N-CSR 1 adex_ncsr.txt ALPHADEX FUND N-CSR 07-09 UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-22019 --------- First Trust Exchange-Traded AlphaDEX(R) Fund -------------------------------------------------- (Exact name of registrant as specified in charter) 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 -------------------------------------------------- (Address of principal executive offices) (Zip code) W. Scott Jardine, Esq. First Trust Portfolios L.P. 120 East Liberty Drive, Suite 400 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: July 31, 2009 ------------- Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507. Item 1. Report to Stockholders. The registrant's annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows: -------------------------------------------------------------------------------- [LOGO OMITTED] FIRST TRUST First Trust Exchange-Traded AlphaDEX(R) Fund Annual Report July 31, 2009 -------------------------------------------------------------------------------- Sector Series ------------- 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 Core Series ----------- First Trust Large Cap Core AlphaDEX(R) Fund First Trust Mid Cap Core AlphaDEX(R) Fund First Trust Small Cap Core AlphaDEX(R) Fund Style Series ------------ First Trust Large Cap Value Opportunities AlphaDEX(R) Fund First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund Multi Cap Series ---------------- First Trust Multi Cap Value AlphaDEX(R) Fund First Trust Multi Cap Growth AlphaDEX(R) Fund [LOGO OMITTED] AlphaDEX(R) Family of ETFs AlphaDEX(R) is a registered trademark of First Trust Portfolios L.P. -------------------------------------------------------------------------------- Front Cover -------------------------------------------------------------------------------- Table of Contents -------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(R) Fund July 31, 2009 Shareholder Letter...................................................... 2 Market Overview......................................................... 3 Fund Performance Overview First Trust Consumer Discretionary AlphaDEX(R) Fund............... 4 First Trust Consumer Staples AlphaDEX(R) Fund..................... 6 First Trust Energy AlphaDEX(R) Fund............................... 8 First Trust Financials AlphaDEX(R) Fund........................... 10 First Trust Health Care AlphaDEX(R) Fund.......................... 12 First Trust Industrials/Producer Durables AlphaDEX(R) Fund........ 14 First Trust Materials AlphaDEX(R) Fund............................ 16 First Trust Technology AlphaDEX(R) Fund........................... 18 First Trust Utilities AlphaDEX(R) Fund............................ 20 First Trust Large Cap Core AlphaDEX(R) Fund....................... 22 First Trust Mid Cap Core AlphaDEX(R) Fund......................... 24 First Trust Small Cap Core AlphaDEX(R) Fund....................... 26 First Trust Large Cap Value Opportunities AlphaDEX(R) Fund........ 28 First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund....... 30 First Trust Multi Cap Value AlphaDEX(R) Fund...................... 32 First Trust Multi Cap Growth AlphaDEX(R) Fund..................... 34 Notes to Fund Performance Overview...................................... 36 Understanding Your Fund Expenses........................................ 37 Portfolio of Investments First Trust Consumer Discretionary AlphaDEX(R) Fund............... 39 First Trust Consumer Staples AlphaDEX(R) Fund..................... 42 First Trust Energy AlphaDEX(R) Fund............................... 43 First Trust Financials AlphaDEX(R) Fund........................... 44 First Trust Health Care AlphaDEX(R) Fund.......................... 47 First Trust Industrials/Producer Durables AlphaDEX(R) Fund........ 49 First Trust Materials AlphaDEX(R) Fund............................ 51 First Trust Technology AlphaDEX(R) Fund........................... 53 First Trust Utilities AlphaDEX(R) Fund............................ 55 First Trust Large Cap Core AlphaDEX(R) Fund....................... 57 First Trust Mid Cap Core AlphaDEX(R) Fund......................... 63 First Trust Small Cap Core AlphaDEX(R) Fund....................... 68 First Trust Large Cap Value Opportunities AlphaDEX(R) Fund........ 75 First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund....... 79 First Trust Multi Cap Value AlphaDEX(R) Fund...................... 83 First Trust Multi Cap Growth AlphaDEX(R) Fund..................... 91 Statements of Assets and Liabilities.................................... 98 Statements of Operations................................................102 Statements of Changes in Net Assets.....................................106 Financial Highlights....................................................114 Notes to Financial Statements...........................................122 Report of Independent Registered Public Accounting Firm.................131 Additional Information..................................................132 Board of Trustees and Officers..........................................136 Risk Considerations.....................................................138 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Caution Regarding Forward-Looking Statements This report contains certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. ("First Trust" or the "Advisor") and its representatives, taking into account the information currently available to them. Forward-looking statements include all statements that do not relate solely to current or historical fact. For example, forward-looking statements include the use of words such as "anticipate," "estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or other words that convey uncertainty of future events or outcomes. Forward-looking statements involve known and unknown risks, uncertainties and other factors that may cause the actual results, performance or achievements of any series of First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue reliance on these forward-looking statements, which reflect the judgment of the Advisor and its representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof. Performance and Risk Disclosure There is no assurance that any series of the Trust described in this report (each such series is referred to as a "Fund" and collectively, the "Funds") will achieve its investment objective. Each Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund shares may therefore be less than what you paid for them. Accordingly, you can lose money investing in a Fund. See "Risk Considerations" at the end of this report for a discussion of other risks of investing in the Funds. Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please visit http://www.ftportfolios.com or speak with your financial advisor. Investment returns, net asset value and share price will fluctuate and Fund shares, when sold, may be worth more or less than their original cost. How to Read This Report This report contains information that may help you evaluate your investment. It includes details about each Fund's portfolio and presents data and analysis that provide insight into each Fund's performance and investment approach. By reading the portfolio commentary by Robert F. Carey, Chief Investment Officer of the Advisor, you may obtain an understanding of how the market environment affected the performance of each Fund. The statistical information that follows may help you understand each Fund's performance compared to that of relevant market benchmarks. It is important to keep in mind that the opinions expressed by personnel of the Advisor are just that: informed opinions. They should not be considered to be promises or advice. The opinions, like the statistics, cover the period through the date on the cover of this report. The risks of investing in each Fund are spelled out in its prospectus, statement of additional information, this report and other Fund regulatory filings. Page 1 -------------------------------------------------------------------------------- Shareholder Letter -------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(R) Fund Annual Report July 31, 2009 Dear Shareholders: The first half of 2009 brought more positive news to the U.S. and global markets, easing some of the worries of both economists and investors. In fact, many economists now believe that the recession that began in December 2007 ended in March 2009. The Dow Jones Industrial Average's total return from March 9 (the statistical end of the bear market) to July 31, 2009, was 47.09%. Of course, no one can predict that this trend will continue. Yet, regardless of the market, First Trust Advisors L.P. ("First Trust") has always believed that in order to be successful in reaching your financial goals, you should be invested for the long term. A long-term investor understands that the market, from a historical perspective, has always experienced ups and downs. But history has shown that the patient investor is typically rewarded over the long term. We have always believed that staying invested in quality products and having a long-term perspective can help investors reach their financial goals. The report you hold will give you detailed information about the Funds that comprise the First Trust Exchange-Traded AlphaDEX(R) Fund for the period covered by the report. It contains each Fund's performance review and financial statements for the period. I encourage you to read this document and discuss it with your financial advisor. First Trust has been through many types of markets and remains committed to bringing you quality investment solutions regardless of the inevitable ups and downs experienced in the market. We offer a variety of products that may fit many financial plans to help those investors seeking long-term investment success. As well, we are committed to making available up-to-date information about your investments so you and your financial advisor have current information on your portfolio. We continue to value our relationship with you, and we thank you for the opportunity to assist you in achieving your financial goals. Sincerely, /s/ James A. Bowen James A. Bowen President of First Trust Exchange-Traded AlphaDEX(R) Fund Page 2 -------------------------------------------------------------------------------- Market Overview -------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(R) Fund Annual Report July 31, 2009 [PHOTO OMITTED] Robert F. Carey, CFA Senior Vice President and Chief Investment Officer First Trust Advisors L.P. Mr. Carey is responsible for the overall management of research and analysis of the First Trust product line. Mr. Carey has 22 years of experience as an Equity and Fixed-Income Analyst and is a recipient of the Chartered Financial Analyst ("CFA") designation. He is a graduate of the University of Illinois at Champaign-Urbana with a B.S. in Physics. He is also a member of the Investment Analysts Society of Chicago and the CFA Institute. Mr. Carey has appeared as a guest on such programs as Bloomberg TV, CNBC, and WBBM Radio, and has been quoted by several publications, including The Wall Street Journal, The Wall Street Reporter, Bloomberg News Service, and Registered Rep. State of the Economy Perhaps the best way to characterize the current economic climate is to say that things are "less bad." That the good news is "less bad" is a marked improvement over six months ago when the prevailing sentiment was teetering on "dire." The government's monetary and fiscal initiatives, which we outlined in our last discussion, proved effective in backstopping the U.S. financial system. This was critical for the sake of the economy as well as the securities markets. Neither one tends to function very well when confidence levels are extremely low. The Conference Board's Consumer Confidence Index, for example, hit an all-time low of 25.30 in February 2009, but rebounded to 47.40 in July. The all-time high was 144.70 in January 2000, which suggests that despite the huge rally in stocks off their March 9th lows, there are still plenty of skeptics to convert. A consensus among economists, however, has been building for months in favor of a second half economic recovery. In its July survey, the Blue Chip Economic Indicators found that 65.4% of the economists polled believe the National Bureau of Economic Research will declare the current recession, which began in December 2007, over in the third quarter. They are forecasting a GDP growth rate of 1.0% (annualized) for the third quarter of 2009. Economists are looking for 2.0% growth in 2010, including a 3.0% growth rate in the fourth quarter of 2010. That represents a substantial turnaround from the previous four quarters (third quarter 2008 - second quarter 2009) of GDP output, which ranged from -1.0% to -6.4%. The capital markets were largely frozen from the second half of 2007 through most of the first quarter of 2009. The success of the aforementioned government initiatives, particularly the actions of the Federal Reserve, helped induce a much needed thawing process. Any economic recovery depends on the ability of corporations to secure capital to fund their operations. Statistics tracking new corporate bond issuance show they are generally able to do so. Corporations issued a record $903.0 billion worth of debt in the U.S. in the first half of 2009, according to Thomson Reuters. Global corporate bond issuance set a record as well with $1.791 trillion in sales, according to Standard & Poor's. U.S. Stocks and Bonds All of the major U.S. stock indices posted negative returns for the 12-month period ended July 2009. The S&P 500 Index, S&P MidCap 400 Index and S&P SmallCap 600 Index were down -20.0%, -20.3%, and -19.3%, respectively, according to Bloomberg. Not one of the 10 major sectors in the S&P 500 Index posted a gain. The top performing sector was Consumer Staples (-7.7%), while the poorest showing went to Financials (-37.5%). The silver lining amidst all of the negativity is the perceived bottoming of the stock market on March 9, 2009. The VIX Volatility Index, which we noted in the Semi-Annual Report for being excessively high, plunged in the first seven months of 2009. The VIX stood at 40.00 on 12/31/08. Over the past decade, the average reading for the VIX was 21.86, according to Bloomberg. We previously cited a prediction by Bespoke Investment Group that said if the VIX could manage to work its way down into the 30s we could see higher stock prices. Well, not only did it trend into the 30s, it closed July 2009 at 25.92. The S&P 500 Index posted a gain of 47.2% from its March 9th low through July 31. In the U.S. bond market, the top performing group was GNMAs. The Barclays Capital GNMA 30 Year Index posted a total return of 9.7%. The Barclays Municipal Bond: Long Bond (22+) Index posted the worst return, gaining just 0.1%. For the six-month period ended July 2009, high-yield corporate bonds performed the best by far. The Barclays Capital U.S. Corporate High Yield Index returned 30.6%. One can deduce from a gain of that magnitude that investors may be more comfortable with the notion that an economic recovery is on the horizon. Foreign Stocks and Bonds Like the U.S., the best performing areas of the overseas markets were debt securities. The Barclays Capital Global Aggregate Index of higher quality debt gained 4.9% (USD) for the 12-month period ended July 2009, while the MSCI World Index (excluding the U.S.) of stocks from developed countries declined -22.3% (USD). The Barclays Capital Global Emerging Markets Index of debt securities gained 1.7% (USD), while the MSCI Emerging Markets Index of stocks declined -17.3% (USD). The U.S. dollar dinged returns a bit for U.S. investors by appreciating 5.6% against a basket of major currencies. Page 3 -------------------------------------------------------------------------------- Fund Performance Overview -------------------------------------------------------------------------------- FXD - First Trust Consumer Discretionary AlphaDEX(R) Fund The First Trust Consumer Discretionary AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Consumer Discretionary Index (the "Consumer Discretionary Index"). The Fund will normally invest at least 90% of its assets in common stocks that comprise the Consumer Discretionary Index. The shares of the Fund are listed and trade on the NYSE Arca, Inc. (the "NYSE Arca" or the "Exchange") under the ticker symbol "FXD." The Consumer Discretionary Index is a modified equal-dollar weighted index designed by NYSE Euronext or its affiliates ("NYSE Euronext"), to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. NYSE Euronext constructs the Consumer Discretionary Index using the Russell Global Sectors (the "RGS") sector scheme to determine a stock's sector membership.
