-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, Rufdom5ZPRzQKHy9Om03i8PrKiWmQHbIwIMvfhlgLR4QgHGx4v42TthhU/2nzP11 IKoGwb8weKxBhXZjOnTAhw== 0000875626-07-002776.txt : 20071220 0000875626-07-002776.hdr.sgml : 20071220 20071220170156 ACCESSION NUMBER: 0000875626-07-002776 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20071031 FILED AS OF DATE: 20071220 DATE AS OF CHANGE: 20071220 EFFECTIVENESS DATE: 20071220 FILER: COMPANY DATA: COMPANY CONFORMED NAME: FIRST TRUST EXCHANGE-TRADED ALPHADEX FUND CENTRAL INDEX KEY: 0001383496 IRS NUMBER: 000000000 STATE OF INCORPORATION: MA FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-22019 FILM NUMBER: 071319926 BUSINESS ADDRESS: STREET 1: 1001 WARRENVILLE ROAD, SUITE 300 CITY: LISLE STATE: IL ZIP: 60532 BUSINESS PHONE: 630-241-4141 MAIL ADDRESS: STREET 1: 1001 WARRENVILLE ROAD, SUITE 300 CITY: LISLE STATE: IL ZIP: 60532 0001383496 S000017337 First Trust Large Cap Core AlphaDEX Fund C000047995 First Trust Large Cap Core AlphaDEX Fund FEX 0001383496 S000017338 First Trust Mid Cap Core AlphaDEX Fund C000047996 First Trust Mid Cap Core AlphaDEX Fund FNX 0001383496 S000017339 First Trust Small Cap Core AlphaDEX Fund C000047997 First Trust Small Cap Core AlphaDEX Fund FYX 0001383496 S000017340 First Trust Large Cap Value Opportunities AlphaDEX Fund C000047998 First Trust Large Cap Value Opportunities AlphaDEX Fund FTA 0001383496 S000017341 First Trust Large Cap Growth Opportunities AlphaDEX Fund C000047999 First Trust Large Cap Growth Opportunities AlphaDEX Fund FTC 0001383496 S000017342 First Trust Multi Cap Value AlphaDEX Fund C000048000 First Trust Multi Cap Value AlphaDEX Fund FAB 0001383496 S000017343 First Trust Multi Cap Growth AlphaDEX Fund C000048001 First Trust Multi Cap Growth AlphaDEX Fund FAD 0001383496 S000017696 First Trust Consumer Discretionary AlphaDEX Fund C000048896 First Trust Consumer Discretionary AlphaDEX Fund FXD 0001383496 S000017697 First Trust Consumer Staples AlphaDEX Fund C000048897 First Trust Consumer Staples AlphaDEX Fund FXG 0001383496 S000017698 First Trust Energy AlphaDEX Fund C000048898 First Trust Energy AlphaDEX Fund FXN 0001383496 S000017699 First Trust Financial AlphaDEX Fund C000048899 First Trust Financial AlphaDEX Fund FXO 0001383496 S000017700 First Trust Health Care AlphaDEX Fund C000048900 First Trust Health Care AlphaDEX Fund FXH 0001383496 S000017701 First Trust Industrials/Producer Durables AlphaDEX Fund C000048901 First Trust Industrials/Producer Durables AlphaDEX Fund FXR 0001383496 S000017702 First Trust Materials AlphaDEX Fund C000048902 First Trust Materials AlphaDEX Fund FXZ 0001383496 S000017703 First Trust Technology AlphaDEX Fund C000048903 First Trust Technology AlphaDEX Fund FXL 0001383496 S000017704 First Trust Utilities AlphaDEX Fund C000048904 First Trust Utilities AlphaDEX Fund FXU N-Q 1 adex_nq.txt QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-Q QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY 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, IL 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: October 31, 2007 -------------------- Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (Sections 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q 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 the 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. Section 3507. ITEM 1. SCHEDULE OF INVESTMENTS. The Portfolios of Investments are attached herewith. FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS--101.5% CHEMICALS--0.8% 273 International Flavors & Fragrances, Inc. $ 14,253 ------------- COMMERCIAL SERVICES & SUPPLIES--5.7% 1,455 Allied Waste Industries, Inc. (b) 18,391 83 Brink's (The) Co. 5,200 389 Cintas Corp. 14,237 420 Copart, Inc. (b) 16,120 62 Corporate Executive Board (The) Co. 4,418 177 Corrections Corp. of America (b) 5,007 72 Manpower, Inc. 5,381 254 R.R. Donnelley & Sons Co. 10,234 441 Republic Services, Inc. 15,078 382 Waste Management, Inc. 13,901 ------------- 107,967 ------------- DIVERSIFIED CONSUMER SERVICES--2.5% 154 Apollo Group, Inc., Class A (b) 12,206 152 ITT Educational Services, Inc. (b) 19,333 322 Weight Watchers International, Inc. 16,499 ------------- 48,038 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--0.8% 266 Dolby Laboratories, Inc., Class A (b) 11,029 116 Tech Data Corp. (b) 4,562 ------------- 15,591 ------------- FOOD & STAPLES RETAILING--3.2% 435 BJ's Wholesale Club, Inc. (b) 15,608 392 Costco Wholesale Corp. 26,366 425 Wal-Mart Stores, Inc. 19,214 ------------- 61,188 ------------- HOTELS, RESTAURANTS & LEISURE--13.5% 728 Burger King Holdings, Inc. 19,248 383 Carnival Corp. 18,376 198 Cheesecake Factory (b) 4,441 111 Darden Restaurants, Inc. 4,773 166 Harrah's Entertainment, Inc. 14,650 108 International Game Technology 4,710 202 International Speedway Corp., Class A 8,975 180 Las Vegas Sands Corp. (b) 23,954 107 Marriott International, Inc. 4,399 341 McDonald's Corp. 20,358 90 Orient-Express Hotels Ltd., Class A 5,832 616 Royal Caribbean Cruises Ltd. 26,413 384 Scientific Games Corp., Class A (b) 13,882 165 Station Casinos, Inc. 14,817 414 Tim Hortons, Inc. 15,691 440 Wyndham Worldwide Corp. 14,445 153 Wynn Resorts Ltd. (b) 24,699 See Notes to Quarterly Portfolio of Investments Page 1 FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE (CONTINUED) 427 Yum! Brands, Inc. $ 17,195 ------------- 256,858 ------------- HOUSEHOLD DURABLES--6.3% 111 Black & Decker (The) Corp. 9,980 300 Jarden Corp. (b) 10,656 1,255 Leggett & Platt, Inc. 24,385 296 Mohawk Industries, Inc. (b) 25,261 161 Newell Rubbermaid, Inc. 4,695 187 Snap-on, Inc. 9,333 331 Stanley Works (The) 19,049 208 Whirlpool Corp. 16,469 ------------- 119,828 ------------- HOUSEHOLD PRODUCTS--0.5% 132 Kimberly-Clark Corp. 9,357 ------------- INTERNET & CATALOG RETAIL--2.5% 258 Amazon.com, Inc. (b) 23,000 145 Expedia, Inc. (b) 4,736 156 IAC/InterActiveCorp. (b) 4,596 751 Liberty Media Corp. - Interactive, Class A (b) 15,944 ------------- 48,276 ------------- INTERNET SOFTWARE & SERVICES--3.0% 475 eBay, Inc. (b) 17,148 42 Google, Inc., Class A (b) 29,693 275 VeriSign, Inc. (b) 9,375 ------------- 56,216 ------------- IT SERVICES--3.7% 230 Accenture Ltd., Class A 8,982 1,385 Convergys Corp. (b) 25,387 529 Hewitt Associates, Inc., Class A (b) 18,663 473 Iron Mountain, Inc. (b) 16,427 ------------- 69,459 ------------- LEISURE EQUIPMENT & PRODUCTS--1.5% 518 Hasbro, Inc. 15,463 615 Mattel, Inc. 12,847 ------------- 28,310 ------------- See Notes to Quarterly Portfolio of Investments Page 2 FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) MACHINERY--0.7% 245 Toro (The) Co. $ 13,637 ------------- MEDIA--21.2% 458 CBS Corp., Class B 13,145 101 Central European Media Enterprises Ltd., Class A (b) 11,590 248 Clear Channel Communications, Inc. 9,367 182 Clear Channel Outdoor Holdings, Inc., Class A (b) 4,626 764 DIRECTV Group (The), Inc. (b) 20,231 643 Discovery Holding Co., Class A (b) 18,332 555 DreamWorks Animation SKG, Inc., Class A (b) 18,071 221 E.W. Scripps (The) Co., Class A 9,947 396 EchoStar Communications Corp., Class A (b) 19,388 550 Gannett Co., Inc. 23,325 864 Getty Images, Inc. (b) 24,407 943 Harte-Hanks, Inc. 16,625 459 Idearc, Inc. 12,384 413 John Wiley & Sons, Inc., Class A 18,164 586 Liberty Global, Inc., Class A (b) 23,000 74 Liberty Media Corp. - Capital Series A (b) 9,249 1,204 McClatchy (The) Co., Class A 19,974 422 News Corp., Class A 9,145 96 Omnicom Group, Inc. 4,894 83 R.H. Donnelley Corp. (b) 4,553 657 Regal Entertainment Group, Class A 14,828 2,658 Sirius Satellite Radio, Inc. (b) 8,931 1,310 Time Warner, Inc. 23,920 170 Tribune Co. 5,144 119 Viacom, Inc., Class B (b) 4,914 764 Virgin Media, Inc. 16,892 270 Walt Disney (The) Co. 9,350 12 Washington Post (The) Co., Class B 10,188 1,309 XM Satellite Radio Holdings, Inc., Class A (b) 17,384 ------------- 401,968 ------------- MULTILINE RETAIL--6.7% 484 Big Lots, Inc. (b) 11,606 1,102 Dillard's, Inc., Class A 25,379 458 Dollar Tree Stores, Inc. (b) 17,541 744 Macy's, Inc. 23,830 99 Nordstrom, Inc. 3,905 270 Saks, Inc. (b) 5,713 189 Sears Holdings Corp. (b) 25,476 227 Target Corp. 13,929 ------------- 127,379 ------------- PERSONAL PRODUCTS--1.3% 374 Alberto-Culver Co. 9,720 247 Avon Products, Inc. 10,122 109 Estee Lauder (The) Cos., Inc., Class A 4,785 ------------- 24,627 ------------- See Notes to Quarterly Portfolio of Investments Page 3 FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) ROAD & RAIL--1.4% 811 Avis Budget Group, Inc. (b) $ 16,926 408 Hertz Global Holdings, Inc. (b) 8,845 ------------- 25,771 ------------- SOFTWARE--1.7% 1,114 Activision, Inc. (b) 26,346 83 Electronic Arts, Inc. (b) 5,073 ------------- 31,419 ------------- SPECIALTY RETAIL--17.8% 230 Abercrombie & Fitch Co., Class A 18,216 176 American Eagle Outfitters, Inc. 4,185 759 AnnTaylor Stores Corp. (b) 23,521 1,357 AutoNation, Inc. (b) 24,005 526 Barnes & Noble, Inc. 20,325 202 Best Buy Co., Inc. 9,801 228 CarMax, Inc. (b) 4,758 716 Dick's Sporting Goods, Inc. (b) 23,893 1,569 Foot Locker, Inc. 23,362 427 GameStop Corp., Class A (b) 25,288 783 Gap (The), Inc. 14,799 491 Guess?, Inc. 25,233 572 Home Depot (The), Inc. 18,024 541 OfficeMax, Inc. 17,123 139 O'Reilly Automotive, Inc. (b) 4,590 713 Penske Automotive Group, Inc. 15,886 291 PetSmart, Inc. 8,715 449 RadioShack Corp. 9,258 354 Tiffany & Co. 19,180 496 TJX (The) Cos., Inc. 14,349 101 Tractor Supply Co. (b) 4,185 213 Urban Outfitters, Inc. (b) 5,383 142 Williams-Sonoma, Inc. 4,464 ------------- 338,543 ------------- TEXTILES, APPAREL & LUXURY GOODS--5.0% 196 Coach, Inc. (b) 7,166 358 Crocs, Inc. (b) 26,760 331 Hanesbrands, Inc. (b) 10,274 540 Liz Claiborne, Inc. 15,374 246 NIKE, Inc., Class B 16,300 177 Phillips-Van Heusen Corp. 8,461 115 VF Corp. 10,020 ------------- 94,355 ------------- See Notes to Quarterly Portfolio of Investments Page 4 FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) TRADING COMPANIES & DISTRIBUTORS--1.7% 409 Fastenal Co. $ 18,193 285 MSC Industrial Direct Co., Inc., Class A 13,882 ------------- 32,075 ------------- TOTAL INVESTMENTS--101.5% (Cost $2,017,790) (c) 1,925,115 NET OTHER ASSETS AND LIABILITIES--(1.5%) (27,544) ------------- NET ASSETS--100.0% $ 1,897,571 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Aggregate cost for federal income tax and financial reporting purposes. As of October 31, 2007, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $73,978 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $166,653. See Notes to Quarterly Portfolio of Investments Page 5 FIRST TRUST CONSUMER STAPLES ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS--101.7% BEVERAGES--29.8% 390 Brown-Forman Corp., Class B $ 28,852 2,370 Coca-Cola (The) Co. 146,371 2,813 Constellation Brands, Inc., Class A (b) 70,663 3,004 Hansen Natural Corp. (b) 204,271 2,733 Molson Coors Brewing Co., Class B 156,410 3,665 Pepsi Bottling Group (The), Inc. 157,888 2,100 PepsiAmericas, Inc. 75,012 930 PepsiCo, Inc. 68,560 ------------- 908,027 ------------- FOOD & STAPLES RETAILING--28.1% 4,776 Kroger (The) Co. 140,367 14,743 Rite Aid Corp. (b) 57,645 5,143 Safeway, Inc. 174,861 4,365 SUPERVALU, Inc. 169,144 2,461 Sysco Corp. 84,388 3,604 Walgreen Co. 142,899 1,789 Whole Foods Market, Inc. 88,627 ------------- 857,931 ------------- FOOD PRODUCTS--25.9% 789 Campbell Soup Co. 29,177 1,117 ConAgra Foods, Inc. 26,506 8,340 Del Monte Foods Co. 86,236 3,807 Hormel Foods Corp. 138,879 1,639 J.M. Smucker (The) Co. 87,572 1,564 Kellogg Co. 82,564 846 Kraft Foods, Inc., Class A 28,265 927 Smithfield Foods, Inc. (b) 26,577 7,631 Tyson Foods, Inc. 120,570 2,651 Wm. Wrigley Jr. Co. 163,487 ------------- 789,833 ------------- HOUSEHOLD PRODUCTS--7.5% 1,448 Church & Dwight Co., Inc. 68,505 955 Colgate-Palmolive Co. 72,838 1,245 Procter & Gamble (The) Co. 86,552 ------------- 227,895 ------------- PERSONAL PRODUCTS--5.4% 3,746 Herbalife Ltd. 165,161 ------------- TOBACCO--5.0% 420 Altria Group, Inc. 30,631 1,065 Loews Corp. - Carolina Group 91,356 459 Reynolds American, Inc. 29,573 ------------- 151,560 ------------- See Notes to Quarterly Portfolio of Investments Page 6 FIRST TRUST CONSUMER STAPLES ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET DESCRIPTION VALUE ------------------------------------------- ------------- TOTAL INVESTMENTS--101.7% (Cost $3,114,301) (c) $ 3,100,407 NET OTHER ASSETS AND LIABILITIES --1.7% (51,127) ------------- NET ASSETS--100.0% $ 3,049,280 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Aggregate cost for federal income tax and financial reporting purposes. As of October 31, 2007, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $123,271 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $137,165. See Notes to Quarterly Portfolio of Investments Page 7 FIRST TRUST ENERGY ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS--100.9% ENERGY EQUIPMENT & SERVICES--48.7% 736 Baker Hughes, Inc. $ 63,826 1,802 Cameron International Corp. (b) 175,442 881 Diamond Offshore Drilling, Inc. 99,756 1,558 Dresser-Rand Group, Inc. (b) 60,295 2,372 ENSCO International, Inc. 131,622 2,885 FMC Technologies, Inc. (b) 174,918 1,184 Global Industries Ltd. (b) 29,150 875 GlobalSantaFe Corp. 70,901 559 Grant Prideco, Inc. (b) 27,480 1,733 Halliburton Co. 68,315 2,351 Helix Energy Solutions Group, Inc. (b) 108,734 5,067 Helmerich & Payne, Inc. 160,219 4,325 Nabors Industries Ltd. (b) 121,446 2,302 National Oilwell Varco, Inc. (b) 168,598 622 Noble Corp. 32,935 1,756 Oceaneering International, Inc. (b) 135,686 7,370 Patterson-UTI Energy, Inc. 146,958 1,820 Pride International, Inc. (b) 67,158 2,728 Rowan Cos., Inc. 106,337 951 Schlumberger Ltd. 91,838 1,399 SEACOR Holdings, Inc. (b) 128,218 2,330 Smith International, Inc. 153,897 861 Superior Energy Services, Inc. (b) 31,926 883 Transocean, Inc. (b) 105,404 3,437 Unit Corp. (b) 164,185 1,981 Weatherford International Ltd. (b) 128,587 ------------- 2,753,831 ------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS--1.9% 2,360 NRG Energy, Inc. (b) 107,758 ------------- OIL, GAS & CONSUMABLE FUELS--50.3% 1,857 Anadarko Petroleum Corp. 109,600 1,478 Apache Corp. 153,431 3,774 Chesapeake Energy Corp. 148,998 1,422 Chevron Corp. 130,127 4,466 Cimarex Energy Co. 180,918 1,137 ConocoPhillips 96,600 1,681 Continental Resources, Inc. (b) 39,520 682 Denbury Resources, Inc. (b) 38,601 1,599 Devon Energy Corp. 149,347 920 EOG Resources, Inc. 81,512 329 Exxon Mobil Corp. 30,265 1,546 Forest Oil Corp. (b) 75,120 1,598 Frontier Oil Corp. 73,172 1,000 Hess Corp. 71,610 510 Holly Corp. 32,028 2,917 Marathon Oil Corp. 172,482 436 Murphy Oil Corp. 32,103 2,072 Newfield Exploration Co. (b) 111,556 950 Noble Energy, Inc. 72,713 1,558 Occidental Petroleum Corp. 107,580 3,762 Plains Exploration & Production Co. (b) 191,673 574 Pogo Producing Co. 34,187 See Notes to Quarterly Portfolio of Investments Page 8 FIRST TRUST ENERGY ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) OIL, GAS & CONSUMABLE FUELS (CONTINUED) 648 Quicksilver Resources, Inc. (b) $ 36,936 1,636 Range Resources Corp. 73,505 3,731 St. Mary Land & Exploration Co. 158,045 2,476 Valero Energy Corp. 174,385 5,458 W&T Offshore, Inc. 146,384 2,460 Western Refining, Inc. 90,233 895 Williams (The) Cos., Inc. 32,659 ------------- 2,845,290 ------------- TOTAL INVESTMENTS--100.9% (Cost $5,560,878) (c) 5,706,879 NET OTHER ASSETS AND LIABILITIES--(0.9%) (53,548) ------------- NET ASSETS--100.0% $ 5,653,331 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Aggregate cost for federal income tax and financial reporting purposes. As of October 31, 2007, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $332,546 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $186,545. See Notes to Quarterly Portfolio of Investments Page 9 FIRST TRUST FINANCIALS ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS--102.9% CAPITAL MARKETS--15.1% 89 Affiliated Managers Group, Inc. (b) $ 11,708 497 Allied Capital Corp. 14,652 441 American Capital Strategies Ltd. 19,143 166 Bank of New York Mellon Corp. 8,109 119 Bear Stearns (The) Cos., Inc. 13,518 84 BlackRock, Inc. 17,383 169 Charles Schwab (The) Corp. 3,928 183 Eaton Vance Corp. 9,155 1,120 E*TRADE Financial Corp. (b) 12,477 184 Federated Investors, Inc., Class B 7,912 29 Franklin Resources, Inc. 3,761 67 Goldman Sachs Group (The), Inc. 16,611 170 Investment Technology Group, Inc. (b) 7,123 399 Janus Capital Group, Inc. 13,769 131 Jefferies Group, Inc. 3,502 173 Legg Mason, Inc. 14,349 183 Lehman Brothers Holdings, Inc. 11,591 205 Merrill Lynch & Co., Inc. 13,534 179 Morgan Stanley 12,040 170 Northern Trust Corp. 12,786 182 Nuveen Investments, Inc., Class A 11,794 107 State Street Corp. 8,535 203 T. Rowe Price Group, Inc. 13,041 201 TD Ameritrade Holding Corp. (b) 3,847 ------------- 264,268 ------------- COMMERCIAL BANKS--13.1% 247 Associated Banc-Corp. 7,128 150 BancorpSouth, Inc. 3,639 69 Bank of Hawaii Corp. 3,668 90 BB&T Corp. 3,327 71 BOK Financial Corp. 3,872 53 City National Corp. 3,583 338 Colonial BancGroup (The), Inc. 6,483 143 Comerica, Inc. 6,675 291 Commerce Bancorp, Inc. 11,858 80 Commerce Bancshares, Inc. 3,774 73 Cullen/Frost Bankers, Inc. 3,882 102 East West Bancorp, Inc. 3,441 108 Fifth Third Bancorp. 3,378 42 First Citizens BancShares, Inc., Class A 6,839 274 First Horizon National Corp. 7,146 254 Fulton Financial Corp. 3,330 861 Huntington Bancshares, Inc. 15,421 349 KeyCorp 9,929 71 M&T Bank Corp. 7,063 167 Marshall & Ilsley Corp. 7,131 583 National City Corp. 14,138 215 PNC Financial Services Group, Inc. 15,514 1,190 Popular, Inc. 12,555 383 Regions Financial Corp. 10,387 97 SunTrust Banks, Inc. 7,042 130 Synovus Financial Corp. 3,427 140 TCF Financial Corp. 3,188 See Notes to Quarterly Portfolio of Investments Page 10 FIRST TRUST FINANCIALS ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) COMMERCIAL BANKS (CONTINUED) 112 U.S. Bancorp $ 3,714 125 UnionBanCal Corp. 6,751 225 Wachovia Corp. 10,289 87 Webster Financial Corp. 3,153 103 Wells Fargo & Co. 3,503 277 Whitney Holding Corp. 7,108 106 Zions Bancorporation 6,266 ------------- 228,602 ------------- COMMERCIAL SERVICES & SUPPLIES--0.2% 37 Dun & Bradstreet (The) Corp. 3,583 ------------- CONSUMER FINANCE--3.1% 62 American Express Co. 3,779 1,071 AmeriCredit Corp. (b) 15,112 220 Capital One Financial Corp. 14,430 905 Discover Financial Services 17,466 74 SLM Corp. (b) 3,490 ------------- 54,277 ------------- DIVERSIFIED FINANCIAL SERVICES--5.6% 145 Bank of America Corp. 7,001 364 CIT Group, Inc. 12,827 157 Citigroup, Inc. 6,578 19 CME Group, Inc. 12,659 96 IntercontinentalExchange, Inc. (b) 17,107 319 JPMorgan Chase & Co. 14,993 500 Nasdaq Stock Market, Inc. (b) 23,350 46 NYSE Euronext 4,318 ------------- 98,833 ------------- HEALTH CARE PROVIDERS & SERVICES--0.8% 274 CIGNA Corp. 14,382 ------------- INSURANCE--42.6% 311 ACE Ltd. 18,850 198 AFLAC, Inc. 12,430 36 Alleghany Corp. (b) 14,149 363 Allied World Assurance Holdings Ltd. 17,391 329 Allstate (The) Corp. 17,240 299 Ambac Financial Group, Inc. 11,012 660 American Financial Group, Inc. 19,734 167 American International Group, Inc. 10,541 56 American National Insurance Co. 7,241 82 Aon Corp. 3,716 253 Arch Capital Group Ltd. (b) 18,917 390 Arthur J. Gallagher & Co. 10,378 273 Assurant, Inc. 15,954 484 Axis Capital Holdings Ltd. 19,234 351 Chubb (The) Corp. 18,726 435 Cincinnati Financial Corp. 17,304 See Notes to Quarterly Portfolio of Investments Page 11 FIRST TRUST FINANCIALS ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 372 CNA Financial Corp. $ 14,742 914 Conseco, Inc. (b) 14,432 453 Endurance Specialty Holdings Ltd. 17,762 120 Erie Indemnity Co., Class A 6,828 171 Everest Re Group Ltd. 18,218 1,077 Fidelity National Financial, Inc., Class A 16,575 399 First American Corp. 12,010 368 Genworth Financial, Inc., Class A 10,046 256 Hanover Insurance Group, Inc. 11,794 122 Hartford Financial Services Group (The), Inc. 11,838 657 HCC Insurance Holdings, Inc. 19,638 111 Lincoln National Corp. 6,923 302 Loews Corp. 14,825 23 Markel Corp. (b) 12,494 287 Marsh & McLennan Cos., Inc. 7,430 239 MBIA, Inc. 10,287 271 Mercury General Corp. 13,905 52 MetLife, Inc. 3,580 136 Nationwide Financial Services, Class A 7,296 780 Old Republic International Corp. 11,957 678 OneBeacon Insurance Group Ltd. 14,584 238 PartnerRe Ltd. 19,815 455 Philadelphia Consolidated Holding Corp. (b) 18,564 179 Principal Financial Group, Inc. 12,113 753 Progressive (The) Corp. 13,931 266 Protective Life Corp. 11,403 150 Prudential Financial, Inc. 14,508 199 Reinsurance Group of America, Inc. 11,369 288 RenaissanceRe Holdings Ltd. 16,802 307 SAFECO Corp. 17,775 148 StanCorp Financial Group, Inc. 8,159 181 Torchmark Corp. 11,794 208 Transatlantic Holdings, Inc. 15,502 374 Travelers (The) Cos., Inc. 19,527 228 Unitrin, Inc. 10,559 149 Unum Group 3,478 635 W.R. Berkley Corp. 19,107 28 White Mountains Insurance Group Ltd. 15,053 238 XL Capital Ltd., Class A 17,124 ------------- 746,564 ------------- IT SERVICES--4.1% 189 Alliance Data Systems Corp. (b) 15,196 243 CheckFree Corp. (b) 11,550 85 DST Systems, Inc. (b) 7,200 165 Fidelity National Information Services, Inc. 7,610 255 Global Payments, Inc. 12,128 76 MasterCard, Inc., Class A 14,406 89 Paychex, Inc. 3,718 ------------- 71,808 ------------- See Notes to Quarterly Portfolio of Investments Page 12 FIRST TRUST FINANCIALS ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) MEDIA--1.1% 315 Dow Jones & Co., Inc. $ 