 101 WellPoint, Inc. (a) 7,587 ------------- 86,655 ------------- HEALTH CARE TECHNOLOGY- 0.2% 250 IMS Health, Inc. 7,033 ------------- HOTELS, RESTAURANTS & LEISURE--1.7% 220 Carnival Corp. 9,749 61 Darden Restaurants, Inc. 2,597 63 Harrah's Entertainment, Inc. 5,335 80 Hilton Hotels Corp. 3,537 HOTELS, RESTAURANTS & LEISURE (CONTINUED) 159 McDonald's Corp. $ 7,611 120 Starwood Hotels & Resorts Worldwide, Inc. 7,555 148 Wyndham Worldwide Corp. (a) 4,980 246 Yum! Brands, Inc. 7,882 ------------- 49,246 ------------- HOUSEHOLD DURABLES--2.5% 30 Black & Decker (The) Corp. 2,597 65 Fortune Brands, Inc. 5,285 92 Harman International Industries, Inc. 10,672 341 KB Home 10,847 608 Leggett & Platt, Inc. 12,604 220 Lennar Corp., Class A 6,745 359 Pulte Homes, Inc. 6,943 133 Stanley Works (The) 7,359 72 Whirlpool Corp. 7,352 ------------- 70,404 ------------- HOUSEHOLD PRODUCTS--0.2% 80 Kimberly-Clark Corp. 5,382 ------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS--0.5% 245 AES (The) Corp. (a) 4,814 123 Constellation Energy Group. 10,308 ------------- 15,122 ------------- INDUSTRIAL CONGLOMERATES--0.9% 93 3M Co. 8,270 70 General Electric Co. 2,713 318 Tyco International Ltd. 15,038 ------------- 26,021 ------------- INSURANCE--5.2% 215 ACE Ltd. 12,410 52 AFLAC, Inc. 2,710 174 Allstate (The) Corp. 9,248 38 American International Group, Inc. 2,439 63 Aon Corp. 2,523 137 Assurant, Inc. 6,949 248 Chubb (The) Corp. 12,502 185 Cincinnati Financial Corp. 7,252 156 Genworth Financial, Inc., Class A 4,761 82 Hartford Financial Services Group (The), Inc. 7,533 38 Lincoln National Corp. 2,292 211 Loews Corp. 10,001 87 Marsh & McLennan Cos., Inc. 2,397 172 MBIA, Inc. 9,649 125 MetLife, Inc. 7,528 28 Prudential Financial, Inc. 2,482 215 SAFECO Corp. 12,571 80 Torchmark Corp. 4,923 Page 54 See Notes to Financial Statements First Trust Large Cap Core AlphaDEX(TM) Fund Portfolio of Investments (Continued) July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 251 Travelers (The) Cos., Inc. $ 12,745 103 Unum Group 2,503 159 XL Capital Ltd., Class A 12,380 ------------- 147,798 ------------- INTERNET & CATALOG RETAIL--0.5% 196 Amazon.com, Inc. (a) 15,394 ------------- INTERNET SOFTWARE & SERVICES--0.5% 15 Google, Inc., Class A (a) 7,650 254 VeriSign, Inc. (a) 7,541 ------------- 15,191 ------------- IT SERVICES--1.9% 47 Affiliated Computer Services, Inc., Class A (a) 2,522 181 Computer Sciences Corp. (a) 10,078 443 Convergys Corp. (a) 8,439 387 Electronic Data Systems Corp. 10,445 247 Fidelity National Information Services, Inc. 12,259 164 First Data Corp. 5,214 94 Fiserv, Inc. (a) 4,645 ------------- 53,602 ------------- LEISURE EQUIPMENT & PRODUCTS--0.9% 411 Brunswick Corp. 11,492 256 Hasbro, Inc. 7,173 318 Mattel, Inc. 7,285 ------------- 25,950 ------------- LIFE SCIENCES TOOLS & SERVICES--1.0% 107 Millipore Corp. (a) 8,412 103 PerkinElmer, Inc. 2,866 207 Thermo Fisher Scientific, Inc. (a) 10,808 90 Waters Corp. (a) 5,243 ------------- 27,329 ------------- MACHINERY--4.2% 137 Caterpillar, Inc. 10,796 106 Cummins, Inc. 12,582 71 Danaher Corp. 5,302 89 Deere & Co. 10,717 105 Dover Corp. 5,355 58 Eaton Corp. 5,636 149 Illinois Tool Works, Inc. 8,202 98 Ingersoll-Rand Co., Ltd., Class A 4,931 196 ITT Corp. 12,324 62 PACCAR, Inc. 5,073 292 Pall Corp. 12,124 137 Parker Hannifin Corp. 13,520 165 Terex Corp. (a) 14,232 ------------- 120,794 ------------- MEDIA--3.0% 242 CBS Corp., Class B $ 7,676 71 Clear Channel Communications, Inc. 2,620 191 Comcast Corp., Class A (a) 5,018 348 DIRECTV Group (The), Inc. (a) 7,799 117 E.W. Scripps (The) Co., Class A 4,793 244 Gannett Co., Inc. 12,176 87 Meredith Corp. 4,915 126 News Corp., Class A 2,661 51 Omnicom Group, Inc. 2,645 510 Time Warner, Inc. 9,823 456 Tribune Co. 12,749 64 Viacom, Inc., Class B (a) 2,451 314 Walt Disney (The) Co. 10,362 ------------- 85,688 ------------- METALS & MINING--1.5% 265 Alcoa, Inc. 10,123 102 Allegheny Technologies, Inc. 10,703 97 Freeport-McMoRan Copper & Gold, Inc. 9,116 46 Nucor Corp. 2,309 123 United States Steel Corp. 12,090 ------------- 44,341 ------------- MULTILINE RETAIL--2.7% 365 Big Lots, Inc. (a) 9,439 373 Dillard's, Inc., Class A 11,149 391 Family Dollar Stores, Inc. 11,581 111 J. C. Penney Co., Inc. 7,552 38 Kohl's Corp. (a) 2,310 337 Macy's, Inc. 12,157 105 Nordstrom, Inc. 4,996 63 Sears Holdings Corp. (a) 8,618 169 Target Corp. 10,236 ------------- 78,038 ------------- MULTI-UTILITIES--4.7% 274 Ameren Corp. 13,147 308 CenterPoint Energy, Inc. 5,076 468 CMS Energy Corp. 7,563 297 Consolidated Edison, Inc. 12,973 93 Dominion Resources, Inc. 7,832 278 DTE Energy Co. 12,894 159 Integrys Energy Group, Inc. 7,869 256 KeySpan Corp. 10,637 648 NiSource, Inc. 12,357 237 PG&E Corp. 10,146 181 Sempra Energy 9,542 625 TECO Energy, Inc. 10,088 655 Xcel Energy, Inc. 13,296 ------------- 133,420 ------------- OFFICE ELECTRONICS--0.4% 581 Xerox Corp. (a) 10,144 ------------- See Notes to Financial Statements Page 55 First Trust Large Cap Core AlphaDEX(TM) Fund Portfolio of Investments (Continued) July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) OIL, GAS & CONSUMABLE FUELS--5.8% 206 Anadarko Petroleum Corp. $ 10,368 66 Apache Corp. 5,335 310 Chesapeake Energy Corp. 10,552 159 Chevron Corp. 13,556 171 ConocoPhillips 13,824 58 CONSOL Energy, Inc. 2,416 69 Devon Energy Corp. 5,148 156 El Paso Corp. 2,597 96 Exxon Mobil Corp. 8,172 228 Hess Corp. 13,955 224 Marathon Oil Corp. 12,365 181 Murphy Oil Corp. 11,229 232 Occidental Petroleum Corp. 13,159 111 Peabody Energy Corp. 4,691 168 Sunoco, Inc. 11,209 182 Valero Energy Corp. 12,196 255 Williams (The) Cos., Inc. 8,224 134 XTO Energy, Inc. 7,307 ------------- 166,303 ------------- PAPER & FOREST PRODUCTS--0.9% 344 International Paper Co. 12,753 152 MeadWestvaco Corp. 4,946 102 Weyerhaeuser Co. 7,266 ------------- 24,965 ------------- PERSONAL PRODUCTS--0.2% 73 Avon Products, Inc. 2,629 59 Estee Lauder (The) Cos., Inc., Class A 2,656 ------------- 5,285 ------------- PHARMACEUTICALS--1.9% 53 Barr Pharmaceuticals, Inc. (a) 2,715 656 King Pharmaceuticals, Inc. (a) 11,159 420 Pfizer, Inc. 9,874 353 Schering-Plough Corp. 10,075 412 Watson Pharmaceuticals, Inc. (a) 12,532 140 Wyeth 6,793 ------------- 53,148 ------------- REAL ESTATE INVESTMENT TRUSTS--0.5% 131 Boston Properties, Inc. 12,378 47 ProLogis 2,674 ------------- 15,052 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT--0.4% 294 CB Richard Ellis Group, Inc., Class A (a) 10,266 ------------- ROAD & RAIL--1.9% 95 Burlington Northern Santa Fe Corp. 7,803 238 CSX Corp. 11,284 ROAD & RAIL (CONTINUED) 204 Norfolk Southern Corp. $ 10,971 249 Ryder System, Inc. 13,538 93 Union Pacific Corp. 11,080 ------------- 54,676 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--4.2% 242 Altera Corp. 5,614 71 Analog Devices, Inc. 2,517 405 Applied Materials, Inc. 8,926 226 Intel Corp. 5,338 146 KLA-Tencor Corp. 8,291 74 Linear Technology Corp. 2,638 1,786 LSI Corp. (a) 12,859 80 Maxim Integrated Products, Inc. 2,536 176 MEMC Electronic Materials, Inc. (a) 10,792 1,071 Micron Technology, Inc. (a) 12,713 95 National Semiconductor Corp. 2,469 473 Novellus Systems, Inc. (a) 13,491 325 NVIDIA Corp. (a) 14,873 694 PMC-Sierra, Inc. (a) 5,288 305 Teradyne, Inc. (a) 4,785 214 Texas Instruments, Inc. 7,531 ------------- 120,661 ------------- SOFTWARE--1.1% 228 Autodesk, Inc. (a) 9,659 80 Citrix Systems, Inc. (a) 2,894 226 Compuware Corp. (a) 2,109 91 Microsoft Corp. 2,638 408 Oracle Corp. (a) 7,801 398 Symantec Corp. (a) 7,642 ------------- 32,743 ------------- SPECIALTY RETAIL--3.1% 74 Abercrombie & Fitch Co., Class A 5,173 478 AutoNation, Inc. (a) 9,311 59 AutoZone, Inc. (a) 7,482 421 Gap (The), Inc. 7,241 68 Home Depot (The), Inc. 2,528 293 Limited Brands, Inc. 7,076 354 Office Depot, Inc. (a) 8,836 273 OfficeMax, Inc. 8,976 405 RadioShack Corp. 10,178 81 Sherwin-Williams (The) Co. 5,645 253 Tiffany & Co. 12,206 98 TJX (The) Cos., Inc. 2,720 ------------- 87,372 ------------- TEXTILES, APPAREL & LUXURY GOODS --1.2% 113 Coach, Inc. (a) 5,137 184 NIKE, Inc., Class B 10,387 137 Polo Ralph Lauren Corp. 12,240 Page 56 See Notes to Financial Statements First Trust Large Cap Core AlphaDEX(TM) Fund Portfolio of Investments (Continued) July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) TEXTILES, APPAREL & LUXURY GOODS (CONTINUED) 88 VF Corp. $ 7,550 ------------- 35,314 ------------- THRIFTS & MORTGAGE FINANCE--0.7% 148 Countrywide Financial Corp. 4,169 44 Freddie Mac 2,520 236 MGIC Investment Corp. 9,124 126 Washington Mutual, Inc. 4,729 ------------- 20,542 ------------- TOBACCO--0.4% 38 Altria Group, Inc. 2,526 82 Reynolds American, Inc. 5,015 50 UST, Inc. 2,678 ------------- 10,219 ------------- TRADING COMPANIES & DISTRIBUTORS --0.4% 144 W.W. Grainger, Inc. 12,580 ------------- WIRELESS TELECOMMUNICATION SERVICES--0.7% 159 ALLTEL Corp. 10,486 518 Sprint Nextel Corp. 10,635 ------------- 21,121 ------------- TOTAL INVESTMENTS--100.4% (Cost $3,123,253) 2,878,457 NET OTHER ASSETS AND LIABILITIES--(0.4%) (10,098) ------------- NET ASSETS--100.0% $ 2,868,359 ============= (a) Non-income producing security. See Notes to Financial Statements Page 57 First Trust Mid Cap Core AlphaDEX(TM) Fund Portfolio of Investments July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCKS--99.4% AEROSPACE & DEFENSE--1.0% 340 Alliant Techsystems, Inc. (a) $ 33,697 471 DRS Technologies, Inc. 24,662 ------------- 58,359 ------------- AIRLINES--0.6% 617 AirTran Holdings, Inc. (a) 6,071 968 Alaska Air Group, Inc. (a) 22,584 574 JetBlue Airways Corp. (a) 5,654 ------------- 34,309 ------------- AUTO COMPONENTS--1.3% 157 BorgWarner, Inc. 13,573 1,027 Gentex Corp. 20,273 1,491 Modine Manufacturing Co. 38,169 ------------- 72,015 ------------- AUTOMOBILES--0.1% 149 Thor Industries, Inc. 6,112 ------------- BEVERAGES--0.6% 314 Hansen Natural Corp. (a) 12,733 823 PepsiAmericas, Inc. 22,772 ------------- 35,505 ------------- BIOTECHNOLOGY--0.7% 335 Cephalon, Inc. (a) 25,172 578 PDL BioPharma, Inc. (a) 13,577 ------------- 38,749 ------------- CAPITAL MARKETS--1.4% 80 A.G. Edwards, Inc. 6,469 763 Eaton Vance Corp. 31,939 434 Nuveen Investments, Inc., Class A 26,535 218 Raymond James Financial, Inc. 6,686 259 Waddell & Reed Financial, Inc., Class A 6,529 ------------- 78,158 ------------- CHEMICALS--3.3% 563 Airgas, Inc. 26,292 175 Albemarle Corp. 7,040 424 Cabot Corp. 17,121 423 Cytec Industries, Inc. 28,336 151 FMC Corp. 13,459 209 Lubrizol (The) Corp. 13,096 201 Minerals Technologies, Inc. 12,999 1,284 Olin Corp. 26,797 1,062 Sensient Technologies Corp. 26,975 474 Valspar (The) Corp. 13,078 ------------- 185,193 ------------- COMMERCIAL BANKS--0.9% 206 Associated Banc-Corp. $ 5,920 201 Cathay General Bancorp 6,153 89 City National Corp. 6,300 242 Greater Bay Bancorp 6,505 254 SVB Financial Group (a) 13,381 316 Webster Financial Corp. 13,733 ------------- 51,992 ------------- COMMERCIAL SERVICES & SUPPLIES --2.4% 109 Brink's (The) Co. 6,665 131 Dun & Bradstreet (The) Corp. 12,807 427 Herman Miller, Inc. 13,036 164 HNI Corp. 6,696 982 Kelly Services, Inc., Class A 24,403 1,027 Korn/Ferry International (a) 24,268 1,089 Navigant Consulting, Inc. (a) 17,152 220 Republic Services, Inc. 7,029 455 Stericycle, Inc. (a) 21,813 ------------- 133,869 ------------- COMMUNICATIONS EQUIPMENT --2.4% 260 ADTRAN, Inc. 6,783 232 Avocent Corp. (a) 6,345 577 CommScope, Inc. (a) 31,407 225 Dycom Industries, Inc. (a) 6,289 334 F5 Networks, Inc. (a) 28,954 494 Harris Corp. 27,111 514 Plantronics, Inc. 14,402 401 Polycom, Inc. (a) 12,419 ------------- 133,710 ------------- COMPUTERS & PERIPHERALS--1.1% 387 Diebold, Inc. 19,609 731 Imation Corp. 22,866 421 Palm, Inc. (a) 6,281 697 Western Digital Corp. (a) 14,881 ------------- 63,637 ------------- CONSTRUCTION & ENGINEERING --1.8% 525 Granite Construction, Inc. 34,120 586 Jacobs Engineering Group, Inc. (a) 36,115 1,099 Quanta Services, Inc. (a) 31,245 ------------- 101,480 ------------- CONSTRUCTION MATERIALS--0.5% 100 Florida Rock Industries, Inc. 6,351 166 Martin Marietta Materials, Inc. 22,742 ------------- 29,093 ------------- CONSUMER FINANCE--0.3% 762 AmeriCredit Corp. (a) 15,499 ------------- Page 58 See Notes to Financial Statements First Trust Mid Cap Core AlphaDEX(TM) Fund Portfolio of Investments (Continued) July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) CONTAINERS & PACKAGING--0.6% 799 Packaging Corp. of America $ 20,391 315 Sonoco Products Co. 11,551 ------------- 31,942 ------------- DIVERSIFIED CONSUMER SERVICES --3.2% 199 Career Education Corp. (a) 5,906 827 Corinthian Colleges, Inc. (a) 11,140 792 DeVry, Inc. 25,661 287 ITT Educational Services, Inc. (a) 30,324 437 Laureate Education, Inc. (a) 26,945 309 Matthews International Corp., Class A 11,822 705 Regis Corp. 24,576 586 Sotheby's 25,052 154 Strayer Education, Inc. 23,336 ------------- 184,762 ------------- DIVERSIFIED FINANCIAL SERVICES --0.1% 191 Leucadia National Corp. 7,182 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES--0.4% 4,664 Cincinnati Bell, Inc. (a) 24,066 ------------- ELECTRIC UTILITIES--3.1% 926 Great Plains Energy, Inc. 25,706 853 Hawaiian Electric Industries, Inc. 19,457 1,052 IDACORP, Inc. 32,570 713 Northeast Utilities 19,493 717 Pepco Holdings, Inc. 19,409 1,919 Sierra Pacific Resources (a) 30,493 1,388 Westar Energy, Inc. 31,952 ------------- 179,080 ------------- ELECTRICAL EQUIPMENT--1.4% 679 AMETEK, Inc. 26,495 249 Hubbell, Inc., Class B 14,355 236 Roper Industries, Inc. 14,155 349 Thomas & Betts Corp. (a) 21,568 ------------- 76,573 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--3.4% 756 Amphenol Corp., Class A 25,901 877 Arrow Electronics, Inc. (a) 33,520 340 Avnet, Inc. (a) 12,879 397 CDW Corp. (a) 33,415 931 Ingram Micro, Inc., Class A (a) 18,667 1,912 KEMET Corp. (a) 13,460 621 National Instruments Corp. 20,089 2,130 Vishay Intertechnology, Inc. (a) 33,036 ------------- 190,967 ------------- ENERGY EQUIPMENT & SERVICES--4.0% 471 Cameron International Corp. (a) $ 36,737 340 FMC Technologies, Inc. (a) 31,117 376 Grant Prideco, Inc. (a) 21,094 565 Hanover Compressor Co. (a) 13,464 951 Helmerich & Payne, Inc. 30,784 514 Patterson-UTI Energy, Inc. 11,771 720 Pride International, Inc. (a) 25,236 675 Superior Energy Services, Inc. (a) 27,216 475 Tidewater, Inc. 32,499 ------------- 229,918 ------------- FOOD & STAPLES RETAILING--0.7% 374 BJ's Wholesale Club, Inc. (a) 12,701 895 Ruddick Corp. 24,881 ------------- 37,582 ------------- FOOD PRODUCTS--1.2% 541 Hormel Foods Corp. 18,621 212 J.M. Smucker (The) Co. 11,832 322 Lancaster Colony Corp. 12,468 657 Smithfield Foods, Inc. (a) 20,406 243 Tootsie Roll Industries, Inc. 6,082 ------------- 69,409 ------------- GAS UTILITIES--1.2% 499 AGL Resources, Inc. 18,812 136 Equitable Resources, Inc. 6,407 156 National Fuel Gas Co. 6,763 267 ONEOK, Inc. 13,550 826 WGL Holdings, Inc. 24,731 ------------- 70,263 ------------- HEALTH CARE EQUIPMENT & SUPPLIES--2.5% 193 Advanced Medical Optics, Inc. (a) 5,834 104 Beckman Coulter, Inc. 7,365 782 Cytyc Corp. (a) 32,923 528 DENTSPLY International, Inc. 19,267 112 Gen-Probe, Inc. (a) 7,057 207 Hillenbrand Industries, Inc. 13,049 194 Intuitive Surgical, Inc. (a) 41,247 661 STERIS Corp. 18,078 ------------- 144,820 ------------- HEALTH CARE PROVIDERS & SERVICES --3.4% 234 Apria Healthcare Group, Inc. (a) 6,135 666 Community Health Systems, Inc. (a) 25,907 255 Health Net, Inc. (a) 12,633 252 Henry Schein, Inc. (a) 13,694 1,097 Kindred Healthcare, Inc. (a) 29,378 697 LifePoint Hospitals, Inc. (a) 20,596 169 Lincare Holdings, Inc. (a) 6,032 187 Omnicare, Inc. 6,201 See Notes to Financial Statements Page 59 First Trust Mid Cap Core AlphaDEX(TM) Fund Portfolio of Investments (Continued) July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 186 Psychiatric Solutions, Inc. (a) $ 6,341 329 Universal Health Services, Inc., Class B 17,253 358 VCA Antech, Inc. (a) 14,084 372 WellCare Health Plans, Inc. (a) 37,668 ------------- 195,922 ------------- HEALTH CARE TECHNOLOGY--0.4% 364 Cerner Corp. (a) 19,245 ------------- HOTELS, RESTAURANTS & LEISURE --0.6% 732 Bob Evans Farms, Inc. 23,754 159 CBRL Group, Inc. 6,110 193 Scientific Games Corp., Class A (a) 6,622 ------------- 36,486 ------------- HOUSEHOLD DURABLES--2.0% 238 American Greetings Corp., Class A 5,886 1,092 Beazer Homes USA, Inc. 15,277 1,014 Blyth, Inc. 22,633 1,423 Furniture Brands International, Inc. 15,681 334 Mohawk Industries, Inc. (a) 30,064 30 NVR, Inc. (a) 17,354 234 Tupperware Brands Corp. 6,086 ------------- 112,981 ------------- HOUSEHOLD PRODUCTS--0.8% 278 Church & Dwight Co., Inc. 13,639 338 Energizer Holdings, Inc. (a) 34,104 ------------- 47,743 ------------- INDUSTRIAL CONGLOMERATES--1.4% 435 Carlisle Cos., Inc. 19,697 181 Sequa Corp., Class A (a) 29,883 412 Teleflex, Inc. 31,489 ------------- 81,069 ------------- INSURANCE--4.6% 789 American Financial Group, Inc. 22,163 970 Commerce Group (The), Inc. 27,868 62 Everest Re Group Ltd. 6,092 1,422 Fidelity National Financial, Inc., Class A 29,707 545 First American Corp. 25,228 414 Hanover Insurance Group, Inc. 18,170 605 HCC Insurance Holdings, Inc. 17,714 952 Horace Mann Educators Corp. 16,974 367 Mercury General Corp. 19,003 467 Ohio Casualty Corp. 20,272 1,268 Old Republic International Corp. 23,280 282 Protective Life Corp. 12,132 128 StanCorp Financial Group, Inc. 6,011 INSURANCE (CONTINUED) 411 Unitrin, Inc. $ 17,418 ------------- 262,032 ------------- INTERNET & CATALOG RETAIL--0.5% 1,738 Netflix, Inc. (a) 29,946 ------------- INTERNET SOFTWARE & SERVICES--0.4% 1,144 ValueClick, Inc. (a) 24,459 ------------- IT SERVICES--2.0% 255 Acxiom Corp. 6,416 436 Alliance Data Systems Corp. (a) 33,485 385 Ceridian Corp. (a) 13,052 335 CheckFree Corp. (a) 12,341 85 DST Systems, Inc. (a) 6,449 822 Gartner, Inc. (a) 17,204 2,016 MPS Group, Inc. (a) 26,873 ------------- 115,820 ------------- LEISURE EQUIPMENT & PRODUCTS --0.1% 378 Callaway Golf Co. 6,135 ------------- LIFE SCIENCES TOOLS & SERVICES --1.9% 392 Charles River Laboratories International, Inc. (a) 20,063 197 Covance, Inc. (a) 13,902 183 Invitrogen Corp. (a) 13,139 352 Pharmaceutical Product Development, Inc. 11,792 246 Varian, Inc. (a) 14,794 436 Ventana Medical Systems, Inc. (a) 36,337 ------------- 110,027 ------------- MACHINERY--5.0% 445 Crane Co. 20,408 850 Federal Signal Corp. 11,433 471 Flowserve Corp. 34,039 259 Harsco Corp. 13,639 347 Joy Global, Inc. 17,173 411 Kennametal, Inc. 31,507 454 Lincoln Electric Holdings, Inc. 32,683 269 Nordson Corp. 12,309 536 Oshkosh Truck Corp. 30,686 349 Pentair, Inc. 12,634 384 SPX Corp. 36,046 373 Timken (The) Co. 12,458 464 Trinity Industries, Inc. 17,739 ------------- 282,754 ------------- MARINE--0.2% 254 Alexander & Baldwin, Inc. 13,772 ------------- Page 60 See Notes to Financial Statements First Trust Mid Cap Core AlphaDEX(TM) Fund Portfolio of Investments (Continued) July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) MEDIA--2.5% 1,309 Belo Corp., Class A $ 23,431 558 John Wiley & Sons, Inc., Class A 23,598 1,615 Lee Enterprises, Inc. 28,440 1,013 Media General, Inc., Class A 28,567 563 Scholastic Corp. (a) 18,117 26 Washington Post (The) Co., Class B 20,560 ------------- 142,713 ------------- METALS & MINING--2.5% 155 Carpenter Technology Corp. 18,397 998 Commercial Metals Co. 30,778 599 Reliance Steel & Aluminum Co. 31,471 643 Steel Dynamics, Inc. 26,961 1,556 Worthington Industries, Inc. 32,210 ------------- 139,817 ------------- MULTILINE RETAIL--0.6% 514 99 Cents Only Stores (a) 6,255 774 Dollar Tree Stores, Inc. (a) 29,614 ------------- 35,869 ------------- MULTI-UTILITIES--4.8% 867 Alliant Energy Corp. 32,036 678 Black Hills Corp. 25,289 1,033 Energy East Corp. 26,145 961 MDU Resources Group, Inc. 26,197 623 NSTAR 19,593 552 OGE Energy Corp. 18,299 970 PNM Resources, Inc. 25,055 1,394 Puget Energy, Inc. 32,271 704 SCANA Corp. 26,316 1,001 Vectren Corp. 24,995 457 Wisconsin Energy Corp. 19,619 ------------- 275,815 ------------- OIL, GAS & CONSUMABLE FUELS --4.8% 387 Arch Coal, Inc. 11,567 855 Cimarex Energy Co. 32,363 539 Denbury Resources, Inc. (a) 21,560 727 Encore Acquisition Co. (a) 18,807 797 Forest Oil Corp. (a) 32,255 770 Frontier Oil Corp. 29,822 432 Noble Energy 26,412 414 Overseas Shipholding Group, Inc. 32,122 138 Pioneer Natural Resources Co. 6,279 705 Plains Exploration & Production Co. (a) 30,463 302 Quicksilver Resources, Inc. (a) 12,720 454 Southwestern Energy Co. (a) 18,446 ------------- 272,816 ------------- PAPER & FOREST PRODUCTS--0.5% 540 Bowater, Inc. $ 10,595 992 Glatfelter 13,322 356 Louisiana-Pacific Corp. 6,593 ------------- 30,510 ------------- PERSONAL PRODUCTS--0.5% 852 Alberto-Culver Co. 20,039 156 NBTY, Inc. (a) 6,792 ------------- 26,831 ------------- PHARMACEUTICALS--0.5% 197 Endo Pharmaceuticals Holdings, Inc. (a) 6,700 716 Par Pharmaceutical Cos., Inc. (a) 16,962 344 Perrigo Co. 6,416 ------------- 30,078 ------------- REAL ESTATE INVESTMENT TRUSTS --1.0% 697 Cousins Properties, Inc. 17,920 162 Hospitality Properties Trust 6,214 313 Potlatch Corp. 13,675 448 Rayonier, Inc. 18,968 ------------- 56,777 ------------- ROAD & RAIL--2.4% 948 Avis Budget Group, Inc. (a) 24,335 671 Con-way, Inc. 33,140 690 J.B. Hunt Transport Services, Inc. 19,272 1,672 Werner Enterprises, Inc. 32,504 916 YRC Worldwide, Inc. (a) 29,422 ------------- 138,673 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--3.2% 261 Cree, Inc. (a) 6,687 1,447 Cypress Semiconductor Corp. (a) 36,262 349 Fairchild Semiconductor International, Inc. (a) 6,369 362 International Rectifier Corp. (a) 13,289 214 Intersil Corp., Class A 6,260 524 Lam Research Corp. (a) 30,308 1,060 Micrel, Inc. 10,971 182 Microchip Technology, Inc. 6,608 5,400 RF Micro Devices, Inc. (a) 37,476 778 Semtech Corp. (a) 12,643 3,996 TriQuint Semiconductor, Inc. (a) 17,662 ------------- 184,535 ------------- SOFTWARE--2.7% 621 Advent Software, Inc. (a) 23,617 614 Cadence Design Systems, Inc. (a) 13,140 785 Jack Henry & Associates, Inc. 18,856 673 Macrovision Corp. (a) 16,004 See Notes to Financial Statements Page 61 First Trust Mid Cap Core AlphaDEX(TM) Fund Portfolio of Investments (Continued) July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 766 McAfee, Inc. (a) $ 27,468 512 Mentor Graphics Corp. (a) 6,149 1,247 Parametric Technology Corp. (a) 21,985 564 Sybase, Inc. (a) 13,378 255 Synopsys, Inc. (a) 6,237 613 Wind River Systems, Inc. (a) 5,860 ------------- 152,694 ------------- SPECIALTY RETAIL--5.6% 499 Advance Auto Parts, Inc. 17,350 647 Aeropostale, Inc. (a) 24,638 761 AnnTaylor Stores Corp. (a) 23,911 701 Barnes & Noble, Inc. 23,519 793 CarMax, Inc. (a) 18,976 3,111 Charming Shoppes, Inc. (a) 30,737 290 Coldwater Creek, Inc. (a) 5,710 463 Dick's Sporting Goods, Inc. (a) 26,034 1,546 Foot Locker, Inc. 28,694 862 GameStop Corp., Class A (a) 34,781 369 O'Reilly Automotive, Inc. (a) 12,291 613 Pacific Sunwear of California, Inc. (a) 11,046 641 Payless ShoeSource, Inc. (a) 17,063 415 PetSmart, Inc. 13,417 1,028 Rent-A-Center, Inc. (a) 19,953 219 Ross Stores, Inc. 6,336 280 Urban Outfitters, Inc. (a) 5,617 ------------- 320,073 ------------- TEXTILES, APPAREL & LUXURY GOODS--0.5% 249 Hanesbrands, Inc. (a) 7,721 445 Phillips-Van Heusen Corp. 23,167 ------------- 30,888 ------------- THRIFTS & MORTGAGE FINANCE --1.8% 269 Astoria Financial Corp. 6,335 1,543 First Niagara Financial Group, Inc. 19,843 1,155 IndyMac Bancorp, Inc. 25,410 754 PMI Group (The), Inc. 25,689 624 Radian Group, Inc. 21,035 277 Washington Federal, Inc. 6,241 ------------- 104,553 ------------- TRADING COMPANIES & DISTRIBUTORS--1.5% 322 Fastenal Co. 14,513 274 GATX Corp. 12,429 490 MSC Industrial Direct Co., Inc., Class A 24,642 1,036 United Rentals, Inc. (a) 33,296 ------------- 84,880 ------------- WIRELESS TELECOMMUNICATION SERVICES--0.5% 431 Telephone and Data Systems, Inc. $ 28,618 ------------- TOTAL INVESTMENTS--99.4% (Cost $6,133,306) 5,678,775 NET OTHER ASSETS AND LIABILITIES--0.6% 36,670 ------------- NET ASSETS--100.0% $ 5,715,445 ============= (a) Non-income producing security. Page 62 See Notes to Financial Statements First Trust Small Cap Core AlphaDEX(TM) Fund Portfolio of Investments July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCKS--99.6% AEROSPACE & DEFENSE--3.1% 408 AAR Corp. (a) $ 12,171 304 Ceradyne, Inc. (a) 22,688 595 Cubic Corp. 16,380 386 Curtiss-Wright Corp. 16,818 683 EDO Corp. 22,573 465 Esterline Technologies Corp. (a) 21,525 306 Moog, Inc., Class A (a) 13,103 488 Teledyne Technologies, Inc. (a) 21,653 343 Triumph Group, Inc. 26,139 ------------- 173,050 ------------- AIR FREIGHT & LOGISTICS--0.5% 264 Forward Air Corp. 8,994 638 Hub Group, Inc., Class A (a) 21,705 ------------- 30,699 ------------- AIRLINES--0.8% 1,603 Frontier Airlines Holdings, Inc. (a) 8,496 2,717 Mesa Air Group, Inc. (a) 18,068 942 SkyWest, Inc. 21,016 ------------- 47,580 ------------- AUTO COMPONENTS--0.8% 406 Drew Industries, Inc. (a) 14,121 1,494 Standard Motor Products, Inc. 18,599 619 Superior Industries International, Inc. 11,452 ------------- 44,172 ------------- AUTOMOBILES--0.1% 313 Monaco Coach Corp. 4,366 ------------- BIOTECHNOLOGY--0.5% 299 Digene Corp. (a) 18,313 346 Martek Biosciences Corp. (a) 8,865 ------------- 27,178 ------------- BUILDING PRODUCTS--1.2% 162 Apogee Enterprises, Inc. 4,173 608 Gibraltar Industries, Inc. 11,740 618 Griffon Corp. (a) 10,858 394 Lennox International, Inc. 15,091 273 NCI Building Systems, Inc. (a) 13,202 134 Simpson Manufacturing Co., Inc. 4,533 212 Universal Forest Products, Inc. 8,387 ------------- 67,984 ------------- CAPITAL MARKETS--0.6% 208 Investment Technology Group, Inc. (a) 8,312 608 LaBranche & Co., Inc. (a) 3,934 162 Piper Jaffray Cos., Inc. (a) 7,763 831 SWS Group, Inc. 14,667 ------------- 34,676 ------------- CHEMICALS--2.7% 369 A. Schulman, Inc. $ 8,568 128 Arch Chemicals, Inc. 4,529 744 Georgia Gulf Corp. 12,045 300 H.B. Fuller Co. 8,289 1,905 Material Sciences Corp. (a) 20,955 170 OM Group, Inc. (a) 8,235 823 Penford Corp. 29,406 2,498 PolyOne Corp. (a) 18,785 951 Quaker Chemical Corp. 20,656 1,598 Tronox, Inc., Class B 19,655 ------------- 151,123 ------------- COMMERCIAL BANKS--2.4% 72 Alabama National BanCorporation 3,843 502 Boston Private Financial Holdings, Inc. 12,795 408 Central Pacific Financial Corp. 11,509 257 Chittenden Corp. 8,597 897 Community Bank System, Inc. 16,136 116 East West Bancorp, Inc. 4,253 822 First Commonwealth Financial Corp. 7,793 168 First Republic Bank 9,198 526 Hanmi Financial Corp. 7,627 138 Prosperity Bancshares, Inc. 3,908 274 Provident Bankshares Corp. 7,864 132 Signature Bank (a) 4,077 198 South Financial Group (The), Inc. 4,269 310 Sterling Financial Corp. 7,040 602 Susquehanna Bancshares, Inc. 10,415 382 Umpqua Holdings Corp. 7,266 150 Whitney Holding Corp. 3,749 102 Wintrust Financial Corp. 4,020 ------------- 134,359 ------------- COMMERCIAL SERVICES & SUPPLIES --5.2% 870 ABM Industries, Inc. 21,889 134 Administaff, Inc. 4,382 1,065 Angelica Corp. 23,248 921 Bowne & Co., Inc. 15,970 484 Brady Corp., Class A 16,935 140 CDI Corp. 3,961 260 Consolidated Graphics, Inc. (a) 17,137 568 G&K Services, Inc., Class A 21,164 456 Healthcare Services Group 12,640 350 Heidrick & Struggles International, Inc. (a) 18,809 476 Interface, Inc., Class A 8,773 972 Labor Ready, Inc. (a) 22,899 308 Mobile Mini, Inc. (a) 8,800 419 On Assignment, Inc. (a) 4,203 254 School Specialty, Inc. (a) 8,748 1,913 Spherion Corp. (a) 16,892 416 Tetra Tech, Inc. (a) 8,748 270 United Stationers, Inc. (a) 17,210 See Notes to Financial Statements Page 63 First Trust Small Cap Core AlphaDEX(TM) Fund Portfolio of Investments (Continued) July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMERCIAL SERVICES & SUPPLIES (CONTINUED) 426 Viad Corp. $ 15,315 730 Volt Information Sciences, Inc. (a) 11,373 356 Watson Wyatt Worldwide, Inc., Class A 15,860 ------------- 294,956 ------------- COMMUNICATIONS EQUIPMENT --2.4% 1,277 Arris Group, Inc. (a) 18,926 396 Bel Fuse, Inc., Class B 11,975 434 Black Box Corp. 17,469 182 Blue Coat Systems, Inc. (a) 8,869 958 C-COR, Inc. (a) 12,885 290 Comtech Telecommunications Corp. (a) 12,606 914 Digi International, Inc. (a) 13,052 548 Ditech Networks, Inc. (a) 4,088 620 NETGEAR, Inc. (a) 17,149 534 Symmetricom, Inc. (a) 3,984 426 Tollgrade Communications, Inc. (a) 4,396 280 ViaSat, Inc. (a) 8,016 ------------- 133,415 ------------- COMPUTERS & PERIPHERALS--1.8% 3,536 Adaptec, Inc. (a) 12,376 1,194 Hutchinson Technology, Inc. (a) 23,952 212 Intevac, Inc. (a) 3,445 422 Komag, Inc. (a) 