------------------------------------------------------------------------------------------------------------------------------------ Performance as of July 31, 2009 ------------------------------------------------------------------------------------------------------------------------------------ Average Annual Cumulative Total Returns Total Returns 1 Year Ended Inception (05/08/07) Inception (05/08/07) 07/31/09 to 07/31/09 to 07/31/09 FUND PERFORMANCE NAV -9.12% -17.66% -35.17% Market Price -8.92% -17.63% -35.12% INDEX PERFORMANCE StrataQuant(R) Consumer Discretionary Index -8.25% -16.98% -33.99% Russell 1000(R) Index -20.17% -15.30% -30.97% S&P 500(R) Consumer Discretionary Index -9.35% -16.61% -33.34% Russell 1000(R) Consumer Discretionary Index(1) NA NA NA ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 36.) Performance Review FXD's net asset value ("NAV") return of -9.12% outperformed, for the twelve months ended July 31, 2009, one of its benchmark indexes, the S&P 500(R) Consumer Discretionary Index return of -9.35% by +0.23%. The Consumer Discretionary sector was hit particularly hard by the market drop in the fourth quarter of 2008 and the ensuing slowdown in consumer spending. As confidence and stability started to return to the economy late in the first quarter of 2009, the Fund rebounded sharply. Specialty retail led all industries with a +5.0% contribution to total return. The media industry was hit hardest over the period covered by this report, detracting -5.7% from total return, though the industry still contributed +3.7% to outperformance. Performance relative to the benchmark was hindered by the Fund's exposure to the Consumer Staples, Industrials, and Information Technology sectors, which contributed a total of -6.7% to total return despite low weightings. The benchmark was not exposed to these sectors. Signet Jewelers Ltd. (SIG) was the strongest stock in the Fund, leading all holdings in absolute performance (+119.3%) and contribution to total return (+1.8%). SIG was only in the Fund for six months of the twelve month period ended July 31, 2009. -------------------------------------------------------------------------------- Top Five and Bottom Five Performing Stocks -------------------------------------------------------------------------------- (by contribution to return over the twelve months ended July 31, 2009) TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS Signet Jewelers Ltd. Ticketmaster Entertainment, Inc. Avis Budget Group, Inc. AnnTaylor Stores Corp. O'Reilly Automotive, Inc. MGM MIRAGE Interval Leisure Group, Inc. Clear Channel Outdoor Holdings, Inc. Goodyear Tire & Rubber Co. Office Depot, Inc. -------------------------------------------------------------------------------- ________________________ (1) On or about September 18, 2008, Russell Investment Group ("Russell") began calculating its Russell U.S. Indexes using an enhanced Russell sector scheme, the Russell Global Sectors (the "RGS"). The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indexes using the U.S. sector scheme. In addition to the implementation of the RGS, Russell changed the name of the Russell 1000(R) Consumer Discretionary and Services Index to the Russell 1000(R) Consumer Discretionary Index. Consequently, performance data is not available for the periods shown in the table for the Russell 1000(R) Consumer Discretionary Index (formerly known as the Russell 1000(R) Consumer Discretionary and Services Index) because performance data does not exist for each of the entire periods using solely the U.S. sector scheme or alternatively, using solely the RGS. The StrataQuant(R) Consumer Discretionary Index is a registered trademark of NYSE Euronext and has been licensed for use by First Trust Portfolios L.P. The First Trust Consumer Discretionary AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by NYSE Euronext and NYSE Euronext makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Consumer Discretionary Index in connection with the trading of the Fund. Page 4 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FXD - First Trust Consumer Discretionary AlphaDEX(R) Fund (Continued) ------------------------------------------------------------- Portfolio Sector Allocation as of July 31, 2009 ------------------------------------------------------------- % of Total Sector Long-Term Investments -------------------------------------------------------------- Consumer Discretionary 94.28% Consumer Staples 2.08 Industrials 1.74 Information Technology 1.90 ------- Total 100.00% ======= ------------------------------------------------------------- Top Ten Portfolio Holdings as of July 31, 2009 ------------------------------------------------------------- % of Total Security Long-Term Investments ------------------------------------------------------------- Goodyear Tire & Rubber Co. 1.85% TRW Automotive Holdings Corp. 1.82 Expedia, Inc. 1.68 Penske Automotive Group, Inc. 1.52 Snap-on, Inc. 1.52 AutoNation, Inc. 1.46 Chico's FAS, Inc. 1.44 Chipotle Mexican Grill, Inc., Class A 1.44 priceline.com, Inc. 1.42 Garmin Ltd. 1.42 ------- Total 15.57% ======= Performance of a $10,000 Initial Investment May 8, 2007 - July 31, 2009 [GRAPHIC OMITTED] EDGARIZATION OF DATA POINTS
---------------------------------------------------------------------------------------------------------- First Trust StrataQuant(R) Consumer Discretionary Consumer Russell 1000(R) S&P 500(R) Consumer AlphaDEX(R) Fund Discretionary Index Index Discretionary Index ---------------------------------------------------------------------------------------------------------- 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $ 9,415 $ 9,439 $ 9,674 $ 9,418 7/31/2008 $ 7,133 $ 7,193 $ 8,647 $ 7,355 7/31/2009 $ 6,482 $ 6,600 $ 6,903 $ 6,667
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future results. Frequency Distribution of Discounts and Premiums Bid/Ask Midpoint vs. NAV as of July 31, 2009 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through July 31, 2009.
------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint At/Above NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/07 15 0 0 0 8/1/07 - 7/31/08 134 7 0 0 8/1/08 - 7/31/09 112 5 4 1 ------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint Below NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/07 42 0 0 0 8/1/07 - 7/31/08 104 3 2 0 8/1/08 - 7/31/09 124 9 0 0
Page 5 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FXG - First Trust Consumer Staples AlphaDEX(R) Fund The First Trust Consumer Staples AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Consumer Staples Index (the "Consumer Staples Index"). The Fund will normally invest at least 90% of its assets in common stocks that comprise the Consumer Staples Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXG." The Consumer Staples Index is a modified equal-dollar weighted index designed by NYSE Euronext to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. NYSE Euronext constructs the Consumer Staples Index using the RGS sector scheme to determine a stock's sector membership.
------------------------------------------------------------------------------------------------------------------------------------ Performance as of July 31, 2009 ------------------------------------------------------------------------------------------------------------------------------------ Average Annual Cumulative Total Returns Total Returns 1 Year Ended Inception (05/08/07) Inception (05/08/07) 07/31/09 to 07/31/09 to 07/31/09 FUND PERFORMANCE NAV -7.14% -7.32% -15.59% Market Price -7.14% -7.32% -15.59% INDEX PERFORMANCE StrataQuant(R) Consumer Staples Index -6.56% -6.64% -14.23% Russell 1000(R) Index -20.17% -15.30% -30.97% S&P 500(R) Consumer Staples Index -7.70% -1.87% -4.13% Russell 1000(R) Consumer Staples Index(1) NA NA NA ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 36.) Performance Review FXG's NAV return of -7.14% outperformed, for the twelve months ended July 31, 2009, one of its benchmark indexes, the S&P 500(R) Consumer Staples Index return of -7.70% by +0.56%. Though generally resilient in down cycles, not even the Consumer Staples sector was immune to the market downturn that began in the fourth quarter of 2008. The food & staples retailing and food products industries each detracted -3.2% from the Fund's total return. SUPERVALU, Inc. (SVU) was the worst performer as it was down -39.6% over the twelve-month period ending July 31, 2009. The company cited the sluggish economy and slow consumer spending as reasons for its poor performance which was concentrated between August and December of 2008. The personal products industry was the leading contributor to total return (+2.1%) and outperformance of the benchmark (+2.5%). NBTY, Inc. (NTY) led individual holdings with a +2.9% contribution to total return due to heavy weighting in the Fund and performance of +5.0%. NTY bounced off of lows after an analyst upgrade due to stable sales, a stock buyback, and the chapter 11 filing of competitor Leiner Health. Whole Foods Market, Inc. (WFMI) was added to the Fund in April of 2009 and appreciated +29.8% on the announcement of its Non-GMO Product Verification Program. The Program is designed to test whether products have met defined standards for the presence of genetically modified organisms. WFMI contributed +1.4% to the Fund's total return. -------------------------------------------------------------------------------- Top Five and Bottom Five Performing Stocks -------------------------------------------------------------------------------- (by contribution to return over the twelve months ended July 31, 2009) TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS NBTY, Inc. SUPERVALU, Inc. Whole Foods Market, Inc. Campbell Soup Co. Green Mountain Coffee Roasters, Inc. General Mills, Inc. CVS Caremark Corp. Kroger Co. PepsiAmericas, Inc. Kellogg Co. -------------------------------------------------------------------------------- ___________________ (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indexes using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indexes using the U.S. sector scheme. Consequently, performance data is not available for the periods shown in the table for the Russell 1000(R) Consumer Staples Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme or alternatively, using solely the RGS. The StrataQuant(R) Consumer Staples Index is a registered trademark of NYSE Euronext and has been licensed for use by First Trust Portfolios L.P. The First Trust Consumer Staples AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by NYSE Euronext and NYSE Euronext makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Consumer Staples Index in connection with the trading of the Fund. Page 6 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FXG - First Trust Consumer Staples AlphaDEX(R) Fund (Continued) ------------------------------------------------------------- Portfolio Sector Allocation as of July 31, 2009 ------------------------------------------------------------- % of Total Sector Long-Term Investments -------------------------------------------------------------- Consumer Staples 100.00% ------- Total 100.00% ======= ------------------------------------------------------------- Top Ten Portfolio Holdings as of July 31, 2009 ------------------------------------------------------------- % of Total Security Long-Term Investments ------------------------------------------------------------- NBTY, Inc. 5.64% Whole Foods Market, Inc. 5.58 Green Mountain Coffee Roasters, Inc. 5.22 Coca-Cola Enterprises, Inc. 4.94 Archer-Daniels-Midland Co. 4.93 Herbalife Ltd. 4.78 Pepsi Bottling Group, Inc. 4.39 Bunge Ltd. 3.56 Reynolds American, Inc. 3.45 Dean Foods Co. 3.39 ------- Total 45.88% ======= Performance of a $10,000 Initial Investment May 8, 2007 - July 31, 2009 [GRAPHIC OMITTED] EDGARIZATION OF DATA POINTS
------------------------------------------------------------------------------------------------------------------- First Trust StrataQuant(R) Consumer Staples Consumer Russell 1000(R) S&P 500(R) Consumer AlphaDEX(R) Fund Staples Index Index Staples Index ------------------------------------------------------------------------------------------------------------------- 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $ 9,555 $ 9,574 $ 9,674 $ 9,747 7/31/2008 $ 9,091 $ 9,180 $ 8,647 $10,386 7/31/2009 $ 8,442 $ 8,577 $ 6,903 $ 9,587
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future results. Frequency Distribution of Discounts and Premiums Bid/Ask Midpoint vs. NAV as of July 31, 2009 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through July 31, 2009.
------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint At/Above NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/07 27 0 1 0 8/1/07 - 7/31/08 142 8 0 1 8/1/08 - 7/31/09 106 8 8 5 ------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint Below NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/07 29 0 0 0 8/1/07 - 7/31/08 93 6 0 0 8/1/08 - 7/31/09 119 7 2 0
Page 7 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FXN - First Trust Energy AlphaDEX(R) Fund The First Trust Energy AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Energy Index (the "Energy Index"). The Fund will normally invest at least 90% of its assets in common stocks that comprise the Energy Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXN." The Energy Index is a modified equal-dollar weighted index designed by NYSE Euronext to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmarks. NYSE Euronext constructs the Energy Index using the RGS sector scheme to determine a stock's sector membership.