18,840 ------------- REAL ESTATE INVESTMENT TRUSTS--7.0% 109 Boston Properties, Inc. 11,809 181 CapitalSource, Inc. 3,298 549 Colonial Properties Trust 17,199 82 Federal Realty Investment Trust 7,234 165 Health Care REIT, Inc. 7,308 90 Hospitality Properties Trust 3,564 739 HRPT Properties Trust 6,939 332 iStar Financial, Inc. 10,129 42 Macerich (The) Co. 3,600 82 Plum Creek Timber Co., Inc. 3,663 170 ProLogis 12,196 152 Rayonier, Inc. 7,340 133 Taubman Centers, Inc. 7,830 1,137 Thornburg Mortgage, Inc. 11,939 177 Ventas, Inc. 7,592 ------------- 121,640 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT--0.6% 131 CB Richard Ellis Group, Inc., Class A (b) 3,194 71 Jones Lang LaSalle, Inc. 6,768 ------------- 9,962 ------------- ROAD & RAIL--1.1% 384 Ryder System, Inc. 18,374 ------------- SOFTWARE--1.1% 165 FactSet Research Systems, Inc. 11,636 202 Fair Isaac Corp. 7,660 ------------- 19,296 ------------- THRIFTS & MORTGAGE FINANCE--5.5% 990 Countrywide Financial Corp. 15,365 191 Freddie Mac 9,976 950 Hudson City Bancorp, Inc. 14,877 797 IndyMac Bancorp, Inc. 10,696 583 MGIC Investment Corp. 11,287 576 PMI Group (The), Inc. 9,233 809 Radian Group, Inc. 10,185 214 Sovereign Bancorp, Inc. 3,088 139 Washington Federal, Inc. 3,358 320 Washington Mutual, Inc. 8,922 ------------- 96,987 ------------- See Notes to Quarterly Portfolio of Investments Page 13 FIRST TRUST FINANCIALS ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) TRADING COMPANIES & DISTRIBUTORS--1.9% 342 GATX Corp. $ 14,012 585 United Rentals, Inc. (b) 20,001 ------------- 34,013 ------------- TOTAL INVESTMENTS--102.9% (Cost $2,070,273) (c) 1,801,429 NET OTHER ASSETS AND LIABILITIES--(2.9%) (50,174) ------------- NET ASSETS--100.0% $ 1,751,255 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Aggregate cost for federal income tax and financial reporting purposes. As of October 31, 2007, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $40,867 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $309,711. See Notes to Quarterly Portfolio of Investments Page 14 FIRST TRUST HEALTH CARE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS--100.9% BIOTECHNOLOGY--11.1% 654 Amgen, Inc. (b) $ 38,004 1,481 Amylin Pharmaceuticals, Inc. (b) 66,675 1,116 Biogen Idec, Inc. (b) 83,075 1,391 Celgene Corp. (b) 91,806 253 Cephalon, Inc. (b) 18,656 237 Genentech, Inc. (b) 17,569 906 Gilead Sciences, Inc. (b) 41,848 448 ImClone Systems, Inc. (b) 19,331 857 PDL BioPharma, Inc. (b) 18,168 1,928 Vertex Pharmaceuticals, Inc. (b) 62,352 ------------- 457,484 ------------- COMMERCIAL SERVICES & SUPPLIES--2.5% 1,735 Stericycle, Inc. (b) 101,203 ------------- FOOD & STAPLES RETAILING--2.6% 2,502 CVS Caremark Corp. 104,509 ------------- HEALTH CARE EQUIPMENT & SUPPLIES--20.0% 329 Baxter International, Inc. 19,743 1,004 Beckman Coulter, Inc. 71,103 451 Becton, Dickinson & Co. 37,640 420 C.R. Bard, Inc. 35,116 1,429 DENTSPLY International, Inc. 59,275 894 Gen-Probe, Inc. (b) 62,598 893 Hospira, Inc. (b) 36,908 676 IDEXX Laboratories, Inc. (b) 82,323 431 Intuitive Surgical, Inc. (b) 140,881 1,316 Kinetic Concepts, Inc. (b) 79,092 656 Medtronic, Inc. 31,121 432 ResMed, Inc. (b) 17,898 1,542 Respironics, Inc. (b) 77,193 840 St. Jude Medical, Inc. (b) 34,213 538 Stryker Corp. 38,198 ------------- 823,302 ------------- HEALTH CARE PROVIDERS & SERVICES--37.4% 1,827 Aetna, Inc. 102,623 408 AmerisourceBergen Corp. 19,221 2,355 Community Health Systems, Inc. (b) 77,550 1,190 Coventry Health Care, Inc. (b) 71,769 1,569 DaVita, Inc. (b) 102,283 1,776 Express Scripts, Inc. (b) 112,065 1,101 Health Net, Inc. (b) 59,025 1,217 Henry Schein, Inc. (b) 72,898 1,419 Humana, Inc. (b) 106,353 473 Laboratory Corp. of America Holdings (b) 32,519 3,304 LifePoint Hospitals, Inc. (b) 100,838 505 Lincare Holdings, Inc. (b) 17,559 924 Manor Care, Inc. 61,520 See Notes to Quarterly Portfolio of Investments Page 15 FIRST TRUST HEALTH CARE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 630 McKesson Corp. $ 41,643 1,097 Medco Health Solutions, Inc. (b) 103,535 559 Omnicare, Inc. 16,491 959 Patterson Cos., Inc. (b) 37,506 1,132 Pediatrix Medical Group, Inc. (b) 74,146 641 Quest Diagnostics, Inc. 34,088 877 Sierra Health Services, Inc. (b) 37,097 382 UnitedHealth Group, Inc. 18,775 1,822 Universal Health Services, Inc., Class B 88,823 1,425 VCA Antech, Inc. (b) 65,621 941 WellCare Health Plans, Inc. (b) 22,763 754 WellPoint, Inc. (b) 59,739 ------------- 1,536,450 ------------- HEALTH CARE TECHNOLOGY--1.8% 995 Cerner Corp. (b) 59,262 604 IMS Health, Inc. 15,227 ------------- 74,489 ------------- INTERNET SOFTWARE & SERVICES--1.3% 1,142 WebMD Health Corp., Class A (b) 52,498 ------------- LIFE SCIENCES TOOLS & SERVICES--9.9% 1,060 Charles River Laboratories International, Inc. (b) 61,480 950 Covance, Inc. (b) 78,375 728 Invitrogen Corp. (b) 66,153 785 Millipore Corp. (b) 60,955 587 Techne Corp. (b) 38,296 1,718 Thermo Fisher Scientific, Inc. (b) 101,036 ------------- 406,295 ------------- PHARMACEUTICALS--14.3% 923 Allergan, Inc. 62,376 1,301 Barr Pharmaceuticals, Inc. (b) 74,573 325 Eli Lilly & Co. 17,599 282 Johnson & Johnson 18,378 8,461 King Pharmaceuticals, Inc. (b) 89,687 358 Merck & Co., Inc. 20,857 2,435 Pfizer, Inc. 59,925 2,341 Schering-Plough Corp. 71,447 3,348 Warner Chilcott Ltd., Class A (b) 62,038 2,285 Watson Pharmaceuticals, Inc. (b) 69,830 831 Wyeth 40,412 ------------- 587,122 ------------- See Notes to Quarterly Portfolio of Investments Page 16 FIRST TRUST HEALTH CARE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET DESCRIPTION VALUE ------------------------------------------- ------------- TOTAL INVESTMENTS--100.9% (Cost $4,117,323) (c) $ 4,143,352 NET OTHER ASSETS AND LIABILITIES--(0.9%) (35,415) ------------- NET ASSETS--100.0% $ 4,107,937 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Aggregate cost for federal income tax and financial reporting purposes. As of October 31, 2007, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $244,420 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $218,391. See Notes to Quarterly Portfolio of Investments Page 17 FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS--101.1% AEROSPACE & DEFENSE--20.8% 1,474 Alliant Techsystems, Inc. (b) $ 162,715 3,103 BE Aerospace, Inc. (b) 154,250 1,227 Boeing (The) Co. 120,970 2,361 Goodrich Corp. 164,466 594 Lockheed Martin Corp. 65,364 826 Northrop Grumman Corp. 69,070 2,019 Raytheon Co. 128,429 401 Rockwell Collins, Inc. 29,999 1,601 United Technologies Corp. 122,621 ------------- 1,017,884 ------------- COMMERCIAL SERVICES & SUPPLIES--0.6% 1,629 Steelcase, Inc., Class A 29,110 ------------- COMPUTERS & PERIPHERALS--1.8% 2,116 Lexmark International, Inc., Class A (b) 88,851 ------------- ELECTRICAL EQUIPMENT--12.7% 2,982 AMETEK, Inc. 140,154 573 Cooper Industries Ltd., Class A 30,019 1,651 Emerson Electric Co. 86,298 1,920 General Cable Corp. (b) 138,221 1,128 Hubbell, Inc., Class B 62,040 1,967 Roper Industries, Inc. 139,283 499 Thomas & Betts Corp. (b) 27,949 ------------- 623,964 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--3.8% 861 Mettler-Toledo International, Inc. (b) 91,567 3,263 Molex, Inc. 93,192 ------------- 184,759 ------------- HOUSEHOLD DURABLES--9.7% 343 NVR, Inc. (b) 163,182 7,517 Ryland Group (The), Inc. 213,709 4,395 Toll Brothers, lnc. (b) 100,689 ------------- 477,580 ------------- LIFE SCIENCES TOOLS & SERVICES--2.1% 1,313 Waters Corp. (b) 101,075 ------------- MACHINERY--36.7% 3,173 AGCO Corp. (b) 189,365 822 Caterpillar, Inc. 61,329 611 Crane Co. 28,986 1,260 Cummins, Inc. 151,150 1,062 Danaher Corp. 90,982 868 Deere & Co. 134,453 2,104 Donaldson Co., Inc. 90,177 See Notes to Quarterly Portfolio of Investments Page 18 FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 575 Dover Corp. $ 26,450 2,114 Flowserve Corp. 166,921 2,253 Gardner Denver, Inc. (b) 81,401 805 IDEX Corp. 28,513 1,473 Illinois Tool Works, Inc. 84,344 1,183 Ingersoll-Rand Co., Ltd., Class A 59,564 767 Kennametal, Inc. 69,958 1,660 Lincoln Electric Holdings, Inc. 119,935 3,638 Manitowoc (The) Co., Inc. 179,208 864 Parker Hannifin Corp. 69,440 883 Pentair, Inc. 31,249 1,809 Terex Corp. (b) 134,264 ------------- 1,797,689 ------------- OFFICE ELECTRONICS--1.8% 5,067 Xerox Corp. (b) 88,368 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--7.9% 1,415 Applied Materials, Inc. 27,479 525 KLA-Tencor Corp. 27,641 1,210 Lam Research Corp. (b) 60,742 4,727 Novellus Systems, Inc. (b) 134,294 3,010 Varian Semiconductor Equipment Associates, Inc. (b) 138,521 ------------- 388,677 ------------- TRADING COMPANIES & DISTRIBUTORS--0.6% 321 W.W. Grainger, Inc. 28,864 ------------- WIRELESS TELECOMMUNICATION SERVICES--2.6% 1,586 Crown Castle International Corp. (b) 65,137 1,826 SBA Communications Corp. (b) 65,006 ------------- 130,143 ------------- TOTAL INVESTMENTS--101.1% (Cost $4,953,497) (c) 4,956,964 NET OTHER ASSETS AND LIABILITIES--(1.1%) (53,418) ------------- NET ASSETS--100.0% $ 4,903,546 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Aggregate cost for federal income tax and financial reporting purposes. As of October 31, 2007, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $247,386 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $243,919. See Notes to Quarterly Portfolio of Investments Page 19 FIRST TRUST MATERIALS ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS--101.5% AEROSPACE & DEFENSE--2.0% 456 Precision Castparts Corp. $ 68,313 ------------- BUILDING PRODUCTS--8.3% 2,250 Armstrong World Industries, Inc. (b) 92,272 998 Lennox International, Inc. 35,629 3,646 Owens Corning, Inc. (b) 84,259 1,796 USG Corp. (b) 71,391 ------------- 283,551 ------------- CHEMICALS--28.1% 690 Air Products and Chemicals, Inc. 67,517 1,306 Airgas, Inc. 65,914 763 Albemarle Corp. 36,441 560 Ashland, Inc. 32,883 1,543 Cabot Corp. 54,020 1,406 Celanese Corp., Class A 58,996 493 Cytec Industries, Inc. 32,888 1,273 Dow Chemical (The) Co. 57,336 340 E.I. du Pont de Nemours and Co. 16,833 505 Eastman Chemical Co. 33,628 357 Ecolab, Inc. 16,840 842 Lubrizol (The) Corp. 57,155 787 Monsanto Co. 76,836 1,024 Mosaic (The) Co. (b) 71,475 1,848 Nalco Holding Co. 45,941 223 PPG Industries, Inc. 16,667 403 Praxair, Inc. 34,448 606 Rohm and Haas Co. 31,439 1,408 RPM International, Inc. 30,173 692 Sigma-Aldrich Corp. 35,756 620 Valspar (The) Corp. 15,519 2,663 Westlake Chemical Corp. 65,350 ------------- 954,055 ------------- COMMERCIAL SERVICES & SUPPLIES--0.5% 296 Avery Dennison Corp. 17,138 ------------- CONSTRUCTION & ENGINEERING--12.3% 468 Fluor Corp. 73,944 1,209 Jacobs Engineering Group, Inc. (b) 105,364 638 Quanta Services, Inc. (b) 21,054 1,572 Shaw Group (The), Inc. (b) 117,271 1,618 URS Corp. (b) 100,009 ------------- 417,642 ------------- CONTAINERS & PACKAGING--10.8% 1,020 Ball Corp. 50,572 1,159 Bemis Co., Inc. 32,637 741 Crown Holdings, Inc. (b) 18,377 2,204 Owens-Illinois, Inc. (b) 97,901 1,885 Packaging Corp. of America 60,018 See Notes to Quarterly Portfolio of Investments Page 20 FIRST TRUST MATERIALS ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) CONTAINERS & PACKAGING (CONTINUED) 2,144 Sealed Air Corp. $ 53,450 1,444 Smurfit-Stone Container Corp. (b) 17,487 1,118 Sonoco Products Co. 34,569 ------------- 365,011 ------------- FOOD PRODUCTS--2.6% 2,039 Archer-Daniels-Midland Co. 72,955 368 Corn Products International, Inc. 15,655 ------------- 88,610 ------------- HOUSEHOLD PRODUCTS--1.5% 494 Energizer Holdings, Inc. (b) 51,524 ------------- INDUSTRIAL CONGLOMERATES--3.0% 1,689 McDermott International, Inc. (b) 103,130 ------------- MACHINERY--3.2% 1,541 Harsco Corp. 93,415 454 Timken (The) Co. 15,100 ------------- 108,515 ------------- METALS & MINING--25.3% 2,078 AK Steel Holding Corp. (b) 104,170 862 Alcoa, Inc. 34,127 498 Allegheny Technologies, Inc. 50,881 259 Carpenter Technology Corp. 37,532 767 Cleveland-Cliffs, Inc. 73,364 2,131 Commercial Metals Co. 66,871 871 Freeport-McMoRan Copper & Gold, Inc. 102,499 922 Nucor Corp. 57,182 1,616 Reliance Steel & Aluminum Co. 94,294 545 Southern Copper Corp. 76,137 1,444 Steel Dynamics, Inc. 76,850 502 Titanium Metals Corp. (b) 17,670 637 United States Steel Corp. 68,732 ------------- 860,309 ------------- PAPER & FOREST PRODUCTS--3.9% 2,546 International Paper Co. 94,101 571 MeadWestvaco Corp. 19,208 233 Weyerhaeuser Co. 17,687 ------------- 130,996 ------------- See Notes to Quarterly Portfolio of Investments Page 21 FIRST TRUST MATERIALS ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET DESCRIPTION VALUE ------------------------------------------- ------------- TOTAL INVESTMENTS--101.5% (Cost $3,234,754) (c) $ 3,448,794 NET OTHER ASSETS AND LIABILITIES--(1.5%) (51,206) ------------- NET ASSETS--100.0% $ 3,397,588 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets (b) Non-income producing security. (c) Aggregate cost for federal income tax and financial reporting purposes. As of October 31, 2007, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $350,874 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $136,834. See Notes to Quarterly Portfolio of Investments Page 22 FIRST TRUST TECHNOLOGY ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS--101.2% AEROSPACE & DEFENSE--5.5% 1,458 DRS Technologies, Inc. $ 83,748 713 General Dynamics Corp. 64,854 983 L-3 Communications Holdings, Inc. 107,776 ------------- 256,378 ------------- COMMUNICATIONS EQUIPMENT--13.4% 4,097 ADC Telecommunications, Inc. (b) 76,614 2,110 Ciena Corp. (b) 100,984 2,425 Cisco Systems, Inc. (b) 80,171 1,199 CommScope, Inc. (b) 56,557 1,080 F5 Networks, Inc. (b) 38,912 1,390 Harris Corp. 84,178 1,259 JDS Uniphase Corp. (b) 19,212 2,195 Juniper Networks, Inc. (b) 79,020 446 QUALCOMM, Inc. 19,058 1,492 Riverbed Technology, Inc. (b) 50,415 1,978 Tellabs, Inc. (b) 17,426 ------------- 622,547 ------------- COMPUTERS & PERIPHERALS--18.4% 654 Apple, Inc. (b) 124,228 4,693 Brocade Communications Systems, Inc. (b) 44,630 1,455 Dell, Inc. (b) 44,523 4,828 EMC Corp. (b) 122,583 2,017 Hewlett-Packard Co. 104,239 682 International Business Machines Corp. 79,194 378 NCR Corp. (b) 10,429 4,480 QLogic Corp. (b) 69,574 1,094 SanDisk Corp. (b) 48,574 3,141 Seagate Technology 87,445 3,351 Sun Microsystems, Inc. (b) 19,134 3,966 Western Digital Corp. (b) 102,799 ------------- 857,352 ------------- ELECTRICAL EQUIPMENT--4.1% 578 Rockwell Automation, Inc. 39,813 1,213 SunPower Corp., Class A (b) 153,396 ------------- 193,209 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--16.5% 2,021 Amphenol Corp., Class A 89,470 2,362 Arrow Electronics, Inc. (b) 94,433 2,520 Avnet, Inc. (b) 105,133 4,990 AVX Corp. 77,096 3,073 Ingram Micro, Inc., Class A (b) 65,271 2,638 Jabil Circuit, Inc. 57,324 1,755 National Instruments Corp. 56,932 8,882 Sanmina-SCI Corp. (b) 19,629 See Notes to Quarterly Portfolio of Investments Page 23 FIRST TRUST TECHNOLOGY ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) ELECTRONIC EQUIPMENT & INSTRUMENTS (CONTINUED) 2,561 Trimble Navigation Ltd. (b) $ 106,793 7,708 Vishay Intertechnology, Inc. (b) 97,044 ------------- 769,125 ------------- HOUSEHOLD DURABLES--1.9% 841 Garmin Ltd. 90,323 ------------- IT SERVICES--8.1% 1,199 Affiliated Computer Services, Inc., Class A (b) 60,741 542 Ceridian Corp. (b) 19,479 472 Cognizant Technology Solutions Corp., Class A (b) 19,569 1,437 Computer Sciences Corp. (b) 83,906 3,679 Electronic Data Systems Corp. 79,430 2,265 VeriFone Holdings, Inc. (b) 111,960 ------------- 375,085 ------------- LIFE SCIENCES TOOLS & SERVICES--2.6% 1,160 Applera Corp. - Applied Biosystems Group 43,082 2,751 PerkinElmer, Inc. 75,708 ------------- 118,790 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--14.8% 1,668 Altera Corp. 32,726 1,102 Broadcom Corp., Class A (b) 35,870 1,292 Cree, Inc. (b) 36,176 3,438 Cypress Semiconductor Corp. (b) 125,659 1,008 Fairchild Semiconductor International, Inc. (b) 18,396 1,216 Integrated Device Technology, Inc. (b) 16,331 1,553 Intel Corp. 41,776 1,827 International Rectifier Corp. (b) 60,985 1,202 Intersil Corp., Class A 36,469 682 MEMC Electronic Materials, Inc. (b) 49,936 5,429 Micron Technology, Inc. (b) 57,059 2,771 NVIDIA Corp. (b) 98,038 985 Rambus, Inc. (b) 19,493 1,443 Silicon Laboratories, Inc. (b) 63,059 ------------- 691,973 ------------- SOFTWARE--15.9% 920 Adobe Systems, Inc. (b) 44,068 1,608 Autodesk, Inc. (b) 78,631 1,358 BEA Systems, Inc. (b) 22,950 603 BMC Software, Inc. (b) 20,406 1,810 Cadence Design Systems, Inc. (b) 35,476 1,494 Citrix Systems, Inc. (b) 64,227 5,009 Compuware Corp. (b) 50,090 621 Intuit, Inc. (b) 19,978 1,728 McAfee, Inc. (b) 71,453 639 Microsoft Corp. 23,522 1,288 NAVTEQ Corp. (b) 99,433 See Notes to Quarterly Portfolio of Investments Page 24 FIRST TRUST TECHNOLOGY ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 2,783 Oracle Corp. (b) $ 61,699 1,566 Salesforce.com, Inc. (b) 88,275 972 Symantec Corp. (b) 18,254 1,483 Synopsys, Inc. (b) 41,910 ------------- 740,372 ------------- TOTAL INVESTMENTS--101.2% (Cost $4,303,064) (c) 4,715,154 NET OTHER ASSETS AND LIABILITIES--(1.2%) (53,800) ------------- NET ASSETS--100.0% $ 4,661,354 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Aggregate cost for federal income tax and financial reporting purposes. As of October 31, 2007, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $530,727 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $118,637. See Notes to Quarterly Portfolio of Investments Page 25 FIRST TRUST UTILITIES ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS--101.6% DIVERSIFIED TELECOMMUNICATION SERVICES--5.3% 418 AT&T, Inc. $ 17,468 1,914 CenturyTel, Inc. 84,311 318 Embarq Corp. 16,829 799 Verizon Communications, Inc. 36,810 ------------- 155,418 ------------- ELECTRIC UTILITIES--26.5% 768 American Electric Power Co., Inc. 37,025 4,733 Duke Energy Corp. 90,732 638 Edison International 37,100 163 Entergy Corp. 19,539 235 Exelon Corp. 19,453 838 FirstEnergy Corp. 58,409 291 FPL Group, Inc. 19,910 1,842 Great Plains Energy, Inc. 54,965 1,630 Hawaiian Electric Industries, Inc. 37,816 1,239 Northeast Utilities 38,198 1,960 Pepco Holdings, Inc. 55,840 2,239 Pinnacle West Capital Corp. 90,456 382 PPL Corp. 19,749 1,511 Progress Energy, Inc. 72,528 5,624 Sierra Pacific Resources 94,877 975 Southern Co. 35,744 ------------- 782,341 ------------- GAS UTILITIES--11.8% 1,340 AGL Resources, Inc. 52,970 3,124 Atmos Energy Corp. 87,628 1,239 Energen Corp. 79,296 378 National Fuel Gas Co. 18,329 373 ONEOK, Inc. 18,628 337 Questar Corp. 19,236 1,137 Southern Union Co. 35,816 1,362 UGI Corp. 36,256 ------------- 348,159 ------------- IT SERVICES--2.4% 2,064 NeuStar, Inc., Class A (b) 70,589 ------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS--3.8% 206 Constellation Energy Group 19,508 2,175 Mirant Corp. (b) 92,133 ------------- 111,641 ------------- MEDIA--2.0% 1,519 Cablevision Systems Corp., Class A (b) 44,552 732 Comcast Corp., Class A (b) 15,409 ------------- 59,961 ------------- See Notes to Quarterly Portfolio of Investments Page 26 FIRST TRUST UTILITIES ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) MULTI-UTILITIES--39.8% 2,309 Alliant Energy Corp. $ 92,360 1,011 Ameren Corp. 54,655 1,146 Consolidated Edison, Inc. 53,965 1,826 DTE Energy Co. 90,570 1,962 Energy East Corp. 54,701 2,542 MDU Resources Group, Inc. 71,583 4,622 NiSource, Inc. 94,519 1,017 NSTAR 35,758 2,138 OGE Energy Corp. 81,885 1,110 PG&E Corp. 54,312 3,615 Puget Energy, Inc. 102,123 1,827 SCANA Corp. 74,158 913 Sempra Energy 56,159 4,307 TECO Energy, Inc. 72,487 2,593 Vectren Corp. 72,708 786 Wisconsin Energy Corp. 37,634 3,286 Xcel Energy, Inc. 74,099 ------------- 1,173,676 ------------- WIRELESS TELECOMMUNICATION SERVICES--10.0% 652 Leap Wireless International, Inc. (b) 46,494 431 NII Holdings, Inc. (b) 24,998 3,725 Sprint Nextel Corp. 63,698 1,060 Telephone & Data Systems, Inc. 73,988 901 United States Cellular Corp. (b) 84,829 ------------- 294,007 ------------- TOTAL INVESTMENTS--101.6% (Cost $3,063,068) (c) 2,995,792 NET OTHER ASSETS AND LIABILITIES--(1.6%) (45,937) ------------- NET ASSETS--100.0% $ 2 ,949,855 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Aggregate cost for federal income tax and financial reporting purposes. As of October 31, 2007, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $52,640 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $119,916. See Notes to Quarterly Portfolio of Investments Page 27 FIRST TRUST LARGE CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS--100.0% AEROSPACE & DEFENSE--3.2% 383 Boeing (The) Co. $ 37,760 376 General Dynamics Corp. 34,201 116 Goodrich Corp. 8,081 393 L-3 Communications Holdings, Inc. 43,088 292 Lockheed Martin Corp. 32,132 309 Northrop Grumman Corp. 25,839 272 Precision Castparts Corp. 40,748 330 Rockwell Collins, Inc. 24,687 499 United Technologies Corp. 38,218 ------------- 284,754 ------------- AIR FREIGHT & LOGISTICS--0.8% 584 C.H. Robinson Worldwide, Inc. 29,153 303 FedEx Corp. 31,312 106 United Parcel Service, Inc., Class B 7,961 ------------- 68,426 ------------- AIRLINES--0.2% 1,072 Southwest Airlines Co. 15,233 ------------- AUTO COMPONENTS--0.1% 201 Johnson Controls, Inc. 8,788 ------------- BEVERAGES--1.5% 212 Brown-Forman Corp., Class B 15,684 420 Coca-Cola (The) Co. 25,939 655 Constellation Brands, Inc., Class A (b) 16,454 484 Molson Coors Brewing Co., Class B 27,699 853 Pepsi Bottling Group (The), Inc. 36,747 216 PepsiCo, Inc. 15,924 ------------- 138,447 ------------- BIOTECHNOLOGY--1.2% 606 Biogen Idec, Inc. (b) 45,111 564 Celgene Corp. (b) 37,224 590 Gilead Sciences, Inc. (b) 27,252 ------------- 109,587 ------------- CAPITAL MARKETS--4.3% 940 American Capital Strategies Ltd. 40,806 382 Ameriprise Financial, Inc. 24,058 258 Bear Stearns (The) Cos., Inc. 29,309 367 Charles Schwab (The) Corp. 8,529 2,429 E*TRADE Financial Corp. (b) 27,059 399 Federated Investors, Inc., Class B 17,157 62 Franklin Resources, Inc. 8,040 146 Goldman Sachs Group (The), Inc. 36,196 853 Janus Capital Group, Inc. 29,437 286 Legg Mason, Inc. 23,721 391 Lehman Brothers Holdings, Inc. 24,766 338 Merrill Lynch & Co., Inc. 22,315 See Notes to Quarterly Portfolio of Investments Page 28 FIRST TRUST LARGE CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) CAPITAL MARKETS (CONTINUED) 252 Morgan Stanley $ 16,950 364 Northern Trust Corp. 27,376 233 State Street Corp. 18,586 433 T. Rowe Price Group, Inc. 27,816 ------------- 382,121 ------------- CHEMICALS--4.0% 81 Air Products and Chemicals, Inc. 7,926 527 Ashland, Inc. 30,945 933 Dow Chemical (The) Co. 42,023 320 E.I. du Pont de Nemours & Co. 15,843 475 Eastman Chemical Co. 31,630 511 Ecolab, Inc. 24,104 1,509 Hercules, Inc. 28,384 456 International Flavors & Fragrances, Inc. 23,808 469 Monsanto Co. 45,789 210 PPG Industries, Inc. 15,695 379 Praxair, Inc. 32,397 433 Rohm and Haas Co. 22,464 651 Sigma-Aldrich Corp. 33,637 ------------- 354,645 ------------- COMMERCIAL BANKS--2.8% 196 BB&T Corp. 7,246 309 Comerica, Inc. 14,424 622 Commerce Bancorp, Inc. 25,347 595 First Horizon National Corp. 15,518 1,420 Huntington Bancshares, Inc. 25,432 746 KeyCorp 21,224 153 M&T Bank Corp. 15,220 181 Marshall & Ilsley Corp. 7,729 1,264 National City Corp. 30,651 354 PNC Financial Services Group, Inc. 25,545 538 Regions Financial Corp. 14,591 105 SunTrust Banks, Inc. 7,623 481 Wachovia Corp. 21,996 223 Wells Fargo & Co. 7,584 231 Zions Bancorporation 13,654 ------------- 253,784 ------------- COMMERCIAL SERVICES & SUPPLIES--1.2% 2,488 Allied Waste Industries, Inc. (b) 31,448 278 Avery Dennison Corp. 16,096 416 Equifax, Inc. 16,016 434 R.R. Donnelley & Sons Co. 17,486 531 Robert Half International, Inc. 15,978 420 Waste Management, Inc. 15,284 ------------- 112,308 ------------- See Notes to Quarterly Portfolio of Investments Page 29 FIRST TRUST LARGE CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) COMMUNICATIONS EQUIPMENT--1.7% 1,055 Ciena Corp. (b) $ 50,492 1,214 Cisco Systems, Inc. (b) 40,135 322 Corning, Inc. 7,815 530 JDS Uniphase Corp. (b) 8,088 866 Juniper Networks, Inc. (b) 31,176 188 QUALCOMM, Inc. 8,033 833 Tellabs, Inc. (b) 7,339 ------------- 153,078 ------------- COMPUTERS & PERIPHERALS--2.1% 262 Apple, Inc. (b) 49,768 575 Dell, Inc. (b) 17,595 1,932 EMC Corp. (b) 49,053 159 Hewlett-Packard Co. 8,217 269 International Business Machines Corp. 31,236 576 SanDisk Corp. (b) 25,574 1,414 Sun Microsystems, Inc. (b) 8,074 ------------- 189,517 ------------- CONSTRUCTION & ENGINEERING--0.5% 279 Fluor Corp. 44,082 ------------- CONSTRUCTION MATERIALS--0.3% 270 Vulcan Materials Co. 23,088 ------------- CONSUMER FINANCE--0.4% 134 American Express Co. 8,167 1,159 Discover Financial Services. 