-----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, UkudVfevPa6mBrE/wHZSPh2prQlUkuG7Hjb9c1I7zsuHX1TOnKj2yTPyS8gfPIHJ GJlnkbbISz5nFDGro5nXvg== 0001445546-08-000973.txt : 20081230 0001445546-08-000973.hdr.sgml : 20081230 20081230124054 ACCESSION NUMBER: 0001445546-08-000973 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20081031 FILED AS OF DATE: 20081230 DATE AS OF CHANGE: 20081230 EFFECTIVENESS DATE: 20081230 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: 081274920 BUSINESS ADDRESS: STREET 1: 120 EAST LIBERTY DRIVE, SUITE 400 CITY: WHEATON STATE: IL ZIP: 60187 BUSINESS PHONE: 630-765-8000 MAIL ADDRESS: STREET 1: 120 EAST LIBERTY DRIVE, SUITE 400 CITY: WHEATON STATE: IL ZIP: 60187 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(R) Fund - -------------------------------------------------------------------------------- (Exact name of registrant as specified in charter) 120 East Liberty Drive Wheaton, IL 60187 - -------------------------------------------------------------------------------- (Address of principal executive offices) (Zip code) W. Scott Jardine, Esq. First Trust Portfolios L.P. 120 East Liberty Drive Wheaton, IL 60187 - -------------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: 630-765-8000 ------------------- Date of fiscal year end: July 31 ------------------- Date of reporting period: October 31, 2008 -------------------- 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(R) FUND PORTFOLIO OF INVESTMENTS (A) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS--99.9% BEVERAGES--0.2% 439 Central European Distribution Corp. (b) $ 12,639 ------------- CHEMICALS--0.3% 505 International Flavors & Fragrances, Inc. 16,099 ------------- COMMERCIAL SERVICES & SUPPLIES--5.2% 5,591 Allied Waste Industries, Inc. (b) 58,258 1,307 Brink's (The) Co. 63,376 2,164 Cintas Corp. 51,287 1,049 Copart, Inc. (b) 36,610 802 Corrections Corp. of America (b) 15,326 817 Iron Mountain, Inc. (b) 19,837 1,626 R.R. Donnelley & Sons Co. 26,943 665 Republic Services, Inc. 15,761 1,266 Waste Management, Inc. 39,537 ------------- 326,935 ------------- DISTRIBUTORS--0.4% 2,350 LKQ Corp. (b) 26,884 ------------- DIVERSIFIED CONSUMER SERVICES--6.6% 1,746 Apollo Group, Inc., Class A (b) 121,364 2,439 Career Education Corp. (b) 38,561 1,610 DeVry, Inc. 91,271 246 ITT Educational Services, Inc. (b) 21,562 7,431 Service Corp. International 51,274 398 Strayer Education, Inc. 90,055 ------------- 414,087 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS--1.3% 1,133 Dolby Laboratories, Inc., Class A (b) 35,769 2,081 Tech Data Corp. (b) 44,637 ------------- 80,406 ------------- FOOD & STAPLES RETAILING--2.9% 513 BJ's Wholesale Club, Inc. (b) 18,058 1,228 Costco Wholesale Corp. 70,008 1,729 Wal-Mart Stores, Inc. 96,495 ------------- 184,561 ------------- HOTELS, RESTAURANTS & LEISURE--9.7% 8,521 Boyd Gaming Corp. 57,943 2,229 Brinker International, Inc. 20,730 812 Burger King Holdings, Inc. 16,143 2,256 Carnival Corp. 57,302 1,393 Darden Restaurants, Inc. 30,883 512 International Speedway Corp., Class A 16,072 1,007 McDonald's Corp. 58,336 2,799 MGM MIRAGE (b) 46,072 826 Orient-Express Hotels Ltd., Class A 10,160 See Notes to Quarterly Portfolio of Investments Page 1 FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE (CONTINUED) 2,034 Panera Bread Co., Class A (b) $ 91,773 4,990 Royal Caribbean Cruises Ltd. 67,664 866 Scientific Games Corp., Class A (b) 15,588 1,341 Starbucks Corp. (b) 17,607 1,346 Tim Hortons, Inc. 33,879 6,590 Wyndham Worldwide Corp. 53,972 611 Yum! Brands, Inc. 17,725 ------------- 611,849 ------------- HOUSEHOLD DURABLES--4.8% 1,023 Black & Decker (The) Corp. 51,784 1,171 Harman International Industries, Inc. 21,511 850 Jarden Corp. (b) 15,130 1,536 Mohawk Industries, Inc. (b) 74,313 2,311 Newell Rubbermaid, Inc. 31,776 379 Snap-on, Inc. 14,004 1,488 Stanley Works (The) 48,717 1,006 Whirlpool Corp. 46,930 ------------- 304,165 ------------- HOUSEHOLD PRODUCTS--0.9% 958 Kimberly-Clark Corp. 58,716 ------------- INTERNET & CATALOG RETAIL--3.3% 854 Amazon.com, Inc. (b) 48,883 4,111 Expedia, Inc. (b) 39,096 4,812 Liberty Media Corp. - Interactive, Class A (b) 23,483 9,649 Ticketmaster Entertainment, Inc. (b) 93,401 ------------- 204,863 ------------- INTERNET SOFTWARE & SERVICES--1.2% 1,431 Sohu.com, Inc. (b) 78,619 ------------- IT SERVICES--2.6% 2,725 Accenture Ltd., Class A 90,061 5,396 Convergys Corp. (b) 41,495 1,094 Hewitt Associates, Inc., Class A (b) 30,512 ------------- 162,068 ------------- LEISURE EQUIPMENT & PRODUCTS--2.1% 1,296 Eastman Kodak Co. 11,897 2,982 Hasbro, Inc. 86,687 2,211 Mattel, Inc. 33,209 ------------- 131,793 ------------- MACHINERY--0.5% 966 Toro Co. 32,496 ------------- MEDIA--14.5 % 7,101 CBS Corp., Class B 68,951 See Notes to Quarterly Portfolio of Investments Page 2 FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) MEDIA (CONTINUED) 2,915 Clear Channel Outdoor Holdings, Inc., Class A (b) $ 18,190 2,032 Comcast Corp., Class A 32,024 3,956 DIRECTV Group (The), Inc. (b) 86,597 3,292 DreamWorks Animation SKG, Inc., Class A (b) 92,505 2,573 Interpublic Group of Cos., Inc. (b) 13,354 1,536 John Wiley & Sons, Inc., Class A 53,422 1,316 Liberty Global, Inc., Class A (b) 21,701 5,961 Liberty Media Corp. - Capital, Series A (b) 40,594 631 McGraw-Hill (The) Cos., Inc. 16,936 2,215 Meredith Corp. 42,905 1,395 New York Times (The) Co., Class A 13,950 8,635 News Corp., Class A 91,876 517 Omnicom Group, Inc. 15,272 2,567 Time Warner Cable, Inc., Class A (b) 50,262 7,897 Time Warner, Inc. 79,681 1,605 Viacom, Inc., Class B (b) 32,453 7,863 Virgin Media, Inc. 45,291 1,299 Walt Disney (The) Co. 33,644 10,495 Warner Music Group Corp. 43,449 36 Washington Post (The) Co., Class B 15,365 ------------- 908,422 ------------- MULTILINE RETAIL--8.6% 2,232 Big Lots, Inc. (b) 54,528 2,847 Dollar Tree, Inc. (b) 108,243 4,368 Family Dollar Stores, Inc. 117,542 2,392 J. C. Penney Co., Inc. 57,217 1,348 Kohl's Corp. (b) 47,355 5,758 Macy's, Inc. 70,766 4,311 Saks, Inc. (b) 25,866 427 Sears Holdings Corp. (b) 24,655 813 Target Corp. 32,618 ------------- 538,790 ------------- PERSONAL PRODUCTS--3.4% 2,928 Alberto-Culver Co. 75,337 2,491 Avon Products, Inc. 61,852 2,074 Estee Lauder (The) Cos., Inc., Class A 74,747 ------------- 211,936 ------------- PROFESSIONAL SERVICES--3.0% 1,433 FTI Consulting, Inc. (b) 83,472 1,848 Manpower, Inc. 57,528 2,510 Robert Half International, Inc. 47,364 ------------- 188,364 ------------- ROAD & RAIL--1.6% 13,895 Avis Budget Group, Inc. (b) 22,788 See Notes to Quarterly Portfolio of Investments Page 3 FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) ROAD & RAIL (CONTINUED) 10,536 Hertz Global Holdings, Inc. (b) $ 75,754 ------------- 98,542 ------------- SPECIALTY RETAIL--21.2% 2,611 Advance Auto Parts, Inc. 81,463 6,789 American Eagle Outfitters, Inc. 75,494 3,864 AnnTaylor Stores Corp. (b) 48,570 7,096 AutoNation, Inc. (b) 48,750 504 AutoZone, Inc. (b) 64,154 2,382 Barnes & Noble, Inc. 44,972 2,539 Bed Bath & Beyond, Inc. (b) 65,430 1,657 Best Buy Co., Inc. 44,424 1,424 CarMax, Inc. (b) 15,123 1,018 Dick's Sporting Goods, Inc. (b) 15,596 1,234 Foot Locker, Inc. 18,041 583 GameStop Corp., Class A (b) 15,968 2,243 Gap (The), Inc. 29,024 573 Guess?, Inc. 12,474 1,540 Home Depot (The), Inc. 36,329 3,587 Limited Brands, Inc. 42,972 2,622 Lowe's Cos., Inc. 56,897 17,789 Office Depot, Inc. (b) 64,040 1,490 O'Reilly Automotive, Inc. (b) 40,394 6,954 Penske Automotive Group, Inc. 56,953 4,190 PetSmart, Inc. 82,501 3,595 RadioShack Corp. 45,513 2,813 Ross Stores, Inc. 91,958 3,545 Staples, Inc. 68,879 2,035 TJX (The) Cos., Inc. 54,457 2,503 Urban Outfitters, Inc. (b) 54,415 6,399 Williams-Sonoma, Inc. 52,984 ------------- 1,327,775 ------------- TEXTILES, APPAREL & LUXURY GOODS--3.0% 2,154 Jones Apparel Group, Inc. 23,931 1,192 NIKE, Inc., Class B 68,695 1,052 Phillips-Van Heusen Corp. 25,785 1,197 Polo Ralph Lauren Corp. 56,462 258 VF Corp. 14,216 ------------- 189,089 ------------- TRADING COMPANIES & DISTRIBUTORS--2.6% 1,615 Fastenal Co. 65,020 1,348 MSC Industrial Direct Co., Inc., Class A 48,339 2,479 WESCO International, Inc. (b) 49,283 ------------- 162,642 ------------- TOTAL COMMON STOCKS--99.9% (Cost $8,329,457) 6,271,740 See Notes to Quarterly Portfolio of Investments Page 4 FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- MONEY MARKET FUND--0.5% 30,336 Morgan Stanley Institutional Treasury Money Market Fund--0.52% (c) (Cost $30,336) $ 30,336 ------------- TOTAL INVESTMENTS--100.4% (Cost $8,359,793) (d) 6,302,076 NET OTHER ASSETS AND LIABILITIES --(0.4%) (27,878) ------------- NET ASSETS--100.0% $ 6,274,198 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at October 31, 2008. (d) Aggregate cost for federal income tax and financial reporting purposes. As of October 31, 2008, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $66,841 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $2,124,558. SECURITY VALUATION INPUTS A summary of the inputs used to value the Fund's net assets as of October 31, 2008 is as follows (See Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments). INVESTMENTS IN VALUATION INPUTS SECURITIES - ------------------------------------------------------------------------------- Level 1 - Quoted Prices - Investments $ 6,271,740 Level 2 - Other Significant Observable Inputs 30,336 Level 3 - Significant Unobservable Inputs -- - ------------------------------------------------------------------------------- Total $ 6,302,076 ==================== See Notes to Quarterly Portfolio of Investments Page 5 FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS--99.9% BEVERAGES--17.5% 3,408 Anheuser-Busch Cos., Inc. $ 211,397 2,566 Brown-Forman Corp., Class B 116,496 1,394 Coca-Cola (The) Co. 61,420 8,352 Dr. Pepper Snapple Group, Inc. (b) 191,261 2,437 Hansen Natural Corp. (b) 61,705 1,577 Molson Coors Brewing Co., Class B 58,917 5,055 Pepsi Bottling Group (The), Inc. 116,872 10,673 PepsiAmericas, Inc. 202,040 3,103 PepsiCo, Inc. 176,902 ------------- 1,197,010 ------------- FOOD & STAPLES RETAILING--20.5% 15,648 Kroger (The) Co. 429,694 12,431 Safeway, Inc. 264,407 19,817 SUPERVALU, Inc. 282,194 13,948 Sysco Corp. 365,438 2,381 Walgreen Co. 60,620 ------------- 1,402,353 ------------- FOOD PRODUCTS--35.9% 7,639 Campbell Soup Co. 289,900 18,408 Dean Foods Co. (b) 402,399 28,353 Del Monte Foods Co. 178,907 6,257 General Mills, Inc. 423,849 5,901 H.J. Heinz Co. 258,582 3,728 Hershey (The) Co. 138,831 2,032 Hormel Foods Corp. 57,424 1,454 J.M. Smucker (The) Co. 64,790 5,256 Kellogg Co. 265,008 7,669 McCormick & Co., Inc. 258,139 12,348 Tyson Foods, Inc., Class A 107,922 ------------- 2,445,751 ------------- HOUSEHOLD PRODUCTS--14.9% 6,925 Church & Dwight Co., Inc. 409,198 4,704 Clorox (The) Co. 286,050 2,935 Colgate-Palmolive Co. 184,201 2,115 Procter & Gamble (The) Co. 136,502 ------------- 1,015,951 ------------- PERSONAL PRODUCTS--4.8% 3,731 Herbalife Ltd. 91,148 9,988 NBTY, Inc. (b) 233,420 ------------- 324,568 ------------- TOBACCO--6.3% 7,431 Altria Group, Inc. 142,601 1,036 Lorillard, Inc. 68,231 See Notes to Quarterly Portfolio of Investments Page 6 FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) TOBACCO (CONTINUED) 4,549 Reynolds American, Inc. $ 222,719 ------------- 433,551 ------------- TOTAL COMMON STOCKS--99.9% (Cost $7,532,588) 6,819,184 MONEY MARKET FUND--0.4% 27,397 Morgan Stanley Institutional Treasury Money Market Fund--0.52% (c) (Cost $27,397) 27,397 ------------- TOTAL INVESTMENTS--100.3% (Cost $7,559,985) (d) 6,846,581 NET OTHER ASSETS AND LIABILITIES--(0.3%) (18,590) ------------- NET ASSETS--100.0% $ 6,827,991 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at October 31, 2008. (d) Aggregate cost for federal income tax and financial reporting purposes. As of October 31, 2008, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $19,431 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $732,835. SECURITY VALUATION INPUTS A summary of the inputs used to value the Fund's net assets as of October 31, 2008 is as follows (See Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments) INVESTMENTS VALUATION INPUTS IN SECURITIES - ------------------------------------------------------------------------------- Level 1 - Quoted Prices - Investments $ 6,819,184 Level 2 - Other Significant Observable Inputs 27,397 Level 3 - Significant Unobservable Inputs -- - ------------------------------------------------------------------------------- Total $ 6,846,581 ==================== See Notes to Quarterly Portfolio of Investments Page 7 FIRST TRUST ENERGY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS--100.0% ENERGY EQUIPMENT & SERVICES--37.2% 7,482 BJ Services Co. $ 96,143 1,856 Cameron International Corp. (b) 45,027 320 Diamond Offshore Drilling, Inc. 28,416 2,273 Dresser-Rand Group, Inc. (b) 50,915 2,483 ENSCO International, Inc. 94,379 3,360 Exterran Holdings, Inc. (b) 75,298 711 FMC Technologies, Inc. (b) 24,878 20,622 Global Industries Ltd. (b) 52,586 1,019 Halliburton Co. 20,166 7,368 Helix Energy Solutions Group, Inc. (b) 77,806 3,313 Helmerich & Payne, Inc. 113,669 9,440 Hercules Offshore, Inc. (b) 68,818 12,337 Key Energy Services Inc. (b) 76,489 5,742 Nabors Industries Ltd. (b) 82,570 752 Noble Corp. 24,222 619 Oceaneering International, Inc. (b) 17,437 5,060 Oil States International, Inc. (b) 117,038 8,936 Patterson-UTI Energy, Inc. 118,581 4,834 Pride International, Inc. (b) 90,831 5,855 Rowan Cos., Inc. 106,210 2,265 SEACOR Holdings, Inc. (b) 152,139 563 Smith International, Inc. 19,412 1,060 Superior Energy Services, Inc. (b) 22,599 3,590 Unit Corp. (b) 134,769 ------------- 1,710,398 ------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS--4.2% 2,891 NRG Energy, Inc. (b) 67,216 24,338 Reliant Energy, Inc. (b) 127,774 ------------- 194,990 ------------- OIL, GAS & CONSUMABLE FUELS--58.6% 2,087 Alpha Natural Resources, Inc. (b) 74,652 2,212 Anadarko Petroleum Corp. 78,084 1,372 Apache Corp. 112,957 914 Cabot Oil & Gas Corp. 25,656 1,735 Chevron Corp. 129,431 3,659 Cimarex Energy Co. 148,042 2,444 ConocoPhillips 127,137 2,738 Continental Resources, Inc. (b) 88,684 1,177 Devon Energy Corp. 95,172 5,609 El Paso Corp. 54,407 2,569 Encore Acquisition Co. (b) 80,024 800 EOG Resources, Inc. 64,736 1,382 Exxon Mobil Corp. 102,434 666 Forest Oil Corp. (b) 19,454 1,795 Frontier Oil Corp. 23,712 1,745 Hess Corp. 105,066 1,142 Holly Corp. 22,417 3,591 Marathon Oil Corp. 104,498 8,727 Mariner Energy, Inc. (b) 125,582 2,006 Massey Energy Co. 46,319 1,115 Murphy Oil Corp. 56,464 See Notes to Quarterly Portfolio of Investments Page 8 FIRST TRUST ENERGY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) OIL, GAS & CONSUMABLE FUELS (CONTINUED) 1,032 Newfield Exploration Co. $ 23,715 1,287 Noble Energy, Inc. 66,692 1,523 Occidental Petroleum Corp. 84,587 1,529 Petrohawk Energy Corp. (b) 28,975 2,053 Pioneer Natural Resources Co. 57,135 5,087 Plains Exploration & Production Co. (b) 143,453 2,343 Southwestern Energy Co. (b) 83,458 3,010 St. Mary Land & Exploration Co. 74,919 2,011 Sunoco, Inc. 61,336 4,339 Tesoro Corp. 41,958 5,903 Valero Energy Corp. 121,484 2,622 W&T Offshore, Inc. 50,264 1,508 Whiting Petroleum Corp. (b) 78,401 2,307 XTO Energy, Inc. 82,937 ------------- 2,684,242 ------------- TOTAL COMMON STOCKS--100.0% (Cost $6,814,453) 4,589,630 MONEY MARKET FUND--0.7% 32,271 Morgan Stanley Institutional Treasury Money Market Fund--0.52% (c) (Cost $32,271) 32,271 ------------- TOTAL INVESTMENTS--100.7% (Cost $6,846,724) (d) 4,621,901 NET OTHER ASSETS AND LIABILITIES--(0.7%) (30,141) ------------- NET ASSETS--100.0% $ 4,591,760 ============= (a) All percentages shown in Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at October 31, 2008. (d) Aggregate cost for federal income tax and financial reporting purposes. As of October 31, 2008, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $9,274 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $2,234,097. See Notes to Quarterly Portfolio of Investments Page 9 FIRST TRUST ENERGY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SECURITY VALUATION INPUTS A summary of the inputs used to value the Fund's net assets as of October 31, 2008 is as follows (See Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments). INVESTMENTS IN VALUATION INPUTS SECURITIES - ------------------------------------------------------------------------------- Level 1 - Quoted Prices - Investments $ 4,589,630 Level 2 - Other Significant Observable Inputs 32,271 Level 3 - Significant Unobservable Inputs -- - ------------------------------------------------------------------------------- Total $ 4,621,901 ==================== See Notes to Quarterly Portfolio of Investments Page 10 FIRST TRUST FINANCIALS ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS--99.8% CAPITAL MARKETS--11.7% 207 Affiliated Managers Group, Inc. (b) $ 9,601 1,344 Ameriprise Financial, Inc. 29,030 1,052 Bank of New York Mellon Corp. 34,295 441 BlackRock, Inc. 57,921 3,293 Charles Schwab (The) Corp. 62,962 1,458 Eaton Vance Corp. 32,076 583 Franklin Resources, Inc. 39,644 535 Goldman Sachs Group (The), Inc. 49,488 3,263 Invesco Ltd. 48,651 1,689 Investment Technology Group, Inc. (b) 34,472 2,819 Janus Capital Group, Inc. 33,095 2,003 Lazard Ltd., Class A 60,431 451 Legg Mason, Inc. 10,008 3,945 MF Global Ltd. (b) 15,386 744 Morgan Stanley 12,998 1,186 Northern Trust Corp. 66,783 771 SEI Investments Co. 13,631 602 State Street Corp. 26,097 1,275 T. Rowe Price Group, Inc. 50,414 3,170 TD Ameritrade Holding Corp. (b) 42,129 1,383 Waddell & Reed Financial, Inc., Class A 20,081 ------------- 749,193 ------------- COMMERCIAL BANKS--13.5% 2,575 Associated Banc-Corp. 56,805 609 BancorpSouth, Inc. 14,780 907 BB&T Corp. 32,516 353 BOK Financial Corp. 16,888 315 City National Corp. 16,862 1,566 Comerica, Inc. 43,206 368 Commerce Bancshares, Inc. 17,399 2,878 Fifth Third Bancorp 31,226 192 First Citizens BancShares, Inc., Class A 29,361 3,139 Fulton Financial Corp. 32,960 8,571 Huntington Bancshares, Inc. 80,996 1,434 KeyCorp 17,538 383 M&T Bank Corp. 31,061 849 Marshall & Ilsley Corp. 15,307 230 PNC Financial Services Group, Inc. 15,334 2,064 Popular, Inc. 15,686 8,916 Regions Financial Corp. 98,879 1,142 SunTrust Banks, Inc. 45,840 4,962 Synovus Financial Corp. 51,257 1,902 TCF Financial Corp. 33,741 4,890 Wachovia Corp. 31,345 1,356 Webster Financial Corp. 25,140 1,411 Whitney Holding Corp. 26,809 595 Wilmington Trust Corp. 17,172 1,770 Zions Bancorporation 67,455 ------------- 865,563 ------------- See Notes to Quarterly Portfolio of Investments Page 11 FIRST TRUST FINANCIALS ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) CONSUMER FINANCE--2.3% 483 American Express Co. $ 13,283 1,691 AmeriCredit Corp. (b) 9,909 1,343 Capital One Financial Corp. 52,538 4,954 Discover Financial Services 60,686 368 Student Loan (The) Corp. 13,432 ------------- 149,848 ------------- DIVERSIFIED CONSUMER SERVICES--1.2% 3,763 H&R Block, Inc. 74,206 ------------- DIVERSIFIED FINANCIAL SERVICES--5.2% 978 Bank of America Corp. 23,638 12,299 CIT Group, Inc. 50,918 92 CME Group, Inc. 25,958 733 JPMorgan Chase & Co. 30,236 1,131 Leucadia National Corp. 30,356 1,006 Moody's Corp. 25,754 2,800 NASDAQ OMX Group (The), Inc. (b) 90,888 1,747 NYSE Euronext 52,724 ------------- 330,472 ------------- HEALTH CARE PROVIDERS & SERVICES--0.4% 1,511 CIGNA Corp. 24,629 ------------- INSURANCE--31.9% 874 Aflac, Inc. 38,701 141 Alleghany Corp. (b) 39,762 2,410 Allied World Assurance Holdings Ltd. 77,289 742 Allstate (The) Corp. 19,581 2,321 American Financial Group, Inc. 52,756 793 American National Insurance Co. 54,146 380 Aon Corp. 16,074 1,172 Arch Capital Group Ltd. (b) 81,747 667 Arthur J. Gallagher & Co. 16,248 934 Assurant, Inc. 23,798 2,699 Axis Capital Holdings Ltd. 76,868 3,167 Brown & Brown, Inc. 64,987 1,248 Chubb (The) Corp. 64,671 1,807 Cincinnati Financial Corp. 46,964 2,609 CNA Financial Corp. 40,596 4,863 Conseco, Inc. (b) 9,045 2,767 Endurance Specialty Holdings Ltd. 83,674 810 Erie Indemnity Co., Class A 30,124 594 Everest Re Group Ltd. 44,372 1,164 Fidelity National Financial, Inc., Class A 10,488 1,742 First American Corp. 35,554 7,952 Genworth Financial, Inc., Class A 38,488 1,503 Hanover Insurance Group, Inc. 58,993 2,088 Hartford Financial Services Group (The), Inc. 21,548 2,537 HCC Insurance Holdings, Inc. 55,966 1,200 Lincoln National Corp. 20,688 1,734 Loews Corp. 57,586 See Notes to Quarterly Portfolio of Investments Page 12 FIRST TRUST FINANCIALS ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 146 Markel Corp.