------------------------------------------------------------------------------------------------------------------------------------ Performance as of July 31, 2009 ------------------------------------------------------------------------------------------------------------------------------------ Average Annual Cumulative Total Returns Total Returns 1 Year Ended Inception (05/08/07) Inception (05/08/07) 07/31/09 to 07/31/09 to 07/31/09 FUND PERFORMANCE NAV -42.74% -15.52% -31.34% Market Price -42.71% -15.52% -31.34% INDEX PERFORMANCE StrataQuant(R) Energy Index -42.34% -14.96% -30.35% Russell 1000(R) Index -20.17% -15.30% -30.97% S&P 500(R) Energy Index -28.96% -8.82% -18.61% Russell 1000(R) Energy Index(1) NA NA NA ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 36.) Performance Review FXN's NAV return of -42.74% underperformed, for the twelve months ended July 31, 2009, one of its benchmark indexes, the S&P 500(R) Energy Index return of -28.96% by -13.78%. Though the Energy sector rebounded as signs of economic recovery created an increase in energy demand and energy prices, the sector was still beaten down from the collapse of energy prices at the end of the summer in 2008. The energy equipment and services industry posted similar losses on a percentage basis for the Fund and the benchmark. However, the Fund was overweight the industry relative to the benchmark (40.4% versus 15.2% average weight), creating relative underperformance of -5.8%. The oil, gas and consumable fuels industry was also a drag on the Fund and benchmark performance. The Fund was underweight this industry (56.8% versus 84.8% average weight), but due to the performance of the individual holdings the industry still contributed -7.3% to the Fund's underperformance. In particular, the Fund held W&T Offshore, Inc. (-83.1%), Whiting Petroleum Corp. (-65.5%), Plains Exploration & Production Co. (-59.5%), and Mariner Energy, Inc. (-54.8%), while the benchmark did not. These names together contributed -8.3% to underperformance. -------------------------------------------------------------------------------- Top Five and Bottom Five Performing Stocks -------------------------------------------------------------------------------- (by contribution to return over the twelve months ended July 31, 2009) TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS Walter Energy, Inc. Helix Energy Solutions Group, Inc. Newfield Exploration Co. Hercules Offshore, Inc. Noble Energy, Inc. Mariner Energy, Inc. Southwestern Energy Co. Cimarex Energy Co. Occidental Petroleum Corp. Plains Exploration & Production Co. -------------------------------------------------------------------------------- ____________________ (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indexes using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indexes using the U.S. sector scheme. In addition to the implementation of the RGS, Russell combined the Russell 1000(R) Integrated Oils Index and the Russell 1000(R) Other Energy Index into one index, the Russell 1000(R) Energy Index. Consequently, performance data is not available for the periods shown in the table for the Russell 1000(R) Energy Index because this index did not exist until on or about September 18, 2008. In addition, performance data is not available for the periods shown in the table for the Russell 1000(R) Integrated Oils Index or the Russell 1000(R) Other Energy Index because these indexes ceased being calculated by Russell effective June 30, 2009. The StrataQuant(R) Energy Index is a registered trademark of NYSE Euronext and has been licensed for use by First Trust Portfolios L.P. The First Trust Energy AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by NYSE Euronext and NYSE Euronext makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Energy Index in connection with the trading of the Fund. Page 8 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FXN - First Trust Energy AlphaDEX(R) Fund (Continued) ------------------------------------------------------------- Portfolio Sector Allocation as of July 31, 2009 ------------------------------------------------------------- % of Total Sector Long-Term Investments -------------------------------------------------------------- Energy 98.62% Materials 1.38 ------- Total 100.00% ======= ------------------------------------------------------------- Top Ten Portfolio Holdings as of July 31, 2009 ------------------------------------------------------------- % of Total Security Long-Term Investments ------------------------------------------------------------- Encore Acquisition Co. 3.19% Unit Corp. 3.18 Oil States International, Inc. 3.10 Helmerich & Payne, Inc. 3.08 Rowan Cos., Inc. 3.06 ENSCO International, Inc. 3.01 Patterson-UTI Energy, Inc. 2.97 Anadarko Petroleum Corp. 2.94 BJ Services Co. 2.88 Pride International, Inc. 2.77 ------- Total 30.18% ======= Performance of a $10,000 Initial Investment May 8, 2007 - July 31, 2009 [GRAPHIC OMITTED] EDGARIZATION OF DATA POINTS
------------------------------------------------------------------------------------------- First Trust StrataQuant(R) Energy Energy Russell 1000(R) S&P 500(R) AlphaDEX(R) Fund Index Index Energy Index ------------------------------------------------------------------------------------------- 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $10,370 $10,387 $ 9,674 $10,743 7/31/2008 $11,990 $12,080 $ 8,647 $11,455 7/31/2009 $ 6,865 $ 6,965 $ 6,903 $ 8,138
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future results. Frequency Distribution of Discounts and Premiums Bid/Ask Midpoint vs. NAV as of July 31, 2009 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through July 31, 2009.
------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint At/Above NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/07 27 1 0 0 8/1/07 - 7/31/08 111 4 4 0 8/1/08 - 7/31/09 116 9 10 2 ------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint Below NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/07 29 0 0 0 8/1/07 - 7/31/08 124 7 0 0 8/1/08 - 7/31/09 108 5 4 1
Page 9 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FXO - First Trust Financials AlphaDEX(R) Fund The First Trust Financials AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Financials Index (the "Financials Index"). The Fund will normally invest at least 90% of its assets in common stocks that comprise the Financials Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXO." The Financials Index is a modified equal-dollar weighted index designed by NYSE Euronext to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. NYSE Euronext constructs the Financials Index using the RGS sector scheme to determine a stock's sector membership.
------------------------------------------------------------------------------------------------------------------------------------ Performance as of July 31, 2009 ------------------------------------------------------------------------------------------------------------------------------------ Average Annual Cumulative Total Returns Total Returns 1 Year Ended Inception (05/08/07) Inception (05/08/07) 07/31/09 to 07/31/09 to 07/31/09 FUND PERFORMANCE NAV -14.94% -24.07% -45.88% Market Price -14.95% -24.10% -45.94% INDEX PERFORMANCE StrataQuant(R) Financials Index -13.95% -23.18% -44.50% Russell 1000(R) Index -20.17% -15.30% -30.97% S&P 500(R) Financials Index -37.60% -35.84% -62.87% Russell 1000(R) Financial Services Index(1) NA NA NA ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 36.) Performance Review FXO's NAV return of -14.94% outperformed, for the twelve months ended July 31, 2009, one of its benchmark indexes, the S&P 500(R) Financials Index return of -37.60% by +22.66%. The housing crisis, credit crunch, and failure of Lehman Brothers created a financial crisis that was felt heavily in the sector over the twelve months ended July 31, 2009. The Fund gained significant outperformance (+10.7%) from the diversified financial services industry. In particular, the benchmark had an average weighting of 7.5% in Bank of America Corp. (BAC), which lost over half of its value during the twelve months covered by this report. The Fund owned BAC at an average weight of 0.8%. In addition to being underweight, the Fund increased its exposure to BAC in April after the stock hit its lows. As a result, BAC contributed +0.1% to Fund performance and -4.7% to benchmark performance. A similar situation occurred with Citigroup, Inc. (C), which ended up contributing -0.2% to the Fund's total return and -9.2% to the benchmark's total return. The Fund was heavily weighted in the insurance industry and though it was down for the twelve months ended July 31, 2009, it contributed another +8.5% to outperformance. The outperformance in the industry was due to the Fund's more diversified selection of holdings. -------------------------------------------------------------------------------- Top Five and Bottom Five Performing Stocks -------------------------------------------------------------------------------- (by contribution to return over the twelve months ended July 31, 2009) TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS MF Global Ltd. CIT Group, Inc. Metavante Technologies, Inc. United Rentals, Inc. Principal Financial Group, Inc. Developers Diversified Realty Corp. AmeriCredit Corp. Regions Financial Corp. Goldman Sachs Group, Inc. ProLogis -------------------------------------------------------------------------------- _________________ (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indexes using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indexes using the U.S. sector scheme. Consequently, performance data is not available for the periods shown in the table for the Russell 1000(R) Financial Services Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme or alternatively, using solely the RGS. The StrataQuant(R) Financials Index is a registered trademark of NYSE Euronext and has been licensed for use by First Trust Portfolios L.P. The First Trust Financials AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by NYSE Euronext and NYSE Euronext makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Financials Index in connection with the trading of the Fund. Page 10 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FXO - First Trust Financials AlphaDEX(R) Fund (Continued) ------------------------------------------------------------- Portfolio Sector Allocation as of July 31, 2009 ------------------------------------------------------------- % of Total Sector Long-Term Investments -------------------------------------------------------------- Financials 91.73% Information Technology 6.16 Consumer Discretionary 1.08 Industrials 1.03 ------- Total 100.00% ======= ------------------------------------------------------------- Top Ten Portfolio Holdings as of July 31, 2009 ------------------------------------------------------------- % of Total Security Long-Term Investments ------------------------------------------------------------- Hospitality Properties Trust 1.40% Raymond James Financial, Inc. 1.26 Metavante Technologies, Inc. 1.26 HRPT Properties Trust 1.25 SunTrust Banks, Inc. 1.25 Fidelity National Information Services, Inc. 1.24 CB Richard Ellis Group Inc., Class A 1.23 Jones Lang LaSalle, Inc. 1.22 Chubb Corp. 1.22 AmeriCredit Corp. 1.22 ------- Total 12.55% ======= Performance of a $10,000 Initial Investment May 8, 2007 - July 31, 2009 [GRAPHIC OMITTED] EDGARIZATION OF DATA POINTS
--------------------------------------------------------------------------------------------------------- First Trust StrataQuant(R) Financials Financials Russell 1000(R) S&P 500(R) AlphaDEX(R) Fund Index Index Financials Index --------------------------------------------------------------------------------------------------------- 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $ 8,955 $ 8,986 $ 9,674 $ 8,883 7/31/2008 $ 6,363 $ 6,450 $ 8,647 $ 5,950 7/31/2009 $ 5,412 $ 5,550 $ 6,903 $ 3,713
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future results. Frequency Distribution of Discounts and Premiums Bid/Ask Midpoint vs. NAV as of July 31, 2009 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through July 31, 2009.
------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint At/Above NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/07 19 0 0 0 8/1/07 - 7/31/08 117 4 4 1 8/1/08 - 7/31/09 127 11 4 6 ------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint Below NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/07 38 0 0 0 8/1/07 - 7/31/08 112 10 2 0 8/1/08 - 7/31/09 99 3 4 1
Page 11 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FXH - First Trust Health Care AlphaDEX(R) Fund The First Trust Health Care AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Health Care Index (the "Health Care Index"). The Fund will normally invest at least 90% of its assets in common stocks that comprise the Health Care Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXH." The Health Care Index is a modified equal-dollar weighted index designed by NYSE Euronext to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. NYSE Euronext constructs the Health Care Index using the RGS sector scheme to determine a stock's sector membership.