22,369 160 SLM Corp. (b) 7,546 ------------- 38,082 ------------- CONTAINERS & PACKAGING--1.3% 748 Ball Corp. 37,086 1,090 Bemis Co., Inc. 30,694 1,572 Sealed Air Corp. 39,190 151 Temple-Inland, Inc. 8,104 ------------- 115,074 ------------- DISTRIBUTORS--0.2% 317 Genuine Parts Co. 15,555 ------------- DIVERSIFIED CONSUMER SERVICES--0.2% 264 Apollo Group, Inc., Class A (b) 20,925 ------------- DIVERSIFIED FINANCIAL SERVICES--1.9% 315 Bank of America Corp. 15,208 789 CIT Group, Inc. 27,804 340 Citigroup, Inc. 14,246 41 CME Group, Inc. 27,316 209 IntercontinentalExchange, Inc. (b) 37,245 526 JPMorgan Chase & Co. 24,722 See Notes to Quarterly Portfolio of Investments Page 30 FIRST TRUST LARGE CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) DIVERSIFIED FINANCIAL SERVICES (CONTINUED) 500 Leucadia National Corp. $ 25,330 ------------- 171,871 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES--1.0% 375 AT&T, Inc. 15,671 869 CenturyTel, Inc. 38,279 554 Citizens Communications Co. 7,291 143 Embarq Corp. 7,568 545 Verizon Communications, Inc. 25,108 ------------- 93,917 ------------- ELECTRIC UTILITIES--3.4% 152 Allegheny Energy, Inc. (b) 9,220 523 American Electric Power Co., Inc. 25,214 2,150 Duke Energy Corp. 41,215 435 Edison International 25,295 146 Entergy Corp. 17,501 320 Exelon Corp. 26,490 501 FirstEnergy Corp. 34,920 261 FPL Group, Inc. 17,858 1,017 Pinnacle West Capital Corp. 41,086 171 PPL Corp. 8,841 677 Progress Energy, Inc. 32,496 665 Southern Co. 24,379 ------------- 304,515 ------------- ELECTRICAL EQUIPMENT--0.8% 310 Cooper Industries Ltd., Class A 16,241 755 Emerson Electric Co. 39,463 228 Rockwell Automation, Inc. 15,705 ------------- 71,409 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--0.8% 1,389 Jabil Circuit, Inc. 30,183 1,178 Molex, Inc. 33,644 286 Tektronix, Inc. 10,825 ------------- 74,652 ------------- ENERGY EQUIPMENT & SERVICES--4.5% 445 Baker Hughes, Inc. 38,590 716 ENSCO International, Inc. 39,731 1,047 Halliburton Co. 41,273 258 Nabors Industries Ltd. (b) 7,245 556 National Oilwell Varco, Inc. (b) 40,721 647 Noble Corp. 34,259 1,099 Rowan Cos., Inc. 42,839 383 Schlumberger Ltd. 36,986 563 Smith International, Inc. 37,186 355 Transocean, Inc. (b) 42,376 See Notes to Quarterly Portfolio of Investments Page 31 FIRST TRUST LARGE CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) ENERGY EQUIPMENT & SERVICES (CONTINUED) 598 Weatherford International Ltd. (b) $ 38,816 ------------- 400,022 ------------- FOOD & STAPLES RETAILING--2.2% 1,014 CVS Caremark Corp. 42,355 556 Kroger (The) Co. 16,341 958 Safeway, Inc. 32,572 813 SUPERVALU, Inc. 31,504 677 Sysco Corp. 23,214 671 Walgreen Co. 26,605 492 Whole Foods Market, Inc. 24,374 ------------- 196,965 ------------- FOOD PRODUCTS--1.5% 1,215 Archer-Daniels-Midland Co. 43,473 303 ConAgra Foods, Inc. 7,190 137 General Mills, Inc. 7,909 283 Kellogg Co. 14,940 230 Kraft Foods, Inc., Class A 7,684 1,351 Tyson Foods, Inc., Class A 21,346 494 Wm. Wrigley Jr. Co. 30,465 ------------- 133,007 ------------- GAS UTILITIES--0.5% 739 Nicor, Inc. 31,977 151 Questar Corp. 8,619 ------------- 40,596 ------------- HEALTH CARE EQUIPMENT & SUPPLIES--1.4% 282 Baxter International, Inc. 16,923 193 Becton Dickinson and Co. 16,108 180 C.R. Bard, Inc. 15,050 383 Hospira, Inc. (b) 15,829 281 Medtronic, Inc. 13,331 547 St. Jude Medical, Inc. (b) 22,279 351 Stryker Corp. 24,921 ------------- 124,441 ------------- HEALTH CARE PROVIDERS & SERVICES--3.2% 146 Aetna, Inc. 8,201 175 AmerisourceBergen Corp. 8,244 595 CIGNA Corp. 31,232 646 Coventry Health Care, Inc. (b) 38,960 720 Express Scripts, Inc. (b) 45,431 575 Humana, Inc. (b) 43,096 203 Laboratory Corp. of America Holdings (b) 13,956 374 Manor Care, Inc. 24,901 135 McKesson Corp. 8,924 411 Patterson Cos., Inc. (b) 16,074 275 Quest Diagnostics, Inc. 14,625 See Notes to Quarterly Portfolio of Investments Page 32 FIRST TRUST LARGE CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 164 UnitedHealth Group, Inc. $ 8,061 306 WellPoint, Inc. (b) 24,244 ------------- 285,949 ------------- HEALTH CARE TECHNOLOGY--0.1% 259 IMS Health, Inc. 6,529 ------------- HOTELS, RESTAURANTS & LEISURE--1.7% 655 Carnival Corp. 31,427 277 Harrah's Entertainment, Inc. 24,445 182 Marriott International, Inc., Class A 7,482 582 McDonald's Corp. 34,745 736 Wyndham Worldwide Corp. 24,163 713 Yum! Brands, Inc. 28,713 ------------- 150,975 ------------- HOUSEHOLD DURABLES--1.5% 195 Fortune Brands, Inc. 16,335 2,097 Leggett & Platt, Inc. 40,745 275 Newell Rubbermaid, Inc. 8,019 320 Snap-on, Inc. 15,971 430 Stanley Works (The) 24,747 356 Whirlpool Corp. 28,188 ------------- 134,005 ------------- HOUSEHOLD PRODUCTS--0.5% 222 Colgate-Palmolive Co. 16,932 113 Kimberly-Clark Corp. 8,011 343 Procter & Gamble (The) Co. 23,845 ------------- 48,788 ------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS--0.3% 396 AES (The) Corp. (b) 8,478 185 Constellation Energy Group 17,520 ------------- 25,998 ------------- INDUSTRIAL CONGLOMERATES--0.6% 258 3M Co. 22,281 582 General Electric Co. 23,955 179 Tyco International Ltd. 7,369 ------------- 53,605 ------------- INSURANCE--5.9% 663 ACE Ltd. 40,183 423 AFLAC, Inc. 26,556 555 Allstate (The) Corp. 29,082 117 American International Group, Inc. 7,385 451 Assurant, Inc. 26,356 749 Chubb (The) Corp. 39,959 See Notes to Quarterly Portfolio of Investments Page 33 FIRST TRUST LARGE CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 928 Cincinnati Financial Corp. $ 36,916 785 Genworth Financial, Inc., Class A 21,431 261 Hartford Financial Services Group (The), Inc. 25,325 120 Lincoln National Corp. 7,484 656 Loews Corp. 32,203 622 Marsh & McLennan Cos., Inc. 16,104 395 MBIA, Inc. 17,001 455 MetLife, Inc. 31,327 382 Principal Financial Group, Inc. 25,850 81 Prudential Financial, Inc. 7,834 656 SAFECO Corp. 37,982 254 Torchmark Corp. 16,551 798 Travelers (The) Cos., Inc. 41,663 324 Unum Group 7,562 507 XL Capital Ltd., Class A 36,479 ------------- 531,233 ------------- INTERNET & CATALOG RETAIL--0.4% 431 Amazon.com, Inc. (b) 38,424 ------------- INTERNET SOFTWARE & SERVICES--0.9% 813 eBay, Inc. (b) 29,349 56 Google, Inc., Class A (b) 39,593 470 VeriSign, Inc. (b) 16,022 ------------- 84,964 ------------- IT SERVICES--1.5% 199 Cognizant Technology Solutions Corp., Class A (b) 8,251 567 Computer Sciences Corp. (b) 33,107 2,315 Convergys Corp. (b) 42,433 1,452 Electronic Data Systems Corp. 31,349 179 Fidelity National Information Services, Inc. 8,255 193 Paychex, Inc. 8,064 ------------- 131,459 ------------- LEISURE EQUIPMENT & PRODUCTS--1.0% 1,758 Brunswick Corp. 39,221 865 Hasbro, Inc. 25,820 1,028 Mattel, Inc. 21,475 ------------- 86,516 ------------- LIFE SCIENCES TOOLS & SERVICES--1.3% 458 Applera Corp - Applied Biosystems Group 17,010 318 Millipore Corp. (b) 24,693 696 Thermo Fisher Scientific, Inc. (b) 40,931 474 Waters Corp. (b) 36,489 ------------- 119,123 ------------- See Notes to Quarterly Portfolio of Investments Page 34 FIRST TRUST LARGE CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) MACHINERY--3.2% 404 Caterpillar, Inc. $ 30,142 62 Cummins, Inc. 7,438 384 Danaher Corp. 32,897 271 Deere & Co. 41,979 311 Dover Corp. 14,306 80 Eaton Corp. 7,406 532 Illinois Tool Works, Inc. 30,462 146 Ingersoll-Rand Co., Ltd., Class A 7,351 467 ITT Corp. 31,252 279 PACCAR, Inc. 15,501 204 Pall Corp. 8,174 323 Parker Hannifin Corp. 25,960 451 Terex Corp. (b) 33,473 ------------- 286,341 ------------- MEDIA--2.5% 503 CBS Corp., Class B 14,436 424 Clear Channel Communications, Inc. 16,014 656 Comcast Corp., Class A (b) 13,809 1,306 DIRECTV Group (The), Inc. (b) 34,583 378 E.W. Scripps (The) Co., Class A 17,014 920 Gannett Co., Inc. 39,017 277 Meredith Corp. 17,243 361 News Corp., Class A 7,823 2,189 Time Warner, Inc. 39,972 203 Viacom, Inc., Class B (b) 8,382 461 Walt Disney (The) Co. 15,964 ------------- 224,257 ------------- METALS & MINING--1.7% 811 Alcoa, Inc. 32,108 288 Allegheny Technologies, Inc. 29,425 230 Freeport-McMoRan Copper & Gold, Inc. 27,066 177 Newmont Mining Corp. 9,002 267 Nucor Corp. 16,559 379 United States Steel Corp. 40,895 ------------- 155,055 ------------- MULTILINE RETAIL--2.5% 808 Big Lots, Inc. (b) 19,376 1,841 Dillard's, Inc., Class A 42,398 908 Family Dollar Stores, Inc. 23,018 501 J. C. Penney Co., Inc. 28,176 981 Macy's, Inc. 31,421 338 Nordstrom, Inc. 13,331 316 Sears Holdings Corp. (b) 42,594 379 Target Corp. 23,255 ------------- 223,569 ------------- See Notes to Quarterly Portfolio of Investments Page 35 FIRST TRUST LARGE CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) MULTI-UTILITIES--3.7% 604 Ameren Corp. $ 32,652 989 CenterPoint Energy, Inc. 16,576 471 CMS Energy Corp. 7,993 685 Consolidated Edison, Inc. 32,257 94 Dominion Resources, Inc. 8,613 830 DTE Energy Co. 41,168 155 Integrys Energy Group, Inc. 8,341 2,100 NiSource, Inc. 42,944 664 PG&E Corp. 32,490 90 Public Service Enterprise Group, Inc. 8,604 546 Sempra Energy 33,584 1,931 TECO Energy, Inc. 32,499 1,473 Xcel Energy, Inc. 33,216 ------------- 330,937 ------------- OFFICE ELECTRONICS--0.4% 1,829 Xerox Corp. (b) 31,898 ------------- OIL, GAS & CONSUMABLE FUELS--7.0% 748 Anadarko Petroleum Corp. 44,147 268 Apache Corp. 27,821 900 Chesapeake Energy Corp. 35,532 429 Chevron Corp. 39,258 458 ConocoPhillips 38,912 340 CONSOL Energy, Inc. 19,210 191 Devon Energy Corp. 17,839 467 El Paso Corp. 8,247 260 Exxon Mobil Corp. 23,917 604 Hess Corp. 43,252 705 Marathon Oil Corp. 41,687 575 Murphy Oil Corp. 42,337 627 Occidental Petroleum Corp. 43,294 331 Peabody Energy Corp. 18,453 568 Sunoco, Inc. 41,805 873 Tesoro Corp. 52,843 598 Valero Energy Corp. 42,117 708 Williams (The) Cos., Inc. 25,835 256 XTO Energy, Inc. 16,993 ------------- 623,499 ------------- PAPER & FOREST PRODUCTS--1.0% 1,120 International Paper Co. 41,395 817 MeadWestvaco Corp. 27,484 219 Weyerhaeuser Co. 16,624 ------------- 85,503 ------------- PERSONAL PRODUCTS--0.2% 423 Avon Products, Inc. 17,335 ------------- PHARMACEUTICALS--2.2% 374 Allergan, Inc. 25,275 557 Barr Pharmaceuticals, Inc. (b) 31,927 139 Eli Lilly and Co. 7,527 See Notes to Quarterly Portfolio of Investments Page 36 FIRST TRUST LARGE CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) PHARMACEUTICALS--(CONTINUED) 121 Johnson & Johnson $ 7,886 3,429 King Pharmaceuticals, Inc. (b) 36,347 987 Pfizer, Inc. 24,290 1,003 Schering-Plough Corp. 30,612 1,240 Watson Pharmaceuticals, Inc. (b) 37,894 ------------- 201,758 ------------- REAL ESTATE INVESTMENT TRUSTS--0.4% 153 Boston Properties, Inc. 16,576 175 Kimco Realty Corp. 7,266 120 ProLogis 8,609 ------------- 32,451 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT--0.1% 285 CB Richard Ellis Group, Inc., Class A (b) 6,948 ------------- ROAD & RAIL--1.8% 297 Burlington Northern Santa Fe Corp. 25,884 742 CSX Corp. 33,219 611 Norfolk Southern Corp. 31,558 820 Ryder System, Inc. 39,237 213 Union Pacific Corp. 27,273 ------------- 157,171 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--2.8% 659 Altera Corp. 12,930 219 Analog Devices, Inc. 7,328 1,165 Applied Materials, Inc. 22,624 435 Broadcom Corp., Class A (b) 14,159 613 Intel Corp. 16,490 432 KLA-Tencor Corp. 22,745 269 MEMC Electronic Materials, Inc. (b) 19,696 218 Microchip Technology, Inc. 7,231 2,858 Micron Technology, Inc. (b) 30,038 1,474 Novellus Systems, Inc. (b) 41,875 1,109 NVIDIA Corp. (b) 39,236 575 Teradyne, Inc. (b) 7,096 433 Texas Instruments, Inc. 14,116 ------------- 255,564 ------------- SOFTWARE--1.8% 363 Adobe Systems, Inc. (b) 17,388 635 Autodesk, Inc. (b) 31,052 254 BMC Software, Inc. (b) 8,595 787 Citrix Systems, Inc. (b) 33,832 1,978 Compuware Corp. (b) 19,780 262 Intuit, Inc. (b) 8,429 269 Microsoft Corp. 9,902 1,465 Oracle Corp. (b) 32,479 ------------- 161,457 ------------- See Notes to Quarterly Portfolio of Investments Page 37 FIRST TRUST LARGE CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) SPECIALTY RETAIL--3.0% 393 Abercrombie & Fitch Co., Class A $ 31,126 2,268 AutoNation, Inc. (b) 40,121 172 Best Buy Co., Inc. 8,345 1,308 Gap (The), Inc. 24,721 1,386 Limited Brands, Inc. 30,506 1,949 Office Depot, Inc. (b) 36,563 926 OfficeMax, Inc. 29,308 241 Sherwin-Williams (The) Co. 15,405 606 Tiffany & Co. 32,833 829 TJX (The) Cos., Inc. 23,983 ------------- 272,911 ------------- TEXTILES, APPAREL & LUXURY GOODS--0.6% 336 Coach, Inc. (b) 12,284 411 NIKE, Inc., Class B 27,234 196 VF Corp. 17,077 ------------- 56,595 ------------- THRIFTS & MORTGAGE FINANCE--1.0% 134 Freddie Mac 6,999 2,062 Hudson City Bancorp, Inc. 32,291 1,244 MGIC Investment Corp. 24,084 465 Sovereign Bancorp, Inc. 6,710 683 Washington Mutual, Inc. 19,042 ------------- 89,126 ------------- TOBACCO--0.3% 114 Altria Group, Inc. 8,314 125 Reynolds American, Inc. 8,054 160 UST, Inc. 8,531 ------------- 24,899 ------------- TRADING COMPANIES & DISTRIBUTORS--0.3% 264 W.W. Grainger, Inc. 23,739 ------------- WIRELESS TELECOMMUNICATION SERVICES--0.6% 346 ALLTEL Corp. 24,618 1,669 Sprint Nextel Corp. 28,540 ------------- 53,158 ------------- TOTAL INVESTMENTS--100.0% (Cost $8,775,763) (c) 8,950,628 NET OTHER ASSETS AND LIABILITIES--0.0% (2,516) ------------- NET ASSETS--100.0% $ 8,948,112 ============= See Notes to Quarterly Portfolio of Investments Page 38 FIRST TRUST LARGE CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Aggregate cost for federal income tax and financial reporting purposes. As of October 31, 2007, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $444,788 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $269,923 See Notes to Quarterly Portfolio of Investments Page 39 FIRST TRUST MID CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS--100.4% AEROSPACE & DEFENSE--1.0% 306 Alliant Techsystems, Inc. (b) $ 33,780 478 DRS Technologies, Inc. 27,456 ------------- 61,236 ------------- AIR FREIGHT & LOGISTICS--0.4% 418 Expeditors International of Washington, Inc. 21,172 ------------- AIRLINES--0.8% 1,339 AirTran Holdings, Inc. (b) 13,939 1,141 Alaska Air Group, Inc. (b) 28,981 714 JetBlue Airways Corp. (b) 6,519 ------------- 49,439 ------------- AUTO COMPONENTS--0.7% 72 BorgWarner, Inc. 7,611 921 Gentex Corp. 19,138 742 Modine Manufacturing Co. 17,259 ------------- 44,008 ------------- AUTOMOBILES--0.2% 293 Thor Industries, Inc. 14,064 ------------- BEVERAGES--0.8% 591 Hansen Natural Corp. (b) 40,188 203 PepsiAmericas, Inc. 7,251 ------------- 47,439 ------------- BIOTECHNOLOGY--0.7% 180 Cephalon, Inc. (b) 13,273 305 PDL BioPharma, Inc. (b) 6,466 686 Vertex Pharmaceuticals, Inc. (b) 22,185 ------------- 41,924 ------------- CAPITAL MARKETS--1.5% 330 Eaton Vance Corp. 16,510 473 Jefferies Group, Inc. 12,643 213 Nuveen Investments, Inc., Class A 13,802 802 Raymond James Financial, Inc. 29,875 487 Waddell & Reed Financial, Inc., Class A 16,178 ------------- 89,008 ------------- CHEMICALS--3.5% 649 Airgas, Inc. 32,755 447 Albemarle Corp. 21,349 741 Cabot Corp. 25,942 385 Cytec Industries, Inc. 25,683 202 Lubrizol (The) Corp. 13,712 197 Minerals Technologies, Inc. 13,833 See Notes to Quarterly Portfolio of Investments Page 40 FIRST TRUST MID CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) CHEMICALS (CONTINUED) 1,177 Olin Corp. $ 26,812 825 RPM International, Inc. 17,680 154 Scotts Miracle-Gro (The) Co., Class A 7,067 456 Sensient Technologies Corp. 13,630 484 Valspar (The) Corp. 12,115 ------------- 210,578 ------------- COMMERCIAL BANKS--0.5% 222 Associated Banc-Corp. 6,407 204 Cathay General Bancorp 6,318 120 First Community Bancorp, Inc. 5,844 139 SVB Financial Group (b) 7,199 156 Webster Financial Corp. 5,653 ------------- 31,421 ------------- COMMERCIAL SERVICES & SUPPLIES--4.8% 118 Brink's (The) Co. 7,393 383 Copart, Inc. (b) 14,700 89 Corporate Executive Board (The) Co. 6,341 179 Deluxe Corp. 7,221 67 Dun & Bradstreet (The) Corp. 6,489 485 Herman Miller, Inc. 13,202 366 HNI Corp. 15,870 1,690 Kelly Services, Inc., Class A 35,540 1,596 Korn/Ferry International (b) 30,579 307 Manpower, Inc. 22,945 419 Mine Safety Appliances Co. 19,186 2,645 Navigant Consulting, Inc. (b) 34,861 403 Republic Services, Inc. 13,779 740 Rollins, Inc. 22,474 586 Stericycle, Inc. (b) 34,181 ------------- 284,761 ------------- COMMUNICATIONS EQUIPMENT--2.3% 1,343 ADC Telecommunications, Inc. (b) 25,114 286 ADTRAN, Inc. 6,884 452 Avocent Corp. (b) 12,218 393 CommScope, Inc. (b) 18,538 215 Dycom Industries, Inc. (b) 6,074 354 F5 Networks, Inc. (b) 12,755 456 Harris Corp. 27,614 923 Plantronics, Inc. 25,244 ------------- 134,441 ------------- COMPUTERS & PERIPHERALS--1.0% 805 Imation Corp. 17,935 277 NCR Corp. (b) 7,642 1,322 Western Digital Corp. (b) 34,267 ------------- 59,844 ------------- See Notes to Quarterly Portfolio of Investments Page 41 FIRST TRUST MID CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) CONSTRUCTION & ENGINEERING--1.0% 124 Granite Construction, Inc. $ 5,310 443 Jacobs Engineering Group, Inc. (b) 38,607 498 Quanta Services, Inc. (b) 16,434 ------------- 60,351 ------------- CONSTRUCTION MATERIALS--0.1% 105 Florida Rock Industries, Inc. 6,608 ------------- CONSUMER FINANCE--0.5% 1,905 AmeriCredit Corp. (b) 26,880 ------------- CONTAINERS & PACKAGING--0.6% 227 Packaging Corp. of America 7,228 873 Sonoco Products Co. 26,993 ------------- 34,221 ------------- DIVERSIFIED CONSUMER SERVICES--3.1% 828 Corinthian Colleges, Inc. (b) 13,571 712 DeVry, Inc. 38,938 216 ITT Educational Services, Inc. (b) 27,473 150 Matthews International Corp., Class A 6,836 826 Regis Corp. 27,754 551 Sotheby's 29,848 199 Strayer Education, Inc. 37,106 ------------- 181,526 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES--0.1% 1,333 Cincinnati Bell, Inc. (b) 7,225 ------------- ELECTRIC UTILITIES--2.7% 686 Great Plains Energy, Inc. 20,470 607 Hawaiian Electric Industries, Inc. 14,082 805 IDACORP, Inc. 28,086 692 Northeast Utilities 21,334 730 Pepco Holdings, Inc. 20,798 1,675 Sierra Pacific Resources 28,258 1,073 Westar Energy, Inc. 28,564 ------------- 161,592 ------------- ELECTRICAL EQUIPMENT--1.7% 775 AMETEK, Inc. 36,425 115 Hubbell, Inc., Class B 6,325 511 Roper Industries, Inc. 36,184 337 Thomas & Betts Corp. (b) 18,875 ------------- 97,809 ------------- See Notes to Quarterly Portfolio of Investments Page 42 FIRST TRUST MID CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) ELECTRONIC