13,508 863 Novatel Wireless, Inc. (a) 18,580 382 Stratasys, Inc. (a) 16,812 376 Synaptics, Inc. (a) 13,205 ------------- 101,878 ------------- CONSTRUCTION & ENGINEERING --0.3% 152 EMCOR Group, Inc. (a) 5,457 278 URS Corp. (a) 13,694 ------------- 19,151 ------------- CONSTRUCTION MATERIALS--0.2% 172 Texas Industries, Inc. 13,555 ------------- CONSUMER FINANCE--0.6% 340 Cash America International, Inc. 12,451 575 First Cash Financial Services, Inc. (a) 12,529 210 World Acceptance Corp. (a) 6,760 ------------- 31,740 ------------- CONTAINERS & PACKAGING--1.0% 505 AptarGroup, Inc. 18,382 1,072 Chesapeake Corp. (a) 11,953 203 Myers Industries, Inc. 4,342 CONTAINERS & PACKAGING (CONTINUED) 708 Rock-Tenn Co., Class A $ 21,750 ------------- 56,427 ------------- DISTRIBUTORS--1.2% 346 Audiovox Corp., Class A (a) 3,502 1,266 Building Materials Holding Corp. 17,585 543 Keystone Automotive Industries, Inc. (a) 25,390 728 LKQ Corp. (a) 20,697 ------------- 67,174 ------------- DIVERSIFIED CONSUMER SERVICES --0.9% 230 Bright Horizons Family Solutions, Inc. (a) 8,924 64 CPI Corp. 3,759 280 Pre-Paid Legal Services, Inc. (a) 14,756 354 Universal Technical Institute, Inc. (a) 7,657 368 Vertrue, Inc. (a) 18,183 ------------- 53,279 ------------- DIVERSIFIED FINANCIAL SERVICES --0.4% 150 Financial Federal Corp. 4,253 374 Portfolio Recovery Associates, Inc. (a) 19,541 ------------- 23,794 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES--0.3% 589 CT Communications, Inc. 18,053 ------------- ELECTRIC UTILITIES--1.8% 190 ALLETE, Inc. 8,330 596 Central Vermont Public Service Corp. 20,264 733 Cleco Corp. 17,409 914 El Paso Electric Co. (a) 21,268 542 UIL Holdings Corp. 16,032 683 Unisource Energy Corp. 20,784 ------------- 104,087 ------------- ELECTRICAL EQUIPMENT--1.5% 298 Acuity Brands, Inc. 17,612 338 A.O. Smith Corp. 16,410 92 Baldor Electric Co. 4,199 82 Belden, Inc. 4,492 386 Regal-Beloit Corp. 19,578 418 Woodward Governor Co. 24,139 ------------- 86,430 ------------- Page 64 See Notes to Financial Statements First Trust Small Cap Core AlphaDEX(TM) Fund Portfolio of Investments (Continued) July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRONIC EQUIPMENT & INSTRUMENTS--5.4% 634 Aeroflex, Inc. (a) $ 8,895 399 Agilysys, Inc. 7,665 238 Anixter International, Inc. (a) 19,671 1,377 Bell Microproducts, Inc. (a) 8,648 596 Benchmark Electronics, Inc. (a) 13,231 356 Checkpoint Systems, Inc. (a) 8,213 294 Coherent, Inc. (a) 8,511 1,064 CTS Corp. 13,555 216 Electro Scientific Industries, Inc. (a) 4,741 388 FLIR Systems, Inc. (a) 16,936 386 Gerber Scientific, Inc. (a) 4,007 597 Insight Enterprises, Inc. (a) 13,468 116 Itron, Inc. (a) 9,214 806 LoJack Corp. (a) 17,184 1,148 Methode Electronics, Inc. 18,563 302 MTS Systems Corp. 12,609 870 Newport Corp. (a) 11,371 478 Park Electrochemical Corp. 14,173 196 Plexus Corp. (a) 4,753 122 Rogers Corp. (a) 4,409 702 ScanSource, Inc. (a) 18,835 783 Technitrol, Inc. 20,358 558 Trimble Navigation Ltd. (a) 18,431 1,727 TTM Technologies, Inc. (a) 22,519 608 X-Rite, Inc. (a) 8,208 ------------- 308,168 ------------- ENERGY EQUIPMENT & SERVICES--4.2% 328 Atwood Oceanics, Inc. (a) 22,501 453 Bristow Group, Inc. (a) 21,486 205 CARBO Ceramics, Inc. 9,241 300 Dril-Quip, Inc. (a) 14,397 464 Hornbeck Offshore Services, Inc. (a) 19,975 863 Input/Output, Inc. (a) 12,298 278 Lufkin Industries, Inc. 16,460 904 Matrix Service Co. (a) 20,873 426 Oceaneering International, Inc. (a) 23,925 240 SEACOR Holdings, Inc. (a) 20,933 637 TETRA Technologies, Inc. (a) 17,715 286 Unit Corp. (a) 15,747 362 W-H Energy Services, Inc. (a) 23,197 ------------- 238,748 ------------- FOOD & STAPLES RETAILING--1.0% 330 Casey's General Stores, Inc. 8,227 536 Great Atlantic & Pacific Tea (The) Co., Inc. (a) 15,624 171 Longs Drug Stores Corp. 8,270 182 Nash Finch Co. 7,329 276 Performance Food Group Co. (a) 7,910 273 Spartan Stores, Inc. 7,991 ------------- 55,351 ------------- FOOD PRODUCTS--1.4% 396 Corn Products International, Inc. $ 17,670 134 Flowers Foods, Inc. 2,747 166 Hain Celestial Group (The), Inc. (a) 4,497 238 J & J Snack Foods Corp. 8,199 168 Ralcorp Holdings, Inc. (a) 8,729 499 Sanderson Farms, Inc. 19,895 675 TreeHouse Foods, Inc. (a) 15,127 ------------- 76,864 ------------- GAS UTILITIES--3.0% 747 Atmos Energy Corp. 20,967 327 Energen Corp. 17,302 422 Laclede Group (The), Inc. 12,470 264 New Jersey Resources Corp. 12,408 486 Northwest Natural Gas Co. 20,252 546 Piedmont Natural Gas Co. 12,662 508 South Jersey Industries, Inc. 16,647 551 Southern Union Co. 17,015 664 Southwest Gas Corp. 20,637 658 UGI Corp. 16,983 ------------- 167,343 ------------- HEALTH CARE EQUIPMENT & SUPPLIES--3.7% 62 Analogic Corp. 4,116 306 ArthroCare Corp. (a) 15,490 306 CONMED Corp. (a) 8,537 352 Datascope Corp. 12,112 108 DJO, Inc. (a) 5,128 278 Greatbatch, Inc. (a) 8,626 170 Haemonetics Corp. (a) 8,401 162 Hologic, Inc. (a) 8,392 210 ICU Medical, Inc. (a) 6,980 142 IDEXX Laboratories, Inc. (a) 14,237 160 Immucor, Inc. (a) 4,986 272 Integra LifeSciences Holdings (a) 13,505 622 Meridian Bioscience, Inc. 13,889 2,495 Osteotech, Inc. (a) 17,889 330 PolyMedica Corp. 13,329 210 Respironics, Inc. (a) 9,608 270 SurModics, Inc. (a) 12,385 280 Symmetry Medical, Inc. (a) 4,180 5,385 Theragenics Corp. (a) 21,271 80 Vital Signs, Inc. 4,161 ------------- 207,222 ------------- HEALTH CARE PROVIDERS & SERVICES--3.9% 494 Amedisys, Inc. (a) 18,698 378 AMERIGROUP Corp. (a) 10,463 408 AMN Healthcare Services, Inc. (a) 8,760 186 AmSurg Corp. (a) 4,676 420 Centene Corp. (a) 9,076 1,035 CryoLife, Inc. (a) 9,884 672 Gentiva Health Services, Inc. (a) 13,420 See Notes to Financial Statements Page 65 First Trust Small Cap Core AlphaDEX(TM) Fund Portfolio of Investments (Continued) July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 759 HealthExtras, Inc. (a) $ 20,364 190 Healthways, Inc. (a) 8,303 246 inVentiv Health, Inc. (a) 8,728 475 LCA-Vision, Inc. 16,867 445 Matria Healthcare, Inc. (a) 11,494 1,458 Option Care, Inc. 28,271 128 Owens & Minor, Inc. 4,922 82 Pediatrix Medical Group, Inc. (a) 4,425 1,261 RehabCare Group, Inc. (a) 17,868 637 Res-Care, Inc. (a) 12,377 324 Sierra Health Services, Inc. (a) 13,167 ------------- 221,763 ------------- HOTELS, RESTAURANTS & LEISURE --2.7% 418 California Pizza Kitchen, Inc. (a) 7,934 224 CKE Restaurants, Inc. 3,873 190 Jack in the Box, Inc. (a) 12,158 594 Landry's Restaurants, Inc. 15,735 378 Marcus (The) Corp. 7,439 168 Monarch Casino & Resort, Inc. (a) 4,753 1,114 O'Charley's, Inc. 19,751 312 Papa John's International, Inc. (a) 8,558 160 Pinnacle Entertainment, Inc. (a) 4,242 336 RARE Hospitality International, Inc. (a) 8,991 445 Red Robin Gourmet Burgers, Inc. (a) 17,164 528 Ruth's Chris Steak House, Inc. (a) 8,828 1,345 Steak n Shake (The) Co. (a) 20,175 351 Texas Roadhouse, Inc., Class A (a) 4,166 467 WMS Industries, Inc. (a) 12,184 ------------- 155,951 ------------- HOUSEHOLD DURABLES--0.8% 914 Champion Enterprises, Inc. (a) 10,712 132 Ethan Allen Interiors, Inc. 4,509 208 Libbey, Inc. 4,150 338 M/I Homes, Inc. 8,298 216 National Presto Industries, Inc. 12,128 241 Russ Berrie and Co., Inc. (a) 3,709 ------------- 43,506 ------------- HOUSEHOLD PRODUCTS--0.2% 766 Central Garden & Pet Co., Class A (a) 9,376 136 WD-40 Co. 4,514 ------------- 13,890 ------------- INDUSTRIAL CONGLOMERATES--0.5% 316 Standex International Corp. 7,489 1,054 Tredegar Corp. 19,352 ------------- 26,841 ------------- INSURANCE--3.5% 322 Delphi Financial Group, Inc., Class A $ 12,935 88 Infinity Property & Casualty Corp. 3,876 232 LandAmerica Financial Group, Inc. 17,769 108 Philadelphia Consolidated Holding Corp. (a) 3,903 685 Presidential Life Corp. 11,172 322 ProAssurance Corp. (a) 15,900 402 RLI Corp. 23,317 434 Safety Insurance Group, Inc. 14,452 718 SCPIE Holdings, Inc. (a) 16,133 668 Selective Insurance Group, Inc. 13,707 564 Stewart Information Services Corp. 20,575 140 Tower Group, Inc. 3,710 634 United Fire & Casualty Co. 21,822 477 Zenith National Insurance Corp. 19,252 ------------- 198,523 ------------- INTERNET & CATALOG RETAIL--0.8% 372 Blue Nile, Inc. (a) 28,127 1,049 PetMed Express, Inc. (a) 15,294 ------------- 43,421 ------------- INTERNET SOFTWARE & SERVICES --0.8% 375 Bankrate, Inc. (a) 16,819 194 InfoSpace, Inc. 4,039 514 j2 Global Communications, Inc. (a) 16,777 544 United Online, Inc. 7,681 ------------- 45,316 ------------- IT SERVICES--1.6% 502 Authorize.Net Holdings, Inc. (a) 8,700 92 CACI International Inc., Class A (a) 4,088 2,745 CIBER, Inc. (a) 20,835 254 eFunds Corp. (a) 9,081 146 ManTech International Corp., Class A (a) 4,768 104 MAXIMUS, Inc. 4,346 408 SI International, Inc. (a) 11,885 1,249 StarTek, Inc. (a) 13,689 946 Sykes Enterprises, Inc. (a) 15,836 ------------- 93,228 ------------- LEISURE EQUIPMENT & PRODUCTS --1.9% 907 Arctic Cat, Inc. 16,435 798 JAKKS Pacific, Inc. (a) 18,921 1,478 K2, Inc. (a) 21,593 673 MarineMax, Inc. (a) 12,585 248 Polaris Industries, Inc. 12,241 460 Pool Corp. 15,461 224 RC2 Corp. (a) 7,932 ------------- 105,168 ------------- Page 66 See Notes to Financial Statements First Trust Small Cap Core AlphaDEX(TM) Fund Portfolio of Investments (Continued) July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) LIFE SCIENCES TOOLS & SERVICES --0.9% 126 Dionex Corp. (a) $ 8,569 366 Kendle International, Inc. (a) 13,524 534 PAREXEL International Corp. (a) 21,590 282 Pharmanet Development Group, Inc. (a) 7,896 ------------- 51,579 ------------- MACHINERY--5.0% 111 Albany International Corp., Class A 4,160 426 Astec Industries, Inc. (a) 22,224 260 A.S.V., Inc. (a) 3,793 426 Barnes Group, Inc. 13,291 286 Cascade Corp. 19,388 240 CLARCOR, Inc. 8,350 210 EnPro Industries, Inc. (a) 8,270 528 Gardner Denver, Inc. (a) 21,960 466 IDEX Corp. 16,874 258 Kaydon Corp. 13,728 507 Lindsay Corp. 20,615 1,537 Lydall, Inc. (a) 17,752 280 Manitowoc (The) Co., Inc. 21,748 522 Mueller Industries, Inc. 19,251 254 Robbins & Myers, Inc. 13,393 305 Toro (The) Co. 17,147 247 Valmont Industries, Inc. 18,671 307 Wabash National Corp. 3,902 480 Watts Water Technologies, Inc., Class A 16,757 ------------- 281,274 ------------- MARINE--0.3% 351 Kirby Corp. (a) 14,219 ------------- MEDIA--0.2% 174 Arbitron, Inc. 8,665 ------------- METALS & MINING--2.4% 375 A.M. Castle & Co. 12,383 164 AMCOL International Corp. 4,695 535 Brush Engineered Materials, Inc. (a) 20,260 246 Century Aluminum Co. (a) 12,679 312 Chaparral Steel Co. 26,221 289 Cleveland-Cliffs, Inc. 20,019 369 Quanex Corp. 16,627 60 RTI International Metals, Inc. (a) 4,754 596 Ryerson, Inc. 19,126 ------------- 136,764 ------------- MULTILINE RETAIL--0.4% 1,343 Fred's, Inc. 15,942 364 Tuesday Morning Corp. 4,244 ------------- 20,186 ------------- MULTI-UTILITIES--0.6% 834 Avista Corp. $ 16,530 400 CH Energy Group, Inc. 17,740 ------------- 34,270 ------------- OIL, GAS & CONSUMABLE FUELS --0.7% 122 Cabot Oil & Gas Corp. 4,172 450 Helix Energy Solutions Group, Inc. (a) 17,529 210 Swift Energy Co. (a) 8,975 214 World Fuel Services Corp. 8,750 ------------- 39,426 ------------- PAPER & FOREST PRODUCTS--1.4% 1,451 Buckeye Technologies, Inc. (a) 22,244 436 Neenah Paper, Inc. 16,886 4,525 Pope & Talbot, Inc. (a) 11,901 724 Schweitzer-Mauduit International, Inc. 16,529 1,005 Wausau Paper Corp. 11,246 ------------- 78,806 ------------- PERSONAL PRODUCTS--0.3% 142 Chattem, Inc. (a) 7,974 565 Mannatech, Inc. 5,317 100 USANA Health Sciences, Inc. (a) 4,036 ------------- 17,327 ------------- PHARMACEUTICALS--0.7% 346 Alpharma, Inc., Class A (a) 8,577 206 Bradley Pharmaceuticals, Inc. (a) 3,304 192 Noven Pharmaceuticals, Inc. (a) 3,410 190 Sciele Pharma, Inc. (a) 4,406 1,627 ViroPharma, Inc. (a) 20,908 ------------- 40,605 ------------- REAL ESTATE INVESTMENT TRUSTS --0.8% 250 Entertainment Properties Trust 11,138 592 LTC Properties, Inc. 11,881 679 Medical Properties Trust, Inc. 7,605 411 National Retail Properties, Inc. 8,902 442 Senior Housing Properties Trust 7,638 ------------- 47,164 ------------- ROAD & RAIL--1.4% 346 Arkansas Best Corp. 12,466 276 Heartland Express, Inc. 4,115 598 Kansas City Southern (a) 20,637 695 Knight Transportation, Inc. 12,260 280 Landstar System, Inc. 12,729 596 Old Dominion Freight Line, Inc. (a) 17,201 ------------- 79,408 ------------- See Notes to Financial Statements Page 67 First Trust Small Cap Core AlphaDEX(TM) Fund Portfolio of Investments (Continued) July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--4.1% 991 Advanced Energy Industries, Inc. (a) $ 17,551 1,076 AMIS Holdings, Inc. (a) 11,094 150 ATMI, Inc. (a) 4,347 3,460 Axcelis Technologies, Inc. (a) 19,203 1,237 Brooks Automation, Inc. (a) 21,733 126 Cabot Microelectronics Corp. (a) 5,371 404 Cohu, Inc. 8,076 112 Cymer, Inc. (a) 4,788 645 Diodes, Inc. (a) 17,138 335 Exar Corp. (a) 4,734 138 FEI Co. (a) 3,958 188 Microsemi Corp. (a) 4,382 811 MKS Instruments, Inc. (a) 18,410 1,207 Pericom Semiconductor Corp. (a) 12,891 1,509 Photronics, Inc. (a) 21,156 1,352 Rudolph Technologies, Inc. (a) 21,158 611 Skyworks Solutions, Inc. (a) 4,839 392 Standard Microsystems Corp. (a) 13,089 448 Varian Semiconductor Equipment Associates, Inc. (a) 21,056 ------------- 234,974 ------------- SOFTWARE--2.9% 152 Ansoft Corp. (a) 3,844 339 ANSYS, Inc. (a) 8,828 2,631 Captaris, Inc. (a) 13,497 983 Concur Technologies, Inc. (a) 23,455 906 Epicor Software Corp. (a) 11,832 1,389 EPIQ Systems, Inc. (a) 23,683 197 FactSet Research Systems, Inc. 13,000 608 Informatica Corp. (a) 8,476 915 JDA Software Group, Inc. (a) 20,688 160 Manhattan Associates, Inc. (a) 4,459 82 MICROS Systems, Inc. (a) 4,369 118 Quality Systems, Inc. 4,571 339 Radiant Systems, Inc. (a) 4,712 306 SPSS, Inc. (a) 12,558 148 THQ, Inc. (a) 4,256 ------------- 162,228 ------------- SPECIALTY RETAIL--5.7% 615 Aaron Rents, Inc. 14,219 352 Big 5 Sporting Goods Corp. 7,522 554 Brown Shoe Co., Inc. 11,601 204 Cato (The) Corp., Class A 4,219 502 Charlotte Russe Holding, Inc. (a) 8,921 174 Children's Place Retail Stores (The), Inc. (a) 5,935 262 Christopher & Banks Corp. 3,909 218 Dress Barn (The), Inc. (a) 3,965 1,971 Finish Line (The), Inc., Class A 13,324 430 Genesco, Inc. (a) 21,736 SPECIALTY RETAIL (CONTINUED) 222 Group 1 Automotive, Inc. $ 8,329 226 Guitar Center, Inc. (a) 13,119 342 Gymboree (The) Corp. (a) 14,723 1,539 Haverty Furniture Cos., Inc. 17,160 164 Hibbett Sports, Inc. (a) 4,203 790 Jo-Ann Stores, Inc. (a) 18,810 542 Jos. A. Bank Clothiers, Inc. (a) 18,699 709 Lithia Motors, Inc., Class A 14,598 352 Men's Wearhouse (The), Inc. 17,389 1,114 Pep Boys-Manny, Moe & Jack (The) 18,860 277 Select Comfort Corp. (a) 4,415 775 Sonic Automotive, Inc., Class A 21,235 428 Stage Stores, Inc. 7,636 732 Stein Mart, Inc. 7,876 258 Tractor Supply Co. (a) 12,260 402 Tween Brands, Inc. (a) 15,381 566 Zale Corp. (a) 12,016 ------------- 322,060 ------------- TEXTILES, APPAREL & LUXURY GOODS--3.2% 522 Crocs, Inc. (a) 30,965 222 Deckers Outdoor Corp. (a) 22,888 609 Fossil, Inc. (a) 15,560 606 Iconix Brand Group, Inc. (a) 11,987 160 Kellwood Co. 4,102 532 Movado Group, Inc. 15,024 405 Oxford Industries, Inc. 16,362 636 Quiksilver, Inc. (a) 8,160 308 Skechers U.S.A., Inc., Class A (a) 6,403 665 Stride Rite (The) Corp. 13,546 510 UniFirst Corp. 19,156 448 Volcom, Inc. (a) 15,895 162 Wolverine World Wide, Inc. 4,384 ------------- 184,432 ------------- THRIFTS & MORTGAGE FINANCE --2.2% 172 Anchor BanCorp Wisconsin, Inc. 3,844 895 BankUnited Financial Corp., Class A 15,072 1,041 Corus Bankshares, Inc. 16,927 340 Dime Community Bancshares 3,805 340 Downey Financial Corp. 18,084 396 FirstFed Financial Corp. (a) 17,898 1,491 Flagstar Bancorp, Inc. 15,954 1,669 Fremont General Corp. (a) 9,630 248 MAF Bancorp, Inc. 13,025 450 Triad Guaranty, Inc. (a) 12,407 ------------- 126,646 ------------- Page 68 See Notes to Financial Statements First Trust Small Cap Core AlphaDEX(TM) Fund Portfolio of Investments (Continued) July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) TRADING COMPANIES & DISTRIBUTORS --0.5% 152 Applied Industrial Technologies, Inc. $ 4,315 288 Kaman Corp. 9,645 248 Watsco, Inc. 12,378 ------------- 26,338 ------------- WATER UTILITIES--0.2% 252 American States Water Co. 9,297 ------------- TOTAL INVESTMENTS--99.6% (Cost $6,171,934) 5,636,097 NET OTHER ASSETS AND LIABILITIES--0.4% 24,334 ------------- NET ASSETS--100.0% $ 5,660,431 ============= (a) Non-income producing security. See Notes to Financial Statements Page 69 First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund Portfolio of Investments July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCKS--100.0% AEROSPACE & DEFENSE--1.1% 168 Goodrich Corp. $ 10,569 106 Lockheed Martin Corp. 10,439 525 Northrop Grumman Corp. 39,952 ------------- 60,960 ------------- AIR FREIGHT & LOGISTICS--0.9% 369 FedEx Corp. 40,863 137 United Parcel Service, Inc., Class B 10,374 ------------- 51,237 ------------- AIRLINES--0.6% 2,059 Southwest Airlines Co. 32,244 ------------- AUTO COMPONENTS--0.2% 86 Johnson Controls, Inc. 9,731 ------------- BEVERAGES--1.0% 843 Constellation Brands, Inc., Class A (a) 18,487 443 Molson Coors Brewing Co., Class B 39,400 ------------- 57,887 ------------- CAPITAL MARKETS--1.6% 293 Bear Stearns (The) Cos., Inc. 35,517 451 E*TRADE Financial Corp. (a) 8,353 208 Legg Mason, Inc. 18,720 245 Merrill Lynch & Co., Inc. 18,179 119 Morgan Stanley 7,601 ------------- 88,370 ------------- CHEMICALS--3.8% 255 Air Products and Chemicals, Inc. 22,024 156 Ashland, Inc. 9,525 1,157 Dow Chemical (The) Co. 50,306 636 Eastman Chemical Co. 43,770 403 E.I. du Pont de Nemours and Co. 18,832 1,041 Hercules, Inc. (a) 21,611 269 PPG Industries, Inc. 20,517 561 Rohm and Haas Co. 31,708 ------------- 218,293 ------------- COMMERCIAL BANKS--4.0% 245 BB&T Corp. 9,168 168 Comerica, Inc. 8,847 256 First Horizon National Corp. 8,120 900 Huntington Bancshares, Inc. 17,280 894 KeyCorp 31,013 94 M&T Bank Corp. 9,991 1,229 National City Corp. 36,120 429 PNC Financial Services Group, Inc. 28,593 301 Regions Financial Corp. 9,051 116 SunTrust Banks, Inc. 9,083 599 Wachovia Corp. 28,279 COMMERCIAL BANKS (CONTINUED) 283 Wells Fargo & Co. $ 9,557 266 Zions Bancorporation 19,830 ------------- 224,932 ------------- COMMERCIAL SERVICES & SUPPLIES --1.9% 2,280 Allied Waste Industries, Inc. (a) 29,344 150 Avery Dennison Corp. 9,201 706 R.R. Donnelley & Sons Co. 29,836 273 Robert Half International, Inc. 9,279 786 Waste Management, Inc. 29,891 ------------- 107,551 ------------- COMMUNICATIONS EQUIPMENT--1.3% 2,791 ADC Telecommunications, Inc. (a) 52,165 564 Motorola, Inc. 9,582 927 Tellabs, Inc. (a) 10,521 ------------- 72,268 ------------- COMPUTERS & PERIPHERALS--0.4% 459 Hewlett-Packard Co. 21,128 ------------- CONTAINERS & PACKAGING--1.1% 925 Bemis Co., Inc. 27,260 989 Sealed Air Corp. 26,950 162 Temple-Inland, Inc. 9,417 ------------- 63,627 ------------- DISTRIBUTORS--0.3% 413 Genuine Parts Co. 19,651 ------------- DIVERSIFIED FINANCIAL SERVICES --1.7% 628 Bank of America Corp. 29,780 746 CIT Group, Inc. 30,721 195 Citigroup, Inc. 9,081 634 JPMorgan Chase & Co. 27,902 ------------- 97,484 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES--2.4% 493 AT&T, Inc. 19,306 1,043 CenturyTel, Inc. 47,842 1,340 Citizens Communications Co. 19,336 158 Embarq Corp. 9,763 746 Verizon Communications, Inc. 31,795 676 Windstream Corp. 9,302 ------------- 137,344 ------------- ELECTRIC UTILITIES--5.2% 682 American Electric Power Co., Inc. 29,660 2,795 Duke Energy Corp. 47,599 191 Entergy Corp. 19,092 632 FirstEnergy Corp. 38,394 361 FPL Group, Inc. 20,841 Page 70 See Notes to Financial Statements First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund Portfolio of Investments (Continued) July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRIC UTILITIES (CONTINUED) 1,284 Pinnacle West Capital Corp. $ 48,124 213 PPL Corp. 10,041 1,123 Progress Energy, Inc. 49,030 895 Southern Co. 30,108 ------------- 292,889 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--1.2% 1,705 Molex, Inc. 48,320 5,561 Solectron Corp. (a) 20,909 ------------- 69,229 ------------- ENERGY EQUIPMENT & SERVICES --3.1% 487 Baker Hughes, Inc. 38,497 838 ENSCO International, Inc. 51,177 890 Halliburton Co. 32,058 1,249 Rowan Cos., Inc. 52,695 ------------- 174,427 ------------- FOOD & STAPLES RETAILING--1.8% 728 Kroger (The) Co. 18,899 1,203 Safeway, Inc. 38,340 884 SUPERVALU, Inc. 36,836 261 Whole Foods Market, Inc. 9,667 ------------- 103,742 ------------- FOOD PRODUCTS--1.9% 1,546 Archer-Daniels-Midland Co. 51,946 1,284 Dean Foods Co. (a) 36,941 171 General Mills, Inc. 9,511 283 Kraft Foods, Inc., Class A 9,268 ------------- 107,666 ------------- GAS UTILITIES--0.7% 954 Nicor, Inc. 37,597 ------------- HEALTH CARE PROVIDERS & SERVICES--0.9% 202 Aetna, Inc. 9,710 167 McKesson Corp. 9,646 385 WellPoint, Inc. (a) 28,921 ------------- 48,277 ------------- HOTELS, RESTAURANTS & LEISURE --1.3% 839 Carnival Corp. 37,176 457 Starwood Hotels & Resorts Worldwide, Inc. 28,773 275 Wyndham Worldwide Corp. 9,254 ------------- 75,203 ------------- HOUSEHOLD DURABLES--3.5% 249 Fortune Brands, Inc. $ 20,244 1,299 KB Home 41,321 2,320 Leggett & Platt, Inc. 48,095 840 Lennar Corp., Class A 25,754 912 Pulte Homes, Inc. 17,638 337 Stanley Works (The) 18,646 276 Whirlpool Corp. 28,182 ------------- 199,880 ------------- HOUSEHOLD PRODUCTS--0.4% 306 Kimberly-Clark Corp. 20,585 ------------- INDUSTRIAL CONGLOMERATES--1.6% 353 3M Co. 31,389 1,211 Tyco International Ltd. 57,268 ------------- 88,657 ------------- INSURANCE--8.9% 818 ACE Ltd. 47,215 666 Allstate (The) Corp. 35,398 521 Assurant, Inc. 26,425 945 Chubb (The) Corp. 47,637 708 Cincinnati Financial Corp. 27,754 595 Genworth Financial, Inc., Class A 18,159 311 Hartford Financial Services Group (The), Inc. 28,572 140 Lincoln National Corp. 8,445 802 Loews Corp. 38,015 323 Marsh & McLennan Cos., Inc. 8,899 658 MBIA, Inc. 36,914 102 Prudential Financial, Inc. 9,040 822 SAFECO Corp. 48,061 305 Torchmark Corp. 18,770 956 Travelers (The) Cos., Inc. 48,545 383 Unum Group 9,307 607 XL Capital Ltd., Class A 47,261 ------------- 504,417 ------------- INTERNET SOFTWARE & SERVICES --0.5% 967 VeriSign, Inc. (a) 28,710 ------------- IT SERVICES--1.8% 692 Computer Sciences Corp. (a) 38,531 1,688 Convergys Corp. (a) 32,156 1,107 Electronic Data Systems Corp. 29,878 ------------- 100,565 ------------- LEISURE EQUIPMENT & PRODUCTS --1.4% 1,568 Brunswick Corp. 43,842 652 Hasbro, Inc. 18,269 809 Mattel, Inc. 18,534 ------------- 80,645 ------------- See Notes to Financial Statements Page 71 First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund Portfolio of Investments (Continued) July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) LIFE SCIENCES TOOLS & SERVICES --0.2% 383 PerkinElmer, Inc. $ 10,659 ------------- MACHINERY--3.5% 303 Cummins, Inc. 35,966 401 Dover Corp. 20,451 220 Eaton Corp. 21,380 566 Illinois Tool Works, Inc. 31,158 373 Ingersoll-Rand Co., Ltd., Class A 18,769 235 PACCAR, Inc. 19,228 523 Parker Hannifin Corp. 51,610 ------------- 198,562 ------------- MEDIA--4.4% 921 CBS Corp., Class B 29,214 1,328 DIRECTV Group (The), Inc. (a) 29,760 448 E.W. Scripps (The) Co., Class A 18,355 931 Gannett Co., Inc. 46,457 471 News Corp., Class A 9,948 1,945 Time Warner, Inc. 37,461 1,392 Tribune Co. 38,920 1,199 Walt Disney (The) Co. 39,567 ------------- 249,682 ------------- METALS & MINING--2.1% 1,010 Alcoa, Inc. 38,582 371 Freeport-McMoRan Copper & Gold, Inc. 34,867 471 United States Steel Corp. 46,294 ------------- 119,743 ------------- MULTILINE RETAIL--2.5% 1,424 Dillard's, Inc., Class A 42,564 424 J. C. Penney Co., Inc. 28,849 1,029 Macy's, Inc. 37,116 241 Sears Holdings Corp. (a) 32,966 ------------- 141,495 ------------- MULTI-UTILITIES--8.4% 835 Ameren Corp. 40,063 1,176 CenterPoint Energy, Inc. 19,380 1,189 CMS Energy Corp. 19,214 1,133 Consolidated Edison, Inc. 49,489 237 Dominion Resources, Inc. 19,960 1,061 DTE Energy Co. 49,209 605 Integrys Energy Group, Inc. 29,941 975 KeySpan Corp. 40,511 2,470 NiSource, Inc. 47,103 904 PG&E Corp. 38,700 691 Sempra Energy 36,430 2,382 TECO Energy, Inc. 38,445 2,499 Xcel Energy, Inc. 50,731 ------------- 479,176 ------------- OFFICE ELECTRONICS--0.7% 2,214 Xerox Corp. (a) $ 38,656 ------------- OIL, GAS & CONSUMABLE FUELS --5.3% 607 Chevron Corp. 51,753 652 ConocoPhillips 52,707 868 Hess Corp. 53,121 853 Marathon Oil Corp. 47,086 884 Occidental Petroleum Corp. 50,140 692 Valero Energy Corp. 46,371 ------------- 301,178 ------------- PAPER & FOREST PRODUCTS--1.5% 1,310 International Paper Co. 48,562 283 MeadWestvaco Corp. 9,209 389 Weyerhaeuser Co. 27,712 ------------- 85,483 ------------- PHARMACEUTICALS--1.4% 2,500 King Pharmaceuticals, Inc. (a) 42,525 1,600 Pfizer, Inc. 37,616 ------------- 80,141 ------------- REAL ESTATE INVESTMENT TRUSTS --0.8% 501 Boston Properties, Inc. 47,339 ------------- ROAD & RAIL--3.5% 361 Burlington Northern Santa Fe Corp. 29,653 908 CSX Corp. 43,048 778 Norfolk Southern Corp. 41,841 951 Ryder System, Inc. 51,706 267 Union Pacific Corp. 31,810 ------------- 198,058 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--4.1% 265 Analog Devices, Inc. 9,394 1,544 Applied Materials, Inc. 34,030 861 Intel Corp. 20,337 5,450 LSI Corp. (a) 39,240 299 Maxim Integrated Products, Inc. 9,478 4,083 Micron Technology, Inc. (a) 48,465 1,803 Novellus Systems, Inc. (a) 51,422 1,164 Teradyne, Inc. (a) 18,263 ------------- 230,629 ------------- SPECIALTY RETAIL--2.7% 1,823 AutoNation, Inc. (a) 35,512 1,071 Gap (The), Inc. 18,421 746 Limited Brands, Inc. 18,016 1,013 Office Depot, Inc. (a) 25,284 1,041 OfficeMax, Inc. 34,228 308 Sherwin-Williams (The) Co. 21,465 ------------- 152,926 ------------- Page 72 See Notes to Financial Statements First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund Portfolio of Investments (Continued) July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) THRIFTS & MORTGAGE FINANCE --0.9% 900 MGIC Investment Corp. $ 34,794 480 Washington Mutual, Inc. 18,014 ------------- 52,808 ------------- TOBACCO--0.3% 142 Altria Group, Inc. 9,439 153 Reynolds American, Inc. 9,359 ------------- 18,798 ------------- WIRELESS TELECOMMUNICATION SERVICES--1.2% 455 ALLTEL Corp. 30,007 1,976 Sprint Nextel Corp. 40,568 ------------- 70,575 ------------- TOTAL INVESTMENTS)--100.0% (Cost $6,202,618) 5,671,104 NET OTHER ASSETS AND LIABILITIES--(0.0%) (1,862) ------------- NET ASSETS--100.0% $ 5,669,242 ============= (a) Non-income producing security. See Notes to Financial Statements Page 73 First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund Portfolio of Investments July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCK--100.0% AEROSPACE & DEFENSE--4.5% 468 Boeing (The) Co. $ 48,405 431 General Dynamics Corp. 33,859 594 L-3 Communications Holdings, Inc. 57,951 477 Precision Castparts Corp. 65,377 318 Rockwell Collins, Inc. 21,847 476 United Technologies Corp. 34,734 ------------- 262,173 ------------- AIR FREIGHT & LOGISTICS--0.5% 642 C.H. Robinson Worldwide, Inc. 31,233 ------------- BEVERAGES--0.7% 154 Brown-Forman Corp., Class B 10,232 215 Coca-Cola (The) Co. 11,204 668 Pepsi Bottling Group (The), Inc. 22,351 ------------- 43,787 ------------- BIOTECHNOLOGY--1.6% 420 Biogen Idec, Inc. (a) 23,747 392 Celgene Corp. (a) 23,740 175 Genzyme Corp. (a) 11,037 870 Gilead Sciences, Inc. (a) 32,390 ------------- 90,914 ------------- BUILDING PRODUCTS--0.9% 981 American Standard Cos., Inc. 53,023 ------------- CAPITAL MARKETS--5.7% 708 Ameriprise Financial, Inc. 42,671 548 Charles Schwab (The) Corp. 11,031 293 Federated Investors, Inc., Class B 10,551 340 Franklin Resources, Inc. 43,306 265 Goldman Sachs Group (The), Inc. 49,910 1,616 Janus Capital Group, Inc. 48,577 604 Lehman Brothers Holdings, Inc. 37,448 350 Northern Trust Corp. 21,861 329 State Street Corp. 22,053 867 T. Rowe Price Group, Inc. 45,197 ------------- 332,605 ------------- CHEMICALS--2.5% 647 International Flavors & Fragrances, Inc. 32,421 856 Monsanto Co. 55,169 625 Praxair, Inc. 47,888 264 Sigma-Aldrich Corp. 11,964 ------------- 147,442 ------------- COMMERCIAL BANKS--1.3% 912 Commerce Bancorp, Inc. 30,506 489 Compass Bancshares, Inc. 33,879 366 Synovus Financial Corp. 10,233 ------------- 74,618 ------------- COMMERCIAL SERVICES & SUPPLIES--0.7% 285 Cintas Corp., Class A $ 10,420 760 Equifax, Inc. 30,749 ------------- 41,169 ------------- COMMUNICATIONS EQUIPMENT --3.8% 3,435 Avaya, Inc. (a) 56,815 1,245 Ciena Corp. (a) 45,480 1,211 Cisco Systems, Inc. (a) 35,010 880 Corning, Inc. (a) 20,979 1,787 Juniper Networks, Inc. (a) 