(b) $ 51,223 625 Mercury General Corp. 32,106 612 MetLife, Inc. 20,331 348 Nationwide Financial Services, Class A 16,464 809 OneBeacon Insurance Group Ltd. 11,164 1,256 PartnerRe Ltd. 85,019 1,461 Philadelphia Consolidated Holding Co. (b) 85,454 1,968 Progressive (The) Corp. 28,083 1,801 Protective Life Corp. 15,038 714 Prudential Financial, Inc. 21,420 951 Reinsurance Group of America, Inc. 35,510 1,645 RenaissanceRe Holdings Ltd. 75,506 988 StanCorp Financial Group, Inc. 33,671 859 Torchmark Corp. 35,880 1,261 Transatlantic Holdings, Inc. 54,034 1,893 Travelers (The) Cos., Inc. 80,547 1,372 Unitrin, Inc. 28,812 2,046 Unum Group 32,225 3,635 W.R. Berkley Corp. 95,491 37 White Mountains Insurance Group Ltd. 12,747 954 XL Capital Ltd., Class A 9,254 ------------- 2,040,693 ------------- IT SERVICES--9.1% 1,081 Alliance Data Systems Corp. (b) 54,223 1,602 Automatic Data Processing, Inc. 55,990 1,112 Broadridge Financial Solutions, Inc. 13,455 1,528 DST Systems, Inc. (b) 62,006 4,637 Fidelity National Information Services, Inc. 69,972 1,809 Fiserv, Inc. (b) 60,348 3,296 Genpact Ltd. (b) 25,808 1,907 Global Payments, Inc. 77,253 2,804 Lender Processing Services 64,688 193 MasterCard, Inc., Class A 28,529 1,037 Paychex, Inc. 29,596 2,776 Western Union Co. 42,362 ------------- 584,230 ------------- MEDIA--0.4% 617 Morningstar, Inc. (b) 23,100 ------------- PROFESSIONAL SERVICES--1.6% 726 Dun & Bradstreet (The) Corp. 53,499 1,989 Equifax, Inc. 51,873 ------------- 105,372 ------------- REAL ESTATE INVESTMENT TRUSTS--14.7% 378 AMB Property Corp. 9,083 5,092 Annaly Capital Management, Inc. 70,779 1,575 Apartment Investment & Management Co., Class A 23,042 1,068 Brandywine Realty Trust 9,228 See Notes to Quarterly Portfolio of Investments Page 13 FIRST TRUST FINANCIALS ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 374 Camden Property Trust $ 12,608 1,812 Digital Realty Trust, Inc. 60,666 578 Essex Property Trust, Inc. 56,239 799 Federal Realty Investment Trust 48,955 2,134 HCP, Inc. 63,871 1,607 Health Care REIT, Inc. 71,529 2,503 Hospitality Properties Trust 25,405 3,865 Host Hotels & Resorts, Inc. 39,964 4,969 HRPT Properties Trust 17,938 32,921 iStar Financial, Inc. 34,896 716 Kilroy Realty Corp. 23,019 270 Macerich (The) Co. 7,943 2,380 Nationwide Health Properties, Inc. 71,019 1,373 Plum Creek Timber Co., Inc. 51,185 830 ProLogis 11,620 347 Public Storage 28,281 1,446 Rayonier, Inc. 47,834 530 Simon Property Group, Inc. 35,526 529 SL Green Realty Corp. 22,239 1,027 Taubman Centers, Inc. 34,117 1,732 Ventas, Inc. 62,456 ------------- 939,442 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT--1.4% 3,842 CB Richard Ellis Group, Inc., Class A (b) 26,932 1,968 Jones Lang LaSalle, Inc. 64,787 ------------- 91,719 ------------- ROAD & RAIL--0.7% 1,105 Ryder System, Inc. 43,780 ------------- SOFTWARE--0.6% 982 FactSet Research Systems, Inc. 38,092 ------------- THRIFTS & MORTGAGE FINANCE--3.4% 825 Astoria Financial Corp. 15,692 1,546 Capitol Federal Financial 71,904 4,639 Hudson City Bancorp, Inc. 87,259 4,335 Sovereign Bancorp, Inc. (b) 12,572 1,855 Washington Federal, Inc. 32,685 ------------- 220,112 ------------- TRADING COMPANIES & DISTRIBUTORS--1.7% 1,731 GATX Corp. 49,420 5,616 United Rentals, Inc. (b) 57,564 ------------- 106,984 ------------- See Notes to Quarterly Portfolio of Investments Page 14 FIRST TRUST FINANCIALS ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- TOTAL COMMON STOCKS--99.8% (Cost $7,987,034) $ 6,387,435 MONEY MARKET FUND--0.5% 30,844 Morgan Stanley Institutional Treasury Money Market Fund-- 0.52% (c) (Cost $30,844) 30,844 ------------- TOTAL INVESTMENTS--100.3% (Cost $8,017,878) (d) 6,418,279 NET OTHER ASSETS AND LIABILITIES--(0.3%) (20,271) ------------- NET ASSETS--100.0% $ 6,398,008 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at October 31, 2008. (d) Aggregate cost for federal income tax and financial reporting purposes. As of October 31, 2008, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $59,761 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $1,659,360. SECURITY VALUATION INPUTS A summary of the inputs used to value the Fund's net assets as of October 31, 2008 is as follows (See Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments). INVESTMENTS IN VALUATION INPUTS SECURITIES - ------------------------------------------------------------------------------- Level 1 - Quoted Prices - Investments $ 6,387,435 Level 2 - Other Significant Observable Inputs 30,844 Level 3 - Significant Unobservable Inputs -- - ------------------------------------------------------------------------------- Total $ 6,418,279 ==================== See Notes to Quarterly Portfolio of Investments Page 15 FIRST TRUST HEALTH CARE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS--100.0% BIOTECHNOLOGY--10.5% 2,125 Celgene Corp. (b) $ 136,553 2,429 Cephalon, Inc. (b) 174,208 2,123 Genentech, Inc. (b) 176,082 4,155 Genzyme Corp. (b) 302,816 1,377 Gilead Sciences, Inc. (b) 63,135 5,383 ImClone Systems, Inc. (b) 370,135 ------------- 1,222,929 ------------- COMMERCIAL SERVICES & SUPPLIES--2.8% 5,706 Stericycle, Inc. (b) 333,402 ------------- FOOD & STAPLES RETAILING--1.5% 5,592 CVS Caremark Corp. 171,395 ------------- HEALTH CARE EQUIPMENT & SUPPLIES--18.4% 2,868 Baxter International, Inc. 173,485 3,788 Beckman Coulter, Inc. 189,097 782 Becton, Dickinson & Co. 54,271 1,417 C.R. Bard, Inc. 125,050 3,582 DENTSPLY International, Inc. 108,821 3,259 Edwards Lifesciences Corp. (b) 172,206 2,534 Gen-Probe, Inc. (b) 119,250 4,436 Hill-Rom Holdings, Inc. 100,963 3,520 Hospira, Inc. (b) 97,926 6,134 IDEXX Laboratories, Inc. (b) 215,855 2,091 Inverness Medical Innovations Inc (b) 40,043 1,252 Medtronic, Inc. 50,493 6,254 ResMed, Inc. (b) 214,262 4,328 St. Jude Medical, Inc. (b) 164,594 1,007 Stryker Corp. 53,834 5,884 Varian Medical Systems, Inc. (b) 267,782 ------------- 2,147,932 ------------- HEALTH CARE PROVIDERS & SERVICES--35.1% 1,738 Aetna, Inc. 43,224 3,571 AmerisourceBergen Corp. 111,665 2,728 Cardinal Health, Inc. 104,210 11,468 Community Health Systems, Inc. (b) 235,094 8,261 Coventry Health Care, Inc. (b) 108,963 4,717 DaVita, Inc. (b) 267,690 4,553 Express Scripts, Inc. (b) 275,957 15,083 Health Management Associates, Inc., Class A (b) 31,674 4,995 Henry Schein, Inc. (b) 233,816 4,569 Humana, Inc. (b) 135,197 903 Laboratory Corp. of America Holdings (b) 55,525 5,857 LifePoint Hospitals, Inc. (b) 140,392 8,937 Lincare Holdings, Inc. (b) 235,490 6,247 McKesson Corp. 229,827 7,470 Medco Health Solutions, Inc. (b) 283,487 9,347 Omnicare, Inc. 257,697 6,505 Quest Diagnostics, Inc. 304,433 60,564 Tenet Healthcare Corp. (b) 265,270 10,591 UnitedHealth Group, Inc. 251,324 2,400 Universal Health Services, Inc., Class B 100,896 See Notes to Quarterly Portfolio of Investments Page 16 FIRST TRUST HEALTH CARE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 4,562 VCA Antech, Inc. (b) $ 82,572 5,229 WellCare Health Plans, Inc. (b) 126,385 5,750 WellPoint, Inc. (b) 223,503 ------------- 4,104,291 ------------- HEALTH CARE TECHNOLOGY--2.1% 29,408 HLTH Corp. (b) 243,792 ------------- INTERNET SOFTWARE & SERVICES--0.4% 2,110 WebMD Health Corp., Class A (b) 47,159 ------------- LIFE SCIENCES TOOLS & SERVICES--7.8% 1,832 Applied Biosystems, Inc. 56,481 1,130 Charles River Laboratories International, Inc. (b) 40,488 3,042 Covance, Inc. (b) 152,100 6,635 Illumina, Inc. (b) 204,557 912 Millipore Corp. (b) 47,324 4,552 Pharmaceutical Product Development, Inc. 141,021 1,864 Techne Corp. 128,653 3,422 Thermo Fisher Scientific, Inc. (b) 138,933 ------------- 909,557 ------------- PHARMACEUTICALS--21.4% 4,670 Abbott Laboratories 257,551 1,218 Allergan, Inc. 48,318 5,148 Barr Pharmaceuticals, Inc. (b) 330,809 3,009 Bristol-Myers Squibb Co. 61,835 1,425 Eli Lilly & Co. 48,194 9,412 Endo Pharmaceuticals Holdings, Inc. (b) 174,122 9,509 Forest Laboratories, Inc. (b) 220,894 2,717 Johnson & Johnson 166,661 19,649 King Pharmaceuticals, Inc. (b) 172,715 23,547 Mylan, Inc. (b) 201,798 8,740 Perrigo Co. 297,159 7,291 Pfizer, Inc. 129,124 7,280 Schering-Plough Corp. 105,487 6,605 Watson Pharmaceuticals, Inc. (b) 172,853 3,640 Wyeth 117,135 ------------- 2,504,655 ------------- TOTAL COMMON STOCKS--100.0% (Cost $14,106,974) 11,685,112 MONEY MARKET FUND--0.3% 34,953 Morgan Stanley Institutional Treasury Money Market Fund--0.52% (c) (Cost $34,953) 34,953 ------------- TOTAL INVESTMENTS -- 100.3% (Cost $14,141,927) (d) 11,720,065 NET OTHER ASSETS AND LIABILITIES--(0.3%) (35,338) ------------- NET ASSETS--100.0% $ 11,684,72 ============= See Notes to Quarterly Portfolio of Investments Page 17 FIRST TRUST HEALTH CARE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) (a) All percentages shown in the Portfolio of Investments are based on the net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at October 31, 2008 (d) Aggregate cost for federal income tax and financial reporting purposes. As of October 31, 2008, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $85,688 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $2,507,550. SECURITY VALUATION INPUTS A summary of the inputs used to value the Fund's net assets as of October 31, 2008 is as follows (See Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments). INVESTMENTS IN VALUATION INPUTS SECURITIES - ------------------------------------------------------------------------------- Level 1 - Quoted Prices - Investments $ 11,685,112 Level 2 - Other Significant Observable Inputs 34,953 Level 3 - Significant Unobservable Inputs -- - ------------------------------------------------------------------------------- Total $ 11,720,065 ==================== See Notes to Quarterly Portfolio of Investments Page 18 FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS--100.0% AEROSPACE & DEFENSE--20.1% 850 Alliant Techsystems, Inc. (b) $ 70,159 9,247 BE Aerospace, Inc. (b) 119,009 640 Goodrich Corp. 23,398 1,335 Lockheed Martin Corp. 113,542 1,758 Northrop Grumman Corp. 82,433 995 Raytheon Co. 50,854 553 Rockwell Collins, Inc. 20,588 9,109 Spirit Aerosystems Holdings, Inc., Class A (b) 146,928 886 United Technologies Corp. 48,695 ------------- 675,606 ------------- COMMERCIAL SERVICES & SUPPLIES--4.7% 2,223 Covanta Holding Corp. (b) 47,928 800 Pitney Bowes, Inc. 19,824 9,903 Steelcase, Inc., Class A 92,098 ------------- 159,850 ------------- COMMUNICATIONS EQUIPMENT--0.7% 1,537 CommScope, Inc. (b) 22,609 ------------- COMPUTERS & PERIPHERALS--5.6% 2,411 Diebold, Inc. 71,655 4,494 Lexmark International, Inc., Class A (b) 116,080 ------------- 187,735 ------------- ELECTRICAL EQUIPMENT--11.2% 1,306 AMETEK, Inc. 43,425 1,999 Cooper Industries Ltd., Class A 61,869 747 General Cable Corp. (b) 12,759 4,176 Hubbell, Inc., Class B 149,793 467 Roper Industries, Inc. 21,178 3,747 Thomas & Betts Corp. (b) 88,991 ------------- 378,015 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS--6.3% 897 Agilent Technologies, Inc. (b) 19,904 1,203 Itron, Inc. (b) 58,321 1,086 Mettler-Toledo International, Inc. (b) 83,123 3,556 Molex, Inc. 51,242 ------------- 212,590 ------------- HOUSEHOLD DURABLES--6.2% 186 NVR, Inc. (b) 91,179 10,478 Pulte Homes, Inc. 116,725 ------------- 207,904 ------------- See Notes to Quarterly Portfolio of Investments Page 19 FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) LIFE SCIENCES TOOLS & SERVICES--0.6% 457 Waters Corp.(b) $ 20,017 ------------- MACHINERY--32.1% 2,498 AGCO Corp. (b) 78,737 1,787 Bucyrus International, Inc. 43,120 447 Caterpillar, Inc. 17,062 609 Cummins, Inc. 15,743 767 Danaher Corp. 45,437 2,540 Donaldson Co., Inc. 89,281 1,969 Dover Corp. 62,555 600 Flowserve Corp. 34,152 4,216 Gardner Denver, Inc. (b) 108,013 747 Graco, Inc. 18,473 1,716 IDEX Corp. 39,777 1,197 Illinois Tool Works, Inc. 39,968 3,415 Ingersoll-Rand Co. Ltd., Class A 63,007 1,914 ITT Corp. 85,173 3,925 Kennametal, Inc. 83,289 1,242 Lincoln Electric Holdings, Inc. 53,592 1,548 Pall Corp. 40,883 502 Parker Hannifin Corp. 19,463 2,310 Pentair, Inc. 63,848 4,796 Terex Corp. (b) 80,045 ------------- 1,081,618 ------------- OFFICE ELECTRONICS--1.7% 6,925 Xerox Corp. 55,539 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--6.9% 1,682 KLA-Tencor Corp. 39,107 3,381 Lam Research Corp. (b) 75,599 4,065 Novellus Systems, Inc. (b) 64,227 10,223 Teradyne, Inc. (b) 52,137 ------------- 231,070 ------------- TRADING COMPANIES & DISTRIBUTORS--3.9% 1,683 W.W. Grainger, Inc. 132,233 ------------- TOTAL COMMON STOCKS--100.0% (Cost $4,604,331) 3,364,786 MONEY MARKET FUND--0.9% 30,784 Morgan Stanley Institutional Treasury Money Market Fund--0.52% (c) (Cost $30,784) 30,784 ------------- TOTAL INVESTMENTS--100.9% (Cost $4,635,115) (d) 3,395,570 NET OTHER ASSETS AND LIABILITIES--(0.9%) (29,656) ------------- NET ASSETS--100.0% $ 3,365,914 ============= See Notes to Quarterly Portfolio of Investments Page 20 FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at October 31, 2008. (d) Aggregate cost for federal income tax and financial reporting purposes. As of October 31, 2008, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $0 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $1,239,545. SECURITY VALUATION INPUTS A summary of the inputs used to value the Fund's net assets as of October 31, 2008 is as follows (See Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments). INVESTMENTS IN VALUATION INPUTS SECURITIES - ------------------------------------------------------------------------------- Level 1 - Quoted Prices - Investments $ 3,364,786 Level 2 - Other Significant Observable Inputs 30,784 Level 3 - Significant Unobservable Inputs -- - ------------------------------------------------------------------------------- Total $ 3,395,570 ==================== See Notes to Quarterly Portfolio of Investments Page 21 FIRST TRUST MATERIALS ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS--100.1% BUILDING PRODUCTS--4.8% 2,986 Armstrong World Industries, Inc. $ 58,616 1,948 Lennox International, Inc. 58,089 1,807 Owens Corning, Inc. (b) 28,424 ------------- 145,129 ------------- CHEMICALS--29.2% 1,739 Airgas, Inc. 66,708 2,952 Ashland, Inc. 66,686 1,360 Cabot Corp. 35,972 2,319 Celanese Corp., Class A 32,141 472 CF Industries Holding, Inc. 30,298 2,218 Cytec Industries, Inc. 62,814 2,036 Dow Chemical (The) Co. 54,300 1,072 E.I. du Pont de Nemours and Co. 34,304 784 Eastman Chemical Co. 31,666 2,223 Ecolab, Inc. 82,829 389 FMC Corp. 16,937 1,589 Huntsman Corp. 16,049 1,500 Lubrizol (The) Corp. 56,370 204 Monsanto Co. 18,152 1,082 Nalco Holding Co. 15,278 1,479 PPG Industries, Inc. 73,329 1,541 Rohm and Haas Co. 108,408 847 Scotts Miracle-Gro (The) Co., Class A 22,124 823 Sigma-Aldrich Corp. 36,097 680 Terra Industries, Inc. 14,953 899 Valspar (The) Corp. 18,385 ------------- 893,800 ------------- COMMERCIAL SERVICES & SUPPLIES--1.1% 971 Avery Dennison Corp. 34,004 ------------- CONSTRUCTION & ENGINEERING--7.3% 821 Aecom Technology Corp. (b) 14,474 358 Fluor Corp. 14,295 4,241 KBR, Inc. 62,936 3,197 Quanta Services, Inc. (b) 63,173 2,353 URS Corp. (b) 69,155 ------------- 224,033 ------------- CONSTRUCTION MATERIALS--1.5% 897 Eagle Materials, Inc. 15,886 177 Martin Marietta Materials, Inc. 13,873 267 Vulcan Materials Co. 14,493 ------------- 44,252 ------------- CONTAINERS & PACKAGING--15.2% 1,654 AptarGroup, Inc. 50,149 508 Ball Corp. 17,374 2,470 Bemis Co., Inc. 61,355 See Notes to Quarterly Portfolio of Investments Page 22 FIRST TRUST MATERIALS ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) CONTAINERS & PACKAGING (CONTINUED) 1,943 Crown Holdings, Inc. (b) $ 39,210 1,646 Greif, Inc., Class A 66,794 2,204 Owens-Illinois, Inc. (b) 50,428 1,861 Packaging Corp. of America 31,321 806 Pactiv Corp. (b) 18,989 1,962 Sealed Air Corp. 33,197 13,774 Smurfit-Stone Container Corp. (b) 18,595 1,452 Sonoco Products Co. 36,561 7,071 Temple-Inland, Inc. 41,931 ------------- 465,904 ------------- FOOD PRODUCTS--7.0% 3,938 Archer-Daniels-Midland Co. 81,635 1,708 Bunge Ltd. 65,604 2,676 Corn Products International, Inc. 65,080 ------------- 212,319 ------------- HOUSEHOLD PRODUCTS--1.3% 804 Energizer Holdings, Inc. (b) 39,283 ------------- MACHINERY--2.5% 3,046 Timken (The) Co. 48,371 522 Valmont Industries, Inc. 28,595 ------------- 76,966 ------------- METALS & MINING--23.6% 3,824 Alcoa, Inc. 44,014 4,205 Carpenter Technology Corp. 76,111 817 Cliffs Natural Resources, Inc. 22,051 6,389 Commercial Metals Co. 70,918 1,898 Freeport-McMoRan Copper & Gold, Inc. 55,232 2,732 Nucor Corp. 110,673 2,841 Reliance Steel & Aluminum Co. 71,139 2,748 Schnitzer Steel Industries, Inc., Class A 74,004 6,315 Steel Dynamics, Inc. 75,275 7,611 Titanium Metals Corp. 70,858 1,390 United States Steel Corp. 51,263 ------------- 721,538 ------------- PAPER & FOREST PRODUCTS--3.8% 14,076 Domtar Corp. (b) 34,908 2,475 International Paper Co. 42,620 2,778 MeadWestvaco Corp. 38,975 ------------- 116,503 ------------- SPECIALTY RETAIL--2.8% 1,509 Sherwin-Williams (The) Co. 85,877 ------------- See Notes to Quarterly Portfolio of Investments Page 23 FIRST TRUST MATERIALS ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- TOTAL COMMON STOCKS--100.1% (Cost $4,779,015) $ 3,059,608 MONEY MARKET FUND--0.7% 21,067 Morgan Stanley Institutional Treasury Money Market Fund --0.52% (c) (Cost $21,067) 21,067 ------------- TOTAL INVESTMENTS--100.8% (Cost $4,800,082) (d) 3,080,675 NET OTHER ASSETS AND LIABILITIES--(0.8%) (23,564) ------------- NET ASSETS--100.0% $ 3,057,111 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at October 31, 2008. (d) Aggregate cost for federal income tax and financial reporting purposes. As of October 31, 2008, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $16,126 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $1,735,533. SECURITY VALUATION INPUTS A summary of the inputs used to value the Fund's net assets as of October 31, 2008 is as follows (See Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments). INVESTMENTS IN VALUATION INPUTS SECURITIES - ------------------------------------------------------------------------------- Level 1 - Quoted Prices - Investments $ 3,059,608 Level 2 - Other Significant Observable Inputs 21,067 Level 3 - Significant Unobservable Inputs -- - ------------------------------------------------------------------------------- Total $ 3,080,675 ==================== See Notes to Quarterly Portfolio of Investments Page 24 FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS--100.0% AEROSPACE & DEFENSE--3.7% 1,937 General Dynamics Corp. $ 116,840 2,578 L-3 Communications Holdings, Inc. 209,256 ------------- 326,096 ------------- COMMUNICATIONS EQUIPMENT--9.5% 5,624 ADC Telecommunications, Inc. (b) 35,656 34,839 Brocade Communications Systems, Inc. (b) 131,343 2,107 Cisco Systems, Inc. (b) 37,441 1,972 EchoStar Corp. (b) 38,296 4,336 F5 Networks, Inc. (b) 107,620 3,086 Harris Corp. 110,942 5,617 JDS Uniphase Corp. (b) 30,669 2,255 Juniper Networks, Inc. (b) 42,259 6,656 Motorola, Inc. 35,743 3,318 QUALCOMM, Inc. 126,947 35,115 Tellabs, Inc. (b) 148,887 ------------- 845,803 ------------- COMPUTERS & PERIPHERALS--15.0% 2,884 Dell, Inc. (b) 35,041 11,920 EMC Corp. (b) 140,418 5,481 Hewlett-Packard Co. 209,812 1,734 International Business Machines Corp. 161,210 4,598 NCR Corp. (b) 84,051 5,561 NetApp, Inc. (b) 75,240 6,600 QLogic Corp. (b) 79,332 7,293 SanDisk Corp. (b) 64,835 20,912 Seagate Technology 141,574 33,349 Sun Microsystems, Inc. (b) 153,405 5,199 Teradata Corp. (b) 80,013 6,687 Western Digital Corp. (b) 110,336 ------------- 1,335,267 ------------- ELECTRICAL EQUIPMENT--2.2% 537 First Solar, Inc. (b) 77,167 1,273 Rockwell Automation, Inc. 35,224 2,010 SunPower Corp., Class A (b) 78,510 ------------- 190,901 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS--19.1% 5,051 Amphenol Corp., Class A 144,711 9,666 Arrow Electronics, Inc. (b) 168,672 10,291 Avnet, Inc. (b) 172,271 24,873 AVX Corp. 224,354 6,597 FLIR Systems, Inc. (b) 211,764 See Notes to Quarterly Portfolio of Investments Page 25 FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS (CONTINUED) 15,772 Ingram Micro, Inc., Class A (b) $ 210,241 21,254 Jabil Circuit, Inc. 178,746 6,748 National Instruments Corp. 171,399 1,838 Trimble Navigation Ltd. (b) 37,808 9,163 Tyco Electronics Ltd. 178,129 ------------- 1,698,095 ------------- INTERNET SOFTWARE & SERVICES--1.9% 2,053 Equinix, Inc. (b) 128,148 119 Google, Inc., Class A (b) 42,764 ------------- 170,912 ------------- IT SERVICES--7.1% 4,005 Affiliated Computer Services, Inc., Class A (b) 164,205 6,306 Computer Sciences Corp. (b) 190,189 2,389 NeuStar, Inc., Class A (b) 47,063 12,529 SAIC, Inc. (b) 231,411 ------------- 632,868 ------------- LIFE SCIENCES TOOLS & SERVICES--1.2% 5,710 PerkinElmer, Inc. 102,437 ------------- OFFICE ELECTRONICS--1.2% 5,119 Zebra Technologies Corp., Class A (b) 103,609 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--18.5% 19,311 Advanced Micro Devices, Inc. (b) 67,589 4,902 Altera Corp. 85,050 29,906 Atmel Corp. (b) 124,110 4,450 Cree, Inc. (b) 87,354 28,510 Fairchild Semiconductor International, Inc. (b) 161,937 26,062 Integrated Device Technology, Inc. (b) 165,754 10,826 Intel Corp. 173,215 12,229 Intersil Corp., Class A 167,415 3,307 Linear Technology Corp. 75,003 37,829 LSI Corp. (b) 145,642 50,065 Micron Technology, Inc. (b) 235,805 14,997 ON Semiconductor Corp. (b) 76,635 1,548 Silicon Laboratories, Inc. (b) 40,186 2,027 Xilinx, Inc. 37,337 ------------- 1,643,032 ------------- SOFTWARE--20.6% 5,137 Adobe Systems, Inc. (b) 136,850 5,207 Amdocs Ltd. (b) 117,470 3,765 ANSYS, Inc. (b) 107,792 4,249 Autodesk, Inc. (b) 90,546 1,660 BMC Software, Inc. (b) 42,861 2,381 CA, Inc. 42,382 37,493 Cadence Design Systems, Inc. (b) 152,597 1,881 Citrix Systems, Inc. (b) 48,473 See Notes to Quarterly Portfolio of Investments Page 26 FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 20,925 Compuware Corp. (b) $ 133,502 8,018 Intuit, Inc. (b) 200,930 5,971 McAfee, Inc. (b) 194,356 5,342 Microsoft Corp. 119,287 9,983 Oracle Corp. (b) 182,589 2,095 Salesforce.com, Inc. (b) 64,861 5,178 Symantec Corp. (b) 65,139 7,146 Synopsys, Inc. (b) 130,629 ------------- 1,830,264 ------------- TOTAL COMMON STOCKS--100.0% (Cost $12,200,424) 8,879,284 MONEY MARKET FUND--0.4% 33,669 Morgan Stanley Institutional Treasury Money Market Fund--0.52% (c) (Cost $33,669) 33,669 ------------- TOTAL INVESTMENTS--100.4% (Cost $12,234,092) (d) 8,912,953 NET OTHER ASSETS AND LIABILITIES--(0.4%) (31,332) ------------- NET ASSETS--100.0% $ 8,881,621 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at October 31, 2008. (d) Aggregate cost for federal income tax and financial reporting purposes . As of October 31, 2008, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $15,776 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $3,336,915. See Notes to Quarterly Portfolio of Investments Page 27 FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SECURITY VALUATION INPUTS A summary of the inputs used to value the Fund's net assets as of October 31, 2008 is as follows (See Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments). INVESTMENTS IN VALUATION INPUTS SECURITIES - ------------------------------------------------------------------------------- Level 1 - Quoted Prices - Investments $ 8,879,284 Level 2 - Other Significant Observable Inputs 33,669 Level 3 - Significant Unobservable Inputs -- - ------------------------------------------------------------------------------- Total $ 8,912,953 ==================== See Notes to Quarterly Portfolio of Investments Page 28 FIRST TRUST UTILITIES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS--99.9% DIVERSIFIED TELECOMMUNICATION SERVICES--13.9% 16,998 AT&T, Inc. $ 455,037 12,949 CenturyTel, Inc. 325,149 2,128 Embarq Corp. 63,840 16,507 Frontier Communications Corp. 125,618 70,307 Level 3 Communications, Inc. (b) 73,822 80,142 Qwest Communications International, Inc. 229,206 8,067 Verizon Communications, Inc. 239,348 23,662 Windstream Corp. 177,702 ------------- 1,689,722 ------------- ELECTRIC UTILITIES--23.7% 10,253 American Electric Power Co., Inc. 334,555 3,479 DPL, Inc. 79,356 21,782 Duke Energy Corp. 356,789 9,515 Edison International 338,639 1,288 FirstEnergy Corp. 67,182 11,650 Great Plains Energy, Inc. 226,476 7,401 Northeast Utilities 166,967 11,299 Pepco Holdings, Inc. 233,324 13,792 Pinnacle West Capital Corp. 436,517 6,002 Progress Energy, Inc. 236,299 49,538 Sierra Pacific Resources 410,670 ------------- 2,886,774 ------------- GAS UTILITIES--9.1% 2,750 AGL Resources, Inc. 83,600 14,262 Atmos Energy Corp. 346,138 5,717 Energen Corp. 191,920 2,046 National Fuel Gas Co. 74,045 2,508 ONEOK, Inc. 80,005 4,639 Questar Corp. 159,860 7,363 UGI Corp. 175,755 ------------- 1,111,323 ------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS--3.9% 19,530 Constellation Energy Group, Inc. 472,821 ------------- MULTI-UTILITIES--39.5% 14,734 Alliant Energy Corp. 432,884 9,727 Ameren Corp. 315,641 32,572 CenterPoint Energy, Inc. 375,229 20,758 CMS Energy Corp. 212,770 8,837 Consolidated Edison, Inc. 382,819 8,875 Dominion Resources, Inc. 321,985 9,463 DTE Energy Co. 334,044 3,801 Integrys Energy Group, Inc. 181,194 6,546 MDU Resources Group, Inc. 119,203 32,153 NiSource, Inc. 416,703 2,576 NSTAR 85,137 8,383 OGE Energy Corp. 228,856 6,912 PG&E Corp. 253,463 7,110 Puget Energy, Inc. 166,587 4,876 SCANA Corp. 160,469 See Notes to Quarterly Portfolio of Investments Page 29 FIRST TRUST UTILITIES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) MULTI-UTILITIES (CONTINUED) 3,761 Sempra Energy $ 160,181 24,136 TECO Energy, Inc. 278,529 3,098 Vectren Corp. 78,070 1,922 Wisconsin Energy Corp. 83,607 12,949 Xcel Energy, Inc. 225,572 ------------- 4,812,943 ------------- OIL, GAS & CONSUMABLE FUELS--3.2% 18,385 Southern Union Co. 316,590 3,625 Spectra Energy Corp. 70,071 ------------- 386,661 ------------- WIRELESS TELECOMMUNICATION SERVICES--6.6% 2,275 NII Holdings, Inc. (b) 58,604 13,275 Telephone and Data Systems, Inc. 356,434 10,115 United States Cellular Corp. (b) 387,505 ------------- 