------------------------------------------------------------------------------------------------------------------------------------ Performance as of July 31, 2009 ------------------------------------------------------------------------------------------------------------------------------------ Average Annual Cumulative Total Returns Total Returns 1 Year Ended Inception (05/08/07) Inception (05/08/07) 07/31/09 to 07/31/09 to 07/31/09 FUND PERFORMANCE NAV -6.71% -5.43% -11.70% Market Price -6.71% -5.43% -11.70% INDEX PERFORMANCE StrataQuant(R) Health Care Index -5.97% -4.60% -9.98% Russell 1000(R) Index -20.17% -15.30% -30.97% S&P 500(R) Health Care Index -10.80% -9.64% -20.26% Russell 1000(R) Health Care Index(1) NA NA NA ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 36.) Performance Review FXH's NAV return of -6.71% outperformed, for the twelve months ended July 31, 2009, one of its benchmark indexes, the S&P 500(R) Health Care Index return of -10.80% by +4.09%. The worst-performing industry in the Fund was life sciences tools & services. The industry detracted -3.3% from the Fund's total return and detracted -2.8% from the Fund's outperformance of the benchmark. This is mostly attributable to the Fund having a heavier weight in the industry than the benchmark. The best-performing stock in the Fund was Advanced Medical Optics (EYE). After the announcement that it would be bought by Abbott Laboratories for $2.9 billion, EYE's stock shot up +178.9%, contributing +3.8% to total return and outperformance. The health care technology industry contributed +2.1% to total return. The best-performing stock in this industry was the medical record technology provider Cerner Corp. (+56.8%). The company rose sharply on the news that the government was providing $36 billion in incentives for health care providers to invest in electronic medical record systems. Also in the health care technology industry was HLTH Corp. (+33.9%), which continued a steady climb after merging with its publicly-traded subsidiary WebMD Health Corp., Class A. -------------------------------------------------------------------------------- Top Five and Bottom Five Performing Stocks -------------------------------------------------------------------------------- (by contribution to return over the twelve months ended July 31, 2009) TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS Advanced Medical Optics Varian Medical Systems, Inc. Schering-Plough Corp. Tenet Healthcare Corp. Health Management Associates, Inc., Class A Covance, Inc. Cerner Corp. Celgene Corp. Cooper Cos., Inc. Wellcare Health Plans, Inc. -------------------------------------------------------------------------------- _____________________ (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indexes using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indexes using the U.S. sector scheme. Consequently, performance data is not available for the periods shown in the table for the Russell 1000(R) Health Care Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme or alternatively, using solely the RGS. The StrataQuant(R) Health Care Index is a registered trademark of NYSE Euronext and has been licensed for use by First Trust Portfolios L.P. The First Trust Health Care AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by NYSE Euronext and NYSE Euronext makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Health Care Index in connection with the trading of the Fund. Page 12 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FXH - First Trust Health Care AlphaDEX(R) Fund (Continued) ------------------------------------------------------------- Portfolio Sector Allocation as of July 31, 2009 ------------------------------------------------------------- % of Total Sector Long-Term Investments -------------------------------------------------------------- Health Care 97.54% Information Technology 2.46 ------- Total 100.00% ======= ------------------------------------------------------------- Top Ten Portfolio Holdings as of July 31, 2009 ------------------------------------------------------------- % of Total Security Long-Term Investments ------------------------------------------------------------- Tenet Healthcare Corp. 3.09% Coventry Health Care, Inc. 2.71 Health Management Associates, Inc., Class A 2.69 CIGNA Corp. 2.60 Endo Pharmaceuticals Holdings, Inc. 2.58 Community Health Systems, Inc. 2.47 WebMD Health Corp., Class A 2.46 Lincare Holdings, Inc. 2.45 Life Technologies Corp. 2.40 Allscripts-Misys Healthcare Solutions, Inc. 2.39 ------- Total 25.84% ======= Performance of a $10,000 Initial Investment May 8, 2007 - July 31, 2009 [GRAPHIC OMITTED] EDGARIZATION OF DATA POINTS
------------------------------------------------------------------------------------------------------------------- First Trust StrataQuant(R) Health Care Health Care Russell 1000(R) S&P 500(R) AlphaDEX(R) Fund Index Index Health Care Index ------------------------------------------------------------------------------------------------------------------- 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $ 9,740 $ 9,764 $ 9,674 $ 9,222 7/31/2008 $ 9,465 $ 9,573 $ 8,647 $ 8,940 7/31/2009 $ 8,830 $ 9,001 $ 6,903 $ 7,974
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future results. Frequency Distribution of Discounts and Premiums Bid/Ask Midpoint vs. NAV as of July 31, 2009 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through July 31, 2009.
------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint At/Above NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/07 27 0 0 0 8/1/07 - 7/31/08 133 7 2 0 8/1/08 - 7/31/09 118 6 7 2 ------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint Below NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/07 30 0 0 0 8/1/07 - 7/31/08 93 15 0 0 8/1/08 - 7/31/09 116 5 1 0
Page 13 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FXR - First Trust Industrials/Producer Durables AlphaDEX(R) Fund The First Trust Industrials/Producer Durables AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Industrials Index (the "Industrials Index"). The Fund will normally invest at least 90% of its assets in common stocks that comprise the Industrials Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXR." The Industrials Index is a modified equal-dollar weighted index designed by NYSE Euronext to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. NYSE Euronext constructs the Industrials Index using the RGS sector scheme to determine a stock's sector membership.
------------------------------------------------------------------------------------------------------------------------------------ Performance as of July 31, 2009 ------------------------------------------------------------------------------------------------------------------------------------ Average Annual Cumulative Total Returns Total Returns 1 Year Ended Inception (05/08/07) Inception (05/08/07) 07/31/09 to 07/31/09 to 07/31/09 FUND PERFORMANCE NAV -30.83% -19.99% -39.18% Market Price -30.71% -19.99% -39.18% INDEX PERFORMANCE StrataQuant(R) Industrials Index -30.34% -19.38% -38.18% Russell 1000(R) Index -20.17% -15.30% -30.97% S&P 500(R) Industrials Index -29.73% -18.00% -35.79% Russell 1000(R) Producer Durables Index(1) NA NA NA ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 36.) Performance Review FXR's NAV return of -30.83% underperformed, for the twelve months ended July 31, 2009, one of its benchmark indexes, the S&P 500(R) Industrials Index return of -29.73% by -1.10%. The Fund was able to outperform the benchmark within the Industrials sector. The benchmark held General Electric (GE) at an average weight of 18.6% and the stock was down -49.2% over the year. This alone detracted -13.1% from the benchmark's performance. The Fund did not acquire GE until July 2009. During its time in the Fund, GE appreciated +16.6%, contributing +0.2% to total return. To a lesser extent, a similar series of events happened with Textron, Inc., which contributed +1.2% to the Fund's relative outperformance of the benchmark. Offsetting the outperformance within the Industrials sector was the Fund's exposure to the Information Technology sector. The Information Technology sector contributed -7.2%, led by the computers and peripherals industry, which contributed -2.9%. Within the industry, Lexmark International, Inc. (LXK) depreciated -58.8% over the year ended July 31, 2009, after reporting disappointing 2008 results due to significant currency rate shifts and the weak global economy. -------------------------------------------------------------------------------- Top Five and Bottom Five Performing Stocks -------------------------------------------------------------------------------- (by contribution to return over the twelve months ended July 31, 2009) TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS Goodrich Corp. Terex Corp. General Dynamics Corp. Spirit AeroSystems Holdings, Inc., Class A Textron, Inc. Lexmark International, Inc. Kansas City Southern Bucyrus International, Inc. Con-way, Inc. Ingersoll-Rand Plc -------------------------------------------------------------------------------- ______________________ (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indexes using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indexes using the U.S. sector scheme. Consequently, performance data is not available for the periods shown in the table for the Russell 1000(R) Producer Durables Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme or alternatively, using solely the RGS. The StrataQuant(R) Industrials Index is a registered trademark of NYSE Euronext and has been licensed for use by First Trust Portfolios L.P. The First Trust Industrials/Producer Durables AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by NYSE Euronext and NYSE Euronext makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Industrials Index in connection with the trading of the Fund. Page 14 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FXR - First Trust Industrials/Producer Durables AlphaDEX(R) Fund (Continued) ------------------------------------------------------------- Portfolio Sector Allocation as of July 31, 2009 ------------------------------------------------------------- % of Total Sector Long-Term Investments -------------------------------------------------------------- Industrials 84.74% Energy 5.85 Information Technology 5.63 Health Care 2.01 Materials 1.77 ------- Total 100.00% ======= ------------------------------------------------------------- Top Ten Portfolio Holdings as of July 31, 2009 ------------------------------------------------------------- % of Total Security Long-Term Investments ------------------------------------------------------------- Con-way, Inc. 2.17% Kansas City Southern 2.12 Lincoln Electric Holdings, Inc. 1.98 Manitowoc Co., Inc. 1.98 Eaton Corp. 1.96 Gardner Denver, Inc. 1.95 BE Aerospace, Inc. 1.89 Oshkosh Corp. 1.81 Textron, Inc. 1.77 Nalco Holding Co. 1.77 ------- Total 19.40% ======= Performance of a $10,000 Initial Investment May 8, 2007 - July 31, 2009 [GRAPHIC OMITTED] EDGARIZATION OF DATA POINTS
------------------------------------------------------------------------------------------------------------------- First Trust Industrials/Producer StrataQuant(R) Durables Industrials Russell 1000(R) S&P 500(R) AlphaDEX(R) Fund Index Index Industrials Index ------------------------------------------------------------------------------------------------------------------- 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $ 9,435 $ 9,457 $ 9,674 $10,400 7/31/2008 $ 8,792 $ 8,874 $ 8,647 $ 9,138 7/31/2009 $ 6,081 $ 6,181 $ 6,903 $ 6,422
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future results. Frequency Distribution of Discounts and Premiums Bid/Ask Midpoint vs. NAV as of July 31, 2009 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through July 31, 2009.
------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint At/Above NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/07 40 1 0 0 8/1/07 - 7/31/08 121 4 3 0 8/1/08 - 7/31/09 115 3 6 0 ------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint Below NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/07 16 0 0 0 8/1/07 - 7/31/08 115 6 1 0 8/1/08 - 7/31/09 122 6 3 0
Page 15 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FXZ - First Trust Materials AlphaDEX(R) Fund The First Trust Materials AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Materials Index (the "Materials Index"). The Fund will normally invest at least 90% of its assets in common stocks that comprise the Materials Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXZ." The Materials Index is a modified equal-dollar weighted index designed by NYSE Euronext to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. NYSE Euronext constructs the Materials Index using the RGS sector scheme to determine a stock's sector membership.
------------------------------------------------------------------------------------------------------------------------------------ Performance as of July 31, 2009 ------------------------------------------------------------------------------------------------------------------------------------ Average Annual Cumulative Total Returns Total Returns 1 Year Ended Inception (05/08/07) Inception (05/08/07) 07/31/09 to 07/31/09 to 07/31/09 FUND PERFORMANCE NAV -29.20% -10.47% -21.86% Market Price -29.14% -10.42% -21.76% INDEX PERFORMANCE StrataQuant(R) Materials Index -28.56% -9.76% -20.50% Russell 1000(R) Index -20.17% -15.30% -30.97% S&P 500(R) Materials Index -27.80% -12.10% -25.01% Russell 1000(R) Materials and Processing Index(1) NA NA NA ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 36.) Performance Review FXZ's NAV return of -29.20% underperformed, for the twelve months ended July 31, 2009, one of its benchmark indexes, the S&P 500(R) Materials Index return of -27.80% by -1.40%. The bankruptcy of Smurfit-Stone Container Corp. contributed -7.3% to the Fund's total return and relative underperformance of the benchmark. Domtar Corp. (UFS) was one of three paper companies in the Fund to be hit hard by the market downturn. UFS depreciated -82.1% during its time in the Fund due to a steep loss in the fourth quarter of 2008 and the continued weak demand for paper. In total, it was responsible for -3.4% of total return and relative underperformance. The benchmark was plagued by its capitalization-weighting method as poor performance from large companies Monsato Co. (-28.6%), E.I.DuPont de Nemours & Co. (-25.3%), and Dow Chemical Co. (-32.2%) detracted -12.4% from benchmark outperformance of the Fund. As stability has returned to the economy, the Fund and benchmark have started to rebound. -------------------------------------------------------------------------------- Top Five and Bottom Five Performing Stocks -------------------------------------------------------------------------------- (by contribution to return over the twelve months ended July 31, 2009) TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS URS Corp. Smurfit-Stone Container Corp. Huntsman Corp. Domtar Corp. Freeport-McMoRan Copper & Gold, Inc. Cytec Industries, Inc. Rohm & Haas Co. United States Steel Corp. Archer-Daniels-Midland Co. International Paper Co. -------------------------------------------------------------------------------- _____________________ (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indexes using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indexes using the U.S. sector scheme. Consequently, performance data is not available for the periods shown in the table for the Russell 1000(R) Materials and Processing Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme or alternatively, using solely the RGS. The StrataQuant(R) Materials Index is a registered trademark of NYSE Euronext and has been licensed for use by First Trust Portfolios L.P. The First Trust Materials AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by NYSE Euronext and NYSE Euronext makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Materials Index in connection with the trading of the Fund. Page 16 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FXZ - First Trust Materials AlphaDEX(R) Fund (Continued) ------------------------------------------------------------- Portfolio Sector Allocation as of July 31, 2009 ------------------------------------------------------------- % of Total Sector Long-Term Investments -------------------------------------------------------------- Materials 85.98% Industrials 13.44 Consumer Discretionary 0.58 ------- Total 100.00% ======= ------------------------------------------------------------- Top Ten Portfolio Holdings as of July 31, 2009 ------------------------------------------------------------- % of Total Security Long-Term Investments ------------------------------------------------------------- Lubrizol Corp. 3.66% Huntsman Corp. 3.64 Terra Industries, Inc. 3.59 Timken Co. 3.56 Ashland, Inc. 3.53 Cliffs Natural Resources, Inc. 3.34 United States Steel Corp. 3.32 Armstrong World Industries, Inc. 3.24 Cabot Corp. 3.16 Schnitzer Steel Industries, Inc., Class A 3.04 ------- Total 34.08% ======= Performance of a $10,000 Initial Investment May 8, 2007 - July 31, 2009 [GRAPHIC OMITTED] EDGARIZATION OF DATA POINTS
------------------------------------------------------------------------------------------------------------------- First Trust StrataQuant(R) Materials Materials Russell 1000(R) S&P 500(R) AlphaDEX(R) Fund Index Index Materials Index ------------------------------------------------------------------------------------------------------------------- 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $10,085 $10,104 $ 9,674 $ 9,956 7/31/2008 $11,037 $11,128 $ 8,647 $10,387 7/31/2009 $ 7,814 $ 7,950 $ 6,903 $ 7,499
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future results. Frequency Distribution of Discounts and Premiums Bid/Ask Midpoint vs. NAV as of July 31, 2009 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through July 31, 2009.