EQUIPMENT & INSTRUMENTS--2.6% 663 Amphenol Corp., Class A $ 29,351 620 Arrow Electronics, Inc. (b) 24,788 330 Avnet, Inc. (b) 13,768 1,007 Ingram Micro, Inc., Class A (b) 21,389 1,792 KEMET Corp. (b) 12,669 575 National Instruments Corp. 18,653 2,570 Vishay Intertechnology, Inc. (b) 32,356 ------------- 152,974 ------------- ENERGY EQUIPMENT & SERVICES--3.9% 363 Cameron International Corp. (b) 35,342 417 Exterran Holdings, Inc. (b) 35,111 581 FMC Technologies, Inc. (b) 35,226 362 Grant Prideco, Inc. (b) 17,796 1,020 Helmerich & Payne, Inc. 32,252 721 Pride International, Inc. (b) 26,605 557 Superior Energy Services, Inc. (b) 20,654 533 Tidewater, Inc. 29,139 ------------- 232,125 ------------- FOOD & STAPLES RETAILING--0.6% 397 BJ's Wholesale Club, Inc. (b) 14,244 589 Ruddick Corp. 20,026 ------------- 34,270 ------------- FOOD PRODUCTS--1.1% 552 Hormel Foods Corp. 20,137 370 J.M. Smucker (The) Co. 19,769 345 Lancaster Colony Corp. 13,859 209 Smithfield Foods, Inc. (b) 5,992 248 Tootsie Roll Industries, Inc. 6,391 ------------- 66,148 ------------- GAS UTILITIES--1.0% 499 AGL Resources, Inc. 19,725 127 Equitable Resources, Inc. 7,153 141 National Fuel Gas Co. 6,837 139 ONEOK, Inc. 6,942 583 WGL Holdings, Inc. 19,775 ------------- 60,432 ------------- HEALTH CARE EQUIPMENT & SUPPLIES--2.9% 357 Beckman Coulter, Inc. 25,283 474 DENTSPLY International, Inc. 19,662 297 Gen-Probe, Inc. (b) 20,796 239 Hillenbrand Industries, Inc. 13,198 146 Intuitive Surgical, Inc. (b) 47,722 See Notes to Quarterly Portfolio of Investments Page 43 FIRST TRUST MID CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 478 Kyphon, Inc. (b) $ 33,881 482 STERIS Corp. 13,997 ------------- 174,539 ------------- HEALTH CARE PROVIDERS & SERVICES--3.2% 253 Apria Healthcare Group, Inc. (b) 6,115 366 Health Net, Inc. (b) 19,621 433 Henry Schein, Inc. (b) 25,937 1,870 Kindred Healthcare, Inc. (b) 39,718 1,116 LifePoint Hospitals, Inc. (b) 34,060 180 Lincare Holdings, Inc. (b) 6,259 199 Omnicare, Inc. 5,871 503 Psychiatric Solutions, Inc. (b) 19,919 121 Universal Health Services, Inc., Class B 5,899 473 VCA Antech, Inc. (b) 21,782 318 WellCare Health Plans, Inc. (b) 7,692 ------------- 192,873 ------------- HEALTH CARE TECHNOLOGY--0.3% 330 Cerner Corp. (b) 19,655 ------------- HOTELS, RESTAURANTS & LEISURE--1.5% 265 Applebee's International, Inc. 6,715 1,110 Bob Evans Farms, Inc. 31,279 161 CBRL Group, Inc. 6,424 429 LIFE TIME FITNESS, Inc. (b) 26,015 525 Scientific Games Corp., Class A (b) 18,979 ------------- 89,412 ------------- HOUSEHOLD DURABLES--1.4% 499 American Greetings Corp., Class A 13,144 322 Blyth, Inc. 6,147 1,948 Furniture Brands International, Inc. 23,473 412 Mohawk Industries, Inc. (b) 35,160 209 Tupperware Brands Corp. 7,545 ------------- 85,469 ------------- HOUSEHOLD PRODUCTS--0.6% 280 Church & Dwight Co., Inc. 13,247 238 Energizer Holdings, Inc. (b) 24,823 ------------- 38,070 ------------- INDUSTRIAL CONGLOMERATES--0.7% 542 Carlisle Cos., Inc. 21,382 254 Teleflex, Inc. 18,595 ------------- 39,977 ------------- INSURANCE--4.5% 924 American Financial Group, Inc. 27,628 ------------- See Notes to Quarterly Portfolio of Investments Page 44 FIRST TRUST MID CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 455 Arthur J. Gallagher & Co. $ 12,108 1,136 Commerce Group (The), Inc. 41,454 119 Everest Re Group Ltd. 12,678 1,916 Fidelity National Financial, Inc., Class A 29,487 719 First American Corp. 21,642 447 Hanover Insurance Group, Inc. 20,593 1,002 Horace Mann Educators Corp. 20,731 488 Mercury General Corp. 25,039 1,406 Old Republic International Corp. 21,554 310 Protective Life Corp. 13,290 133 StanCorp Financial Group, Inc. 7,332 266 Unitrin, Inc. 12,318 ------------- 265,854 ------------- INTERNET & CATALOG RETAIL--0.7% 1,616 Netflix, Inc. (b) 42,776 ------------- IT SERVICES--3.2% 666 Acxiom Corp. 8,751 340 Alliance Data Systems Corp. (b) 27,336 348 Broadridge Financial Solutions, Inc. 6,960 190 Ceridian Corp. (b) 6,829 425 CheckFree Corp. (b) 20,200 153 DST Systems, Inc. (b) 12,961 538 Gartner, Inc. (b) 11,782 447 Global Payments, Inc. 21,259 3,003 MPS Group, Inc. (b) 36,667 768 NeuStar, Inc., Class A (b) 26,265 469 SRA International, Inc., Class A (b) 12,879 ------------- 191,889 ------------- LEISURE EQUIPMENT & PRODUCTS--0.2% 823 Callaway Golf Co. 14,254 ------------- LIFE SCIENCES TOOLS & SERVICES--2.4% 352 Charles River Laboratories International, Inc. (b) 20,416 254 Covance, Inc. (b) 20,955 242 Invitrogen Corp. (b) 21,991 209 Techne Corp. (b) 13,635 414 Varian, Inc. (b) 30,590 390 Ventana Medical Systems, Inc. (b) 34,320 ------------- 141,907 ------------- MACHINERY--5.3% 549 Crane Co. 26,045 631 Donaldson Company, Inc. 27,045 857 Federal Signal Corp. 11,475 440 Flowserve Corp. 34,742 111 Harsco Corp. 6,729 362 IDEX Corp. 12,822 259 Joy Global, Inc. 15,038 235 Kennametal, Inc. 21,434 See Notes to Quarterly Portfolio of Investments Page 45 FIRST TRUST MID CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 431 Lincoln Electric Holdings, Inc. $ 31,140 262 Nordson Corp. 14,017 540 Oskosh Truck Corp. 29,268 397 Pentair, Inc. 14,050 362 SPX Corp. 36,670 177 Timken (The) Co. 5,887 702 Trinity Industries, Inc. 25,370 ------------- 311,732 ------------- MARINE--0.2% 263 Alexander & Baldwin, Inc. 13,776 ------------- MEDIA--2.8% 1,517 Belo Corp., Class A 28,065 1,203 Getty Images, Inc. (b) 33,985 440 John Wiley & Sons, Inc., Class A 19,351 2,151 Lee Enterprises, Inc. 34,523 958 Media General, Inc., Class A 26,805 378 Scholastic Corp. (b) 14,961 8 Washington Post (The) Co., Class B 6,792 ------------- 164,482 ------------- METALS & MINING--3.0% 152 Carpenter Technology Corp. 22,026 381 Cleveland-Cliffs, Inc. 36,443 832 Commercial Metals Co. 26,108 592 Reliance Steel & Aluminum Co. 34,543 717 Steel Dynamics, Inc. 38,159 839 Worthington Industries, Inc. 20,975 ------------- 178,254 ------------- MULTILINE RETAIL--0.3% 487 Dollar Tree Stores, Inc. (b) 18,652 ------------- MULTI-UTILITIES--4.7% 874 Alliant Energy Corp. 34,961 642 Black Hills Corp. 28,518 730 Energy East Corp. 20,352 946 MDU Resources Group, Inc. 26,639 378 NSTAR 13,290 796 OGE Energy Corp. 30,487 1,132 PNM Resources, Inc. 28,311 1,077 Puget Energy, Inc. 30,425 680 SCANA Corp. 27,601 965 Vectren Corp. 27,059 292 Wisconsin Energy Corp. 13,981 ------------- 281,624 ------------- See Notes to Quarterly Portfolio of Investments Page 46 FIRST TRUST MID CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) OIL, GAS & CONSUMABLE FUELS--5.9% 195 Arch Coal, Inc. $ 7,995 501 Bill Barrett Corp. (b) 23,447 899 Cimarex Energy Co. 36,419 589 Denbury Resources, Inc. (b) 33,338 832 Encore Acquisition Co. (b) 30,534 612 Forest Oil Corp. (b) 29,737 633 Frontier Oil Corp. 28,985 273 Newfield Exploration Co. (b) 14,698 376 Noble Energy 28,779 436 Overseas Shipholding Group, Inc. 32,438 757 Plains Exploration & Production Co. (b) 38,570 124 Pogo Producing Co. 7,385 560 Quicksilver Resources, Inc. (b) 31,920 157 Southwestern Energy Co. (b) 8,122 ------------- 352,367 ------------- PAPER & FOREST PRODUCTS--0.4% 688 AbitibiBowater, Inc. 23,571 ------------- PERSONAL PRODUCTS--0.2% 266 Alberto-Culver Co. 6,914 162 NBTY, Inc. (b) 5,767 ------------- 12,681 ------------- PHARMACEUTICALS--0.1% 355 Par Pharmaceutical Cos., Inc. (b) 6,546 ------------- REAL ESTATE INVESTMENT TRUSTS--0.8% 449 Cousins Properties, Inc. 12,927 162 Hospitality Properties Trust 6,415 439 Potlatch Corp. 20,922 137 Rayonier, Inc. 6,616 ------------- 46,880 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT--0.2% 128 Jones Lang LaSalle, Inc. 12,202 ------------- ROAD & RAIL--2.3% 1,151 Avis Budget Group, Inc. (b) 24,021 728 Con-way, Inc. 31,020 501 J.B. Hunt Transport Services, Inc. 13,888 1,953 Werner Enterprises, Inc. 37,146 1,226 YRC Worldwide, Inc. (b) 30,135 ------------- 136,210 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--3.5% 635 Cree, Inc. (b) 17,780 1,146 Cypress Semiconductor Corp. (b) 41,886 425 Integrated Device Technology, Inc. (b) 5,708 See Notes to Quarterly Portfolio of Investments Page 47 FIRST TRUST MID CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 399 International Rectifier Corp. (b) $ 13,319 197 Intersil Corp., Class A 5,977 495 Lam Research Corp. (b) 24,849 1,829 Micrel, Inc. 16,552 4,976 RF Micro Devices, Inc. (b) 30,951 965 Semtech Corp. (b) 16,511 473 Silicon Laboratories, Inc. (b) 20,670 2,682 TriQuint Semiconductor, Inc. (b) 16,816 ------------- 211,019 ------------- SOFTWARE--3.0% 1,220 Activision, Inc. (b) 28,854 561 Advent Software, Inc. (b) 31,041 297 Cadence Design Systems, Inc. (b) 5,821 255 Jack Henry & Associates, Inc. 7,451 567 McAfee, Inc. (b) 23,445 872 Mentor Graphics Corp. (b) 13,969 1,134 Parametric Technology Corp. (b) 21,659 569 Sybase, Inc. (b) 16,273 486 Synopsys, Inc. (b) 13,734 1,119 Wind River Systems, Inc. (b) 13,999 ------------- 176,246 ------------- SPECIALTY RETAIL--4.8% 250 American Eagle Outfitters, Inc. 5,945 832 AnnTaylor Stores Corp. (b) 25,784 560 Barnes & Noble, Inc. 21,638 324 CarMax, Inc. (b) 6,762 3,986 Charming Shoppes, Inc. (b) 29,576 1,819 Coldwater Creek, Inc. (b) 16,280 1,518 Collective Brands, Inc. (b) 28,068 998 Dick's Sporting Goods, Inc. (b) 33,303 2,184 Foot Locker, Inc. 32,520 594 GameStop Corp., Class A (b) 35,177 413 PetSmart, Inc. 12,369 1,847 Rent-A-Center, Inc. (b) 29,552 202 Williams-Sonoma, Inc. 6,351 ------------- 283,325 ------------- TEXTILES, APPAREL & LUXURY GOODS--0.9% 469 Hanesbrands, Inc. (b) 14,558 125 Phillips-Van Heusen Corp. 5,975 857 Warnaco Group (The), Inc. (b) 34,871 ------------- 55,404 ------------- THRIFTS & MORTGAGE FINANCE--1.2% 465 First Niagara Financial Group, Inc. 6,138 1,116 IndyMac Bancorp, Inc. 14,977 See Notes to Quarterly Portfolio of Investments Page 48 FIRST TRUST MID CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) THRIFTS & MORTGAGE FINANCE (CONTINUED) 691 New York Community Bancorp, Inc. $ 12,860 1,024 PMI Group (The), Inc. 16,415 1,438 Radian Group, Inc. 18,103 ------------- 68,493 ------------- TOBACCO--0.3% 404 Universal Corp. 19,691 ------------- TRADING COMPANIES & DISTRIBUTORS--1.6% 435 Fastenal Co. 19,349 462 GATX Corp. 18,928 391 MSC Industrial Direct Co., Inc., Class A 19,046 1,041 United Rentals, Inc. (b) 35,591 ------------- 92,914 ------------- WIRELESS TELECOMMUNICATION SERVICES--0.1% 99 Telephone and Data Systems, Inc. 6,910 ------------- TOTAL INVESTMENTS--100.4% (Cost $6,284,951) (c) 5,981,150 NET OTHER ASSETS AND LIABILITIES--(0.4%) (23,128) ------------- NET ASSETS--100.0% $ 5,958,022 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Aggregate cost for federal income tax and financial reporting purposes. As of October 31, 2007, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $258,440 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $562,241. See Notes to Quarterly Portfolio of Investments Page 49 FIRST TRUST SMALL CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS--100.1% AEROSPACE & DEFENSE--2.9% 425 AAR Corp. (b) $ 13,621 318 Applied Signal Technology, Inc. 4,570 284 Ceradyne, Inc. (b) 19,428 408 Cubic Corp. 18,360 271 Curtiss-Wright Corp. 15,255 384 EDO Corp. 22,272 377 Esterline Technologies Corp. (b) 20,652 293 Moog, Inc., Class A (b) 13,522 403 Teledyne Technologies, Inc. (b) 21,081 210 Triumph Group, Inc. 16,720 ------------- 165,481 ------------- AIR FREIGHT & LOGISTICS--0.1% 286 Hub Group, Inc., Class A (b) 7,256 ------------- AIRLINES--0.7% 3,872 Mesa Air Group, Inc. (b) 18,005 854 SkyWest, Inc. 23,305 ------------- 41,310 ------------- AUTO COMPONENTS--0.8% 423 Drew Industries, Inc. (b) 16,742 1,829 Standard Motor Products, Inc. 15,290 793 Superior Industries International, Inc. 16,027 ------------- 48,059 ------------- AUTOMOBILES--0.1% 613 Monaco Coach Corp. 7,111 ------------- BEVERAGES--0.4% 442 Boston Beer (The) Co., Inc., Class A (b) 23,095 ------------- BIOTECHNOLOGY--0.6% 572 LifeCell Corp. (b) 25,202 296 Martek Biosciences Corp. (b) 9,043 ------------- 34,245 ------------- BUILDING PRODUCTS--1.3% 166 Apogee Enterprises, Inc. 3,906 929 Gibraltar Industries, Inc. 16,740 854 Griffon Corp. (b) 13,177 381 Lennox International, Inc. 13,602 199 NCI Building Systems, Inc. (b) 7,797 135 Simpson Manufacturing Co., Inc. 4,049 431 Universal Forest Products, Inc. 15,434 ------------- 74,705 ------------- CAPITAL MARKETS--0.9% 200 Investment Technology Group, Inc. (b) 8,380 493 optionsXpress Holdings, Inc. 14,671 See Notes to Quarterly Portfolio of Investments Page 50 FIRST TRUST SMALL CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) CAPITAL MARKETS (CONTINUED) 241 Piper Jaffray Cos., Inc. (b) $ 12,387 729 SWS Group, Inc. 13,844 368 TradeStation Group, Inc. (b) 4,490 ------------- 53,772 ------------- CHEMICALS--2.2% 436 A. Schulman, Inc. 10,294 92 Arch Chemicals, Inc. 4,197 928 Georgia Gulf Corp. 11,229 290 H.B. Fuller Co. 8,535 2,024 Material Sciences Corp. (b) 17,730 81 OM Group, Inc. (b) 4,291 456 Penford Corp. 16,083 2,877 PolyOne Corp. (b) 22,987 731 Quaker Chemical Corp. 15,775 1,904 Tronox, Inc., Class B 15,670 ------------- 126,791 ------------- COMMERCIAL BANKS--2.5% 165 Alabama National BanCorporation 13,004 154 Boston Private Financial Holdings, Inc. 4,429 442 Central Pacific Financial Corp. 9,913 122 Chittenden Corp. 4,346 661 Community Bank System, Inc. 13,821 120 East West Bancorp, Inc. 4,049 2,262 First BanCorp 19,882 389 First Commonwealth Financial Corp. 4,470 184 Frontier Financial Corp. 4,083 191 Glacier Bancorp, Inc. 3,885 277 Hanmi Financial Corp. 3,053 390 Irwin Financial Corp. 3,760 123 PrivateBancorp, Inc. 3,464 259 Prosperity Bancshares, Inc. 8,371 137 Provident Bankshares Corp. 3,380 122 Signature Bank (b) 4,166 189 South Financial Group (The), Inc. 3,905 377 Sterling Bancshares, Inc. 4,599 319 Sterling Financial Corp. 7,178 428 Susquehanna Bancshares, Inc. 8,633 215 Umpqua Holdings Corp. 3,640 163 Whitney Holding Corp. 4,183 101 Wintrust Financial Corp. 3,711 ------------- 143,925 ------------- COMMERCIAL SERVICES & SUPPLIES--5.4% 1,076 ABM Industries, Inc. 25,308 592 Administaff, Inc. 23,609 1,090 Angelica Corp. 18,835 1,290 Bowne & Co., Inc. 22,420 617 CDI Corp. 17,005 205 Consolidated Graphics, Inc. (b) 13,116 See Notes to Quarterly Portfolio of Investments Page 51 FIRST TRUST SMALL CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) COMMERCIAL SERVICES & SUPPLIES (CONTINUED) 535 G&K Services, Inc., Class A $ 21,689 848 Healthcare Services Group, Inc. 18,622 236 Heidrick & Struggles International, Inc. 10,200 714 Interface, Inc., Class A 13,659 464 Labor Ready, Inc. (b) 8,157 460 On Assignment, Inc. (b) 3,836 496 School Specialty, Inc. (b) 16,740 2,602 Spherion Corp. (b) 22,689 407 Tetra Tech, Inc. (b) 9,503 310 United Stationers, Inc. (b) 17,952 358 Viad Corp. 12,688 975 Volt Information Sciences, Inc. (b) 15,161 271 Waste Connections, Inc. (b) 9,163 191 Watson Wyatt Worldwide, Inc., Class A 9,105 ------------- 309,457 ------------- COMMUNICATIONS EQUIPMENT--2.5% 1,392 Arris Group, Inc. (b) 16,008 248 Bel Fuse, Inc., Class B 7,891 402 Black Box Corp. 16,072 327 Blue Coat Systems, Inc. (b) 13,273 748 C-COR, Inc. (b) 9,170 321 Comtech Telecommunications Corp. (b) 17,415 604 Digi International, Inc. (b) 9,688 1,215 Harmonic, Inc. (b) 14,969 424 NETGEAR, Inc. (b) 14,984 889 Network Equipment Technologies, Inc. (b) 13,246 849 Tollgrade Communications, Inc. (b) 6,826 139 ViaSat, Inc. (b) 4,240 ------------- 143,782 ------------- COMPUTERS & PERIPHERALS--2.0% 5,626 Adaptec, Inc. (b) 19,860 874 Hutchinson Technology, Inc. (b) 20,740 848 Intevac, Inc. (b) 14,899 759 Novatel Wireless, Inc. (b) 19,734 624 Stratasys, Inc. (b) 16,243 450 Synaptics, Inc. (b) 24,457 ------------- 115,933 ------------- CONSTRUCTION & ENGINEERING--0.2% 137 EMCOR Group, Inc. (b) 4,717 152 URS Corp. (b) 9,395 ------------- 14,112 ------------- CONSTRUCTION MATERIALS--0.1% 110 Texas Industries, Inc. 8,037 ------------- CONSUMER FINANCE--0.6% 343 Cash America International, Inc. 13,377 734 First Cash Financial Services, Inc. (b) 14,430 See Notes to Quarterly Portfolio of Investments Page 52 FIRST TRUST SMALL CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) CONSUMER FINANCE (CONTINUED) 130 World Acceptance Corp. (b) $ 4,194 ------------- 32,001 ------------- CONTAINERS & PACKAGING--1.0% 454 AptarGroup, Inc. 20,294 1,016 Chesapeake Corp. (b) 7,529 434 Myers Industries, Inc. 9,196 744 Rock-Tenn Co., Class A 21,695 ------------- 58,714 ------------- DISTRIBUTORS--0.6% 1,625 Building Materials Holding Corp. 12,773 617 LKQ Corp. (b) 23,791 ------------- 36,564 ------------- DIVERSIFIED CONSUMER SERVICES--0.4% 401 Bright Horizons Family Solutions, Inc. (b) 15,559 134 Coinstar, Inc. (b) 4,616 77 Pre-Paid Legal Services, Inc. (b) 4,589 ------------- 24,764 ------------- DIVERSIFIED FINANCIAL SERVICES--0.3% 153 Financial Federal Corp. 4,134 243 Portfolio Recovery Associates, Inc. (b) 10,962 ------------- 15,096 ------------- ELECTRIC UTILITIES--1.7% 288 ALLETE, Inc. 12,583 588 Central Vermont Public Service Corp. 18,686 680 Cleco Corp. 17,918 743 El Paso Electric Co. (b) 18,092 409 UIL Holdings Corp. 14,389 575 Unisource Energy Corp. 18,239 ------------- 99,907 ------------- ELECTRICAL EQUIPMENT--1.5% 294 A.O. Smith Corp. 10,993 85 Acuity Brands, Inc. 4,063 215 Baldor Electric Co. 8,669 92 Belden, Inc. 5,361 479 Brady Corp., Class A 17,675 359 Regal-Beloit Corp. 17,605 344 Woodward Governor Co. 23,048 ------------- 87,414 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--6.2% 509 Agilysys, Inc. 8,806 156 Anixter International, Inc. (b) 11,209 See Notes to Quarterly Portfolio of Investments Page 53 FIRST TRUST SMALL CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) ELECTRONIC EQUIPMENT & INSTRUMENTS (CONTINUED) 1,382 Bell Microproducts, Inc. (b) $ 8,278 360 Benchmark Electronics, Inc. (b) 7,384 651 Checkpoint Systems, Inc. (b) 19,693 134 Coherent, Inc. (b) 4,395 1,000 CTS Corp. 12,350 632 Daktronics, Inc. 18,846 179 Electro Scientific Industries, Inc. (b) 3,906 487 FARO Technologies, Inc. (b) 14,006 388 FLIR Systems, Inc. (b) 26,924 396 Gerber Scientific, Inc. (b) 4,376 833 Insight Enterprises, Inc. (b) 23,024 139 Itron, Inc. (b) 14,941 120 Littelfuse, Inc. (b) 3,820 227 LoJack Corp. (b) 3,988 1,428 Methode Electronics, Inc. 17,907 207 MTS Systems Corp. 9,209 847 Newport Corp. (b) 11,578 128 Park Electrochemical Corp. 4,009 471 Plexus Corp. (b) 12,152 313 Rogers Corp. (b) 15,346 459 ScanSource, Inc. (b) 16,955 836 SYNNEX Corp. (b) 18,701 478 Technitrol, Inc. 14,058 548 Trimble Navigation Ltd. (b) 22,852 1,486 TTM Technologies, Inc. (b) 19,065 595 X-Rite, Inc. (b) 8,276 ------------- 356,054 ------------- ENERGY EQUIPMENT & SERVICES--5.0% 281 Atwood Oceanics, Inc. (b) 23,671 492 Bristow Group, Inc. (b) 24,546 339 CARBO Ceramics, Inc. 15,228 348 Dril-Quip, Inc. (b) 18,559 560 Gulf Island Fabrication, Inc. 19,555 405 Helix Energy Solutions Group, Inc. (b) 18,731 234 Hornbeck Offshore Services, Inc. (b) 9,149 622 ION Goephysical Corp. (b) 9,423 156 Lufkin Industries, Inc. 9,276 615 Matrix Service Co. (b) 18,136 415 NATCO Group, Inc., Class A (b) 22,124 284 Oceaneering International, Inc. (b) 21,945 1,764 Pioneer Drilling Co. (b) 21,486 226 SEACOR Holdings, Inc. (b) 20,713 756 Superior Well Services, Inc. (b) 15,422 203 TETRA Technologies, Inc. (b) 3,997 291 W-H Energy Services, Inc. (b) 16,750 ------------- 288,711 ------------- FOOD & STAPLES RETAILING--1.6% 465 Casey's General Stores, Inc. 13,253 706 Great Atlantic & Pacific Tea (The) Co., Inc. (b) 22,852 173 Longs Drug Stores Corp. 9,084 324 Nash Finch Co. 12,134 428 Performance Food Group Co. (b) 11,552 572 Spartan Stores, Inc. 12,716 See Notes to Quarterly Portfolio of Investments Page 54 FIRST TRUST SMALL CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) FOOD & STAPLES RETAILING (CONTINUED) 474 United Natural Foods, Inc. (b) $ 13,718 ------------- 95,309 ------------- FOOD PRODUCTS--1.7% 375 Corn Products International, Inc. 15,953 197 Flowers Foods, Inc. 4,322 535 Hain Celestial Group (The), Inc. (b) 18,757 247 J & J Snack Foods Corp. 8,798 154 Ralcorp Holdings, Inc. (b) 8,670 516 Sanderson Farms, Inc. 17,957 794 TreeHouse Foods, Inc. (b) 22,153 ------------- 96,610 ------------- GAS UTILITIES--2.8% 759 Atmos Energy Corp. 21,290 226 Energen Corp. 14,464 533 Laclede Group (The), Inc. 18,543 173 New Jersey Resources Corp. 8,520 376 Northwest Natural Gas Co. 18,112 343 Piedmont Natural Gas Co. 8,757 371 South Jersey Industries, Inc. 13,935 691 Southern Union Co. 21,766 760 Southwest Gas Corp. 22,617 496 UGI Corp. 13,204 ------------- 161,208 ------------- HEALTH CARE EQUIPMENT & SUPPLIES--4.5% 308 ArthroCare Corp. (b) 19,971 307 CONMED Corp. (b) 8,731 127 Datascope Corp. 4,589 350 DJO, Inc. (b) 17,483 87 Haemonetics Corp. (b) 4,471 211 Hologic, Inc. (b) 14,333 196 IDEXX Laboratories, Inc. (b) 23,868 601 Immucor, Inc. (b) 19,382 265 Integra LifeSciences Holdings (b) 12,845 187 Mentor Corp. 7,961 709 Meridian Bioscience, Inc. 23,460 993 Merit Medical Systems, Inc. (b) 12,959 2,286 Osteotech, Inc. (b) 15,911 409 PolyMedica Corp. 21,661 358 Respironics, Inc. (b) 17,921 88 SurModics, Inc. (b) 4,993 257 Symmetry Medical, Inc. (b) 4,408 4,786 Theragenics Corp. (b) 22,637 ------------- 257,584 ------------- HEALTH CARE PROVIDERS & SERVICES--4.4% 559 Amedisys, Inc. (b) 23,729 623 AMERIGROUP Corp. (b) 21,805 See Notes to Quarterly Portfolio of Investments Page 55 FIRST TRUST SMALL CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 