802,543 ------------- TOTAL COMMON STOCKS--99.9% (Cost $14,971,688) 12,162,787 MONEY MARKET FUND--0.1% 16,986 Morgan Stanley Institutional Treasury Money Market Fund-- 0.52% (c) (Cost $16,986) 16,986 ------------- TOTAL INVESTMENTS--100.0% (Cost $14,988,674) (d) 12,179,773 NET OTHER ASSETS AND LIABILITIES--0.0% 1,584 ------------- NET ASSETS--100.0% $ 12,181,357 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at October 31, 2008. (d) Aggregate cost for federal income tax and financial reporting purposes. As of October 31, 2008, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $31,287 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $2,840,188. See Notes to Quarterly Portfolio of Investments Page 30 FIRST TRUST UTILITIES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SECURITY VALUATION INPUTS A summary of the inputs used to value the Fund's net assets as of October 31, 2008 is as follows (See Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments). INVESTMENTS VALUATION INPUTS IN SECURITIES - ------------------------------------------------------------------------------- Level 1 - Quoted Prices - Investments $ 12,162,787 Level 2 - Other Significant Observable Inputs 16,986 Level 3 - Significant Unobservable Inputs -- - ------------------------------------------------------------------------------- Total $ 12,179,773 ==================== See Notes to Quarterly Portfolio of Investments Page 31 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS--100.0% AEROSPACE & DEFENSE--2.7% 211 Boeing Co. (The) $ 11,029 329 General Dynamics Corp. 19,845 1,166 Goodrich Corp. 42,629 584 Honeywell International, Inc. 17,783 493 L-3 Communications Holdings, Inc. 40,017 553 Lockheed Martin Corp. 47,032 801 Northrop Grumman Corp. 37,559 616 Precision Castparts Corp. 39,923 453 Raytheon Co. 23,153 252 Rockwell Collins, Inc. 9,382 ------------- 288,352 ------------- AIR FREIGHT & LOGISTICS--0.7% 952 C.H. Robinson Worldwide, Inc. 49,294 307 FedEx Corp. 20,069 193 United Parcel Service, Inc., Class B 10,187 ------------- 79,550 ------------- AIRLINES--0.3% 2,507 Southwest Airlines Co. 29,532 ------------- AUTO COMPONENTS--0.3% 1,599 Johnson Controls, Inc. 28,350 ------------- AUTOMOBILES--0.1% 325 Harley-Davidson, Inc. 7,956 ------------- BEVERAGES--1.9% 748 Anheuser-Busch Cos., Inc. 46,398 633 Brown-Forman Corp., Class B 28,738 459 Coca-Cola (The) Co. 20,224 1,695 Constellation Brands, Inc., Class A (b) 21,255 519 Molson Coors Brewing Co., Class B 19,390 1,247 Pepsi Bottling Group (The), Inc. 28,831 681 PepsiCo, Inc. 38,824 ------------- 203,660 ------------- BIOTECHNOLOGY--1.4% 614 Amgen, Inc. (b) 36,772 575 Celgene Corp. (b) 36,950 750 Genzyme Corp. (b) 54,660 532 Gilead Sciences, Inc. (b) 24,392 ------------- 152,774 ------------- See Notes to Quarterly Portfolio of Investments Page 32 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) CAPITAL MARKETS--1.9% 317 Ameriprise Financial, Inc. $ 6,847 372 Bank of New York Mellon (The) Corp. 12,127 2,332 Charles Schwab (The) Corp. 44,588 379 Goldman Sachs Group (The), Inc. 35,058 1,156 Invesco Ltd. 17,236 999 Janus Capital Group, Inc. 11,728 840 Northern Trust Corp. 47,299 213 State Street Corp. 9,234 677 T. Rowe Price Group, Inc. 26,769 ------------- 210,886 ------------- CHEMICALS--3.4% 354 Air Products and Chemicals, Inc. 20,578 2,074 Ashland, Inc. 46,852 265 CF Industries Holding, Inc. 17,010 1,526 Dow Chemical (The) Co. 40,698 903 E.I. du Pont de Nemours & Co. 28,896 661 Eastman Chemical Co. 26,698 1,250 Ecolab, Inc. 46,575 3,064 Hercules, Inc. 51,507 307 International Flavors & Fragrances, Inc. 9,787 245 Monsanto Co. 21,800 624 PPG Industries, Inc. 30,938 169 Praxair, Inc. 11,010 463 Sigma-Aldrich Corp. 20,307 ------------- 372,656 ------------- COMMERCIAL BANKS--1.3% 321 BB&T Corp. 11,508 370 Comerica, Inc. 10,208 3,035 Huntington Bancshares, Inc. 28,681 5,053 Regions Financial Corp. 56,037 270 SunTrust Banks, Inc. 10,838 627 Zions Bancorporation 23,895 ------------- 141,167 ------------- COMMERCIAL SERVICES & SUPPLIES--1.4% 4,366 Allied Waste Industries, Inc. (b) 45,494 545 Avery Dennison Corp. 19,086 1,267 Cintas Corp. 30,028 365 Pitney Bowes, Inc. 9,045 1,483 R.R. Donnelley & Sons Co. 24,573 770 Waste Management, Inc. 24,047 ------------- 152,273 ------------- See Notes to Quarterly Portfolio of Investments Page 33 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) COMMUNICATIONS EQUIPMENT--1.9% 6,015 Ciena Corp.(b) $ 57,804 538 Cisco Systems, Inc. (b) 9,560 3,877 Corning, Inc. 41,988 787 Harris Corp. 28,293 576 Juniper Networks, Inc. (b) 10,794 847 QUALCOMM, Inc. 32,406 5,974 Tellabs, Inc.(b) 25,330 ------------- 206,175 ------------- COMPUTERS & PERIPHERALS--2.1% 3,042 EMC Corp. (b) 35,835 1,311 Hewlett-Packard Co. 50,185 311 International Business Machines Corp. 28,914 745 Lexmark International, Inc., Class A (b) 19,243 665 NetApp, Inc. (b) 8,997 2,368 QLogic Corp. (b) 28,463 620 SanDisk Corp. (b) 5,512 7,978 Sun Microsystems, Inc. (b) 36,699 622 Teradata Corp. (b) 9,573 ------------- 223,421 ------------- CONSTRUCTION & ENGINEERING--0.2% 218 Fluor Corp. 8,705 223 Jacobs Engineering Group, Inc. (b) 8,124 ------------- 16,829 ------------- CONSTRUCTION MATERIALS--0.3% 651 Vulcan Materials Co. 35,336 ------------- CONSUMER FINANCE--0.5% 713 Capital One Financial Corp. 27,892 1,755 Discover Financial Services 21,499 ------------- 49,391 ------------- CONTAINERS & PACKAGING--1.2% 307 Ball Corp. 10,499 1,388 Bemis Co., Inc. 34,478 2,442 Pactiv Corp. (b) 57,534 1,654 Sealed Air Corp. 27,986 ------------- 130,497 ------------- DISTRIBUTORS--0.2% 603 Genuine Parts Co. 23,728 ------------- See Notes to Quarterly Portfolio of Investments Page 34 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) DIVERSIFIED CONSUMER SERVICES--1.0% 1,022 Apollo Group, Inc., Class A (b) $ 71,039 2,132 H&R Block, Inc. 42,043 ------------- 113,082 ------------- DIVERSIFIED FINANCIAL SERVICES--0.6% 8,712 CIT Group, Inc. 36,068 260 JPMorgan Chase & Co. 10,725 801 Leucadia National Corp. 21,499 ------------- 68,292 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES--2.0% 2,172 AT&T, Inc. 58,144 1,654 CenturyTel, Inc. 41,532 598 Embarq Corp. 17,940 1,054 Frontier Communications Corp. 8,021 11,263 Qwest Communications International, Inc. 32,212 1,134 Verizon Communications, Inc. 33,646 3,325 Windstream Corp. 24,971 ------------- 216,466 ------------- ELECTRIC UTILITIES--3.3% 660 Allegheny Energy, Inc. 19,899 1,310 American Electric Power Co., Inc. 42,745 2,783 Duke Energy Corp. 45,586 1,216 Edison International 43,277 272 Entergy Corp. 21,230 362 FirstEnergy Corp. 18,882 241 FPL Group, Inc. 11,385 2,117 Pepco Holdings, Inc. 43,716 1,762 Pinnacle West Capital Corp. 55,767 328 PPL Corp. 10,765 843 Progress Energy, Inc. 33,189 322 Southern Co. 11,057 ------------- 357,498 ------------- ELECTRICAL EQUIPMENT--0.4% 911 Cooper Industries Ltd., Class A 28,196 595 Emerson Electric Co. 19,474 ------------- 47,670 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS--1.4% 409 Agilent Technologies, Inc. (b) 9,076 906 Amphenol Corp., Class A 25,957 5,085 Jabil Circuit, Inc. 42,765 2,161 Molex, Inc. 31,140 2,192 Tyco Electronics Ltd. 42,612 ------------- 151,550 ------------- See Notes to Quarterly Portfolio of Investments Page 35 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) ENERGY EQUIPMENT & SERVICES--2.1% 629 Cameron International Corp.(b) $ 15,260 1,052 ENSCO International, Inc. 39,987 374 Halliburton Co. 7,401 2,433 Nabors Industries Ltd. (b) 34,987 724 National Oilwell Varco, Inc. (b) 21,640 1,381 Noble Corp. 44,482 1,985 Rowan Cos., Inc. 36,008 207 Smith International, Inc. 7,137 1,447 Weatherford International Ltd. (b) 24,425 ------------- 231,327 ------------- FOOD & STAPLES RETAILING--3.1% 934 Costco Wholesale Corp. 53,247 1,081 CVS Caremark Corp. 33,133 441 Kroger (The) Co. 12,110 2,556 Safeway, Inc. 54,366 2,794 SUPERVALU, Inc. 39,787 1,967 Sysco Corp. 51,535 783 Walgreen Co. 19,935 1,012 Wal-Mart Stores, Inc. 56,479 1,816 Whole Foods Market, Inc. 19,468 ------------- 340,060 ------------- FOOD PRODUCTS--3.1% 2,767 Archer-Daniels-Midland Co. 57,360 1,571 Campbell Soup Co. 59,619 882 General Mills, Inc. 59,747 920 Hershey (The) Co. 34,261 1,081 Kellogg Co. 54,504 1,262 McCormick & Co., Inc. 42,479 3,047 Tyson Foods, Inc., Class A 26,631 ------------- 334,601 ------------- GAS UTILITIES--0.2% 547 Nicor, Inc. 25,277 ------------- HEALTH CARE EQUIPMENT & SUPPLIES--2.5% 739 Baxter International, Inc. 44,702 302 Becton, Dickinson & Co. 20,959 988 Boston Scientific Corp. (b) 8,922 383 C.R. Bard, Inc. 33,800 952 Hospira, Inc. (b) 26,485 50 Intuitive Surgical, Inc. (b) 8,640 484 Medtronic, Inc. 19,520 1,115 St. Jude Medical, Inc. (b) 42,403 389 Stryker Corp. 20,796 1,061 Varian Medical Systems, Inc. (b) 48,285 ------------- 274,512 ------------- See Notes to Quarterly Portfolio of Investments Page 36 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES--3.6% 1,007 Aetna, Inc. $ 25,044 322 AmerisourceBergen Corp. 10,069 246 Cardinal Health, Inc. 9,397 357 CIGNA Corp. 5,819 1,118 Coventry Health Care, Inc. (b) 14,746 851 DaVita, Inc. (b) 48,294 821 Express Scripts, Inc. (b) 49,761 1,177 Humana, Inc. (b) 34,827 349 Laboratory Corp. of America Holdings (b) 21,460 225 McKesson Corp. 8,278 1,347 Medco Health Solutions, Inc. (b) 51,119 399 Patterson Cos., Inc. (b) 10,107 1,173 Quest Diagnostics, Inc. 54,896 1,296 WellPoint, Inc. (b) 50,376 ------------- 394,193 ------------- HOTELS, RESTAURANTS & LEISURE--1.6% 1,372 Carnival Corp. 34,850 847 Darden Restaurants, Inc. 18,778 590 McDonald's Corp. 34,179 816 Starbucks Corp. (b) 10,714 862 Starwood Hotels & Resorts Worldwide, Inc. 19,429 3,860 Wyndham Worldwide Corp. 31,613 744 Yum! Brands, Inc. 21,583 ------------- 171,146 ------------- HOUSEHOLD DURABLES--1.7% 399 Black & Decker (The) Corp. 20,197 211 Fortune Brands, Inc. 8,048 356 Harman International Industries, Inc. 6,540 2,108 Newell Rubbermaid, Inc. 28,985 3,472 Pulte Homes, Inc. 38,677 461 Snap-on, Inc. 17,034 1,162 Stanley Works (The) 38,044 612 Whirlpool Corp. 28,550 ------------- 186,075 ------------- HOUSEHOLD PRODUCTS--1.6% 967 Clorox (The) Co. 58,804 644 Colgate-Palmolive Co. 40,417 748 Kimberly-Clark Corp. 45,845 522 Procter & Gamble (The) Co. 33,690 ------------- 178,756 ------------- INDUSTRIAL CONGLOMERATES--0.9% 355 3M Co. 22,827 476 General Electric Co. 9,287 See Notes to Quarterly Portfolio of Investments Page 37 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) INDUSTRIAL CONGLOMERATES (CONTINUED) 1,657 Textron, Inc. $ 29,329 1,385 Tyco International Ltd. 35,012 ------------- 96,455 ------------- INSURANCE--2.8% 413 Aflac,Inc. 18,288 263 Allstate (The) Corp. 6,941 539 Aon Corp. 22,800 220 Assurant, Inc. 5,606 884 Chubb (The) Corp. 45,808 426 Cincinnati Financial Corp. 11,072 4,225 Genworth Financial, Inc., Class A 20,449 1,183 Hartford Financial Services Group (The), Inc. 12,209 567 Lincoln National Corp. 9,775 921 Loews Corp. 30,586 217 MetLife, Inc. 7,209 1,394 Progressive (The) Corp. 19,892 337 Prudential Financial, Inc. 10,110 406 Torchmark Corp. 16,959 1,341 Travelers (The) Cos., Inc. 57,059 483 Unum Group 7,607 ------------- 302,370 ------------- INTERNET & CATALOG RETAIL--0.4% 667 Amazon.com, Inc. (b) 38,179 ------------- IT SERVICES--2.6% 719 Affiliated Computer Services, Inc., Class A (b) 29,479 851 Automatic Data Processing, Inc. 29,742 1,509 Computer Sciences Corp. (b) 45,511 4,102 Convergys Corp. (b) 31,544 3,285 Fidelity National Information Services, Inc. 49,572 1,281 Fiserv, Inc. (b) 42,734 68 MasterCard, Inc., Class A 10,052 367 Paychex, Inc. 10,474 1,966 Western Union Co. 30,001 ------------- 279,109 ------------- LEISURE EQUIPMENT & PRODUCTS--0.5% 788 Eastman Kodak Co. 7,234 699 Hasbro, Inc. 20,320 2,017 Mattel, Inc. 30,295 ------------- 57,849 ------------- LIFE SCIENCES TOOLS & SERVICES--1.1% 708 Applied Biosystems, Inc. 21,828 353 Millipore Corp. (b) 18,317 See Notes to Quarterly Portfolio of Investments Page 38 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) LIFE SCIENCES TOOLS & SERVICES (CONTINUED) 1,457 PerkinElmer, Inc. $ 26,139 882 Thermo Fisher Scientific, Inc. (b) 35,808 417 Waters Corp. (b) 18,265 ------------- 120,357 ------------- MACHINERY--3.1% 203 Caterpillar, Inc. 7,749 555 Cummins, Inc. 14,347 349 Danaher Corp. 20,675 490 Deere & Co. 18,894 598 Dover Corp. 18,998 1,079 Eaton Corp. 48,124 546 Illinois Tool Works, Inc. 18,231 1,556 Ingersoll-Rand Co. Ltd., Class A 28,708 872 ITT Corp. 38,804 3,899 Manitowoc (The) Co., Inc. 38,366 635 PACCAR, Inc. 18,567 705 Pall Corp. 18,619 1,144 Parker Hannifin Corp. 44,353 ------------- 334,435 ------------- MEDIA--3.1% 4,159 CBS Corp., Class B 40,384 1,236 Comcast Corp., Class A 19,479 2,317 DIRECTV Group (The), Inc. (b) 50,719 1,730 Meredith Corp. 33,510 849 New York Times (The) Co., Class A 8,490 5,057 News Corp., Class A 53,806 314 Omnicom Group, Inc. 9,276 4,625 Time Warner, Inc. 46,666 1,465 Viacom, Inc., Class B (b) 29,622 1,185 Walt Disney (The) Co. 30,692 22 Washington Post (The) Co., Class B 9,390 ------------- 332,034 ------------- METALS & MINING--1.2% 2,339 AK Steel Holding Corp. 32,559 2,685 Alcoa, Inc. 30,904 2,052 Allegheny Technologies, Inc. 54,461 313 Newmont Mining Corp. 8,244 156 United States Steel Corp. 5,753 ------------- 131,921 ------------- MULTILINE RETAIL--2.8% 871 Big Lots, Inc. (b) 21,279 5,138 Dillard's, Inc., Class A 27,386 2,558 Family Dollar Stores, Inc. 68,835 1,819 J. C. Penney Co., Inc. 43,510 See Notes to Quarterly Portfolio of Investments Page 39 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) MULTILINE RETAIL (CONTINUED) 1,053 Kohl's Corp.(b) $ 36,992 3,372 Macy's, Inc. 41,442 842 Nordstrom, Inc. 15,232 389 Sears Holdings Corp. (b) 22,461 742 Target Corp. 29,769 ------------- 306,906 ------------- MULTI-UTILITIES--4.5% 1,243 Ameren Corp. 40,335 1,665 CenterPoint Energy, Inc. 19,181 3,890 CMS Energy Corp. 39,873 1,129 Consolidated Edison, Inc. 48,907 1,134 Dominion Resources, Inc. 41,142 1,209 DTE Energy Co. 42,678 728 Integrys Energy Group, Inc. 34,704 3,286 NiSource, Inc. 42,587 1,295 PG&E Corp. 47,488 370 Public Service Enterprise Group, Inc. 10,416 721 Sempra Energy 30,707 3,084 TECO Energy, Inc. 35,589 2,427 Xcel Energy, Inc. 42,278 ------------- 475,885 ------------- OFFICE ELECTRONICS--0.2% 2,103 Xerox Corp. 16,866 ------------- OIL, GAS & CONSUMABLE FUELS--5.2% 750 Anadarko Petroleum Corp. 26,475 233 Apache Corp. 19,183 735 Chevron Corp. 54,831 662 ConocoPhillips 34,437 133 Devon Energy Corp. 10,754 2,851 El Paso Corp. 27,655 468 Exxon Mobil Corp. 34,688 591 Hess Corp. 35,584 1,521 Marathon Oil Corp. 44,261 567 Murphy Oil Corp. 28,713 654 Noble Energy 33,890 861 Occidental Petroleum Corp. 47,820 696 Pioneer Natural Resources Co. 19,370 794 Southwestern Energy Co. (b) 28,282 1,019 Spectra Energy Corp. 19,697 682 Sunoco, Inc. 20,801 2,206 Tesoro Corp. 21,332 400 Valero Energy Corp. 8,232 1,538 Williams (The) Cos., Inc. 32,252 261 XTO Energy, Inc. 9,383 ------------- 557,640 ------------- PAPER & FOREST PRODUCTS--0.6% 1,853 International Paper Co. 31,909 See Notes to Quarterly Portfolio of Investments Page 40 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) PAPER & FOREST PRODUCTS (CONTINUED) 2,601 MeadWestvaco Corp. $ 36,492 ------------- 68,401 ------------- PERSONAL PRODUCTS--0.7% 1,459 Avon Products, Inc. 36,227 1,215 Estee Lauder (The) Cos., Inc., Class A 43,789 ------------- 80,016 ------------- PHARMACEUTICALS--3.9% 842 Abbott Laboratories 46,436 471 Allergan, Inc. 18,685 929 Barr Pharmaceuticals, Inc. (b) 59,697 551 Eli Lilly & Co. 18,635 700 Johnson & Johnson 42,938 5,063 King Pharmaceuticals, Inc. (b) 44,504 384 Merck & Co., Inc. 11,885 4,247 Mylan, Inc. (b) 36,397 1,973 Pfizer, Inc. 34,942 1,970 Schering-Plough Corp. 28,545 1,702 Watson Pharmaceuticals, Inc. (b) 44,541 985 Wyeth 31,697 ------------- 418,902 ------------- PROFESSIONAL SERVICES--0.9% 1,408 Equifax, Inc. 36,721 1,627 Monster Worldwide, Inc.(b) 23,168 1,960 Robert Half International, Inc. 36,985 ------------- 96,874 ------------- REAL ESTATE INVESTMENT TRUSTS--0.8% 1,825 Host Hotels & Resorts, Inc. 18,871 730 Plum Creek Timber Co., Inc. 27,214 294 ProLogis 4,116 490 Public Storage 39,935 ------------- 90,136 ------------- ROAD & RAIL--0.9% 394 Burlington Northern Santa Fe Corp. 35,089 222 CSX Corp. 10,150 183 Norfolk Southern Corp. 10,969 782 Ryder System, Inc. 30,983 170 Union Pacific Corp. 11,351 ------------- 98,542 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--2.6% 2,310 Advanced Micro Devices, Inc. (b) 8,085 586 Altera Corp. 10,167 See Notes to Quarterly Portfolio of Investments Page 41 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 920 Analog Devices, Inc. $ 19,651 801 Applied Materials, Inc. 10,341 1,942 Intel Corp. 31,072 766 KLA-Tencor Corp. 17,810 396 Linear Technology Corp. 8,981 11,977 Micron Technology, Inc. (b) 56,411 1,852 Novellus Systems, Inc. (b) 29,262 4,658 Teradyne, Inc. (b) 23,756 2,820 Texas Instruments, Inc. 55,159 517 Xilinx, Inc. 9,523 ------------- 280,218 ------------- SOFTWARE--2.1% 1,229 Adobe Systems, Inc. (b) 32,741 723 Autodesk, Inc. (b) 15,407 424 BMC Software, Inc. (b) 10,948 5,006 Compuware Corp. (b) 31,938 1,918 Intuit, Inc. (b) 48,065 909 Microsoft Corp. 20,298 1,791 Oracle Corp. (b) 32,757 251 Salesforce.com, Inc. (b) 7,771 2,477 Symantec Corp. (b) 31,161 ------------- 231,086 ------------- SPECIALTY RETAIL--4.9% 5,394 AutoNation, Inc. (b) 37,057 393 AutoZone, Inc. (b) 50,024 1,544 Bed Bath & Beyond, Inc. (b) 39,789 970 Best Buy Co., Inc. 26,006 354 GameStop Corp., Class A (b) 9,696 2,046 Gap (The), Inc. 26,475 937 Home Depot (The), Inc. 22,104 2,801 Limited Brands, Inc. 33,556 2,048 Lowe's Cos., Inc. 44,442 10,418 Office Depot, Inc. (b) 37,505 2,807 RadioShack Corp. 35,537 1,061 Sherwin-Williams (The) Co. 60,381 2,156 Staples, Inc. 41,891 1,024 Tiffany & Co. 28,109 1,192 TJX (The) Cos., Inc. 31,898 ------------- 524,470 ------------- TEXTILES, APPAREL & LUXURY GOODS--1.2% 1,965 Jones Apparel Group, Inc. 21,831 906 NIKE, Inc., Class B 52,213 910 Polo Ralph Lauren Corp. 42,925 314 VF Corp. 17,301 ------------- 134,270 ------------- THRIFTS & MORTGAGE FINANCE--0.6% 3,286 Hudson City Bancorp, Inc. 61,810 See Notes to Quarterly Portfolio of Investments Page 42 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) THRIFTS & MORTGAGE FINANCE (CONTINUED) 1,725 MGIC Investment Corp. $ 6,693 ------------- 68,503 ------------- TOBACCO--1.4% 1,834 Altria Group, Inc. 35,194 170 Lorillard, Inc. 11,196 252 Philip Morris International, Inc. 10,954 998 Reynolds American, Inc. 48,862 729 UST, Inc. 49,274 ------------- 155,480 ------------- TRADING COMPANIES & DISTRIBUTORS--1.0% 1,228 Fastenal Co. 49,439 697 W.W. Grainger, Inc. 54,764 ------------- 104,203 ------------- TOTAL COMMON STOCKS--100.0% (Cost $13,919,394) 10,844,145 MONEY MARKET FUND--0.3% 29,956 Morgan Stanley Institutional Treasury Money Market Fund--0.52% (c) (Cost $29,956) 29,956 ------------- TOTAL INVESTMENTS--100.3% (Cost $13,949,350) (d) 10,874,101 NET OTHER ASSETS AND LIABILITIES--(0.3%) (27,594) ------------- NET ASSETS--100.0% $ 10,846,507 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at October 31, 2008. (d) Aggregate cost for federal income tax and financial reporting purposes. As of October 31, 2008, aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $215,124 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $3,290,373. See Notes to Quarterly Portfolio of Investments Page 43 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SECURITY VALUATION INPUTS A summary of the inputs used to value the Fund's net assets as of October 31, 2008 is as follows (See Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments). INVESTMENTS VALUATION INPUTS IN SECURITIES - ------------------------------------------------------------------------------- Level 1 - Quoted Prices - Investments $ 10,844,145 Level 2 - Other Significant Observable Inputs 29,956 Level 3 - Significant Unobservable Inputs -- - ------------------------------------------------------------------------------- Total $ 10,874,101 =================== See Notes to Quarterly Portfolio of Investments Page 44 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS--100.0% AEROSPACE & DEFENSE--0.8% 231 Alliant Techsystems, Inc. (b) $ 19,067 3,424 BE Aerospace, Inc. (b) 44,067 ------------- 63,134 ------------- AIRLINES--1.5% 8,922 AirTran Holdings, Inc. (b) 36,491 2,658 Alaska Air Group, Inc. (b) 65,652 2,190 JetBlue Airways Corp. (b) 12,155 ------------- 114,298 ------------- AUTO COMPONENTS--0.9% 2,494 ArvinMeritor, Inc. 14,764 1,323 BorgWarner, Inc. 29,728 1,516 Gentex Corp. 14,538 5,162 Lear Corp. (b) 10,376 ------------- 69,406 ------------- AUTOMOBILES--0.3% 1,310 Thor Industries, Inc. 23,449 ------------- BEVERAGES--0.6% 358 Hansen Natural Corp. (b) 9,065 2,093 PepsiAmericas, Inc. 39,620 ------------- 48,685 ------------- BIOTECHNOLOGY--1.1% 420 Cephalon, Inc. (b) 30,122 515 United Therapeutics Corp. (b) 44,924 326 Vertex Pharmaceuticals, Inc. (b) 8,544 ------------- 83,590 ------------- CAPITAL MARKETS--1.3% 1,907 Apollo Investment Corp. 25,134 308 Eaton Vance Corp. 6,776 1,452 Jefferies Group, Inc. 22,985 1,643 Raymond James Financial, Inc. 38,266 438 Waddell & Reed Financial, Inc., Class A 6,360 ------------- 99,521 ------------- CHEMICALS--3.6% 873 Airgas, Inc. 33,488 1,054 Albemarle Corp. 25,665 1,023 Cabot Corp. 27,058 1,393 Cytec Industries, Inc. 39,451 422 FMC Corp. 18,374 1,005 Lubrizol (The) Corp. 37,768 183 Minerals Technologies, Inc. 10,387 1,676 Olin Corp. 30,436 See Notes to Quarterly Portfolio of Investments Page 45 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) CHEMICALS (CONTINUED) 771 Sensient Technologies Corp. $ 19,452 369 Terra Industries, Inc. 8,114 973 Valspar (The) Corp. 19,898 ------------- 270,091 ------------- COMMERCIAL BANKS--2.8% 1,087 Associated Banc-Corp. 23,979 1,822 Cathay General Bancorp 44,603 200 City National Corp. 10,706 2,758 Colonial BancGroup (The), Inc. 11,197 701 Commerce Bancshares, Inc. 33,143 936 SVB Financial Group (b) 48,157 1,047 Synovus Financial Corp. 10,816 602 TCF Financial Corp. 10,679 429 Webster Financial Corp. 7,954 188 Westamerica Bancorporation 10,763 ------------- 211,997 ------------- COMMERCIAL SERVICES & SUPPLIES--3.2% 711 Brink's (The) Co. 34,476 571 Copart, Inc. (b) 19,928 436 Corrections Corp. of America (b) 8,332 2,260 Deluxe Corp. 27,482 1,329 Herman Miller, Inc. 29,238 1,283 HNI Corp. 23,505 284 Mine Safety Appliances Co. 7,668 362 Republic Services, Inc. 8,579 2,284 Rollins, Inc. 40,130 736 Stericycle, Inc. (b) 43,005 ------------- 242,343 ------------- COMMUNICATIONS EQUIPMENT--2.0% 1,283 ADC Telecommunications, Inc. (b) 8,134 1,112 ADTRAN, Inc. 16,902 1,060 Avocent Corp. (b) 15,921 626 CommScope, Inc. (b) 9,208 464 F5 Networks, Inc. (b) 11,516 2,976 Foundry Networks, Inc. (b) 44,195 963 Plantronics, Inc. 13,906 1,406 Polycom, Inc. (b) 29,540 ------------- 149,322 ------------- COMPUTERS & PERIPHERALS--0.4% 492 NCR Corp. (b) 8,994 1,017 Western Digital Corp. (b) 16,780 ------------- 25,774 ------------- CONSTRUCTION & ENGINEERING--2.2% 3,330 Dycom Industries, Inc. (b) 29,571 908 Granite Construction, Inc. 32,388 2,839 KBR, Inc. 42,131 See Notes to Quarterly Portfolio of Investments Page 46 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) CONSTRUCTION & ENGINEERING (CONTINUED) 1,605 Quanta Services, Inc.