53,539 259 QUALCOMM, Inc. 10,787 ------------- 222,610 ------------- COMPUTERS & PERIPHERALS--5.0% 474 Apple, Inc. (a) 62,454 1,576 Dell, Inc. (a) 44,081 3,196 EMC Corp. (a) 59,158 321 International Business Machines Corp. 35,519 856 NCR Corp. (a) 44,700 689 SanDisk Corp. (a) 36,951 2,138 Sun Microsystems, Inc. (a) 10,904 ------------- 293,767 ------------- CONSTRUCTION & ENGINEERING--1.0% 519 Fluor Corp. 59,950 ------------- CONSTRUCTION MATERIALS--0.3% 196 Vulcan Materials Co. 18,761 ------------- CONSUMER FINANCE--1.2% 368 American Express Co. 21,543 143 Capital One Financial Corp. 10,119 781 SLM Corp. (a) 38,401 ------------- 70,063 ------------- CONTAINERS & PACKAGING--1.0% 1,088 Ball Corp. 55,782 ------------- DIVERSIFIED CONSUMER SERVICES --0.7% 577 Apollo Group, Inc., Class A (a) 34,106 481 H&R Block, Inc. 9,596 ------------- 43,702 ------------- ELECTRIC UTILITIES--1.3% 217 Allegheny Energy, Inc. (a) 11,334 802 Edison International$ 42,417 310 Exelon Corp. 21,747 ------------- 75,498 ------------- ELECTRICAL EQUIPMENT--1.9% 1,013 Cooper Industries Ltd., Class A 53,608 721 Emerson Electric Co. 33,937 Page 74 See Notes to Financial Statements First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund Portfolio of Investments (Continued) July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCK (CONTINUED) ELECTRICAL EQUIPMENT (CONTINUED) 324 Rockwell Automation, Inc. $ 22,677 ------------- 110,222 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--0.9% 293 Agilent Technologies, Inc. (a) 11,178 510 Jabil Circuit, Inc. 11,490 1,000 Tektronix, Inc. 32,850 ------------- 55,518 ------------- ENERGY EQUIPMENT & SERVICES--6.8% 1,011 Nabors Industries Ltd. (a) 29,562 555 National Oilwell Varco, Inc. (a) 66,661 593 Noble Corp. 60,759 681 Schlumberger Ltd. 64,504 986 Smith International, Inc. 60,550 546 Transocean, Inc. (a) 58,668 1,047 Weatherford International Ltd. (a) 57,931 ------------- 398,635 ------------- FOOD & STAPLES RETAILING--1.1% 1,234 CVS Caremark Corp. 43,424 468 Wal-Mart Stores, Inc. 21,505 ------------- 64,929 ------------- FOOD PRODUCTS--0.4% 407 Wm. Wrigley Jr. Co. 23,476 ------------- GAS UTILITIES--0.6% 638 Questar Corp. 32,851 ------------- HEALTH CARE EQUIPMENT & SUPPLIES--2.1% 599 Baxter International, Inc. 31,507 492 Biomet, Inc. (a) 22,401 813 St. Jude Medical, Inc. (a) 35,073 357 Stryker Corp. 22,288 132 Zimmer Holdings, Inc. (a) 10,264 ------------- 121,533 ------------- HEALTH CARE PROVIDERS & SERVICES--5.5% 478 Cardinal Health, Inc. 31,419 861 CIGNA Corp. 44,462 585 Coventry Health Care, Inc. (a) 32,649 1,157 Express Scripts, Inc. (a) 58,000 739 Humana, Inc. (a) 47,363 287 Laboratory Corp. of America Holdings (a) 21,195 886 Manor Care, Inc. 56,128 302 Patterson Cos., Inc. (a) 10,833 440 UnitedHealth Group, Inc. 21,309 ------------- 323,358 ------------- HEALTH CARE TECHNOLOGY--0.5% 1,050 IMS Health, Inc. $ 29,537 ------------- HOTELS, RESTAURANTS & LEISURE --2.4% 256 Darden Restaurants, Inc. 10,898 264 Harrah's Entertainment, Inc. 22,358 672 Hilton Hotels Corp. 29,709 886 McDonald's Corp. 42,413 1,031 Yum! Brands, Inc. 33,033 ------------- 138,411 ------------- HOUSEHOLD DURABLES--1.0% 127 Black & Decker (The) Corp. 10,994 385 Harman International Industries, Inc. 44,660 ------------- 55,654 ------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS--1.1% 1,028 AES (The) Corp. (a) 20,200 516 Constellation Energy Group 43,241 ------------- 63,441 ------------- INDUSTRIAL CONGLOMERATES--0.2% 294 General Electric Co. 11,395 ------------- INSURANCE--0.9% 219 AFLAC, Inc. 11,414 161 American International Group, Inc. 10,333 523 MetLife, Inc. 31,495 ------------- 53,242 ------------- INTERNET & CATALOG RETAIL--1.1% 845 Amazon.com, Inc. (a) 66,366 ------------- INTERNET SOFTWARE & SERVICES--0.8% 86 Google, Inc., Class A (a) 43,860 ------------- IT SERVICES--2.1% 397 Affiliated Computer Services, Inc., Class A (a) 21,303 1,066 Fidelity National Information Services, Inc. 52,906 688 First Data Corp. 21,872 594 Fiserv, Inc. (a) 29,355 ------------- 125,436 ------------- LIFE SCIENCES TOOLS & SERVICES --1.9% 449 Millipore Corp. (a) 35,296 870 Thermo Fisher Scientific, Inc. (a) 45,422 568 Waters Corp. (a) 33,092 ------------- 113,810 ------------- MACHINERY--5.0% 575 Caterpillar, Inc. 45,310 298 Danaher Corp. 22,255 See Notes to Financial Statements Page 75 First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund Portfolio of Investments (Continued) July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCK (CONTINUED) MACHINERY (CONTINUED) 479 Deere & Co. $ 57,681 847 ITT Corp. 53,259 1,258 Pall Corp. 52,232 711 Terex Corp. (a) 61,324 ------------- 292,061 ------------- MEDIA--2.0% 595 Clear Channel Communications, Inc. 21,956 1,200 Comcast Corp., Class A (a) 31,523 165 McGraw-Hill (The) Cos., Inc. 9,983 548 Meredith Corp. 30,957 213 Omnicom Group, Inc. 11,048 270 Viacom, Inc., Class B (a) 10,341 ------------- 115,808 ------------- METALS & MINING--0.9% 429 Allegheny Technologies, Inc. 45,015 192 Nucor Corp. 9,638 ------------- 54,653 ------------- MULTILINE RETAIL--3.0% 1,529 Big Lots, Inc. (a) 39,540 1,685 Family Dollar Stores, Inc. 49,909 317 Kohl's Corp. (a) 19,274 440 Nordstrom, Inc. 20,935 707 Target Corp. 42,823 ------------- 172,481 ------------- OIL, GAS & CONSUMABLE FUELS --6.5% 865 Anadarko Petroleum Corp. 43,535 414 Apache Corp. 33,468 1,300 Chesapeake Energy Corp. 44,252 244 CONSOL Energy, Inc. 10,163 287 Devon Energy Corp. 21,413 402 Exxon Mobil Corp. 34,222 757 Murphy Oil Corp. 46,964 465 Peabody Energy Corp. 19,651 726 Sunoco, Inc. 48,440 1,067 Williams (The) Cos., Inc. 34,411 749 XTO Energy, Inc. 40,843 ------------- 377,362 ------------- PERSONAL PRODUCTS--0.4% 306 Avon Products, Inc. 11,019 247 Estee Lauder (The) Cos., Inc., Class A 11,120 ------------- 22,139 ------------- PHARMACEUTICALS--2.5% 224 Barr Pharmaceuticals, Inc. (a) 11,473 1,900 Schering-Plough Corp. 54,226 1,778 Watson Pharmaceuticals, Inc. (a) 54,087 PHARMACEUTICALS (CONTINUED) 588 Wyeth $ 28,530 ------------- 148,316 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT--0.7% 1,233 CB Richard Ellis Group, Inc., Class A (a) 43,056 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--4.9% 1,525 Altera Corp. 35,380 614 KLA-Tencor Corp. 34,869 311 Linear Technology Corp. 11,087 736 MEMC Electronic Materials, Inc. (a) 45,132 796 National Semiconductor Corp. 20,688 1,400 NVIDIA Corp. (a) 64,064 2,910 PMC-Sierra, Inc. (a) 22,174 1,195 Texas Instruments, Inc. 42,052 420 Xilinx, Inc. 10,500 ------------- 285,946 ------------- SOFTWARE--2.6% 956 Autodesk, Inc. (a) 40,506 435 CA, Inc. 10,910 334 Citrix Systems, Inc. (a) 12,081 382 Microsoft Corp. 11,074 2,282 Oracle Corp. (a) 43,631 1,670 Symantec Corp. (a) 32,064 ------------- 150,266 ------------- SPECIALTY RETAIL--3.5% 308 Abercrombie & Fitch Co., Class A 21,529 329 AutoZone, Inc. (a) 41,720 572 Home Depot (The), Inc. 21,261 1,745 RadioShack Corp. 43,852 1,090 Tiffany & Co. 52,593 818 TJX (The) Cos., Inc. 22,700 ------------- 203,655 ------------- TEXTILES, APPAREL & LUXURY GOODS--2.6% 475 Coach, Inc. (a) 21,594 772 NIKE, Inc., Class B 43,579 590 Polo Ralph Lauren Corp. 52,716 368 VF Corp. 31,571 ------------- 149,460 ------------- THRIFTS & MORTGAGE FINANCE --0.5% 619 Countrywide Financial Corp. 17,437 185 Freddie Mac 10,595 ------------- 28,032 ------------- Page 76 See Notes to Financial Statements First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund Portfolio of Investments (Continued) July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCK (CONTINUED) TRADING COMPANIES & DISTRIBUTORS --0.9% 622 W.W. Grainger, Inc. $ 54,338 ------------- TOTAL INVESTMENTS--100.0% (Cost $6,078,689) 5,846,344 NET OTHER ASSETS AND LIABILITIES--(0.0%) (1,786) ------------- NET ASSETS--100.0% $ 5,844,558 ============= (a) Non-income producing security. See Notes to Financial Statements Page 77 First Trust Multi Cap Value AlphaDEX(TM) Fund Portfolio of Investments July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCKS --100.2% AEROSPACE & DEFENSE--0.9% 71 AAR Corp. (a) $ 2,118 83 Esterline Technologies Corp. (a) 3,842 42 Goodrich Corp. 2,642 27 Lockheed Martin Corp. 2,659 132 Northrop Grumman Corp. 10,045 61 Triumph Group, Inc. 4,649 ------------- 25,955 ------------- AIR FREIGHT & LOGISTICS--0.5% 92 FedEx Corp. 10,189 34 United Parcel Service, Inc., Class B 2,574 ------------- 12,763 ------------- AIRLINES--0.8% 278 Alaska Air Group, Inc. (a) 6,486 286 Frontier Airlines Holdings, Inc. (a) 1,516 484 Mesa Air Group, Inc. (a) 3,219 168 SkyWest, Inc. 3,748 516 Southwest Airlines Co. 8,080 ------------- 23,049 ------------- AUTO COMPONENTS--0.8% 45 BorgWarner, Inc. 3,890 22 Johnson Controls, Inc. 2,489 428 Modine Manufacturing Co. 10,957 266 Standard Motor Products, Inc. 3,312 108 Superior Industries International, Inc. 1,998 ------------- 22,646 ------------- AUTOMOBILES--0.0% 55 Monaco Coach Corp. 767 ------------- BEVERAGES--0.8% 211 Constellation Brands, Inc., Class A (a) 4,627 111 Molson Coors Brewing Co., Class B 9,873 236 PepsiAmericas, Inc. 6,530 ------------- 21,030 ------------- BUILDING PRODUCTS--0.3% 28 Apogee Enterprises, Inc. 721 106 Gibraltar Industries, Inc. 2,047 108 Griffon Corp. (a) 1,898 69 Lennox International, Inc. 2,643 38 Universal Forest Products, Inc. 1,503 ------------- 8,812 ------------- CAPITAL MARKETS--1.0% 73 Bear Stearns (The) Cos., Inc. 8,849 113 E*TRADE Financial Corp. (a) 2,093 106 LaBranche & Co, Inc. (a) 686 52 Legg Mason, Inc. 4,680 CAPITAL MARKETS (CONTINUED) 61 Merrill Lynch & Co., Inc. $ 4,526 30 Morgan Stanley 1,916 29 Piper Jaffray Cos., Inc. (a) 1,390 148 SWS Group, Inc. 2,612 ------------- 26,752 ------------- CHEMICALS--4.4% 66 A. Schulman, Inc. 1,533 64 Air Products & Chemicals, Inc. 5,528 49 Albemarle Corp. 1,971 22 Arch Chemicals, Inc. 778 39 Ashland, Inc. 2,381 122 Cabot Corp. 4,926 121 Cytec Industries, Inc. 8,106 290 Dow Chemical (The) Co. 12,610 101 E.I. du Pont de Nemours and Co. 4,720 159 Eastman Chemical Co. 10,942 43 FMC Corp. 3,833 88 Georgia Gulf Corp. 1,425 54 H.B. Fuller Co. 1,492 261 Hercules, Inc. (a) 5,418 60 Lubrizol (The) Corp. 3,760 339 Material Sciences Corp. (a) 3,729 369 Olin Corp. 7,701 30 OM Group, Inc. (a) 1,453 147 Penford Corp. 5,252 445 PolyOne Corp. (a) 3,346 67 PPG Industries, Inc. 5,110 136 Quaker Chemical Corp. 2,954 141 Rohm & Haas Co. 7,969 305 Sensient Technologies Corp. 7,747 285 Tronox, Inc., Class B 3,506 136 Valspar (The) Corp. 3,752 ------------- 121,942 ------------- COMMERCIAL BANKS--3.1% 13 Alabama National BanCorporation 694 57 Associated Banc-Corp. 1,638 61 BB&T Corp. 2,283 88 Boston Private Financial Holdings, Inc. 2,243 56 Cathay General Bancorp 1,714 71 Central Pacific Financial Corp. 2,003 46 Chittenden Corp. 1,539 42 Comerica, Inc. 2,212 160 Community Bank System, Inc. 2,878 147 First Commonwealth Financial Corp. 1,394 64 First Horizon National Corp. 2,030 67 Greater Bay Bancorp 1,801 94 Hanmi Financial Corp. 1,363 226 Huntington Bancshares, Inc. 4,339 52 Irwin Financial Corp. 609 224 KeyCorp 7,770 23 M&T Bank Corp. 2,445 308 National City Corp. 9,051 107 PNC Financial Services Group, Inc. 7,131 Page 78 See Notes to Financial Statements First Trust Multi Cap Value AlphaDEX(TM) Fund Portfolio of Investments (Continued) July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMERCIAL BANKS (CONTINUED) 24 Prosperity Bancshares, Inc. $ 680 49 Provident Bankshares Corp. 1,406 76 Regions Financial Corp. 2,285 35 South Financial Group (The), Inc. 755 55 Sterling Financial Corp. 1,249 29 SunTrust Banks, Inc. 2,271 72 Susquehanna Bancshares, Inc. 1,246 68 Umpqua Holdings Corp. 1,293 150 Wachovia Corp. 7,082 91 Webster Financial Corp. 3,955 71 Wells Fargo & Co. 2,398 26 Whitney Holding Corp. 650 18 Wintrust Financial Corp. 709 67 Zions Bancorporation 4,995 ------------- 86,111 ------------- COMMERCIAL SERVICES & SUPPLIES--2.8% 155 ABM Industries, Inc. 3,900 572 Allied Waste Industries, Inc. (a) 7,362 190 Angelica Corp. 4,148 38 Avery Dennison Corp. 2,331 164 Bowne & Co., Inc. 2,844 30 Brink's (The) Co. 1,835 24 CDI Corp. 679 46 Consolidated Graphics, Inc. (a) 3,032 101 G&K Services, Inc., Class A 3,763 59 Herman Miller, Inc. 1,801 46 HNI Corp. 1,878 282 Kelly Services, Inc., Class A 7,008 313 Navigant Consulting, Inc. (a) 4,930 73 On Assignment, Inc. (a) 732 177 R.R. Donnelley & Sons Co. 7,479 61 Republic Services, Inc. 1,949 68 Robert Half International, Inc. 2,311 45 School Specialty, Inc. (a) 1,550 341 Spherion Corp. (a) 3,011 48 United Stationers, Inc. (a) 3,060 76 Viad Corp. 2,732 128 Volt Information Sciences, Inc. (a) 1,994 197 Waste Management, Inc. 7,491 ------------- 77,820 ------------- COMMUNICATIONS EQUIPMENT--1.1% 699 ADC Telecommunications, Inc. (a) 13,064 72 ADTRAN, Inc. 1,878 47 Bel Fuse, Inc., Class B 1,421 77 Black Box Corp. 3,099 160 Digi International, Inc. (a) 2,285 63 Dycom Industries, Inc. (a) 1,761 33 Inter-Tel, Inc. 819 141 Motorola, Inc. 2,396 93 Symmetricom, Inc. (a) 694 232 Tellabs, Inc. (a) 2,633 COMMUNICATIONS EQUIPMENT (CONTINUED) 74 Tollgrade Communications, Inc. (a) $ 764 ------------- 30,814 ------------- COMPUTERS & PERIPHERALS--0.7% 618 Adaptec, Inc. (a) 2,163 115 Hewlett-Packard Co. 5,293 213 Hutchinson Technology, Inc. (a) 4,273 210 Imation Corp. 6,569 37 Intevac, Inc. (a) 601 117 Palm, Inc. (a) 1,746 ------------- 20,645 ------------- CONSTRUCTION & ENGINEERING --0.1% 27 EMCOR Group, Inc. (a) 969 48 URS Corp. (a) 2,365 ------------- 3,334 ------------- CONSTRUCTION MATERIALS--0.1% 28 Florida Rock Industries, Inc. 1,778 30 Texas Industries, Inc. 2,365 ------------- 4,143 ------------- CONSUMER FINANCE--0.2% 219 AmeriCredit Corp. (a) 4,454 40 Cash America International, Inc. 1,465 ------------- 5,919 ------------- CONTAINERS & PACKAGING--1.3% 90 AptarGroup, Inc. 3,276 232 Bemis Co., Inc. 6,837 187 Chesapeake Corp. 2,085 35 Myers Industries, Inc. 749 229 Packaging Corp of America 5,844 126 Rock-Tenn Co., Class A 3,871 248 Sealed Air Corp. 6,758 90 Sonoco Products Co. 3,300 41 Temple-Inland, Inc. 2,383 ------------- 35,103 ------------- DISTRIBUTORS--0.3% 60 Audiovox Corp., Class A (a) 607 226 Building Materials Holding Corp. 3,139 103 Genuine Parts Co. 4,901 ------------- 8,647 ------------- DIVERSIFIED CONSUMER SERVICES --0.3% 11 CPI Corp. 646 202 Regis Corp. 7,042 ------------- 7,688 ------------- See Notes to Financial Statements Page 79 First Trust Multi Cap Value AlphaDEX(TM) Fund Portfolio of Investments (Continued) July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) DIVERSIFIED FINANCIAL SERVICES --0.9% 157 Bank of America Corp. $ 7,445 187 CIT Group, Inc. 7,700 49 Citigroup, Inc. 2,282 26 Financial Federal Corp. 737 159 JPMorgan Chase & Co. 6,998 ------------- 25,162 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES--1.3% 124 AT&T, Inc. 4,856 250 CenturyTel, Inc. 11,468 336 Citizens Communications Co. 4,848 105 CT Communications, Inc. 3,218 39 Embarq Corp. 2,410 187 Verizon Communications, Inc. 7,970 169 Windstream Corp. 2,325 ------------- 37,095 ------------- ELECTRIC UTILITIES--5.0% 34 ALLETE, Inc. 1,491 171 American Electric Power Co., Inc. 7,437 106 Central Vermont Public Service Corp. 3,604 131 Cleco Corp. 3,111 701 Duke Energy Corp. 11,938 163 El Paso Electric Co. (a) 3,793 48 Entergy Corp. 4,798 158 FirstEnergy Corp. 9,599 90 FPL Group, Inc. 5,196 266 Great Plains Energy, Inc. 7,384 163 Hawaiian Electric Industries, Inc. 3,718 302 IDACORP, Inc. 9,350 205 Northeast Utilities 5,605 206 Pepco Holdings, Inc. 5,576 322 Pinnacle West Capital Corp. 12,069 53 PPL Corp. 2,498 281 Progress Energy, Inc. 12,268 441 Sierra Pacific Resources (a) 7,007 224 Southern Co. 7,535 97 UIL Holdings Corp. 2,869 97 Unisource Energy Corp. 2,952 399 Westar Energy, Inc. 9,185 ------------- 138,983 ------------- ELECTRICAL EQUIPMENT--0.4% 59 A.O. Smith Corp. 2,864 16 Baldor Electric Co. 730 14 Belden, Inc. 767 71 Hubbell, Inc., Class B 4,093 51 Regal-Beloit Corp. 2,587 ------------- 11,041 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--2.7% 71 Agilysys, Inc. $ 1,364 43 Anixter International, Inc. (a) 3,554 252 Arrow Electronics, Inc. (a) 9,631 98 Avnet, Inc. (a) 3,712 245 Bell Microproducts, Inc. (a) 1,539 104 Benchmark Electronics, Inc. (a) 2,309 52 Coherent, Inc. (a) 1,505 186 CTS Corp. 2,370 38 Electro Scientific Industries, Inc. (a) 834 67 Gerber Scientific, Inc. (a) 695 267 Ingram Micro, Inc. Class A (a) 5,353 104 Insight Enterprises, Inc. (a) 2,346 549 KEMET Corp. (a) 3,865 204 Methode Electronics, Inc. 3,299 427 Molex, Inc. 12,102 152 Newport Corp. (a) 1,987 83 Park Electrochemical Corp. 2,461 34 Plexus Corp. (a) 825 21 Rogers Corp. (a) 759 1,394 Solectron Corp. (a) 5,241 612 Vishay Intertechnology, Inc. (a) 9,492 ------------- 75,243 ------------- ENERGY EQUIPMENT & SERVICES --2.6% 122 Baker Hughes, Inc. 9,644 81 Bristow Group, Inc. (a) 3,842 210 ENSCO International, Inc. 12,825 223 Halliburton Co. 8,032 162 Hanover Compressor Co. (a) 3,860 273 Helmerich & Payne, Inc. 8,837 313 Rowan Cos., Inc. 13,206 43 SEACOR Holdings, Inc. (a) 3,750 137 Tidewater, Inc. 9,374 ------------- 73,370 ------------- FOOD & STAPLES RETAILING--1.7% 107 BJ's Wholesale Club, Inc. (a) 3,634 59 Casey's General Stores, Inc. 1,471 95 Great Atlantic & Pacific Tea The) Co. (a) 2,769 182 Kroger (The) Co. 4,725 30 Longs Drug Stores Corp. 1,451 32 Nash Finch Co. 1,289 49 Performance Food Group Co. (a) 1,404 257 Ruddick Corp. 7,145 301 Safeway, Inc. 9,592 49 Spartan Stores, Inc. 1,434 221 SUPERVALU, Inc. 9,209 65 Whole Foods Market, Inc. 2,408 ------------- 46,531 ------------- FOOD PRODUCTS--1.9% 387 Archer-Daniels-Midland Co. 13,004 Page 80 See Notes to Financial Statements First Trust Multi Cap Value AlphaDEX(TM) Fund Portfolio of Investments (Continued) July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) FOOD PRODUCTS (CONTINUED) 322 Dean Foods Co. (a) $ 9,264 24 Flowers Foods, Inc. 492 43 General Mills, Inc. 2,392 29 Hain Celestial Group (The), Inc. (a) 786 155 Hormel Foods Corp. 5,335 42 J & J Snack Foods Corp. 1,447 29 J.M. Smucker (The) Co. 1,618 71 Kraft Foods, Inc., Class A 2,325 92 Lancaster Colony Corp. 3,562 30 Ralcorp Holdings, Inc. (a) 1,559 189 Smithfield Foods, Inc. (a) 5,870 68 Tootsie Roll Industries, Inc. 1,702 120 TreeHouse Foods, Inc. (a) 2,689 ------------- 52,045 ------------- GAS UTILITIES--2.1% 143 AGL Resources, Inc. 5,391 133 Atmos Energy Corp. 3,733 58 Energen Corp. 3,069 74 Laclede Group (The), Inc. 2,187 43 National Fuel Gas Co. 1,864 46 New Jersey Resources Corp. 2,162 239 Nicor, Inc. 9,420 87 Northwest Natural Gas Co. 3,625 77 ONEOK, Inc. 3,908 95 Piedmont Natural Gas Co. 2,203 90 South Jersey Industries, Inc. 2,949 98 Southern Union Co. 3,026 118 Southwest Gas Corp. 3,667 117 UGI Corp. 3,020 237 WGL Holdings, Inc. 7,096 ------------- 57,320 ------------- HEALTH CARE EQUIPMENT & SUPPLIES--0.5% 54 Advanced Medical Optics, Inc. (a) 1,632 11 Analogic Corp. 730 55 CONMED Corp. (a) 1,535 61 Datascope Corp. 2,099 444 Osteotech, Inc. (a) 3,183 49 Symmetry Medical, Inc. (a) 732 959 Theragenics Corp. (a) 3,788 ------------- 13,699 ------------- HEALTH CARE PROVIDERS & SERVICES--1.4% 51 Aetna, Inc. 2,452 67 AMERIGROUP Corp. (a) 1,855 117 Gentiva Health Services, Inc. (a) 2,336 315 Kindred Healthcare, Inc. (a) 8,435 200 LifePoint Hospitals, Inc. (a) 5,910 78 Matria Healthcare, Inc. (a) 2,015 42 McKesson Corp. 2,426 52 Omnicare, Inc. 1,724 HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 22 Owens & Minor, Inc. $ 846 165 RehabCare Group, Inc. (a) 2,338 111 Res-Care, Inc. (a) 2,157 96 WellPoint, Inc. (a) 7,212 ------------- 39,706 ------------- HOTELS, RESTAURANTS & LEISURE --1.5% 210 Bob Evans Farms, Inc. 6,815 74 California Pizza Kitchen, Inc. (a) 1,405 210 Carnival Corp. 9,304 44 CBRL Group, Inc. 1,691 39 CKE Restaurants, Inc. 674 106 Landry's Restaurants, Inc. 2,808 67 Marcus (The) Corp. 1,319 198 O'Charley's, Inc. 3,511 28 Pinnacle Entertainment, Inc. (a) 742 60 RARE Hospitality International, Inc. (a) 1,606 115 Starwood Hotels & Resorts Worldwide, Inc. 7,240 240 Steak n Shake (The) Co. (a) 3,600 69 Wyndham Worldwide Corp. (a) 2,322 ------------- 43,037 ------------- HOUSEHOLD DURABLES--2.5% 66 American Greetings Corp., Class A 1,632 314 Beazer Homes USA, Inc. 4,393 163 Champion Enterprises, Inc. (a) 1,910 23 Ethan Allen Interiors, Inc. 786 62 Fortune Brands, Inc. 5,041 409 Furniture Brands International, Inc. 4,507 326 KB Home 10,369 581 Leggett & Platt, Inc. 12,043 210 Lennar Corp., Class A 6,439 36 Libbey, Inc. 718 60 M/I Homes, Inc. 1,473 38 National Presto Industries, Inc. 2,134 228 Pulte Homes, Inc. 4,410 42 Russ Berrie and Co., Inc. (a) 646 84 Stanley Works (The) 4,648 65 Tupperware Brands Corp. 1,691 69 Whirlpool Corp. 7,046 ------------- 69,886 ------------- HOUSEHOLD PRODUCTS--0.2% 136 Central Garden & Pet Co., Class A (a) 1,665 77 Kimberly-Clark Corp. 5,179 ------------- 6,844 ------------- INDUSTRIAL CONGLOMERATES--1.2% 89 3M Co. 7,914 35 Sequa Corp., Class A (a) 5,779 See Notes to Financial Statements Page 81 First Trust Multi Cap Value AlphaDEX(TM) Fund Portfolio of Investments (Continued) July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) INDUSTRIAL CONGLOMERATES (CONTINUED) 56 Standex International Corp. $ 1,327 188 Tredegar Corp. 3,452 304 Tyco International Ltd. 14,375 ------------- 32,847 ------------- INSURANCE--8.1% 205 ACE Ltd. 11,833 167 Allstate (The) Corp. 8,876 227 American Financial Group, Inc 6,376 131 Assurant, Inc. 6,644 237 Chubb (The) Corp. 11,947 177 Cincinnati Financial Corp. 6,938 279 Commerce Group (The), Inc. 8,016 56 Delphi Financial Group, Inc., Class A 2,250 408 Fidelity National Financial, Inc., Class A 8,523 156 First American Corp. 7,221 149 Genworth Financial, Inc., Class A 4,547 119 Hanover Insurance Group, Inc. 5,223 78 Hartford Financial Services Group (The), Inc. 7,166 273 Horace Mann Educators Corp. 4,868 41 LandAmerica Financial Group, Inc. 3,140 35 Lincoln National Corp. 2,111 201 Loews Corp. 9,527 81 Marsh & McLennan Cos., Inc. 2,232 165 MBIA, Inc. 9,257 105 Mercury General Corp. 5,437 134 Ohio Casualty Corp. 5,817 364 Old Republic International Corp. 6,683 120 Presidential Life Corp. 1,957 57 ProAssurance Corp. (a) 2,815 81 Protective Life Corp. 3,485 26 Prudential Financial, Inc. 2,304 71 RLI Corp. 4,118 206 SAFECO Corp. 12,045 77 Safety Insurance Group, Inc. 2,564 128 SCPIE Holdings, Inc. (a) 2,876 119 Selective Insurance Group 2,442 100 Stewart Information Services Corp. 3,648 77 Torchmark Corp. 4,739 240 Travelers (The) Cos., Inc. 12,186 113 United Fire & Casualty Co. 3,889 118 Unitrin, Inc. 5,001 96 Unum Group 2,333 152 XL Capital Ltd., Class A 11,835 85 Zenith National Insurance Corp. 3,431 ------------- 226,300 ------------- INTERNET & CATALOG RETAIL--0.3% 499 Netflix, Inc. (a) 8,598 ------------- INTERNET SOFTWARE & SERVICES--0.3% 34 InfoSpace, Inc. $ 708 97 United Online, Inc. 1,370 242 VeriSign, Inc. (a) 7,185 ------------- 9,263 ------------- IT SERVICES--1.6% 71 Acxiom Corp. 1,786 89 Authorize.Net Holdings, Inc. (a) 1,542 96 CheckFree Corp. (a) 3,537 489 CIBER, Inc. (a) 3,712 173 Computer Sciences Corp. (a) 9,633 423 Convergys Corp. (a) 8,058 277 Electronic Data Systems Corp. 7,476 579 MPS Group, Inc. (a) 7,718 218 StarTek, Inc. (a) 2,389 ------------- 45,851 ------------- LEISURE EQUIPMENT & PRODUCTS --1.2% 162 Arctic Cat, Inc. 2,935 393 Brunswick Corp. 10,989 163 Hasbro, Inc. 4,567 142 JAKKS Pacific, Inc. (a) 3,367 263 K2, Inc. (a) 3,842 118 MarineMax, Inc. (a) 2,207 203 Mattel, Inc. 4,651 40 RC2 Corp. (a) 1,416 ------------- 33,974 ------------- LIFE SCIENCES TOOLS & SERVICES--0.1% 96 PerkinElmer, Inc. 2,672 ------------- MACHINERY--3.3% 19 Albany International Corp., Class A 712 74 Barnes Group, Inc. 2,309 76 Cummins, Inc. 9,021 100 Dover Corp. 5,100 55 Eaton Corp. 5,345 244 Federal Signal Corp. 3,282 74 Harsco Corp. 3,897 142 Illinois Tool Works, Inc. 7,817 94 Ingersoll-Rand Co. Ltd., Class A 4,730 118 Kennametal, Inc. 9,046 274 Lydall, Inc. (a) 3,165 93 Mueller Industries, Inc. 3,430 77 Nordson Corp. 3,524 59 PACCAR, Inc. 4,827 131 Parker Hannifin Corp. 12,926 49 Pentair, Inc. 1,774 107 Timken (The) Co. 3,574 133 Trinity Industries, Inc. 5,085 54 Wabash National Corp. 686 63 Watts Water Technologies, Inc., Class A 2,199 ------------- 92,449 ------------- Page 82 See Notes to Financial Statements First Trust Multi Cap Value AlphaDEX(TM) Fund Portfolio of Investments (Continued) July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) MARINE--0.1% 73 Alexander & Baldwin, Inc. $ 3,958 ------------- MEDIA--3.4% 376 Belo Corp., Class A 6,730 231 CBS Corp., Class B 7,327 333 DIRECTV Group (The), Inc. (a) 7,463 112 E.W. Scripps (The) Co., Class A 4,589 233 Gannett Co., Inc. 11,627 464 Lee Enterprises, Inc. 8,171 291 Media General, Inc., Class A 8,206 118 News Corp., Class A 2,492 162 Scholastic Corp. (a) 5,213 487 Time Warner, Inc. 9,380 349 Tribune Co. 9,758 300 Walt Disney (The) Co. 9,900 5 Washington Post (The) Co. 3,954 ------------- 94,810 ------------- METALS & MINING--2.1% 253 Alcoa, Inc. 9,665 66 A.M. Castle & Co. 2,179 29 AMCOL International, Corp. 830 95 Brush Engineered Materials, Inc. (a) 3,598 45 Carpenter Technology Corp. 5,341 43 Century Aluminum Co. (a) 2,216 93 Freeport-McMoRan Copper & Gold, Inc. 8,740 66 Quanex Corp. 2,974 106 Ryerson, Inc. 3,402 118 United States Steel Corp. 11,598 447 Worthington Industries, Inc. 9,253 ------------- 59,796 ------------- MULTILINE RETAIL--1.4% 357 Dillard's, Inc., Class A 10,671 239 Fred's, Inc. 2,837 106 J. C. Penney Co., Inc. 7,212 258 Macy's, Inc. 9,306 61 Sears Holdings Corp. (a) 8,344 63 Tuesday Morning Corp. 735 ------------- 39,105 ------------- MULTI-UTILITIES--7.3% 249 Alliant Energy Corp. 9,201 209 Ameren Corp. 10,028 148 Avista Corp. 2,933 195 Black Hills Corp. 7,274 295 CenterPoint Energy, Inc. 4,862 71 CH Energy Group, Inc. 3,149 298 CMS Energy Corp. 4,816 284 Consolidated Edison, Inc. 12,404 59 Dominion Resources, Inc. 4,969 266 DTE Energy Co. 12,336 297 Energy East Corp. 7,517 MULTI-UTILITIES (CONTINUED) 152 Integrys Energy Group, Inc. $ 7,522 244 KeySpan Corp. 10,138 276 MDU Resources Group, Inc. 7,524 619 NiSource, Inc. 11,804 179 NSTAR 5,630 158 OGE Energy Corp. 5,238 226 PG&E Corp. 9,675 279 PNM Resources, Inc. 7,207 400 Puget Energy, Inc. 9,260 202 SCANA Corp. 7,551 173 Sempra Energy 9,121 597 TECO Energy, Inc. 9,636 287 Vectren Corp. 7,166 131 Wisconsin Energy Corp. 5,624 626 Xcel Energy, Inc. 12,707 ------------- 205,292 ------------- OFFICE ELECTRONICS--0.4% 555 Xerox Corp. (a) 9,690 ------------- OIL, GAS & CONSUMABLE FUELS --4.6% 111 Arch Coal, Inc. 3,318 152 Chevron Corp. 12,960 246 Cimarex Energy Co. 9,311 163 ConocoPhillips 13,177 209 Encore Acquisition Co. (a) 5,407 229 Forest Oil Corp. (a) 9,268 217 Hess Corp. 13,280 214 Marathon Oil Corp. 11,813 124 Noble Energy, Inc. 7,581 222 Occidental Petroleum Corp. 12,592 119 Overseas Shipholding Group, Inc. 9,233 202 Plains Exploration & Production Co. (a) 8,728 174 Valero Energy Corp. 11,660 ------------- 128,328 ------------- PAPER & FOREST PRODUCTS--1.5% 155 Bowater, Inc. 3,041 259 Buckeye Technologies, Inc. (a) 3,970 138 Glatfelter 1,853 328 International Paper Co. 12,160 99 Louisiana-Pacific Corp. 1,833 71 MeadWestvaco Corp. 2,310 78 Neenah Paper, Inc. 3,021 806 Pope & Talbot, Inc. (a) 2,120 129 Schweitzer-Mauduit International, Inc. 2,945 176 Wausau Paper Corp. 1,969 97 Weyerhaeuser Co. 6,911 ------------- 42,133 ------------- PERSONAL PRODUCTS--0.2% 245 Alberto-Culver Co. 5,762 ------------- See Notes to Financial Statements Page 83 First Trust Multi Cap Value AlphaDEX(TM) Fund Portfolio of Investments (Continued) July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) PHARMACEUTICALS--0.9% 62 Alpharma, Inc., Class A (a) $ 1,537 627 King Pharmaceuticals, Inc. (a) 10,664 401 Pfizer, Inc. 9,428 290 ViroPharma, Inc. (a) 3,727 ------------- 25,356 ------------- REAL ESTATE INVESTMENT TRUSTS --1.3% 126 Boston Properties, Inc. 11,907 200 Cousins Properties, Inc. 5,142 44 Entertainment Properties Trust 1,960 45 Hospitality Properties Trust 1,726 103 LTC Properties, Inc. 2,067 121 Medical Properties Trust, Inc. 1,355 73 National Retail Properties, Inc. 1,581 90 Potlatch Corp. 3,932 129 Rayonier, Inc. 5,462 79 Senior Housing Properties Trust 1,365 ------------- 36,497 ------------- ROAD & RAIL--3.2% 60 Arkansas Best Corp. 2,162 272 Avis Budget Group, Inc. (a) 6,982 90 Burlington Northern Santa Fe Corp. 7,393 193 Con-way, Inc. 9,532 228 CSX Corp. 10,809 107 Kansas City Southern (a) 3,693 195 Norfolk Southern