459 AMN Healthcare Services, Inc. (b) $ 8,726 186 AmSurg Corp. (b) 4,920 799 Centene Corp. (b) 18,641 492 Cross Country Healthcare, Inc. (b) 7,729 671 Gentiva Health Services, Inc. (b) 12,736 618 HealthExtras, Inc. (b) 18,009 319 Healthways, Inc. (b) 19,363 392 inVentiv Health, Inc. (b) 16,554 200 LHC Group, Inc. (b) 4,596 164 Matria Healthcare, Inc. (b) 4,212 313 MedCath Corp. (b) 8,679 263 Pediatrix Medical Group, Inc. (b) 17,227 449 PSS World Medical, Inc. (b) 9,070 1,222 RehabCare Group, Inc. (b) 25,343 565 Res-Care, Inc. (b) 13,876 407 Sierra Health Services, Inc. (b) 17,216 ------------- 252,431 ------------- HEALTH CARE TECHNOLOGY--0.9% 318 Allscripts Healthcare Solutions, Inc. (b) 8,809 753 Omnicell, Inc. (b) 19,879 859 Phase Forward, Inc. (b) 20,435 ------------- 49,123 ------------- HOTELS, RESTAURANTS & LEISURE--3.4% 245 California Pizza Kitchen, Inc. (b) 3,964 265 CKE Restaurants, Inc. 4,288 68 IHOP Corp. 4,306 266 Jack in the Box, Inc. (b) 8,344 812 Landry's Restaurants, Inc. 23,320 224 Marcus (The) Corp. 4,310 453 Monarch Casino & Resort, Inc. (b) 13,857 1,418 O'Charley's, Inc. 22,731 105 Panera Bread Co., Class A (b) 4,304 176 Papa John's International, Inc. (b) 4,101 462 Peet's Coffee & Tea, Inc. (b) 12,599 145 P.F. Chang's China Bistro, Inc. (b) 4,221 158 Pinnacle Entertainment, Inc. (b) 4,614 501 Red Robin Gourmet Burgers, Inc. (b) 20,050 603 Ruth's Chris Steak House, Inc. (b) 7,622 551 Sonic Corp. (b) 13,654 859 Steak n Shake (The) Co. (b) 13,014 735 Texas Roadhouse, Inc., Class A (b) 9,312 519 WMS Industries, Inc. (b) 17,994 ------------- 196,605 ------------- HOUSEHOLD DURABLES--1.2% 391 Champion Enterprises, Inc. (b) 4,637 131 Ethan Allen Interiors, Inc. 4,043 1,165 La-Z-Boy, Inc. 9,192 1,227 Libbey, Inc. 22,074 162 National Presto Industries, Inc. 8,900 See Notes to Quarterly Portfolio of Investments Page 56 FIRST TRUST SMALL CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) HOUSEHOLD DURABLES (CONTINUED) 529 Universal Electronics, Inc. (b) $ 19,097 ------------- 67,943 ------------- HOUSEHOLD PRODUCTS--0.3% 957 Central Garden & Pet Co., Class A (b) 7,962 252 WD-40 Co. 9,979 ------------- 17,941 ------------- INDUSTRIAL CONGLOMERATES--0.6% 624 Standex International Corp. 13,379 1,246 Tredegar Corp. 21,705 ------------- 35,084 ------------- INSURANCE--3.5% 213 Delphi Financial Group, Inc., Class A 8,254 441 LandAmerica Financial Group, Inc. 12,255 208 Philadelphia Consolidated Holding Corp. (b) 8,486 1,014 Presidential Life Corp. 17,857 319 ProAssurance Corp. (b) 17,590 379 RLI Corp. 22,047 478 Safety Insurance Group, Inc. 17,189 773 SCPIE Holdings, Inc. (b) 20,987 808 Selective Insurance Group, Inc. 19,642 627 Stewart Information Services Corp. 18,183 550 United Fire & Casualty Co. 17,622 479 Zenith National Insurance Corp. 19,246 ------------- 199,358 ------------- INTERNET & CATALOG RETAIL--0.7% 228 Blue Nile, Inc. (b) 18,021 1,534 PetMed Express, Inc. (b) 22,366 ------------- 40,387 ------------- INTERNET SOFTWARE & SERVICES--1.1% 280 Bankrate, Inc. (b) 12,866 394 j2 Global Communications, Inc. (b) 13,274 606 Knot (The), Inc. (b) 11,750 786 Perficient, Inc. (b) 14,816 573 United Online, Inc. 10,085 ------------- 62,791 ------------- IT SERVICES--1.9% 488 Authorize.Net Holdings, Inc. (b) 11,405 252 CACI International Inc., Class A (b) 13,570 2,752 CIBER, Inc. (b) 21,437 735 CyberSource Corp. (b) 12,017 419 Gevity HR, Inc. 4,182 478 ManTech International Corp., Class A (b) 19,005 150 SI International, Inc. (b) 4,232 1,273 StarTek, Inc. (b) 13,685 See Notes to Quarterly Portfolio of Investments Page 57 FIRST TRUST SMALL CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) IT SERVICES (CONTINUED) 518 Sykes Enterprises, Inc. (b) $ 9,143 ------------- 108,676 ------------- LEISURE EQUIPMENT & PRODUCTS--1.0% 1,051 Arctic Cat, Inc. 15,155 805 JAKKS Pacific, Inc. (b) 21,333 886 MarineMax, Inc. (b) 12,617 310 RC2 Corp. (b) 9,244 ------------- 58,349 ------------- LIFE SCIENCES TOOLS & SERVICES--1.0% 216 Dionex Corp. (b) 19,008 414 Kendle International, Inc. (b) 16,697 417 PAREXEL International Corp. (b) 19,182 ------------- 54,887 ------------- MACHINERY--4.5% 344 Albany International Corp., Class A 12,900 374 Astec Industries, Inc. (b) 16,950 404 Barnes Group, Inc. 14,839 171 Briggs & Stratton Corp. 3,849 264 Cascade Corp. 16,627 126 CLARCOR, Inc. 4,594 106 EnPro Industries, Inc. (b) 4,347 441 Gardner Denver, Inc. (b) 15,933 165 Kaydon Corp. 8,875 393 Lindsay Corp. 19,336 2,316 Lydall, Inc. (b) 24,919 485 Manitowoc (The) Co., Inc. 23,891 357 Mueller Industries, Inc. 12,838 300 Robbins & Myers, Inc. 21,690 219 Toro (The) Co. 12,190 253 Valmont Industries, Inc. 24,217 761 Wabash National Corp. 7,724 560 Watts Water Technologies, Inc., Class A 15,921 ------------- 261,640 ------------- MARINE--0.3% 389 Kirby Corp. (b) 17,770 ------------- METALS & MINING--1.4% 527 A.M. Castle & Co. 15,863 260 AMCOL International, Corp. 10,488 414 Brush Engineered Materials, Inc. (b) 19,996 82 Century Aluminum Co. (b) 4,772 457 Quanex Corp. 18,824 163 RTI International Metals, Inc. (b) 12,743 ------------- 82,686 ------------- See Notes to Quarterly Portfolio of Investments Page 58 FIRST TRUST SMALL CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) MULTILINE RETAIL--0.4% 1,633 Fred's, Inc. $ 17,310 478 Tuesday Morning Corp. 3,642 ------------- 20,952 ------------- MULTI-UTILITIES--0.5% 845 Avista Corp. 18,632 270 CH Energy Group, Inc. 12,620 ------------- 31,252 ------------- OIL, GAS & CONSUMABLE FUELS--1.2% 788 Massey Energy Co. 24,965 98 Penn Virginia Corp. 4,743 120 St. Mary Land & Exploration Co. 5,083 322 Stone Energy Corp. (b) 14,355 210 Swift Energy Co. (b) 9,960 211 World Fuel Services Corp. 9,345 ------------- 68,451 ------------- PAPER & FOREST PRODUCTS--1.2% 1,419 Buckeye Technologies, Inc. (b) 25,428 260 Neenah Paper, Inc. 8,840 922 Schweitzer-Mauduit International, Inc. 25,835 771 Wausau Paper Corp. 7,718 ------------- 67,821 ------------- PERSONAL PRODUCTS--0.4% 183 Chattem, Inc. (b) 13,597 295 USANA Health Sciences, Inc. (b) 12,039 ------------- 25,636 ------------- PHARMACEUTICALS--0.7% 402 Alpharma, Inc., Class A (b) 8,289 155 MGI Pharma, Inc. (b) 5,050 661 Sciele Pharma, Inc. (b) 16,816 1,449 ViroPharma, Inc. (b) 12,476 ------------- 42,631 ------------- REAL ESTATE INVESTMENT TRUSTS--0.8% 376 Colonial Properties Trust 11,780 169 Entertainment Properties Trust 9,273 363 LTC Properties, Inc. 9,198 323 Medical Properties Trust, Inc. 4,241 353 National Retail Properties, Inc. 8,949 195 Senior Housing Properties Trust 4,372 ------------- 47,813 ------------- See Notes to Quarterly Portfolio of Investments Page 59 FIRST TRUST SMALL CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) ROAD & RAIL--0.9% 395 Arkansas Best Corp. $ 10,843 668 Kansas City Southern (b) 25,844 250 Knight Transportation, Inc. 3,993 102 Landstar System, Inc. 4,293 359 Old Dominion Freight Line, Inc. (b) 8,110 ------------- 53,083 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--3.8% 854 Advanced Energy Industries, Inc. (b) 13,664 144 ATMI, Inc. (b) 4,628 2,523 Axcelis Technologies, Inc. (b) 11,833 1,509 Brooks Automation, Inc. (b) 19,587 302 Cabot Microelectronics Corp. (b) 11,983 229 Cohu, Inc. 3,756 112 Cymer, Inc. (b) 4,760 669 Diodes, Inc. (b) 22,117 329 Exar Corp. (b) 4,001 137 FEI Co. (b) 3,974 1,128 Kopin Corp. (b) 4,489 308 Microsemi Corp. (b) 8,196 1,130 MKS Instruments, Inc. (b) 22,690 733 Pericom Semiconductor Corp. (b) 10,951 1,883 Photronics, Inc. (b) 20,600 622 Rudolph Technologies, Inc. (b) 8,105 475 Skyworks Solutions, Inc. (b) 4,380 224 Standard Microsystems Corp. (b) 8,736 323 Supertex, Inc. (b) 11,802 402 Varian Semiconductor Equipment Associates, Inc. (b) 18,500 ------------- 218,752 ------------- SOFTWARE--3.2% 391 Ansoft Corp. (b) 11,761 503 ANSYS, Inc. (b) 19,522 681 Blackbaud, Inc. 18,353 812 Captaris, Inc. (b) 3,760 409 Concur Technologies, Inc. (b) 14,740 312 Epicor Software Corp. (b) 3,644 188 FactSet Research Systems, Inc. 13,258 821 Informatica Corp. (b) 14,023 624 JDA Software Group, Inc. (b) 15,575 314 Manhattan Associates, Inc. (b) 9,470 264 MICROS Systems, Inc. (b) 18,960 235 Quality Systems, Inc. 8,514 1,325 Secure Computing Corp. (b) 13,118 535 Smith Micro Software, Inc. (b) 8,244 104 SPSS, Inc. (b) 3,952 644 Tyler Technologies, Inc. (b) 10,381 ------------- 187,275 ------------- See Notes to Quarterly Portfolio of Investments Page 60 FIRST TRUST SMALL CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) SPECIALTY RETAIL--5.1% 771 Aaron Rents, Inc. $ 16,330 443 Brown Shoe Co., Inc. 9,037 545 Cabela's, Inc., Class A (b) 10,638 421 Cato (The) Corp. 8,454 587 Charlotte Russe Holding, Inc. (b) 8,506 177 Children's Place Retail Stores (The), Inc. (b) 4,531 253 Dress Barn (The), Inc. (b) 4,147 3,961 Finish Line (The) Inc., Class A 14,854 280 Genesco, Inc. (b) 12,936 384 Group 1 Automotive, Inc. 11,923 244 Gymboree (The) Corp. (b) 8,303 1,960 Haverty Furniture Cos., Inc. 16,660 347 Hibbett Sports, Inc. (b) 8,186 1,018 Jo-Ann Stores, Inc. (b) 19,617 257 Jos. A. Bank Clothiers, Inc. (b) 7,507 1,008 Lithia Motors, Inc., Class A 17,116 340 Men's Wearhouse (The), Inc. 14,368 1,532 Pep Boys-Manny, Moe & Jack (The) 22,536 308 Select Comfort Corp. (b) 3,520 898 Sonic Automotive, Inc., Class A 22,683 236 Stage Stores, Inc. 4,427 1,694 Stein Mart, Inc. 11,130 187 Tractor Supply Co. (b) 7,749 131 Tween Brands, Inc. (b) 4,022 371 Zale Corp. (b) 7,821 484 Zumiez, Inc. (b) 20,260 ------------- 297,261 ------------- TEXTILES, APPAREL & LUXURY GOODS--2.9% 320 Crocs, Inc. (b) 23,920 196 Deckers Outdoor Corp. (b) 27,398 575 Fossil, Inc. (b) 21,597 542 Iconix Brand Group, Inc. (b) 12,385 404 Movado Group, Inc. 12,156 357 Oxford Industries, Inc. 9,250 902 Quiksilver, Inc. (b) 12,177 389 Skechers U.S.A., Inc., Class A (b) 9,566 574 UniFirst Corp. 21,600 303 Volcom, Inc. (b) 8,863 314 Wolverine World Wide, Inc. 8,051 ------------- 166,963 ------------- THRIFTS & MORTGAGE FINANCE--1.7% 159 Anchor BanCorp Wisconsin, Inc. 3,911 1,106 BankUnited Financial Corp., Class A 9,545 1,320 Corus Bankshares, Inc. 14,546 372 Downey Financial Corp. 15,152 434 FirstFed Financial Corp. (b) 18,567 1,767 Flagstar Bancorp, Inc. 14,295 4,408 Fremont General Corp. (b) 12,210 906 Triad Guaranty, Inc. (b) 7,302 ------------- 95,528 ------------- See Notes to Quarterly Portfolio of Investments Page 61 FIRST TRUST SMALL CAP CORE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) TOBACCO--0.1% 657 Alliance One International, Inc. (b) $ 4,290 ------------- TRADING COMPANIES & DISTRIBUTORS--0.3% 139 Applied Industrial Technologies, Inc. 4,928 249 Kaman Corp. 9,389 93 Watsco, Inc. 3,873 ------------- 18,190 ------------- WATER UTILITIES--0.1% 110 American States Water Co. 5,000 ------------- TOTAL INVESTMENTS--100.1% (Cost $6,280,257) (c) 5,783,576 NET OTHER ASSETS AND LIABILITIES--(0.1%) (7,060) ------------- NET ASSETS--100.0% $ 5,776,516 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Aggregate cost for federal income tax and financial reporting purposes. As of October 31, 2007, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $206,618 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $703,299. See Notes to Quarterly Portfolio of Investments Page 62 FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS--100.8% AEROSPACE & DEFENSE--0.6% 386 Northrop Grumman Corp. $ 32,277 ------------- AIR FREIGHT & LOGISTICS--0.7% 374 FedEx Corp. 38,649 ------------- AIRLINES--0.3% 1,320 Southwest Airlines Co. 18,757 ------------- AUTO COMPONENTS--0.2% 249 Johnson Controls, Inc. 10,886 ------------- BEVERAGES--1.0% 809 Constellation Brands, Inc., Class A (b) 20,322 605 Molson Coors Brewing Co., Class B 34,624 ------------- 54,946 ------------- CAPITAL MARKETS--4.1% 1,176 American Capital Strategies Ltd. 51,050 319 Bear Stearns (The) Cos., Inc. 36,238 2,998 E*TRADE Financial Corp. (b) 33,398 358 Legg Mason, Inc. 29,693 488 Lehman Brothers Holdings, Inc. 30,910 423 Merrill Lynch & Co., Inc. 27,926 311 Morgan Stanley 20,918 ------------- 230,133 ------------- CHEMICALS--4.3% 100 Air Products and Chemicals, Inc. 9,785 650 Ashland, Inc. 38,168 1,167 Dow Chemical (The) Co. 52,562 395 E.I. du Pont de Nemours and Co. 19,556 587 Eastman Chemical Co. 39,088 1,863 Hercules, Inc. 35,043 259 PPG Industries, Inc. 19,358 540 Rohm and Haas Co. 28,015 ------------- 241,575 ------------- COMMERCIAL BANKS--4.8% 242 BB&T Corp. 8,947 382 Comerica, Inc. 17,832 734 First Horizon National Corp. 19,143 1,775 Huntington Bancshares, Inc. 31,790 932 KeyCorp 26,515 95 M&T Bank Corp. 9,451 224 Marshall & Ilsley Corp. 9,565 1,561 National City Corp. 37,853 443 PNC Financial Services Group, Inc. 31,967 664 Regions Financial Corp. 18,008 129 SunTrust Banks, Inc. 9,365 601 Wachovia Corp. 27,484 275 Wells Fargo & Co. 9,353 See Notes to Quarterly Portfolio of Investments Page 63 FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) COMMERCIAL BANKS (CONTINUED) 285 Zions Bancorporation $ 16,846 ------------- 274,119 ------------- COMMERCIAL SERVICES & SUPPLIES--2.4% 3,071 Allied Waste Industries, Inc. (b) 38,817 343 Avery Dennison Corp. 19,860 514 Equifax, Inc. 19,789 534 R.R. Donnelley & Sons Co. 21,515 656 Robert Half International, Inc. 19,739 518 Waste Management, Inc. 18,850 ------------- 138,570 ------------- COMMUNICATIONS EQUIPMENT--0.3% 397 Corning, Inc. 9,635 1,028 Tellabs, Inc. (b) 9,057 ------------- 18,692 ------------- COMPUTERS & PERIPHERALS--0.2% 197 Hewlett-Packard Co. 10,181 ------------- CONSTRUCTION MATERIALS--0.5% 338 Vulcan Materials Co. 28,902 ------------- CONSUMER FINANCE--0.5% 1,449 Discover Financial Services 27,966 ------------- CONTAINERS & PACKAGING--1.5% 1,345 Bemis Co., Inc. 37,875 1,532 Sealed Air Corp. 38,193 186 Temple-Inland, Inc. 9,983 ------------- 86,051 ------------- DISTRIBUTORS--0.3% 392 Genuine Parts Co. 19,235 ------------- DIVERSIFIED FINANCIAL SERVICES--1.8% 389 Bank of America Corp. 18,781 974 CIT Group, Inc. 34,324 420 Citigroup, Inc. 17,598 658 JPMorgan Chase & Co. 30,926 ------------- 101,629 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES--2.1% 463 AT&T, Inc. 19,349 1,087 CenturyTel, Inc. 47,882 682 Citizens Communications Co. 8,975 176 Embarq Corp. 9,314 681 Verizon Communications, Inc. 31,374 ------------- 116,894 ------------- See Notes to Quarterly Portfolio of Investments Page 64 FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) ELECTRIC UTILITIES--5.9% 654 American Electric Power Co., Inc. $ 31,529 2,682 Duke Energy Corp. 51,414 544 Edison International 31,634 181 Entergy Corp. 21,696 618 FirstEnergy Corp. 43,075 322 FPL Group, Inc. 22,031 1,269 Pinnacle West Capital Corp. 51,268 211 PPL Corp. 10,909 834 Progress Energy, Inc. 40,032 831 Southern Co. 30,464 ------------- 334,052 ------------- ELECTRICAL EQUIPMENT--0.3% 383 Cooper Industries Ltd., Class A 20,065 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--1.0% 1,451 Molex, Inc. 41,441 353 Tektronix, Inc. 13,361 ------------- 54,802 ------------- ENERGY EQUIPMENT & SERVICES--1.8% 895 ENSCO International, Inc. 49,664 1,373 Rowan Cos., Inc. 53,519 ------------- 103,183 ------------- FOOD & STAPLES RETAILING--1.8% 687 Kroger (The) Co. 20,191 1,180 Safeway, Inc. 40,120 1,004 SUPERVALU, Inc. 38,905 ------------- 99,216 ------------- FOOD PRODUCTS--1.8% 1,515 Archer-Daniels-Midland Co. 54,207 375 ConAgra Foods, Inc. 8,899 284 Kraft Foods, Inc., Class A 9,488 1,689 Tyson Foods, Inc., Class A 26,686 ------------- 99,280 ------------- GAS UTILITIES--0.7% 911 Nicor, Inc. 39,419 ------------- HEALTH CARE PROVIDERS & SERVICES--0.9% 216 AmerisourceBergen Corp. 10,176 167 McKesson Corp. 11,039 382 WellPoint, Inc. (b) 30,265 ------------- 51,480 ------------- See Notes to Quarterly Portfolio of Investments Page 65 FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE--1.2% 809 Carnival Corp. $ 38,815 920 Wyndham Worldwide Corp. 30,204 ------------- 69,019 ------------- HOUSEHOLD DURABLES--2.8% 240 Fortune Brands, Inc. 20,105 2,622 Leggett & Platt, Inc. 50,946 395 Snap-on, Inc. 19,714 537 Stanley Works (The) 30,904 439 Whirlpool Corp. 34,760 ------------- 156,429 ------------- HOUSEHOLD PRODUCTS--0.2% 139 Kimberly-Clark Corp. 9,854 ------------- INDUSTRIAL CONGLOMERATES--0.2% 220 Tyco International Ltd. 9,057 ------------- INSURANCE--9.5% 647 ACE Ltd. 39,215 685 Allstate (The) Corp. 35,894 563 Assurant, Inc. 32,902 937 Chubb (The) Corp. 49,989 1,160 Cincinnati Financial Corp. 46,145 981 Genworth Financial, Inc., Class A 26,781 326 Hartford Financial Services Group (The), Inc. 31,632 148 Lincoln National Corp. 9,231 810 Loews Corp. 39,763 768 Marsh & McLennan Cos., Inc. 19,884 493 MBIA, Inc. 21,219 100 Prudential Financial, Inc. 9,672 819 SAFECO Corp. 47,420 314 Torchmark Corp. 20,460 998 Travelers (The) Cos., Inc. 52,105 400 Unum Group 9,336 634 XL Capital Ltd., Class A 45,616 ------------- 537,264 ------------- IT SERVICES--2.3% 701 Computer Sciences Corp. (b) 40,931 2,894 Convergys Corp. (b) 53,047 1,793 Electronic Data Systems Corp. 38,711 ------------- 132,689 ------------- LEISURE EQUIPMENT & PRODUCTS--1.9% 2,198 Brunswick Corp. 49,037 1,081 Hasbro, Inc. 32,268 1,285 Mattel, Inc. 26,844 ------------- 108,149 ------------- See Notes to Quarterly Portfolio of Investments Page 66 FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) MACHINERY--1.4% 77 Cummins, Inc. $ 9,237 99 Eaton Corp. 9,165 179 Ingersoll-Rand Co., Ltd., Class A 9,013 343 PACCAR, Inc. 19,057 404 Parker Hannifin Corp. 32,470 ------------- 78,942 ------------- MEDIA--3.3% 620 CBS Corp., Class B 17,794 810 Comcast Corp., Class A (b) 17,051 466 E.W. Scripps (The) Co., Class A 20,975 1,150 Gannett Co., Inc. 48,772 171 Meredith Corp. 10,645 2,736 Time Warner, Inc. 49,958 568 Walt Disney (The) Co. 19,670 ------------- 184,865 ------------- METALS & MINING--2.2% 999 Alcoa, Inc. 39,550 287 Freeport-McMoRan Copper & Gold, Inc. 33,774 474 United States Steel Corp. 51,145 ------------- 124,469 ------------- MULTILINE RETAIL--3.8% 2,301 Dillard's, Inc., Class A 52,992 1,135 Family Dollar Stores, Inc. 28,772 476 J. C. Penney Co., Inc. 26,770 1,212 Macy's, Inc. 38,820 418 Nordstrom, Inc. 16,486 395 Sears Holdings Corp. (b) 53,243 ------------- 217,083 ------------- MULTI-UTILITIES--7.2% 746 Ameren Corp. 40,329 1,221 CenterPoint Energy, Inc. 20,464 581 CMS Energy Corp. 9,860 844 Consolidated Edison, Inc. 39,744 116 Dominion Resources, Inc. 10,629 1,035 DTE Energy Co. 51,336 191 Integrys Energy Group, Inc. 10,278 2,625 NiSource, Inc. 53,680 817 PG&E Corp. 39,976 111 Public Service Enterprise Group, Inc. 10,612 672 Sempra Energy 41,335 2,378 TECO Energy, Inc. 40,022 1,814 Xcel Energy, Inc. 40,906 ------------- 409,171 ------------- OFFICE ELECTRONICS--0.7% 2,258 Xerox Corp. (b) 39,380 ------------- See Notes to Quarterly Portfolio of Investments Page 67 FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) OIL, GAS & CONSUMABLE FUELS--7.6% 536 Chevron Corp. $ 49,049 571 ConocoPhillips 48,512 753 Hess Corp. 53,922 881 Marathon Oil Corp. 52,094 784 Occidental Petroleum Corp. 54,135 710 Sunoco, Inc. 52,256 1,092 Tesoro Corp. 66,100 748 Valero Energy Corp. 52,682 ------------- 428,750 ------------- PAPER & FOREST PRODUCTS--1.9% 1,401 International Paper Co. 51,781 1,021 MeadWestvaco Corp. 34,346 270 Weyerhaeuser Co. 20,496 ------------- 106,623 ------------- PHARMACEUTICALS--1.3% 4,286 King Pharmaceuticals, Inc. (b) 45,432 1,231 Pfizer, Inc. 30,295 ------------- 75,727 ------------- REAL ESTATE INVESTMENT TRUSTS--0.5% 188 Boston Properties, Inc. 20,367 148 ProLogis 10,618 ------------- 30,985 ------------- ROAD & RAIL--3.4% 371 Burlington Northern Santa Fe Corp. 32,333 914 CSX Corp. 40,920 753 Norfolk Southern Corp. 38,892 1,025 Ryder System, Inc. 49,046 267 Union Pacific Corp. 34,187 ------------- 195,378 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--2.3% 271 Analog Devices, Inc. 9,068 270 Microchip Technology, Inc. 8,956 3,520 Micron Technology, Inc. (b) 36,995 1,843 Novellus Systems, Inc. (b) 52,359 708 Teradyne, Inc. (b) 8,737 535 Texas Instruments, Inc. 17,441 ------------- 133,556 ------------- SOFTWARE--0.4% 2,441 Compuware Corp. (b) 24,410 ------------- SPECIALTY RETAIL--3.9% 2,835 AutoNation, Inc. (b) 50,151 See Notes to Quarterly Portfolio of Investments Page 68 FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) SPECIALTY RETAIL (CONTINUED) 1,635 Gap (The), Inc. $ 30,902 1,711 Limited Brands, Inc. 37,659 2,436 Office Depot, Inc. (b) 45,699 1,143 OfficeMax, Inc. 36,176 298 Sherwin-Williams (The) Co. 19,048 ------------- 219,635 ------------- TEXTILES, APPAREL & LUXURY GOODS--0.4% 242 VF Corp. 21,085 ------------- THRIFTS & MORTGAGE FINANCE--0.9% 1,555 MGIC Investment Corp. 30,104 854 Washington Mutual, Inc. 23,810 ------------- 53,914 ------------- TOBACCO--0.5% 141 Altria Group, Inc. 10,283 154 Reynolds American, Inc. 9,922 197 UST, Inc. 10,504 ------------- 30,709 ------------- WIRELESS TELECOMMUNICATION SERVICES--1.2% 433 ALLTEL Corp. 30,808 2,061 Sprint Nextel Corp. 35,243 ------------- 66,051 ------------- TOTAL INVESTMENTS--100.8% (Cost $6,263,418) (c) 5,714,153 NET OTHER ASSETS AND LIABILITIES--(0.8%) (48,149) ------------- NET ASSETS--100.0% $ 5,666,004 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Aggregate cost for federal income tax and financial reporting purposes. As of October 31, 2007, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $77,015 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $626,280. See