(b) $ 31,715 887 URS Corp. (b) 26,069 ------------- 161,873 ------------- CONSTRUCTION MATERIALS--0.1% 97 Martin Marietta Materials, Inc. 7,603 ------------- CONTAINERS & PACKAGING--1.6% 831 AptarGroup, Inc. 25,196 826 Greif, Inc., Class A 33,520 935 Packaging Corp. of America 15,736 1,096 Sonoco Products Co. 27,597 3,552 Temple-Inland, Inc. 21,063 ------------- 123,112 ------------- DIVERSIFIED CONSUMER SERVICES--3.5% 1,326 Career Education Corp. (b) 20,964 3,613 Corinthian Colleges, Inc. (b) 51,594 875 DeVry, Inc. 49,604 134 ITT Educational Services, Inc. (b) 11,745 641 Matthews International Corp., Class A 28,608 1,577 Regis Corp. 19,507 5,186 Service Corp. International 35,783 217 Strayer Education, Inc. 49,101 ------------- 266,906 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES--0.1% 3,508 Cincinnati Bell, Inc. (b) 8,384 ------------- ELECTRIC UTILITIES--2.5% 874 DPL, Inc. 19,936 1,463 Great Plains Energy, Inc. 28,441 372 Hawaiian Electric Industries, Inc. 9,903 1,118 IDACORP, Inc. 29,806 845 Northeast Utilities 19,063 5,657 Sierra Pacific Resources 46,896 1,882 Westar Energy, Inc. 36,680 ------------- 190,725 ------------- ELECTRICAL EQUIPMENT--1.4% 532 AMETEK, Inc. 17,689 1,237 Hubbell, Inc., Class B 44,371 190 Roper Industries, Inc. 8,617 1,387 Thomas & Betts Corp. (b) 32,941 ------------- 103,618 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS--2.8% 2,067 Arrow Electronics, Inc. (b) 36,069 2,200 Avnet, Inc. (b) 36,828 1,411 FLIR Systems, Inc. (b) 45,293 2,698 Ingram Micro, Inc., Class A (b) 35,964 See Notes to Quarterly Portfolio of Investments Page 47 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS (CONTINUED) 1,082 National Instruments Corp. $ 27,483 1,453 Tech Data Corp. (b) 31,167 ------------- 212,804 ------------- ENERGY EQUIPMENT & SERVICES--3.0% 1,357 Exterran Holdings, Inc. (b) 30,410 233 FMC Technologies, Inc. (b) 8,153 1,004 Helmerich & Payne, Inc. 34,447 2,707 Patterson-UTI Energy, Inc. 35,922 1,830 Pride International, Inc. (b) 34,386 1,740 Superior Energy Services, Inc. (b) 37,097 979 Tidewater, Inc. 42,694 ------------- 223,109 ------------- FOOD & STAPLES RETAILING--1.0% 1,395 BJ's Wholesale Club, Inc. (b) 49,104 1,002 Ruddick Corp. 28,697 ------------- 77,801 ------------- FOOD PRODUCTS--2.3% 1,679 Corn Products International, Inc. 40,833 896 Hormel Foods Corp. 25,321 428 J.M. Smucker (The) Co. 19,072 804 Ralcorp Holdings, Inc. (b) 54,415 683 Smithfield Foods, Inc. (b) 7,185 1,125 Tootsie Roll Industries, Inc. 27,979 ------------- 174,805 ------------- GAS UTILITIES--1.5% 691 AGL Resources, Inc. 21,006 718 Energen Corp. 24,103 514 National Fuel Gas Co. 18,602 630 ONEOK, Inc. 20,097 1,002 WGL Holdings, Inc. 32,255 ------------- 116,063 ------------- HEALTH CARE EQUIPMENT & SUPPLIES--2.9% 610 Advanced Medical Optics, Inc. (b) 3,764 611 Beckman Coulter, Inc. 30,501 577 DENTSPLY International, Inc. 17,529 563 Edwards Lifesciences Corp. (b) 29,749 409 Gen-Probe, Inc. (b) 19,248 358 Hill-Rom Holdings, Inc. 8,148 791 IDEXX Laboratories, Inc. (b) 27,835 1,008 ResMed, Inc. (b) 34,534 1,442 STERIS Corp. 49,086 ------------- 220,394 ------------- See Notes to Quarterly Portfolio of Investments Page 48 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES--4.1% 1,479 Community Health Systems, Inc. (b) $ 30,320 5,211 Health Management Associates, Inc., Class A (b) 10,943 459 Health Net, Inc. (b) 5,912 805 Henry Schein, Inc. (b) 37,682 1,180 Kindred Healthcare, Inc. (b) 17,098 1,686 LifePoint Hospitals, Inc. (b) 40,413 1,081 Lincare Holdings, Inc. (b) 28,484 377 Omnicare, Inc. 10,394 1,428 Psychiatric Solutions, Inc. (b) 47,537 774 Universal Health Services, Inc., Class B 32,539 736 VCA Antech, Inc. (b) 13,322 1,204 WellCare Health Plans, Inc. (b) 29,101 ------------- 303,746 ------------- HEALTH CARE TECHNOLOGY--0.1% 243 Cerner Corp. (b) 9,047 ------------- HOTELS, RESTAURANTS & LEISURE--1.4% 1,589 Bob Evans Farms, Inc. 33,177 4,632 Boyd Gaming Corp. 31,498 1,212 Brinker International, Inc. 11,272 557 International Speedway Corp., Class A 17,484 693 Life Time Fitness, Inc. (b) 13,195 ------------- 106,626 ------------- HOUSEHOLD DURABLES--2.3% 3,545 American Greetings Corp., Class A 41,405 1,357 Hovnanian Enterprises, Inc., Class A (b) 5,822 804 Mohawk Industries, Inc. (b) 38,898 57 NVR, Inc. (b) 27,942 1,719 Toll Brothers, lnc. (b) 39,742 785 Tupperware Brands Corp. 19,861 ------------- 173,670 ------------- HOUSEHOLD PRODUCTS--0.9% 873 Church & Dwight Co., Inc. 51,586 404 Energizer Holdings, Inc. (b) 19,739 ------------- 71,325 ------------- INDUSTRIAL CONGLOMERATES--0.6% 1,808 Carlisle Cos., Inc. 42,036 ------------- INSURANCE--3.8% 1,102 American Financial Group, Inc. 25,048 1,003 Brown & Brown, Inc. 20,582 376 Everest Re Group Ltd. 28,087 735 First American Corp. 15,001 476 Hanover Insurance Group, Inc. 18,683 1,606 HCC Insurance Holdings, Inc. 35,428 1,684 Horace Mann Educators Corp. 13,405 198 Mercury General Corp. 10,171 925 Philadelphia Consolidated Holding Corp. (b) 54,104 See Notes to Quarterly Portfolio of Investments Page 49 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 760 Protective Life Corp. $ 6,346 834 StanCorp Financial Group, Inc. 28,423 869 Unitrin, Inc. 18,249 460 W.R. Berkley Corp. 12,084 ------------- 285,611 ------------- INTERNET & CATALOG RETAIL--0.5% 1,404 NetFlix, Inc. (b) 34,763 ------------- INTERNET SOFTWARE & SERVICES--0.1% 335 Digital River, Inc. (b) 8,301 ------------- IT SERVICES--2.9% 1,729 Acxiom Corp. 13,590 684 Alliance Data Systems Corp. (b) 34,309 704 Broadridge Financial Solutions, Inc. 8,518 1,912 Gartner, Inc. (b) 35,181 725 Global Payments, Inc. 29,370 1,421 Lender Processing Services, Inc. 32,782 545 NeuStar, Inc., Class A (b) 10,737 1,607 SAIC, Inc. (b) 29,681 1,437 SRA International, Inc., Class A (b) 26,556 ------------- 220,724 ------------- LEISURE EQUIPMENT & PRODUCTS--0.4% 3,082 Callaway Golf Co. 32,238 ------------- LIFE SCIENCES TOOLS & SERVICES--1.1% 195 Charles River Laboratories International, Inc. (b) 6,987 490 Covance, Inc. (b) 24,499 287 Invitrogen Corp. (b) 8,263 524 Pharmaceutical Product Development, Inc. 16,234 301 Techne Corp. 20,775 253 Varian, Inc. (b) 9,323 ------------- 86,081 ------------- MACHINERY--5.0% 1,018 AGCO Corp. (b) 32,087 776 Donaldson Co., Inc. 27,276 244 Flowserve Corp. 13,888 1,166 Harsco Corp. 27,599 699 IDEX Corp. 16,203 1,599 Kennametal, Inc. 33,931 506 Lincoln Electric Holdings, Inc. 21,834 441 Nordson Corp. 16,286 4,118 Oshkosh Truck Corp. 31,544 1,254 Pentair, Inc. 34,661 282 SPX Corp. 10,925 1,912 Timken (The) Co. 30,363 See Notes to Quarterly Portfolio of Investments Page 50 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 2,106 Trinity Industries, Inc. $ 35,549 1,058 Wabtec Corp. 42,066 ------------- 374,212 ------------- MARINE--0.3% 739 Alexander & Baldwin, Inc. 23,574 ------------- MEDIA--2.8% 1,379 DreamWorks Animation SKG, Inc., Class A (b) 38,750 5,226 Harte-Hanks, Inc. 36,687 804 John Wiley & Sons, Inc., Class A 27,963 1,588 Marvel Entertainment, Inc. (b) 51,118 2,111 Scholastic Corp. 39,201 3,755 Valassis Communications, Inc. (b) 16,672 ------------- 210,391 ------------- METALS & MINING--1.7% 2,113 Carpenter Technology Corp. 38,246 410 Cliffs Natural Resources, Inc. 11,066 1,427 Reliance Steel & Aluminum Co. 35,732 634 Steel Dynamics, Inc. 7,557 2,902 Worthington Industries, Inc. 35,027 ------------- 127,628 ------------- MULTILINE RETAIL--1.0% 1,491 Dollar Tree, Inc. (b) 56,688 3,516 Saks, Inc. (b) 21,096 ------------- 77,784 ------------- MULTI-UTILITIES--3.4% 1,683 Alliant Energy Corp. 49,446 1,047 Black Hills Corp. 26,437 1,121 MDU Resources Group, Inc. 20,413 647 NSTAR 21,383 1,053 OGE Energy Corp. 28,747 1,059 PNM Resources, Inc. 10,325 1,218 Puget Energy, Inc. 28,538 835 SCANA Corp. 27,480 778 Vectren Corp. 19,606 483 Wisconsin Energy Corp. 21,011 ------------- 253,386 ------------- OIL, GAS & CONSUMABLE FUELS--2.2% 659 Arch Coal, Inc. 14,109 1,013 Bill Barrett Corp. (b) 20,665 443 Cimarex Energy Co. 17,924 778 Encore Acquisition Co. (b) 24,235 219 Forest Oil Corp. (b) 6,397 See Notes to Quarterly Portfolio of Investments Page 51 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) OIL, GAS & CONSUMABLE FUELS (CONTINUED) 929 Overseas Shipholding Group, Inc. $ 34,912 1,541 Plains Exploration & Production Co. (b) 43,456 ------------- 161,698 ------------- PERSONAL PRODUCTS--0.5% 1,194 Alberto-Culver Co. 30,721 367 NBTY, Inc. (b) 8,577 ------------- 39,298 ------------- PHARMACEUTICALS--0.6% 1,409 Perrigo Co. 47,906 ------------- PROFESSIONAL SERVICES--3.0% 345 Dun & Bradstreet (The) Corp. 25,423 2,276 Kelly Services, Inc., Class A 32,410 3,041 Korn/Ferry International (b) 42,239 1,256 Manpower, Inc. 39,099 5,377 MPS Group, Inc. (b) 41,887 2,725 Navigant Consulting, Inc. (b) 44,064 ------------- 225,122 ------------- REAL ESTATE INVESTMENT TRUSTS--0.7% 1,585 Hospitality Properties Trust 16,088 935 Potlatch Corp. 31,051 229 Rayonier, Inc. 7,575 ------------- 54,714 ------------- ROAD & RAIL--1.7% 7,554 Avis Budget Group, Inc. (b) 12,389 491 Con-way, Inc. 16,714 1,299 J.B. Hunt Transport Services, Inc. 36,930 977 Kansas City Southern (b) 30,160 1,498 Werner Enterprises, Inc. 29,391 ------------- 125,584 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--2.5% 3,198 Atmel Corp. (b) 13,272 476 Cree, Inc. (b) 9,344 6,097 Fairchild Semiconductor International, Inc. (b) 34,631 5,573 Integrated Device Technology, Inc. (b) 35,444 2,615 Intersil Corp., Class A 35,799 1,377 Lam Research Corp. (b) 30,790 3,712 RF Micro Devices, Inc. (b) 7,387 1,553 Semtech Corp. (b) 18,822 ------------- 185,489 ------------- SOFTWARE--3.5% 619 ACI Worldwide, Inc. (b) 8,480 572 ANSYS, Inc. (b) 16,376 8,017 Cadence Design Systems, Inc. (b) 32,629 See Notes to Quarterly Portfolio of Investments Page 52 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 207 Factset Research Systems, Inc. $ 8,030 470 Fair Isaac Corp. 7,327 1,066 Jack Henry & Associates, Inc. 20,265 705 Macrovision Solutions Corp. (b) 7,811 958 McAfee, Inc. (b) 31,183 2,946 Parametric Technology Corp. (b) 38,269 1,770 Sybase, Inc. (b) 47,136 1,630 Synopsys, Inc. (b) 29,796 2,168 Wind River Systems, Inc. (b) 18,948 ------------- 266,250 ------------- SPECIALTY RETAIL--5.6% 1,093 Advance Auto Parts, Inc. 34,102 1,688 Aeropostale, Inc. (b) 40,866 711 American Eagle Outfitters, Inc. 7,906 2,626 AnnTaylor Stores Corp. (b) 33,009 1,663 Barnes & Noble, Inc. 31,397 6,610 Borders Group, Inc. 22,408 774 CarMax, Inc. (b) 8,220 3,744 Coldwater Creek, Inc. (b) 13,441 592 Collective Brands, Inc. (b) 7,572 1,107 Dick's Sporting Goods, Inc. (b) 16,959 1,342 Foot Locker, Inc. 19,620 312 Guess?, Inc. 6,792 379 J. Crew Group, Inc. (b) 7,675 810 O'Reilly Automotive, Inc. (b) 21,959 2,193 PetSmart, Inc. 43,180 1,946 Rent-A-Center, Inc. (b) 28,412 1,472 Ross Stores, Inc. 48,120 1,360 Urban Outfitters, Inc. (b) 29,566 ------------- 421,204 ------------- TEXTILES, APPAREL & LUXURY GOODS--1.4% 498 Hanesbrands, Inc. (b) 8,700 858 Phillips-Van Heusen Corp. 21,030 1,872 Timberland (The) Co., Class A (b) 22,651 683 Under Armour, Inc., Class A (b) 17,758 1,197 Warnaco Group (The), Inc. (b) 35,682 ------------- 105,821 ------------- THRIFTS & MORTGAGE FINANCE--0.3% 688 First Niagara Financial Group, Inc. 10,849 588 Washington Federal, Inc. 10,361 ------------- 21,210 ------------- TOBACCO--0.4% 662 Universal Corp. 26,209 ------------- See Notes to Quarterly Portfolio of Investments Page 53 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) TRADING COMPANIES & DISTRIBUTORS--1.1% 1,096 GATX Corp. $ 31,291 706 MSC Industrial Direct Co., Inc., Class A 25,317 2,845 United Rentals, Inc. (b) 29,161 ------------- 85,769 ------------- WATER UTILITIES--0.2% 610 Aqua America, Inc. 10,980 ------------- WIRELESS TELECOMMUNICATION SERVICES--0.5% 1,516 Telephone and Data Systems, Inc. 40,705 ------------- TOTAL COMMON STOCKS--100.0% (Cost $9,694,014) 7,547,909 MONEY MARKET FUND--0.9% 68,811 Morgan Stanley Institutional Treasury Money Market Fund--0.52% (c) (Cost $68,811) 68,811 ------------- TOTAL INVESTMENTS--100.9% (Cost $9,762,825) (d) 7,616,720 NET OTHER ASSETS AND LIABILITIES--(0.9%) (67,809) ------------- NET ASSETS--100.0% $ 7,548,911 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at October 31, 2008. (d) Aggregate cost for federal income tax and financial reporting purposes. As of October 31, 2008, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $206,429 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $2,352,534. See Notes to Quarterly Portfolio of Investments Page 54 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SECURITY VALUATION INPUTS A summary of the inputs used to value the Fund's net assets as of October 31, 2008 is as follows (See Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments). INVESTMENTS VALUATION INPUTS IN SECURITIES - ------------------------------------------------------------------------------- Level 1 - Quoted Prices - Investments $ 7,547,909 Level 2 - Other Significant Observable Inputs 68,811 Level 3 - Significant Unobservable Inputs -- - ------------------------------------------------------------------------------- Total $ 7,616,720 ==================== See Notes to Quarterly Portfolio of Investments Page 55 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS--99.9% AEROSPACE & DEFENSE--2.6% 860 AAR Corp. (b) $ 13,751 410 Applied Signal Technology, Inc. 7,347 194 Ceradyne, Inc. (b) 4,559 580 Cubic Corp. 12,905 471 Curtiss-Wright Corp. 17,380 720 Esterline Technologies Corp. (b) 25,956 1,058 GenCorp, Inc. (b) 5,184 665 Moog, Inc., Class A (b) 23,355 1,190 Orbital Sciences Corp. (b) 24,383 624 Teledyne Technologies, Inc. (b) 28,436 780 Triumph Group, Inc. 34,211 ------------- 197,467 ------------- AIR FREIGHT & LOGISTICS--0.3% 757 Hub Group, Inc., Class A (b) 23,808 ------------- AIRLINES--0.5% 2,231 Skywest, Inc. 34,380 ------------- AUTO COMPONENTS--1.3% 11,210 Spartan Motors, Inc. 51,453 5,731 Standard Motor Products, Inc. 24,128 1,116 Superior Industries International, Inc. 15,959 ------------- 91,540 ------------- AUTOMOBILES--0.2% 3,656 Monaco Coach Corp. 8,043 1,656 Winnebago Industries, Inc. 9,837 ------------- 17,880 ------------- BEVERAGES--0.2% 450 Boston Beer (The) Co., Inc., Class A (b) 17,006 ------------- BIOTECHNOLOGY--1.1% 1,604 Cubist Pharmaceuticals, Inc. (b) 40,725 454 Martek Biosciences Corp. (b) 13,543 1,633 Regeneron Pharmaceuticals, Inc. (b) 31,517 ------------- 85,785 ------------- BUILDING PRODUCTS--1.4% 2,372 Apogee Enterprises, Inc. 23,387 1,524 Gibraltar Industries, Inc. 20,193 2,371 Griffon Corp. (b) 20,011 429 Lennox International, Inc. 12,793 1,123 NCI Building Systems, Inc. (b) 20,899 263 Simpson Manufacturing Co., Inc. 6,060 204 Universal Forest Products, Inc. 4,825 ------------- 108,168 ------------- See Notes to Quarterly Portfolio of Investments Page 56 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) CAPITAL MARKETS--1.0% 387 Greenhill & Co., Inc. $ 25,530 469 Investment Technology Group, Inc. (b) 9,572 165 Piper Jaffray Cos., Inc. (b) 6,509 714 Stifel Financial Corp. (b) 31,167 763 TradeStation Group, Inc. (b) 5,974 ------------- 78,752 ------------- CHEMICALS--2.5% 721 A. Schulman, Inc. 12,913 404 Arch Chemicals, Inc. 11,461 1,337 Balchem Corp. 34,173 1,367 H.B. Fuller Co. 24,155 271 NewMarket Corp. 10,214 1,584 OM Group, Inc. (b) 33,803 10,748 Omnova Solutions, Inc. (b) 13,220 1,612 Penford Corp. 20,746 4,422 PolyOne Corp. (b) 21,005 251 Quaker Chemical Corp. 4,802 131 Stepan Co. 4,694 ------------- 191,186 ------------- COMMERCIAL BANKS--4.9% 1,632 Boston Private Financial Holdings, Inc. 14,427 802 Cascade Bancorp 7,651 804 Columbia Banking System, Inc. 12,800 283 Community Bank System, Inc. 7,061 1,041 East West Bancorp, Inc. 18,061 1,289 First BanCorp 13,174 275 First Financial Bankshares, Inc. 14,902 1,062 Frontier Financial Corp. 7,073 1,151 Glacier Bancorp, Inc. 23,216 419 Hancock Holding Co. 18,503 2,304 Independent Bank Corp. 8,456 977 National Penn Bancshares, Inc. 16,550 856 PrivateBancorp, Inc. 30,824 629 Prosperity Bancshares, Inc. 20,889 734 Provident Bankshares Corp. 7,832 818 Signature Bank (b) 26,650 682 Sterling Bancshares, Inc. 5,429 1,475 Sterling Financial Corp. 12,523 365 Susquehanna Bancshares, Inc. 5,654 1,112 UCBH Holdings, Inc. 5,871 272 UMB Financial Corp. 12,330 969 Umpqua Holdings Corp. 16,492 1,075 United Community Banks, Inc. 14,104 588 Whitney Holding Corp. 11,172 2,343 Wilshire Bancorp, Inc. 25,843 486 Wintrust Financial Corp. 12,442 ------------- 369,929 ------------- See Notes to Quarterly Portfolio of Investments Page 57 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) COMMERCIAL SERVICES & SUPPLIES--2.8% 1,201 ATC Technology Corp.(b) $ 26,338 1,235 Bowne & Co., Inc. 9,621 1,175 Consolidated Graphics, Inc.(b) 15,287 863 G&K Services, Inc., Class A 19,495 780 Healthcare Services Group 12,917 1,881 Interface, Inc., Class A 13,261 738 Mobile Mini, Inc. (b) 12,398 1,623 Sykes Enterprises, Inc. (b) 25,903 1,185 Tetra Tech, Inc. (b) 26,059 298 United Stationers, Inc. (b) 11,142 991 Viad Corp. 21,653 624 Waste Connections, Inc. (b) 21,122 ------------- 215,196 ------------- COMMUNICATIONS EQUIPMENT--2.2% 3,689 Arris Group, Inc. (b) 25,490 751 Bel Fuse, Inc., Class B 16,297 619 Black Box Corp. 18,824 502 Blue Coat Systems, Inc. (b) 6,777 434 Comtech Telecommunications Corp. (b) 21,014 2,097 Digi International, Inc. (b) 21,473 2,531 Harmonic, Inc. (b) 17,995 475 NETGEAR, Inc. (b) 5,249 2,295 PC-Tel, Inc. 13,472 907 ViaSat, Inc. (b) 16,526 ------------- 163,117 ------------- COMPUTERS & PERIPHERALS--1.3% 593 Avid Technology, Inc. (b) 8,794 3,078 Hutchinson Technology, Inc. (b) 21,054 5,883 Novatel Wireless, Inc. (b) 30,650 1,180 Synaptics, Inc. (b) 36,450 ------------- 96,948 ------------- CONSTRUCTION & ENGINEERING--0.4% 813 EMCOR Group, Inc. (b) 14,447 953 Insituform Technologies, Inc., Class A (b) 12,799 ------------- 27,246 ------------- CONSTRUCTION MATERIALS--0.4% 1,068 Headwaters, Inc. (b) 11,321 698 Texas Industries, Inc. 22,078 ------------- 33,399 ------------- CONSUMER FINANCE--1.1% 791 Cash America International, Inc. 27,977 1,426 First Cash Financial Services, Inc. (b) 21,918 5,681 Rewards Network, Inc. (b) 21,588 See Notes to Quarterly Portfolio of Investments Page 58 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) CONSUMER FINANCE (CONTINUED) 594 World Acceptance Corp.(b) $ 10,977 ------------- 82,460 ------------- CONTAINERS & PACKAGING--0.4% 2,262 Myers Industries, Inc. 23,909 178 Rock-Tenn Co., Class A 5,413 ------------- 29,322 ------------- DISTRIBUTORS--0.2% 761 Audiovox Corp., Class A (b) 4,482 840 LKQ Corp. (b) 9,610 ------------- 14,092 ------------- DIVERSIFIED CONSUMER SERVICES--0.8% 668 Coinstar, Inc. (b) 16,025 663 CPI Corp. 4,840 707 Hillenbrand, Inc. 13,433 173 Pre-Paid Legal Services, Inc. (b) 6,830 1,254 Universal Technical Institute, Inc. (b) 20,691 ------------- 61,819 ------------- DIVERSIFIED FINANCIAL SERVICES--0.3% 311 Financial Federal Corp. 7,200 440 Portfolio Recovery Associates, Inc. (b) 15,787 ------------- 22,987 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES--0.4% 822 FairPoint Communications, Inc. 3,272 3,080 General Communication, Inc., Class A (b) 23,654 ------------- 26,926 ------------- ELECTRIC UTILITIES--1.4% 160 ALLETE, Inc. 5,600 1,217 Central Vermont Public Service Corp. 24,230 847 Cleco Corp. 19,489 1,358 El Paso Electric Co. (b) 25,151 415 UIL Holdings Corp. 13,695 733 UniSource Energy Corp. 20,216 ------------- 108,381 ------------- ELECTRICAL EQUIPMENT--2.2% 728 A.O. Smith Corp. 22,968 512 Acuity Brands, Inc. 17,900 742 Baldor Electric Co. 13,030 1,121 Belden, Inc. 23,362 606 Brady Corp., Class A 18,786 553 II-VI, Inc. (b) 15,534 1,760 Magnetek, Inc. (b) 3,784 See Notes to Quarterly Portfolio of Investments Page 58 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) ELECTRICAL EQUIPMENT (CONTINUED) 671 Regal-Beloit Corp. $ 21,848 809 Woodward Governor Co. 25,968 ------------- 163,180 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS--5.0% 707 Agilysys, Inc. 2,842 479 Anixter International, Inc. (b) 16,099 2,532 Benchmark Electronics, Inc. (b) 30,359 1,980 Brightpoint, Inc. (b) 11,405 1,515 Checkpoint Systems, Inc. (b) 19,104 354 Cognex Corp. 5,671 2,232 CTS Corp. 15,602 1,003 Electro Scientific Industries, Inc. (b) 8,395 1,560 Gerber Scientific, Inc. (b) 7,457 161 Itron, Inc. (b) 7,805 719 Littelfuse, Inc. (b) 13,417 2,403 Mercury Computer Systems, Inc. (b) 17,254 3,988 Methode Electronics, Inc. 30,269 677 MTS Systems Corp. 21,989 3,307 Newport Corp. (b) 23,777 882 Park Electrochemical Corp. 19,069 1,378 Plexus Corp. (b) 25,713 1,658 RadiSys Corp. (b) 10,561 578 Rogers Corp. (b) 17,398 743 ScanSource, Inc. (b) 14,741 1,277 SYNNEX Corp. (b) 19,704 2,410 Technitrol, Inc. 13,906 3,594 TTM Technologies, Inc. (b) 25,733 ------------- 378,270 ------------- ENERGY EQUIPMENT & SERVICES--2.3% 588 Atwood Oceanics, Inc. (b) 16,158 335 Basic Energy Services, Inc. (b) 4,583 1,053 Bristow Group, Inc. (b) 26,082 276 CARBO Ceramics, Inc. 11,943 827 Gulf Island Fabrication, Inc. 16,300 185 Hornbeck Offshore Services, Inc. (b) 4,403 1,005 ION Geophysical Corp. (b) 6,593 180 Lufkin Industries, Inc. 9,418 747 Matrix Service Co. (b) 9,151 177 NATCO Group, Inc., Class A (b) 3,742 2,680 Pioneer Drilling Co. (b) 20,743 452 SEACOR Holdings, Inc. (b) 30,360 845 Superior Well Services, Inc. (b) 14,154 ------------- 173,630 ------------- FOOD & STAPLES RETAILING--1.9% 810 Andersons (The), Inc. 21,570 1,182 Casey's General Stores, Inc. 35,697 1,977 Great Atlantic & Pacific Tea (The) Co., Inc. (b) 16,350 496 Nash Finch Co. 19,557 See Notes to Quarterly Portfolio of Investments Page 60 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) FOOD & STAPLES RETAILING (CONTINUED) 573 Spartan Stores, Inc. $ 15,465 1,427 United Natural Foods, Inc. (b) 31,879 ------------- 140,518 ------------- FOOD PRODUCTS--1.9% 1,925 Darling International, Inc. (b) 14,515 971 Flowers Foods, Inc. 28,790 906 Green Mountain Coffee Roasters, Inc. (b) 26,265 777 Hain Celestial Group (The), Inc. (b) 18,057 841 J & J Snack Foods Corp. 26,374 776 Sanderson Farms, Inc. 24,227 240 TreeHouse Foods, Inc. (b) 7,262 ------------- 145,490 ------------- GAS UTILITIES--1.2% 1,071 Atmos Energy Corp. 25,993 147 Laclede Group (The), Inc. 7,691 137 Northwest Natural Gas Co. 6,971 223 Piedmont Natural Gas Co., 7,341 942 Southwest Gas Corp. 24,605 830 UGI Corp. 19,812 ------------- 92,413 ------------- HEALTH CARE EQUIPMENT & SUPPLIES--5.3% 1,606 American Medical Systems Holdings, Inc. (b) 17,377 287 Analogic Corp. 12,674 1,029 ArthroCare Corp. (b) 21,383 1,114 CONMED Corp. (b) 29,186 205 Cooper (The) Cos., Inc. 3,378 2,174 CryoLife, Inc. (b) 29,132 419 Cyberonics, Inc. (b) 5,338 138 Datascope Corp. 6,923 1,453 Greatbatch, Inc. (b) 31,602 347 Haemonetics Corp. (b) 20,494 234 ICU Medical, Inc. (b) 7,495 669 Immucor, Inc. (b) 17,762 324 Integra LifeSciences Holdings (b) 12,163 591 Invacare Corp. 10,750 453 Kensey Nash Corp. (b) 11,502 299 Mentor Corp. 5,053 246 Meridian Bioscience, Inc. 6,047 1,519 Merit Medical Systems, Inc. (b) 27,798 1,259 Natus Medical, Inc. (b) 19,263 8,368 Osteotech, Inc. (b) 26,694 1,921 Symmetry Medical, Inc. (b) 24,819 9,141 