Corp. 10,487 238 Ryder System, Inc. 12,940 67 Union Pacific Corp. 7,982 480 Werner Enterprises, Inc. 9,331 263 YRC Worldwide, Inc. (a) 8,448 ------------- 89,759 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--4.4% 177 Advanced Energy Industries, Inc. (a) 3,135 66 Analog Devices, Inc. 2,340 387 Applied Materials, Inc. 8,529 26 ATMI, Inc. (a) 753 616 Axcelis Technologies, Inc. (a) 3,419 220 Brooks Automation, Inc. (a) 3,865 72 Cohu, Inc. 1,439 59 Exar Corp. (a) 834 97 Fairchild Semiconductor International, Inc. (a) 1,770 216 Intel Corp. 5,102 104 International Rectifier Corp. (a) 3,818 60 Intersil Corp., Class A 1,755 151 Lam Research Corp. (a) 8,734 1,366 LSI Corp. (a) 9,835 75 Maxim Integrated Products, Inc. 2,378 304 Micrel, Inc. 3,146 51 Microchip Technology, Inc. 1,852 SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 1,023 Micron Technology, Inc. (a) $ 12,144 144 MKS Instruments, Inc. (a) 3,269 452 Novellus Systems, Inc. (a) 12,892 211 Pericom Semiconductor Corp. (a) 2,253 269 Photronics, Inc. (a) 3,771 1,551 RF Micro Devices, Inc. (a) 10,764 241 Rudolph Technologies, Inc. (a) 3,772 107 Skyworks Solutions, Inc. (a) 847 69 Standard Microsystems Corp. (a) 2,304 292 Teradyne, Inc. (a) 4,581 1,148 TriQuint Semiconductor, Inc. (a) 5,074 ------------- 124,375 ------------- SOFTWARE--0.6% 178 Advent Software, Inc. (a) 6,769 460 Captaris, Inc. (a) 2,360 142 Mentor Graphics Corp. (a) 1,705 59 Radiant Systems, Inc. (a) 820 162 Sybase, Inc. (a) 3,843 26 THQ, Inc. (a) 748 ------------- 16,245 ------------- SPECIALTY RETAIL--3.9% 110 Aaron Rents, Inc. 2,543 219 AnnTaylor Stores Corp. (a) 6,881 457 AutoNation, Inc. (a) 8,901 151 Barnes & Noble, Inc. 5,066 97 Brown Shoe Co, Inc 2,031 88 Charlotte Russe Holding, Inc. (a) 1,564 894 Charming Shoppes, Inc. (a) 8,833 351 Finish Line (The), Inc., Class A 2,373 444 Foot Locker, Inc. 8,241 269 Gap (The), Inc. 4,627 40 Group 1 Automotive, Inc. 1,501 274 Haverty Furniture Cos., Inc. 3,055 141 Jo-Ann Stores, Inc. (a) 3,357 187 Limited Brands, Inc. 4,516 126 Lithia Motors, Inc., Class A 2,594 254 Office Depot, Inc. (a) 6,340 261 OfficeMax, Inc. 8,582 184 Payless ShoeSource, Inc. (a) 4,898 198 Pep Boys-Manny Moe & Jack (The) 3,352 295 Rent-A-Center, Inc. (a) 5,726 77 Sherwin-Williams (The) Co. 5,366 138 Sonic Automotive, Inc., Class A 3,781 131 Stein Mart, Inc. 1,410 99 Zale Corp. (a) 2,102 ------------- 107,640 ------------- TEXTILES, APPAREL & LUXURY GOODS--0.6% 69 Hanesbrands, Inc. (a) 2,140 28 Kellwood Co. 718 95 Movado Group, Inc. 2,683 Page 84 See Notes to Financial Statements First Trust Multi Cap Value AlphaDEX(TM) Fund Portfolio of Investments (Continued) July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) TEXTILES, APPAREL & LUXURY GOODS (CONTINUED) 72 Oxford Industries, Inc. $ 2,909 55 Skechers U.S.A., Inc., Class A (a) 1,143 116 Stride Rite (The) Corp. 2,363 91 UniFirst Corp. 3,418 ------------- 15,374 ------------- THRIFTS & MORTGAGE FINANCE --2.2% 30 Anchor BanCorp Wisconsin, Inc 671 75 Astoria Financial Corp. 1,766 117 BankUnited Financial Corp., Class A 1,970 136 Corus Bankshares, Inc. 2,211 59 Dime Community Bancshares 660 61 Downey Financial Corp. 3,245 296 First Niagara Financial Group, Inc. 3,807 71 FirstFed Financial Corp. (a) 3,209 266 Flagstar Bancorp, Inc. 2,846 297 Fremont General Corp. (a) 1,714 332 IndyMac Bancorp, Inc. 7,304 43 MAF Bancorp, Inc. 2,258 225 MGIC Investment Corp. 8,698 217 PMI Group (The), Inc. 7,393 179 Radian Group, Inc. 6,034 80 Triad Guaranty, Inc. (a) 2,206 77 Washington Federal, Inc. 1,735 120 Washington Mutual, Inc. 4,504 ------------- 62,231 ------------- TOBACCO--0.2% 36 Altria Group, Inc. 2,393 38 Reynolds American, Inc. 2,324 ------------- 4,717 ------------- TRADING COMPANIES & DISTRIBUTORS --0.6% 27 Applied Industrial Technologies, Inc. 767 79 GATX Corp. 3,583 51 Kaman Corp. 1,708 297 United Rentals, Inc. (a) 9,546 ------------- 15,604 ------------- WATER UTILITIES--0.1% 45 American States Water Co. 1,660 ------------- WIRELESS TELECOMMUNICATION SERVICES--0.9% 112 ALLTEL Corp. $ 7,386 495 Sprint Nextel Corp. 10,162 124 Telephone and Data Systems, Inc. 8,233 ------------- 25,781 ------------- TOTAL INVESTMENTS--100.2% (Cost $3,134,218) 2,799,969 NET OTHER ASSETS AND LIABILITIES--(0.2%) (4,578) ------------- NET ASSETS--100.0% $ 2,795,391 ============= (a) Non-income producing security. See Notes to Financial Statements Page 85 First Trust Multi Cap Growth AlphaDEX(TM) Fund Portfolio of Investments July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCKS--99.4% AEROSPACE & DEFENSE--3.8% 330 Alliant Techsystems, Inc. (a) $ 32,706 354 Boeing (The) Co. 36,614 213 Ceradyne, Inc. (a) 15,896 405 Cubic Corp. 11,150 263 Curtiss-Wright Corp. 11,459 443 DRS Technologies, Inc. 23,195 477 EDO Corp. 15,765 326 General Dynamics Corp. 25,611 449 L-3 Communications Holdings, Inc. 43,804 213 Moog, Inc., Class A (a) 9,121 360 Precision Castparts Corp. 49,342 240 Rockwell Collins, Inc. 16,488 342 Teledyne Technologies, Inc. (a) 15,175 360 United Technologies Corp. 26,269 ------------- 332,595 ------------- AIR FREIGHT & LOGISTICS--0.5% 486 C.H. Robinson Worldwide, Inc. 23,643 180 Forward Air Corp. 6,133 447 Hub Group, Inc., Class A (a) 15,207 ------------- 44,983 ------------- AIRLINES--0.2% 1,160 AirTran Holdings, Inc. (a) 11,415 539 JetBlue Airways Corp. (a) 5,309 ------------- 16,724 ------------- AUTO COMPONENTS--0.3% 285 Drew Industries, Inc. (a) 9,912 965 Gentex Corp. 19,049 ------------- 28,961 ------------- AUTOMOBILES--0.1% 141 Thor Industries, Inc. 5,784 ------------- BEVERAGES--0.5% 117 Brown-Forman Corp., Class B 7,773 162 Coca-Cola (The) Co. 8,442 294 Hansen Natural Corp. (a) 11,922 506 Pepsi Bottling Group (The), Inc. 16,931 ------------- 45,068 ------------- BIOTECHNOLOGY--1.5% 318 Biogen Idec, Inc. (a) 17,980 297 Celgene Corp. (a) 17,986 315 Cephalon, Inc. (a) 23,669 204 Digene Corp. (a) 12,495 132 Genzyme Corp. (a) 8,325 659 Gilead Sciences, Inc. (a) 24,536 236 Martek Biosciences Corp. (a) 6,046 815 PDL BioPharma, Inc. (a) 19,144 ------------- 130,181 ------------- BUILDING PRODUCTS--0.6% 741 American Standard Cos., Inc. $ 40,051 192 NCI Building Systems, Inc. (a) 9,285 90 Simpson Manufacturing Co., Inc. 3,045 ------------- 52,381 ------------- CAPITAL MARKETS--3.8% 536 Ameriprise Financial, Inc. 32,305 414 Charles Schwab (The) Corp. 8,334 743 Eaton Vance Corp. 31,102 222 Federated Investors, Inc., Class B 7,994 257 Franklin Resources, Inc. 32,734 201 Goldman Sachs Group (The), Inc. 37,857 141 Investment Technology Group, Inc. (a) 5,634 1,222 Janus Capital Group, Inc. 36,734 456 Lehman Brothers Holdings, Inc. 28,272 264 Northern Trust Corp. 16,489 408 Nuveen Investments, Inc., Class A 24,945 204 Raymond James Financial, Inc. 6,257 249 State Street Corp. 16,690 656 T. Rowe Price Group, Inc. 34,197 488 Waddell & Reed Financial, Inc., Class A 12,302 ------------- 331,846 ------------- CHEMICALS--1.7% 530 Airgas, Inc. 24,751 489 International Flavors & Fragrances, Inc. 24,504 189 Minerals Technologies, Inc. 12,223 647 Monsanto Co. 41,699 473 Praxair, Inc. 36,241 200 Sigma-Aldrich Corp. 9,064 ------------- 148,482 ------------- COMMERCIAL BANKS--1.0% 84 City National Corp. 5,946 689 Commerce Bancorp, Inc. 23,047 369 Compass Bancshares, Inc. 25,564 78 East West Bancorp, Inc. 2,859 114 First Republic Bank 6,242 239 SVB Financial Group (a) 12,591 276 Synovus Financial Corp. 7,717 ------------- 83,966 ------------- COMMERCIAL SERVICES & SUPPLIES--2.0% 92 Administaff, Inc. 3,008 330 Brady Corp., Class A 11,547 216 Cintas Corp. 7,897 207 Copart, Inc. (a) 5,825 123 Dun & Bradstreet (The) Corp. 12,024 575 Equifax, Inc. 23,264 320 Healthcare Services Group, Inc. 8,870 240 Heidrick & Struggles International, Inc. (a) 12,898 500 Interface, Inc., Class A 9,215 Page 86 See Notes to Financial Statements First Trust Multi Cap Growth AlphaDEX(TM) Fund Portfolio of Investments (Continued) July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMERCIAL SERVICES & SUPPLIES (CONTINUED) 965 Korn/Ferry International (a) $ 22,803 680 Labor Ready, Inc. (a) 16,021 210 Mobile Mini, Inc. (a) 6,000 428 Stericycle, Inc. (a) 20,518 285 Tetra Tech, Inc. (a) 5,994 243 Watson Wyatt Worldwide, Inc., Class A 10,826 ------------- 176,710 ------------- COMMUNICATIONS EQUIPMENT --3.9% 893 Arris Group, Inc. (a) 13,234 2,598 Avaya, Inc. (a) 42,971 219 Avocent Corp. (a) 5,990 123 Blue Coat Systems, Inc. (a) 5,994 671 C-COR, Inc. (a) 9,025 941 Ciena Corp. (a) 34,375 917 Cisco Systems, Inc. (a) 26,510 563 CommScope, Inc. (a) 30,644 264 Comtech Telecommunications Corp. (a) 11,476 665 Corning, Inc. (a) 15,854 374 Ditech Networks, Inc. (a) 2,790 315 F5 Networks, Inc. (a) 27,307 465 Harris Corp. 25,519 1,352 Juniper Networks, Inc. (a) 40,506 434 NETGEAR, Inc. (a) 12,004 725 Plantronics, Inc. 20,315 377 Polycom, Inc. (a) 11,676 195 QUALCOMM, Inc. 8,122 96 ViaSat, Inc. (a) 2,748 ------------- 347,060 ------------- COMPUTERS & PERIPHERALS--3.4% 359 Apple, Inc. (a) 47,302 1,192 Dell, Inc. (a) 33,340 363 Diebold, Inc. 18,393 2,416 EMC Corp. (a) 44,720 243 International Business Machines Corp. 26,888 296 Komag, Inc. (a) 9,475 647 NCR Corp. (a) 33,786 603 Novatel Wireless, Inc. (a) 12,983 521 SanDisk Corp. (a) 27,941 261 Stratasys, Inc. (a) 11,487 1,618 Sun Microsystems, Inc. (a) 8,252 264 Synaptics, Inc. (a) 9,272 654 Western Digital Corp. (a) 13,963 ------------- 297,802 ------------- CONSTRUCTION & ENGINEERING --1.6% 393 Fluor Corp. 45,396 512 Granite Construction, Inc. 33,275 CONSTRUCTION & ENGINEERING (CONTINUED) 570 Jacobs Engineering Group, Inc. (a) $ 35,129 1,070 Quanta Services, Inc. (a) 30,420 ------------- 144,220 ------------- CONSTRUCTION MATERIALS--0.4% 156 Martin Marietta Materials, Inc. 21,372 149 Vulcan Materials Co. 14,262 ------------- 35,634 ------------- CONSUMER FINANCE--0.7% 278 American Express Co. 16,274 108 Capital One Financial Corp. 7,642 402 First Cash Financial Services, Inc. (a) 8,760 591 SLM Corp. (a) 29,060 144 World Acceptance Corp. (a) 4,635 ------------- 66,371 ------------- CONTAINERS & PACKAGING--0.5% 824 Ball Corp. 42,246 ------------- DISTRIBUTORS--0.3% 380 Keystone Automotive Industries, Inc. (a) 17,769 497 LKQ Corp. (a) 14,130 ------------- 31,899 ------------- DIVERSIFIED CONSUMER SERVICES--2.5% 437 Apollo Group, Inc., Class A (a) 25,832 158 Bright Horizons Family Solutions, Inc. (a) 6,130 188 Career Education Corp. (a) 5,580 779 Corinthian Colleges, Inc. (a) 10,493 746 DeVry, Inc. 24,170 363 H&R Block, Inc. 7,242 279 ITT Educational Services, Inc. (a) 29,480 411 Laureate Education, Inc. (a) 25,342 291 Matthews International Corp., Class A 11,134 191 Pre-Paid Legal Services, Inc. (a) 10,066 551 Sotheby's 23,555 144 Strayer Education, Inc. 21,820 240 Universal Technical Institute, Inc. (a) 5,191 252 Vertrue, Inc. (a) 12,451 ------------- 218,486 ------------- DIVERSIFIED FINANCIAL SERVICES --0.2% 180 Leucadia National Corp. 6,768 261 Portfolio Recovery Associates, Inc. (a) 13,637 ------------- 20,405 ------------- See Notes to Financial Statements Page 87 First Trust Multi Cap Growth AlphaDEX(TM) Fund Portfolio of Investments (Continued) July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) DIVERSIFIED TELECOMMUNICATION SERVICES--0.3% 4,384 Cincinnati Bell, Inc. (a) $ 22,621 ------------- ELECTRIC UTILITIES--0.6% 165 Allegheny Energy, Inc. (a) 8,618 606 Edison International 32,051 234 Exelon Corp. 16,415 ------------- 57,084 ------------- ELECTRICAL EQUIPMENT--1.9% 204 Acuity Brands, Inc. 12,056 638 AMETEK, Inc. 24,895 767 Cooper Industries Ltd., Class A 40,589 545 Emerson Electric Co. 25,652 245 Rockwell Automation, Inc. 17,148 222 Roper Industries, Inc. 13,316 327 Thomas & Betts Corp. (a) 20,209 293 Woodward Governor Co. 16,921 ------------- 170,786 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--2.6% 432 Aeroflex, Inc. (a) 6,061 222 Agilent Technologies, Inc. (a) 8,469 710 Amphenol Corp., Class A 24,325 386 CDW Corp. (a) 32,489 243 Checkpoint Systems, Inc. (a) 5,606 264 FLIR Systems, Inc. (a) 11,524 78 Itron, Inc. (a) 6,196 386 Jabil Circuit, Inc. 8,697 549 LoJack Corp. (a) 11,705 210 MTS Systems Corp. 8,768 584 National Instruments Corp. 18,892 491 ScanSource, Inc. (a) 13,174 548 Technitrol, Inc. 14,248 756 Tektronix, Inc. 24,834 381 Trimble Navigation Ltd. (a) 12,584 1,208 TTM Technologies, Inc. (a) 15,752 414 X-Rite, Inc. (a) 5,589 ------------- 228,913 ------------- ENERGY EQUIPMENT & SERVICES --6.7% 228 Atwood Oceanics, Inc. (a) 15,641 459 Cameron International Corp. (a) 35,802 140 CARBO Ceramics, Inc. 6,311 210 Dril-Quip, Inc. (a) 10,078 320 FMC Technologies, Inc. (a) 29,286 353 Grant Prideco, Inc. (a) 19,803 315 Hornbeck Offshore Services, Inc. (a) 13,561 785 Input/Output, Inc. (a) 11,186 189 Lufkin Industries, Inc. 11,191 632 Matrix Service Co. (a) 14,593 764 Nabors Industries Ltd. (a) 22,339 ENERGY EQUIPMENT & SERVICES (CONTINUED) 420 National Oilwell Varco, Inc. (a) $ 50,446 449 Noble Corp. 46,005 299 Oceaneering International, Inc. (a) 16,792 725 Patterson-UTI Energy, Inc. 16,603 677 Pride International, Inc. (a) 23,729 515 Schlumberger Ltd. 48,781 746 Smith International, Inc. 45,812 635 Superior Energy Services, Inc. (a) 25,603 434 TETRA Technologies, Inc. (a) 12,070 413 Transocean, Inc. (a) 44,377 249 Unit Corp. (a) 13,710 791 Weatherford International Ltd. (a) 43,766 254 W-H Energy Services, Inc. (a) 16,276 ------------- 593,761 ------------- FOOD & STAPLES RETAILING--0.6% 932 CVS Caremark Corp. 32,797 354 Wal-Mart Stores, Inc. 16,266 ------------- 49,063 ------------- FOOD PRODUCTS--0.5% 270 Corn Products International, Inc. 12,047 348 Sanderson Farms, Inc. 13,875 308 Wm. Wrigley Jr. Co. 17,766 ------------- 43,688 ------------- GAS UTILITIES--0.3% 129 Equitable Resources, Inc. 6,077 483 Questar Corp. 24,870 ------------- 30,947 ------------- HEALTH CARE EQUIPMENT & SUPPLIES--3.5% 215 ArthroCare Corp. (a) 10,883 453 Baxter International, Inc. 23,828 99 Beckman Coulter, Inc. 7,011 124 Biomet, Inc. (a) 5,646 761 Cytyc Corp. (a) 32,038 497 DENTSPLY International, Inc. 18,136 75 DJO, Inc. (a) 3,561 105 Gen-Probe, Inc. (a) 6,616 189 Greatbatch, Inc. (a) 5,865 117 Haemonetics Corp. (a) 5,782 195 Hillenbrand Industries, Inc. 12,293 111 Hologic, Inc. (a) 5,750 143 ICU Medical, Inc. (a) 4,753 99 IDEXX Laboratories, Inc. (a) 9,926 110 Immucor, Inc. (a) 3,428 191 Integra LifeSciences Holdings (a) 9,483 183 Intuitive Surgical, Inc. (a) 38,907 435 Meridian Bioscience, Inc. 9,714 231 PolyMedica Corp. 9,330 144 Respironics, Inc. (a) 6,588 615 St. Jude Medical, Inc. (a) 26,531 Page 88 See Notes to Financial Statements First Trust Multi Cap Growth AlphaDEX(TM) Fund Portfolio of Investments (Continued) July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 621 STERIS Corp. $ 16,984 270 Stryker Corp. 16,856 189 SurModics, Inc. (a) 8,669 54 Vital Signs, Inc 2,809 99 Zimmer Holdings, Inc. (a) 7,698 ------------- 309,085 ------------- HEALTH CARE PROVIDERS & SERVICES--5.5% 336 Amedisys, Inc. (a) 12,718 279 AMN Healthcare Services, Inc. (a) 5,990 126 AmSurg Corp. (a) 3,168 219 Apria Healthcare Group, Inc. (a) 5,742 362 Cardinal Health, Inc. 23,794 285 Centene Corp. (a) 6,159 651 CIGNA Corp. 33,618 626 Community Health Systems, Inc. (a) 24,351 443 Coventry Health Care, Inc. (a) 24,724 725 CryoLife, Inc. (a) 6,924 875 Express Scripts, Inc. (a) 43,863 240 Health Net, Inc. (a) 11,890 531 HealthExtras, Inc. (a) 14,247 129 Healthways, Inc. (a) 5,637 237 Henry Schein, Inc. (a) 12,879 558 Humana, Inc. (a) 35,762 168 inVentiv Health, Inc. (a) 5,961 218 Laboratory Corp. of America Holdings (a) 16,099 333 LCA-Vision, Inc. 11,825 159 Lincare Holdings, Inc. (a) 5,675 671 Manor Care, Inc. 42,508 1,019 Option Care, Inc. 19,758 228 Patterson Cos., Inc. (a) 8,178 56 Pediatrix Medical Group, Inc. (a) 3,022 174 Psychiatric Solutions, Inc. (a) 5,932 294 Sierra Health Services, Inc. (a) 11,948 333 UnitedHealth Group, Inc. 16,127 309 Universal Health Services, Inc., Class B 16,204 336 VCA Antech, Inc. (a) 13,218 363 WellCare Health Plans, Inc. (a) 36,757 ------------- 484,678 ------------- HEALTH CARE TECHNOLOGY--0.4% 342 Cerner Corp. (a) 18,082 794 IMS Health, Inc. 22,335 ------------- 40,417 ------------- HOTELS, RESTAURANTS & LEISURE --1.8% 194 Darden Restaurants, Inc. 8,259 200 Harrah's Entertainment, Inc. 16,938 509 Hilton Hotels Corp. 22,503 132 Jack in the Box, Inc. (a) 8,447 HOTELS, RESTAURANTS & LEISURE (CONTINUED) 671 McDonald's Corp. $ 32,120 114 Monarch Casino & Resort, Inc. (a) 3,225 213 Papa John's International, Inc. (a) 5,843 303 Red Robin Gourmet Burgers, Inc. (a) 11,687 360 Ruth's Chris Steak House, Inc. (a) 6,019 180 Scientific Games Corp., Class A (a) 6,176 240 Texas Roadhouse, Inc. (a) 2,849 327 WMS Industries, Inc. (a) 8,531 779 Yum! Brands, Inc. 24,959 ------------- 157,556 ------------- HOUSEHOLD DURABLES--1.2% 96 Black & Decker (The) Corp. 8,311 953 Blyth, Inc. 21,271 291 Harman International Industries, Inc. 33,756 326 Mohawk Industries, Inc. (a) 29,343 27 NVR, Inc. (a) 15,619 ------------- 108,300 ------------- HOUSEHOLD PRODUCTS--0.6% 261 Church & Dwight Co., Inc. 12,805 330 Energizer Holdings, Inc. (a) 33,296 93 WD-40 Co. 3,087 ------------- 49,188 ------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS--0.5% 777 AES (The) Corp. (a) 15,268 390 Constellation Energy Group 32,682 ------------- 47,950 ------------- INDUSTRIAL CONGLOMERATES--0.7% 408 Carlisle Cos., Inc. 18,474 222 General Electric Co. 8,605 401 Teleflex, Inc. 30,648 ------------- 57,727 ------------- INSURANCE--0.9% 165 AFLAC, Inc. 8,600 122 American International Group, Inc. 7,830 57 Everest Re Group Ltd. 5,600 569 HCC Insurance Holdings, Inc. 16,660 60 Infinity Property & Casualty Corp. 2,642 396 MetLife, Inc. 23,848 72 Philadelphia Consolidated Holding Co. (a) 2,602 120 StanCorp Financial Group, Inc. 5,635 96 Tower Group, Inc. 2,544 ------------- 75,961 ------------- INTERNET & CATALOG RETAIL--0.9% 639 Amazon.com, Inc. (a) 50,186 260 Blue Nile, Inc. (a) 19,659 See Notes to Financial Statements Page 89 First Trust Multi Cap Growth AlphaDEX(TM) Fund Portfolio of Investments (Continued) July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) INTERNET & CATALOG RETAIL (CONTINUED) 734 PetMed Express, Inc. (a) $ 10,702 ------------- 80,547 ------------- INTERNET SOFTWARE & SERVICES--0.9% 255 Bankrate, Inc. (a) 11,437 66 Google, Inc., Class A (a) 33,660 351 j2 Global Communications, Inc. (a) 11,457 1,114 ValueClick, Inc. (a) 23,817 ------------- 80,371 ------------- IT SERVICES--2.2% 300 Affiliated Computer Services, Inc., Class A (a) 16,098 425 Alliance Data Systems Corp. (a) 32,640 63 CACI International Inc., Class A (a) 2,800 362 Ceridian Corp. (a) 12,272 81 DST Systems, Inc. (a) 6,145 174 eFunds Corp. (a) 6,221 806 Fidelity National Information Services, Inc. 40,001 521 First Data Corp. 16,563 449 Fiserv, Inc. (a) 22,190 773 Gartner, Inc. (a) 16,179 71 MAXIMUS, Inc. 2,967 285 SI International, Inc. (a) 8,302 645 Sykes Enterprises, Inc. (a) 10,797 ------------- 193,175 ------------- LEISURE EQUIPMENT & PRODUCTS --0.2% 174 Polaris Industries, Inc. 8,589 314 Pool Corp. 10,553 ------------- 19,142 ------------- LIFE SCIENCES TOOLS & SERVICES --2.6% 368 Charles River Laboratories International, Inc. (a) 18,834 185 Covance, Inc. (a) 13,055 87 Dionex Corp. (a) 5,917 171 Invitrogen Corp. (a) 12,278 255 Kendle International, Inc. (a) 9,422 339 Millipore Corp. (a) 26,649 374 PAREXEL International Corp. (a) 15,121 330 Pharmaceutical Product Development, Inc. 11,055 296 Pharmanet Development Group, Inc. (a) 8,288 657 Thermo Fisher Scientific, Inc. (a) 34,302 231 Varian, Inc. (a) 13,892 425 Ventana Medical Systems, Inc. (a) 35,420 429 Waters Corp. (a) 24,994 ------------- 229,227 ------------- MACHINERY--6.0% 290 Astec Industries, Inc. (a) $ 15,129 177 A.S.V., Inc. (a) 2,582 201 Cascade Corp. 13,626 435 Caterpillar, Inc. 34,278 164 CLARCOR, Inc 5,706 419 Crane Co. 19,215 225 Danaher Corp. 16,803 362 Deere & Co. 43,591 144 EnPro Industries, Inc. (a) 5,671 458 Flowserve Corp. 33,100 369 Gardner Denver, Inc. (a) 15,347 318 IDEX Corp. 11,515 641 ITT Corp. 40,306 326 Joy Global, Inc. 16,134 180 Kaydon Corp. 9,578 441 Lincoln Electric Holdings, Inc. 31,748 354 Lindsay Corp. 14,394 195 Manitowoc (The) Co., Inc. 15,146 521 Oshkosh Truck Corp. 29,827 950 Pall Corp. 39,444 177 Robbins & Myers, Inc. 9,333 374 SPX Corp. 35,107 539 Terex Corp. (a) 46,488 207 Toro (The) Co. 11,638 168 Valmont Industries, Inc. 12,699 ------------- 528,405 ------------- MARINE--0.1% 246 Kirby Corp. (a) 9,965 ------------- MEDIA--1.4% 120 Arbitron, Inc. 5,976 450 Clear Channel Communications, Inc. 16,605 908 Comcast Corp., Class A (a) 23,854 525 John Wiley & Sons, Inc., Class A 22,202 126 McGraw-Hill (The) Cos., Inc. 7,623 414 Meredith Corp. 23,387 161 Omnicom Group, Inc. 8,351 369 Valassis Communications, Inc. (a) 4,380 204 Viacom, Inc., Class B (a) 7,813 ------------- 120,191 ------------- METALS & MINING--1.8% 324 Allegheny Technologies, Inc. 33,997 219 Chaparral Steel Co. 18,405 201 Cleveland-Cliffs, Inc. 13,923 971 Commercial Metals Co. 29,946 144 Nucor Corp. 7,229 584 Reliance Steel & Aluminum Co. 30,683 42 RTI International Metals, Inc. (a) 3,328 605 Steel Dynamics, Inc. 25,368 ------------- 162,879 ------------- MULTILINE RETAIL--1.9% 483 99 Cents Only Stores (a) 5,878 1,157 Big Lots, Inc. (a) 29,920 Page 90 See Notes to Financial Statements First Trust Multi Cap Growth AlphaDEX(TM) Fund Portfolio of Investments (Continued) July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) MULTILINE RETAIL (CONTINUED) 753 Dollar Tree Stores, Inc. (a) $ 28,810 1,274 Family Dollar Stores, Inc. 37,736 240 Kohl's Corp. (a) 14,592 333 Nordstrom, Inc. 15,844 534 Target Corp. 32,344 ------------- 165,124 ------------- OFFICE ELECTRONICS--0.1% 164 Zebra Technologies Corp., Class A (a) 5,942 ------------- OIL, GAS & CONSUMABLE FUELS --4.5% 654 Anadarko Petroleum Corp. 32,916 312 Apache Corp. 25,222 84 Cabot Oil & Gas Corp. 2,873 983 Chesapeake Energy Corp. 33,461 185 CONSOL Energy, Inc. 7,705 507 Denbury Resources, Inc. (a) 20,280 218 Devon Energy Corp. 16,265 305 Exxon Mobil Corp. 25,965 749 Frontier Oil Corp. 29,009 306 Helix Energy Solutions Group, Inc. (a) 11,919 572 Murphy Oil Corp. 35,486 351 Peabody Energy Corp. 14,833 129 Pioneer Natural Resources Co. 5,870 285 Quicksilver Resources, Inc. (a) 12,004 428 Southwestern Energy Co. (a) 17,390 549 Sunoco, Inc. 36,628 221 Swift Energy Co. (a) 9,446 806 Williams (The) Cos., Inc. 25,994 146 World Fuel Services Corp. 5,970 566 XTO Energy, Inc. 30,864 ------------- 400,100 ------------- PERSONAL PRODUCTS--0.4% 231 Avon Products, Inc. 8,318 96 Chattem, Inc. (a) 5,391 186 Estee Lauder (The) Cos., Inc., Class A 8,375 386 Mannatech, Inc. 3,632 147 NBTY, Inc. (a) 6,400 69 USANA Health Sciences, Inc. (a) 2,785 ------------- 34,901 ------------- PHARMACEUTICALS--1.6% 170 Barr Pharmaceuticals, Inc. (a) 8,707 141 Bradley Prarmaceuticals, Inc. (a) 2,262 186 Endo Pharmaceuticals Holdings, Inc. (a) 6,326 131 Noven Pharmaceuticals, Inc. (a) 2,327 674 Par Pharmaceutical Cos., Inc. (a) 15,967 1,436 Schering-Plough Corp. 40,982 129 Sciele Pharma, Inc. (a) 2,992 PHARMACEUTICALS (CONTINUED) 1,345 Watson Pharmaceuticals, Inc. (a) $ 40,915 444 Wyeth 21,543 ------------- 142,021 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT--0.4% 932 CB Richard Ellis Group, Inc., Class A (a) 32,545 ------------- ROAD & RAIL--0.6% 188 Heartland Express, Inc. 2,803 648 J.B. Hunt Transport Services, Inc. 18,098 486 Knight Transportation, Inc. 8,573 195 Landstar System, Inc. 8,865 407 Old Dominion Freight Line, Inc. (a) 11,746 ------------- 50,085 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--3.6% 1,153 Altera Corp. 26,750 752 AMIS Holdings, Inc. (a) 7,753 87 Cabot Microelectronics Corp. (a) 3,709 246 Cree, Inc. (a) 6,303 75 Cymer, Inc. (a) 3,206 1,409 Cypress Semiconductor Corp. (a) 35,310 441 Diodes, Inc. (a) 11,717 93 FEI Co. (a) 2,667 464 KLA-Tencor Corp. 26,351 234 Linear Technology Corp. 8,342 557 MEMC Electronic Materials, Inc. (a) 34,155 129 Microsemi Corp. (a) 3,007 602 National Semiconductor Corp. 15,646 1,058 NVIDIA Corp. (a) 48,413 2,200 PMC-Sierra, Inc. (a) 16,764 731 Semtech Corp. (a) 11,879 905 Texas Instruments, Inc. 31,847 306 Varian Semiconductor Equipment Associates, Inc. (a) 14,382 318 Xilinx, Inc. 7,950 ------------- 316,151 ------------- SOFTWARE--3.6% 105 Ansoft Corp. (a) 2,655 231 ANSYS, Inc. (a) 6,015 722 Autodesk, Inc. (a) 30,591 330 CA, Inc. 8,276 578 Cadence Design Systems, Inc. (a) 12,369 252 Citrix Systems, Inc. (a) 9,115 687 Concur Technologies, Inc. (a) 16,392 633 Epicor Software Corp. (a) 8,267 971 EPIQ Systems, Inc. (a) 16,556 138 FactSet Research Systems, Inc. 9,107 414 Informatica Corp. (a) 5,771 737 Jack Henry & Associates, Inc. 17,703 624 JDA Software Group, Inc. (a) 14,109 See Notes to Financial Statements Page 91 First Trust Multi Cap Value AlphaDEX(TM) Fund Portfolio of Investments (Continued) July 31, 2007 SHARES DESCRIPTION MARKET VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 632 Macrovision Corp. (a) $ 15,029 110 Manhattan Associates, Inc. (a) 3,066 719 McAfee, Inc. (a) 25,783 57 MICROS Systems, Inc. (a) 3,037 288 Microsoft Corp. 8,349 1,726 Oracle Corp. (a) 33,001 1,172 Parametric Technology Corp. (a) 20,662 81 Quality Systems, Inc. 3,138 213 SPSS, Inc. (a) 8,742 1,262 Symantec Corp. (a) 24,230 240 Synopsys, Inc. (a) 5,870 1,151 Wind River Systems, Inc. (a) 11,004 ------------- 318,837 ------------- SPECIALTY RETAIL--4.9% 234 Abercrombie & Fitch Co., Class A 16,357 468 Advance Auto Parts, Inc. 16,272 608 Aeropostale, Inc. (a) 23,153 249 AutoZone, Inc. (a) 31,575 240 Big 5 Sporting Goods Corp. 5,129 746 CarMax, Inc. (a) 17,852 140 Cato (The) Corp., Class A 2,895 119 Children's Place Retail Stores (The), Inc. (a) 4,059 179 Christopher & Banks Corp. 2,671 273 Coldwater Creek, Inc. (a) 5,375 435 Dick's Sporting Goods, Inc. (a) 24,460 150 Dress Barn (The), Inc. (a) 2,729 839 GameStop Corp., Class A (a) 33,853 300 Genesco, Inc. (a) 15,165 158 Guitar Center, Inc. (a) 9,172 240 Gymboree (The) Corp. (a) 10,332 111 Hibbett Sports, Inc. (a) 2,845 432 Home Depot (The), Inc. 16,057 378 Jos. A. Bank Clothiers, Inc. (a) 13,041 240 Men's Wearhouse (The), Inc. 11,856 347 O'Reilly Automotive, Inc. (a) 11,559 576 Pacific Sunwear of California, Inc. (a) 10,380 390 PetSmart, Inc. 12,609 1,319 RadioShack Corp. 33,145 206 Ross Stores, Inc. 5,960 189 Select Comfort Corp. (a) 3,013 291 Stage Stores, Inc. 5,191 824 Tiffany & Co. 39,757 618 TJX (The) Cos., Inc. 17,150 236 Tractor Supply Co. (a) 11,215 275 Tween Brands, Inc. (a) 10,522 264 Urban Outfitters, Inc. (a) 5,296 ------------- 430,645 ------------- TEXTILES, APPAREL & LUXURY GOODS--2.4% 359 Coach, Inc. (a) $ 16,320 365 Crocs, Inc. (a) 21,652 156 Deckers Outdoor Corp. (a) 16,084 416 Fossil, Inc. (a) 10,629 423 Iconix Brand Group, Inc. (a) 8,367 584 NIKE, Inc., Class B 32,967 419 Phillips-Van Heusen Corp. 21,813 446 Polo Ralph Lauren Corp. 39,849 434 Quiksilver, Inc. (a) 5,568 279 VF Corp. 23,935 314 Volcom, Inc. (a) 11,141 111 Wolverine World Wide, Inc. 3,004 ------------- 211,329 ------------- THRIFTS & MORTGAGE FINANCE--0.2% 468 Countrywide Financial Corp. 13,184 141 Freddie Mac 8,075 ------------- 21,259 ------------- TRADING COMPANIES & DISTRIBUTORS --1.0% 303 Fastenal Co. 13,656 461 MSC Industrial Direct Co., Inc. 23,184 174 Watsco, Inc. 8,684 470 W.W. Grainger, Inc. 41,058 ------------- 86,582 ------------- TOTAL INVESTMENTS--99.4% (Cost $9,333,411) 8,768,952 NET OTHER ASSETS AND LIABILITIES--0.6% 49,150 ------------- NET ASSETS--100.0% $ 8,818,102 ============= (a) Non-income producing security. Page 92 See Notes to Financial Statements This page intentionally left blank. Page 93 First Trust Exchange-Traded AlphaDEX(TM) Fund Statement of Assets and Liabilities July 31, 2007