Notes to Quarterly Portfolio of Investments Page 69 FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS--100.0% AEROSPACE & DEFENSE--5.7% 834 Boeing (The) Co. $ 82,224 829 General Dynamics Corp. 75,406 857 L-3 Communications Holdings, Inc. 93,960 646 Lockheed Martin Corp. 71,086 592 Precision Castparts Corp. 88,688 719 Rockwell Collins, Inc. 53,788 1,088 United Technologies Corp. 83,330 ------------- 548,482 ------------- AIR FREIGHT & LOGISTICS--0.9% 1,290 C.H. Robinson Worldwide, Inc. 64,397 227 United Parcel Service, Inc., Class B 17,048 ------------- 81,445 ------------- BEVERAGES--2.4% 467 Brown-Forman Corp., Class B 34,549 1,219 Coca-Cola (The) Co. 75,285 1,884 Pepsi Bottling Group (The), Inc. 81,163 478 PepsiCo, Inc. 35,238 ------------- 226,235 ------------- BIOTECHNOLOGY--2.5% 1,320 Biogen Idec, Inc. (b) 98,261 1,228 Celgene Corp. (b) 81,048 1,285 Gilead Sciences, Inc. (b) 59,354 ------------- 238,663 ------------- CAPITAL MARKETS--4.5% 832 Ameriprise Financial, Inc. 52,399 789 Charles Schwab (The) Corp. 18,336 882 Federated Investors, Inc., Class B 37,926 134 Franklin Resources, Inc. 17,377 323 Goldman Sachs Group (The), Inc. 80,079 1,857 Janus Capital Group, Inc. 64,085 793 Northern Trust Corp. 59,642 514 State Street Corp. 41,002 943 T. Rowe Price Group, Inc. 60,578 ------------- 431,424 ------------- CHEMICALS--3.7% 1,113 Ecolab, Inc. 52,500 994 International Flavors & Fragrances, Inc. 51,897 1,021 Monsanto Co. 99,680 836 Praxair, Inc. 71,461 1,437 Sigma-Aldrich Corp. 74,250 ------------- 349,788 ------------- See Notes to Quarterly Portfolio of Investments Page 70 FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) COMMERCIAL BANKS--0.6% 1,354 Commerce Bancorp, Inc. $ 55,176 ------------- COMMUNICATIONS EQUIPMENT--3.1% 2,299 Ciena Corp. (b) 110,030 2,644 Cisco Systems, Inc. (b) 87,411 1,139 JDS Uniphase Corp. (b) 17,381 1,913 Juniper Networks, Inc. (b) 68,868 403 QUALCOMM, Inc. 17,220 ------------- 300,910 ------------- COMPUTERS & PERIPHERALS--4.5% 570 Apple, Inc. (b) 108,272 1,269 Dell, Inc. (b) 38,831 4,209 EMC Corp. (b) 106,867 743 International Business Machines Corp. 86,277 1,271 SanDisk Corp. (b) 56,432 6,242 Sun Microsystems, Inc. (b) 35,642 ------------- 432,321 ------------- CONSTRUCTION & ENGINEERING--1.0% 608 Fluor Corp. 96,064 ------------- CONSUMER FINANCE--0.4% 287 American Express Co. 17,493 343 SLM Corp. (b) 16,176 ------------- 33,669 ------------- CONTAINERS & PACKAGING--0.8% 1,629 Ball Corp. 80,766 ------------- DIVERSIFIED CONSUMER SERVICES--0.5% 582 Apollo Group, Inc., Class A (b) 46,129 ------------- DIVERSIFIED FINANCIAL SERVICES--2.1% 89 CME Group, Inc. 59,296 461 IntercontinentalExchange, Inc. (b) 82,150 1,089 Leucadia National Corp. 55,169 ------------- 196,615 ------------- ELECTRIC UTILITIES--0.8% 326 Allegheny Energy, Inc. (b) 19,775 697 Exelon Corp. 57,698 ------------- 77,473 ------------- ELECTRICAL EQUIPMENT--1.3% 1,645 Emerson Electric Co. 85,984 504 Rockwell Automation, Inc. 34,716 ------------- 120,700 ------------- See Notes to Quarterly Portfolio of Investments Page 71 FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) ELECTRONIC EQUIPMENT & INSTRUMENTS--0.9% 462 Agilent Technologies, Inc. (b) $ 17,025 3,066 Jabil Circuit, Inc. 66,624 ------------- 83,649 ------------- ENERGY EQUIPMENT & SERVICES--7.2% 969 Baker Hughes, Inc. 84,032 2,280 Halliburton Co. 89,878 554 Nabors Industries Ltd. (b) 15,556 1,212 National Oilwell Varco, Inc. (b) 88,767 1,428 Noble Corp. 75,613 834 Schlumberger Ltd. 80,539 1,226 Smith International, Inc. 80,977 774 Transocean, Inc. (b) 92,391 1,303 Weatherford International Ltd. (b) 84,578 ------------- 692,331 ------------- FOOD & STAPLES RETAILING--2.9% 2,209 CVS Caremark Corp. 92,271 1,476 Sysco Corp. 50,612 1,482 Walgreen Co. 58,761 390 Wal-Mart Stores, Inc. 17,632 1,073 Whole Foods Market, Inc. 53,156 ------------- 272,432 ------------- FOOD PRODUCTS--1.2% 625 Kellogg Co. 32,994 1,363 Wm. Wrigley Jr. Co. 84,056 ------------- 117,050 ------------- GAS UTILITIES--0.2% 324 Questar Corp. 18,494 ------------- HEALTH CARE EQUIPMENT & SUPPLIES--2.9% 622 Baxter International, Inc. 37,326 427 Becton, Dickinson & Co. 35,637 397 C.R. Bard, Inc. 33,193 845 Hospira, Inc. (b) 34,924 621 Medtronic, Inc. 29,460 1,192 St. Jude Medical, Inc. (b) 48,550 764 Stryker Corp. 54,245 ------------- 273,335 ------------- HEALTH CARE PROVIDERS & SERVICES--5.6% 272 Cardinal Health, Inc. 18,504 1,314 CIGNA Corp. 68,972 1,407 Coventry Health Care, Inc. (b) 84,856 1,568 Express Scripts, Inc. (b) 98,940 1,253 Humana, Inc. (b) 93,912 448 Laboratory Corp. of America Holdings (b) 30,800 See Notes to Quarterly Portfolio of Investments Page 72 FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 816 Manor Care, Inc. $ 54,329 907 Patterson Cos., Inc. (b) 35,473 606 Quest Diagnostics, Inc. 32,227 352 UnitedHealth Group, Inc. 17,301 ------------- 535,314 ------------- HEALTH CARE TECHNOLOGY--0.1% 556 IMS Health, Inc. 14,017 ------------- HOTELS, RESTAURANTS & LEISURE--2.4% 604 Harrah's Entertainment, Inc. 53,303 395 International Game Technology 17,226 392 Marriott International, Inc. 16,115 1,286 McDonald's Corp. 76,775 1,553 Yum! Brands, Inc. 62,539 ------------- 225,958 ------------- HOUSEHOLD DURABLES--0.2% 204 Black & Decker (The) Corp. 18,342 ------------- HOUSEHOLD PRODUCTS--0.9% 491 Colgate-Palmolive Co. 37,449 747 Procter & Gamble (The) Co. 51,931 ------------- 89,380 ------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS--0.6% 850 AES (The) Corp. (b) 18,199 408 Constellation Energy Group 38,637 ------------- 56,836 ------------- INDUSTRIAL CONGLOMERATES--1.1% 561 3M Co. 48,448 1,269 General Electric Co. 52,232 ------------- 100,680 ------------- INSURANCE--2.1% 921 AFLAC, Inc. 57,820 252 American International Group, Inc. 15,906 1,004 MetLife, Inc. 69,126 833 Principal Financial Group, Inc. 56,369 ------------- 199,221 ------------- INTERNET & CATALOG RETAIL--0.9% 940 Amazon.com, Inc. (b) 83,801 ------------- INTERNET SOFTWARE & SERVICES--2.0% 1,795 eBay, Inc. (b) 64,800 123 Google, Inc., Class A (b) 86,961 See Notes to Quarterly Portfolio of Investments Page 73 FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) INTERNET SOFTWARE & SERVICES (CONTINUED) 1,038 VeriSign, Inc. (b) $ 35,385 ------------- 187,146 ------------- IT SERVICES--0.7% 427 Cognizant Technology Solutions Corp. (b) 17,703 384 Fidelity National Information Services, Inc. 17,710 415 Paychex, Inc. 17,339 812 Western Union Co. 17,897 ------------- 70,649 ------------- LIFE SCIENCES TOOLS & SERVICES--2.7% 1,011 Applera Corp. - Applied Biosystems Group 37,549 693 Millipore Corp. (b) 53,811 1,517 Thermo Fisher Scientific, Inc. (b) 89,215 1,047 Waters Corp. (b) 80,598 ------------- 261,173 ------------- MACHINERY--5.1% 893 Caterpillar, Inc. 66,627 847 Danaher Corp. 72,562 590 Deere & Co. 91,390 687 Dover Corp. 31,602 1,174 Illinois Tool Works, Inc. 67,223 1,031 ITT Corp. 68,995 438 Pall Corp. 17,551 983 Terex Corp. (b) 72,958 ------------- 488,908 ------------- MEDIA--1.3% 935 Clear Channel Communications, Inc. 35,315 2,884 DIRECTV Group (The), Inc. (b) 76,369 775 News Corp., Class A 16,794 ------------- 128,478 ------------- METALS & MINING--1.3% 637 Allegheny Technologies, Inc. 65,082 381 Newmont Mining Corp. 19,378 589 Nucor Corp. 36,530 ------------- 120,990 ------------- MULTILINE RETAIL--1.0% 1,760 Big Lots, Inc. (b) 42,205 826 Target Corp. 50,683 ------------- 92,888 ------------- OIL, GAS & CONSUMABLE FUELS--6.2% 1,629 Anadarko Petroleum Corp. 96,144 See Notes to Quarterly Portfolio of Investments Page 74 FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) OIL, GAS & CONSUMABLE FUELS (CONTINUED) 583 Apache Corp. $ 60,521 1,986 Chesapeake Energy Corp. 78,407 751 CONSOL Energy, Inc. 42,432 421 Devon Energy Corp. 39,321 567 Exxon Mobil Corp. 52,158 1,253 Murphy Oil Corp. 92,258 731 Peabody Energy Corp. 40,753 1,542 Williams (The) Cos., Inc. 56,268 566 XTO Energy, Inc. 37,571 ------------- 595,833 ------------- PERSONAL PRODUCTS--0.4% 933 Avon Products, Inc. 38,234 ------------- PHARMACEUTICALS--3.2% 815 Allergan, Inc. 55,078 1,231 Barr Pharmaceuticals, Inc. (b) 70,561 299 Eli Lilly & Co. 16,191 259 Johnson & Johnson 16,879 2,214 Schering-Plough Corp. 67,571 2,702 Watson Pharmaceuticals, Inc. (b) 82,573 ------------- 308,853 ------------- REAL ESTATE INVESTMENT TRUSTS--0.2% 377 Kimco Realty Corp. 15,653 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT--0.2% 612 CB Richard Ellis Group, Inc., Class A (b) 14,921 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--3.4% 1,454 Altera Corp. 28,527 2,537 Applied Materials, Inc. 49,269 961 Broadcom Corp., Class A (b) 31,281 1,354 Intel Corp. 36,423 942 KLA-Tencor Corp. 49,596 595 MEMC Electronic Materials, Inc. (b) 43,566 2,416 NVIDIA Corp. (b) 85,477 ------------- 324,139 ------------- SOFTWARE--3.6% 802 Adobe Systems, Inc. (b) 38,416 1,401 Autodesk, Inc. (b) 68,509 545 BMC Software, Inc. (b) 18,443 1,737 Citrix Systems, Inc. (b) 74,673 304 Electronic Arts, Inc. (b) 18,580 562 Intuit, Inc. (b) 18,080 578 Microsoft Corp. 21,276 3,235 Oracle Corp. (b) 71,720 879 Symantec Corp. (b) 16,508 ------------- 346,205 ------------- See Notes to Quarterly Portfolio of Investments Page 75 FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) SPECIALTY RETAIL--2.4% 868 Abercrombie & Fitch Co., Class A $ 68,746 761 Best Buy Co., Inc. 36,924 1,338 Tiffany & Co. 72,492 1,807 TJX (The) Cos., Inc. 52,277 ------------- 230,439 ------------- TEXTILES, APPAREL & LUXURY GOODS--0.9% 741 Coach, Inc. (b) 27,091 895 NIKE, Inc., Class B 59,303 ------------- 86,394 ------------- THRIFTS & MORTGAGE FINANCE--0.9% 289 Freddie Mac 15,094 4,553 Hudson City Bancorp, Inc. 71,300 ------------- 86,394 ------------- TRADING COMPANIES & DISTRIBUTORS--0.5% 576 W.W. Grainger, Inc. 51,794 ------------- TOTAL INVESTMENTS--100.0% (Cost $9,153,194) (c) 9,545,791 NET OTHER ASSETS AND LIABILITIES--(0.0%) (842) ------------- NET ASSETS--100.0% $ 9,544,949 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Aggregate cost for federal income tax and financial reporting purposes. As of October 31, 2007, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $580,065 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $187,468. See Notes to Quarterly Portfolio of Investments Page 76 FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS--100.8% AEROSPACE & DEFENSE--0.6% 152 AAR Corp. (b) $ 4,872 111 Applied Signal Technology, Inc. 1,595 134 Esterline Technologies Corp. (b) 7,341 190 Northrop Grumman Corp. 15,887 74 Triumph Group, Inc. 5,892 ------------- 35,587 ------------- AIR FREIGHT & LOGISTICS--0.3% 184 FedEx Corp. 19,015 ------------- AIRLINES--0.8% 630 Alaska Air Group, Inc. (b) 16,003 394 JetBlue Airways Corp. (b) 3,597 1,353 Mesa Air Group, Inc. (b) 6,291 304 SkyWest, Inc. 8,296 651 Southwest Airlines Co. 9,251 ------------- 43,438 ------------- AUTO COMPONENTS--0.5% 40 BorgWarner, Inc. 4,228 122 Johnson Controls, Inc. 5,334 409 Modine Manufacturing Co. 9,514 639 Standard Motor Products, Inc. 5,342 277 Superior Industries International, Inc. 5,598 ------------- 30,016 ------------- AUTOMOBILES--0.1% 214 Monaco Coach Corp. 2,482 ------------- BEVERAGES--0.6% 398 Constellation Brands, Inc., Class A (b) 9,998 297 Molson Coors Brewing Co., Class B 16,997 112 PepsiAmericas, Inc. 4,001 ------------- 30,996 ------------- BUILDING PRODUCTS--0.4% 58 Apogee Enterprises, Inc. 1,365 325 Gibraltar Industries, Inc. 5,856 305 Griffon Corp. (b) 4,706 136 Lennox International, Inc. 4,855 154 Universal Forest Products, Inc. 5,515 ------------- 22,297 ------------- CAPITAL MARKETS--2.2% 578 American Capital Strategies Ltd. 25,091 157 Bear Stearns (The) Cos., Inc. 17,835 1,475 E*TRADE Financial Corp. (b) 16,432 176 Legg Mason, Inc. 14,597 240 Lehman Brothers Holdings, Inc. 15,202 208 Merrill Lynch & Co., Inc. 13,732 153 Morgan Stanley 10,291 See Notes to Quarterly Portfolio of Investments Page 77 FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) CAPITAL MARKETS (CONTINUED) 86 Piper Jaffray Cos., Inc. (b) $ 4,420 259 SWS Group, Inc. 4,918 ------------- 122,518 ------------- CHEMICALS--4.3% 152 A. Schulman, Inc. 3,589 49 Air Products & Chemicals, Inc. 4,795 32 Arch Chemicals, Inc. 1,460 320 Ashland, Inc. 18,790 409 Cabot Corp. 14,319 213 Cytec Industries, Inc. 14,209 574 Dow Chemical (The) Co. 25,852 194 E.I. du Pont de Nemours and Co. 9,605 289 Eastman Chemical Co. 19,245 331 Georgia Gulf Corp. 4,005 101 H.B. Fuller Co. 2,972 916 Hercules, Inc. 17,230 112 Lubrizol (The) Corp. 7,603 722 Material Sciences Corp. (b) 6,325 650 Olin Corp. 14,807 28 OM Group, Inc. (b) 1,483 159 Penford Corp. 5,608 803 PolyOne Corp. (b) 6,416 127 PPG Industries, Inc. 9,492 255 Quaker Chemical Corp. 5,503 266 Rohm and Haas Co. 13,800 455 RPM International, Inc. 9,751 252 Sensient Technologies Corp. 7,532 665 Tronox, Inc., Class B 5,473 267 Valspar (The) Corp. 6,683 ------------- 236,547 ------------- COMMERCIAL BANKS--3.4% 123 Associated Banc-Corp. 3,550 119 BB&T Corp. 4,399 113 Cathay General Bancorp 3,500 157 Central Pacific Financial Corp. 3,522 43 Chittenden Corp. 1,532 168 Colonial BancGroup (The), Inc. 3,222 188 Comerica, Inc. 8,776 236 Community Bank System, Inc. 4,935 807 First BanCorp 7,094 136 First Commonwealth Financial Corp. 1,563 66 First Community Bancorp 3,214 361 First Horizon National Corp. 9,415 97 Hanmi Financial Corp. 1,069 873 Huntington Bancshares, Inc. 15,635 136 Irwin Financial Corp. 1,311 459 KeyCorp 13,059 47 M&T Bank Corp. 4,676 110 Marshall & Ilsley Corp. 4,697 768 National City Corp. 18,623 218 PNC Financial Services Group, Inc. 15,730 91 Prosperity Bancshares, Inc. 2,941 See Notes to Quarterly Portfolio of Investments Page 78 FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) COMMERCIAL BANKS (CONTINUED) 48 Provident Bankshares Corp. $ 1,184 327 Regions Financial Corp. 8,868 66 South Financial Group (The), Inc. 1,364 112 Sterling Financial Corp. 2,520 64 SunTrust Banks, Inc. 4,646 149 Susquehanna Bancshares, Inc. 3,005 75 Umpqua Holdings Corp. 1,270 296 Wachovia Corp. 13,536 86 Webster Financial Corp. 3,117 135 Wells Fargo & Co. 4,591 57 Whitney Holding Corp. 1,463 35 Wintrust Financial Corp. 1,286 140 Zions Bancorporation 8,275 ------------- 187,588 ------------- COMMERCIAL SERVICES & SUPPLIES--4.4% 384 ABM Industries, Inc. 9,032 1,510 Allied Waste Industries, Inc. (b) 19,085 389 Angelica Corp. 6,722 169 Avery Dennison Corp. 9,785 460 Bowne & Co., Inc. 7,995 130 Brink's (The) Co. 8,145 216 CDI Corp. 5,953 73 Consolidated Graphics, Inc. (b) 4,671 99 Deluxe Corp. 3,994 253 Equifax, Inc. 9,741 191 G&K Services, Inc., Class A 7,743 82 Heidrick & Struggles International, Inc. 3,544 268 Herman Miller, Inc. 7,295 202 HNI Corp. 8,759 917 Kelly Services, Inc., Class A 19,284 880 Korn/Ferry International (b) 16,861 162 Labor Ready, Inc. (b) 2,848 169 Manpower, Inc. 12,631 1,435 Navigant Consulting, Inc. (b) 18,913 263 R.R. Donnelley & Sons Co. 10,596 322 Robert Half International, Inc. 9,689 174 School Specialty, Inc. (b) 5,873 928 Spherion Corp. (b) 8,092 108 United Stationers, Inc. (b) 6,254 128 Viad Corp. 4,536 341 Volt Information Sciences, Inc. (b) 5,303 255 Waste Management, Inc. 9,279 67 Watson Wyatt Worldwide, Inc., Class A 3,194 ------------- 245,817 ------------- COMMUNICATIONS EQUIPMENT--1.0% 741 ADC Telecommunications, Inc. (b) 13,856 158 ADTRAN, Inc. 3,803 487 Arris Group, Inc. (b) 5,601 87 Bel Fuse, Inc., Class B 2,768 141 Black Box Corp. 5,637 261 C-COR, Inc. (b) 3,200 195 Corning, Inc. 4,733 See Notes to Quarterly Portfolio of Investments Page 79 FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) COMMUNICATIONS EQUIPMENT (CONTINUED) 211 Digi International, Inc. (b) $ 3,384 119 Dycom Industries, Inc. (b) 3,362 506 Tellabs, Inc. (b) 4,458 297 Tollgrade Communications, Inc. (b) 2,388 ------------- 53,190 ------------- COMPUTERS & PERIPHERALS--0.6% 2,006 Adaptec, Inc. (b) 7,081 97 Hewlett-Packard Co. 5,013 312 Hutchinson Technology, Inc. (b) 7,404 444 Imation Corp. 9,892 303 Intevac, Inc. (b) 5,324 ------------- 34,714 ------------- CONSTRUCTION & ENGINEERING--0.2% 48 EMCOR Group, Inc. (b) 1,653 69 Granite Construction, Inc. 2,955 81 URS Corp. (b) 5,006 ------------- 9,614 ------------- CONSTRUCTION MATERIALS--0.4% 58 Florida Rock Industries, Inc. 3,650 38 Texas Industries, Inc. 2,776 166 Vulcan Materials Co. 14,195 ------------- 20,621 ------------- CONSUMER FINANCE--0.5% 1,034 AmeriCredit Corp. (b) 14,590 713 Discover Financial Services 13,761 ------------- 28,351 ------------- CONTAINERS & PACKAGING--1.4% 662 Bemis Co., Inc. 18,642 354 Chesapeake Corp. 2,623 232 Myers Industries, Inc. 4,916 250 Packaging Corp. of America 7,960 265 Rock-Tenn Co., Class A 7,727 753 Sealed Air Corp. 18,773 361 Sonoco Products Co. 11,162 91 Temple-Inland, Inc. 4,884 ------------- 76,687 ------------- DISTRIBUTORS--0.3% 568 Building Materials Holding Corp. 4,464 193 Genuine Parts Co. 9,471 ------------- 13,935 ------------- See Notes to Quarterly Portfolio of Investments Page 80 FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) DIVERSIFIED CONSUMER SERVICES--0.3% 456 Regis Corp. $ 15,322 ------------- DIVERSIFIED FINANCIAL SERVICES--0.9% 192 Bank of America Corp. 9,270 479 CIT Group, Inc. 16,880 206 Citigroup, Inc. 8,631 54 Financial Federal Corp. 1,459 324 JPMorgan Chase & Co. 15,228 ------------- 51,468 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES--1.1% 228 AT&T, Inc. 9,528 535 CenturyTel, Inc. 23,567 736 Cincinnati Bell, Inc. (b) 3,989 336 Citizens Communications Co. 4,422 87 Embarq Corp. 4,604 335 Verizon Communications, Inc. 15,433 ------------- 61,543 ------------- ELECTRIC UTILITIES--5.2% 103 ALLETE, Inc. 4,500 322 American Electric Power Co., Inc. 15,524 210 Central Vermont Public Service Corp. 6,674 238 Cleco Corp. 6,271 1,320 Duke Energy Corp. 25,304 267 Edison International 15,526 259 El Paso Electric Co. (b) 6,307 89 Entergy Corp. 10,668 304 FirstEnergy Corp. 21,189 158 FPL Group, Inc. 10,810 378 Great Plains Energy, Inc. 11,280 335 Hawaiian Electric Industries, Inc. 7,772 444 IDACORP, Inc. 15,491 382 Northeast Utilities 11,777 403 Pepco Holdings, Inc. 11,481 624 Pinnacle West Capital Corp. 25,210 104 PPL Corp. 5,377 410 Progress Energy, Inc. 19,680 924 Sierra Pacific Resources 15,588 409 Southern Co. 14,994 146 UIL Holdings Corp. 5,136 201 Unisource Energy Corp. 6,376 591 Westar Energy, Inc. 15,732 ------------- 288,667 ------------- ELECTRICAL EQUIPMENT--0.5% 105 A.O. Smith Corp. 3,926 75 Baldor Electric Co. 3,024 64 Belden, Inc. 3,729 188 Cooper Industries Ltd., Class A 9,850 64 Hubbell, Inc., Class B 3,520 See Notes to Quarterly Portfolio of Investments Page 81 FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) ELECTRICAL EQUIPMENT (CONTINUED) 125 Regal-Beloit Corp. $ 6,130 ------------- 30,179 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--2.6% 178 Agilysys, Inc. 3,079 56 Anixter International, Inc. (b) 4,024 342 Arrow Electronics, Inc. (b) 13,673 274 Avnet, Inc. (b) 11,431 483 Bell Microproducts, Inc. (b) 2,893 126 Benchmark Electronics, Inc. (b) 2,584 228 Checkpoint Systems, Inc. (b) 6,897 47 Coherent, Inc. (b) 1,542 356 CTS Corp. 4,397 63 Electro Scientific Industries, Inc. (b) 1,375 138 Gerber Scientific, Inc. (b) 1,525 556 Ingram Micro, Inc., Class A (b) 11,809 233 Insight Enterprises, Inc. (b) 6,440 987 KEMET Corp. (b) 6,978 509 Methode Electronics, Inc. 6,383 714 Molex, Inc. 20,393 302 Newport Corp. (b) 4,128 45 Park Electrochemical Corp. 1,409 168 Plexus Corp. (b) 4,334 292 SYNNEX Corp. (b) 6,532 174 Tektronix, Inc. 6,586 1,395 Vishay Intertechnology, Inc. (b) 17,563 ------------- 145,975 ------------- ENERGY EQUIPMENT & SERVICES--2.3% 175 Bristow Group, Inc. (b) 8,731 440 ENSCO International, Inc. 24,415 553 Helmerich & Payne, Inc. 17,486 217 ION Geophysical Corp. (b) 3,288 55 Lufkin Industries, Inc. 3,270 629 Pioneer Drilling Co. (b) 7,661 398 Pride International, Inc. (b) 14,686 675 Rowan Cos., Inc. 26,311 81 SEACOR Holdings, Inc. (b) 7,424 289 Tidewater, Inc. 15,800 ------------- 129,072 ------------- FOOD & STAPLES RETAILING--1.7% 219 BJ's Wholesale Club, Inc. (b) 7,858 166 Casey's General Stores, Inc. 4,731 252 Great Atlantic & Pacific Tea (The) Co. (b) 8,157 338 Kroger (The) Co. 9,934 60 Longs Drug Stores Corp. 3,151 115 Nash Finch Co. 4,307 153 Performance Food Group Co. (b) 4,129 325 Ruddick Corp. 11,050 582 Safeway, Inc. 19,787 See Notes to Quarterly Portfolio of Investments Page 82 FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) FOOD & STAPLES RETAILING (CONTINUED) 204 Spartan Stores, Inc. $ 4,535 494 SUPERVALU, Inc. 19,143 ------------- 96,782 ------------- FOOD PRODUCTS--1.8% 746 Archer-Daniels-Midland Co. 26,693 184 ConAgra Foods, Inc. 4,366 69 Flowers Foods, Inc. 1,514 305 Hormel Foods Corp. 11,126 86 J & J Snack Foods Corp. 3,063 204 J.M. Smucker (The) Co. 10,900 140 Kraft Foods, Inc., Class A 4,677 190 Lancaster Colony Corp. 7,632 65 Lance, Inc. 1,377 115 Smithfield Foods, Inc. (b) 3,297 137 Tootsie Roll Industries, Inc. 3,530 283 TreeHouse Foods, Inc. (b) 7,896 830 Tyson Foods, Inc., Class A 13,114 ------------- 99,185 ------------- GAS UTILITIES--2.0% 275 AGL Resources, Inc. 10,871 271 Atmos Energy Corp. 7,602 81 Energen Corp. 5,184 186 Laclede Group (The), Inc. 6,471 155 National Fuel Gas Co. 7,516 60 New Jersey Resources Corp. 2,955 448 Nicor, Inc. 19,385 131 Northwest Natural Gas Co. 6,310 77 ONEOK, Inc. 3,845 120 Piedmont Natural Gas Co. 3,064 132 South