Theragenics Corp. (b) 17,825 438 West Pharmaceutical Services, Inc. 17,485 872 Zoll Medical Corp. (b) 20,998 ------------- 403,141 ------------- See Notes to Quarterly Portfolio of Investments Page 61 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES--6.2% 504 Air Methods Corp. (b) $ 8,457 732 Amedisys, Inc. (b) 41,291 1,130 AMERIGROUP Corp. (b) 28,250 1,217 AMN Healthcare Services, Inc. (b) 10,941 1,120 AmSurg Corp. (b) 27,933 1,738 Centene Corp. (b) 32,744 347 Chemed Corp. 15,195 875 Cross Country Healthcare, Inc. (b) 9,905 265 Gentiva Health Services, Inc. (b) 7,195 1,685 HealthSpring, Inc. (b) 27,836 595 HMS Holdings Corp. (b) 14,738 392 Landauer, Inc. 21,192 1,252 LHC Group, Inc. (b) 44,170 868 Magellan Health Services, Inc. (b) 32,064 1,591 MedCath Corp. (b) 24,533 1,150 Molina Healthcare, Inc. (b) 25,611 3,512 Odyssey HealthCare, Inc. (b) 33,680 132 Pediatrix Medical Group, Inc. (b) 5,102 1,463 PSS World Medical, Inc. (b) 26,539 1,182 RehabCare Group, Inc. (b) 20,248 786 Res-Care, Inc. (b) 12,112 ------------- 469,736 ------------- HEALTH CARE TECHNOLOGY--0.6% 573 Allscripts-Misys Healthcare Solutions, Inc. 3,725 681 Eclipsys Corp. (b) 10,113 1,084 Omnicell, Inc. (b) 11,902 1,364 Phase Forward, Inc. (b) 19,464 ------------- 45,204 ------------- HOTELS, RESTAURANTS & LEISURE--5.0% 886 Buffalo Wild Wings, Inc. (b) 25,056 1,662 California Pizza Kitchen, Inc. (b) 16,238 542 CBRL Group, Inc. 10,797 859 CEC Entertainment, Inc. (b) 22,059 1,345 CKE Restaurants, Inc. 11,419 423 DineEquity, Inc. 7,627 1,014 Jack in the Box, Inc. (b) 20,381 1,834 Landry's Restaurants, Inc. 23,017 887 Marcus (The) Corp. 12,445 8,233 Multimedia Games, Inc. (b) 24,864 3,259 O'Charley's, Inc. 24,443 606 PF Chang's China Bistro, Inc. (b) 12,399 700 Panera Bread Co., Class A (b) 31,583 1,050 Papa John's International, Inc. (b) 23,688 1,277 Peet's Coffee & Tea, Inc. (b) 28,680 943 Pinnacle Entertainment, Inc. (b) 5,281 1,064 Red Robin Gourmet Burgers, Inc. (b) 16,162 6,157 Ruby Tuesday, Inc. (b) 14,838 9,071 Ruth's Hospitality Group, Inc. (b) 20,773 821 Steak n Shake (The) Co. (b) 4,228 2,379 Texas Roadhouse, Inc., Class A (b) 16,701 See Notes to Quarterly Portfolio of Investments Page 62 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE (CONTINUED) 233 WMS Industries, Inc. (b) $ 5,825 ------------- 378,504 ------------- HOUSEHOLD DURABLES--1.1% 834 Bassett Furniture Industries, Inc. 3,678 509 Ethan Allen Interiors, Inc. 9,106 2,513 Libbey, Inc. 9,198 1,443 Meritage Homes Corp. (b) 19,812 383 National Presto Industries, Inc. 25,373 4,356 Standard-Pacific Corp. (b) 12,415 285 Universal Electronics, Inc. (b) 6,022 ------------- 85,604 ------------- HOUSEHOLD PRODUCTS--0.2% 595 WD-40 Co. 17,315 ------------- INDUSTRIAL CONGLOMERATES--0.4% 514 Standex International Corp. 13,266 1,202 Tredegar Corp. 17,694 ------------- 30,960 ------------- INSURANCE--2.6% 509 Delphi Financial Group, Inc., Class A 8,017 346 Infinity Property & Casualty Corp. 13,778 2,377 National Financial Partners Corp. 15,831 369 Navigators Group (The), Inc. (b) 18,638 903 Presidential Life Corp. 8,470 382 ProAssurance Corp. (b) 20,991 344 RLI Corp. 19,742 940 Safety Insurance Group, Inc. 35,710 933 Selective Insurance Group, Inc. 22,159 908 Tower Group, Inc. 19,095 499 United Fire & Casualty Co. 11,562 ------------- 193,993 ------------- INTERNET & CATALOG RETAIL--0.8% 805 NutriSystem, Inc. 11,391 2,271 PetMed Express, Inc. (b) 40,106 611 Stamps.com, Inc. (b) 5,963 ------------- 57,460 ------------- INTERNET SOFTWARE & SERVICES--1.0% 183 Bankrate, Inc. (b) 6,023 657 InfoSpace, Inc. 5,630 305 j2 Global Communications, Inc. (b) 4,917 854 Knot (The), Inc. (b) 5,893 4,295 Perficient, Inc. (b) 23,580 See Notes to Quarterly Portfolio of Investments Page 63 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) INTERNET SOFTWARE & SERVICES (CONTINUED) 1,595 Websense, Inc. (b) $ 31,133 ------------- 77,176 ------------- IT SERVICES--2.7% 712 CACI International Inc., Class A (b) 29,320 4,080 CIBER, Inc. (b) 22,032 2,034 CSG Systems International, Inc. (b) 33,825 1,328 Cybersource Corp. (b) 16,135 1,959 Gevity HR, Inc. 6,680 601 ManTech International Corp., Class A (b) 32,418 387 MAXIMUS, Inc. 12,361 1,186 SI International, Inc. (b) 34,157 3,332 StarTek, Inc. (b) 11,029 478 Wright Express Corp. (b) 6,544 ------------- 204,501 ------------- LEISURE EQUIPMENT & PRODUCTS--1.4% 2,338 Arctic Cat, Inc. 17,722 2,230 Brunswick Corp. 7,738 1,431 JAKKS Pacific, Inc. (b) 32,012 627 Polaris Industries, Inc. 21,111 1,222 Pool Corp. 21,275 356 RC2 Corp. (b) 4,521 ------------- 104,379 ------------- LIFE SCIENCES TOOLS & SERVICES--0.6% 2,319 Cambrex Corp. (b) 10,436 1,948 Enzo Biochem, Inc. (b) 11,240 797 Kendle International, Inc. (b) 14,401 1,244 PAREXEL International Corp. (b) 12,938 ------------- 49,015 ------------- MACHINERY--3.9% 261 Albany International Corp., Class A 3,800 925 Astec Industries, Inc. (b) 23,514 1,410 Barnes Group, Inc. 20,459 1,322 Briggs & Stratton Corp. 20,835 651 Cascade Corp. 21,490 564 CLARCOR, Inc. 19,960 767 EnPro Industries, Inc. (b) 17,035 1,027 Gardner Denver, Inc. (b) 26,312 316 Kaydon Corp. 10,558 196 Lindsay Corp. 9,326 3,702 Lydall, Inc. (b) 24,618 1,549 Mueller Industries, Inc. 35,425 461 Robbins & Myers, Inc. 9,404 345 Toro (The) Co. 11,606 86 Valmont Industries, Inc. 4,711 754 Wabash National Corp. 4,554 See Notes to Quarterly Portfolio of Investments Page 64 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 1,043 Watts Water Technologies, Inc., Class A $ 27,566 ------------- 291,173 ------------- MARINE--0.3% 564 Kirby Corp. (b) 19,356 ------------- METALS & MINING--1.3% 2,063 A.M. Castle & Co. 25,107 684 AMCOL International Corp. 16,779 1,209 Olympic Steel, Inc. 27,638 1,823 RTI International Metals, Inc. (b) 28,784 ------------- 98,308 ------------- MULTILINE RETAIL--0.3% 501 Fred's, Inc. 6,137 8,632 Tuesday Morning Corp. (b) 19,336 ------------- 25,473 ------------- MULTI-UTILITIES--0.4% 985 Avista Corp. 19,562 327 CH Energy Group, Inc. 13,482 ------------- 33,044 ------------- OIL, GAS & CONSUMABLE FUELS--1.8% 400 Penn Virginia Corp. 14,868 1,858 PetroQuest Energy, Inc. (b) 18,487 1,381 Southern Union Co. 23,781 200 St. Mary Land & Exploration Co. 4,978 842 Stone Energy Corp. (b) 25,546 921 Swift Energy Co. (b) 29,547 929 World Fuel Services Corp. 19,908 ------------- 137,115 ------------- PAPER & FOREST PRODUCTS--0.8% 4,353 Buckeye Technologies, Inc. (b) 25,639 112 Deltic Timber Corp. 5,102 1,440 Neenah Paper, Inc. 13,003 1,126 Schweitzer-Mauduit International, Inc. 18,827 ------------- 62,571 ------------- PERSONAL PRODUCTS--0.4% 365 Chattem, Inc. (b) 27,620 ------------- PHARMACEUTICALS--0.5% 1,221 Noven Pharmaceuticals, Inc. (b) 13,736 2,174 ViroPharma, Inc. (b) 27,262 ------------- 40,998 ------------- See Notes to Quarterly Portfolio of Investments Page 65 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) PROFESSIONAL SERVICES--2.0% 524 Administaff, Inc. $ 10,475 958 CDI Corp. 12,454 946 Heidrick & Struggles International, Inc. 22,827 905 On Assignment, Inc. (b) 5,883 686 School Specialty, Inc. (b) 14,406 7,320 Spherion Corp. (b) 23,278 1,765 TrueBlue, Inc. (b) 14,702 3,970 Volt Information Sciences, Inc. (b) 30,370 430 Watson Wyatt Worldwide, Inc., Class A 18,262 ------------- 152,657 ------------- REAL ESTATE INVESTMENT TRUSTS--0.6% 1,618 Cedar Shopping Centers, Inc. 15,468 1,567 DiamondRock Hospitality Co. 8,117 130 Entertainment Properties Trust 4,869 464 Extra Space Storage, Inc. 5,341 306 LaSalle Hotel Properties 4,308 628 Medical Properties Trust, Inc. 4,635 298 National Retail Properties, Inc. 5,313 ------------- 48,051 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT--0.1% 483 Forestar Real Estate Group, Inc. (b) 4,226 ------------- ROAD & RAIL--1.0% 847 Arkansas Best Corp. 24,724 919 Heartland Express, Inc. 14,097 420 Knight Transportation, Inc. 6,678 162 Landstar System, Inc. 6,252 755 Old Dominion Freight Line, Inc. (b) 22,907 ------------- 74,658 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--3.9% 521 Advanced Energy Industries, Inc. (b) 5,559 1,983 ATMI, Inc. (b) 24,113 667 Cabot Microelectronics Corp. (b) 19,163 1,407 Cymer, Inc. (b) 34,428 6,829 Cypress Semiconductor Corp. (b) 34,213 932 DSP Group, Inc. (b) 5,872 299 FEI Co. (b) 6,282 6,855 Kopin Corp. (b) 15,904 6,323 Kulicke & Soffa Industries, Inc. (b) 18,590 1,572 Micrel, Inc. 11,554 560 Microsemi Corp. (b) 12,174 1,432 MKS Instruments, Inc. (b) 26,564 2,037 Pericom Semiconductor Corp. (b) 15,889 2,559 Skyworks Solutions, Inc. (b) 18,246 856 Standard Microsystems Corp. (b) 15,417 253 Supertex, Inc. (b) 6,102 2,977 Triquint Semiconductor, Inc. (b) 13,337 See Notes to Quarterly Portfolio of Investments Page 66 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 568 Varian Semiconductor Equipment Associates, Inc. (b) $ 11,144 ------------- 294,551 ------------- SOFTWARE--2.1% 745 Concur Technologies, Inc. (b) 18,796 1,406 JDA Software Group, Inc. (b) 20,078 638 Manhattan Associates, Inc. (b) 10,725 274 Progress Software Corp. (b) 6,286 844 Quality Systems, Inc. 32,486 1,641 Radiant Systems, Inc. (b) 8,648 2,602 Secure Computing Corp. (b) 14,727 2,008 Smith Micro Software, Inc. (b) 12,550 1,304 Take-Two Interactive Software, Inc. (b) 15,465 1,410 Tyler Technologies, Inc.(b) 19,162 ------------- 158,923 ------------- SPECIALTY RETAIL--6.7% 1,317 Aaron Rents, Inc. 32,648 2,073 Big 5 Sporting Goods Corp. 13,018 1,741 Brown Shoe Co., Inc. 18,350 963 Buckle (The), Inc. 25,365 2,951 Cabela's, Inc., Class A (b) 23,460 813 Cato (The) Corp., Class A 12,618 3,478 Charlotte Russe Holding, Inc. (b) 29,389 855 Children's Place Retail Stores (The), Inc. (b) 28,583 930 Christopher & Banks Corp. 4,855 1,399 Dress Barn (The), Inc. (b) 13,374 1,065 Genesco, Inc. (b) 26,423 1,641 Group 1 Automotive, Inc. 16,492 201 Gymboree (The) Corp. (b) 5,198 1,246 Haverty Furniture Cos., Inc. 12,261 356 Hibbett Sports, Inc. (b) 6,340 5,393 HOT Topic, Inc. (b) 34,947 1,359 Jo-Ann Stores, Inc. (b) 26,038 1,061 Jos. A. Bank Clothiers, Inc. (b) 27,024 1,678 Men's Wearhouse (The), Inc. 25,657 518 Midas, Inc. (b) 6,750 3,461 Pep Boys-Manny, Moe & Jack (The) 16,682 4,214 Sonic Automotive, Inc., Class A 21,618 1,044 Stage Stores, Inc. 8,049 1,823 Stein Mart, Inc. 3,919 678 Tractor Supply Co. (b) 28,178 3,641 Tween Brands, Inc. (b) 31,021 285 Zale Corp. (b) 4,862 433 Zumiez, Inc. (b) 4,226 ------------- 507,345 ------------- TEXTILES, APPAREL & LUXURY GOODS--2.5% 69 Deckers Outdoor Corp. (b) 5,855 See Notes to Quarterly Portfolio of Investments Page 67 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) TEXTILES, APPAREL & LUXURY GOODS (CONTINUED) 253 Fossil, Inc. (b) $ 4,592 1,635 Iconix Brand Group, Inc. (b) 17,805 410 K-Swiss, Inc., Class A 6,203 983 Maidenform Brands, Inc. (b) 10,793 1,595 Movado Group, Inc. 24,260 1,104 Oxford Industries, Inc. 14,871 2,391 Perry Ellis International, Inc. (b) 23,408 2,118 Skechers U.S.A., Inc., Class A (b) 28,763 1,103 True Religion Apparel, Inc. (b) 18,475 662 UniFirst Corp. 21,601 539 Wolverine World Wide, Inc. 12,667 ------------- 189,293 ------------- THRIFTS & MORTGAGE FINANCE--0.6% 3,880 Anchor BanCorp Wisconsin, Inc. 22,116 7,042 Corus Bankshares, Inc. 15,492 2,393 Flagstar Bancorp,Inc. 4,547 ------------- 42,155 ------------- TOBACCO--0.2% 3,752 Alliance One International, Inc. (b) 12,532 ------------- TRADING COMPANIES & DISTRIBUTORS--0.4% 794 Applied Industrial Technologies, Inc. 16,030 250 Kaman Corp. 6,383 142 Watsco, Inc. 5,835 ------------- 28,248 ------------- WATER UTILITIES--0.1% 185 American States Water Co. 6,329 ------------- TOTAL COMMON STOCKS--100.0% (Cost $9,266,823) 7,562,909 MONEY MARKET FUND--0.4% 34,354 Morgan Stanley Institutional Treasury Money Market Fund--0.52% (c) (Cost $34,354) 34,354 ------------- TOTAL INVESTMENTS--100.4% (Cost $9,301,177) (d) 7,597,263 NET OTHER ASSETS AND LIABILITIES--(0.4%) (32,397) ------------- NET ASSETS--100.0% $ 7,564,866 ============= See Notes to Quarterly Portfolio of Investments Page 68 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at October 31, 2008. (d) Aggregate cost for federal income tax and financial reporting purposes. As of October 31, 2008, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $268,056 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $1,971,970. SECURITY VALUATION INPUTS A summary of the inputs used to value the Fund's net assets as of October 31, 2008 is as follows (See Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments). INVESTMENTS VALUATION INPUTS IN SECURITIES - ------------------------------------------------------------------------------- Level 1 - Quoted Prices - Investments $ 7,562,909 Level 2 - Other Significant Observable Inputs 34,354 Level 3 - Significant Unobservable Inputs -- - ------------------------------------------------------------------------------- Total $ 7,597,263 ==================== See Notes to Quarterly Portfolio of Investments Page 69 FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS--99.9% AEROSPACE & DEFENSE--2.9% 527 Boeing (The) Co. $ 27,546 2,905 Goodrich Corp. 106,207 727 Honeywell International, Inc. 22,137 1,996 Northrop Grumman Corp. 93,592 1,534 Precision Castparts Corp. 99,419 1,129 Raytheon Co. 57,703 ------------- 406,604 ------------- AIR FREIGHT & LOGISTICS--0.4% 765 FedEx Corp. 50,008 ------------- AIRLINES--0.3% 4,165 Southwest Airlines Co. 49,064 ------------- BEVERAGES--0.3% 1,293 Molson Coors Brewing Co., Class B 48,306 ------------- CAPITAL MARKETS--1.3% 791 Ameriprise Financial, Inc. 17,086 927 Bank of New York Mellon (The) Corp. 30,220 944 Goldman Sachs Group (The), Inc. 87,320 2,880 Invesco Ltd. 42,941 ------------- 177,567 ------------- CHEMICALS--3.5% 441 Air Products and Chemicals, Inc. 25,635 5,167 Ashland, Inc. 116,723 3,803 Dow Chemical (The) Co. 101,426 2,249 E.I. du Pont de Nemours and Co. 71,968 1,646 Eastman Chemical Co. 66,482 1,554 PPG Industries, Inc. 77,047 421 Praxair, Inc. 27,428 ------------- 486,709 ------------- COMMERCIAL BANKS--2.5% 799 BB&T Corp. 28,644 921 Comerica, Inc. 25,410 7,563 Huntington Bancshares, Inc. 71,470 12,590 Regions Financial Corp. 139,624 672 SunTrust Banks, Inc. 26,974 1,561 Zions Bancorporation 59,490 ------------- 351,612 ------------- COMMERCIAL SERVICES & SUPPLIES--2.5% 10,878 Allied Waste Industries, Inc. (b) 113,349 1,359 Avery Dennison Corp. 47,592 3,157 Cintas Corp. 74,821 See Notes to Quarterly Portfolio of Investments Page 70 FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) COMMERCIAL SERVICES & SUPPLIES (CONTINUED) 3,695 R.R. Donnelley & Sons Co. $ 61,226 1,919 Waste Management, Inc. 59,930 ------------- 356,918 ------------- COMMUNICATIONS EQUIPMENT--2.4% 14,988 Ciena Corp. (b) 144,035 9,660 Corning, Inc. 104,618 1,434 Juniper Networks, Inc. (b) 26,873 14,884 Tellabs, Inc. (b) 63,108 ------------- 338,634 ------------- COMPUTERS & PERIPHERALS--1.5% 7,579 EMC Corp. (b) 89,281 19,878 Sun Microsystems, Inc. (b) 91,439 1,549 Teradata Corp. (b) 23,839 ------------- 204,559 ------------- CONSUMER FINANCE--0.9% 1,777 Capital One Financial Corp. 69,516 4,373 Discover Financial Services 53,569 ------------- 123,085 ------------- CONTAINERS & PACKAGING--1.1% 3,458 Bemis Co., Inc. 85,897 4,122 Sealed Air Corp. 69,744 ------------- 155,641 ------------- DISTRIBUTORS--0.4% 1,503 Genuine Parts Co. 59,143 ------------- DIVERSIFIED FINANCIAL SERVICES--0.8% 21,706 CIT Group, Inc. 89,863 647 JPMorgan Chase & Co. 26,689 ------------- 116,552 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES--3.8% 5,411 AT&T, Inc. 144,853 4,122 CenturyTel, Inc. 103,503 1,490 Embarq Corp. 44,700 2,627 Frontier Communications Corp. 19,991 28,063 Qwest Communications International, Inc. 80,260 2,825 Verizon Communications, Inc. 83,818 8,286 Windstream Corp. 62,228 ------------- 539,353 ------------- ELECTRIC UTILITIES--6.1% 1,643 Allegheny Energy, Inc. 49,536 3,264 American Electric Power Co., Inc. 106,504 See Notes to Quarterly Portfolio of Investments Page 71 FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) ELECTRIC UTILITIES (CONTINUED) 6,934 Duke Energy Corp. $ 113,579 3,029 Edison International 107,802 339 Entergy Corp. 26,459 902 FirstEnergy Corp. 47,048 601 FPL Group, Inc. 28,391 5,275 Pepco Holdings, Inc. 108,929 4,390 Pinnacle West Capital Corp. 138,944 816 PPL Corp. 26,781 2,102 Progress Energy, Inc. 82,756 802 Southern Co. 27,541 ------------- 864,270 ------------- ELECTRICAL EQUIPMENT--0.8% 2,269 Cooper Industries Ltd., Class A 70,226 1,481 Emerson Electric Co. 48,473 ------------- 118,699 ------------- ELECTRONIC EQUIPMENT, INSTRUMENT & COMPONENTS--2.1% 12,669 Jabil Circuit, Inc. 106,547 5,384 Molex, Inc. 77,583 5,462 Tyco Electronics Ltd. 106,181 ------------- 290,311 ------------- ENERGY EQUIPMENT & SERVICES--3.6% 2,621 ENSCO International, Inc. 99,624 6,062 Nabors Industries Ltd. (b) 87,172 1,805 National Oilwell Varco, Inc. (b) 53,951 3,441 Noble Corp. 110,835 4,945 Rowan Cos., Inc. 89,702 3,606 Weatherford International Ltd. (b) 60,869 ------------- 502,153 ------------- FOOD & STAPLES RETAILING--2.6% 1,100 Kroger (The) Co. 30,206 6,369 Safeway, Inc. 135,468 6,962 SUPERVALU, Inc. 99,139 1,952 Walgreen Co. 49,698 4,525 Whole Foods Market, Inc. 48,508 ------------- 363,019 ------------- FOOD PRODUCTS--1.5% 6,895 Archer-Daniels-Midland Co. 142,933 7,592 Tyson Foods, Inc., Class A 66,354 ------------- 209,287 ------------- GAS UTILITIES--0.4% 1,363 Nicor, Inc. 62,984 ------------- See Notes to Quarterly Portfolio of Investments Page 72 FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES--2.2% 1,673 Aetna, Inc. $ 41,608 803 AmerisourceBergen Corp. 25,110 613 Cardinal Health, Inc. 23,417 889 CIGNA Corp. 14,491 2,933 Humana, Inc. (b) 86,787 3,230 WellPoint, Inc. (b) 125,549 ------------- 316,962 ------------- HOTELS, RESTAURANTS & LEISURE--1.5% 3,419 Carnival Corp. 86,843 2,147 Starwood Hotels & Resorts Worldwide, Inc. 48,393 9,616 Wyndham Worldwide Corp. 78,755 ------------- 213,991 ------------- HOUSEHOLD DURABLES--2.0% 527 Fortune Brands, Inc. 20,100 5,252 Newell Rubbermaid, Inc. 72,215 574 Snap-on, Inc. 21,209 2,896 Stanley Works (The) 94,815 1,524 Whirlpool Corp. 71,095 ------------- 279,434 ------------- INDUSTRIAL CONGLOMERATES--1.7% 885 3M Co. 56,906 1,185 General Electric Co. 23,119 4,128 Textron, Inc. 73,066 3,451 Tyco International Ltd. 87,241 ------------- 240,332 ------------- INSURANCE--3.6% 655 Allstate (The) Corp. 17,285 549 Assurant, Inc. 13,989 1,651 Chubb (The) Corp. 85,555 1,062 Cincinnati Financial Corp. 27,601 10,528 Genworth Financial, Inc., Class A 50,956 2,949 Hartford Financial Services Group (The), Inc. 30,434 1,412 Lincoln National Corp. 24,343 2,295 Loews Corp. 76,217 540 MetLife, Inc. 17,939 3,342 Travelers (The) Cos., Inc. 142,201 1,204 Unum Group 18,963 ------------- 505,483 ------------- IT SERVICES--2.2% 3,759 Computer Sciences Corp. (b) 113,371 10,222 Convergys Corp. (b) 78,607 8,184 Fidelity National Information Services, Inc. 123,497 ------------- 315,475 ------------- See Notes to Quarterly Portfolio of Investments Page 73 FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) LEISURE EQUIPMENT & PRODUCTS--1.0% 1,965 Eastman Kodak Co. $ 18,039 1,740 Hasbro, Inc. 50,582 5,025 Mattel, Inc. 75,475 ------------- 144,096 ------------- MACHINERY--4.0% 610 Deere & Co. 23,522 1,490 Dover Corp. 47,337 2,689 Eaton Corp. 119,928 1,360 Illinois Tool Works, Inc. 45,410 3,877 Ingersoll-Rand Co., Ltd., Class A 71,531 9,715 Manitowoc (The) Co., Inc. 95,596 1,582 PACCAR, Inc. 46,258 2,850 Parker Hannifin Corp. 110,495 ------------- 560,077 ------------- MEDIA--4.8% 10,362 CBS Corp., Class B 100,615 3,078 Comcast Corp., Class A 48,509 4,310 Meredith Corp. 83,485 2,114 New York Times (The) Co., Class A 21,140 12,600 News Corp., Class A 134,064 11,524 Time Warner, Inc. 116,277 3,649 Viacom, Inc., Class B (b) 73,783 2,954 Walt Disney (The) Co. 76,509 54 Washington Post (The) Co., Class B 23,047 ------------- 677,429 ------------- METALS & MINING--2.1% 5,829 AK Steel Holding Corp. 81,140 6,691 Alcoa, Inc. 77,013 5,113 Allegheny Technologies, Inc. 135,699 ------------- 293,852 ------------- MULTILINE RETAIL--2.6% 2,171 Big Lots, Inc. (b) 53,038 12,803 Dillard's, Inc., Class A 68,240 4,531 J. C. Penney Co., Inc. 108,381 8,402 Macy's, Inc. 103,260 2,097 Nordstrom, Inc. 37,935 ------------- 370,854 ------------- MULTI-UTILITIES--7.8% 3,097 Ameren Corp. 100,498 4,148 CenterPoint Energy, Inc. 47,785 9,692 CMS Energy Corp. 99,343 2,813 Consolidated Edison, Inc. 121,859 2,825 Dominion Resources, Inc. 102,491 3,012 DTE Energy Co. 106,324 1,210 Integrys Energy Group, Inc. 57,681 See Notes to Quarterly Portfolio of Investments Page 74 FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) MULTI-UTILITIES (CONTINUED) 8,188 NiSource, Inc. $ 106,116 3,227 PG&E Corp. 118,334 1,796 Sempra Energy 76,492 7,683 TECO Energy, Inc. 88,662 4,535 Xcel Energy, Inc. 79,000 ------------- 1,104,585 ------------- OFFICE ELECTRONICS--0.3% 5,241 Xerox Corp. 42,033 ------------- OIL, GAS & CONSUMABLE FUELS--6.1% 1,869 Anadarko Petroleum Corp. 65,976 1,832 Chevron Corp. 136,667 7,104 El Paso Corp. 68,909 1,472 Hess Corp. 88,629 3,789 Marathon Oil Corp. 110,260 1,631 Noble Energy, Inc. 84,518 2,144 Occidental Petroleum Corp. 119,078 2,539 Spectra Energy Corp. 49,079 5,497 Tesoro Corp. 53,156 3,833 Williams (The) Cos., Inc. 80,378 ------------- 856,650 ------------- PAPER & FOREST PRODUCTS--1.2% 4,617 International Paper Co. 79,505 6,481 MeadWestvaco Corp. 90,928 ------------- 170,433 ------------- PHARMACEUTICALS--3.3% 1,372 Eli Lilly & Co. 46,401 12,616 King Pharmaceuticals, Inc. (b) 110,895 957 Merck & Co., Inc. 29,619 4,916 Pfizer, Inc. 87,062 4,241 Watson Pharmaceuticals, Inc. (b) 110,987 2,454 Wyeth 78,970 ------------- 463,934 ------------- PROFESSIONAL SERVICES--0.4% 4,053 Monster Worldwide, Inc. (b) 57,715 ------------- REAL ESTATE INVESTMENT TRUSTS--1.1% 4,547 Host Hotels & Resorts, Inc. 47,016 732 ProLogis 10,248 1,221 Public Storage 99,511 ------------- 156,775 ------------- See Notes to Quarterly Portfolio of Investments Page 75 FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) ROAD & RAIL--1.1% 554 CSX Corp. $ 25,329 456 Norfolk Southern Corp. 27,333 1,949 Ryder System, Inc. 77,219 425 Union Pacific Corp. 28,377 ------------- 158,258 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--3.9% 2,293 Analog Devices, Inc. 48,978 1,997 Applied Materials, Inc. 25,781 4,840 Intel Corp. 77,440 1,909 KLA-Tencor Corp. 44,384 29,842 Micron Technology, Inc. (b) 140,556 3,077 Novellus Systems, Inc. (b) 48,617 11,606 Teradyne, Inc. (b) 59,191 5,621 Texas Instruments, Inc. 109,947 ------------- 554,894 ------------- SPECIALTY RETAIL--2.9% 13,441 AutoNation, Inc. (b) 92,340 5,098 Gap (The), Inc. 65,968 6,978 Limited Brands, Inc. 83,596 25,958 Office Depot, Inc. (b) 93,449 2,552 Tiffany & Co. 70,052 ------------- 405,405 ------------- TEXTILES, APPAREL & LUXURY GOODS--0.7% 4,897 Jones Apparel Group, Inc. 54,406 782 VF Corp. 43,088 ------------- 97,494 ------------- TOBACCO--1.7% 4,569 Altria Group, Inc. 87,679 628 Philip Morris International, Inc. 27,299 2,486 Reynolds American, Inc. 121,715 ------------- 236,693 ------------- TOTAL COMMON STOCKS--99.9% (Cost $19,497,757) 14,097,332 MONEY MARKET FUND--0.3% 36,279 Morgan Stanley Institutional Treasury Money Market