------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint At/Above NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/07 27 1 0 0 8/1/07 - 7/31/08 132 3 5 0 8/1/08 - 7/31/09 104 8 3 1 ------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint Below NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/07 29 0 0 0 8/1/07 - 7/31/08 98 10 2 0 8/1/08 - 7/31/09 131 8 0 0
Page 17 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FXL - First Trust Technology AlphaDEX(R) Fund The First Trust Technology AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Technology Index (the "Technology Index"). The Fund will normally invest at least 90% of its assets in common stocks that comprise the Technology Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXL." The Technology Index is a modified equal-dollar weighted index designed by NYSE Euronext to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. NYSE Euronext constructs the Technology Index using the RGS sector scheme to determine a stock's sector membership.
------------------------------------------------------------------------------------------------------------------------------------ Performance as of July 31, 2009 ------------------------------------------------------------------------------------------------------------------------------------ Average Annual Cumulative Total Returns Total Returns 1 Year Ended Inception (05/08/07) Inception (05/08/07) 07/31/09 to 07/31/09 to 07/31/09 FUND PERFORMANCE NAV -17.92% -13.51% -27.65% Market Price -17.76% -13.46% -27.55% INDEX PERFORMANCE StrataQuant(R) Technology Index -16.84% -12.63% -26.03% Russell 1000(R) Index -20.17% -15.30% -30.97% S&P 500(R) Information Technology Index -9.70% -7.44% -15.85% Russell 1000(R) Technology Index(1) NA NA NA ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 36.) Performance Review FXL's NAV return of -17.92% underperformed, for the twelve months ended July 31, 2009, one of its benchmark indexes, the S&P 500(R) Information Technology Index return of -9.70% by -8.22%. A weak economy and slow consumer spending hurt companies in the electronic equipment instrument and component industry. The Fund was heavily weighted (16.5% versus 3.3% average weighting) in the industry relative to the benchmark, causing -6.7% of the Fund's underperformance. Specifically, the Fund's exposure to Jabil Circuit, Inc. (JBL) and Trimble Navigation Ltd. (TRMB) contributed -2.8% to total return and -2.7% to underperformance. JBL and TRMB fell -41.3% and -50.3%, respectively, on weak consumer demand for technology products during the recession. The recession did not hit the communications equipment industry as hard. The industry was able to contribute +1.3% to the Fund's total return and detracted -2.3% from the benchmark's outperformance of the Fund. Helping absolute and relative performance was F5 Networks, Inc. (FFIV), which creates load balancing software to shift data from overloaded servers to underutilized servers. FFIV was up +27.3% for the twelve months ended July 31, 2009, largely due to mobile phone networks and traffic on social-networking sites. -------------------------------------------------------------------------------- Top Five and Bottom Five Performing Stocks -------------------------------------------------------------------------------- (by contribution to return over the twelve months ended July 31, 2009) TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS Silicon Laboratories, Inc. Fairchild Semiconductor International, Inc. Citrix Systems, Inc. PerkinElmer, Inc. Brocade Communications Systems, Inc. Jabil Circuit, Inc. McAfee, Inc. Cadence Design System, Inc. Cree, Inc. Sun Microsystems, Inc. -------------------------------------------------------------------------------- ________________________ (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indexes using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indexes using the U.S. sector scheme. Consequently, performance data is not available for the periods shown in the table for the Russell 1000(R) Technology Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme or alternatively, using solely the RGS. The StrataQuant(R) Technology Index is a registered trademark of NYSE Euronext and has been licensed for use by First Trust Portfolios L.P. The First Trust Technology AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by NYSE Euronext and NYSE Euronext makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Technology Index in connection with the trading of the Fund. Page 18 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FXL - First Trust Technology AlphaDEX(R) Fund (Continued) ------------------------------------------------------------- Portfolio Sector Allocation as of July 31, 2009 ------------------------------------------------------------- % of Total Sector Long-Term Investments -------------------------------------------------------------- Information Technology 98.09% Telecommunication Services 1.19 Industrials 0.72 ------- Total 100.00% ======= ------------------------------------------------------------- Top Ten Portfolio Holdings as of July 31, 2009 ------------------------------------------------------------- % of Total Security Long-Term Investments ------------------------------------------------------------- Rovi Corp. 2.28% Apple, Inc. 2.18 Intersil Corp., Class A 2.17 Western Digital Corp. 2.17 Silicon Laboratories, Inc. 2.15 Citrix Systems, Inc. 2.12 Juniper Networks, Inc. 2.10 Cree, Inc. 2.07 Computer Sciences Corp. 2.07 Motorola, Inc. 2.05 ------- Total 21.36% ======= Performance of a $10,000 Initial Investment May 8, 2007 - July 31, 2009 [GRAPHIC OMITTED] EDGARIZATION OF DATA POINTS
------------------------------------------------------------------------------------------------------------------- First Trust StrataQuant(R) Technology Technology Russell 1000(R) S&P 500(R) Information AlphaDEX(R) Fund Index Index Technology Index ------------------------------------------------------------------------------------------------------------------- 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $10,235 $10,252 $ 9,674 $10,160 7/31/2008 $ 8,815 $ 8,895 $ 8,647 $ 9,320 7/31/2009 $ 7,236 $ 7,397 $ 6,903 $ 8,416
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future results. Frequency Distribution of Discounts and Premiums Bid/Ask Midpoint vs. NAV as of July 31, 2009 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through July 31, 2009.
------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint At/Above NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/07 23 1 0 0 8/1/07 - 7/31/08 130 4 4 0 8/1/08 - 7/31/09 111 2 11 1 ------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint Below NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/07 33 0 0 0 8/1/07 - 7/31/08 107 4 1 0 8/1/08 - 7/31/09 119 10 0 1
Page 19 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FXU - First Trust Utilities AlphaDEX(R) Fund The First Trust Utilities AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the StrataQuant(R) Utilities Index (the "Utilities Index"). The Fund will normally invest at least 90% of its assets in common stocks that comprise the Utilities Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FXU." The Utilities Index is a modified equal-dollar weighted index designed by NYSE Euronext to objectively identify and select stocks from the Russell 1000(R) Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark. NYSE Euronext constructs the Utilities Index using the RGS sector scheme to determine a stock's sector membership.
------------------------------------------------------------------------------------------------------------------------------------ Performance as of July 31, 2009 ------------------------------------------------------------------------------------------------------------------------------------ Average Annual Cumulative Total Returns Total Returns 1 Year Ended Inception (05/08/07) Inception (05/08/07) 07/31/09 to 07/31/09 to 07/31/09 FUND PERFORMANCE NAV -12.53% -12.42% -25.60% Market Price -12.52% -12.39% -25.55% INDEX PERFORMANCE StrataQuant(R) Utilities Index -11.72% -11.60% -24.07% Russell 1000(R) Index -20.17% -15.30% -30.97% S&P 500(R) Utilities Index -20.55% -12.29% -25.38% Russell 1000(R) Utilities Index(1) NA NA NA ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 36.) Performance Review FXU's NAV return of -12.53% outperformed, for the twelve months ended July 31, 2009, one of its benchmark indexes, the S&P 500(R) Utilities Index return of -20.55% by +8.02%. The Fund derived +10.2% of outperformance from the electric utilities industry. The industry was hampered by the recession, a mild summer in 2008, and volatile commodity prices. The capitalization-weighted benchmark was hurt more than the Fund in the industry due to the poor performance of large companies Exelon Corp. (-32.8%), First Energy Corp. (-41.5%), and PPL Corp. (-24.9%) due to the names' large weight in the benchmark. Though all of these names are also in the Fund, they contributed +7.4% to Fund outperformance due to their large weights in the benchmark. The timing of rebalances also helped the Fund. For instance, the benchmark held Dynegy, Inc. for the entire year while it fell -70.1%. The Fund added Dynegy, Inc., Class A during its April rebalance and it subsequently appreciated +21.6%. This contributed another +1.5% to outperformance. The Fund's exposure to the Telecommunication Services sector offset some of that outperformance. In particular, the competitive wireless telecommunication industry detracted -3.7% from total return and outperformance as none of the Fund's holdings in the industry posted a positive return. -------------------------------------------------------------------------------- Top Five and Bottom Five Performing Stocks -------------------------------------------------------------------------------- (by contribution to return over the twelve months ended July 31, 2009) TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS NRG Energy, Inc. Level 3 Communications, Inc. Dynegy, Inc., Class A U.S. Cellular Corp. Calpine Corp. Telephone & Data Systems, Inc. Qwest Communications International, Inc. Pepco Holdings, Inc. Hawaiian Electric Industries, Inc. AES Corp. -------------------------------------------------------------------------------- ______________________ (1) On or about September 18, 2008, Russell began calculating its Russell U.S. Indexes using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indexes using the U.S. sector scheme. Consequently, performance data is not available for the periods shown in the table for the Russell 1000(R) Utilities Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme or alternatively, using solely the RGS. The StrataQuant(R) Utilities Index is a registered trademark of NYSE Euronext and has been licensed for use by First Trust Portfolios L.P. The First Trust Utilities AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by NYSE Euronext and NYSE Euronext makes no representation or warranty regarding the advisability of investing in the Fund or as to the result to be obtained by any person from use of the StrataQuant(R) Utilities Index in connection with the trading of the Fund. Page 20 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FXU - First Trust Utilities AlphaDEX(R) Fund (Continued) ------------------------------------------------------------- Portfolio Sector Allocation as of July 31, 2009 ------------------------------------------------------------- % of Total Sector Long-Term Investments -------------------------------------------------------------- Utilities 84.24% Telecommunication Services 13.32 Energy 2.44 ------- Total 100.00% ======= ------------------------------------------------------------- Top Ten Portfolio Holdings as of July 31, 2009 ------------------------------------------------------------- % of Total Security Long-Term Investments ------------------------------------------------------------- Calpine Corp. 3.33% Mirant Corp. 3.31 NiSource Inc. 3.19 AES Corp. 3.18 Questar Corp. 3.07 NRG Energy, Inc. 3.02 Energen Corp. 2.99 Great Plains Energy, Inc. 2.96 CenturyTel, Inc. 2.95 Ameren Corp. 2.95 ------- Total 30.95% ======= Performance of a $10,000 Initial Investment May 8, 2007 - July 31, 2009 [GRAPHIC OMITTED] EDGARIZATION OF DATA POINTS
------------------------------------------------------------------------------------------------------------------- First Trust StrataQuant(R) Utilities Utilities Russell 1000(R) S&P 500(R) AlphaDEX(R) Fund Index Index Utilities Index ------------------------------------------------------------------------------------------------------------------- 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $ 9,185 $ 9,205 $ 9,674 $ 9,034 7/31/2008 $ 8,506 $ 8,601 $ 8,647 $ 9,394 7/31/2009 $ 7,440 $ 7,593 $ 6,903 $ 7,463
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future results. Frequency Distribution of Discounts and Premiums Bid/Ask Midpoint vs. NAV as of July 31, 2009 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through July 31, 2009.