Jersey Industries, Inc. 4,958 246 Southern Union Co. 7,749 271 Southwest Gas Corp. 8,065 231 UGI Corp. 6,149 322 WGL Holdings, Inc. 10,922 ------------- 111,046 ------------- HEALTH CARE EQUIPMENT & SUPPLIES--0.6% 107 CONMED Corp. (b) 3,043 44 Datascope Corp. 1,590 132 Hillenbrand Industries, Inc. 7,289 799 Osteotech, Inc. (b) 5,561 266 STERIS Corp. 7,725 90 Symmetry Medical, Inc. (b) 1,544 1,704 Theragenics Corp. (b) 8,059 ------------- 34,811 ------------- HEALTH CARE PROVIDERS & SERVICES--1.7% 106 AmerisourceBergen Corp. 4,994 24 Chemed Corp. 1,376 See Notes to Quarterly Portfolio of Investments Page 83 FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 239 Gentiva Health Services, Inc. (b) $ 4,536 1,015 Kindred Healthcare, Inc. (b) 21,558 605 LifePoint Hospitals, Inc. (b) 18,464 57 Matria Healthcare, Inc. (b) 1,464 82 McKesson Corp. 5,420 109 MedCath Corp. (b) 3,023 219 Omnicare, Inc. 6,461 436 RehabCare Group, Inc. (b) 9,043 201 Res-Care, Inc. (b) 4,937 188 WellPoint, Inc. (b) 14,894 ------------- 96,170 ------------- HOTELS, RESTAURANTS & LEISURE--1.5% 602 Bob Evans Farms, Inc. 16,964 85 California Pizza Kitchen, Inc. (b) 1,375 398 Carnival Corp. 19,096 89 CBRL Group, Inc. 3,551 93 CKE Restaurants, Inc. 1,505 290 Landry's Restaurants, Inc. 8,329 78 Marcus (The) Corp. 1,501 506 O'Charley's, Inc. 8,111 55 Pinnacle Entertainment, Inc. (b) 1,606 306 Steak n Shake (The) Co. (b) 4,636 452 Wyndham Worldwide Corp. 14,839 ------------- 81,513 ------------- HOUSEHOLD DURABLES--2.6% 275 American Greetings Corp., Class A 7,244 178 Blyth, Inc. 3,398 137 Champion Enterprises, Inc. (b) 1,625 46 Ethan Allen Interiors, Inc. 1,420 118 Fortune Brands, Inc. 9,885 1,075 Furniture Brands International, Inc. 12,954 407 La-Z-Boy, Inc. 3,211 1,289 Leggett & Platt, Inc. 25,044 437 Libbey, Inc. 7,862 224 Mohawk Industries, Inc. (b) 19,115 87 National Presto Industries, Inc. 4,780 194 Snap-on, Inc. 9,683 264 Stanley Works (The) 15,193 115 Tupperware Brands Corp. 4,152 216 Whirlpool Corp. 17,103 ------------- 142,669 ------------- HOUSEHOLD PRODUCTS--0.1% 335 Central Garden & Pet Co., Class A (b) 2,787 69 Kimberly-Clark Corp. 4,892 ------------- 7,679 ------------- INDUSTRIAL CONGLOMERATES--0.3% 222 Standex International Corp. 4,760 See Notes to Quarterly Portfolio of Investments Page 84 FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) INDUSTRIAL CONGLOMERATES (CONTINUED) 444 Tredegar Corp. $ 7,735 108 Tyco International Ltd. 4,446 ------------- 16,941 ------------- INSURANCE--8.3% 318 ACE Ltd. 19,274 337 Allstate (The) Corp. 17,659 510 American Financial Group, Inc. 15,249 277 Assurant, Inc. 16,188 461 Chubb (The) Corp. 24,593 570 Cincinnati Financial Corp. 22,674 617 Commerce Group (The), Inc. 22,514 74 Delphi Financial Group, Inc., Class A 2,868 1,040 Fidelity National Financial, Inc., Class A 16,006 397 First American Corp. 11,950 482 Genworth Financial, Inc., Class A 13,159 247 Hanover Insurance Group, Inc. 11,379 160 Hartford Financial Services Group (The), Inc. 15,525 553 Horace Mann Educators Corp. 11,442 154 LandAmerica Financial Group, Inc. 4,280 73 Lincoln National Corp. 4,553 398 Loews Corp. 19,538 378 Marsh & McLennan Cos., Inc. 9,786 242 MBIA, Inc. 10,416 270 Mercury General Corp. 13,854 776 Old Republic International Corp. 11,896 354 Presidential Life Corp. 6,234 112 ProAssurance Corp. (b) 6,176 171 Protective Life Corp. 7,331 49 Prudential Financial, Inc. 4,739 135 RLI Corp. 7,853 404 SAFECO Corp. 23,391 167 Safety Insurance Group, Inc. 6,005 270 SCPIE Holdings, Inc. (b) 7,331 282 Selective Insurance Group 6,855 224 Stewart Information Services Corp. 6,496 155 Torchmark Corp. 10,100 491 Travelers (The) Cos., Inc. 25,634 196 United Fire & Casualty Co. 6,280 146 Unitrin, Inc. 6,761 197 Unum Group 4,598 312 XL Capital Ltd., Class A 22,448 171 Zenith National Insurance Corp. 6,871 ------------- 459,906 ------------- INTERNET & CATALOG RETAIL--0.4% 877 Netflix, Inc. (b) 23,214 ------------- INTERNET SOFTWARE & SERVICES--0.1% 200 United Online, Inc. 3,520 ------------- See Notes to Quarterly Portfolio of Investments Page 85 FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) IT SERVICES--2.1% 367 Acxiom Corp. $ 4,822 170 Authorize.Net Holdings, Inc. (b) 3,973 192 Broadridge Financial Solutions, Inc. 3,840 981 CIBER, Inc. (b) 7,642 345 Computer Sciences Corp. (b) 20,145 1,423 Convergys Corp. (b) 26,084 882 Electronic Data Systems Corp. 19,042 147 Gevity HR, Inc. 1,467 34 MAXIMUS, Inc. 1,629 1,630 MPS Group, Inc. (b) 19,902 53 SI International, Inc. (b) 1,495 454 Startek, Inc. (b) 4,881 ------------- 114,922 ------------- LEISURE EQUIPMENT & PRODUCTS--1.5% 367 Arctic Cat, Inc. 5,292 1,081 Brunswick Corp. 24,117 454 Callaway Golf Co. 7,863 532 Hasbro, Inc. 15,880 287 JAKKS Pacific, Inc. (b) 7,606 316 MarineMax, Inc. (b) 4,500 632 Mattel, Inc. 13,202 34 Polaris Industries, Inc. 1,672 108 RC2 Corp. (b) 3,221 ------------- 83,353 ------------- MACHINERY--2.3% 123 Albany International Corp., Class A 4,613 144 Barnes Group, Inc. 5,289 60 Briggs & Stratton Corp. 1,351 92 Cascade Corp. 5,794 38 Cummins, Inc. 4,558 49 Eaton Corp. 4,536 473 Federal Signal Corp. 6,333 154 Gardner Denver, Inc. (b) 5,564 61 Harsco Corp. 3,698 88 Ingersoll-Rand Co., Ltd., Class A 4,431 130 Kennametal, Inc. 11,857 826 Lydall, Inc. (b) 8,888 127 Mueller Industries, Inc. 4,567 169 PACCAR, Inc. 9,390 199 Parker Hannifin Corp. 15,995 219 Pentair, Inc. 7,750 98 Timken (The) Co. 3,259 387 Trinity Industries, Inc. 13,986 266 Wabash National Corp. 2,700 196 Watts Water Technologies, Inc., Class A 5,572 ------------- 130,131 ------------- MARINE--0.1% 145 Alexander & Baldwin, Inc. 7,595 ------------- See Notes to Quarterly Portfolio of Investments Page 86 FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) MEDIA--3.1% 837 Belo Corp., Class A $ 15,485 305 CBS Corp., Class B 8,754 398 Comcast Corp., Class A (b) 8,378 229 E.W. Scripps (The) Co., Class A 10,307 565 Gannett Co., Inc. 23,962 653 Getty Images, Inc. (b) 18,447 1,167 Lee Enterprises, Inc. 18,730 527 Media General, Inc., Class A 14,745 84 Meredith Corp. 5,229 208 Scholastic Corp. (b) 8,233 1,346 Time Warner, Inc. 24,578 280 Walt Disney (The) Co. 9,696 5 Washington Post (The) Co., Class B 4,245 ------------- 170,789 ------------- METALS & MINING--1.6% 491 Alcoa, Inc. 19,439 184 A.M. Castle & Co. 5,538 91 AMCOL International, Corp. 3,671 28 Century Aluminum Co. (b) 1,629 141 Freeport-McMoRan Copper & Gold, Inc. 16,593 163 Quanex Corp. 6,714 233 United States Steel Corp. 25,141 463 Worthington Industries, Inc. 11,575 ------------- 90,300 ------------- MULTILINE RETAIL--2.1% 1,132 Dillard's, Inc., Class A 26,070 558 Family Dollar Stores, Inc. 14,145 571 Fred's, Inc. 6,053 234 J. C. Penney Co., Inc. 13,160 596 Macy's, Inc. 19,090 205 Nordstrom, Inc. 8,085 194 Sears Holdings Corp. (b) 26,149 167 Tuesday Morning Corp. 1,273 ------------- 114,025 ------------- MULTI-UTILITIES--6.7% 473 Alliant Energy Corp. 18,920 367 Ameren Corp. 19,840 295 Avista Corp. 6,505 354 Black Hills Corp. 15,725 601 CenterPoint Energy, Inc. 10,073 96 CH Energy Group, Inc. 4,487 286 CMS Energy Corp. 4,853 415 Consolidated Edison, Inc. 19,542 57 Dominion Resources, Inc. 5,223 509 DTE Energy Co. 25,246 403 Energy East Corp. 11,236 94 Integrys Energy Group, Inc. 5,058 See Notes to Quarterly Portfolio of Investments Page 87 FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) MULTI-UTILITIES (CONTINUED) 522 MDU Resources Group, Inc. $ 14,700 1,291 NiSource, Inc. 26,400 313 NSTAR 11,005 439 OGE Energy Corp. 16,814 402 PG&E Corp. 19,670 624 PNM Resources, Inc. 15,606 55 Public Service Enterprise Group, Inc. 5,258 593 Puget Energy, Inc. 16,752 375 SCANA Corp. 15,221 331 Sempra Energy 20,360 1,170 TECO Energy, Inc. 19,691 532 Vectren Corp. 14,917 242 Wisconsin Energy Corp. 11,587 893 Xcel Energy, Inc. 20,137 ------------- 374,826 ------------- OFFICE ELECTRONICS--0.4% 1,111 Xerox Corp. (b) 19,376 ------------- OIL, GAS & CONSUMABLE FUELS--5.7% 108 Arch Coal, Inc. 4,428 264 Chevron Corp. 24,159 488 Cimarex Energy Co. 19,769 281 ConocoPhillips 23,874 338 Forest Oil Corp. (b) 16,423 371 Hess Corp. 26,567 433 Marathon Oil Corp. 25,603 275 Massey Energy Co. 8,712 208 Noble Energy, Inc. 15,920 386 Occidental Petroleum Corp. 26,653 237 Overseas Shipholding Group, Inc. 17,633 411 Plains Exploration & Production Co. (b) 20,940 349 Sunoco, Inc. 25,686 537 Tesoro Corp. 32,505 368 Valero Energy Corp. 25,918 ------------- 314,790 ------------- PAPER & FOREST PRODUCTS--1.6% 380 AbitibiBowater, Inc. 13,019 506 Buckeye Technologies, Inc. (b) 9,068 689 International Paper Co. 25,464 502 MeadWestvaco Corp. 16,887 91 Neenah Paper, Inc. 3,094 329 Schweitzer-Mauduit International, Inc. 9,219 269 Wausau Paper Corp. 2,693 133 Weyerhaeuser Co. 10,096 ------------- 89,540 ------------- See Notes to Quarterly Portfolio of Investments Page 88 FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) PERSONAL PRODUCTS--0.0% 185 Mannatech, Inc. $ 1,471 ------------- PHARMACEUTICALS--0.8% 141 Alpharma, Inc., Class A (b) 2,907 2,108 King Pharmaceuticals, Inc. (b) 22,345 606 Pfizer, Inc. 14,914 516 ViroPharma, Inc. (b) 4,443 ------------- 44,609 ------------- REAL ESTATE INVESTMENT TRUSTS--1.0% 93 Boston Properties, Inc. 10,076 134 Colonial Properties Trust 4,198 248 Cousins Properties, Inc. 7,140 59 Entertainment Properties Trust 3,237 89 Hospitality Properties Trust 3,524 127 LTC Properties, Inc. 3,218 113 Medical Properties Trust, Inc. 1,484 123 National Retail Properties, Inc. 3,118 242 Potlatch Corp. 11,534 73 ProLogis 5,237 76 Rayonier, Inc. 3,670 68 Senior Housing Properties Trust 1,525 ------------- 57,961 ------------- ROAD & RAIL--3.3% 141 Arkansas Best Corp. 3,870 635 Avis Budget Group, Inc. (b) 13,252 183 Burlington Northern Santa Fe Corp. 15,948 395 Con-way, Inc. 16,831 451 CSX Corp. 20,191 276 J.B. Hunt Transport Services, Inc. 7,651 238 Kansas City Southern (b) 9,208 370 Norfolk Southern Corp. 19,111 125 Old Dominion Freight Line, Inc. (b) 2,824 504 Ryder System, Inc. 24,117 131 Union Pacific Corp. 16,773 1,060 Werner Enterprises, Inc. 20,161 665 YRC Worldwide, Inc. (b) 16,346 ------------- 186,283 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--2.8% 304 Advanced Energy Industries, Inc. (b) 4,864 133 Analog Devices, Inc. 4,450 898 Axcelis Technologies, Inc. (b) 4,212 538 Brooks Automation, Inc. (b) 6,983 80 Cohu, Inc. 1,312 115 Exar Corp. (b) 1,398 220 International Rectifier Corp. (b) 7,344 109 Intersil Corp., Class A 3,307 394 Kopin Corp. (b) 1,568 1,009 Micrel, Inc. 9,131 133 Microchip Technology, Inc. 4,412 See Notes to Quarterly Portfolio of Investments Page 89 FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 1,732 Micron Technology, Inc. (b) $ 18,203 403 MKS Instruments, Inc. (b) 8,092 906 Novellus Systems, Inc. (b) 25,739 256 Pericom Semiconductor Corp. (b) 3,825 672 Photronics, Inc. (b) 7,352 2,700 RF Micro Devices, Inc. (b) 16,794 332 Rudolph Technologies, Inc. (b) 4,326 166 Skyworks Solutions, Inc. (b) 1,531 348 Teradyne, Inc. (b) 4,294 263 Texas Instruments, Inc. 8,574 1,480 TriQuint Semiconductor, Inc. (b) 9,280 ------------- 156,991 ------------- SOFTWARE--0.6% 284 Captaris, Inc. (b) 1,315 1,201 Compuware Corp. (b) 12,010 626 Parametric Technology Corp. (b) 11,957 314 Sybase, Inc. (b) 8,980 ------------- 34,262 ------------- SPECIALTY RETAIL--5.1% 269 Aaron Rents, Inc. 5,697 459 AnnTaylor Stores Corp. (b) 14,224 1,394 AutoNation, Inc. (b) 24,661 309 Barnes & Noble, Inc. 11,940 155 Brown Shoe Co., Inc. 3,162 179 CarMax, Inc. (b) 3,736 147 Cato (The) Corp., Class A 2,952 205 Charlotte Russe Holding, Inc. (b) 2,970 2,163 Charming Shoppes, Inc. (b) 16,049 1,004 Coldwater Creek, Inc. (b) 8,986 824 Collective Brands, Inc. (b) 15,236 1,384 Finish Line (The) Inc., Class A (b) 5,190 1,185 Foot Locker, Inc. 17,645 804 Gap (The), Inc. 15,196 100 Genesco, Inc. (b) 4,620 137 Group 1 Automotive, Inc. 4,254 685 Haverty Furniture Cos., Inc. 5,823 363 Jo-Ann Stores, Inc. (b) 6,995 841 Limited Brands, Inc. 18,510 352 Lithia Motors, Inc., Class A 5,977 1,198 Office Depot, Inc. (b) 22,474 562 OfficeMax, Inc. 17,787 546 Pep Boys-Manny, Moe & Jack (The) 8,032 1,002 Rent-A-Center, Inc. (b) 16,032 147 Sherwin-Williams (The) Co. 9,396 320 Sonic Automotive, Inc., Class A 8,083 604 Stein Mart, Inc. 3,968 130 Zale Corp. (b) 2,740 ------------- 282,335 ------------- See Notes to Quarterly Portfolio of Investments Page 90 FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) TEXTILES, APPAREL & LUXURY GOODS--0.6% 144 Movado Group, Inc. $ 4,333 127 Oxford Industries, Inc. 3,291 138 Phillips-Van Heusen Corp. 6,596 136 Skechers U.S.A., Inc., Class A (b) 3,344 205 UniFirst Corp. 7,714 119 VF Corp. 10,369 ------------- 35,647 ------------- THRIFTS & MORTGAGE FINANCE--1.6% 56 Anchor BanCorp Wisconsin, Inc. 1,378 387 BankUnited Financial Corp., Class A 3,340 461 Corus Bankshares, Inc. 5,080 133 Downey Financial Corp. 5,417 257 First Niagara Financial Group, Inc. 3,392 155 FirstFed Financial Corp. (b) 6,631 618 Flagstar Bancorp, Inc. 5,000 1,541 Fremont General Corp. (b) 4,269 615 IndyMac Bancorp, Inc. 8,253 765 MGIC Investment Corp. 14,809 556 PMI Group (The), Inc. 8,913 781 Radian Group, Inc. 9,833 317 Triad Guaranty, Inc. (b) 2,555 420 Washington Mutual, Inc. 11,710 ------------- 90,580 ------------- TOBACCO--0.5% 230 Alliance One International, Inc. (b) 1,502 69 Altria Group, Inc. 5,032 76 Reynolds American, Inc. 4,897 223 Universal Corp. 10,869 97 UST, Inc. 5,172 ------------- 27,472 ------------- TRADING COMPANIES & DISTRIBUTORS--0.6% 49 Applied Industrial Technologies, Inc. 1,737 255 GATX Corp. 10,447 87 Kaman Corp. 3,281 565 United Rentals, Inc. (b) 19,318 ------------- 34,783 ------------- WATER UTILITIES--0.0% 39 American States Water Co. 1,773 ------------- WIRELESS TELECOMMUNICATION SERVICES--0.7% 213 ALLTEL Corp. 15,155 1,014 Sprint Nextel Corp. 17,340 109 Telephone and Data Systems, Inc. 7,608 ------------- 40,103 ------------- See Notes to Quarterly Portfolio of Investments Page 91 FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET DESCRIPTION VALUE ------------------------------------------- ------------- TOTAL INVESTMENTS--100.8% (Cost $6,069,177) (c) $ 5,612,992 NET OTHER ASSETS AND LIABILITIES--0.8% (43,034) ------------- NET ASSETS--100.0% $ 5,569,958 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Aggregate cost for federal income tax and financial reporting purposes. As of October 31, 2007, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $97,861 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $554,046. See Notes to Quarterly Portfolio of Investments Page 92 FIRST TRUST MULTI CAP GROWTH ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS--100.0% AEROSPACE & DEFENSE--4.3% 199 Alliant Techsystems, Inc. (b) $ 21,968 278 Boeing (The) Co. 27,408 139 Ceradyne, Inc. (b) 9,509 199 Cubic Corp. 8,955 129 Curtiss-Wright Corp. 7,261 315 DRS Technologies, Inc. 18,094 188 EDO Corp. 10,904 276 General Dynamics Corp. 25,105 286 L-3 Communications Holdings, Inc. 31,356 215 Lockheed Martin Corp. 23,659 140 Moog, Inc., Class A (b) 6,461 197 Precision Castparts Corp. 29,513 240 Rockwell Collins, Inc. 17,954 197 Teledyne Technologies, Inc. (b) 10,305 363 United Technologies Corp. 27,802 ------------- 276,254 ------------- AIR FREIGHT & LOGISTICS--0.7% 430 C.H. Robinson Worldwide, Inc. 21,465 276 Expeditors International of Washington, Inc. 13,979 140 Hub Group, Inc., Class A (b) 3,552 76 United Parcel Service, Inc., Class B 5,708 ------------- 44,704 ------------- AIRLINES--0.1% 883 AirTran Holdings, Inc. (b) 9,192 ------------- AUTO COMPONENTS--0.4% 207 Drew Industries, Inc. (b) 8,193 811 Gentex Corp. 16,853 ------------- 25,046 ------------- AUTOMOBILES--0.1% 97 Thor Industries, Inc. 4,656 ------------- BEVERAGES--1.8% 216 Boston Beer (The) Co., Inc., Class A (b) 11,286 156 Brown-Forman Corp., Class B 11,541 406 Coca-Cola (The) Co. 25,075 383 Hansen Natural Corp. (b) 26,044 628 Pepsi Bottling Group (The), Inc. 27,054 159 PepsiCo, Inc. 11,721 ------------- 112,721 ------------- BIOTECHNOLOGY--1.9% 440 Biogen Idec, Inc. (b) 32,753 409 Celgene Corp. (b) 26,994 59 Cephalon, Inc. (b) 4,351 See Notes to Quarterly Portfolio of Investments Page 93 FIRST TRUST MULTI CAP GROWTH ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) BIOTECHNOLOGY (CONTINUED) 428 Gilead Sciences, Inc. (b) $ 19,769 280 LifeCell Corp. (b) 12,337 145 Martek Biosciences Corp. (b) 4,430 201 PDL BioPharma, Inc. (b) 4,261 453 Vertex Pharmaceuticals, Inc. (b) 14,650 ------------- 119,545 ------------- BUILDING PRODUCTS--0.1% 97 NCI Building Systems, Inc. (b) 3,801 64 Simpson Manufacturing Co., Inc. 1,919 ------------- 5,720 ------------- CAPITAL MARKETS--3.4% 277 Ameriprise Financial, Inc. 17,445 263 Charles Schwab (The) Corp. 6,112 218 Eaton Vance Corp. 10,907 294 Federated Investors, Inc., Class B 12,642 45 Franklin Resources, Inc. 5,836 108 Goldman Sachs Group (The), Inc. 26,775 98 Investment Technology Group, Inc. (b) 4,106 619 Janus Capital Group, Inc. 21,362 312 Jefferies Group, Inc. 8,340 264 Northern Trust Corp. 19,855 140 Nuveen Investments, Inc., Class A 9,072 235 optionsXpress Holdings, Inc. 6,994 529 Raymond James Financial, Inc. 19,705 171 State Street Corp. 13,641 314 T. Rowe Price Group, Inc. 20,171 176 TradeStation Group, Inc. (b) 2,147 322 Waddell & Reed Financial, Inc., Class A 10,697 ------------- 215,807 ------------- CHEMICALS--2.6% 421 Airgas, Inc. 21,248 295 Albemarle Corp. 14,089 371 Ecolab, Inc. 17,500 331 International Flavors & Fragrances, Inc. 17,282 130 Minerals Technologies, Inc. 9,129 340 Monsanto Co. 33,193 279 Praxair, Inc. 23,849 102 Scotts Miracle-Gro (The) Co., Class A 4,681 479 Sigma-Aldrich Corp. 24,750 ------------- 165,721 ------------- COMMERCIAL BANKS--0.6% 54 Alabama National BanCorp. 4,256 74 Boston Private Financial Holdings, Inc. 2,128 451 Commerce Bancorp, Inc. 18,378 88 Frontier Financial Corp. 1,953 91 Glacier Bancorp, Inc. 1,851 59 PrivateBancorp, Inc. 1,661 See Notes to Quarterly Portfolio of Investments Page 94 FIRST TRUST MULTI CAP GROWTH ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) COMMERCIAL BANKS (CONTINUED) 58 Signature Bank (b) $ 1,981 92 SVB Financial Group (b) 4,765 ------------- 36,973 ------------- COMMERCIAL SERVICES & SUPPLIES--1.7% 289 Administaff, Inc. 11,525 253 Copart, Inc. (b) 9,710 59 Corporate Executive Board (The) Co. 4,204 44 Dun & Bradstreet (The) Corp. 4,261 415 Healthcare Services Group, Inc. 9,113 341 Interface, Inc., Class A 6,523 185 Mine Safety Appliances Co. 8,471 219 On Assignment, Inc. (b) 1,826 266 Republic Services, Inc. 9,095 489 Rollins, Inc. 14,851 380 Stericycle, Inc. (b) 22,166 199 Tetra Tech, Inc. (b) 4,647 132 Waste Connections, Inc. (b) 4,463 ------------- 110,855 ------------- COMMUNICATIONS EQUIPMENT--3.2% 299 Avocent Corp. (b) 8,082 156 Blue Coat Systems, Inc. (b) 6,332 766 Ciena Corp. (b) 36,660 881 Cisco Systems, Inc. (b) 29,125 346 CommScope, Inc. (b) 16,321 157 Comtech Telecommunications Corp. (b) 8,517 234 F5 Networks, Inc. (b) 8,431 580 Harmonic, Inc. (b) 7,146 301 Harris Corp. 18,229 380 JDS Uniphase Corp. (b) 5,799 638 Juniper Networks, Inc. (b) 22,968 202 NETGEAR, Inc. (b) 7,139 424 Network Equipment Technologies, Inc. (b) 6,318 609 Plantronics, Inc. 16,656 134 QUALCOMM, Inc. 5,726 66 ViaSat, Inc. (b) 2,013 ------------- 205,462 ------------- COMPUTERS & PERIPHERALS--3.2% 190 Apple, Inc. (b) 36,090 423 Dell, Inc. (b) 12,944 1,403 EMC Corp. (b) 35,622 248 International Business Machines Corp. 28,798 183 NCR Corp. (b) 5,049 371 Novatel Wireless, Inc. (b) 9,646 424 SanDisk Corp. (b) 18,826 305 Stratasys, Inc. (b) 7,939 2,081 Sun Microsystems, Inc. (b) 11,883 220 Synaptics, Inc. (b) 11,957 858 Western Digital Corp. (b) 22,239 ------------- 200,993 ------------- See Notes to Quarterly Portfolio of Investments Page 95 FIRST TRUST MULTI CAP GROWTH ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) CONSTRUCTION & ENGINEERING--1.1% 203 Fluor Corp. $ 32,074 288 Jacobs Engineering Group, Inc. (b) 25,099 329 Quanta Services, Inc. (b) 10,857 ------------- 68,030 ------------- CONSUMER FINANCE--0.4% 96 American Express Co. 5,851 112 Cash America International, Inc. 4,368 359 First Cash Financial Services, Inc. (b) 7,058 114 SLM Corp. (b) 5,376 ------------- 22,653 ------------- CONTAINERS & PACKAGING--0.6% 222 AptarGroup, Inc. 9,923 543 Ball Corp. 26,922 ------------- 36,845 ------------- DISTRIBUTORS--0.2% 302 LKQ Corp. (b) 11,645 ------------- DIVERSIFIED CONSUMER SERVICES--2.0% 194 Apollo Group, Inc., Class A (b) 15,376 196 Bright Horizons Family Solutions, Inc. (b) 7,605 64 Coinstar, Inc. (b) 2,205 546 Corinthian Colleges, Inc. (b) 8,949 470 DeVry, Inc. 25,705 143 ITT Educational Services, Inc. (b) 18,188 99 Matthews International Corp., Class A 4,511 37 Pre-Paid Legal Services, Inc. (b) 2,205 364 Sotheby's 19,718 129 Strayer Education, Inc. 24,053 ------------- 128,515 ------------- DIVERSIFIED FINANCIAL SERVICES--1.1% 30 CME Group, Inc. 19,988 154 IntercontinentalExchange, Inc. (b) 27,442 363 Leucadia National Corp. 18,390 116 Portfolio Recovery Associates, Inc. (b) 5,233 ------------- 71,053 ------------- ELECTRIC UTILITIES--0.4% 109 Allegheny Energy, Inc. (b) 6,612 232 Exelon Corp. 19,205 ------------- 25,817 ------------- See Notes to Quarterly Portfolio of Investments Page 96 FIRST TRUST MULTI CAP GROWTH ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) ELECTRICAL EQUIPMENT--1.9% 41 Acuity Brands, Inc. $ 1,960 503 AMETEK, Inc. 