Fund--0.52% (c) (Cost $36,279) 36,279 ------------- TOTAL INVESTMENTS--100.2% (Cost $19,534,036) (d) 14,133,611 NET OTHER ASSETS AND LIABILITIES--(0.2%) (32,204) ------------- NET ASSETS--100.0% $ 14,101,407 ============= See Notes to Quarterly Portfolio of Investments Page 76 FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at October 31, 2008. (d) Aggregate cost for federal income tax and financial reporting purposes. As of October 31, 2008, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $142,279 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $5,542,704. SECURITY VALUATION INPUTS A summary of the inputs used to value the Fund's net assets as of October 31, 2008 is as follows (See Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments). INVESTMENTS VALUATION INPUTS IN SECURITIES - ------------------------------------------------------------------------------- Level 1 - Quoted Prices - Investments $ 14,097,332 Level 2 - Other Significant Observable Inputs 36,279 Level 3 - Significant Unobservable Inputs -- - ------------------------------------------------------------------------------- Total $ 14,133,611 ==================== See Notes to Quarterly Portfolio of Investments Page 77 FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS--100.0% AEROSPACE & DEFENSE--2.3% 939 General Dynamics Corp. $ 56,640 1,410 L-3 Communications Holdings, Inc. 114,450 1,627 Lockheed Martin Corp. 138,376 721 Rockwell Collins, Inc. 26,843 ------------- 336,309 ------------- AIR FREIGHT & LOGISTICS--1.1% 2,719 C.H. Robinson Worldwide, Inc. 140,790 550 United Parcel Service, Inc., Class B 29,029 ------------- 169,819 ------------- AUTO COMPONENTS--0.5% 4,575 Johnson Controls, Inc. 81,115 ------------- AUTOMOBILES--0.1% 929 Harley-Davidson, Inc. 22,742 ------------- BEVERAGES--3.5% 2,136 Anheuser-Busch Cos., Inc. 132,496 1,808 Brown-Forman Corp., Class B 82,083 1,309 Coca-Cola (The) Co. 57,675 4,845 Constellation Brands, Inc., Class A (b) 60,756 3,565 Pepsi Bottling Group (The), Inc. 82,423 1,944 PepsiCo, Inc. 110,827 ------------- 526,260 ------------- BIOTECHNOLOGY--3.0% 1,755 Amgen, Inc. (b) 105,107 1,644 Celgene Corp. (b) 105,643 2,208 Genzyme Corp. (b) 160,919 1,520 Gilead Sciences, Inc. (b) 69,692 ------------- 441,361 ------------- CAPITAL MARKETS--2.7% 6,865 Charles Schwab (The) Corp. 131,259 2,858 Janus Capital Group, Inc. 33,553 2,474 Northern Trust Corp. 139,311 610 State Street Corp. 26,444 1,934 T. Rowe Price Group, Inc. 76,470 ------------- 407,037 ------------- CHEMICALS--3.3% 756 CF Industries Holding, Inc. 48,528 3,677 Ecolab, Inc. 137,005 9,017 Hercules, Inc. 151,575 876 International Flavors & Fragrances, Inc. 27,927 703 Monsanto Co. 62,553 See Notes to Quarterly Portfolio of Investments Page 78 FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) CHEMICALS (CONTINUED) 1,323 Sigma-Aldrich Corp. $ 58,027 ------------- 485,615 ------------- COMMERCIAL SERVICES & SUPPLIES--0.3% 2,085 Pitney Bowes, Inc. 51,666 ------------- COMMUNICATIONS EQUIPMENT--1.4% 1,535 Cisco Systems, Inc. (b) 27,277 2,251 Harris Corp. 80,923 2,421 QUALCOMM, Inc. 92,628 ------------- 200,828 ------------- COMPUTERS & PERIPHERALS--2.8% 3,862 Hewlett-Packard Co. 147,838 889 International Business Machines Corp. 82,650 2,127 Lexmark International, Inc., Class A (b) 54,940 1,904 NetApp, Inc. (b) 25,761 6,771 QLogic Corp. (b) 81,387 1,775 SanDisk Corp. (b) 15,780 ------------- 408,356 ------------- CONSTRUCTION & ENGINEERING--0.5% 1,247 Fluor Corp. 49,793 636 Jacobs Engineering Group, Inc. (b) 23,169 ------------- 72,962 ------------- CONSTRUCTION MATERIALS--0.7% 1,863 Vulcan Materials Co. 101,124 ------------- CONTAINERS & PACKAGING--1.3% 875 Ball Corp. 29,925 7,185 Pactiv Corp. (b) 169,279 ------------- 199,204 ------------- DIVERSIFIED CONSUMER SERVICES--2.2% 3,012 Apollo Group, Inc., Class A (b) 209,364 6,093 H&R Block, Inc. 120,154 ------------- 329,518 ------------- DIVERSIFIED FINANCIAL SERVICES--0.4% 2,286 Leucadia National Corp. 61,356 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS--0.7% 1,168 Agilent Technologies, Inc. (b) 25,918 2,593 Amphenol Corp., Class A 74,289 ------------- 100,207 ------------- See Notes to Quarterly Portfolio of Investments Page 79 FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) ENERGY EQUIPMENT & SERVICES--0.6% 1,802 Cameron International Corp. (b) $ 43,716 1,068 Halliburton Co. 21,136 590 Smith International, Inc. 20,343 ------------- 85,195 ------------- FOOD & STAPLES RETAILING--3.8% 2,748 Costco Wholesale Corp. 156,663 3,087 CVS Caremark Corp. 94,617 5,789 Sysco Corp. 151,672 2,978 Wal-Mart Stores, Inc. 166,202 ------------- 569,154 ------------- FOOD PRODUCTS--4.9% 4,622 Campbell Soup Co. 175,405 2,597 General Mills, Inc. 175,920 2,632 Hershey (The) Co. 98,016 3,180 Kellogg Co. 160,336 3,607 McCormick & Co., Inc. 121,412 ------------- 731,089 ------------- HEALTH CARE EQUIPMENT & SUPPLIES--5.3% 2,111 Baxter International, Inc. 127,693 863 Becton, Dickinson and Co. 59,892 2,823 Boston Scientific Corp. (b) 25,492 1,095 C. R. Bard, Inc. 96,634 2,721 Hospira, Inc. (b) 75,698 144 Intuitive Surgical, Inc. (b) 24,882 1,382 Medtronic, Inc. 55,736 3,188 St. Jude Medical, Inc. (b) 121,240 1,112 Stryker Corp. 59,448 3,122 Varian Medical Systems, Inc. (b) 142,081 ------------- 788,796 ------------- HEALTH CARE PROVIDERS & SERVICES--4.9% 3,193 Coventry Health Care, Inc. (b) 42,116 2,430 DaVita Inc. (b) 137,903 2,415 Express Scripts, Inc. (b) 146,373 1,001 Laboratory Corp. of America Holdings (b) 61,551 3,964 Medco Health Solutions, Inc. (b) 150,434 1,142 Patterson Cos., Inc. (b) 28,927 3,453 Quest Diagnostics, Inc. 161,600 ------------- 728,904 ------------- HOTELS, RESTAURANTS & LEISURE--1.9% 2,423 Darden Restaurants, Inc. 53,718 2,250 McDonald's Corp. 130,343 2,331 Starbucks Corp. (b) 30,606 2,128 Yum! Brands, Inc. 61,733 ------------- 276,400 ------------- See Notes to Quarterly Portfolio of Investments Page 80 FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) HOUSEHOLD DURABLES--1.3% 1,144 Black & Decker (The) Corp. $ 57,909 1,017 Harman International Industries, Inc. 18,682 9,924 Pulte Homes, Inc. 110,554 ------------- 187,145 ------------- HOUSEHOLD PRODUCTS--3.5% 2,847 Clorox (The) Co. 173,126 1,838 Colgate-Palmolive Co. 115,353 2,138 Kimberly-Clark Corp. 131,038 1,494 Procter & Gamble (The) Co. 96,423 ------------- 515,940 ------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS--0.2% 2,966 AES (The) Corp. (b) 23,639 ------------- INSURANCE--1.9% 1,182 Aflac, Inc. 52,339 1,545 Aon Corp. 65,354 5,976 Progressive (The) Corp. 85,277 964 Prudential Financial, Inc. 28,920 1,158 Torchmark Corp. 48,370 ------------- 280,260 ------------- INTERNET & CATALOG RETAIL--0.7% 1,905 Amazon.com, Inc. (b) 109,042 ------------- IT SERVICES--3.0% 2,056 Affiliated Computer Services, Inc., Class A (b) 84,296 2,430 Automatic Data Processing, Inc. 84,929 3,768 Fiserv, Inc. (b) 125,701 198 MasterCard, Inc., Class A 29,268 1,049 Paychex, Inc. 29,938 5,624 Western Union Co. 85,822 ------------- 439,954 ------------- LIFE SCIENCES TOOLS & SERVICES--2.5% 3,036 Applied Biosystems, Inc. 93,600 1,006 Millipore Corp. (b) 52,201 4,164 PerkinElmer, Inc. 74,702 2,519 Thermo Fisher Scientific, Inc. (b) 102,272 1,190 Waters Corp. (b) 52,122 ------------- 374,897 ------------- MACHINERY--1.9% 579 Caterpillar, Inc. 22,100 1,585 Cummins, Inc. 40,972 997 Danaher Corp. 59,062 2,495 ITT Corp. 111,028 See Notes to Quarterly Portfolio of Investments Page 81 FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 2,014 Pall Corp. $ 53,190 ------------- 286,352 ------------- MEDIA--1.4% 6,817 DIRECTV Group (The), Inc. (b) 149,224 1,800 Omnicom Group, Inc. 53,172 ------------- 202,396 ------------- METALS & MINING--0.3% 892 Newmont Mining Corp. 23,495 445 United States Steel Corp. 16,412 ------------- 39,907 ------------- MULTILINE RETAIL--3.1% 7,532 Family Dollar Stores, Inc. 202,686 3,012 Kohl's Corp. (b) 105,812 1,111 Sears Holdings Corp. (b) 64,149 2,118 Target Corp. 84,974 ------------- 457,621 ------------- OIL & GAS & CONSUMABLE FUELS--4.1% 665 Apache Corp. 54,749 1,895 ConocoPhillips 98,578 383 Devon Energy Corp. 30,969 1,340 Exxon Mobil Corp. 99,321 1,624 Murphy Oil Corp. 82,239 1,991 Pioneer Natural Resources Co. 55,410 2,272 Southwestern Energy Co. (b) 80,929 1,950 Sunoco, Inc. 59,475 1,143 Valero Energy Corp. 23,523 745 XTO Energy, Inc. 26,783 ------------- 611,976 ------------- PERSONAL PRODUCTS--1.6% 4,290 Avon Products, Inc. 106,521 3,576 Estee Lauder (The) Cos., Inc., Class A 128,879 ------------- 235,400 ------------- PHARMACEUTICALS--4.5% 2,411 Abbott Laboratories 132,967 1,346 Allergan, Inc. 53,396 2,732 Barr Pharmaceuticals, Inc. (b) 175,558 2,000 Johnson & Johnson 122,680 12,144 Mylan, Inc. (b) 104,074 5,629 Schering-Plough Corp. 81,564 ------------- 670,239 ------------- See Notes to Quarterly Portfolio of Investments Page 82 FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) PROFESSIONAL SERVICES--1.4% 4,027 Equifax, Inc. $ 105,024 5,604 Robert Half International, Inc. 105,748 ------------- 210,772 ------------- REAL ESTATE INVESTMENT TRUSTS--0.5% 2,088 Plum Creek Timber Co., Inc. 77,841 ------------- ROAD & RAIL--0.7% 1,128 Burlington Northern Santa Fe Corp. 100,460 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--0.9% 6,603 Advanced Micro Devices, Inc. (b) 23,111 3,355 Altera Corp. 58,209 1,131 Linear Technology Corp. 25,651 1,481 Xilinx, Inc. 27,280 ------------- 134,251 ------------- SOFTWARE--4.5% 3,516 Adobe Systems, Inc. (b) 93,666 2,066 Autodesk, Inc. (b) 44,026 1,211 BMC Software, Inc. (b) 31,268 14,309 Compuware Corp. (b) 91,291 5,647 Intuit, Inc. (b) 141,515 2,599 Microsoft Corp. 58,036 5,121 Oracle Corp. (b) 93,663 719 Salesforce.com Inc. (b) 22,260 7,081 Symantec Corp. (b) 89,079 ------------- 664,804 ------------- SPECIALTY RETAIL--7.2% 1,126 AutoZone, Inc. (b) 143,328 4,414 Bed Bath & Beyond, Inc. (b) 113,749 2,774 Best Buy Co., Inc. 74,371 1,016 GameStop Corp., Class A (b) 27,828 4,019 Home Depot (The), Inc. 94,808 5,856 Lowe's Cos., Inc. 127,075 8,027 RadioShack Corp. 101,622 3,119 Sherwin-Williams (The) Co. 177,501 6,164 Staples, Inc. 119,767 3,409 TJX (The) Cos., Inc. 91,225 ------------- 1,071,274 ------------- TEXTILES APPAREL & LUXURY GOODS--1.9% 2,666 NIKE, Inc., Class B 153,642 2,678 Polo Ralph Lauren Corp. 126,321 ------------- 279,963 ------------- THRIFTS & MORTGAGE FINANCE--1.4% 9,670 Hudson City Bancorp, Inc. 181,893 See Notes to Quarterly Portfolio of Investments Page 83 FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) THRIFTS & MORTGAGE FINANCE (CONTINUED) 4,934 MGIC Investment Corp. $ 19,144 ------------- 201,037 ------------- TOBACCO--1.2% 486 Lorillard Inc. 32,008 2,084 UST, Inc. 140,858 ------------- 172,866 ------------- TRADING COMPANIES & DISTRIBUTORS--2.1% 3,612 Fastenal Co. 145,419 2,052 W.W. Grainger, Inc. 161,226 ------------- 306,645 ------------- TOTAL COMMON STOCKS--100.0% (Cost $17,350,410) 14,829,698 MONEY MARKET FUND--0.2% 25,994 Morgan Stanley Institutional Treasury Money Market Fund--0.52% (c) (Cost $25,994) 25,994 ------------- TOTAL INVESTMENTS--100.2% (Cost $17,376,404) (d) 14,855,692 NET OTHER ASSETS AND LIABILITIES--(0.2%) (33,942) ------------- NET ASSETS--100.0% $ 14,821,750 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at October 31, 2008. (d) Aggregate cost for federal income tax purposes. As of October 31, 2008, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $277,135 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $2,797,847. See Notes to Quarterly Portfolio of Investments Page 84 FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SECURITY VALUATION INPUTS A summary of the inputs used to value the Fund's net assets as of October 31, 2008 is as follows (See Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments). INVESTMENTS VALUATION INPUTS IN SECURITIES - ------------------------------------------------------------------------------- Level 1 - Quoted Prices - Investments $ 14,829,698 Level 2 - Other Significant Observable Inputs 25,994 Level 3 - Significant Unobservable Inputs -- - ------------------------------------------------------------------------------- Total $ 14,855,692 ==================== See Notes to Quarterly Portfolio of Investments Page 85 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS--99.9% AEROSPACE & DEFENSE--2.2% 64 Applied Signal Technology, Inc. $ 1,147 856 BE Aerospace, Inc. (b) 11,017 67 Boeing Co. 3,502 91 Cubic Corp. 2,025 113 Esterline Technologies Corp. (b) 4,074 166 GenCorp, Inc. (b) 813 369 Goodrich Corp. 13,490 92 Honeywell International, Inc. 2,801 254 Northrop Grumman Corp. 11,910 195 Precision Castparts Corp. 12,638 143 Raytheon Co. 7,309 124 Triumph Group, Inc. 5,439 ------------- 76,165 ------------- AIR FREIGHT & LOGISTICS--0.2% 97 FedEx Corp. 6,341 ------------- AIRLINES--0.9% 664 Alaska Air Group, Inc. (b) 16,400 532 JetBlue Airways Corp. (b) 2,953 356 Skywest, Inc. 5,486 529 Southwest Airlines Co. 6,232 ------------- 31,071 ------------- AUTO COMPONENTS--0.9% 605 ArvinMeritor, Inc. 3,582 331 BorgWarner, Inc. 7,437 379 Gentex Corp. 3,635 1,290 Lear Corp. (b) 2,593 1,788 Spartan Motors, Inc. 8,206 914 Standard Motor Products, Inc. 3,848 175 Superior Industries International, Inc. 2,503 ------------- 31,804 ------------- AUTOMOBILES--0.2% 572 Monaco Coach Corp. 1,258 318 Thor Industries, Inc. 5,693 259 Winnebago Industries, Inc. 1,538 ------------- 8,489 ------------- BEVERAGES--0.5% 164 Molson Coors Brewing Co., Class B 6,127 523 PepsiAmericas, Inc. 9,900 ------------- 16,027 ------------- BUILDING PRODUCTS--0.5% 378 Apogee Enterprises, Inc. 3,727 239 Gibraltar Industries, Inc. 3,167 371 Griffon Corp. (b) 3,131 See Notes to Quarterly Portfolio of Investments Page 86 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A)(CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) BUILDING PRODUCTS (CONTINUED) 67 Lennox International, Inc. $ 1,998 179 NCI Building Systems, Inc. (b) 3,331 32 Universal Forest Products, Inc. 757 ------------- 16,111 ------------- CAPITAL MARKETS--0.9% 100 Ameriprise Financial, Inc. 2,160 463 Apollo Investment Corp. 6,102 118 Bank of New York Mellon (The) Corp. 3,847 120 Goldman Sachs Group (The), Inc. 11,100 366 Invesco Ltd. 5,457 73 Investment Technology Group, Inc. (b) 1,490 26 Piper Jaffray Cos., Inc. (b) 1,026 106 Waddell & Reed Financial, Inc., Class A 1,539 ------------- 32,721 ------------- CHEMICALS--3.9% 113 A. Schulman, Inc. 2,024 56 Air Products and Chemicals, Inc. 3,255 256 Albemarle Corp. 6,234 63 Arch Chemicals, Inc. 1,787 656 Ashland, Inc. 14,819 248 Cabot Corp. 6,560 348 Cytec Industries, Inc. 9,855 483 Dow Chemical (The) Co. 12,882 286 E.I. du Pont de Nemours and Co. 9,152 209 Eastman Chemical Co. 8,442 105 FMC Corp. 4,572 214 H.B. Fuller Co. 3,781 251 Lubrizol (The) Corp. 9,433 407 Olin Corp. 7,391 253 OM Group, Inc. (b) 5,399 1,683 Omnova Solutions, Inc. (b) 2,070 252 Penford Corp. 3,243 692 PolyOne Corp. (b) 3,287 197 PPG Industries, Inc. 9,767 53 Praxair, Inc. 3,453 78 Quaker Chemical Corp. 1,492 193 Sensient Technologies Corp. 4,869 20 Stepan Co. 717 243 Valspar (The) Corp. 4,969 ------------- 139,453 ------------- COMMERCIAL BANKS--2.6% 272 Associated Banc-Corp. 6,000 102 BB&T Corp. 3,657 126 Cascade Bancorp 1,202 48 City National Corp. 2,569 689 Colonial BancGroup (The), Inc. 2,797 126 Columbia Banking System, Inc. 2,006 117 Comerica, Inc. 3,228 44 Community Bank System, Inc. 1,098 See Notes to Quarterly Portfolio of Investments Page 87 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A)(CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) COMMERCIAL BANKS (CONTINUED) 163 East West Bancorp, Inc. $ 2,828 202 First Bancorp 2,064 125 FirstMerit Corp. 2,915 166 Frontier Financial Corp. 1,106 961 Huntington Bancshares, Inc. 9,081 361 Independent Bank Corp. 1,325 153 National Penn Bancshares, Inc. 2,592 115 Provident Bankshares Corp. 1,227 1,599 Regions Financial Corp. 17,733 107 Sterling Bancshares, Inc. 852 231 Sterling Financial Corp. 1,961 85 SunTrust Banks, Inc. 3,412 57 Susquehanna Bancshares, Inc. 883 254 Synovus Financial Corp. 2,624 146 TCF Financial Corp. 2,590 152 Umpqua Holdings Corp. 2,587 168 United Community Banks, Inc. 2,204 104 Webster Financial Corp. 1,928 92 Whitney Holding Corp. 1,748 76 Wintrust Financial Corp. 1,946 198 Zions Bancorporation 7,546 ------------- 93,709 ------------- COMMERCIAL SERVICES & SUPPLIES--2.4% 1,382 Allied Waste Industries, Inc. (b) 14,400 188 ATC Technology Corp. (b) 4,123 173 Avery Dennison Corp. 6,058 193 Bowne & Co., Inc. 1,503 401 Cintas Corp. 9,504 187 Consolidated Graphics, Inc. (b) 2,433 549 Deluxe Corp. 6,676 135 G&K Services, Inc., Class A 3,050 323 Herman Miller, Inc. 7,106 312 HNI Corp. 5,716 295 Interface, Inc., Class A 2,080 115 Mobile Mini, Inc. (b) 1,932 469 R.R. Donnelley & Sons Co. 7,771 70 United Stationers, Inc. (b) 2,617 155 Viad Corp. 3,387 244 Waste Management, Inc. 7,620 ------------- 85,977 ------------- COMMUNICATIONS EQUIPMENT--2.0% 311 ADC Telecommunications, Inc. (b) 1,972 278 ADTRAN, Inc. 4,226 578 Arris Group, Inc. (b) 3,994 118 Bel Fuse, Inc., Class B 2,561 129 Black Box Corp. 3,923 79 Blue Coat Systems, Inc. (b) 1,067 1,903 Ciena Corp. (b) 18,287 1,227 Corning, Inc. 13,287 328 Digi International, Inc. (b) 3,359 See Notes to Quarterly Portfolio of Investments Page 88 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A)(CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) COMMUNICATIONS EQUIPMENT (CONTINUED) 396 Harmonic, Inc.(b) $ 2,816 182 Juniper Networks, Inc. (b) 3,411 359 PC-Tel, Inc. 2,107 1,890 Tellabs, Inc. (b) 8,014 ------------- 69,023 ------------- COMPUTERS & PERIPHERALS--1.0% 963 EMC Corp. (b) 11,344 491 Hutchinson Technology, Inc. (b) 3,358 119 NCR Corp. (b) 2,175 938 Novatel Wireless, Inc. (b) 4,887 2,524 Sun Microsystems, Inc. (b) 11,611 197 Teradata Corp. (b) 3,032 ------------- 36,407 ------------- CONSTRUCTION & ENGINEERING--1.0% 832 Dycom Industries, Inc. (b) 7,388 127 EMCOR Group, Inc. (b) 2,257 220 Granite Construction, Inc. 7,847 149 Insituform Technologies, Inc., Class A (b) 2,001 710 KBR, Inc. 10,537 215 URS Corp. (b) 6,319 ------------- 36,349 ------------- CONSTRUCTION MATERIALS--0.1% 109 Texas Industries, Inc. 3,448 ------------- CONSUMER FINANCE--0.6% 260 AmeriCredit Corp. (b) 1,524 226 Capital One Financial Corp. 8,840 124 Cash America International, Inc. 4,386 555 Discover Financial Services 6,799 ------------- 21,549 ------------- CONTAINERS & PACKAGING--1.1% 439 Bemis Co., Inc. 10,905 354 Myers Industries, Inc. 3,742 234 Packaging Corp. of America 3,938 28 Rock-Tenn Co., Class A 851 523 Sealed Air Corp. 8,849 266 Sonoco Products Co. 6,698 887 Temple-Inland, Inc. 5,260 ------------- 40,243 ------------- DISTRIBUTORS--0.2% 119 Audiovox Corp., Class A (b) 701 191 Genuine Parts Co. 7,516 ------------- 8,217 ------------- See Notes to Quarterly Portfolio of Investments Page 89 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A)(CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) DIVERSIFIED CONSUMER SERVICES--0.5% 104 CPI Corp. $ 759 111 Hillenbrand, Inc. 2,109 394 Regis Corp. 4,874 1,296 Service Corp. International 8,942 ------------- 16,684 ------------- DIVERSIFIED FINANCIAL SERVICES--0.5% 2,757 CIT Group, Inc. 11,414 49 Financial Federal Corp. 1,134 82 JPMorgan Chase & Co. 3,383 ------------- 15,931 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES--2.0% 687 AT&T, Inc. 18,390 523 CenturyTel, Inc. 13,133 852 Cincinnati Bell, Inc. (b) 2,036 189 Embarq Corp. 5,670 334 Frontier Communications Corp. 2,542 3,564 Qwest Communications International, Inc. 10,193 359 Verizon Communications, Inc. 10,652 1,052 Windstream Corp. 7,901 ------------- 70,517 ------------- ELECTRIC UTILITIES--5.1% 209 Allegheny Energy, Inc. 6,301 25 ALLETE, Inc. 875 414 American Electric Power Co., Inc. 13,509 190 Central Vermont Public Service Corp. 3,783 177 Cleco Corp. 4,073 218 DPL, Inc. 4,973 881 Duke Energy Corp. 14,431 385 Edison International 13,702 213 El Paso Electric Co. (b) 3,945 43 Entergy Corp. 3,356 115 FirstEnergy Corp. 5,998 76 FPL Group, Inc. 3,590 488 Great Plains Energy, Inc. 9,487 90 Hawaiian Electric Industries, Inc. 2,396 271 IDACORP, Inc. 7,225 308 Northeast Utilities 6,948 670 Pepco Holdings, Inc. 13,836 558 Pinnacle West Capital Corp. 17,660 104 PPL Corp. 3,413 267 Progress Energy, Inc. 10,512 1,414 Sierra Pacific Resources 11,722 102 Southern Co. 3,503 65 UIL Holdings Corp. 2,145 115 Unisource Energy Corp. 3,172 470 Westar Energy, Inc. 9,160 ------------- 179,715 ------------- See Notes to Quarterly Portfolio of Investments Page 90 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A)(CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) ELECTRICAL EQUIPMENT--1.5% 114 A.O. Smith Corp. $ 3,597 80 Acuity Brands,Inc. 2,797 116 Baldor Electric Co. 2,037 179 Belden, Inc. 3,730 95 Brady Corp., Class A 2,945 288 Cooper Industries Ltd., Class A 8,914 188 Emerson Electric Co. 6,153 309 Hubbell, Inc., Class B 11,084 105 Regal-Beloit Corp. 3,419 347 Thomas & Betts Corp. (b) 8,241 ------------- 52,917 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS--3.4% 111 Agilysys, Inc. 446 75 Anixter International, Inc. (b) 2,521 517 Arrow Electronics, Inc. (b) 9,022 550 Avnet, Inc. (b) 9,207 404 Benchmark Electronics, Inc. (b) 4,844 237 Checkpoint Systems, Inc. (b) 2,989 55 Cognex Corp. 881 349 CTS Corp. 2,440 157 Electro Scientific Industries, Inc. (b) 1,314 366 Gerber Scientific, Inc. (b) 1,749 674 Ingram Micro, Inc., Class A (b) 8,984 1,609 Jabil Circuit, Inc. 13,531 113 Littelfuse, Inc. (b) 2,109 636 Methode Electronics, Inc. 4,827 684 Molex, Inc. 9,856 527 Newport Corp. (b) 3,789 138 Park Electrochemical Corp. 2,984 275 Plexus Corp. (b) 5,132 91 Rogers Corp. (b) 2,739 200 SYNNEX Corp. (b) 3,086 363 Tech Data Corp. (b) 7,786 384 Technitrol, Inc. 2,216 573 TTM Technologies, Inc. (b) 4,103 694 Tyco Electronics Ltd. 13,491 ------------- 120,046 ------------- ENERGY EQUIPMENT & SERVICES--3.9% 92 Atwood Oceanics, Inc. (b) 2,528 168 Bristow Group, Inc. (b) 4,161 333 ENSCO International, Inc. 12,657 339 Exterran Holdings, Inc. (b) 7,597 130 Gulf Island Fabrication, Inc. 2,562 251 Helmerich & Payne, Inc. 8,612 157 ION Geophysical Corp. (b) 1,030 770 Nabors Industries Ltd. (b) 11,073 28 NATCO Group, Inc., Class A (b) 592 229 National Oilwell Varco, Inc. (b) 6,845 437 Noble Corp. 14,076 676 Patterson-UTI Energy, Inc. 8,971 427 Pioneer Drilling Co. (b) 3,305 See Notes to Quarterly Portfolio of Investments Page 91 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A)(CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) ENERGY EQUIPMENT & SERVICES (CONTINUED) 457 Pride International, Inc. (b) $ 8,587 628 Rowan Cos., Inc. 11,392 72 SEACOR Holdings, Inc. (b) 4,836 435 Superior Energy Services, Inc. (b) 9,274 245 Tidewater, Inc. 10,684 458 Weatherford International Ltd. (b) 7,731 ------------- 136,513 ------------- FOOD & STAPLES RETAILING--1.8% 127 Andersons (The), Inc. 3,382 310 Great Atlantic & Pacific Tea (The) Co., Inc. (b) 2,564 140 Kroger (The) Co. 3,844 78 Nash Finch Co. 3,076 243 Ruddick Corp. 6,960 809 Safeway, Inc. 17,207 90 Spartan Stores, Inc. 2,429 884 SUPERVALU, Inc. 12,588 248 Walgreen Co. 6,314 575 Whole Foods Market, Inc. 6,164 ------------- 64,528 ------------- FOOD PRODUCTS--1.4% 876 Archer-Daniels-Midland Co. 