------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint At/Above NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/07 27 1 0 0 8/1/07 - 7/31/08 140 5 1 1 8/1/08 - 7/31/09 110 9 5 1 ------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint Below NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/07 29 0 0 0 8/1/07 - 7/31/08 96 5 2 0 8/1/08 - 7/31/09 125 4 1 0
Page 21 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FEX - First Trust Large Cap Core AlphaDEX(R) Fund The First Trust Large Cap Core AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Large Cap Core Index (the "Large Cap Core Index"). The Fund will normally invest at least 90% of its assets in common stocks that comprise the Large Cap Core Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FEX." The Large Cap Core Index is a modified equal-dollar weighted index designed by Standard & Poor's, a division of The McGraw-Hill Companies, Inc. ("S&P") to objectively identify and select stocks from the S&P 500(R) Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
------------------------------------------------------------------------------------------------------------------------------------ Performance as of July 31, 2009 ------------------------------------------------------------------------------------------------------------------------------------ Average Annual Cumulative Total Returns Total Returns 1 Year Ended Inception (05/08/07) Inception (05/08/07) 07/31/09 to 07/31/09 to 07/31/09 FUND PERFORMANCE NAV -19.18% -16.38% -32.89% Market Price -19.13% -16.37% -32.88% INDEX PERFORMANCE Defined Large Cap Core Index -18.52% -15.70% -31.70% S&P 500(R) Index -19.96% -15.33% -31.04% ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 36.) Performance Review FEX's NAV return of -19.18% outperformed, for the twelve months ended July 31, 2009, the benchmark S&P 500(R) Index return of -19.96% by +0.78%. The Fund and benchmark were hit hard by the recession throughout 2008 and into 2009. The housing crisis, financial system troubles, and collapse of energy prices caused the Energy and Financial sectors to be hit the worst. The Fund was able to gain +3.3% of outperformance within the Financials sector largely due to a lower weighting in Bank of America Corp. and not having any exposure to Citigroup, Inc. No sector had a positive contribution to total return for the Fund. -------------------------------------------------------------------------------- Top Five and Bottom Five Performing Stocks -------------------------------------------------------------------------------- (by contribution to return over the twelve months ended July 31, 2009) TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS Principal Financial Group, Inc. CIT Group, Inc. CF Industries Holding, Inc. Office Depot, Inc. Expedia, Inc. International Paper Co. Whole Foods Market, Inc. Developers Diversified Realty Corp. Massey Energy Co. Manitowoc Co., Inc. -------------------------------------------------------------------------------- __________________ The Defined Large Cap Core Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Large Cap Core Index. STANDARD & POOR'S and S&P are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by First Trust Portfolios L.P. The First Trust Large Cap Core AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by Standard & Poor's and Standard & Poor's does not make any representation regarding the advisability of investing in the Fund. Page 22 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FEX - First Trust Large Cap Core AlphaDEX(R) Fund (Continued) ------------------------------------------------------------- Portfolio Sector Allocation as of July 31, 2009 ------------------------------------------------------------- % of Total Sector Long-Term Investments -------------------------------------------------------------- Consumer Discretionary 17.51% Industrials 13.79 Information Technology 13.73 Health Care 10.87 Energy 10.11 Utilities 10.11 Financials 9.13 Consumer Staples 7.65 Materials 5.39 Telecommunication Services 1.71 ------- Total 100.00% ======= ------------------------------------------------------------- Top Ten Portfolio Holdings as of July 31, 2009 ------------------------------------------------------------- % of Total Security Long-Term Investments ------------------------------------------------------------- Harley-Davidson, Inc. 0.57% Expedia, Inc. 0.56 Whirlpool Corp. 0.55 Starbucks Corp. 0.52 Xerox Corp. 0.52 Ryder System, Inc. 0.52 Snap-on, Inc. 0.51 Coventry Health Care, Inc. 0.51 Eaton Corp. 0.48 Dr. Pepper Snapple Group, Inc. 0.48 ------- Total 5.22% ======= Performance of a $10,000 Initial Investment May 8, 2007 - July 31, 2009 [GRAPHIC OMITTED] EDGARIZATION OF DATA POINTS
------------------------------------------------------------------------------- First Trust Large Cap Core Defined Large S&P 500(R) AlphaDEX(R) Fund Cap Core Index Index ------------------------------------------------------------------------------- 5/8/2007 $10,000 $10,000 $10,000 7/31/2007 $ 9,560 $ 9,579 $ 9,690 7/31/2008 $ 8,304 $ 8,383 $ 8,615 7/31/2009 $ 6,711 $ 6,830 $ 6,896
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future results. Frequency Distribution of Discounts and Premiums Bid/Ask Midpoint vs. NAV as of July 31, 2009 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through July 31, 2009.
------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint At/Above NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/07 18 1 0 0 8/1/07 - 7/31/08 126 2 7 0 8/1/08 - 7/31/09 106 9 2 1 ------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint Below NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/07 38 0 0 0 8/1/07 - 7/31/08 109 5 1 0 8/1/08 - 7/31/09 127 8 2 0
Page 23 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FNX - First Trust Mid Cap Core AlphaDEX(R) Fund The First Trust Mid Cap Core AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Mid Cap Core Index (the "Mid Cap Core Index"). The Fund will normally invest at least 90% of its assets in common stocks that comprise the Mid Cap Core Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FNX." The Mid Cap Core Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P MidCap 400 Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
------------------------------------------------------------------------------------------------------------------------------------ Performance as of July 31, 2009 ------------------------------------------------------------------------------------------------------------------------------------ Average Annual Cumulative Total Returns Total Returns 1 Year Ended Inception (05/08/07) Inception (05/08/07) 07/31/09 to 07/31/09 to 07/31/09 FUND PERFORMANCE NAV -15.42% -12.35% -25.47% Market Price -15.38% -12.35% -25.47% INDEX PERFORMANCE Defined Mid Cap Core Index -14.78% -11.69% -24.25% S&P MidCap 400 Index -20.25% -13.21% -27.13% ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 36.) Performance Review FNX's NAV return of -15.42% outperformed, for the twelve months ended July 31, 2009, the benchmark S&P MidCap 400 Index return of -20.25% by +4.83%. The tough market conditions of the past year were felt across the entire Fund as no sector made positive contributions to total return in the Fund or the benchmark. The Fund did receive a +1.3% contribution from the REIT industry. The same industry detracted -2.9% from the benchmark, resulting in +4.2% of Fund outperformance. The outperformance attributable to the REIT industry was largely due to timing. Out of 18 REITs that spent some time in both the Fund and benchmark over the last twelve months, 15 had better holding period returns in the Fund. In general, this is due to the Fund purchasing more REIT securities in the latter half of the previous 12-month period. The most extreme was The Macerich Co. (MAC), which appreciated +125.7% after the Fund purchased it in April. The benchmark held MAC the entire twelve months ended July 31, 2009, while it fell -58.5%. -------------------------------------------------------------------------------- Top Five and Bottom Five Performing Stocks -------------------------------------------------------------------------------- (by contribution to return over the twelve months ended July 31, 2009) TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS Advanced Medical Optics AnnTaylor Stores Corp. Ashland, Inc. Lear Corp. Macerich Co. ArvinMeritor, Inc. Oshkosh Corp. Cytec Industries, Inc. Netflix, Inc. Borders Group, Inc. -------------------------------------------------------------------------------- ___________________ The Defined Mid Cap Core Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Mid Cap Core Index. STANDARD & POOR'S and S&P are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by First Trust Portfolios L.P. The First Trust Mid Cap Core AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by Standard & Poor's and Standard & Poor's does not make any representation regarding the advisability of investing in the Fund. Page 24 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FNX - First Trust Mid Cap Core AlphaDEX(R) Fund (Continued) ------------------------------------------------------------- Portfolio Sector Allocation as of July 31, 2009 ------------------------------------------------------------- % of Total Sector Long-Term Investments -------------------------------------------------------------- Consumer Discretionary 20.29% Industrials 15.93 Information Technology 12.27 Health Care 11.56 Financials 11.48 Materials 8.46 Energy 7.39 Utilities 7.37 Consumer Staples 4.22 Telecommunication Services 1.03 ------- Total 100.00% ======= ------------------------------------------------------------- Top Ten Portfolio Holdings as of July 31, 2009 ------------------------------------------------------------- % of Total Security Long-Term Investments ------------------------------------------------------------- Patriot Coal Corp. 0.67% Con-way, Inc. 0.66 NBTY, Inc. 0.66 International Bancshares Corp. 0.65 Life Time Fitness, Inc. 0.65 Kansas City Southern 0.64 Callaway Golf Co. 0.64 Health Management Associates, Inc., Class A 0.62 Coldwater Creek, Inc. 0.62 Minerals Technologies, Inc. 0.62 ------- Total 6.43% ======= Performance of a $10,000 Initial Investment May 8, 2007 - July 31, 2009 [GRAPHIC OMITTED] EDGARIZATION OF DATA POINTS
------------------------------------------------------------------------------- First Trust Defined Mid Cap Core Mid Cap Core S&P Mid Cap AlphaDEX(R) Fund Index 400 Index ------------------------------------------------------------------------------- 5/8/2007 $10,000 $10,000 $10,000 7/31/2007 $ 9,527 $ 9,540 $ 9,615 7/31/2008 $ 8,812 $ 8,889 $ 9,138 7/31/2009 $ 7,453 $ 7,576 $ 7,288
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future results. Frequency Distribution of Discounts and Premiums Bid/Ask Midpoint vs. NAV as of July 31, 2009 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through July 31, 2009.
------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint At/Above NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/07 22 1 0 0 8/1/07 - 7/31/08 124 14 4 0 8/1/08 - 7/31/09 95 9 1 2 ------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint Below NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/07 34 0 0 0 8/1/07 - 7/31/08 102 4 2 0 8/1/08 - 7/31/09 138 10 0 0
Page 25 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FYX - First Trust Small Cap Core AlphaDEX(R) Fund The First Trust Small Cap Core AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Small Cap Core Index (the "Small Cap Core Index"). The Fund will normally invest at least 90% of its assets in common stocks that comprise the Small Cap Core Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FYX." The Small Cap Core Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P SmallCap 600 Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
------------------------------------------------------------------------------------------------------------------------------------ Performance as of July 31, 2009 ------------------------------------------------------------------------------------------------------------------------------------ Average Annual Cumulative Total Returns Total Returns 1 Year Ended Inception (05/08/07) Inception (05/08/07) 07/31/09 to 07/31/09 to 07/31/09 FUND PERFORMANCE NAV -15.77% -14.88% -30.19% Market Price -15.46% -14.88% -30.19% INDEX PERFORMANCE Defined Small Cap Core Index -15.00% -14.09% -28.75% S&P SmallCap 600 Index -19.27% -14.44% -29.39% ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 36.) Performance Review FYX's NAV return of -15.77% outperformed, for the twelve months ended July 31, 2009, the benchmark S&P SmallCap 600 Index return of -19.27% by +3.50%. The Consumer Discretionary sector contributed +4.5% to the Fund's total return. Revived consumer spending helped the hotels, restaurants and leisure; multiline retail; and specialty retail industries make positive contributions to total return. Financials detracted -3.0% from total return, but caused +3.6% of relative outperformance. Outperformance in the Financials sector was concentrated in the REIT industry (+2.9%). The Fund benefited from having a lower weight in the industry and generally better holding period returns for REITs that were held by both the Fund and benchmark at some point in the last twelve months. -------------------------------------------------------------------------------- Top Five and Bottom Five Performing Stocks -------------------------------------------------------------------------------- (by contribution to return over the twelve months ended July 31, 2009) TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS Ruby Tuesday, Inc. Stone Energy Corp. Sonic Automotive, Inc., Class A NCI Building Systems, Inc. Spartan Motors, Inc. Technitrol, Inc. Green Mountain Coffee Roasters, Inc. Buckeye Technologies, Inc. Gevity HR, Inc. Neenah Paper, Inc. -------------------------------------------------------------------------------- ________________________ The Defined Small Cap Core Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Small Cap Core Index. STANDARD & POOR'S and S&P are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by First Trust Portfolios L.P. The First Trust Small Cap Core AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by Standard & Poor's and Standard & Poor's does not make any representation regarding the advisability of investing in the Fund. Page 26 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FYX - First Trust Small Cap Core AlphaDEX(R) Fund (Continued) ------------------------------------------------------------- Portfolio Sector Allocation as of July 31, 2009 ------------------------------------------------------------- % of Total Sector Long-Term Investments -------------------------------------------------------------- Consumer Discretionary 20.19% Health Care 16.03 Industrials 16.02 Information Technology 15.75 Financials 13.52 Materials 4.74 Consumer Staples 4.69 Energy 4.52 Utilities 3.65 Telecommunication Services 0.89 ------- Total 100.00% ======= ------------------------------------------------------------- Top Ten Portfolio Holdings as of July 31, 2009 ------------------------------------------------------------- % of Total Security Long-Term Investments ------------------------------------------------------------- Arctic Cat, Inc. 0.52% Skechers USA, Inc., Class A 0.48 Entertainment Properties Trust 0.45 Cabela's, Inc. 0.45 Wintrust Financial Corp. 0.44 Gentiva Health Services, Inc. 0.44 Clearwater Paper Corp. 0.43 Gerber Scientific, Inc. 0.42 Radiant Systems, Inc. 0.41 Marcus Corp. 0.41 ------- Total 4.45% ======= Performance of a $10,000 Initial Investment May 8, 2007 - July 31, 2009 [GRAPHIC OMITTED] EDGARIZATION OF DATA POINTS
-------------------------------------------------------------------------------- First Trust Small Defined Small S&P SmallCap Cap Core Cap Core 600 AlphaDEX(R) Fund Index Index -------------------------------------------------------------------------------- 5/8/2007 $10,000 $10,000 $10,000 7/31/2007 $ 9,433 $ 9,454 $ 9,535 7/31/2008 $ 8,288 $ 8,382 $ 8,746 7/31/2009 $ 6,981 $ 7,125 $ 7,060
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future results. Frequency Distribution of Discounts and Premiums Bid/Ask Midpoint vs. NAV as of July 31, 2009 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through July 31, 2009.
