U.S. SECURITIES AND EXCHANGE COMMISSION
                             Washington, D.C. 20549

                                   FORM 24F-2
             ANNUAL NOTICE OF SECURITIES SOLD PURSUANT TO RULE 24F-2

             READ INSTRUCTIONS AT END OF FORM BEFORE PREPARING FORM.

1.      Name and address of issuer

        First Trust Exchange-Traded AlphaDEX(TM) Fund
        1001 Warrenville Road, Suite 300
        Lisle, IL 60532


2.      The name of each series or class of securities for which this Form is
        filed (If the Form is being filed for all series and classes of
        securities of the issuer, check the box but do not list series or
        classes): [x]

3.      Investment Company Act File Number: 811-22019

        Securities Act File Number:  333-140895

4.      (a)   Last day of fiscal year for which this Form is filed: 07/31/07

        (b)   [ ] Check box if this Form is being filed late (i.e., more than
              90 calendar days after the end of the issuer's fiscal year).
              (See Instruction A.2)

NOTE: IF THE FORM IS BEING FILED LATE, INTEREST MUST BE PAID ON THE
REGISTRATION FEE DUE.

        (c)   [ ] Check box if this is the last time the issuer will be filing
              this Form.

5.      Calculation of registration fee:

        (i)   Aggregate sale price of securities
              sold during the fiscal year pursuant
              to section 24(f):                              $ 93,549,731

        (ii)  Aggregate price of securities redeemed
              or repurchased during the fiscal year:         $ 26,712,836

        (iii) Aggregate price of securities redeemed
              or repurchased during any PRIOR fiscal
              year ending no earlier than October 11,
              1995 that were not previously used to
              reduce registration fees payable to the
              Commission:                                    $ 0





        (iv)  Total available redemption credits [add
              items 5(ii) and 5(iii)]:                       $ 26,712,836

        (v)   Net sales -- if item 5(i) is greater
              than Item 5(iv) [subtract Item 5(iv)
              from Item 5(I)]:                               $ 66,836,895

        (vi)  Redemption credits available for use in
              future years -- if Item 5(i) is less
              than Item 5(iv) [subtract Item 5(iv)
              from Item 5(i)]:                               $ 0

        (vii) Multiplier for determining registration
              fee (See Instruction C.9):                     x 0.0000393

        (viii) Registration fee due [multiply Item
              5(v) by Item 5(vii)] (enter "0" if no
              fee is due):                                   = $ 2,626.69

6.      Prepaid Shares

        If the response to Item 5(i) was determined by deducting an amount of
        securities that were registered under the Securities Act of 1933
        pursuant to rule 24e-2 as in effect before October 11, 1997, then report
        the amount of securities (number of shares or other units) deducted
        here: $0. If there is a number of shares or other units that were
        registered pursuant to rule 24e-2 remaining unsold at the end of the
        fiscal year for which this form is filed that are available for use by
        the issuer in future fiscal years, then state that number here: $0.

7.      Interest due -- if this Form is being filed more than 90 days after the
        end of the issuer's fiscal year (see Instruction D):

8.      Total of the amount of the registration fee due plus any interest due
        [Item 5(viii) plus Item 7]: = $2,626.69.

9.      Date the registration fee and any interest payment was sent to the
        Commission's lockbox depository:

                                October 26, 2007
                                 CIK: 0001383496


        Method of Delivery:

                                [X] Wire Transfer
                                [ ] Mail or other means







                                   SIGNATURES


This report has been signed below by the following persons on behalf of the
issuer and in the capacities and on the dates indicated.

By:     /s/  James A. Bowen
        ----------------------------------------------
        James A. Bowen
        Chairman of the Board, President and
        Chief Executive Officer



By:     /s/  Mark R. Bradley
        ----------------------------------------------
        Mark R. Bradley
        Treasurer, Controller, Chief Financial Officer
        and Chief Accounting Officer


Date:  October 26, 2007