18,160 420 Corn Products International, Inc. 10,214 301 Darling International, Inc. (b) 2,270 107 J.M. Smucker (The) Co. 4,768 70 Lancaster Colony Corp. 2,208 166 Smithfield Foods, Inc. (b) 1,746 38 TreeHouse Foods, Inc. (b) 1,150 964 Tyson Foods, Inc., Class A 8,425 ------------- 48,941 ------------- GAS UTILITIES--1.4% 173 AGL Resources, Inc. 5,259 168 Atmos Energy Corp. 4,077 174 Energen Corp. 5,841 23 Laclede Group (The), Inc. 1,203 128 National Fuel Gas Co. 4,632 173 Nicor, Inc. 7,995 21 Northwest Natural Gas Co. 1,068 157 ONEOK, Inc. 5,008 35 Piedmont Natural Gas Co., Inc. 1,152 148 Southwest Gas Corp. 3,866 130 UGI Corp. 3,103 243 WGL Holdings, Inc. 7,823 ------------- 51,028 ------------- HEALTH CARE EQUIPMENT & SUPPLIES--0.5% 45 Analogic Corp. 1,987 161 ArthroCare Corp. (b) 3,346 22 Datascope Corp. 1,104 See Notes to Quarterly Portfolio of Investments Page 92 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A)(CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 87 Hill-Rom Holdings, Inc. $ 1,980 92 Invacare Corp. 1,673 47 Mentor Corp. 794 1,334 Osteotech, Inc. (b) 4,256 1,431 Theragenics Corp. (b) 2,790 ------------- 17,930 ------------- HEALTH CARE PROVIDERS & SERVICES--2.0% 213 Aetna, Inc. 5,297 102 AmerisourceBergen Corp. 3,190 78 Cardinal Health, Inc. 2,980 54 Chemed Corp. 2,365 113 CIGNA Corp. 1,842 137 Cross Country Healthcare, Inc. (b) 1,551 41 Gentiva Health Services, Inc. (b) 1,113 1,302 Health Management Associates, Inc., Class A (b) 2,734 373 Humana, Inc. (b) 11,037 286 Kindred Healthcare, Inc. (b) 4,144 249 MedCath Corp. (b) 3,840 91 Omnicare, Inc. 2,509 185 RehabCare Group, Inc. (b) 3,169 123 Res-Care, Inc. (b) 1,895 301 WellCare Health Plans, Inc. (b) 7,275 410 WellPoint, Inc. (b) 15,936 ------------- 70,877 ------------- HEALTH CARE TECHNOLOGY--0.1% 255 Omnicell, Inc. (b) 2,800 ------------- HOTELS, RESTAURANTS & LEISURE--2.5% 397 Bob Evans Farms, Inc. 8,289 1,447 Boyd Gaming Corp. 9,840 260 California Pizza Kitchen, Inc. (b) 2,540 434 Carnival Corp. 11,023 85 CBRL Group, Inc. 1,693 211 CKE Restaurants, Inc. 1,791 66 DineEquity, Inc. 1,190 68 International Speedway Corp., Class A 2,135 159 Jack in the Box, Inc. (b) 3,196 287 Landry's Restaurants, Inc. 3,602 173 Life Time Fitness, Inc. (b) 3,294 139 Marcus (The) Corp. 1,950 1,313 Multimedia Games, Inc. (b) 3,965 510 O'Charley's, Inc. 3,825 148 Pinnacle Entertainment, Inc. (b) 829 167 Red Robin Gourmet Burgers, Inc. (b) 2,537 982 Ruby Tuesday, Inc. (b) 2,367 1,447 Ruth's Hospitality Group, Inc. (b) 3,314 273 Starwood Hotels & Resorts Worldwide, Inc. 6,153 257 Steak n Shake (The) Co. (b) 1,324 373 Texas Roadhouse, Inc., Class A (b) 2,618 See Notes to Quarterly Portfolio of Investments Page 93 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A)(CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE (CONTINUED) 1,221 Wyndham Worldwide Corp. $ 10,000 ------------- 87,475 ------------- HOUSEHOLD DURABLES--2.0% 886 American Greetings Corp., Class A 10,349 131 Bassett Furniture Industries, Inc. 578 232 Blyth, Inc. 1,995 120 Ethan Allen Interiors, Inc. 2,147 67 Fortune Brands, Inc. 2,555 394 Libbey, Inc. 1,442 201 Mohawk Industries, Inc. (b) 9,724 60 National Presto Industries, Inc. 3,975 667 Newell Rubbermaid, Inc. 9,171 73 Snap-on, Inc. 2,697 368 Stanley Works (The) 12,049 196 Tupperware Brands Corp. 4,959 45 Universal Electronics, Inc. (b) 951 194 Whirlpool Corp. 9,050 ------------- 71,642 ------------- INDUSTRIAL CONGLOMERATES--1.3% 112 3M Co. 7,202 452 Carlisle Cos., Inc. 10,509 150 General Electric Co. 2,927 80 Standex International Corp. 2,065 524 Textron, Inc. 9,275 188 Tredegar Corp. 2,767 438 Tyco International Ltd. 11,072 ------------- 45,817 ------------- INSURANCE--3.4% 83 Allstate (The) Corp. 2,190 268 American Financial Group, Inc. 6,092 70 Assurant, Inc. 1,784 210 Chubb (The) Corp. 10,881 135 Cincinnati Financial Corp. 3,509 80 Delphi Financial Group, Inc., Class A 1,260 91 Everest Re Group Ltd. 6,798 184 First American Corp. 3,755 1,337 Genworth Financial, Inc., Class A 6,471 173 Hanover Insurance Group, Inc. 6,790 374 Hartford Financial Services Group (The), Inc. 3,860 421 Horace Mann Educators Corp. 3,351 179 Lincoln National Corp. 3,086 292 Loews Corp. 9,697 48 Mercury General Corp. 2,466 69 MetLife, Inc. 2,292 379 National Financial Partners Corp. 2,524 141 Presidential Life Corp. 1,323 60 ProAssurance Corp. (b) 3,297 190 Protective Life Corp. 1,587 See Notes to Quarterly Portfolio of Investments Page 94 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A)(CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 150 Safety Insurance Group, Inc. $ 5,699 146 Selective Insurance Group, Inc. 3,468 424 Travelers (The) Cos., Inc. 18,040 78 United Fire & Casualty Co. 1,807 217 Unitrin, Inc. 4,557 153 Unum Group 2,410 ------------- 118,994 ------------- INTERNET SOFTWARE & SERVICES--0.1% 134 Knot (The), Inc. (b) 925 672 Perficient, Inc. (b) 3,689 ------------- 4,614 ------------- IT SERVICES--2.0% 432 Acxiom Corp. 3,396 171 Broadridge Financial Solutions, Inc. 2,069 639 CIBER, Inc. (b) 3,451 477 Computer Sciences Corp. (b) 14,386 1,298 Convergys Corp. (b) 9,982 1,039 Fidelity National Information Services, Inc. 15,678 307 Gevity HR, Inc. 1,047 355 Lender Processing Services, Inc. 8,190 132 NeuStar, Inc., Class A (b) 2,600 536 SAIC, Inc. (b) 9,900 522 Startek, Inc. (b) 1,728 ------------- 72,427 ------------- LEISURE EQUIPMENT & PRODUCTS--1.0% 366 Arctic Cat, Inc. 2,774 349 Brunswick Corp. 1,211 770 Callaway Golf Co. 8,054 249 Eastman Kodak Co. 2,286 221 Hasbro, Inc. 6,424 228 JAKKS Pacific, Inc. (b) 5,100 638 Mattel, Inc. 9,584 56 RC2 Corp. (b) 711 ------------- 36,144 ------------- LIFE SCIENCES TOOLS & SERVICES--0.1% 363 Cambrex Corp. (b) 1,634 61 Varian, Inc. (b) 2,247 ------------- 3,881 ------------- MACHINERY--5.1% 254 AGCO Corp. (b) 8,006 41 Albany International Corp., Class A 597 145 Astec Industries, Inc. (b) 3,686 221 Barnes Group, Inc. 3,207 207 Briggs & Stratton Corp. 3,262 102 Cascade Corp. 3,367 See Notes to Quarterly Portfolio of Investments Page 95 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A)(CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ----------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 78 Deere & Co. $ 3,008 189 Dover Corp. 6,005 342 Eaton Corp. 15,252 192 Federal Signal Corp. 1,634 164 Gardner Denver, Inc. (b) 4,202 291 Harsco Corp. 6,888 175 IDEX Corp. 4,057 173 Illinois Tool Works, Inc. 5,776 492 Ingersoll-Rand Co. Ltd., Class A 9,077 50 Kaydon Corp. 1,671 400 Kennametal, Inc. 8,488 123 Lincoln Electric Holdings, Inc. 5,307 590 Lydall, Inc. (b) 3,924 1,234 Manitowoc (The) Co., Inc. 12,143 247 Mueller Industries, Inc. 5,649 110 Nordson Corp. 4,062 1,029 Oshkosh Truck Corp. 7,882 201 PACCAR, Inc. 5,877 362 Parker Hannifin Corp. 14,034 313 Pentair, Inc. 8,651 72 Robbins & Myers, Inc. 1,469 70 SPX Corp. 2,712 478 Timken (The) Co. 7,591 526 Trinity Industries, Inc. 8,879 118 Wabash National Corp. 713 163 Watts Water Technologies, Inc., Class A 4,308 ------------- 181,384 ------------- MARINE--0.2% 179 Alexander & Baldwin, Inc. 5,710 88 Kirby Corp. (b) 3,020 ------------- 8,730 ------------- MEDIA--3.0% 1,316 CBS Corp., Class B 12,778 ------------- 391 Comcast Corp., Class A 6,162 1,306 Harte-Hanks, Inc. 9,168 69 Live Nation, Inc. (b) 776 547 Meredith Corp. 10,595 269 New York Times (The) Co., Class A 2,690 1,600 News Corp., Class A 17,024 527 Scholastic Corp. 9,786 1,463 Time Warner, Inc. 14,762 463 Viacom, Inc., Class B (b) 9,362 375 Walt Disney (The) Co. 9,713 7 Washington Post (The) Co., Class B 2,988 ------------- 105,804 ------------- METALS & MINING--2.2% 329 A.M. Castle & Co. 4,004 740 AK Steel Holding Corp. 10,301 850 Alcoa, Inc. 9,784 See Notes to Quarterly Portfolio of Investments Page 96 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A)(CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) METALS & MINING (CONTINUED) 649 Allegheny Technologies, Inc. $ 17,223 528 Carpenter Technology Corp. 9,557 193 Olympic Steel, Inc. 4,412 357 Reliance Steel & Aluminum Co. 8,939 291 RTI International Metals, Inc. (b) 4,595 725 Worthington Industries, Inc. 8,751 ------------- 77,566 ------------- MULTILINE RETAIL--1.6% 276 Big Lots, Inc. (b) 6,743 1,626 Dillard's, Inc., Class A 8,667 79 Fred's, Inc., Class A 968 575 J. C. Penney Co., Inc. 13,754 1,067 Macy's, Inc. 13,113 266 Nordstrom, Inc. 4,812 853 Saks, Inc. (b) 5,118 1,376 Tuesday Morning Corp. (b) 3,082 ------------- 56,257 ------------- MULTI-UTILITIES--5.9% 420 Alliant Energy Corp. 12,340 393 Ameren Corp. 12,753 154 Avista Corp. 3,058 254 Black Hills Corp. 6,414 527 CenterPoint Energy, Inc. 6,071 51 CH Energy Group, Inc. 2,103 1,231 CMS Energy Corp. 12,618 357 Consolidated Edison, Inc. 15,464 359 Dominion Resources, Inc. 13,025 383 DTE Energy Co. 13,519 154 Integrys Energy Group, Inc. 7,341 272 MDU Resources Group, Inc. 4,953 1,040 NiSource, Inc. 13,478 162 NSTAR 5,354 256 OGE Energy Corp. 6,989 410 PG&E Corp. 15,034 257 PNM Resources, Inc. 2,506 296 Puget Energy, Inc. 6,935 203 SCANA Corp. 6,681 228 Sempra Energy 9,711 976 TECO Energy, Inc. 11,263 195 Vectren Corp. 4,914 121 Wisconsin Energy Corp. 5,264 576 Xcel Energy, Inc. 10,034 ------------- 207,822 ------------- OFFICE ELECTRONICS--0.3% 666 Xerox Corp. 5,341 195 Zebra Technologies Corp., Class A (b) 3,947 ------------- 9,288 ------------- See Notes to Quarterly Portfolio of Investments Page 97 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A)(CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- -------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) OIL, GAS & CONSUMABLE FUELS--4.4% 237 Anadarko Petroleum Corp. $ 8,366 165 Arch Coal, Inc. 3,533 246 Bill Barrett Corp. (b) 5,018 233 Chevron Corp. 17,382 902 El Paso Corp. 8,749 53 Forest Oil Corp. (b) 1,548 187 Hess Corp. 11,259 481 Marathon Oil Corp. 13,997 207 Noble Energy, Inc. 10,727 272 Occidental Petroleum Corp. 15,107 232 Overseas Shipholding Group, Inc. 8,719 291 PetroQuest Energy, Inc. (b) 2,895 385 Plains Exploration & Production Co. (b) 10,857 216 Southern Union Co. 3,720 322 Spectra Energy Corp. 6,224 134 Stone Energy Corp. (b) 4,066 147 Swift Energy Co. (b) 4,716 698 Tesoro Corp. 6,750 487 Williams (The) Cos., Inc. 10,212 145 World Fuel Services Corp. 3,107 ------------- 156,952 ------------- PAPER & FOREST PRODUCTS--0.9% 694 Buckeye Technologies, Inc. (b) 4,088 586 International Paper Co. 10,091 823 MeadWestvaco Corp. 11,546 226 Neenah Paper, Inc. 2,041 176 Schweitzer-Mauduit International, Inc. 2,943 ------------- 30,709 ------------- PHARMACEUTICALS--1.7% 174 Eli Lilly & Co. 5,885 1,602 King Pharmaceuticals, Inc. (b) 14,082 122 Merck & Co., Inc. 3,776 624 Pfizer, Inc. 11,051 539 Watson Pharmaceuticals, Inc. (b) 14,105 312 Wyeth 10,040 ------------- 58,939 ------------- PROFESSIONAL SERVICES--1.6% 82 Administaff, Inc. 1,639 150 CDI Corp. 1,950 148 Heidrick & Struggles International, Inc. 3,571 569 Kelly Services, Inc., Class A 8,102 314 Manpower, Inc. 9,775 515 Monster Worldwide, Inc. (b) 7,334 1,344 MPS Group, Inc. (b) 10,470 283 On Assignment, Inc. (b) 1,840 107 School Specialty, Inc. (b) 2,247 1,167 Spherion Corp. (b) 3,711 633 Volt Information Sciences, Inc. (b) 4,843 See Notes to Quarterly Portfolio of Investments Page 98 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A)(CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) PROFESSIONAL SERVICES (CONTINUED) 67 Watson Wyatt Worldwide, Inc., Class A $ 2,845 ------------- 58,327 ------------- REAL ESTATE INVESTMENT TRUSTS--1.0% 368 DiamondRock Hospitality Co. 1,906 41 Entertainment Properties Trust 1,535 128 Equity One, Inc. 2,236 385 Hospitality Properties Trust 3,908 577 Host Hotels & Resorts, Inc. 5,966 48 LaSalle Hotel Properties 676 38 LTC Properties, Inc. 918 98 Medical Properties Trust, Inc. 723 47 National Retail Properties, Inc. 838 93 ProLogis 1,302 155 Public Storage 12,634 56 Rayonier, Inc. 1,852 47 Senior Housing Properties Trust 901 ------------- 35,395 ------------- REAL ESTATE MANAGEMENT & DEVELOPMENT--0.0% 76 Forestar Real Estate Group, Inc. (b) 665 ------------- ROAD & RAIL--1.2% 169 Arkansas Best Corp. 4,933 1,888 Avis Budget Group, Inc. (b) 3,096 123 Con-way, Inc. 4,187 70 CSX Corp. 3,200 58 Norfolk Southern Corp. 3,477 118 Old Dominion Freight Line, Inc. (b) 3,580 248 Ryder System, Inc. 9,825 54 Union Pacific Corp. 3,606 364 Werner Enterprises, Inc. 7,142 ------------- 43,046 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--4.5% 82 Advanced Energy Industries, Inc. (b) 875 291 Analog Devices, Inc. 6,216 254 Applied Materials, Inc. 3,279 776 Atmel Corp. (b) 3,220 316 ATMI, Inc. (b) 3,843 104 Cabot Microelectronics Corp. (b) 2,988 224 Cymer, Inc. (b) 5,481 1,089 Cypress Semiconductor Corp. (b) 5,456 1,523 Fairchild Semiconductor International, Inc. (b) 8,651 47 FEI Co. (b) 987 1,393 Integrated Device Technology, Inc. (b) 8,859 615 Intel Corp. 9,840 653 Intersil Corp., Class A 8,940 242 KLA-Tencor Corp. 5,627 990 Kulicke & Soffa Industries, Inc. (b) 2,911 344 Lam Research Corp. (b) 7,692 246 Micrel, Inc. 1,808 See Notes to Quarterly Portfolio of Investments Page 99 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A)(CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ---------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 3,790 Micron Technology, Inc. (b) $ 17,850 224 MKS Instruments, Inc. (b) 4,155 391 Novellus Systems, Inc. (b) 6,178 425 Pericom Semiconductor Corp. (b) 3,315 901 RF Micro Devices, Inc. (b) 1,793 133 Rudolph Technologies, Inc. (b) 446 388 Semtech Corp. (b) 4,703 401 Skyworks Solutions, Inc. (b) 2,859 179 Standard Microsystems Corp. (b) 3,224 40 Supertex, Inc. (b) 965 1,474 Teradyne, Inc. (b) 7,517 714 Texas Instruments, Inc. 13,965 466 TriQuint Semiconductor, Inc. (b) 2,088 89 Varian Semiconductor Equipment Associates, Inc. (b) 1,746 ------------- 157,477 ------------- SOFTWARE--0.9% 2,003 Cadence Design Systems, Inc. (b) 8,152 266 Jack Henry & Associates, Inc. 5,057 220 JDA Software Group, Inc. (b) 3,142 100 Manhattan Associates, Inc. (b) 1,681 86 Progress Software Corp. (b) 1,973 257 Radiant Systems, Inc. (b) 1,354 396 Synopsys, Inc. (b) 7,239 272 Take-Two Interactive Software, Inc. (b) 3,226 ------------- 31,824 ------------- SPECIALTY RETAIL--4.2% 656 AnnTaylor Stores Corp. (b) 8,246 1,707 AutoNation, Inc. (b) 11,727 415 Barnes & Noble, Inc. 7,835 325 Big 5 Sporting Goods Corp. 2,041 1,652 Borders Group, Inc. 5,600 273 Brown Shoe Co., Inc. 2,877 471 Cabela's, Inc. (b) 3,744 188 CarMax, Inc. (b) 1,997 191 Cato (The) Corp., Class A 2,964 555 Charlotte Russe Holding, Inc. (b) 4,690 144 Collective Brands, Inc. (b) 1,842 277 Dick's Sporting Goods, Inc. (b) 4,244 335 Foot Locker, Inc. 4,898 647 Gap (The), Inc. 8,372 170 Genesco, Inc. (b) 4,218 262 Group 1 Automotive, Inc. 2,633 195 Haverty Furniture Cos., Inc. 1,919 860 Hot Topic, Inc. (b) 5,573 92 J. Crew Group, Inc. (b) 1,863 213 Jo-Ann Stores, Inc. (b) 4,081 886 Limited Brands, Inc. 10,614 268 Men's Wearhouse (The), Inc. 4,098 81 Midas, Inc. (b) 1,055 3,297 Office Depot, Inc. (b) 11,869 542 Pep Boys-Manny, Moe & Jack (The) 2,612 See Notes to Quarterly Portfolio of Investments Page 100 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A)(CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) SPECIALTY RETAIL (CONTINUED) 486 Rent-A-Center, Inc.(b) $ 7,096 672 Sonic Automotive, Inc., Class A 3,447 285 Stein Mart, Inc. 613 324 Tiffany & Co. 8,894 581 Tween Brands, Inc. (b) 4,950 45 Zale Corp. (b) 768 ------------- 147,380 ------------- TEXTILES, APPAREL & LUXURY GOODS--1.2% 121 Hanesbrands, Inc. (b) 2,114 256 Iconix Brand Group, Inc. (b) 2,788 622 Jones Apparel Group, Inc. 6,910 154 Maidenform Brands, Inc. (b) 1,691 254 Movado Group, Inc. 3,863 173 Oxford Industries, Inc. 2,330 381 Perry Ellis International, Inc. (b) 3,730 208 Phillips-Van Heusen Corp. 5,098 338 Skechers U.S.A., Inc., Class A (b) 4,590 104 UniFirst Corp. 3,394 99 VF Corp. 5,455 84 Wolverine World Wide, Inc. 1,974 ------------- 43,937 ------------- THRIFTS & MORTGAGE FINANCE--0.3% 607 Anchor BanCorp Wisconsin, Inc. 3,459 1,102 Corus Bankshares, Inc. 2,424 167 First Niagara Financial Group, Inc. 2,634 375 Flagstar Bancorp, Inc. 713 143 Washington Federal, Inc. 2,520 ------------- 11,750 ------------- TOBACCO--1.1% 588 Alliance One International, Inc. (b) 1,964 580 Altria Group, Inc. 11,130 80 Philip Morris International, Inc. 3,478 316 Reynolds American, Inc. 15,471 161 Universal Corp. 6,374 ------------- 38,417 ------------- TRADING COMPANIES & DISTRIBUTORS--0.6% 124 Applied Industrial Technologies, Inc. 2,504 274 GATX Corp. 7,822 39 Kaman Corp. 996 711 United Rentals, Inc. (b) 7,288 22 Watsco, Inc. 904 ------------- 19,514 ------------- WATER UTILITIES--0.0% 29 American States Water Co. 992 ------------- See Notes to Quarterly Portfolio of Investments Page 101 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A)(CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) WIRELESS TELECOMMUNICATION SERVICES--0.3% 379 Telephone and Data Systems, Inc. $ 10,176 ------------- TOTAL COMMON STOCKS--99.9% (Cost $4,980,854) 3,534,876 MONEY MARKET FUND--0.7% 26,201 Morgan Stanley Institutional Treasury Money Market Fund--0.52% (c) (Cost $26,201) 26,201 ------------- TOTAL INVESTMENTS--100.6% (Cost $5,007,055) (d) 3,561,077 NET OTHER ASSETS AND LIABILITIES--(0.6%) (23,362) ------------- NET ASSETS--100.0% $ 3,537,715 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at October 31, 2008. (d) Aggregate cost for federal income tax and financial reporting purposes. As of October 31, 2008, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $59,843 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $1,505,821. SECURITY VALUATION INPUTS A summary of the inputs used to value the Fund's net assets as of October 31, 2008 is as follows (See Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments). INVESTMENTS VALUATION INPUTS IN SECURITIES - ------------------------------------------------------------------------------- Level 1 - Quoted Prices - Investments $ 3,534,876 Level 2 - Other Significant Observable Inputs 26,201 Level 3 - Significant Unobservable Inputs -- - ------------------------------------------------------------------------------- Total $ 3,561,077 ==================== See Notes to Quarterly Portfolio of Investments Page 102 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS--100.0% AEROSPACE & DEFENSE--2.0% 328 AAR Corp. (b) $ 5,245 117 Alliant Techsystems, Inc. (b) 9,657 74 Ceradyne, Inc. (b) 1,739 180 Curtiss-Wright Corp. 6,642 185 General Dynamics Corp. 11,159 277 L-3 Communications Holdings, Inc. 22,484 320 Lockheed Martin Corp. 27,216 254 Moog, Inc., Class A (b) 8,920 341 Orbital Sciences Corp. (b) 6,987 142 Rockwell Collins, Inc. 5,287 238 Teledyne Technologies, Inc. (b) 10,846 ------------- 116,182 ------------- AIR FREIGHT & LOGISTICS--0.7% 534 C.H. Robinson Worldwide, Inc. 27,651 289 Hub Group, Inc., Class A (b) 9,089 108 United Parcel Service, Inc., Class B 5,700 ------------- 42,440 ------------- AIRLINES--0.3% 4,527 AirTran Holdings, Inc. (b) 18,515 ------------- AUTO COMPONENTS--0.3% 898 Johnson Controls, Inc. 15,922 ------------- AUTOMOBILES--0.1% 183 Harley-Davidson, Inc. 4,480 ------------- BEVERAGES--2.0% 420 Anheuser-Busch Cos., Inc. 26,054 172 Boston Beer (The) Co., Inc., Class A (b) 6,500 356 Brown-Forman Corp., Class B 16,162 258 Coca-Cola (The) Co. 11,367 952 Constellation Brands, Inc., Class A (b) 11,938 182 Hansen Natural Corp. (b) 4,608 700 Pepsi Bottling Group (The), Inc. 16,184 382 PepsiCo, Inc. 21,778 ------------- 114,591 ------------- BIOTECHNOLOGY--2.7% 345 Amgen, Inc. (b) 20,662 323 Celgene Corp. (b) 20,756 221 Cephalon, Inc. (b) 15,850 613 Cubist Pharmaceuticals, Inc. (b) 15,564 433 Genzyme Corp. (b) 31,557 299 Gilead Sciences, Inc. (b) 13,709 173 Martek Biosciences Corp. (b) 5,161 624 Regeneron Pharmaceuticals, Inc. (b) 12,043 272 United Therapeutics Corp. (b) 23,727 ------------- 159,029 ------------- See Notes to Quarterly Portfolio of Investments Page 103 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) CAPITAL MARKETS--2.4% 1,348 Charles Schwab (The) Corp. $ 25,774 156 Eaton Vance Corp. 3,432 148 Greenhill & Co., Inc. 9,764 561 Janus Capital Group, Inc. 6,586 766 Jefferies Group, Inc. 12,126 485 Northern Trust Corp. 27,310 867 Raymond James Financial, Inc. 20,192 120 State Street Corp. 5,202 273 Stifel Financial Corp (b) 11,916 380 T. Rowe Price Group, Inc. 15,025 291 TradeStation Group, Inc. (b) 2,279 ------------- 139,606 ------------- CHEMICALS--2.4% 443 Airgas, Inc. 16,993 511 Balchem Corp. 13,061 149 CF Industries Holding, Inc. 9,564 722 Ecolab, Inc. 26,902 1,771 Hercules, Inc. 29,771 173 International Flavors & Fragrances, Inc. 5,515 93 Minerals Technologies, Inc. 5,279 138 Monsanto Co. 12,279 104 NewMarket Corp. 3,920 260 Sigma-Aldrich Corp. 11,404 187 Terra Industries, Inc. 4,112 ------------- 138,800 ------------- COMMERCIAL BANKS--2.5% 623 Boston Private Financial Holdings, Inc. 5,507 924 Cathay General Bancorp 22,620 370 Commerce Bancshares, Inc. 17,494 105 First Financial Bankshares, Inc. 5,690 440 Glacier Bancorp, Inc. 8,875 160 Hancock Holding Co. 7,066 327 PrivateBancorp, Inc. 11,775 240 Prosperity Bancshares, Inc. 7,970 312 Signature Bank (b) 10,165 494 SVB Financial Group (b) 25,416 425 UCBH Holdings, Inc. 2,244 104 UMB Financial Corp. 4,714 96 Westamerica Bancorporation 5,496 895 Wilshire Bancorp, Inc. 9,872 ------------- 144,904 ------------- See Notes to Quarterly Portfolio of Investments Page 104 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) COMMERCIAL SERVICES & SUPPLIES--2.1% 361 Brink's (The) Co. $ 17,505 289 Copart, Inc. (b) 10,086 221 Corrections Corp. of America (b) 4,223 149 Healthcare Services Group 2,467 144 Mine Safety Appliances Co. 3,888 409 Pitney Bowes, Inc. 10,135 183 Republic Services, Inc. 4,337 1,159 Rollins, Inc. 20,364 373 Stericycle, Inc. (b) 21,795 620 Sykes Enterprises, Inc. (b) 9,895 453 Tetra Tech, Inc. (b) 9,961 238 Waste Connections, Inc. (b) 8,056 ------------- 122,712 ------------- COMMUNICATIONS EQUIPMENT--2.0% 538 Avocent Corp. (b) 8,081 302 Cisco Systems, Inc. (b) 5,367 318 CommScope, Inc. (b) 4,678 111 Comtech Telecommunications Corp. (b) 5,375 235 F5 Networks, Inc. (b) 5,833 1,570 Foundry Networks, Inc. (b) 23,314 442 Harris Corp. 15,890 182 NETGEAR, Inc. (b) 2,011 488 Plantronics, Inc. 7,047 742 Polycom, Inc. (b) 15,589 475 QUALCOMM, Inc. 18,173 347 ViaSat, Inc. (b) 6,322 ------------- 117,680 ------------- COMPUTERS & PERIPHERALS--1.8% 226 Avid Technology, Inc. (b) 3,352 758 Hewlett-Packard Co. 29,015 175 International Business Machines Corp. 16,270 418 Lexmark International, Inc., Class A (b) 10,797 374 NetApp, Inc. (b) 5,060 1,330 QLogic Corp. (b) 15,987 348 SanDisk Corp. (b) 3,094 361 Synaptics, Inc. (b) 11,151 516 Western Digital Corp. (b) 8,514 ------------- 103,240 ------------- CONSTRUCTION & ENGINEERING--0.5% 244 Fluor Corp. 9,743 125 Jacobs Engineering Group, Inc. (b) 4,554 814 Quanta Services, Inc. (b) 16,084 ------------- 30,381 ------------- See Notes to Quarterly Portfolio of Investments Page 105 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) CONSTRUCTION MATERIALS--0.5% 408 Headwaters, Inc. (b) $ 4,325 49 Martin Marietta Materials, Inc. 3,841 366 Vulcan Materials Co. 19,866 ------------- 28,032 ------------- CONSUMER FINANCE--0.4% 545 First Cash