FIRST TRUST FIRST TRUST CONSUMER CONSUMER FIRST TRUST DISCRETIONARY STAPLES ENERGY ALPHADEX(TM) FUND ALPHADEX(TM) FUND ALPHADEX(TM) FUND ------------------- ------------------- ----------------- ASSETS: Investments at value .................................................. $ 1,908,093 $ 2,889,611 $ 5,209,919 Cash ................................................................. 16,016 6,539 6,013 Receivables: Dividends....................................................... 415 2,752 1,001 From investment advisor......................................... 18,187 18,374 18,867 ------------- ------------- ------------- TOTAL ASSETS................................................. 1,942,711 2,917,276 5,235,800 ------------- ------------- ------------- LIABILITIES: Payables: Investment securities purchased ................................. 9,930 -- -- Investment advisory fees ........................................ 854 1,271 1,322 Accrued expenses and other liabilities ................................ 49,101 49,519 49,991 ------------- ------------- ------------- TOTAL LIABILITIES............................................. 59,885 50,790 51,313 ------------- ------------- ------------- NET ASSETS............................................................. $ 1,882,826 $ 2,866,486 $ 5,184,487 ============= ============= ============= NET ASSETS CONSIST OF: Paid-in capital ....................................................... $ 1,999,040 $ 3,021,090 $ 5,434,348 Par value ............................................................. 1,000 1,500 2,500 Accumulated net investment income (loss) .............................. 188 5,552 -- Accumulated net realized gain (loss) on investments ................... (2,459) (3,068) 892 Net unrealized appreciation (depreciation) on investments ............. (114,943) (158,588) (253,253) ------------- ------------- ------------- NET ASSETS ............................................................ $ 1,882,826 $ 2,866,486 $ 5,184,487 ============= ============= ============= NET ASSET VALUE, per share............................................ $ 18.83 $ 19.11 $ 20.74 ============= ============= ============= Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)..... 100,002 150,002 250,002 ------------- ------------- ------------- Investments at cost ................................................... $ 2,023,036 $ 3,048,199 $ 5,463,172 ============= ============= =============
Page 94 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST INDUSTRIALS/ FIRST TRUST FIRST TRUST FINANCIALS HEALTH CARE PRODUCER DURABLES MATERIALS TECHNOLOGY ALPHADEX(TM) FUND ALPHADEX(TM) FUND ALPHADEX(TM) FUND ALPHADEX(TM) FUND ALPHADEX(TM) FUND ------------------- ------------------- ------------------- ------------------- ------------------- $ 1,814,396 $ 1,914,694 $ 4,731,249 $ 2,962,655 $ 2,174,207 6,875 65,443 19,179 93,839 6,196 1,407 170 164 1,069 415 18,182 18,186 18,833 18,388 18,237 ------------- ------------- ------------- ------------- ------------- 1,840,860 1,998,493 4,769,425 3,075,951 2,199,055 ------------- ------------- ------------- ------------- ------------- -- -- -- -- -- 825 847 1,201 1,328 944 49,074 49,114 49,905 49,516 49,175 ------------- ------------- ------------- ------------- ------------- 49,899 49,961 51,106 50,844 50,119 ------------- ------------- ------------- ------------- ------------- $ 1,790,961 $ 1,948,532 $ 4,718,319 $ 3,025,107 $ 2,148,936 ============= ============= ============= ============= ============= $ 1,999,040 $ 1,997,615 $ 5,016,552 $ 3,080,728 $ 2,157,238 1,000 1,000 2,500 1,500 1,050 6,584 -- -- 2,537 -- (3,175) (25,010) (34,546) (5,616) (13,344) (212,488) (25,073) (266,187) (54,042) 3,992 ------------- ------------- ------------- ------------- ------------- $ 1,790,961 $ 1,948,532 $ 4,718,319 $ 3,025,107 $ 2,148,936 ============= ============= ============= ============= ============= $ 17.91 $ 19.48 $ 18.87 $ 20.17 $ 20.47 ============= ============= ============= ============= ============= 100,002 100,002 250,002 150,002 105,000 ------------- ------------- ------------- ------------- ------------- $ 2,026,884 $ 1,939,767 $ 4,997,436 $ 3,016,697 $ 2,170,215 ============= ============= ============= ============= =============
See Notes to Financial Statements Page 95 First Trust Exchange-Traded AlphaDEX(TM) Fund Statement of Assets and Liabilities (Continued) July 31, 2007
FIRST TRUST FIRST TRUST FIRST TRUST LARGE CAP MID CAP UTILITIES CORE CORE ALPHADEX(TM) FUND ALPHADEX(TM) FUND ALPHADEX(TM) FUND ------------------- ------------------- ------------------ ASSETS: Investments at value .................................................. $ 2,774,096 $ 2,878,457 $ 5,678,775 Cash ................................................................. 7,387 20,580 68,149 Receivables: Dividends....................................................... 7,019 1,663 2,575 From investment advisor......................................... 18,378 18,343 18,794 ------------- ------------- ------------- TOTAL ASSETS................................................. 2,806,880 2,919,043 5,768,293 ------------- ------------- ------------- LIABILITIES: Payables: Investment securities purchased ................................. -- -- -- Investment advisory fees ........................................ 1,215 1,286 2,546 Accrued expenses and other liabilities ................................ 49,452 49,398 50,302 ------------- ------------- ------------- TOTAL LIABILITIES............................................. 50,667 50,684 52,848 ------------- ------------- ------------- NET ASSETS............................................................. $ 2,756,213 $ 2,868,359 $ 5,715,445 ============= ============= ============= NET ASSETS consist of: Paid-in capital ....................................................... $ 2,980,862 $ 3,122,966 $ 6,182,502 Par value ............................................................. 1,500 1,000 2,000 Accumulated net investment income (loss) .............................. 11,354 4,291 1,760 Accumulated net realized gain (loss) on investments ................... (945) (15,102) (16,286) Net unrealized appreciation (depreciation) on investments ............. (236,558) (244,796) (454,531) ------------- ------------- ------------- NET ASSETS ............................................................ $ 2,756,213 $ 2,868,359 $ 5,715,445 ============= ============= ============= NET ASSET VALUE, per share............................................ $ 18.37 $ 28.68 $ 28.58 ============= ============= ============= Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)..... 150,002 100,002 200,002 ------------- ------------- ------------- Investments at cost ................................................... $ 3,010,654 $ 3,123,253 $ 6,133,306 ============= ============= =============
Page 96 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST SMALL CAP LARGE CAP VALUE LARGE CAP GROWTH FIRST TRUST FIRST TRUST CORE OPPORTUNITIES OPPORTUNITIES MULTI CAP VALUE MULTI CAP GROWTH ALPHADEX(TM) FUND ALPHADEX(TM) FUND ALPHADEX(TM) FUND ALPHADEX(TM) FUND ALPHADEX(TM) FUND ------------------- ------------------- ------------------- ------------------- ------------------- $ 5,636,097 $ 5,671,104 $ 5,846,344 $ 2,799,969 $ 8,768,952 53,548 28,093 30,440 25,258 81,637 3,486 3,209 1,951 2,455 1,543 18,842 18,648 18,782 18,464 19,289 ------------- ------------- -------------- ------------- ------------- 5,711,973 5,721,054 5,897,517 2,846,146 8,871,421 ------------- ------------- -------------- ------------- ------------- -- -- -- -- -- 1,649 1,812 2,554 1,275 2,570 49,893 50,000 50,405 49,480 50,749 ------------- ------------- -------------- ------------- ------------- 51,542 51,812 52,959 50,755 53,319 ------------- ------------- -------------- ------------- ------------- $ 5,660,431 $ 5,669,242 $ 5,844,558 $ 2,795,391 $ 8,818,102 ============= ============= ============== ============= ============= $ 6,212,432 $ 6,196,418 $ 6,074,903 $ 3,130,837 $ 9,406,123 2,000 2,000 2,000 1,000 3,000 3,211 7,676 -- 6,372 -- (21,375) (5,338) -- (8,569) (26,562) (535,837) (531,514) (232,345) (334,249) (564,459) ------------- ------------- -------------- ------------- ------------- $ 5,660,431 $ 5,669,242 $ 5,844,558 $ 2,795,391 $ 8,818,102 ============= ============= ============== ============= ============= $ 28.30 $ 28.35 $ 29.22 $ 27.95 $ 29.39 ============= ============= ============== ============= ============= 200,002 200,002 200,002 100,002 300,002 ------------- ------------- -------------- ------------- ------------- $ 6,171,934 $ 6,202,618 $ 6,078,689 $ 3,134,218 $ 9,333,411 ============= ============= ============== ============= =============
See Notes to Financial Statements Page 97 First Trust Exchange-Traded AlphaDEX(TM) Fund Statements of Operations
FIRST TRUST FIRST TRUST CONSUMER CONSUMER FIRST TRUST DISCRETIONARY STAPLES ENERGY ALPHADEX(TM) FUND ALPHADEX(TM) FUND ALPHADEX(TM) FUND ------------------- ------------------ ----------------- For the Period For the Period For the Period May 8, 2007 (a) May 8, 2007 (a) May 8, 2007 (a) through through through July 31, 2007 July 31, 2007 July 31, 2007 ------------------- ------------------ ----------------- INVESTMENT INCOME: Dividends (b)......................................................... $ 3,390 $ 9,532 $ 3,775 -------------- -------------- -------------- Total investment income......................................... 3,390 9,532 3,775 -------------- -------------- -------------- EXPENSES: Audit and tax fees.................................................... 31,000 31,000 31,000 Printing fees......................................................... 7,500 7,500 7,500 Legal fees............................................................ 5,685 5,685 5,685 Listing fees.......................................................... 2,562 2,704 2,986 Investment advisory fees.............................................. 2,287 2,843 2,821 Trustees' fees and expenses........................................... 605 647 788 Licensing fees........................................................ 457 569 564 Custodian fees........................................................ 444 458 458 Accounting and administration fees.................................... 229 284 282 Registration and filing fees.......................................... 62 92 165 Transfer agent fees................................................... 23 28 28 Other expenses........................................................ 1,267 1,267 1,267 -------------- -------------- -------------- Total expenses.................................................. 52,121 53,077 53,544 Less fees waived and expenses reimbursed by the investment advisor........................................ (48,919) (49,097) (49,595) -------------- -------------- -------------- Net expenses.................................................... 3,202 3,980 3,949 -------------- -------------- -------------- NET INVESTMENT INCOME (LOSS).......................................... 188 5,552 (174) -------------- -------------- -------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments..................................................... (2,459) (3,068) 1,066 In-kind redemptions............................................. -- 20,666 90,156 -------------- -------------- -------------- Net realized gain (loss).............................................. (2,459) 17,598 91,222 Net change in unrealized appreciation (depreciation) on investments... (114,943) (158,588) (253,253) -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS) .............................. (117,402) (140,990) (162,031) -------------- -------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................. $ (117,214) $ (135,438) $ (162,205) ============== ============== ==============
(a) Inception date. (b) Net of foreign withholding tax of $15 for the First Trust Financials AlphaDEX(TM) Fund. Page 98 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST INDUSTRIALS/ FIRST TRUST FIRST TRUST FINANCIALS HEALTH CARE PRODUCER DURABLES MATERIALS TECHNOLOGY ALPHADEX(TM) FUND ALPHADEX(TM) FUND ALPHADEX(TM) FUND ALPHADEX(TM) FUND ALPHADEX(TM) FUND ---------------------- ---------------------- ---------------------- ---------------------- ---------------------- For the Period For the Period For the Period For the Period For the Period May 8, 2007 (a) May 8, 2007 (a) May 8, 2007 (a) May 8, 2007 (a) May 8, 2007 (a) through through through through through July 31, 2007 July 31, 2007 July 31, 2007 July 31, 2007 July 31, 2007 ---------------------- ---------------------- ---------------------- ---------------------- ---------------------- $ 9,733 $ 1,752 $ 2,951 $ 6,416 $ 1,145 ------------------ ------------------ ------------------ ------------------ ------------------ 9,733 1,752 2,951 6,416 1,145 ------------------ ------------------ ------------------ ------------------ ------------------ 31,000 31,000 31,000 31,000 31,000 7,500 7,500 7,500 7,500 7,500 5,685 5,685 5,685 5,685 5,685 2,563 2,562 2,986 2,704 2,577 2,249 2,269 2,638 2,771 2,463 598 604 757 664 643 450 454 528 554 493 443 443 453 455 448 225 227 264 277 246 62 62 154 93 65 22 23 26 28 25 1,267 1,267 1,267 1,267 1,267 ------------------ ------------------ ------------------ ------------------ ------------------ 52,064 52,096 53,258 52,998 52,412 (48,915) (48,919) (49,565) (49,119) (48,964) ------------------ ------------------ ------------------ ------------------ ------------------ 3,149 3,177 3,693 3,879 3,448 ------------------ ------------------ ------------------ ------------------ ------------------ 6,584 (1,425) (742) 2,537 (2,303) ------------------ ------------------ ------------------ ------------------ ------------------ (3,175) (25,010) (34,546) (5,616) (13,344) -- -- -- 59,892 60,591 ------------------ ------------------ ------------------ ------------------ ------------------ (3,175) (25,010) (34,546) 54,276 47,247 (212,488) (25,073) (266,187) (54,042) 3,992 ------------------ ------------------ ------------------ ------------------ ------------------ (215,663) (50,083) (300,733) 234 51,239 ------------------ ------------------ ------------------ ------------------ ------------------ $ (209,079) $ (51,508) $ (301,475) $ 2,771 $ 48,936 ================== ================== =================== ================== ==================
See Notes to Financial Statements Page 99 First Trust Exchange-Traded AlphaDEX(TM) Fund Statements of Operations (Continued)
FIRST TRUST FIRST TRUST FIRST TRUST LARGE CAP MID CAP UTILITIES CORE CORE ALPHADEX(TM) FUND ALPHADEX(TM) FUND ALPHADEX(TM) FUND ------------------- ------------------ ----------------- For the Period For the Period For the Period May 8, 2007 (a) May 8, 2007 (a) May 8, 2007 (a) through through through July 31, 2007 July 31, 2007 July 31, 2007 ------------------- ------------------ ----------------- Dividends (b)......................................................... $ 15,004 $ 9,097 $ 8,343 --------------- -------------- -------------- Total investment income......................................... 15,004 9,097 8,343 --------------- -------------- -------------- EXPENSES: Audit and tax fees.................................................... 31,000 31,000 31,000 Printing fees......................................................... 7,500 7,500 7,500 Legal fees............................................................ 5,685 5,685 5,685 Listing fees.......................................................... 2,704 2,562 2,845 Investment advisory fees.............................................. 2,607 3,433 4,702 Trustees' fees and expenses........................................... 649 905 1,062 Licensing fees........................................................ 521 687 940 Custodian fees........................................................ 452 473 505 Accounting and administration fees.................................... 261 343 470 Registration and filing fees.......................................... 91 92 185 Transfer agent fees................................................... 26 34 47 Other expenses........................................................ 1,267 1,267 1,267 --------------- -------------- -------------- Total expenses.................................................. 52,763 53,981 56,208 Less fees waived and expenses reimbursed by the investment advisor........................................ (49,113) (49,175) (49,625) --------------- -------------- -------------- Net expenses.................................................... 3,650 4,806 6,583 --------------- -------------- -------------- NET INVESTMENT INCOME (LOSS).......................................... 11,354 4,291 1,760 --------------- -------------- -------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments..................................................... (945) (15,102) (16,286) In-kind redemptions............................................. 32,108 123,906 166,103 --------------- -------------- -------------- Net realized gain (loss).............................................. 31,163 108,804 149,817 Net change in unrealized appreciation (depreciation) on investments... (236,558) (244,796) (454,531) --------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS) .............................. (205,395) (135,992) (304,714) --------------- -------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................. $ (194,041) $ (131,701) $ (302,954) =============== ============== ==============
(a) Inception date. (b) Net of foreign withholding tax of $6 for the First Trust Small Cap Core AlphaDEX(TM) Fund. Page 100 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST SMALL CAP LARGE CAP VALUE LARGE CAP GROWTH FIRST TRUST FIRST TRUST CORE OPPORTUNITIES OPPORTUNITIES MULTI CAP VALUE MULTI CAP GROWTH ALPHADEX(TM) FUND ALPHADEX(TM) FUND ALPHADEX(TM) FUND ALPHADEX(TM) FUND ALPHADEX(TM) FUND ---------------------- ---------------------- ---------------------- ---------------------- ---------------------- For the Period For the Period For the Period For the Period For the Period May 8, 2007 (a) May 8, 2007 (a) May 8, 2007 (a) May 8, 2007 (a) May 8, 2007 (a) through through through through through July 31, 2007 July 31, 2007 July 31, 2007 July 31, 2007 July 31, 2007 ---------------------- ---------------------- ---------------------- ---------------------- ---------------------- $ 8,524 $ 13,219 $ 5,894 $ 11,160 $ 4,601 ------------------ ----------------- ------------------- ----------------- ----------------- 8,524 13,219 5,894 11,160 4,601 ------------------ ----------------- ------------------- ----------------- ----------------- 31,000 31,000 31,000 31,000 31,000 7,500 7,500 7,500 7,500 7,500 5,685 5,685 5,685 5,685 5,685 2,845 2,845 2,845 2,563 3,128 3,795 3,960 4,701 3,420 4,727 1,051 904 1,052 1,063 1,214 759 792 940 684 945 482 486 505 472 505 380 395 470 342 473 186 186 184 92 285 38 40 47 34 47 1,267 1,267 1,267 1,267 1,267 ------------------ ----------------- ------------------- ----------------- ----------------- 54,988 55,060 56,196 54,122 56,776 (49,675) (49,517) (49,614) (49,334) (50,158) ------------------ ----------------- ------------------- ----------------- ----------------- 5,313 5,543 6,582 4,788 6,618 ------------------ ----------------- ------------------- ----------------- ----------------- 3,211 7,676 (688) 6,372 (2,017) ------------------ ----------------- ------------------- ----------------- ----------------- (21,375) (5,338) 399 (8,569) (26,562) 164,380 128,924 84,145 131,777 146,477 ------------------ ----------------- ------------------- ----------------- ----------------- 143,005 123,586 84,544 123,208 119,915 (535,837) (531,514) (232,345) (334,249) (564,459) ------------------ ----------------- ------------------- ----------------- ----------------- (392,832) (407,928) (147,801) (211,041) (444,544) ------------------ ----------------- ------------------- ----------------- ----------------- $ (389,621) $ (400,252) $ (148,489) $ (204,669) $ (446,561) ================== ================= =================== ================= =================
See Notes to Financial Statements Page 101 First Trust Exchange-Traded AlphaDEX(TM) Fund Statement of Changes in Net Assets
FIRST TRUST FIRST TRUST CONSUMER CONSUMER FIRST TRUST DISCRETIONARY STAPLES ENERGY ALPHADEX(TM) FUND ALPHADEX(TM) FUND ALPHADEX(TM) FUND ------------------ ------------------ ------------------ For the Period For the Period For the Period May 8, 2007 (a) May 8, 2007 (a) May 8, 2007 (a) through through through July 31, 2007 July 31, 2007 July 31, 2007 ------------------ ------------------ ------------------ OPERATIONS: Net investment income (loss)..................................... $ 188 $ 5,552 $ (174) Net realized gain (loss)......................................... (2,459) 17,598 91,222 Net change in unrealized appreciation (depreciation)............. (114,943) (158,588) (253,253) --------------- -------------- --------------- Net increase (decrease) in net assets resulting from operations.. (117,214) (135,438) (162,205) --------------- -------------- --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold........................................ 2,000,040 4,005,824 6,438,163 Value of shares repurchased...................................... -- (1,003,900) (1,091,471) --------------- -------------- --------------- Net increase (decrease) in net assets resulting from shareholder transactions.................................. 2,000,040 3,001,924 5,346,692 --------------- -------------- --------------- Net increase (decrease) in net assets............................ 1,882,826 2,866,486 5,184,487 NET ASSETS: Beginning of Period.............................................. -- -- -- --------------- -------------- --------------- End of Period.................................................... $ 1,882,826 $ 2,866,486 $ 5,184,487 =============== ============== =============== Accumulated net investment income (loss) at end of period........ $ 188 $ 5,552 $ -- =============== ============== =============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period.......................... -- -- -- Shares sold...................................................... 100,002 200,002 300,002 Shares repurchased............................................... -- (50,000) (50,000) --------------- -------------- --------------- Shares outstanding, end of period................................ 100,002 150,002 250,002 =============== ============== ===============
(a) Inception date. Page 102 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST INDUSTRIALS/ FIRST TRUST FIRST TRUST FINANCIALS HEALTH CARE PRODUCER DURABLES MATERIALS TECHNOLOGY ALPHADEX(TM) FUND ALPHADEX(TM) FUND ALPHADEX(TM) FUND ALPHADEX(TM) FUND ALPHADEX(TM) FUND ---------------------- ---------------------- ---------------------- ---------------------- ---------------------- For the Period For the Period For the Period For the Period For the Period May 8, 2007 (a) May 8, 2007 (a) May 8, 2007 (a) May 8, 2007 (a) May 8, 2007 (a) through through through through through July 31, 2007 July 31, 2007 July 31, 2007 July 31, 2007 July 31, 2007 ---------------------- ---------------------- ---------------------- ---------------------- ---------------------- $ 6,584 $ (1,425) $ (742) $ 2,537 $ (2,303) (3,175) (25,010) (34,546) 54,276 47,247 (212,488) (25,073) (266,187) (54,042) 3,992 ------------------ ----------------- ----------------- ---------------- ---------------- (209,079) (51,508) (301,475) 2,771 48,936 ------------------ ----------------- ----------------- ---------------- ---------------- 2,000,040 2,000,040 5,019,794 4,071,138 3,148,212 -- -- -- (1,048,802) (1,048,212) ------------------ ----------------- ----------------- ---------------- ---------------- 2,000,040 2,000,040 5,019,794 3,022,336 2,100,000 ------------------ ----------------- ----------------- ---------------- ---------------- 1,790,961 1,948,532 4,718,319 3,025,107 2,148,936 -- -- -- -- -- ------------------ ----------------- ----------------- ---------------- ---------------- $ 1,790,961 $ 1,948,532 $ 4,718,319 $ 3,025,107 $ 2,148,936 ================== ================= ================= ================ ================ $ 6,584 $ -- $ -- $ 2,537 $ -- ================== ================= ================= ================ ================ -- -- -- -- -- 100,002 100,002 250,002 200,002 155,000 -- -- -- (50,000) (50,000) ------------------ ----------------- ----------------- ---------------- ---------------- 100,002 100,002 250,002 150,002 105,000 ================== ================= ================= ================ ================
See Notes to Financial Statements Page 103 First Trust Exchange-Traded AlphaDEX(TM) Fund Statement of Changes in Net Assets (Continued)
FIRST TRUST FIRST TRUST FIRST TRUST LARGE CAP MID CAP UTILITIES CORE CORE ALPHADEX(TM) FUND ALPHADEX(TM) FUND ALPHADEX(TM) FUND ------------------ ------------------ ------------------ For the Period For the Period For the Period May 8, 2007 (a) May 8, 2007 (a) May 8, 2007 (a) through through through July 31, 2007 July 31, 2007 July 31, 2007 ------------------- ------------------ ----------------- OPERATIONS: Net investment income (loss).................................... $ 11,354 $ 4,291 $ 1,760 Net realized gain (loss)........................................ 31,163 108,804 149,817 Net change in unrealized appreciation (depreciation)............ (236,558) (244,796) (454,531) --------------- -------------- -------------- Net increase (decrease) in net assets resulting from operations (194,041) (131,701) (302,954) --------------- -------------- -------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold....................................... 3,917,512 6,064,190 9,115,197 Value of shares repurchased..................................... (967,258) (3,064,130) (3,096,798) --------------- -------------- -------------- Net increase (decrease) in net assets resulting from shareholder transactions................................... 2,950,254 3,000,060 6,018,399 --------------- -------------- -------------- Net increase (decrease) in net assets........................... 2,756,213 2,868,359 5,715,445 NET ASSETS: Beginning of Period............................................. -- -- -- --------------- -------------- -------------- End of Period................................................... $ 2,756,213 $ 2,868,359 $ 5,715,445 =============== ============== ============== Accumulated net investment income (loss) at end of period....... $ 11,354 $ 4,291 $ 1,760 =============== ============== ============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period......................... -- -- -- Shares sold..................................................... 200,002 200,002 300,002 Shares repurchased.............................................. (50,000) (100,000) (100,000) --------------- -------------- -------------- Shares outstanding, end of period............................... 150,002 100,002 200,002 =============== ============== ==============
(a) Inception date. Page 104 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST SMALL CAP LARGE CAP VALUE LARGE CAP GROWTH FIRST TRUST FIRST TRUST CORE OPPORTUNITIES OPPORTUNITIES MULTI CAP VALUE MULTI CAP GROWTH ALPHADEX(TM) FUND ALPHADEX(TM) FUND ALPHADEX(TM) FUND ALPHADEX(TM) FUND ALPHADEX(TM) FUND ---------------------- ---------------------- ---------------------- ---------------------- ---------------------- For the Period For the Period For the Period For the Period For the Period May 8, 2007 (a) May 8, 2007 (a) May 8, 2007 (a) May 8, 2007 (a) May 8, 2007 (a) through through through through through July 31, 2007 July 31, 2007 July 31, 2007 July 31, 2007 July 31, 2007 ---------------------- ---------------------- ---------------------- ---------------------- ---------------------- $ 3,211 $ 7,676 $ (688) $ 6,372 $ (2,017) 143,005 123,586 84,544 123,208 119,915 (535,837) (531,514) (232,345) (334,249) (564,459) ------------------ ----------------- ------------------ ----------------- ----------------- (389,621) (400,252) (148,489) (204,669) (446,561) ------------------ ----------------- ------------------ ----------------- ----------------- 9,134,960 9,133,000 9,069,027 6,057,410 12,375,183 (3,084,908) (3,063,506) (3,075,980) (3,057,350) (3,110,520) ------------------ ----------------- ------------------ ----------------- ----------------- 6,050,052 6,069,494 5,993,047 3,000,060 9,264,663 ------------------ ----------------- ------------------ ----------------- ----------------- 5,660,431 5,669,242 5,844,558 2,795,391 8,818,102 -- -- -- -- -- ------------------ ----------------- ------------------ ----------------- ----------------- $ 5,660,431 $ 5,669,242 $ 5,844,558 $ 2,795,391 $ 8,818,102 ================== ================= ================== ================= ================= $ 3,211 $ 7,676 $ -- $ 6,372 $ -- ================== ================= ================== ================= ================= -- -- -- -- -- 300,002 300,002 300,002 200,002 400,002 (100,000) (100,000) (100,000) (100,000) (100,000) ------------------ ----------------- ------------------ ----------------- ----------------- 200,002 200,002 200,002 100,002 300,002 ================== ================= ================== ================= =================
