CHAPMAN AND CUTLER LLP
                             111 WEST MONROE STREET
                            CHICAGO, ILLINOIS 60603



                                November 26, 2008


First Trust Exchange-Traded AlphaDEX(R) Fund
120 East Liberty Drive, Suite 400
Wheaton, Illinois 60187


         Re:       First Trust Exchange-Traded AlphaDEX(R) Fund
                --------------------------------------------------

Ladies and Gentlemen:

         We have served as counsel for the First Trust Exchange-Traded
AlphaDEX(R) Fund (the "Trust"), which proposes to offer and sell shares of each
of its series (the "Shares"), First Trust Consumer Discretionary AlphaDEX(R)
Fund, First Trust Consumer Staples AlphaDEX(R) Fund, First Trust Energy
AlphaDEX(R) Fund, First Trust Financials AlphaDEX(R) Fund, First Trust Health
Care AlphaDEX(R) Fund, First Trust Industrials/Producer Durables AlphaDEX(R)
Fund, First Trust Materials AlphaDEX(R) Fund, First Trust Technology AlphaDEX(R)
Fund, First Trust Utilities AlphaDEX(R) Fund, First Trust Large Cap Core
AlphaDEX(R) Fund, First Trust Mid Cap Core AlphaDEX(R) Fund, First Trust Small
Cap Core AlphaDEX(R) Fund, First Trust Large Cap Value Opportunities AlphaDEX(R)
Fund, First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund, First Trust
Multi Cap Value AlphaDEX(R) Fund and First Trust Multi Cap Growth AlphaDEX(R)
Fund (each, a "Fund," and collectively, the "Funds"), in the manner and on the
terms set forth in Amendment No. 5 and Post-Effective Amendment No. 2 to its
Registration Statement on Form N-1A filed on November 26, 2008 (the "Amendment")
with the Securities and Exchange Commission under the Investment Company Act of
1940, as amended, and the Securities Act of 1933, as amended, respectively.

         In connection therewith, we have examined such pertinent records and
documents and matters of law, including the opinion of Bingham McCutchen LLP
issued to the Trust or Trust's counsel upon which we have relied as they relate
to the laws of the Commonwealth of Massachusetts, as we have deemed necessary in
order to enable us to express the opinion hereinafter set forth.

         Based upon the foregoing, we are of the opinion that:





November 26, 2008
Page 2



         The Shares of each Fund may be issued from time to time in accordance
with the Trust's Declaration of Trust dated December 6, 2006 and the Trust's
By-Laws, and subject to compliance with the Securities Act of 1933, as amended,
the Investment Company Act of 1940, as amended, and applicable state laws
regulating the sale of securities and the receipt by each Fund of the purchase
price of not less than the net asset value per Share, and such Shares, when so
issued and sold by each Fund, will be legally issued, fully paid and
non-assessable, except that, as set forth in the Amendment, shareholders of each
Fund may under certain circumstances be held personally liable for its
obligations.

         We hereby consent to the filing of this opinion as an exhibit to the
Registration Statement (File No. 333-140895) relating to the Shares referred to
above, to the use of our name and to the reference to our firm in said
Registration Statement.

                                        Respectfully submitted,



                                        CHAPMAN AND CUTLER LLP