------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint At/Above NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/07 24 0 1 0 8/1/07 - 7/31/08 116 5 5 0 8/1/08 - 7/31/09 102 5 5 0 ------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint Below NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/07 32 0 0 0 8/1/07 - 7/31/08 116 5 3 0 8/1/08 - 7/31/09 131 9 3 0
Page 27 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FTA - First Trust Large Cap Value Opportunities AlphaDEX(R) Fund The First Trust Large Cap Value Opportunities AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Large Cap Value Opportunities Index (the "Large Cap Value Index"). The Fund will normally invest at least 90% of its assets in common stocks that comprise the Large Cap Value Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FTA." The Large Cap Value Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P 500/Citigroup Value Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
------------------------------------------------------------------------------------------------------------------------------------ Performance as of July 31, 2009 ------------------------------------------------------------------------------------------------------------------------------------ Average Annual Cumulative Total Returns Total Returns 1 Year Ended Inception (05/08/07) Inception (05/08/07) 07/31/09 to 07/31/09 to 07/31/09 FUND PERFORMANCE NAV -15.23% -16.65% -33.39% Market Price -15.32% -16.69% -33.46% INDEX PERFORMANCE Defined Large Cap Value Opportunities Index -14.41% -15.92% -32.10% S&P 500/Citigroup Value Index -23.66% -19.52% -38.41% S&P 500(R) Index -19.96% -15.33% -31.04% ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 36.) Performance Review FTA's NAV return of -15.23% outperformed, for the twelve months ended July 31, 2009, one of its benchmark indexes, the S&P 500/ Citigroup Value Index return of -23.66% by +8.43%. The Financials sector contributed -3.9% to total return but was responsible for +7.8% of relative outperformance. Having no exposure to Citigroup, Inc. and being underweight in Bank of America Corp. (BAC), combined with a better holding period return for BAC, added +2.5% and +1.8% to the Fund's outperformance, respectively. The commercial banking industry added another +2.2% to outperformance largely due to the Fund's lower weight in the beaten down industry. The benchmark's +4.2% average weight in General Electric Co. (-49.2%) versus the Fund's average weight of 0.2% added an additional +3.3% to relative performance. The only sector in the Fund to underperform the benchmark was Consumer Discretionary (-4.5%). -------------------------------------------------------------------------------- Top Five and Bottom Five Performing Stocks -------------------------------------------------------------------------------- (by contribution to return over the twelve months ended July 31, 2009) TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS Principal Financial Group, Inc. CIT Group, Inc. CF Industries Holdings, Inc. Office Depot, Inc. Whole Foods Market, Inc. Developers Diversified Realty Corp. Archer-Daniels-Midland Co. International Paper Co. Massey Energy Co. Manitowoc Co., Inc. -------------------------------------------------------------------------------- _______________________ The Defined Large Cap Value Opportunities Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Large Cap Value Opportunities Index. STANDARD & POOR'S and S&P are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by First Trust Portfolios L.P. The First Trust Large Cap Value Opportunities AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by Standard & Poor's and Standard & Poor's does not make any representation regarding the advisability of investing in the Fund. Page 28 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FTA - First Trust Large Cap Value Opportunities AlphaDEX(R) Fund (Continued) ------------------------------------------------------------- Portfolio Sector Allocation as of July 31, 2009 ------------------------------------------------------------- % of Total Sector Long-Term Investments -------------------------------------------------------------- Utilities 19.02% Industrials 16.69 Consumer Discretionary 13.72 Financials 11.99 Energy 9.80 Health Care 8.22 Information Technology 6.07 Consumer Staples 5.88 Materials 5.31 Telecommunication Services 3.30 ------- Total 100.00% ======= ------------------------------------------------------------- Top Ten Portfolio Holdings as of July 31, 2009 ------------------------------------------------------------- % of Total Security Long-Term Investments ------------------------------------------------------------- Harley-Davidson, Inc. 1.02% Whirlpool Corp. 0.98 Xerox Corp. 0.93 Ryder System, Inc. 0.92 Snap-on, Inc. 0.91 Eaton Corp. 0.85 Discover Financial Services 0.85 Norfolk Southern Corp. 0.84 Archer-Daniels-Midland Co. 0.83 Pioneer Natural Resources Co. 0.82 ------- Total 8.95% ======= Performance of a $10,000 Initial Investment May 8, 2007 - July 31, 2009 [GRAPHIC OMITTED] EDGARIZATION OF DATA POINTS
------------------------------------------------------------------------------------------------------------------- First Trust Large Cap Defined Large Cap Value Opportunities Value Opportunities S&P 500(R) S&P 500/Citigroup AlphaDEX(R) Fund Index Index Value Index ------------------------------------------------------------------------------------------------------------------- 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $ 9,450 $ 9,462 $ 9,690 $ 9,586 7/31/2008 $ 7,858 $ 7,933 $ 8,615 $ 8,066 7/31/2009 $ 6,661 $ 6,790 $ 6,896 $ 6,157
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future results. Frequency Distribution of Discounts and Premiums Bid/Ask Midpoint vs. NAV as of July 31, 2009 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through July 31, 2009.
------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint At/Above NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/07 40 0 0 0 8/1/07 - 7/31/08 127 3 5 0 8/1/08 - 7/31/09 115 7 5 1 ------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint Below NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/07 17 0 0 0 8/1/07 - 7/31/08 109 5 1 0 8/1/08 - 7/31/09 119 7 0 1
Page 29 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FTC - First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund The First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Large Cap Growth Opportunities Index (the "Large Cap Growth Index"). The Fund will normally invest at least 90% of its assets in common stocks that comprise the Large Cap Growth Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FTC." The Large Cap Growth Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P 500/Citigroup Growth Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
------------------------------------------------------------------------------------------------------------------------------------ Performance as of July 31, 2009 ------------------------------------------------------------------------------------------------------------------------------------ Average Annual Cumulative Total Returns Total Returns 1 Year Ended Inception (05/08/07) Inception (05/08/07) 07/31/09 to 07/31/09 to 07/31/09 FUND PERFORMANCE NAV -24.38% -16.27% -32.70% Market Price -24.38% -16.27% -32.70% INDEX PERFORMANCE Defined Large Cap Growth Opportunities Index -23.85% -15.64% -31.60% S&P 500/Citigroup Growth Index -16.44% -11.17% -23.23% S&P 500(R) Index -19.96% -15.33% -31.04% ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 36.) Performance Review FTC's NAV return of -24.38% underperformed, for the twelve months ended July 31, 2009, one of its benchmark indexes, the S&P 500/Citigroup Growth Index return of -16.44% by -7.94%. Fund underperformance was the worst in the Industrials sector (-2.9%). The sector was significantly down in both the Fund and benchmark, but the Fund was hit harder due to a larger sector weighting and generally worse performance. The Materials sector was responsible for -2.4% of underperformance, which was largely concentrated in the metals and mining industry (-1.9%). Again, the Fund's heavier weight in the industry and worse holding period returns for certain names caused the underperformance. The only sector that outperformed the benchmark was Consumer Discretionary. It contributed +3.1% to total return and +3.2% to outperformance. Multiline retail was responsible for +1.0% of the outperformance on strong holding period returns from Family Dollar Stores, Inc. (+36.3%), Nordstrom, Inc. (+39.4%), and Kohl's Corp. (+13.5%). -------------------------------------------------------------------------------- Top Five and Bottom Five Performing Stocks -------------------------------------------------------------------------------- (by contribution to return over the twelve months ended July 31, 2009) TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS Expedia, Inc. AK Steel Holding Corp. Family Dollar Stores, Inc. United States Steel Corp. Rohm & Haas Co. Celgene Corp. AutoZone, Inc. PerkinElmer, Inc. Apollo Group, Inc., Class A National Oilwell Varco, Inc. -------------------------------------------------------------------------------- _________________ The Defined Large Cap Growth Opportunities Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Large Cap Growth Opportunities Index. STANDARD & POOR'S and S&P are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by First Trust Portfolios L.P. The First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by Standard & Poor's and Standard & Poor's does not make any representation regarding the advisability of investing in the Fund. Page 30 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FTC - First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund (Continued) ------------------------------------------------------------- Portfolio Sector Allocation as of July 31, 2009 ------------------------------------------------------------- % of Total Sector Long-Term Investments -------------------------------------------------------------- Information Technology 23.52% Consumer Discretionary 21.95 Health Care 14.61 Industrials 10.15 Consumer Staples 9.71 Energy 8.95 Financials 5.97 Materials 5.14 ------- Total 100.00% ======= ------------------------------------------------------------- Top Ten Portfolio Holdings as of July 31, 2009 ------------------------------------------------------------- % of Total Security Long-Term Investments ------------------------------------------------------------- Expedia, Inc. 1.33% Coventry Health Care, Inc. 1.19 Medco Health Solutions, Inc. 1.12 TJX Cos., Inc. 1.11 Apple, Inc. 1.11 Western Digital Corp. 1.10 NetApp, Inc. 1.10 Broadcom Corp., Class A 1.10 Bed Bath & Beyond, Inc. 1.09 Citrix Systems, Inc. 1.08 ------- Total 11.33% ======= Performance of a $10,000 Initial Investment May 8, 2007 - July 31, 2009 [GRAPHIC OMITTED] EDGARIZATION OF DATA POINTS
------------------------------------------------------------------------------------------------------------------- First Trust Large Cap Defined Large Cap Growth Opportunities Growth Opportunities S&P 500(R) S&P 500/Citigroup AlphaDEX(R) Fund Index Index Growth Index ------------------------------------------------------------------------------------------------------------------- 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $ 9,740 $ 9,757 $ 9,690 $ 9,802 7/31/2008 $ 8,900 $ 8,982 $ 8,615 $ 9,185 7/31/2009 $ 6,730 $ 6,840 $ 6,896 $ 7,675
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future results. Frequency Distribution of Discounts and Premiums Bid/Ask Midpoint vs. NAV as of July 31, 2009 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through July 31, 2009.