See Notes to Financial Statements Page 105 First Trust Exchange-Traded AlphaDEX(TM) Fund Financial Highlights For a share outstanding throughout the period FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(TM) FUND FOR THE PERIOD MAY 8, 2007 (A) THROUGH JULY 31, 2007 ------------------ Net asset value, beginning of period $ 20.00 ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) (b) 0.00(f) Net realized and unrealized gain (loss) (1.17) ------------ Total from investment operations (1.17) ------------ Net asset value, end of period $ 18.83 ============ TOTAL RETURN (C) (5.85)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 1,883 RATIOS TO AVERAGE NET ASSETS: Ratio of net expenses to average net assets 0.70%(d) Ratio of total expenses to average net assets 11.39%(d) Ratio of net investment income to average net assets 0.04%(d) Portfolio turnover rate (e) 34% FIRST TRUST CONSUMER STAPLES ALPHADEX(TM) FUND FOR THE PERIOD MAY 8, 2007 (A) THROUGH JULY 31, 2007 ------------------ Net asset value, beginning of period $ 20.00 ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) (b) 0.04 Net realized and unrealized gain (loss) (0.93) ------------ Total from investment operations (0.89) ------------ Net asset value, end of period $ 19.11 ============ TOTAL RETURN (C) (4.45)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 2,866 RATIOS TO AVERAGE NET ASSETS: Ratio of net expenses to average net assets 0.70%(d) Ratio of total expenses to average net assets 9.34%(d) Ratio of net investment income to average net assets 0.98%(d) Portfolio turnover rate (e) 1% (a) Inception date. (b) Based on average shares outstanding. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The return presented does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return calculated for a period of less than one year is not annualized. The total return would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Annualized. (e) Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or redemptions. (f) Amount represents less than $0.01 per share. Page 106 See Notes to Financial Statements First Trust Exchange-Traded AlphaDEX(TM) Fund Financial Highlights For a share outstanding throughout the period FIRST TRUST ENERGY ALPHADEX(TM) FUND FOR THE PERIOD MAY 8, 2007 (A) THROUGH JULY 31, 2007 ------------------ Net asset value, beginning of period $ 20.00 ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) (b) (0.00)(f) Net realized and unrealized gain (loss) 0.74 ------------ Total from investment operations 0.74 ------------ Net asset value, end of period $ 20.74 ============ TOTAL RETURN (C) 3.70% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 5,184 RATIOS TO AVERAGE NET ASSETS: Ratio of net expenses to average net assets 0.70%(d) Ratio of total expenses to average net assets 9.49%(d) Ratio of net investment loss to average net assets (0.03)%(d) Portfolio turnover rate (e) 1% FIRST TRUST FINANCIALS ALPHADEX(TM) FUND FOR THE PERIOD MAY 8, 2007 (A) THROUGH JULY 31, 2007 ------------------ Net asset value, beginning of period $ 20.00 ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) (b) 0.07 Net realized and unrealized gain (loss) (2.16) ------------ Total from investment operations (2.09) ------------ Net asset value, end of period $ 17.91 ============ TOTAL RETURN (C) (10.45)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 1,791 RATIOS TO AVERAGE NET ASSETS: Ratio of net expenses to average net assets 0.70%(d) Ratio of total expenses to average net assets 11.58%(d) Ratio of net investment income to average net assets 1.46%(d) Portfolio turnover rate (e) 26% (a) Inception date. (b) Based on average shares outstanding. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The return presented does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return calculated for a period of less than one year is not annualized. The total return would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Annualized. (e) Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or redemptions. (f) Amount represents less than $0.01 per share. See Notes to Financial Statements Page 107 First Trust Exchange-Traded AlphaDEX(TM) Fund Financial Highlights For a share outstanding throughout the period FIRST TRUST HEALTH CARE ALPHADEX(TM) FUND FOR THE PERIOD MAY 8, 2007 (A) THROUGH JULY 31, 2007 ------------------ Net asset value, beginning of period $ 20.00 ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) (b) (0.01) Net realized and unrealized gain (loss) (0.51) ------------ Total from investment operations (0.52) ------------ Net asset value, end of period $ 19.48 ============ TOTAL RETURN (C) (2.60)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 1,949 RATIOS TO AVERAGE NET ASSETS: Ratio of net expenses to average net assets 0.70%(d) Ratio of total expenses to average net assets 11.48%(d) Ratio of net investment loss to average net assets (0.31)%(d) Portfolio turnover rate (e) 30% FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(TM) FUND FOR THE PERIOD MAY 8, 2007 (A) THROUGH JULY 31, 2007 ------------------ Net asset value, beginning of period $ 20.00 ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) (b) (0.00)(f) Net realized and unrealized gain (loss) (1.13) ------------ Total from investment operations (1.13) ------------ Net asset value, end of period $ 18.87 ============ TOTAL RETURN (C) (5.65)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 4,718 RATIOS TO AVERAGE NET ASSETS: Ratio of net expenses to average net assets 0.70%(d) Ratio of total expenses to average net assets 10.09%(d) Ratio of net investment loss to average net assets (0.14)%(d) Portfolio turnover rate (e) 24% (a) Inception date. (b) Based on average shares outstanding. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The return presented does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return calculated for a period of less than one year is not annualized. The total return would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Annualized. (e) Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or redemptions. (f) Amount represents less than $0.01 per share. Page 108 See Notes to Financial Statements First Trust Exchange-Traded AlphaDEX(TM) Fund Financial Highlights For a share outstanding throughout the period FIRST TRUST MATERIALS ALPHADEX(TM) FUND FOR THE PERIOD MAY 8, 2007 (A) THROUGH JULY 31, 2007 ------------------ Net asset value, beginning of period $ 20.00 ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) (b) 0.02 Net realized and unrealized gain (loss) 0.15 ------------ Total from investment operations 0.17 ------------ Net asset value, end of period $ 20.17 ============ TOTAL RETURN (C) 0.85% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 3,025 RATIOS TO AVERAGE NET ASSETS: Ratio of net expenses to average net assets 0.70%(d) Ratio of total expenses to average net assets 9.56%(d) Ratio of net investment income to average net assets 0.46%(d) Portfolio turnover rate (e) 1% FIRST TRUST TECHNOLOGY ALPHADEX(TM) FUND FOR THE PERIOD MAY 8, 2007 (A) THROUGH JULY 31, 2007 ------------------ Net asset value, beginning of period $ 20.00 ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) (b) (0.02) Net realized and unrealized gain (loss) 0.49 ------------ Total from investment operations 0.47 ------------ Net asset value, end of period $ 20.47 ============ TOTAL RETURN (C) 2.35% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 2,149 RATIOS TO AVERAGE NET ASSETS: Ratio of net expenses to average net assets 0.70%(d) Ratio of total expenses to average net assets 10.64%(d) Ratio of net investment loss to average net assets (0.47)%(d) Portfolio turnover rate (e) 6% (a) Inception date. (b) Based on average shares outstanding. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The return presented does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return calculated for a period of less than one year is not annualized. The total return would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Annualized. (e) Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or redemptions. See Notes to Financial Statements Page 109 First Trust Exchange-Traded AlphaDEX(TM) Fund Financial Highlights For a share outstanding throughout the period FIRST TRUST UTILITIES ALPHADEX(TM)FUND FOR THE PERIOD MAY 8, 2007 (A) THROUGH JULY 31, 2007 ------------------ Net asset value, beginning of period $ 20.00 ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) (b) 0.09 Net realized and unrealized gain (loss) (1.72) ------------ Total from investment operations (1.63) ------------ Net asset value, end of period $ 18.37 ============ TOTAL RETURN (C) (8.15)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 2,756 RATIOS TO AVERAGE NET ASSETS: Ratio of net expenses to average net assets 0.70%(d) Ratio of total expenses to average net assets 10.12%(d) Ratio of net investment income to average net assets 2.18%(d) Portfolio turnover rate (e) 1% FIRST TRUST LARGE CAP CORE ALPHADEX(TM) FUND FOR THE PERIOD MAY 8, 2007 (A) THROUGH JULY 31, 2007 ------------------ Net asset value, beginning of period $ 30.00 ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) (b) 0.04 Net realized and unrealized gain (loss) (1.36) ------------ Total from investment operations (1.32) ------------ Net asset value, end of period $ 28.68 ============ TOTAL RETURN (C) (4.40)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 2,868 RATIOS TO AVERAGE NET ASSETS: Ratio of net expenses to average net assets 0.70%(d) Ratio of total expenses to average net assets 7.86%(d) Ratio of net investment income to average net assets 0.62%(d) Portfolio turnover rate (e) 1% (a) Inception date. (b) Based on average shares outstanding. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The return presented does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return calculated for a period of less than one year is not annualized. The total return would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Annualized. (e) Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or redemptions. Page 110 See Notes to Financial Statements First Trust Exchange-Traded AlphaDEX(TM) Fund Financial Highlights For a share outstanding throughout the period FIRST TRUST MID CAP CORE ALPHADEX(TM) FUND FOR THE PERIOD MAY 8, 2007 (A) THROUGH JULY 31, 2007 ------------------ Net asset value, beginning of period $ 30.00 ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) (b) 0.01 Net realized and unrealized gain (loss) (1.43) ------------ Total from investment operations (1.42) ------------ Net asset value, end of period $ 28.58 ============ TOTAL RETURN (C) (4.73)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 5,715 RATIOS TO AVERAGE NET ASSETS: Ratio of net expenses to average net assets 0.70%(d) Ratio of total expenses to average net assets 5.98%(d) Ratio of net investment income to average net assets 0.19%(d) Portfolio turnover rate (e) 1% FIRST TRUST SMALL CAP CORE ALPHADEX(TM) FUND FOR THE PERIOD MAY 8, 2007 (A) THROUGH JULY 31, 2007 ------------------ Net asset value, beginning of period $ 30.00 ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) (b) 0.02 Net realized and unrealized gain (loss) (1.72) ------------ Total from investment operations (1.70) ------------ Net asset value, end of period $ 28.30 ============ TOTAL RETURN (C) (5.67)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 5,660 RATIOS TO AVERAGE NET ASSETS: Ratio of net expenses to average net assets 0.70%(d) Ratio of total expenses to average net assets 7.25%(d) Ratio of net investment income to average net assets 0.42%(d) Portfolio turnover rate (e) 2% (a) Inception date. (b) Based on average shares outstanding. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The return presented does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return calculated for a period of less than one year is not annualized. The total return would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Annualized. (e) Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or redemptions. See Notes to Financial Statements Page 111 First Trust Exchange-Traded AlphaDEX(TM) Fund Financial Highlights For a share outstanding throughout the period FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(TM) FUND FOR THE PERIOD MAY 8, 2007 (A) THROUGH JULY 31, 2007 ------------------ Net asset value, beginning of period $ 30.00 ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) (b) 0.06 Net realized and unrealized gain (loss) (1.71) ------------ Total from investment operations (1.65) ------------ Net asset value, end of period $ 28.35 ============ TOTAL RETURN (C) (5.50)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 5,669 RATIOS TO AVERAGE NET ASSETS: Ratio of net expenses to average net assets 0.70%(d) Ratio of total expenses to average net assets 6.95%(d) Ratio of net investment income to average net assets 0.97%(d) Portfolio turnover rate (e) 1% FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(TM) FUND FOR THE PERIOD MAY 8, 2007 (A) THROUGH JULY 31, 2007 ------------------ Net asset value, beginning of period $ 30.00 ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) (b) (0.00)(f) Net realized and unrealized gain (loss) (0.78) ------------ Total from investment operations (0.78) ------------ Net asset value, end of period $ 29.22 ============ TOTAL RETURN (C) (2.60)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 5,845 RATIOS TO AVERAGE NET ASSETS: Ratio of net expenses to average net assets 0.70%(d) Ratio of total expenses to average net assets 5.98%(d) Ratio of net investment loss to average net assets (0.07)%(d) Portfolio turnover rate (e) 1% (a) Inception date. (b) Based on average shares outstanding. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The return presented does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return calculated for a period of less than one year is not annualized. The total return would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Annualized. (e) Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or redemptions. (f) Amount represents less than $0.01 per share. Page 112 See Notes to Financial Statements First Trust Exchange-Traded AlphaDEX(TM) Fund Financial Highlights For a share outstanding throughout the period FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND FOR THE PERIOD MAY 8, 2007 (A) THROUGH JULY 31, 2007 ------------------ Net asset value, beginning of period $ 30.00 ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) (b) 0.06 Net realized and unrealized gain (loss) (2.11) ------------ Total from investment operations (2.05) ------------ Net asset value, end of period $ 27.95 ============ TOTAL RETURN (C) (6.83)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 2,795 RATIOS TO AVERAGE NET ASSETS: Ratio of net expenses to average net assets 0.70%(d) Ratio of total expenses to average net assets 7.91%(d) Ratio of net investment income to average net assets 0.93%(d) Portfolio turnover rate (e) 2% FIRST TRUST MULTI CAP GROWTH ALPHADEX(TM) FUND FOR THE PERIOD MAY 8, 2007 (A) THROUGH JULY 31, 2007 ------------------ Net asset value, beginning of period $ 30.00 ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) (b) (0.01) Net realized and unrealized gain (loss) (0.60) ------------ Total from investment operations (0.61) ------------ Net asset value, end of period $ 29.39 ============ TOTAL RETURN (C) (2.03)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 8,818 RATIOS TO AVERAGE NET ASSETS: Ratio of net expenses to average net assets 0.70%(d) Ratio of total expenses to average net assets 6.01%(d) Ratio of net investment loss to average net assets (0.21)%(d) Portfolio turnover rate (e) 1% (a) Inception date. (b) Based on average shares outstanding. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The return presented does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return calculated for a period of less than one year is not annualized. The total return would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Annualized. (e) Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or redemptions. See Notes to Financial Statements Page 113 ------------------------------------------------------------------------------- Notes to Financial Statements ------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND JULY 31, 2007 1. ORGANIZATION First Trust Exchange-Traded AlphaDEX(TM) 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 sixteen funds: First Trust Consumer Discretionary AlphaDEX(TM) Fund - (AMEX ticker "FXD") First Trust Consumer Staples AlphaDEX(TM) Fund - (AMEX ticker "FXG") First Trust Energy AlphaDEX(TM) Fund - (AMEX ticker "FXN") First Trust Financials AlphaDEX(TM) Fund - (AMEX ticker "FXO") First Trust Health Care AlphaDEX(TM) Fund - (AMEX ticker "FXH") First Trust Industrials/Producer Durables AlphaDEX(TM) Fund - (AMEX ticker "FXR") First Trust Materials AlphaDEX(TM) Fund - (AMEX ticker "FXZ") First Trust Technology AlphaDEX(TM) Fund - (AMEX ticker "FXL") First Trust Utilities AlphaDEX(TM) Fund - (AMEX ticker "FXU") First Trust Large Cap Core AlphaDEX(TM) Fund - (AMEX ticker "FEX") First Trust Mid Cap Core AlphaDEX(TM) Fund - (AMEX ticker "FNX") First Trust Small Cap Core AlphaDEX(TM) Fund - (AMEX ticker "FYX") First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund - (AMEX ticker "FTA") First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund - (AMEX ticker "FTC") First Trust Multi Cap Value AlphaDEX(TM) Fund - (AMEX ticker "FAB") First Trust Multi Cap Growth AlphaDEX(TM) Fund - (AMEX ticker "FAD") Each fund represents a separate series of beneficial interest in the Trust (the "Fund" or collectively, the "Funds"). The Funds' shares are listed and traded on the American Stock Exchange ("AMEX"). Unlike conventional mutual funds, each Fund issues and redeems shares on a continuous basis, at net asset value ("NAV"), only in large specified blocks consisting of shares called a "Creation Unit". Each Creation Unit consists of 50,000 shares for the First Trust Consumer Discretionary AlphaDEX(TM) Fund, the First Trust Consumer Staples AlphaDEX(TM) Fund, the First Trust Energy AlphaDEX(TM) Fund, the First Trust Financials AlphaDEX(TM) Fund, the First Trust Health Care AlphaDEX(TM) Fund, the First Trust Industrials/Producer Durables AlphaDEX(TM) Fund, the First Trust Materials AlphaDEX(TM) Fund, the First Trust Technology AlphaDEX(TM) Fund, and the First Trust Utilities AlphaDEX(TM) Fund and 100,000 shares for the First Trust Large Cap Core AlphaDEX(TM) Fund, the First Trust Mid Cap Core AlphaDEX(TM) Fund, the First Trust Small Cap Core AlphaDEX(TM) Fund, the First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund, the First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund, the First Trust Multi Cap Value AlphaDEX(TM) Fund, and the First Trust Multi Cap Growth AlphaDEX(TM) Fund. Creation Units are issued and redeemed principally in-kind for securities included in the relevant index. Except when aggregated in Creation Units, shares are not redeemable securities of a Fund. 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(TM) Fund StrataQuant(TM) ConsumerDiscretionary Index First Trust Consumer Staples AlphaDEX(TM) Fund StrataQuant(TM) Consumer Staples Index First Trust Energy AlphaDEX(TM) Fund StrataQuant(TM) Energy Index First Trust Financials AlphaDEX(TM) Fund StrataQuant(TM) Financials Index First Trust Health Care AlphaDEX(TM) Fund StrataQuant(TM) Health Care Index First Trust Industrials/Producer Durables AlphaDEX(TM) Fund StrataQuant(TM) Industrials Index First Trust Materials AlphaDEX(TM) Fund StrataQuant(TM) Materials Index First Trust Technology AlphaDEX(TM) Fund StrataQuant(TM) TechnologyIndex First Trust Utilities AlphaDEX(TM) Fund StrataQuant(TM) UtilitiesIndex First Trust Large Cap Core AlphaDEX(TM) Fund Defined Large Cap Core Index First Trust Mid Cap Core AlphaDEX(TM) Fund Defined Mid Cap Core Index First Trust Small Cap Core AlphaDEX(TM) Fund Defined Small Cap Core Index First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund Defined Large Cap Value Opportunities Index First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund Defined Large Cap Growth Opportunities Index First Trust Multi Cap Value AlphaDEX(TM) Fund Defined Multi Cap Value Index First Trust Multi Cap Growth AlphaDEX(TM) Fund Defined Multi Cap Growth Index
2. SIGNIFICANT ACCOUNTING POLICIES 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 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. Page 114 ------------------------------------------------------------------------------- Notes to Financial Statements (Continued) ------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND JULY 31, 2007 A.PORTFOLIO VALUATION Each Fund determines the NAV of its shares daily, as of the close of regular session trading on the New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. The NAV 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 shares outstanding. Each Fund's investments are valued at market value or, in the absence of market value with respect to any portfolio securities, at fair value according to procedures adopted by the Trust's Board of Trustees. Portfolio securities listed on any exchange other than The NASDAQ Stock Market, Inc. ("NASDAQ(R)") are valued at the last sale price on the business day as of which such value is being determined. If there has been no sale on such day, the securities are valued at the mean of the most recent bid and asked prices on such day. Securities traded on the NASDAQ(R) are valued at the NASDAQ(R) Official Closing Price as determined by NASDAQ(R). Portfolio securities traded on more than one securities exchange are valued at the last sale price on the business day as of which such value is being determined at the close of the exchange representing the principal market for such securities. Portfolio securities traded in the over-the-counter market, but excluding securities traded on the NASDAQ(R), are valued at the closing bid prices. Short-term investments that mature in less than 60 days are valued at amortized cost. 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. The Funds may hold publicly-traded master limited partnerships ("MLP"). Distributions from such investments may include a return of capital component from the MLP to the extent of the cost basis of such MLP investments. Cumulative distributions received in excess of the Fund's cost basis in an MLP generally are recorded as dividend income. C. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS Dividends from net investment income of the Funds, if any, are declared and paid semi-annually or as the Board of Trustees may determine from time to time. Distributions of net realized capital gains earned by each Fund, if any, are distributed at least annually. Distributions from income and capital gains are determined in accordance with income tax regulations, which may differ from accounting principles generally accepted in the United States of America. These differences are primarily due to differing treatments of income and gains on various investment securities held by the Funds, timing differences and differing characterization of distributions made by the Funds. There were no distributions paid during the period ended July 31, 2007. As of July 31, 2007, the components of distributable earnings on a tax basis for the Funds were as follows:
Undistributed Accumulated Net Unrealized Ordinary Capital Appreciation Income Gain (Loss) (Depreciation) -------------- ---------------- ---------------- First Trust Consumer Discretionary AlphaDEX(TM) Fund $ 188 $ (2,058) $ (115,344) First Trust Consumer Staples AlphaDEX(TM) Fund 5,552 (3,068) (158,588) First Trust Energy AlphaDEX(TM) Fund 892 -- (253,253) First Trust Financials AlphaDEX(TM) Fund 6,584 (2,757) (212,906) First Trust Health Care AlphaDEX(TM) Fund -- (18,355) (31,728) First Trust Industrials/Producer Durables AlphaDEX(TM) Fund -- (23,631) (277,102) First Trust Materials AlphaDEX(TM) Fund 2,537 (4,424) (55,234) First Trust Technology AlphaDEX(TM) Fund -- (12,398) 3,046 First Trust Utilities AlphaDEX(TM) Fund 11,354 (945) (236,558) First Trust Large Cap Core AlphaDEX(TM) Fund 4,291 (15,102) (244,796) First Trust Mid Cap Core AlphaDEX(TM) Fund 1,760 (7,911) (462,906) First Trust Small Cap Core AlphaDEX(TM) Fund 3,211 (14,770) (542,442) First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund 7,676 (1,854) (534,998) First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund -- -- (232,345) First Trust Multi Cap Value AlphaDEX(TM) Fund 6,372 (8,569) (334,249) First Trust Multi Cap Growth AlphaDEX(TM) Fund -- (26,562) (564,459)
D. INCOME TAXES Each Fund intends to qualify as a regulated investment company by complying with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended, by 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. Page 115 ------------------------------------------------------------------------------- Notes to Financial Statements (Continued) ------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND JULY 31, 2007 In June 2006, Financial Accounting Standards Board Interpretation No. 48, "Accounting for Uncertainty in Income Taxes" - an interpretation of FASB Statement 109 ("FIN 48") was issued and is effective for fiscal years beginning after December 15, 2006. This interpretation prescribes a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. As of July 31, 2007, management has evaluated the application of FIN 48 to the Funds, and has determined that there is no material impact resulting from the adoption of this interpretation on the Funds' financial statements. At July 31, 2007 for federal income tax purposes, the Funds have capital loss carryforwards available as shown in the table below, to the extent provided by regulations, to offset future capital gains through the year indicated. 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 shareholders. The following Funds incurred and elected to defer net capital losses as follows: Capital Loss Available through July 31, 2015 ----------------- First Trust Consumer Discretionary AlphaDEX(TM) Fund $ 2,058 First Trust Consumer Staples AlphaDEX(TM) Fund 3,068 First Trust Energy AlphaDEX(TM) Fund -- First Trust Financials AlphaDEX(TM) Fund 2,757 First Trust Health Care AlphaDEX(TM) Fund 18,355 First Trust Industrials/Producer Durables AlphaDEX(TM) Fund 23,631 First Trust Materials AlphaDEX(TM) Fund 4,424 First Trust Technology AlphaDEX(TM) Fund 12,398 First Trust Utilities AlphaDEX(TM) Fund 945 First Trust Large Cap Core AlphaDEX(TM) Fund 15,102 First Trust Mid Cap Core AlphaDEX(TM) Fund 7,911 First Trust Small Cap Core AlphaDEX(TM) Fund 14,770 First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund 1,854 First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund -- First Trust Multi Cap Value AlphaDEX(TM) Fund 8,569 First Trust Multi Cap Growth AlphaDEX(TM) Fund 26,562 In order to present paid-in capital and accumulated net realized gain (loss) 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. For the period ended July 31, 2007, the adjustments were as follows:
Accumulated Accumulated Net Realized Net Investment Gain (Loss) Paid-in Income (Loss) on Investments Capital ---------------- ---------------- --------------- First Trust Consumer Discretionary AlphaDEX(TM) Fund $ -- $ -- $ -- First Trust Consumer Staples AlphaDEX(TM) Fund -- (20,666) 20,666 First Trust Energy AlphaDEX(TM) Fund 174 (90,330) 90,156 First Trust Financials AlphaDEX(TM) Fund -- -- -- First Trust Health Care AlphaDEX(TM) Fund 1,425 -- (1,425) First Trust Industrials/Producer Durables AlphaDEX(TM) Fund 742 -- (742) First Trust Materials AlphaDEX(TM) Fund -- (59,892) 59,892 First Trust Technology AlphaDEX(TM) Fund 2,303 (60,591) 58,288 First Trust Utilities AlphaDEX(TM) Fund -- (32,108) 32,108 First Trust Large Cap Core AlphaDEX(TM) Fund -- (123,906) 123,906 First Trust Mid Cap Core AlphaDEX(TM) Fund -- (166,103) 166,103 First Trust Small Cap Core AlphaDEX(TM) Fund -- (164,380) 164,380 First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund -- (128,924) 128,924 First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund 688 (84,544) 83,856 First Trust Multi Cap Value AlphaDEX(TM) Fund -- (131,777) 131,777 First Trust Multi Cap Growth AlphaDEX(TM) Fund 2,017 (146,477) 144,460