Financial Services, Inc. (b) 8,377 2,170 Rewards Network, Inc. (b) 8,246 227 World Acceptance Corp. (b) 4,195 ------------- 20,818 ------------- CONTAINERS & PACKAGING--1.2% 439 AptarGroup, Inc. 13,310 172 Ball Corp. 5,882 436 Greif, Inc., Class A 17,693 1,411 Pactiv Corp. (b) 33,244 ------------- 70,129 ------------- DISTRIBUTORS--0.1% 321 LKQ Corp. (b) 3,672 ------------- DIVERSIFIED CONSUMER SERVICES--3.3% 591 Apollo Group, Inc., Class A (b) 41,080 673 Career Education Corp. (b) 10,640 255 Coinstar, Inc. (b) 6,117 1,907 Corinthian Colleges, Inc. (b) 27,232 444 DeVry, Inc. 25,170 1,197 H&R Block, Inc. 23,605 68 ITT Educational Services, Inc. (b) 5,960 338 Matthews International Corp., Class A 15,085 66 Pre-Paid Legal Services, Inc. (b) 2,606 110 Strayer Education, Inc. 24,890 479 Universal Technical Institute, Inc. (b) 7,904 ------------- 190,289 ------------- DIVERSIFIED FINANCIAL SERVICES--0.3% 450 Leucadia National Corp. 12,078 168 Portfolio Recovery Associates, Inc. (b) 6,028 ------------- 18,106 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES--0.2% 314 FairPoint Communications, Inc. 1,250 1,177 General Communication, Inc., Class A (b) 9,039 ------------- 10,289 ------------- See Notes to Quarterly Portfolio of Investments Page 106 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) ELECTRICAL EQUIPMENT--0.5% 270 AMETEK, Inc. $ 8,978 211 II-VI, Inc. (b) 5,927 673 Magnetek, Inc. (b) 1,447 97 Roper Industries, Inc. 4,399 309 Woodward Governor Co. 9,918 ------------- 30,669 ------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS--1.5% 230 Agilent Technologies, Inc. (b) 5,104 509 Amphenol Corp., Class A 14,583 757 Brightpoint, Inc. (b) 4,360 744 FLIR Systems, Inc. (b) 23,883 62 Itron, Inc. (b) 3,006 612 Mercury Computer Systems, Inc. (b) 4,394 259 MTS Systems Corp. 8,412 571 National Instruments Corp. 14,503 633 RadiSys Corp. (b) 4,032 189 ScanSource, Inc. (b) 3,750 ------------- 86,027 ------------- ENERGY EQUIPMENT & SERVICES--0.7% 128 Basic Energy Services, Inc. (b) 1,751 353 Cameron International Corp. (b) 8,563 106 CARBO Ceramics, Inc. 4,587 118 FMC Technologies, Inc. (b) 4,129 210 Halliburton Co. 4,156 71 Hornbeck Offshore Services, Inc. (b) 1,690 69 Lufkin Industries, Inc. 3,610 285 Matrix Service Co. (b) 3,491 116 Smith International, Inc. 4,000 323 Superior Well Services, Inc. (b) 5,410 ------------- 41,387 ------------- FOOD & STAPLES RETAILING--2.8% 736 BJ's Wholesale Club, Inc. (b) 25,907 451 Casey's General Stores, Inc. 13,620 540 Costco Wholesale Corp. 30,785 607 CVS Caremark Corp. 18,605 1,137 Sysco Corp. 29,789 545 United Natural Foods, Inc. (b) 12,175 585 Wal-Mart Stores, Inc. 32,650 ------------- 163,531 ------------- FOOD PRODUCTS--4.1% 908 Campbell Soup Co. 34,459 371 Flowers Foods, Inc. 11,000 510 General Mills, Inc. 34,547 277 Green Mountain Coffee Roasters, Inc. (b) 8,030 198 Hain Celestial Group (The), Inc. (b) 4,602 517 Hershey (The) Co. 19,253 303 Hormel Foods Corp. 8,563 See Notes to Quarterly Portfolio of Investments Page 107 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) FOOD PRODUCTS (CONTINUED) 321 J & J Snack Foods Corp. $ 10,067 625 Kellogg Co. 31,513 708 McCormick & Co., Inc. 23,831 424 Ralcorp Holdings, Inc. (b) 28,696 297 Sanderson Farms, Inc. 9,272 594 Tootsie Roll Industries, Inc. 14,773 ------------- 238,606 ------------- HEALTH CARE EQUIPMENT & SUPPLIES--6.5% 309 Advanced Medical Optics, Inc. (b) 1,907 460 American Medical Systems Holdings, Inc. (b) 4,977 415 Baxter International, Inc. 25,103 310 Beckman Coulter, Inc. 15,475 170 Becton, Dickinson & Co. 11,798 555 Boston Scientific Corp. (b) 5,012 215 C.R. Bard, Inc. 18,974 426 CONMED Corp. (b) 11,161 78 Cooper Cos (The), Inc. 1,285 830 CryoLife, Inc. (b) 11,122 160 Cyberonics, Inc. (b) 2,038 293 DENTSPLY International, Inc. 8,901 297 Edwards Lifesciences Corp. (b) 15,693 207 Gen-Probe, Inc. (b) 9,741 555 Greatbatch, Inc. (b) 12,071 132 Haemonetics Corp. (b) 7,796 535 Hospira, Inc. (b) 14,884 90 ICU Medical, Inc. (b) 2,883 401 IDEXX Laboratories, Inc. (b) 14,111 256 Immucor, Inc. (b) 6,797 124 Integra LifeSciences Holdings (b) 4,655 28 Intuitive Surgical, Inc. (b) 4,838 173 Kensey Nash Corp. (b) 4,392 272 Medtronic, Inc. 10,970 94 Meridian Bioscience, Inc. 2,311 580 Merit Medical Systems, Inc. (b) 10,614 481 Natus Medical, Inc. (b) 7,359 512 ResMed, Inc. (b) 17,541 626 St. Jude Medical, Inc. (b) 23,807 761 STERIS Corp. 25,904 219 Stryker Corp. 11,708 734 Symmetry Medical, Inc. (b) 9,483 613 Varian Medical Systems, Inc. (b) 27,899 167 West Pharmaceutical Services, Inc. 6,667 333 Zoll Medical Corp. (b) 8,019 ------------- 377,896 ------------- HEALTH CARE PROVIDERS & SERVICES--7.0% 192 Air Methods Corp. (b) 3,222 224 Amedisys, Inc. (b) 12,636 432 AMERIGROUP Corp. (b) 10,800 465 AMN Healthcare Services, Inc. (b) 4,180 321 AmSurg Corp. (b) 8,006 See Notes to Quarterly Portfolio of Investments Page 108 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 664 Centene Corp. (b) $ 12,510 751 Community Health Systems, Inc. (b) 15,396 628 Coventry Health Care, Inc. (b) 8,283 478 DaVita, Inc. (b) 27,127 475 Express Scripts, Inc. (b) 28,789 233 Health Net, Inc. (b) 3,001 644 Healthspring, Inc. (b) 10,639 409 Henry Schein, Inc. (b) 19,145 227 HMS Holdings Corp. (b) 5,623 196 Laboratory Corp. of America Holdings (b) 12,052 150 Landauer, Inc. 8,109 478 LHC Group, Inc. (b) 16,864 890 LifePoint Hospitals, Inc. (b) 21,333 570 Lincare Holdings, Inc. (b) 15,019 332 Magellan Health Services, Inc. (b) 12,264 779 Medco Health Solutions, Inc. (b) 29,562 439 Molina Healthcare, Inc. (b) 9,777 1,342 Odyssey HealthCare, Inc. (b) 12,870 224 Patterson Cos., Inc. (b) 5,674 559 PSS World Medical, Inc. (b) 10,140 754 Psychiatric Solutions, Inc. (b) 25,101 678 Quest Diagnostics, Inc. 31,729 393 Universal Health Services, Inc., Class B 16,522 373 VCA Antech, Inc. (b) 6,751 ------------- 403,124 ------------- HEALTH CARE TECHNOLOGY--0.3% 219 Allscripts-Misys Healthcare Solutions, Inc. 1,424 123 Cerner Corp. (b) 4,579 260 Eclipsys Corp. (b) 3,861 521 Phase Forward, Inc. (b) 7,434 ------------- 17,298 ------------- HOTELS, RESTAURANTS & LEISURE--2.0% 615 Brinker International, Inc. 5,720 338 Buffalo Wild Wings, Inc. (b) 9,559 328 CEC Entertainment, Inc. (b) 8,423 476 Darden Restaurants, Inc. 10,553 441 McDonald's Corp. 25,546 231 P.F. Chang's China Bistro, Inc. (b) 4,726 268 Panera Bread Co., Class A (b) 12,092 301 Papa John's International, Inc. (b) 6,791 488 Peet's Coffee & Tea, Inc. (b) 10,960 458 Starbucks Corp. (b) 6,014 89 WMS Industries, Inc. (b) 2,225 418 Yum! Brands, Inc. 12,126 ------------- 114,735 ------------- HOUSEHOLD DURABLES--1.5% 224 Black & Decker (The) Corp. 11,339 200 Harman International Industries, Inc. 3,674 688 Hovnanian Enterprises, Inc., Class A (b) 2,952 See Notes to Quarterly Portfolio of Investments Page 109 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) HOUSEHOLD DURABLES (CONTINUED) 551 Meritage Homes Corp. (b) $ 7,565 30 NVR, Inc. (b) 14,706 1,950 Pulte Homes, Inc. 21,723 1,664 Standard-Pacific Corp. (b) 4,742 872 Toll Brothers, lnc. (b) 20,161 ------------- 86,862 ------------- HOUSEHOLD PRODUCTS--2.5% 461 Church & Dwight Co., Inc. 27,240 559 Clorox (The) Co. 33,994 361 Colgate-Palmolive Co. 22,656 213 Energizer Holdings, Inc. (b) 10,407 420 Kimberly-Clark Corp. 25,742 293 Procter & Gamble (The) Co. 18,910 152 WD-40 Co. 4,423 ------------- 143,372 ------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS--0.1% 582 AES (The) Corp. (b) 4,639 ------------- INSURANCE--2.6% 232 Aflac, Inc. 10,273 303 Aon Corp. 12,817 509 Brown & Brown, Inc. 10,445 815 HCC Insurance Holdings, Inc. 17,979 66 Infinity Property & Casualty Corp. 2,628 141 Navigators Group (The), Inc. (b) 7,122 488 Philadelphia Consolidated Holding Co. (b) 28,543 1,174 Progressive (The) Corp. 16,753 189 Prudential Financial, Inc. 5,670 132 RLI Corp. 7,575 423 StanCorp Financial Group, Inc. 14,416 228 Torchmark Corp. 9,524 347 Tower Group, Inc. 7,297 ------------- 151,042 ------------- INTERNET & CATALOG RETAIL--1.0% 374 Amazon.com, Inc. (b) 21,408 712 NetFlix, Inc. (b) 17,629 307 NutriSystem, Inc. 4,344 867 PetMed Express, Inc. (b) 15,311 ------------- 58,692 ------------- INTERNET SOFTWARE & SERVICES--0.2% 251 Infospace, Inc. 2,151 609 Websense, Inc. (b) 11,888 ------------- 14,039 ------------- See Notes to Quarterly Portfolio of Investments Page 110 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) IT SERVICES--3.6% 403 Affiliated Computer Services, Inc., Class A (b) $ 16,523 271 Alliance Data Systems Corp. (b) 13,593 478 Automatic Data Processing, Inc. 16,706 272 CACI International Inc., Class A (b) 11,201 777 CSG Systems International, Inc. (b) 12,922 507 CyberSource Corp. (b) 6,160 741 Fiserv, Inc. (b) 24,721 970 Gartner, Inc. (b) 17,848 383 Global Payments, Inc. 15,515 230 ManTech International Corp., Class A (b) 12,406 38 MasterCard, Inc., Class A 5,617 148 MAXIMUS, Inc. 4,727 206 Paychex, Inc. 5,879 453 SI International, Inc. (b) 13,046 758 SRA International, Inc., Class A (b) 14,008 1,104 Western Union Co. 16,847 182 Wright Express Corp. (b) 2,492 ------------- 210,211 ------------- LEISURE EQUIPMENT & PRODUCTS--0.2% 239 Polaris Industries, Inc. 8,047 350 Pool Corp. 6,094 ------------- 14,141 ------------- LIFE SCIENCES TOOLS & SERVICES--2.1% 596 Applied Biosystems, Inc. 18,375 99 Charles River Laboratories International, Inc. (b) 3,547 194 Covance, Inc. (b) 9,700 496 Enzo Biochem, Inc. (b) 2,862 145 Invitrogen Corp. (b) 4,175 305 Kendle International, Inc. (b) 5,511 198 Millipore Corp. (b) 10,274 475 PAREXEL International Corp. (b) 4,940 818 PerkinElmer, Inc. 14,675 266 Pharmaceutical Product Development, Inc. 8,241 153 Techne Corp. 10,560 495 Thermo Fisher Scientific, Inc. (b) 20,097 234 Waters Corp. (b) 10,249 ------------- 123,206 ------------- MACHINERY--2.0% 114 Caterpillar, Inc. 4,351 215 CLARCOR, Inc. 7,609 311 Cummins, Inc. 8,039 196 Danaher Corp. 11,611 409 Donaldson Co., Inc. 14,376 220 EnPro Industries, Inc. (b) 4,886 124 Flowserve Corp. 7,058 490 ITT Corp. 21,806 37 Lindsay Corp. 1,760 See Notes to Quarterly Portfolio of Investments Page 111 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- -------------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 396 Pall Corp. $ 10,458 66 Toro (The) Co. 2,220 33 Valmont Industries, Inc. 1,808 558 Wabtec Corp. 22,187 ------------- 118,169 ------------- MEDIA--1.9% 1,339 DIRECTV Group (The), Inc. (b) 29,310 699 DreamWorks Animation SKG, Inc., Class A (b) 19,642 424 John Wiley & Sons, Inc., Class A 14,747 838 Marvel Entertainment, Inc. (b) 26,975 353 Omnicom Group, Inc. 10,428 1,981 Valassis Communications, Inc. (b) 8,796 ------------- 109,898 ------------- METALS & MINING--0.4% 261 AMCOL International Corp. 6,403 208 Cliffs Natural Resources, Inc. 5,614 176 Newmont Mining Corp. 4,636 322 Steel Dynamics, Inc. 3,838 88 United States Steel Corp. 3,245 ------------- 23,736 ------------- MULTILINE RETAIL--2.1% 787 Dollar Tree, Inc. (b) 29,922 1,479 Family Dollar Stores, Inc. 39,800 591 Kohl's Corp. (b) 20,762 218 Sears Holdings Corp. (b) 12,587 416 Target Corp. 16,690 ------------- 119,761 ------------- OIL, GAS & CONSUMABLE FUELS--2.6% 131 Apache Corp. 10,785 225 Cimarex Energy Co. 9,104 372 ConocoPhillips 19,350 75 Devon Energy Corp. 6,065 411 Encore Acquisition Co. (b) 12,803 263 Exxon Mobil Corp. 19,493 318 Murphy Oil Corp. 16,103 153 Penn Virginia Corp. 5,687 391 Pioneer Natural Resources Co. 10,882 446 Southwestern Energy Co. (b) 15,886 76 St. Mary Land & Exploration Co. 1,892 383 Sunoco, Inc. 11,682 225 Valero Energy Corp. 4,631 146 XTO Energy, Inc. 5,249 ------------- 149,612 ------------- See Notes to Quarterly Portfolio of Investments Page 112 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) PAPER & FOREST PRODUCTS--0.0% 43 Deltic Timber Corp. $ 1,959 ------------- PERSONAL PRODUCTS--1.3% 630 Alberto-Culver Co. 16,210 843 Avon Products, Inc. 20,932 139 Chattem, Inc. (b) 10,518 702 Estee Lauder (The) Cos., Inc., Class A 25,300 186 NBTY, Inc. (b) 4,347 ------------- 77,307 ------------- PHARMACEUTICALS--3.0% 473 Abbott Laboratories 26,086 264 Allergan, Inc. 10,473 537 Barr Pharmaceuticals, Inc. (b) 34,507 393 Johnson & Johnson 24,107 2,385 Mylan, Inc. (b) 20,439 466 Noven Pharmaceuticals, Inc. (b) 5,243 744 Perrigo Co. 25,296 1,106 Schering-Plough Corp. 16,026 830 ViroPharma, Inc. (b) 10,408 ------------- 172,585 ------------- PROFESSIONAL SERVICES--1.7% 117 Dun & Bradstreet (The) Corp. 8,622 791 Equifax, Inc. 20,629 1,605 Korn/Ferry International (b) 22,294 1,106 Navigant Consulting, Inc. (b) 17,884 1,100 Robert Half International,Inc. 20,757 674 TrueBlue, Inc. (b) 5,614 ------------- 95,800 ------------- REAL ESTATE INVESTMENT TRUSTS--0.6% 412 Cedar Shopping Centers, Inc. 3,939 177 Extra Space Storage, Inc. 2,037 410 Plum Creek Timber Co., Inc. 15,285 474 Potlatch Corp. 15,741 ------------- 37,002 ------------- ROAD & RAIL--1.0% 221 Burlington Northern Santa Fe Corp. 19,682 175 Heartland Express, Inc. 2,685 659 J.B.Hunt Transport Services, Inc. 18,735 387 Kansas City Southern (b) 11,947 160 Knight Transportation, Inc. 2,544 ------------- 55,593 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--0.7% 1,297 Advanced Micro Devices, Inc. (b) 4,540 659 Altera Corp. 11,434 356 DSP Group, Inc. (b) 2,243 See Notes to Quarterly Portfolio of Investments Page 113 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 2,619 Kopin Corp. (b) $ 6,076 222 Linear Technology Corp. 5,035 214 Microsemi Corp. (b) 4,652 290 Xilinx, Inc. 5,342 ------------- 39,322 ------------- SOFTWARE--4.3% 690 Adobe Systems, Inc. (b) 18,382 290 ANSYS, Inc. (b) 8,303 406 Autodesk, Inc. (b) 8,652 238 BMC Software, Inc. (b) 6,145 2,811 Compuware Corp. (b) 17,934 285 Concur Technologies, Inc. (b) 7,191 105 FactSet Research Systems, Inc. 4,073 239 Fair Isaac Corp. 3,726 1,109 Intuit, Inc. (b) 27,791 358 Macrovision Solutions Corp (b) 3,967 324 McAfee, Inc. (b) 10,546 510 Microsoft Corp. 11,388 1,006 Oracle Corp. (b) 18,400 1,196 Parametric Technology Corp. (b) 15,536 322 Quality Systems, Inc. 12,394 141 Salesforce.com, Inc. (b) 4,365 994 Secure Computing Corp. (b) 5,626 767 Smith Micro Software, Inc. (b) 4,794 934 Sybase, Inc. (b) 24,872 1,391 Symantec Corp. (b) 17,499 539 Tyler Technologies, Inc. (b) 7,325 1,100 Wind River Systems, Inc. (b) 9,614 ------------- 248,523 ------------- SPECIALTY RETAIL--7.0% 503 Aaron Rents, Inc. 12,469 555 Advance Auto Parts, Inc. 17,316 891 Aeropostale, Inc. (b) 21,571 221 AutoZone, Inc. (b) 28,131 867 Bed Bath & Beyond, Inc. (b) 22,343 545 Best Buy Co., Inc. 14,611 367 Buckle (The), Inc. 9,667 327 Children's Place Retail Stores (The), Inc. (b) 10,932 355 Christopher & Banks Corp. 1,853 1,900 Coldwater Creek, Inc. (b) 6,821 534 Dress Barn (The), Inc. (b) 5,105 199 GameStop Corp., Class A (b) 5,451 158 Guess?, Inc. 3,440 77 Gymboree (The) Corp. (b) 1,991 136 Hibbett Sports, Inc. (b) 2,422 789 Home Depot (The), Inc. 18,613 405 Jos. A. Bank Clothiers, Inc. (b) 10,315 1,150 Lowe's Cos., Inc. 24,955 411 O'Reilly Automotive, Inc. (b) 11,142 1,157 PetSmart, Inc. 22,781 See Notes to Quarterly Portfolio of Investments Page 114 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- COMMON STOCKS (CONTINUED) SPECIALTY RETAIL (CONTINUED) 1,576 RadioShack Corp. $ 19,952 777 Ross Stores, Inc. 25,400 613 Sherwin-Williams (The) Co. 34,886 199 Stage Stores, Inc. 1,534 1,211 Staples, Inc. 23,530 669 TJX (The) Cos., Inc. 17,902 259 Tractor Supply Co. (b) 10,764 690 Urban Outfitters, Inc. (b) 15,001 165 Zumiez, Inc. (b) 1,610 ------------- 402,508 ------------- TEXTILES, APPAREL & LUXURY GOODS--1.8% 26 Deckers Outdoor Corp. (b) 2,206 96 Fossil, Inc. (b) 1,742 157 K-Swiss, Inc., Class A 2,375 524 NIKE, Inc., Class B 30,199 526 Polo Ralph Lauren Corp. 24,811 988 Timberland (The) Co., Class A (b) 11,955 421 True Religion Apparel, Inc. (b) 7,052 173 Under Armour, Inc. (b) 4,498 631 Warnaco Group (The), Inc. (b) 18,810 ------------- 103,648 ------------- THRIFTS & MORTGAGE FINANCE--0.7% 1,900 Hudson City Bancorp, Inc. 35,739 969 MGIC Investment Corp. 3,760 ------------- 39,499 ------------- TOBACCO--0.6% 96 Lorillard, Inc. 6,323 409 UST, Inc. 27,644 ------------- 33,967 ------------- TRADING COMPANIES & DISTRIBUTORS--1.3% 710 Fastenal Co. 28,585 372 MSC Industrial Direct Co., Inc., Class A 13,340 403 W.W. Grainger, Inc. 31,663 ------------- 73,588 ------------- TOTAL COMMON STOCKS--100.0% (Cost $6,507,193) 5,791,771 See Notes to Quarterly Portfolio of Investments Page 115 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (A) (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) SHARES DESCRIPTION VALUE - ---------- ------------------------------------------------- ------------- MONEY MARKET FUND--0.8% 47,079 Morgan Stanley Institutional Treasury Money Market Fund--0.52% (c) (Cost $47,079) $ 47,079 ------------- TOTAL INVESTMENTS--100.8% (Cost $6,554,272) (d) 5,838,850 NET OTHER ASSETS AND LIABILITIES--(0.8%) (45,405) ------------- NET ASSETS--100.0% $ 5,793,445 ============= (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at October 31, 2008. (d) Aggregate cost for federal income tax and financial reporting purposes. As of October 31, 2008, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $166,276 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $881,698. SECURITY VALUATION INPUTS A summary of the inputs used to value the Fund's net assets as of October 31, 2008 is as follows (See Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments). INVESTMENTS VALUATION INPUTS IN SECURITIES - ------------------------------------------------------------------------------- Level 1 - Quoted Prices - Investments $ 5,791,771 Level 2 - Other Significant Observable Inputs 47,079 Level 3 - Significant Unobservable Inputs -- - ------------------------------------------------------------------------------- Total $ 5,838,850 ==================== See Notes to Quarterly Portfolio of Investments Page 116 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS OCTOBER 31, 2008 (UNAUDITED) 1. VALUATION AND INVESTMENT PRACTICES A. PORTFOLIO VALUATION: First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") is an open-end management investment company that currently consists of sixteen exchange-traded funds (each a "Fund" or collectively, the "Funds") as follows: 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 First Trust Multi Cap Growth AlphaDEX(R) Fund 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 calculated 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 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 Page 109 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS (CONTINUED) OCTOBER 31, 2008 (UNAUDITED) 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 prices that may differ from current market quotations or official closing sale prices on the applicable exchange and fair value pricing may not reflect the market price of a security. A variety of factors may be considered in determining the fair value of such securities. In addition, the use of fair value prices and certain current market quotations or official closing sale prices 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 its index. In September 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("FAS 157"), effective for fiscal years beginning after November 15, 2007. This standard clarifies the definition of fair value for financial reporting, establishes a framework for measuring fair value and requires additional disclosures about the use of fair value measurements. FAS 157 became effective for the Funds as of August 1, 2008, the beginning of each Fund's current fiscal year. The three levels of the fair value hierarchy under FAS 157 are described below: o Level 1 - quoted prices in active markets for identical securities o Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) o Level 3 - significant unobservable inputs (including the Funds' own assumption in determining the fair value of investments) The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. A summary of the inputs used to value each Fund's net assets as of October 31, 2008 is included with each Fund's Portfolio of Investments. 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. Page 110 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND ADDITIONAL INFORMATION OCTOBER 31, 2008 (UNAUDITED) LICENSING INFORMATION Each of the StrataQuant(R) Consumer Discretionary Index, StrataQuant(R) Consumer Staples Index, StrataQuant(R) Energy Index, StrataQuant(R) Financials Index, StrataQuant(R) Health Care Index, StrataQuant(R) Industrials Index, StrataQuant(R) Materials Index, StrataQuant(R) Technology Index and StrataQuant(R) Utilities Index (the " StrataQuant(R) Series") is a registered trademark of the NYSE Euronext or its affiliates ("NYSE Euronext") and is licensed for use by First Trust Portfolios L.P. The Funds are not sponsored, endorsed, sold or promoted by NYSE Euronext. NYSE Euronext makes no representation or warranty, express or implied, to the owners of the Funds or any member of the public regarding the advisability of investing in securities generally or the Funds particularly or as to the result to be obtained by any person from the use of the StrataQuant(R) Series in connection with the trading of the Funds. Each of the Defined Large Cap Core Index, Defined Mid Cap Core Index, Defined Small Cap Core Index, Defined Large Cap Value Opportunities Index, Defined Large Cap Growth Opportunities Index, Defined Multi Cap Value Index and Defined Multi Cap Growth Index (the "Defined Series") is the exclusive property of Standard & Poor's, a division of The McGraw-Hill Companies, Inc. ("S&P"). First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Series. STANDARD & POOR'S and S&P are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by First Trust Portfolios L.P. The Funds are not sponsored, endorsed, sold or promoted by S&P and S&P does not make any representation regarding the advisability of investing in the Funds. Page 111 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(R) Fund ------------------------------------------------ By: /s/ James A. Bowen --------------------------------------------------------------- James A. Bowen, Chairman of the Board, President and Chief Executive Officer (principal executive officer) Date: December 22, 2008 --------------------------------------------------------- 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 22, 2008 --------------------------------------------------------- By: /s/ Mark R. Bradley ---------------------------------------------------------- Mark R. Bradley, Treasurer, Controller, Chief Financial Officer and Chief Accounting Officer (principal financial officer) Date: December 22, 2008 --------------------------------------------------------- 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 Exchange-Traded AlphaDEX(R) 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 22, 2008 ---------------------- /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(R) 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 22, 2008 ------------------- /s/ Mark R. Bradley --------------------------------------------- Mark R. Bradley, Treasurer, Controller, Chief Financial Officer and Chief Accounting Officer (principal financial officer) -----END PRIVACY-ENHANCED MESSAGE-----