23,641 234 Brady Corp., Class A 8,635 548 Emerson Electric Co. 28,644 168 Rockwell Automation, Inc. 11,572 332 Roper Industries, Inc. 23,509 222 Thomas & Betts Corp. (b) 12,434 168 Woodward Governor Co. 11,256 ------------- 121,651 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--2.4% 154 Agilent Technologies, Inc. (b) 5,675 437 Amphenol Corp., Class A 19,346 386 Daktronics, Inc. 11,511 238 FARO Technologies, Inc. (b) 6,845 190 FLIR Systems, Inc. (b) 13,184 66 Itron, Inc. (b) 7,094 1,022 Jabil Circuit, Inc. 22,208 57 Littelfuse, Inc. (b) 1,814 108 LoJack Corp. (b) 1,898 101 MTS Systems Corp. 4,493 380 National Instruments Corp. 12,327 149 Rogers Corp. (b) 7,305 219 ScanSource, Inc. (b) 8,090 228 Technitrol, Inc. 6,705 268 Trimble Navigation Ltd. (b) 11,176 726 TTM Technologies, Inc. (b) 9,315 291 X-Rite, Inc. (b) 4,048 ------------- 153,034 ------------- ENERGY EQUIPMENT & SERVICES--6.6% 137 Atwood Oceanics, Inc. (b) 11,541 323 Baker Hughes, Inc. 28,011 235 Cameron International Corp. (b) 22,880 166 CARBO Ceramics, Inc. 7,457 170 Dril-Quip, Inc. (b) 9,066 271 Exterran Holdings, Inc. (b) 22,818 377 FMC Technologies, Inc. (b) 22,858 239 Grant Prideco, Inc. (b) 11,749 274 Gulf Island Fabrication, Inc. 9,568 760 Halliburton Co. 29,958 198 Helix Energy Solutions Group, Inc. (b) 9,158 114 Hornbeck Offshore Services, Inc. (b) 4,457 294 Matrix Service Co. (b) 8,670 185 Nabors Industries Ltd. (b) 5,195 203 NATCO Group, Inc., Class A (b) 10,822 404 National Oilwell Varco, Inc. (b) 29,589 476 Noble Corp. 25,204 139 Oceaneering International, Inc. (b) 10,741 278 Schlumberger Ltd. 26,846 409 Smith International, Inc. 27,014 245 Superior Energy Services, Inc. (b) 9,085 370 Superior Well Services, Inc. (b) 7,548 97 TETRA Technologies, Inc. (b) 1,910 See Notes to Quarterly Portfolio of Investments Page 97 FIRST TRUST MULTI CAP GROWTH ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) ENERGY EQUIPMENT & SERVICES (CONTINUED) 258 Transocean, Inc. (b) $ 30,796 434 Weatherford International Ltd. (b) 28,171 142 W-H Energy Services, Inc. (b) 8,174 ------------- 419,286 ------------- FOOD & STAPLES RETAILING--1.5% 736 CVS Caremark Corp. 30,744 492 Sysco Corp. 16,871 226 United Natural Foods, Inc. (b) 6,540 494 Walgreen Co. 19,587 130 Wal-Mart Stores, Inc. 5,877 358 Whole Foods Market, Inc. 17,735 ------------- 97,354 ------------- FOOD PRODUCTS--1.1% 183 Corn Products International, Inc. 7,785 262 Hain Celestial Group (The), Inc. (b) 9,186 208 Kellogg Co. 10,980 75 Ralcorp Holdings, Inc. (b) 4,223 252 Sanderson Farms, Inc. 8,770 454 Wm. Wrigley Jr. Co. 27,997 ------------- 68,941 ------------- GAS UTILITIES--0.2% 84 Equitable Resources, Inc. 4,731 108 Questar Corp. 6,165 ------------- 10,896 ------------- HEALTH CARE EQUIPMENT & SUPPLIES--4.4% 150 ArthroCare Corp. (b) 9,726 207 Baxter International, Inc. 12,422 236 Beckman Coulter, Inc. 16,714 142 Becton, Dickinson & Co. 11,851 132 C.R. Bard, Inc. 11,037 313 DENTSPLY International, Inc. 12,983 171 DJO, Inc. (b) 8,541 196 Gen-Probe, Inc. (b) 13,724 41 Haemonetics Corp. (b) 2,107 101 Hologic, Inc. (b) 6,861 282 Hospira, Inc. (b) 11,655 96 IDEXX Laboratories, Inc. (b) 11,691 294 Immucor, Inc. (b) 9,482 86 Integra LifeSciences Holdings (b) 4,168 94 Intuitive Surgical, Inc. (b) 30,725 310 Kyphon, Inc. (b) 21,973 207 Medtronic, Inc. 9,820 91 Mentor Corp. 3,874 346 Meridian Bioscience, Inc. 11,449 474 Merit Medical Systems, Inc. (b) 6,186 200 PolyMedica Corp. 10,592 175 Respironics, Inc. (b) 8,761 See Notes to Quarterly Portfolio of Investments Page 98 FIRST TRUST MULTI CAP GROWTH ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 397 St. Jude Medical, Inc. (b) $ 16,170 255 Stryker Corp. 18,105 42 SurModics, Inc. (b) 2,383 ------------- 283,000 ------------- HEALTH CARE PROVIDERS & SERVICES--5.4% 273 Amedisys, Inc. (b) 11,589 305 AMERIGROUP Corp. (b) 10,675 224 AMN Healthcare Services, Inc. (b) 4,258 89 AmSurg Corp. (b) 2,354 167 Apria Healthcare Group, Inc. (b) 4,036 91 Cardinal Health, Inc. 6,191 391 Centene Corp. (b) 9,122 438 CIGNA Corp. 22,991 469 Coventry Health Care, Inc. (b) 28,285 117 Cross Country Healthcare, Inc. (b) 1,838 523 Express Scripts, Inc. (b) 33,002 241 Health Net, Inc. (b) 12,920 302 HealthExtras, Inc. (b) 8,800 156 Healthways, Inc. (b) 9,469 286 Henry Schein, Inc. (b) 17,131 418 Humana, Inc. (b) 31,329 192 inVentiv Health, Inc. (b) 8,108 149 Laboratory Corp. of America Holdings (b) 10,244 95 LHC Group, Inc. (b) 2,183 119 Lincare Holdings, Inc. (b) 4,138 272 Manor Care, Inc. 18,110 302 Patterson Cos., Inc. (b) 11,811 128 Pediatrix Medical Group, Inc. (b) 8,384 220 PSS World Medical, Inc. (b) 4,444 332 Psychiatric Solutions, Inc. (b) 13,147 202 Quest Diagnostics, Inc. 10,742 199 Sierra Health Services, Inc. (b) 8,418 117 UnitedHealth Group, Inc. 5,751 80 Universal Health Services, Inc., Class B 3,900 312 VCA Antech, Inc. (b) 14,368 206 WellCare Health Plans, Inc. (b) 4,983 ------------- 342,721 ------------- HEALTH CARE TECHNOLOGY--0.6% 155 Allscripts Healthcare Solutions, Inc. (b) 4,294 218 Cerner Corp. (b) 12,983 185 IMS Health, Inc. 4,664 368 Omnicell, Inc. (b) 9,715 420 Phase Forward, Inc. (b) 9,992 ------------- 41,648 ------------- HOTELS, RESTAURANTS & LEISURE--2.6% 175 Applebee's International, Inc. 4,435 201 Harrah's Entertainment, Inc. 17,738 32 IHOP Corp. 2,027 132 International Game Technology 5,757 See Notes to Quarterly Portfolio of Investments Page 99 FIRST TRUST MULTI CAP GROWTH ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE (CONTINUED) 130 Jack in the Box, Inc. (b) $ 4,078 283 LIFE TIME FITNESS, Inc. (b) 17,161 131 Marriott International, Inc. 5,385 429 McDonald's Corp. 25,611 216 Monarch Casino & Resort, Inc. (b) 6,607 50 Panera Bread Co., Class A (b) 2,050 84 Papa John's International, Inc. (b) 1,957 220 Peet's Coffee & Tea, Inc. (b) 5,999 245 Red Robin Gourmet Burgers, Inc. (b) 9,805 295 Ruth's Chris Steak House, Inc. (b) 3,729 347 Scientific Games Corp., Class A (b) 12,544 263 Sonic Corp. (b) 6,517 175 Texas Roadhouse, Inc. (b) 2,217 254 WMS Industries, Inc. (b) 8,806 518 Yum! Brands, Inc. 20,860 ------------- 163,283 ------------- HOUSEHOLD DURABLES--0.2% 68 Black & Decker (The) Corp. 6,114 189 Universal Electronics, Inc. (b) 6,823 ------------- 12,937 ------------- HOUSEHOLD PRODUCTS--0.9% 185 Church & Dwight Co., Inc. 8,752 164 Colgate-Palmolive Co. 12,508 157 Energizer Holdings, Inc. (b) 16,375 249 Procter & Gamble (The) Co. 17,311 123 WD-40 Co. 4,871 ------------- 59,817 ------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS--0.3% 283 AES (The) Corp. (b) 6,059 136 Constellation Energy Group 12,879 ------------- 18,938 ------------- INDUSTRIAL CONGLOMERATES--0.9% 187 3M Co. 16,149 358 Carlisle Cos., Inc. 14,123 423 General Electric Co. 17,411 167 Teleflex, Inc. 12,226 ------------- 59,909 ------------- INSURANCE--1.4% 307 AFLAC, Inc. 19,273 84 American International Group, Inc. 5,302 300 Arthur J. Gallagher & Co. 7,983 79 Everest Re Group Ltd. 8,417 335 MetLife, Inc. 23,065 102 Philadelphia Consolidated Holding Co. (b) 4,162 277 Principal Financial Group, Inc. 18,745 See Notes to Quarterly Portfolio of Investments Page 100 FIRST TRUST MULTI CAP GROWTH ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 88 StanCorp Financial Group, Inc. $ 4,851 ------------- 91,798 ------------- INTERNET & CATALOG RETAIL--0.7% 313 Amazon.Com, Inc. (b) 27,904 112 Blue Nile, Inc. (b) 8,852 750 PetMed Express, Inc. (b) 10,935 ------------- 47,691 ------------- INTERNET SOFTWARE & SERVICES--1.4% 133 Bankrate, Inc. (b) 6,111 598 eBay, Inc. (b) 21,588 41 Google, Inc., Class A (b) 28,987 188 j2 Global Communications, Inc. (b) 6,334 289 Knot (The), Inc. (b) 5,604 384 Perficient, Inc. (b) 7,238 346 VeriSign, Inc. (b) 11,795 ------------- 87,657 ------------- IT SERVICES--2.2% 225 Alliance Data Systems Corp. (b) 18,090 120 CACI International Inc., Class A (b) 6,462 125 Ceridian Corp. (b) 4,493 280 CheckFree Corp. (b) 13,308 142 Cognizant Technology Solutions Corp., Class A (b) 5,887 359 CyberSource Corp. (b) 5,870 101 DST Systems, Inc. (b) 8,556 128 Fidelity National Information Services, Inc. 5,903 178 Gartner, Inc. (b) 3,898 295 Global Payments, Inc. 14,030 234 ManTech International Corp., Class A (b) 9,304 507 NeuStar, Inc., Class A (b) 17,339 138 Paychex, Inc. 5,766 310 SRA International, Inc., Class A (b) 8,513 253 Sykes Enterprises, Inc. (b) 4,465 271 Western Union Co. 5,973 ------------- 137,857 ------------- LIFE SCIENCES TOOLS & SERVICES--3.2% 337 Applera Corp. - Applied Biosystems Group 12,516 232 Charles River Laboratories International, Inc. (b) 13,456 167 Covance, Inc. (b) 13,778 106 Dionex Corp. (b) 9,328 160 Invitrogen Corp. (b) 14,539 202 Kendle International, Inc. (b) 8,147 231 Millipore Corp. (b) 17,937 204 PAREXEL International Corp. (b) 9,384 138 Techne Corp. (b) 9,003 506 Thermo Fisher Scientific, Inc. (b) 29,758 273 Varian, Inc. (b) 20,172 253 Ventana Medical Systems, Inc. (b) 22,264 See Notes to Quarterly Portfolio of Investments Page 101 FIRST TRUST MULTI CAP GROWTH ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) LIFE SCIENCES TOOLS & SERVICES (CONTINUED) 349 Waters Corp. (b) $ 26,866 ------------- 207,148 ------------- MACHINERY--5.8% 183 Astec Industries, Inc. (b) 8,294 298 Caterpillar, Inc. 22,234 60 CLARCOR, Inc. 2,188 362 Crane Co. 17,173 282 Danaher Corp. 24,159 197 Deere & Co. 30,514 416 Donaldson Co, Inc. 17,830 229 Dover Corp. 10,534 50 EnPro Industries, Inc. (b) 2,051 285 Flowserve Corp. 22,504 239 IDEX Corp. 8,465 391 Illinois Tool Works, Inc. 22,389 344 ITT Corp. 23,020 85 Joy Global, Inc. 4,935 81 Kaydon Corp. 4,357 280 Lincoln Electric Holdings, Inc. 20,230 192 Lindsay Corp. 9,446 237 Manitowoc (The) Co., Inc. 11,675 173 Nordson Corp. 9,256 351 Oshkosh Truck Corp. 19,024 146 Pall Corp. 5,850 147 Robbins & Myers, Inc. 10,628 235 SPX Corp. 23,806 328 Terex Corp. (b) 24,343 105 Toro (The) Co. 5,844 124 Valmont Industries, Inc. 11,869 ------------- 372,618 ------------- MARINE--0.1% 190 Kirby Corp. (b) 8,679 ------------- MEDIA--0.9% 312 Clear Channel Communications, Inc. 11,784 961 DIRECTV (The) Group, Inc. (b) 25,448 290 John Wiley & Sons, Inc., Class A 12,754 258 News Corp., Class A 5,591 ------------- 55,577 ------------- METALS & MINING--2.5% 212 Allegheny Technologies, Inc. 21,660 202 Brush Engineered Materials, Inc. (b) 9,757 100 Carpenter Technology Corp. 14,491 247 Cleveland-Cliffs, Inc. 23,626 549 Commercial Metals Co. 17,228 127 Newmont Mining Corp. 6,459 196 Nucor Corp. 12,156 384 Reliance Steel & Aluminum Co. 22,406 78 RTI International Metals, Inc. (b) 6,098 See Notes to Quarterly Portfolio of Investments Page 102 FIRST TRUST MULTI CAP GROWTH ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) METALS & MINING (CONTINUED) 465 Steel Dynamics, Inc. $ 24,747 ------------- 158,628 ------------- MULTILINE RETAIL--0.7% 587 Big Lots, Inc. (b) 14,076 322 Dollar Tree Stores, Inc. (b) 12,333 275 Target Corp. 16,874 ------------- 43,283 ------------- OIL, GAS & CONSUMABLE FUELS--5.3% 543 Anadarko Petroleum Corp. 32,048 194 Apache Corp. 20,139 331 Bill Barrett Corp. (b) 15,491 662 Chesapeake Energy Corp. 26,136 250 CONSOL Energy, Inc. 14,125 389 Denbury Resources, Inc. (b) 22,017 140 Devon Energy Corp. 13,076 549 Encore Acquisition Co. (b) 20,148 189 Exxon Mobil Corp. 17,386 418 Frontier Oil Corp. 19,140 418 Murphy Oil Corp. 30,777 181 Newfield Exploration Co. (b) 9,745 244 Peabody Energy Corp. 13,603 47 Penn Virginia Corp. 2,275 82 Pogo Producing Co. 4,884 370 Quicksilver Resources, Inc. (b) 21,090 104 Southwestern Energy Co. (b) 5,380 57 St. Mary Land & Exploration Co. 2,415 154 Stone Energy Corp. (b) 6,865 103 Swift Energy Co. (b) 4,885 514 Williams (The) Cos., Inc. 18,756 103 World Fuel Services Corp. 4,562 189 XTO Energy, Inc. 12,546 ------------- 337,489 ------------- PERSONAL PRODUCTS--0.5% 175 Alberto-Culver Co. 4,548 311 Avon Products, Inc. 12,746 87 Chattem, Inc. (b) 6,464 107 NBTY, Inc. (b) 3,809 141 USANA Health Sciences, Inc. (b) 5,754 ------------- 33,321 ------------- PHARMACEUTICALS--1.8% 272 Allergan, Inc. 18,382 410 Barr Pharmaceuticals, Inc. (b) 23,501 100 Eli Lilly & Co. 5,415 86 Johnson & Johnson 5,605 74 MGI Pharma, Inc. (b) 2,411 See Notes to Quarterly Portfolio of Investments Page 103 FIRST TRUST MULTI CAP GROWTH ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) PHARMACEUTICALS (CONTINUED) 234 Par Pharmaceutical Cos., Inc. (b) $ 4,315 738 Schering-Plough Corp. 22,524 236 Sciele Pharma, Inc. (b) 6,004 901 Watson Pharmaceuticals, Inc. (b) 27,534 ------------- 115,691 ------------- REAL ESTATE INVESTMENT TRUSTS--0.1% 126 Kimco Realty Corp. 5,232 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT--0.2% 204 CB Richard Ellis Group, Inc., Class A (b) 4,974 85 Jones Lang LaSalle, Inc. 8,103 ------------- 13,077 ------------- ROAD & RAIL--0.1% 119 Knight Transportation, Inc. 1,900 49 Landstar System, Inc. 2,063 ------------- 3,963 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--3.7% 485 Altera Corp. 9,516 846 Applied Materials, Inc. 16,429 69 ATMI, Inc. (b) 2,218 320 Broadcom Corp., Class A (b) 10,416 144 Cabot Microelectronics Corp. (b) 5,714 419 Cree, Inc. (b) 11,732 53 Cymer, Inc. (b) 2,253 744 Cypress Semiconductor Corp. (b) 27,193 327 Diodes, Inc. (b) 10,811 65 FEI Co. (b) 1,886 281 Integrated Device Technology, Inc. (b) 3,774 451 Intel Corp. 12,132 314 KLA-Tencor Corp. 16,532 326 Lam Research Corp. (b) 16,365 198 MEMC Electronic Materials, Inc. (b) 14,498 151 Microsemi Corp. (b) 4,018 805 NVIDIA Corp. (b) 28,480 637 Semtech Corp. (b) 10,899 312 Silicon Laboratories, Inc. (b) 13,634 109 Standard Microsystems Corp. (b) 4,251 154 Supertex, Inc. (b) 5,627 196 Varian Semiconductor Equipment Associates, Inc. (b) 9,020 ------------- 237,398 ------------- SOFTWARE--4.6% 805 Activision, Inc. (b) 19,038 267 Adobe Systems, Inc. (b) 12,789 370 Advent Software, Inc. (b) 20,472 186 Ansoft Corp. (b) 5,595 See Notes to Quarterly Portfolio of Investments Page 104 FIRST TRUST MULTI CAP GROWTH ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 246 ANSYS, Inc. (b) $ 9,547 467 Autodesk, Inc. (b) 22,836 333 Blackbaud, Inc. 8,974 182 BMC Software, Inc. (b) 6,159 196 Cadence Design Systems, Inc. (b) 3,842 579 Citrix Systems, Inc. (b) 24,892 195 Concur Technologies, Inc. (b) 7,028 101 Electronic Arts, Inc. (b) 6,173 149 Epicor Software Corp. (b) 1,740 90 FactSet Research Systems, Inc. 6,347 268 Informatica Corp. (b) 4,577 187 Intuit, Inc. (b) 6,016 168 Jack Henry & Associates, Inc. 4,909 298 JDA Software Group, Inc. (b) 7,438 153 Manhattan Associates, Inc. (b) 4,614 374 McAfee, Inc. (b) 15,465 576 Mentor Graphics Corp. (b) 9,228 129 MICROS Systems, Inc. (b) 9,265 193 Microsoft Corp. 7,104 1,078 Oracle Corp. (b) 23,900 115 Quality Systems, Inc. 4,166 632 Secure Computing Corp. (b) 6,257 262 Smith Micro Software, Inc. (b) 4,037 50 SPSS, Inc. (b) 1,900 293 Symantec Corp. (b) 5,503 321 Synopsys, Inc. (b) 9,071 315 Tyler Technologies, Inc. (b) 5,078 739 Wind River Systems, Inc. (b) 9,245 ------------- 293,205 ------------- SPECIALTY RETAIL--2.9% 289 Abercrombie & Fitch Co., Class A 22,889 165 American Eagle Outfitters, Inc. 3,924 254 Best Buy Co., Inc. 12,324 260 Cabela's, Inc. (b) 5,075 84 Children's Place Retail Stores (The), Inc. (b) 2,150 647 Dick's Sporting Goods, Inc. (b) 21,590 120 Dress Barn (The), Inc. (b) 1,967 386 GameStop Corp., Class A (b) 22,859 119 Gymboree (The) Corp. (b) 4,050 169 Hibbett Sports, Inc. (b) 3,987 126 Jos. A. Bank Clothiers, Inc. (b) 3,680 166 Men's Wearhouse (The), Inc. 7,015 273 PetSmart, Inc. 8,176 147 Select Comfort Corp. (b) 1,680 112 Stage Stores, Inc. 2,101 446 Tiffany & Co. 24,165 602 TJX (The) Cos., Inc. 17,416 91 Tractor Supply Co. (b) 3,771 See Notes to Quarterly Portfolio of Investments Page 105 FIRST TRUST MULTI CAP GROWTH ALPHADEX(TM) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2007 (UNAUDITED) MARKET SHARES DESCRIPTION VALUE - ------ ------------------------------------------- ------------- COMMON STOCKS (CONTINUED) SPECIALTY RETAIL (CONTINUED) 62 Tween Brands, Inc. (b) $ 1,903 133 Williams-Sonoma, Inc. 4,182 237 Zumiez, Inc. (b) 9,921 ------------- 184,825 ------------- TEXTILES, APPAREL & LUXURY GOODS--1.7% 247 Coach, Inc. (b) 9,030 156 Crocs, Inc. (b) 11,661 96 Deckers Outdoor Corp. (b) 13,420 281 Fossil, Inc. (b) 10,554 155 Hanesbrands, Inc. (b) 4,811 258 Iconix Brand Group, Inc. (b) 5,895 298 NIKE, Inc., Class B 19,745 430 Quiksilver, Inc. (b) 5,805 99 Volcom, Inc. (b) 2,896 556 Warnaco Group (The), Inc. (b) 22,625 153 Wolverine World Wide, Inc. 3,923 ------------- 110,365 ------------- THRIFTS & MORTGAGE FINANCE--0.6% 96 Freddie Mac 5,014 1,518 Hudson City Bancorp, Inc. 23,772 456 New York Community Bancorp, Inc. 8,486 ------------- 37,272 ------------- TRADING COMPANIES & DISTRIBUTORS--0.7% 287 Fastenal Co. 12,766 258 MSC Industrial Direct Co., Inc., Class A 12,567 192 W.W. Grainger, Inc. 17,265 ------------- 42,598 ------------- TOTAL INVESTMENTS--100.0% (Cost $6,226,032) (c) 6,376,994 NET OTHER ASSETS AND LIABILITIES--0.0% (788) ------------- NET ASSETS--100.0% $ 6,376,206 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Aggregate cost for federal income tax and financial reporting purposes. As of October 31, 2007, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $383,202 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $232,240. See Notes to Quarterly Portfolio of Investments Page 106 FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS OCTOBER 31, 2007 (UNAUDITED) 1. VALUATION AND INVESTMENT PRACTICES A. PORTFOLIO VALUATION: First Trust Exchange-Traded AlphaDEX(TM) Fund (the "Trust") is an open-end management investment company that currently consists of sixteen AlphaDEX(TM) funds: 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 and First Trust Multi Cap Growth AlphaDEX(TM) Fund (each a "Fund" or collectively the "Funds"). Each Fund's net asset value ("NAV") is determined daily, as of the close of regular trading on the New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. 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. Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Board of Trustees or its delegate at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933) for which a pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund's NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the pricing service, does not reflect the security's "fair value." As a general principle, the current "fair value" of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. The use of fair value prices by a Fund generally results in the prices used by a Fund differing from the closing sale prices on the applicable exchange and fair value prices may not reflect the actual value of a security. A variety of factors may be considered in determining the fair value of such securities. Valuing a Fund's securities using fair value pricing will result in using prices for the securities that may differ from current market valuations. Use of fair value prices and certain current market valuations could result in a difference between the prices used to calculate a Fund's NAV and the prices used by such Fund's corresponding index, which, in turn, could result in a difference between a Fund's performance and the performance of such index. B. SECURITIES TRANSACTIONS: Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. ITEM 2. 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 registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 3. EXHIBITS. Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 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 --------------------------------------------------------------- James A. Bowen, Chairman of the Board, President and Chief Executive Officer (principal executive officer) Date: December 20, 2007 --------------------------------------------------------- Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant 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 (principal executive officer) Date: December 20, 2007 --------------------------------------------------------- By: /s/ Mark R. Bradley ---------------------------------------------------------- Mark R. Bradley, Treasurer, Controller, Chief Financial Officer and Chief Accounting Officer (principal financial officer) Date: December 20, 2007 --------------------------------------------------------- EX-99.CERT 2 certifications.txt RULE 30A-2(A) CERTIFICATIONS CERTIFICATIONS CERTIFICATION PURSUANT TO RULE 30A-2(A) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT I, James A. Bowen, certify that: 1. I have reviewed this report on Form N-Q of First Trust Exchanged-Traded AlphaDEX(TM) Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: December 20, 2007 ---------------------- /s/ James A. Bowen ------------------------------------------------ James A. Bowen, Chairman of the Board, President and Chief Executive Officer (principal executive officer) CERTIFICATIONS CERTIFICATION PURSUANT TO RULE 30A-2(A) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT I, Mark R. Bradley, certify that: 1. I have reviewed this report on Form N-Q of First Trust Exchange-Traded AlphaDEX(TM) Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: December 20, 2007 ------------------- /s/ Mark R. Bradley --------------------------------------------- Mark R. Bradley, Treasurer, Controller, Chief Financial Officer and Chief Accounting Officer (principal financial officer) -----END PRIVACY-ENHANCED MESSAGE-----