Page 116 ------------------------------------------------------------------------------- Notes to Financial Statements (Continued) ------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND JULY 31, 2007 E. 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 average net assets of each Fund. First Trust Portfolios L.P. ("First Trust Portfolios") has entered into licensing agreements with each of the following "Licensors" for the respective Funds:
FUNDS LICENSOR First Trust Consumer Discretionary AlphaDEX(TM) Fund American Stock Exchange LLC First Trust Consumer Staples AlphaDEX(TM) Fund American Stock Exchange LLC First Trust Energy AlphaDEX(TM) Fund American Stock Exchange LLC First Trust Financials AlphaDEX(TM) Fund American Stock Exchange LLC First Trust Health Care AlphaDEX(TM) Fund American Stock Exchange LLC First Trust Industrials/Producer Durables AlphaDEX(TM) Fund American Stock Exchange LLC First Trust Materials AlphaDEX(TM) Fund American Stock Exchange LLC First Trust Technology AlphaDEX(TM) Fund American Stock Exchange LLC First Trust Utilities AlphaDEX(TM) Fund American Stock Exchange LLC First Trust Large Cap Core AlphaDEX(TM) Fund Standard & Poor's First Trust Mid Cap Core AlphaDEX(TM) Fund Standard & Poor's First Trust Small Cap Core AlphaDEX(TM) Fund Standard & Poor's First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund Standard & Poor's First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund Standard & Poor's First Trust Multi Cap Value AlphaDEX(TM) Fund Standard & Poor's First Trust Multi Cap Growth AlphaDEX(TM) Fund Standard & Poor's
The Funds are entitled to use each index and corresponding trademarks and trade names pursuant to sublicensing arrangements by and among each Fund, the respective Licensor, First Trust Advisors L.P. ("First Trust") and First Trust Portfolios. As such, the Funds pay licensing fees, which are shown on the Statements of Operations. F. ACCOUNTING PRONOUNCEMENT In September 2006, Statement of Financial Accounting Standards No. 157 Fair Value Measurements ("SFAS 157") was issued by the FASB and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact the adoption of SFAS 157 will have on the Funds' financial statement disclosures. 3. INVESTMENT ADVISORY FEE AND OTHER AFFILIATED TRANSACTIONS First Trust (or the "Advisor") is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. First Trust serves as investment advisor to the Funds pursuant to an Investment Management Agreement. First Trust is responsible for the selection and ongoing monitoring of the securities in the Funds' portfolios and certain other services necessary for the management of the Funds. For these services, First Trust will receive monthly fees from each Fund calculated at an annual rate of 0.50% of such Fund's average daily net assets. The Trust and the Advisor have entered into an Expense Reimbursement, Fee Waiver and Recovery Agreement in which the Advisor has agreed to waive fees and/or reimburse the Funds to the extent that the operating expenses of each Fund (excluding interest expense, brokerage commissions and other trading expenses, taxes and extraordinary expenses) exceed 0.70% of average daily net assets per year (the "Expense Cap"). Each Fund's Expense Cap will be in effect for at least two years from its inception date. Expenses borne by the Advisor are subject to reimbursement by the Funds 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 would result in the Fund exceeding its Expense Cap. For the period ended July 31, 2007, the advisory fee waivers and reimbursements of expenses (in order to maintain the Expense Caps) were as follows: Page 117 ------------------------------------------------------------------------------- Notes to Financial Statements (Continued) ------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND JULY 31, 2007
Advisory Fee Expense Waivers Reimbursements ----------------- ----------------- First Trust Consumer Discretionary AlphaDEX(TM) Fund $ 2,287 $ 46,632 First Trust Consumer Staples AlphaDEX(TM) Fund 2,843 46,254 First Trust Energy AlphaDEX(TM) Fund 2,821 46,774 First Trust Financials AlphaDEX(TM) Fund 2,249 46,666 First Trust Health Care AlphaDEX(TM) Fund 2,269 46,650 First Trust Industrials/Producer Durables AlphaDEX(TM) Fund 2,638 46,927 First Trust Materials AlphaDEX(TM) Fund 2,771 46,348 First Trust Technology AlphaDEX(TM) Fund 2,463 46,501 First Trust Utilities AlphaDEX(TM) Fund 2,607 46,506 First Trust Large Cap Core AlphaDEX(TM) Fund 3,433 45,742 First Trust Mid Cap Core AlphaDEX(TM) Fund 4,702 44,923 First Trust Small Cap Core AlphaDEX(TM) Fund 3,795 45,880 First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund 3,960 45,557 First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund 4,701 44,913 First Trust Multi Cap Value AlphaDEX(TM) Fund 3,420 45,914 First Trust Multi Cap Growth AlphaDEX(TM) Fund 4,727 45,431
The Bank of New York is the administrator, custodian, fund accountant and transfer agent for each Fund. Effective July 2, 2007, The Bank of New York became a subsidiary of The Bank of New York Mellon Corporation. The Trust, on behalf of the Funds, has entered into an agreement with PFPC, Inc. ("PFPC") whereby PFPC will provide certain administrative services to the Trust and the Funds in connection with the Board's meetings and other related matters. Each Trustee who is not an officer or employee of First Trust, any sub-advisor or any of their affiliates ("Independent Trustees") is paid an annual retainer of $10,000 per trust for the first 14 trusts of the First Trust Fund Complex and an annual retainer of $7,500 per trust for each subsequent trust added to the First Trust Fund Complex. The annual retainer is allocated equally among each of the trusts. No additional meeting fees are paid in connection with board or committee meetings. Additionally, Thomas R. Kadlec is paid $10,000 annually to serve as the Lead Independent Trustee and Niel B. Nielson is paid $5,000 annually to serve as the chairman of the Audit Committee, with such compensation paid by the funds in the First Trust Fund Complex and divided among those funds. Independent Trustees are also reimbursed by the funds in the First Trust Fund Complex for travel and out-of-pocket expenses in connection with all meetings. 4. PURCHASES AND SALES OF SECURITIES For the period ended July 31, 2007, the cost of purchases and proceeds from sales of investment securities, excluding short-term investments and in-kind transactions, were as follows:
Purchases Sales ----------------- ----------------- First Trust Consumer Discretionary AlphaDEX(TM) Fund $ 702,705 $ 671,455 First Trust Consumer Staples AlphaDEX(TM) Fund 35,062 60,547 First Trust Energy AlphaDEX(TM) Fund 59,132 26,837 First Trust Financials AlphaDEX(TM) Fund 535,123 503,661 First Trust Health Care AlphaDEX(TM) Fund 584,838 621,003 First Trust Industrials/Producer Durables AlphaDEX(TM) Fund 696,613 690,243 First Trust Materials AlphaDEX(TM) Fund 26,086 218,843 First Trust Technology AlphaDEX(TM) Fund 122,790 198,231 First Trust Utilities AlphaDEX(TM) Fund 49,836 22,279 First Trust Large Cap Core AlphaDEX(TM) Fund 20,791 217,819 First Trust Mid Cap Core AlphaDEX(TM) Fund 28,324 484,010 First Trust Small Cap Core AlphaDEX(TM) Fund 71,643 329,643 First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund 25,231 70,804 First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund 28,169 30,686 First Trust Multi Cap Value AlphaDEX(TM) Fund 58,577 154,471 First Trust Multi Cap Growth AlphaDEX(TM) Fund 27,797 526,545
Page 118 ------------------------------------------------------------------------------- Notes to Financial Statements (Continued) ------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND JULY 31, 2007 For the period ended July 31, 2007, the cost of in-kind purchases and proceeds from in-kind sales were as follows:
Purchases Sales ----------------- ----------------- First Trust Consumer Discretionary AlphaDEX(TM) Fund $ 1,994,245 $ -- First Trust Consumer Staples AlphaDEX(TM) Fund 3,999,951 943,865 First Trust Energy AlphaDEX(TM) Fund 6,430,897 1,091,243 First Trust Financials AlphaDEX(TM) Fund 1,998,598 -- First Trust Health Care AlphaDEX(TM) Fund 2,000,942 -- First Trust Industrials/Producer Durables AlphaDEX(TM) Fund 5,025,611 -- First Trust Materials AlphaDEX(TM) Fund 4,075,556 920,378 First Trust Technology AlphaDEX(TM) Fund 3,049,640 851,232 First Trust Utilities AlphaDEX(TM) Fund 3,909,951 958,016 First Trust Large Cap Core AlphaDEX(TM) Fund 6,077,955 2,866,478 First Trust Mid Cap Core AlphaDEX(TM) Fund 9,142,904 2,703,729 First Trust Small Cap Core AlphaDEX(TM) Fund 9,176,045 2,889,110 First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund 9,134,231 3,009,627 First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund 9,065,538 3,068,876 First Trust Multi Cap Value AlphaDEX(TM) Fund 6,040,056 2,933,151 First Trust Multi Cap Growth AlphaDEX(TM) Fund 12,410,890 2,698,642
Gains on in-kind transactions are not considered taxable for federal income tax purposes. As of July 31, 2007, the costs of investments for federal income tax purposes and accumulated net unrealized appreciation (depreciation) on investments were as follows:
Net Unrealized Gross Gross Appreciation Unrealized Unrealized Cost (Depreciation) Appreciation Depreciation -------------- -------------- -------------- -------------- First Trust Consumer Discretionary AlphaDEX(TM) Fund $ 2,023,437 $ (115,344) $ 37,030 $ (152,374) First Trust Consumer Staples AlphaDEX(TM) Fund 3,048,199 (158,588) 26,139 (184,727) First Trust Energy AlphaDEX(TM) Fund 5,463,172 (253,253) 28,886 (282,139) First Trust Financials AlphaDEX(TM) Fund 2,027,302 (212,906) 13,291 (226,197) First Trust Health Care AlphaDEX(TM) Fund 1,946,422 (31,728) 74,631 (106,359) First Trust Industrials/Producer Durables AlphaDEX(TM) Fund 5,008,351 (277,102) 43,386 (320,488) First Trust Materials AlphaDEX(TM) Fund 3,017,889 (55,234) 111,437 (166,671) First Trust Technology AlphaDEX(TM) Fund 2,171,161 3,046 75,565 (72,519) First Trust Utilities AlphaDEX(TM) Fund 3,010,654 (236,558) 17,560 (254,118) First Trust Large Cap Core AlphaDEX(TM) Fund 3,123,253 (244,796) 14,488 (259,284) First Trust Mid Cap Core AlphaDEX(TM) Fund 6,141,681 (462,906) 66,476 (529,382) First Trust Small Cap Core AlphaDEX(TM) Fund 6,178,539 (542,442) 37,408 (579,850) First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund 6,206,102 (534,998) 7,534 (542,532) First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund 6,078,689 (232,345) 80,937 (313,282) First Trust Multi Cap Value AlphaDEX(TM) Fund 3,134,218 (334,249) 12,160 (346,409) First Trust Multi Cap Growth AlphaDEX(TM) Fund 9,333,411 (564,459) 69,658 (634,117)
Page 119 ------------------------------------------------------------------------------- Notes to Financial Statements (Continued) ------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND JULY 31, 2007 5. CAPITAL Shares are created and redeemed by the Funds only in Creation Unit size aggregations of 50,000 and 100,000 shares (see Note 1). Such transactions are generally permitted on an in-kind basis, with a balancing cash component to equate the transaction to the net asset value per unit of each Fund on the transaction date. Purchasers of Creation Units must pay a standard creation transaction fee (the "Creation Transaction Fee"), which is based on the number of different securities in a Creation Unit according to the fee schedule set forth below: Number of Securities Creation in a Creation Unit Transaction Fee 1-100 $500 101-200 $1,000 201-300 $1,500 301-400 $2,000 401-500 $2,500 501-600 $3,000 601-700 $3,500 The Creation Transaction Fee is applicable to each purchase transaction regardless of the number of Creation Units purchased in the transaction. An additional variable fee of up to three times the Creation Transaction Fee may be charged to approximate additional expenses incurred by the Fund with respect to transactions effected outside of the clearing process (i.e., through a DTC Participant) or to the extent that cash is used in lieu of securities to purchase Creation Units. The price for each Creation Unit will equal the daily NAV per share times the number of shares in a Creation Unit plus the fees described above and, if applicable, any transfer taxes. Parties redeeming Creation Units must pay a standard redemption transaction fee (the "Redemption Transaction Fee"), which is based on the number of different securities in a Creation Unit according to the fee schedule set forth below: Number of Securities Redemption in a Creation Unit Transaction Fee 1-100 $500 101-200 $1,000 201-300 $1,500 301-400 $2,000 401-500 $2,500 501-600 $3,000 601-700 $3,500 The Redemption Transaction Fee is applicable to each redemption transaction regardless of the number of Creation Units redeemed in the transaction. An additional variable fee of up to three times the Redemption Transaction Fee may be charged to approximate additional expenses incurred by a Fund with respect to redemptions effected outside of the clearing process or to the extent that redemptions are for cash. The Funds reserve the right to effect redemptions in cash. A shareholder may request a cash redemption in lieu of securities; however, a Fund may, in its discretion, reject any such request. 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 First Trust Portfolios L.P. ("FTP"), the distributor, 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, the Funds will not pay 12b-1 fees any time before April 30, 2008. Page 120 ------------------------------------------------------------------------------- Report of Indepenent Registered Public Accounting Firm ------------------------------------------------------------------------------- TO THE BOARD OF TRUSTEES AND SHAREHOLDERS OF FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND: We have audited the accompanying statements of assets and liabilities of First Trust Exchange-Traded AlphaDEX(TM) Fund, comprising First Trust Large Cap Core AlphaDEX(TM) Fund, First Trust Mid Cap Core AlphaDEX(TM) Fund, First Trust Small Cap Core AlphaDEX(TM) Fund, First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund, First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund, First Trust Multi Cap Value AlphaDEX(TM) Fund, First Trust Multi Cap Growth AlphaDEX(TM) Fund, First Trust Consumer Discretionary AlphaDEX(TM) Fund, First Trust Consumer Staples AlphaDEX(TM) Fund, First Trust Financials AlphaDEX(TM) Fund, First Trust Energy AlphaDEX(TM) Fund, First Trust Health Care AlphaDEX(TM) Fund, First Trust Industrials/Producer Durables AlphaDEX(TM) Fund, First Trust Materials AlphaDEX(TM) Fund, First Trust Technology AlphaDEX(TM) Fund, and First Trust Utilities AlphaDEX(TM) Fund (collectively, the "Funds"), including the portfolios of investments, as of July 31, 2007, and the related statements of operations, changes in net assets and the financial highlights for the period May 8, 2007 (inception) through July 31, 2007. These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). 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. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, 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. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of July 31, 2007 by correspondence with the Funds' custodian and brokers. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of First Trust Exchange-Traded AlphaDEX(TM) Fund as of July 31, 2007, the results of their operations, changes in their net assets, and the financial highlights for the period May 8, 2007 (inception) through July 31, 2007 in conformity with accounting principles generally accepted in the United States of America. /s/ Deloitte & Touche LLP Chicago, Illinois September 14, 2007 Page 121 ------------------------------------------------------------------------------- Additional Information (Unaudited) ------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND JULY 31, 2007 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 the Funds voted proxies relating to portfolio securities during the period ended July 31, 2007 is available (1) without charge, upon request, by calling (800) 988-5891; (2) on the Trust's website located at http://www.ftportfolios.com; and (3) on the Securities and Exchange Commission's website at http://www.sec.gov. PORTFOLIO HOLDINGS The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission ("SEC") for the first and third quarters of each fiscal year on Form N-Q. The Trust's Forms N-Q are available (1) by calling (800) 988-5891; (2) on the Trust's website located at http://www.ftportfolios.com; (3) on the SEC's website at http://www.sec.gov; and (4) for review and copying at the SEC's Public Reference Room ("PRR") in Washington, DC. Information regarding the operation of the PRR may be obtained by calling (800) SEC-0330. ADVISORY AGREEMENT BOARD CONSIDERATIONS REGARDING APPROVAL OF FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND'S ADVISORY CONTRACT The Board of Trustees of the First Trust Exchange-Traded AlphaDEX(TM) Fund (the "Trust"), including the Independent Trustees, unanimously approved the Investment Management Agreement (the "Agreement") with First Trust Advisors L.P. ("First Trust") for the following funds: (a) First Trust Large Cap Core AlphaDEX(TM) Fund, First Trust Mid Cap Core AlphaDEX(TM) Fund and First Trust SMall Cap Core AlphaDEX(TM) Fund (each a "Core Fund" and collectively, the "Core Funds"); (b) First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund and First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund (each a "Style Fund" and collectively, the "Style Funds"); (c) First Trust Multi Cap Value AlphaDEX(TM) Fund and First Trust Multi Cap Growth AlphaDEX(TM) Fund (each a "Multi Cap FUNd" and collectively, the "Multi Cap Funds"); and (d) First Trust Consumer Discretionary AlphaDEX(TM) Fund, First Trust Consumer Staples AlphaDEX(TM) Fund, First Trust Energy AlphaDEX(TM) Fund, First TRUst Financials AlphaDEX(TM) Fund, First Trust Health Care AlphaDEX(TM) Fund, First Trust Industrials/Producer Durables AlphaDEX(TM) Fund, First Trust Materials AlphaDEX(TM) Fund, First TruST Technology AlphaDEX(TM) Fund and First Trust Utilities AlphaDEX(TM) Fund (each a "Sector Fund" and collectively, the "Sector Funds"). Each Core Fund, Style Fund, Multi Cap Fund and Sector Fund is also referred to herein individually as a "Fund" and collectively as the "Funds." The Agreement was approved by the Board for an initial two-year term at a meeting held on December 11, 2006. The Board of Trustees determined for each Fund that the Agreement is in the best interests of the Fund in light of the services, expenses and such other matters as the Board considered to be relevant in the exercise of its reasonable 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 of trustees have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. To assist the Board in its evaluation of the Agreement for each Fund, the Independent Trustees received a report in advance of the Board meeting responding to a request for information from counsel to the Independent Trustees. The report, among other things, outlined the services to be provided by First Trust (including the relevant personnel responsible for these services and their experience) to each Fund; the proposed advisory fee for each Fund as compared to fees charged by investment advisors to comparable funds and as compared to fees charged to other First Trust clients; estimated expenses of each Fund as compared to those of comparable funds; the nature of expenses to be incurred in providing services to each Fund and the potential for economies of scale, if any; financial data on First Trust; fall-out benefits to First Trust and First Trust Portfolios L.P.; and a summary of First Trust's compliance program. The Independent Trustees also met separately with their independent legal counsel to discuss the information provided by First Trust. The Board also applied its business judgment to determine whether the arrangement between the Trust and First Trust is a reasonable business arrangement from each Fund's perspective as well as from the perspective of shareholders. Page 122 ------------------------------------------------------------------------------- Additional Information (Unaudited) (Continued) ------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND JULY 31, 2007 In evaluating whether to approve the Agreement for each Fund, the Board considered the nature, extent and quality of services to be provided under the Agreement, and noted that, while the Funds are the initial series of the Trust, First Trust employees provide management services to other investment companies, including other exchange-traded funds ("ETFs"), in the First Trust complex with diligence and care. The Board also considered the compliance program that had been developed by First Trust and the skills of its employees who would be working with the Funds. It also considered the efforts expended by First Trust in organizing the Trust and making arrangements for entities to provide services to the Funds. Since each Fund is newly organized, the Board did not consider the investment performance of the Funds, but the Board did consider the performance of the applicable index for each Fund. The Board concluded it was comfortable that First Trust had the capabilities and resources to oversee the operations of each Fund, including the services to be provided by other service providers. For each Fund, the Trustees reviewed information showing the advisory fee and estimated expense ratio as compared to those of a peer group selected by First Trust. They noted that the peer group for each Fund consisted solely of other ETFs. The Board considered certain limitations in the comparability of the funds in each peer group, including that certain peer funds had operated for less than a year. With respect to the advisory fees for the Funds, the Board noted the following: (a) The Board noted the services to be provided by First Trust to each Core Fund for the annual advisory fee of 0.50% of the Core Fund's average daily net assets and that the proposed advisory fee for each Core Fund was above the average of the advisory fees of the Core Fund's peer group. The Board noted that except for First Trust Mid Cap Core AlphaDEX(TM) Fund, in each case the fee was equal to the Core Fund's closest peer. The Board concluded that each Core Fund's advisory fee was within an acceptable range of the peer group and consistent with reasonable expectations in light of the nature, quality and extent of the services to be provided by First Trust. (b) The Board noted the services to be provided by First Trust to each Style Fund for the annual advisory fee of 0.50% of the Style Fund's average daily net assets and that the proposed advisory fee for each Style Fund was above the average of the advisory fees of the Style Fund's peer group. The Board noted that in each case the fee was equal to the Style Fund's closest peer. The Board concluded that each Style Fund's advisory fee was within an acceptable range of the peer group and consistent with reasonable expectations in light of the nature, quality and extent of the services to be provided by First Trust. (c) The Board noted the services to be provided by First Trust to each Multi Cap Fund for the annual advisory fee of 0.50% of the Multi Cap Fund's average daily net assets and that the proposed advisory fee for each Multi Cap Fund was above the average of the advisory fees of the Multi Cap Fund's peer group. The Board noted that in each case the fee was equal to the Multi Cap Fund's closest peer. The Board concluded that each Multi Cap Fund's advisory fee was within an acceptable range of the peer group and consistent with reasonable expectations in light of the nature, quality and extent of the services to be provided by First Trust. (d) The Board noted the services to be provided by First Trust to each Sector Fund for the annual advisory fee of 0.50% of the Sector Fund's average daily net assets and that the proposed advisory fee for each Sector Fund was above the average of the advisory fees of the Sector Fund's peer group. The Board noted that except for First Trust Materials AlphaDEX(TM) Fund, in each case the fee was equal to the Sector Fund's closesT peer. The Board concluded that each Sector Fund's advisory fee was within an acceptable range of the peer group and consistent with reasonable expectations in light of the nature, quality and extent of the services to be provided by First Trust. The Board also considered that First Trust has agreed to waive fees and/or pay expenses for each Fund to the extent necessary to prevent the operating expenses of the Fund (excluding interest expense, brokerage commissions and other trading expenses, taxes and extraordinary expenses) from exceeding 0.70% of average daily net assets for two years. The Trustees noted that expenses borne by First Trust are proposed to be subject to reimbursement by a Fund for up to three years from the date the fee or expense was incurred, but no reimbursement payment would be made by the Fund if it would result in the Fund exceeding its expense cap, or if the expense cap is no longer in effect, would result in the Fund exceeding an expense ratio equal to its most recent expense cap. The Board considered the fees charged by First Trust to funds with investment objectives and policies similar to the Funds', noting that those fees were identical for other ETFs that target alpha, and higher for non-ETFs, except non-ETFs for which First Trust serves as sub-advisor, for which the annual fee usually was 0.35% of average daily net assets, and the Board noted First Trust's statement that the services provided to these funds may not be comparable to those to be provided Page 123 ------------------------------------------------------------------------------- Additional Information (Unaudited)(Continued) ------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND JULY 31, 2007 to the Funds. In light of nature, extent and quality of services to be provided to each Fund under the Agreement, and in light of First Trust's agreement to waive fees and/or pay each Fund's expenses for at least two years up to the expense cap, the Board determined for each Fund that the investment advisory fee was fair and reasonable. Finally, the Board noted First Trust's commitment to attempt to analyze whether economies of scale can be realized as Trust assets increase and operations experience is accumulated, and noted that First Trust intended to continue to make investments in infrastructure and personnel. The Board took the costs to be borne by First Trust in connection with its services to be performed under the Agreement into consideration and noted that First Trust was unable to estimate the profitability of the Agreement to First Trust for each Fund, but had agreed to cap each Fund's expenses for two years. The Board considered that First Trust had identified as a fall-out benefit to First Trust and First Trust Portfolios L.P. their exposure to investors and brokers who, in the absence of the Funds or other ETFs for which First Trust acts as investment advisor, may have had no dealings with First Trust. The Board also noted that First Trust would not utilize soft dollars in connection with its management of each Fund's portfolio. After discussion, the Board of Trustees, including the Independent Trustees, concluded that First Trust had the capabilities, resources and personnel necessary to manage each Fund. Based upon such information as it considered necessary to the exercise of its reasonable business judgment, the Board of Trustees concluded unanimously that it was in the best interests of each Fund to approve the Agreement. No single factor was determinative in the Board's analysis. Page 124 ------------------------------------------------------------------------------- Board of Trustees and Officers (Unaudited) ------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND JULY 31, 2007 Each Fund's respective statement of additional information includes information about the Trustees and is available without charge, upon request, by calling (800) 988-5891.
----------------------------------------------------------------------------------------------------------------------------------- Interested Trustee ----------------------------------------------------------------------------------------------------------------------------------- NUMBER OF PORTFOLIOS IN TERM OF OFFICE THE FIRST TRUST OTHER POSITION AND AND YEAR FIRST FUND COMPLEX TRUSTEESHIPS OR NAME, ADDRESS OFFICES WITH ELECTED OR PRINCIPAL OCCUPATION(S) OVERSEEN BY DIRECTORSHIPS AND DATE OF BIRTH TRUST APPOINTED DURING PAST FIVE YEARS TRUSTEE HELD BY TRUSTEE ----------------------------------------------------------------------------------------------------------------------------------- James A. Bowen(1) President, o Indefinite term President, First Trust 56 Trustee of 1001 Warrenville Road Chairman of Advisors L.P. and First Wheaton College Suite 300 the Board, o 2006 Trust Portfolios L.P.; Lisle, IL 60532 Chief Chairman of the Board, DOB. 9/55 Executive BondWave LLC (Software Officer and Development Company/ Trustee Broker-Dealer) and Stonebridge Advisors LLC (Investment Adviser) ----------------------------------------------------------------------------------------------------------------------------------- Independent Trustees ----------------------------------------------------------------------------------------------------------------------------------- Richard E. Erickson Trustee o Indefinite term Physician; President, 56 NONE c/o First Trust Advisors Wheaton Orthopedics; L.P. o 2006 Co-Owner and Co-Director, 1001 Warrenville Road (January 1996 to May 2007), Suite 300 Sports Med Center for Lisle, IL 60532 Fitness; Limited Partner, DOB: 4/51 Gundersen Real Estate Partnership; Limited Partner, Sportsmed LLC Thomas R. Kadlec Trustee o Indefinite term Senior Vice President (May 56 NONE c/o First Trust Advisors 2007 to Present), Vice L.P. o 2006 President and Chief 1001 Warrenville Road Financial Officer (1990 to Suite 300 May 2007), ADM Investor Lisle, IL 60532 Services, Inc. (Futures DOB: 11/57 Commission Merchant); Vice President (May 2005 to Present), ADM Derivatives, Inc.; Registered Representative (2000 to present), Segerdahl & Company, Inc., an NASD member (Broker-Dealer) Robert F. Keith Trustee o Indefinite term President (2003 to Present), 56 NONE c/o First Trust Advisors Hibs Enterprises (Financial L.P. o 2006 and Management Consulting); 1001 Warrenville Road President (2001 to 2003), Suite 300 Aramark Service Master Lisle, IL 60532 Management; President and DOB: 11/58 Chief Operating Officer (1998 to 2003), Service Master Management Services Niel B. Nielson Trustee o Indefinite term President (June 2002 to 56 Director of c/o First Trust Advisors Present), Covenant College Covenant L.P. o 2006 Transport Inc. 1001 Warrenville Road Suite 300 Lisle, IL 60532 DOB: 3/54
-------------------- 1 Mr. Bowen is deemed an "interested person" of the Funds due to his position as President of First Trust Advisors L.P., investment adviser of the Funds. Page 125 ------------------------------------------------------------------------------- Board of Trustees and Officers (Unaudited)(Continued) ------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND JULY 31, 2007
----------------------------------------------------------------------------------------------------------------------------------- Officers ----------------------------------------------------------------------------------------------------------------------------------- POSITION(S) TERM OF OFFICE NAME, ADDRESS, AND HELD WITH AND LENGTH OF PRINCIPAL OCCUPATION(S) DATE OF BIRTH FUNDS TIME SERVED DURING PAST FIVE YEARS ----------------------------------------------------------------------------------------------------------------------------------- Mark R. Bradley Treasurer, Controller, o Indefinite term Chief Financial Officer, First Trust Advisors 1001 Warrenville Road Chief Financial Officer L.P. and First Trust Portfolios L.P.; Chief Suite 300 and Chief Accounting o 2006 Financial Officer, BondWave LLC (Software Lisle, IL 60532 Officer Development Company/Broker-Dealer) and DOB: 11/57 Stonebridge Advisors LLC (Investment Adviser) Kelley Christensen Vice President o Indefinite term Assistant Vice President, First Trust 1001 Warrenville Road Portfolios L.P. and First Trust Advisors L.P. Suite 300 o 2006 Lisle, IL 60532 DOB: 9/70 James M. Dykas Assistant Treasurer o Indefinite term Senior Vice President (April 2007 to 1001 Warrenville Road Present), Vice President (January 2005 to Suite 300 o 2006 April 2007), First Trust Advisors L.P. and Lisle, IL 60532 First Trust Portfolios L.P.; Executive DOB: 1/66 Director (December 2002 to January 2005), Vice President (December 2000 to December 2002), Van Kampen Asset Management and Morgan Stanley Investment Management W. Scott Jardine Secretary and Chief o Indefinite term General Counsel, First Trust Advisors L.P. 1001 Warrenville Road Compliance Officer ("CCO") and First Trust Portfolios L.P.; Secretary, Suite 300 o 2006 BondWave LLC (Software Development Lisle, IL 60532 Company/Broker-Dealer) and Stonebridge DOB: 5/60 Advisors LLC (Investment Adviser) Daniel J. Lindquist Vice President o Indefinite term Senior Vice President (September 2005 to 1001 Warrenville Road Present), Vice President (April 2004 to Suite 300 o 2006 September 2005), First Trust Advisors L.P. Lisle, IL 60532 and First Trust Portfolios L.P.; Chief DOB: 2/70 Operating Officer (January 2004 to April 2004), Mina Capital Management, LLC; Chief Operating Officer (April 2000 to January 2004), Samaritan Asset Management Services, Inc. Kristi A. Maher Assistant Secretary o Indefinite term Deputy General Counsel (May 2007 to Present), 1001 Warrenville Road Assistant General Counsel (March 2004 to May Suite 300 o 2006 2007), First Trust Advisors L.P. and First Lisle, IL 60532 Trust Portfolios L.P.; Associate (1995-2004), DOB: 12/66 Chapman and Cutler LLP Roger Testin Vice President o Indefinite term Senior Vice President (November 2003 to 1001 Warrenville Road Present), Vice President (August 2001 to Suite 300 o 2006 November 2003), First Trust Portfolios L.P. Lisle, IL 60532 and First Trust Advisors L.P.; Analyst (1998 DOB: 06/66 to 2001), Dolan Capital Management Stan Ueland Vice President o Indefinite term Vice President .(August 2005 to Present), 1001 Warrenville Road First Trust Advisors L.P. and First Trust Suite 300 o 2006 Portfolios L.P; Vice President (May 2004 to Lisle, IL 60532 August 2005), BondWave LLC (Software DOB: 11/70 Development Company/Broker-Dealer); Account Executive (January 2003 to May 2004), Mina Capital Management, LLC and Samaritan Asset Management Services, Inc.; Sales Consultant (January 1997 to January 2003), Oracle Corporation
Page 126 ------------------------------------------------------------------------------- Risk Considerations (Unaudited) ------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND JULY 31, 2007 YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE, RISKS, AND CHARGES AND EXPENSES CAREFULLY BEFORE INVESTING. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT HTTP://WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT 1-800-621-1675 TO REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT THE PARTICULAR FUND. READ IT CAREFULLY BEFORE YOU INVEST. FIRST TRUST PORTFOLIOS L.P. IS THE DISTRIBUTOR OF THE FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND. RISK CONSIDERATIONS Each Fund's shares will change in value, and you could lose money by investing in a Fund. An investment in a Fund involves risks similar to those of investing in any fund of equity securities traded on an exchange. Investors buying or selling Fund shares on the secondary market may incur brokerage commissions. In addition, investors who sell Fund shares may receive less than the shares' net asset value. Unlike shares of open-end mutual funds, investors are generally not able to purchase ETF shares directly from a Fund and individual ETF shares are not redeemable. However, specified large blocks of shares called creation units can be purchased from, or redeemed to, the Fund You should anticipate that the value of each Fund's shares will decline, more or less, in correlation with any decline in the value of that Fund's corresponding index. Each Fund's return may not match the return of its corresponding index for a number of reasons. For example, the Funds incur operating expenses not applicable to their corresponding indexes, and may incur costs in buying and selling securities, especially when rebalancing the Fund's portfolio holdings to reflect changes in the composition of its corresponding index. In addition, the each Fund's portfolio holdings may not exactly replicate the securities included in its corresponding index or the ratios between the securities included in such index. Each Fund is exposed to additional market risk due to its policy of investing principally in the securities included in its corresponding index. As a result of this policy, securities held by each Fund will generally not be bought or sold in response to market fluctuations and the securities may be issued by companies concentrated in a particular industry. Therefore, the Funds will generally not sell a stock because the stock's issuer is in financial trouble, unless that stock is removed or is anticipated to be removed from a Fund's index. Each Fund relies on a license and related sublicense that permits it to use its corresponding index and associated trade names and trademarks in connection with the name and investment strategies of the Fund. Such license and related sublicense may be terminated by the index provider and, as a result, a Fund may lose its ability to use such intellectual property. In the event the license is terminated or the index provider does not have rights to license such intellectual property, it may have a significant effect on the operation of the respective Fund. The value of an individual security or particular type of security can be more volatile than the market as a whole and can perform differently from the value of the market as a whole. Each Fund may be concentrated in stocks of companies in an individual industry or sector if the Fund's corresponding index is concentrated in an individual industry or sector. You should be aware that an investment in a portfolio that is concentrated in an individual industry or sector involves additional risk, including limited diversification. Each Fund is classified as "non-diversified" under the Investment Company Act of 1940, as amended. As a result, each Fund is only limited as to the percentage of its assets which may be invested in the securities of any one issuer by the diversification requirements imposed by the Internal Revenue Code of 1986, as amended. Because the Funds may invest a relatively high percentage of its assets in a limited number of issuers, the Funds may be more susceptible to any single economic, political or regulatory occurrence and to the financial conditions of the issuers in which it invests. The First Trust Consumer Discretionary AlphaDEX(TM) Fund, the First Trust Consumer Staples AlphaDEX(TM) Fund, the First Trust Energy AlphaDEX(TM) Fund, the First Trust Financials AlphaDEX(TM) Fund, the FIRst Trust Health Care AlphaDEX(TM) Fund, the First Trust Industrials/Producer Durables AlphaDEX(TM) FunD, the First Trust Materials AlphaDEX(TM) Fund, the First Trust Technology AlphaDEX(TM) Fund, the FirsT Trust Utilities AlphaDEX(TM) Fund, the First Trust Multi Cap Value AlphaDEX(TM) Fund and the First TRust Multi Cap Growth AlphaDEX(TM) Fund may invest in small capitalization and mid capitalization companies. Such companies may experience greater price volatility than larger, more established companies. The First Trust Mid Cap Core AlphaDEX(TM) Fund invests in mid-cap companies and is subject to additional risks because such companies may be more vulnerable to adverse general market or economic developments, and their securities may be less liquid and may experience greater price volatility than larger, more established companies. Page 127 ------------------------------------------------------------------------------- Risk Considerations (Unaudited)(Continued) ------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND JULY 31, 2007 The First Trust Small Cap Core AlphaDEX(TM) Fund invests in small-cap companies and is subject to additional risks, as the share prices of small-cap companies are often more volatile than those of larger companies. The First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund and the First Trust Multi Cap Value AlphaDEX(TM) Fund invest with a value-oriented investment style and may not be successful in realizing their respective investment objectives. Value companies may have experienced adverse business developments or may be subject to special risks that cause their securities to be out of favor, may never reach what may be their full value or may go down in price. The First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund the First Trust Multi Cap Growth AlphaDEX(TM) Fund invest with a growth-oriented investment style and may not be successful in realizing their respective investment objectives. Securities of growth companies may experience significant fluctuations in price in response to economic, political, regulatory, company specific, sector or market developments, changes in perceptions or interest rate changes. The First Trust Consumer Discretionary AlphaDEX(TM) Fund invests in the securities of companies in the consumer discretionary sector. Because companies in the consumer discretionary sector manufacture products and provide discretionary services directly to the consumer, the success of these companies is tied closely to the performance of the overall domestic and international economy, interest rates, competition and consumer confidence. Success depends heavily on disposable household income and consumer spending. Changes in demographics and consumer tastes can also affect the demand for, and success of, consumer discretionary products in the marketplace. The First Trust Consumer Staples AlphaDEX(TM) Fund invests in the securities of companies in the consumer staples sector. Because companies in the consumer staples sector provide products directly to the consumer that are typically considered non-discretionary items based on consumer purchasing habits, these companies may be affected by a variety of factors which could impact company profitability. For instance, government regulations may affect the permissibility of using various food additives and the production methods of companies that manufacture food products. Tobacco companies may be adversely affected by the adoption of proposed legislation and/or by litigation. Also, the success of foods and soft drinks may be strongly affected by fads, marketing campaigns and other factors affecting supply and demand. The First Trust Energy AlphaDEX(TM) Fund invests in the securities of companies in the energy sectoR. The companies in the energy sector include integrated oil companies that are involved in the exploration, production and refining process, gas distributors and pipeline-related companies and other energy companies involved with mining, producing and delivering energy-related services and drilling. General problems of issuers in the energy sector include volatile fluctuations in price and supply of energy fuels, international politics, terrorist attacks, reduced demand as a result of increases in energy efficiency and energy conservation, the success of exploration projects, clean-up and litigation costs relating to oil spills and environmental damage, and tax and other regulatory policies of various governments. Natural disasters such as hurricanes in the Gulf of Mexico will also impact the petroleum industry. Oil production and refining companies are subject to extensive federal, state and local environmental laws and regulations regarding air emissions and the disposal of hazardous materials. In addition, declines in U.S. and Russian crude oil production will likely lead to a greater world dependence on oil from OPEC nations, which may result in more volatile oil prices. The First Trust Financials AlphaDEX(TM) Fund invests in the securities of companies in the financiaLS sector. Banks, thrifts and their holding companies are especially subject to the adverse effects of economic recession; volatile interest rates; portfolio concentrations in geographic markets and in commercial and residential real estate loans; and competition from new entrants in their fields of business. Although the barriers which separated the banking, insurance and securities industries were eliminated by legislation, these industries are still extensively regulated at both the federal and state level and may be adversely affected by increased regulations. The First Trust Health Care AlphaDEX(TM) Fund invests in the securities of companies in the health care sector. Because companies in the health care sector are involved in medical services or health care including biotechnology research and production, drugs and pharmaceuticals, and health care facilities and services, general problems of these companies include extensive competition, generic drug sales or the loss of patent protection, product liability litigation and increased government regulation. Research and development costs of bringing new drugs to market are substantial, and there is no guarantee that the product will ever come to market. Health care facility operators may be affected by the demand for services, efforts by government or insurers to limit rates, restriction of government financial assistance and competition from other providers. The First Trust Industrials/Producer Durables AlphaDEX(TM) Fund invests in the securities of companies in the industrials and producer durables sectors. Many companies in these sectors convert unfinished goods into finished durables used to manufacture other goods or provide services. Some industries included in these sectors are electrical equipment and components, industrial products, manufactured housing and telecommunications equipment. General risks of these companies include the general state of the economy, intense competition, consolidation, domestic and international politics, excess capacity and consumer Page 128 ------------------------------------------------------------------------------- Risk Considerations (Unaudited)(Continued) ------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND JULY 31, 2007 demand and spending trends. In addition, they may also be significantly affected by overall capital spending levels, economic cycles, technical obsolescence, delays in modernization, labor relations, government regulations and e-commerce initiatives. The First Trust Materials AlphaDEX(TM) Fund invests in the securities of companies in the materials sector. Because companies in the materials sector are involved in the extracting or processing of raw materials, general risks of these companies include the general state of the economy, consolidation, domestic and international politics and excess capacity. In addition, materials companies may also be significantly affected by volatility of commodity prices, import controls, worldwide competition, liability for environmental damage, depletion of resources, and mandated expenditures for safety and pollution control devices. The First Trust Technology AlphaDEX(TM) Fund invests in the securities of companies in the technoloGY sector. Because companies in the technology sector serve the electronics and computer industries or manufacture products based on the latest applied science, general risks of these companies include the risks of rapidly changing technologies, short product life cycles, fierce competition, aggressive pricing and reduced profit margins, loss of patent, copyright and trademark protections, cyclical market patterns, evolving industry standards, and frequent new product introductions. Technology companies may be smaller and less experienced companies, with limited product lines, markets or financial resources and fewer experienced management or marketing personnel. Technology company stocks, particularly those involved with the Internet, have experienced extreme price and volume fluctuations that often have been unrelated to their operating performance. Also, the stocks of many technology companies have exceptionally high price-to-earning ratios with little or no earnings histories. The First Trust Utilities AlphaDEX(TM) Fund invests in the securities of companies in the utilities sector. General problems of issuers in the utilities sector include the imposition of rate caps, increased competition due to deregulation, the difficulty in obtaining an adequate return on invested capital or in financing large construction projects, the limitations on operations and increased costs and delays attributable to environmental considerations, and the capital market's ability to absorb utility debt. In addition, taxes, government regulation, international politics, price and supply fluctuations, volatile interest rates and energy conservation may cause difficulties for utilities. All of such issuers have been experiencing certain of these problems in varying degrees. NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE Page 129 -------------------------------------------------------------------------------- [LOGO OMITTED] FIRST TRUST ADVISORS, L.P. FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND -------------------------------------------------------------------------------- INVESTMENT ADVISOR First Trust Advisors L.P. 1001 Warrenville Road Lisle, IL 60532 ADMINISTRATOR, CUSTODIAN, FUND ACCOUNTANT & TRANSFER AGENT The Bank of New York 101 Barclay Street New York, NY 10286 BOARD ADMINISTRATOR PFPC, Inc. 301 Bellevue Parkway Wilmington, DE 19809 INDEPENDENT REGISTERED PUBLIC ACCOUNTANT Deloitte & Touche LLP 111 S. Wacker Drive Chicago, IL 60606 LEGAL COUNSEL CHAPMAN AND CUTLER LLP 111 W. MONROE STREET CHICAGO, IL 60603 Back Cover Item 2. Code of Ethics. (a) The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. (c) There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description enumerated in paragraph (b) of this Item. (d) The registrant has not, during the period covered by this report, granted any waivers, including an implicit waiver, from a provision of the code of ethics to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this Item. Item 3. Audit Committee Financial Expert. As of the end of the period covered by the report, the registrant's Board of Trustees has determined that Thomas R. Kadlec and Robert F. Keith are qualified to serve as audit committee financial experts serving on the registrant's audit committee and that each is "independent," as defined by Item 3 of Form N-CSR. Item 4. Principal Accountant Fees and Services. (a) Audit Fees (Registrant) -- The aggregate fees billed for professional services rendered by the principal accountant for the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $406,000 from the inception of the registrant on May 8, 2007 through July 31, 2007. (b) Audit-Related Fees (Registrant) -- The aggregate fees billed for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item were $0 from the inception of the registrant on May 8, 2007 through July 31, 2007. Audit-Related Fees (Investment Adviser) -- The aggregate fees billed for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item were $0 from the inception of the registrant on May 8, 2007 through July 31, 2007. (c) Tax Fees (Registrant) -- The aggregate fees billed for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the registrant were $0 from the inception of the registrant on May 8, 2007 through July 31, 2007. Tax Fees (Investment Adviser) -- The aggregate fees billed for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the registrant's adviser were $0 from the inception of the registrant on May 8, 2007 through July 31, 2007. (d) All Other Fees (Registrant) -- The aggregate fees billed for products and services provided by the principal accountant to the registrant, other than the services reported in paragraphs (a) through (c) of this Item were $158 from the inception of the registrant on May 8, 2007 through July 31, 2007. These were for compliance consulting. All Other Fees (Investment Adviser) -- The aggregate fees billed for products and services provided by the principal accountant to the registrant's investment adviser, other than services reported in paragraphs (a) through (c) of this Item were $16,769 from the inception of the registrant on May 8, 2007 through July 31, 2007. These were for compliance consulting. (e)(1) Disclose the audit committee's pre-approval policies and procedures described in paragraph (c) (7) of Rule 2-01 of Regulation S-X. Pursuant to its charter and its Audit and Non-Audit Services Pre-Approval Policy, the Audit Committee (the "Committee") is responsible for the pre-approval of all audit services and permitted non-audit services (including the fees and terms thereof) to be performed for the registrant by its independent auditors. The Chairman of the Committee is authorized to give such pre-approvals on behalf of the Committee up to $25,000 and report any such pre-approval to the full Committee. The Committee is also responsible for the pre-approval of the independent auditor's engagements for non-audit services with the registrant's adviser (not including a sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser) and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the registrant, if the engagement relates directly to the operations and financial reporting of the registrant, subject to the de minimis exceptions for non-audit services described in Rule 2-01 of Regulation S-X. If the independent auditor has provided non-audit services to the registrant's adviser (other than any sub-adviser whose role is primarily portfolio management and is sub-contracted with or overseen by another investment adviser) and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to its policies, the Committee will consider whether the provision of such non-audit services is compatible with the auditor's independence. (e)(2) The percentage of services described in each of paragraphs (b) through (d) for the registrant and the registrant's investment adviser of this Item that were approved by the audit committee pursuant to the pre-approval exceptions included in paragraph (c)(7)(i)(C) or paragraph(C)(7)(ii) of Rule 2-01 of Regulation S-X are as follows: (b) 0%. (c) 0%. (d) 0%. (f) The percentage of hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant's full-time, permanent employees was less than fifty percent. (g) The aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant from the inception of the registrant on May 8, 2007 through July 31, 2007, were $158 for the registrant and $16,769 for the registrant's investment adviser. (h) The registrant's audit committee of its Board of Trustees has determined that the provision of non-audit services that were rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant's independence. Items 5. Audit Committee of Listed Registrants. The registrant has a separately designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934. The audit committee of the registrant is comprised of Richard E. Erickson, Thomas R. Kadlec, Robert F. Keith and Niel B. Nielson. Item 6. Schedules of Investments. Schedules of Investments in securities of unaffiliated issuers as of the close of the reporting period are included as part of the report to shareholders filed under Item 1 of this form. Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. Not applicable. Item 8. Portfolio Managers of Closed-End Management Investment Companies. Not applicable. Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. Not applicable. Item 10. Submission of Matters to a Vote of Security Holders. At the registrant's organizational meeting, the registrant's Board of Trustees adopted a Nominating and Governance Committee Charter which includes procedures by which shareholders may recommend nominees to the registrant's board of trustees as described below: Any proposal to elect any person nominated by shareholders for election as trustee may only be brought before an annual meeting of the registrant if timely written notice (the "Shareholder Notice") is provided to the secretary of the registrant. Unless a greater or lesser period is required under applicable law, to be timely, the Shareholder Notice must be delivered to or mailed and received at registrant's address, 1001 Warrenville Road, Suite 300, Lisle, Illinois 60532, Attn: W. Scott Jardine, not less than forty-five (45) days nor more than sixty (60) days prior to the first anniversary date of the date of the registrant's proxy statement released to shareholders for the prior year's annual meeting; provided, however, if and only if the annual meeting is not scheduled to be held within a period that commences thirty (30) days before the first anniversary date of the annual meeting for the preceding year and ends thirty (30) days after such anniversary date (an annual meeting date outside such period being referred to herein as an "Other Annual Meeting Date"), such Shareholder Notice must be given in the manner provided herein by the later of the close of business on (i) the date forty-five (45) days prior to such Other Annual Meeting Date or (ii) the tenth (10th) business day following the date such Other Annual Meeting Date is first publicly announced or disclosed. Any shareholder submitting a nomination of any person or persons (as the case may be) for election as a trustee or trustees of the registrant shall deliver, as part of such Shareholder Notice: (i) a statement in writing setting forth (A) the name, age, date of birth, business address, residence address and nationality of the person or persons to be nominated; (B) the class or series and number of all shares of the registrant owned of record or beneficially owned by each such person or persons, as reported to such shareholder by such nominee(s); (C) any other information regarding each such person required by paragraphs (a), (d), (e) and (f) of Item 401 of Regulation S-K or paragraph (b) of Item 22 of Rule 14a-101 (Schedule 14A) under the Securities Exchange Act of 1934, as amended (the "Exchange Act") (or any successor provision thereto); (D) any other information regarding the person or persons to be nominated that would be required to be disclosed in a proxy statement or other filings required to be made in connection with solicitation of proxies for election of trustees or directors pursuant to Section 14 of the Exchange Act and the rules and regulations promulgated thereunder; and (E) whether such shareholder believes any nominee is or will be an "interested person" of the registrant (as defined in the Investment Company Act of 1940) and, if not an "interested person," information regarding each nominee that will be sufficient for the registrant to make such determination; and (ii) the written and signed consent of any person to be nominated to be named as a nominee and to serve as a trustee if elected. In addition, the trustees may require any proposed nominee to furnish such other information as they may reasonably require or deem necessary to determine the eligibility of such proposed nominee to serve as a trustee. Without limiting the foregoing, any shareholder who gives a Shareholder Notice of any matter proposed to be brought before a shareholder meeting (whether or not involving nominees for trustees) shall deliver, as part of such Shareholder Notice: (i) the description of and text of the proposal to be presented; (ii) a brief written statement of the reasons why such shareholder favors the proposal; (iii) such shareholder's name and address as they appear on the registrant's books; (iv) any other information relating to the shareholder that would be required to be disclosed in a proxy statement or other filings required to be made in connection with the solicitation of proxies with respect to the matter(s) proposed pursuant to Section 14 of the Exchange Act; (v) the class or series and number of all shares of the registrant owned beneficially and of record by such shareholder; (vi) any material interest of such shareholder in the matter proposed (other than as a shareholder); (vii) a representation that the shareholder intends to appear in person or by proxy at the shareholder meeting to act on the matter(s) proposed; (viii) if the proposal involves nominee(s) for trustees, a description of all arrangements or understandings between the shareholder and each proposed nominee and any other person or persons (including their names) pursuant to which the nomination(s) are to be made by the shareholder; and (ix) in the case of a shareholder (a "Beneficial Owner") that holds shares entitled to vote at the meeting through a nominee or "street name" holder of record, evidence establishing such Beneficial Owner's indirect ownership of, and entitlement to vote, shares at the meeting of shareholders. As used herein, shares "beneficially owned" shall mean all shares which such person is deemed to beneficially own pursuant to Rules 13d-3 and 13d-5 under the Exchange Act. A copy of the Nominating and Governance Committee Charter is available on the registrant's website at www.ftportfolios.com. Item 11. Controls and Procedures. (a) The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3 (c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15 (b)). (b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. Item 12. Exhibits. (a) (1) Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is a attached hereto. (a) (2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)) and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. (a) (3) Not applicable. (b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) First Trust Exchange-Traded AlphaDEX(TM) Fund By: /s/ James A. Bowen -------------------------------------------- Name: James A. Bowen Title: Chairman of the Board, President and Chief Executive Officer Date: September 24, 2007 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By: /s/ James A. Bowen -------------------------------------------- Name: James A. Bowen Title: Chairman of the Board, President and Chief Executive Officer Date: September 24, 2007 By: /s/ Mark R. Bradley -------------------------------------------- Name: Mark R. Bradley Title: Treasurer, Controller, Chief Financial Officer and Chief Accounting Officer Date: September 24, 2007