------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint At/Above NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/07 37 1 0 0 8/1/07 - 7/31/08 132 2 5 0 8/1/08 - 7/31/09 113 4 2 0 ------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint Below NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/07 19 0 0 0 8/1/07 - 7/31/08 105 5 1 0 8/1/08 - 7/31/09 133 3 0 0
Page 31 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FAB - First Trust Multi Cap Value AlphaDEX(R) Fund The First Trust Multi Cap Value AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Multi Cap Value Index (the "Multi Cap Value Index"). The Fund will normally invest at least 90% of its assets in common stocks that comprise the Multi Cap Value Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FAB." The Multi Cap Value Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P Composite 1500/Citigroup Value Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
------------------------------------------------------------------------------------------------------------------------------------ Performance as of July 31, 2009 ------------------------------------------------------------------------------------------------------------------------------------ Average Annual Cumulative Total Returns Total Returns 1 Year Ended Inception (05/08/07) Inception (05/08/07) 07/31/09 to 07/31/09 to 07/31/09 FUND PERFORMANCE NAV -11.51% -14.98% -30.36% Market Price -11.48% -15.00% -30.40% INDEX PERFORMANCE Defined Multi Cap Value Index -10.68% -14.23% -29.02% S&P Composite 1500/Citigroup Value Index -23.21% -19.05% -37.62% S&P Composite 1500 Index -19.97% -15.14% -30.64% ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 36.) Performance Review FAB's NAV return of -11.51% outperformed, for the twelve months ended July 31, 2009, one of its benchmark indexes, the S&P Composite 1500/Citigroup Value Index return of -23.21% by +11.70%. The tough economic conditions of the last year had a broad impact on the Fund as only the Health Care and Consumer Staples sectors were able to muster modest positive contributions to the Fund's total return. The Financials sector was responsible for +10.4% of the Fund's outperformance of the benchmark, and only detracted -1.0% from total return. The Financials outperformance was largely derived from the Fund having no exposure to Citigroup, Inc. (+2.2%), being underexposed to Bank of America Corp. (+1.5%), being underweight commercial banks (+2.5%), and being underweight REITs (+2.2%). The benchmark's large weight (3.7% average weighting) in General Electric Co. (GE) versus the Fund contributed another +2.9% to outperformance as GE declined -49.2% over the year. -------------------------------------------------------------------------------- Top Five and Bottom Five Performing Stocks -------------------------------------------------------------------------------- (by contribution to return over the twelve months ended July 31, 2009) TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS Advanced Medical Optics, Inc. CIT Group, Inc. Ruby Tuesday, Inc. Office Depot, Inc. Oshkosh Corp. Developers Diversified Realty Corp. Sonic Automotive, Inc., Class A AnnTaylor Stores Corp. Principal Financial Group, Inc. International Paper Co. -------------------------------------------------------------------------------- _________________________ The Defined Multi Cap Value Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Multi Cap Value Index. STANDARD & POOR'S and S&P are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by First Trust Portfolios L.P. The First Trust Multi Cap Value AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by Standard & Poor's and Standard & Poor's does not make any representation regarding the advisability of investing in the Fund. Page 32 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FAB - First Trust Multi Cap Value AlphaDEX(R) Fund (Continued) ------------------------------------------------------------- Portfolio Sector Allocation as of July 31, 2009 ------------------------------------------------------------- % of Total Sector Long-Term Investments -------------------------------------------------------------- Industrials 18.06% Financials 16.16 Utilities 14.78 Consumer Discretionary 13.30 Health Care 8.53 Energy 7.59 Materials 7.13 Information Technology 6.72 Consumer Staples 5.37 Telecommunication Services 2.36 ------- Total 100.00% ======= ------------------------------------------------------------- Top Ten Portfolio Holdings as of July 31, 2009 ------------------------------------------------------------- % of Total Security Long-Term Investments ------------------------------------------------------------- Harley-Davidson, Inc. 0.51% Whirlpool Corp. 0.49 Xerox Corp. 0.46 Ryder System, Inc. 0.46 Snap-on, Inc. 0.45 Eaton Corp. 0.42 Discover Financial Services 0.42 Norfolk Southern Corp. 0.42 Archer-Daniels-Midland Co. 0.41 Pioneer Natural Resources Co. 0.41 ------- Total 4.45% ======= Performance of a $10,000 Initial Investment May 8, 2007 - July 31, 2009 [GRAPHIC OMITTED] EDGARIZATION OF DATA POINTS
------------------------------------------------------------------------------------------------------------ First Trust Defined Multi Multi Cap Value Cap Value S&P Composite S&P Composite 1500/Citigroup AlphaDEX(R) Fund Index 1500 Index Value Index ------------------------------------------------------------------------------------------------------------ 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $ 9,317 $ 9,334 $ 9,678 $ 9,567 7/31/2008 $ 7,870 $ 7,948 $ 8,661 $ 8,123 7/31/2009 $ 6,964 $ 7,099 $ 6,931 $ 6,238
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future results. Frequency Distribution of Discounts and Premiums Bid/Ask Midpoint vs. NAV as of July 31, 2009 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through July 31, 2009.
------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint At/Above NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/07 39 0 0 0 8/1/07 - 7/31/08 128 6 2 0 8/1/08 - 7/31/09 126 8 0 0 ------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint Below NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/07 18 0 0 0 8/1/07 - 7/31/08 106 6 2 0 8/1/08 - 7/31/09 113 8 0 0
Page 33 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FAD - First Trust Multi Cap Growth AlphaDEX(R) Fund The First Trust Multi Cap Growth AlphaDEX(R) Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Defined Multi Cap Growth Index (the "Multi Cap Growth Index"). The Fund will normally invest at least 90% of its assets in common stocks that comprise the Multi Cap Growth Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol "FAD." The Multi Cap Growth Index is a modified equal-dollar weighted index designed by S&P to objectively identify and select stocks from the S&P Composite 1500/Citigroup Growth Index that may generate positive alpha relative to traditional passive style indices through the use of the AlphaDEX(R) screening methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
------------------------------------------------------------------------------------------------------------------------------------ Performance as of July 31, 2009 ------------------------------------------------------------------------------------------------------------------------------------ Average Annual Cumulative Total Returns Total Returns 1 Year Ended Inception (05/08/07) Inception (05/08/07) 07/31/09 to 07/31/09 to 07/31/09 FUND PERFORMANCE NAV -24.53% -14.99% -30.38% Market Price -24.44% -14.97% -30.35% INDEX PERFORMANCE Defined Multi Cap Growth Index -23.97% -14.34% -29.21% S&P Composite 1500/Citigroup Growth Index -16.85% -11.21% -23.31% S&P Composite 1500 Index -19.97% -15.14% -30.64% ------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 36.) Performance Review FAD's NAV return of -24.53% underperformed, for the twelve months ended July 31, 2009, one of its benchmark indexes, the S&P Composite 1500/Citigroup Growth Index return of -16.85% by -7.68%. The Industrials sector was responsible for -4.4% of the Fund's underperformance against the benchmark. The Fund failed to outperform the benchmark in any of the Industrials-related industries. The rest of the underperformance was widespread among the Materials (-2.4%), Health Care (-2.0%), and Financials (-1.9%) sectors. The Consumer Discretionary sector contributed +4.2% to total return and added +4.1% to relative outperformance. The tough times aided some companies as consumers turned to bargain hunting. 99 Cents Only Stores (+38.2%), Family Dollar Stores, Inc. (+36.3%), and Dollar Tree, Inc. (+22.9%) detracted -0.5% from the benchmark's outperformance of the Fund. Discount travel sites Expedia, Inc. (+114.6%), and priceline.com Inc. (+68.2%) detracted another -0.4% from the benchmark's outperformance. -------------------------------------------------------------------------------- Top Five and Bottom Five Performing Stocks -------------------------------------------------------------------------------- (by contribution to return over the twelve months ended July 31, 2009) TOP-PERFORMING STOCKS BOTTOM-PERFORMING STOCKS Netflix, Inc. Psychiatric Solutions, Inc. Health Management Associate, Inc., Class A AK Steel Holding Corp. Chico's FAS, Inc. SVB Financial Group Expedia, Inc. United States Steel Corp. Rohm & Haas Terra Industries, Inc. -------------------------------------------------------------------------------- ____________________ The Defined Multi Cap Growth Index is the exclusive property of S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Multi Cap Growth Index. STANDARD & POOR'S and S&P are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by First Trust Portfolios L.P. The First Trust Multi Cap Growth AlphaDEX(R) Fund is not sponsored, endorsed, sold or promoted by Standard & Poor's and Standard & Poor's does not make any representation regarding the advisability of investing in the Fund. Page 34 -------------------------------------------------------------------------------- Fund Performance Overview (Continued) -------------------------------------------------------------------------------- FAD - First Trust Multi Cap Growth AlphaDEX(R) Fund (Continued) ------------------------------------------------------------- Portfolio Sector Allocation as of July 31, 2009 ------------------------------------------------------------- % of Total Sector Long-Term Investments -------------------------------------------------------------- Consumer Discretionary 25.81% Information Technology 22.31 Health Care 16.65 Industrials 10.78 Energy 7.82 Consumer Staples 6.89 Materials 4.77 Financials 4.71 Telecommunication Services 0.19 Utilities 0.07 ------- Total 100.00% ======= ------------------------------------------------------------- Top Ten Portfolio Holdings as of July 31, 2009 ------------------------------------------------------------- % of Total Security Long-Term Investments ------------------------------------------------------------- Expedia, Inc. 0.66% Coventry Health Care, Inc. 0.59 Medco Health Solutions, Inc. 0.56 TJX Cos., Inc. 0.56 Apple, Inc. 0.55 Western Digital Corp. 0.55 NetApp, Inc. 0.55 Broadcom Corp., Class A 0.55 Bed Bath & Beyond, Inc. 0.55 Citrix Systems, Inc. 0.54 ------- Total 5.66% ======= Performance of a $10,000 Initial Investment May 8, 2007 - July 31, 2009 [GRAPHIC OMITTED] EDGARIZATION OF DATA POINTS
------------------------------------------------------------------------------------------------------------------- First Trust Multi Defined Multi Cap S&P S&P Composite Cap Growth Growth Composite 1500/Citigroup AlphaDEX(R) Fund Index 1500 Index Growth Index ------------------------------------------------------------------------------------------------------------------- 5/8/2007 $10,000 $10,000 $10,000 $10,000 7/31/2007 $ 9,797 $ 9,818 $ 9,678 $ 9,796 7/31/2008 $ 9,224 $ 9,309 $ 8,661 $ 9,223 7/31/2009 $ 6,961 $ 7,078 $ 6,931 $ 7,669
Performance figures assume reinvestment of all dividend distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future results. Frequency Distribution of Discounts and Premiums Bid/Ask Midpoint vs. NAV as of July 31, 2009 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the bid/ask midpoint price for the Fund was at a discount or premium to the daily NAV. The following tables are for comparative purposes only and represent the period May 10, 2007 (commencement of trading) through July 31, 2009.
------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint At/Above NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/07 29 1 0 0 8/1/07 - 7/31/08 128 5 3 0 8/1/08 - 7/31/09 96 12 1 2 ------------------------------------------------------------------------------------------------------------------------------------ Number of Days Bid/Ask Midpoint Below NAV ------------------------------------------------------------------------------------------------------------------------------------ For the Period 0-49 Basis Points 50-99 Basis Points 100-199 Basis Points >= 200 Basis Points 5/10/07 - 7/31/07 27 0 0 0 8/1/07 - 7/31/08 108 5 1 0 8/1/08 - 7/31/09 137 7 0 0
Page 35 -------------------------------------------------------------------------------- Notes to Fund Performance Overview -------------------------------------------------------------------------------- Total returns for the periods since inception are calculated from the inception date of each Fund. "Average annual total returns" represent the average annual change in value of an investment over the periods indicated. "Cumulative total returns" represent the total change in value of an investment over the periods indicated. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the Advisor. Each Fund's per share net asset value ("NAV") is the value of one share of the Fund and is computed by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of outstanding shares. The price used to calculate market return ("Market Price") is determined by using the midpoint between the highest bid and the lowest offer on the stock exchange on which shares of the Fund are listed for trading as of the time that the Fund's NAV is calculated. Since shares of each Fund did not trade in the secondary market until after their inception, for the period May 8, 2007 (inception) to May 10, 2007 (the first day of secondary market trading), the NAV of each Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that all dividend distributions have been reinvested in each Fund at NAV and Market Price, respectively. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. The total returns presented reflect the reinvestment of dividends on securities in the indices. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. The investment return and principal value of shares of the Fund will vary with changes in market conditions. Shares of the Fund may be worth more or less than their original cost when they are redeemed or sold in the market. The Fund's past performance is no guarantee of future results. Page 36 First Trust Exchange-Traded AlphaDEX(R) Fund Understanding Your Fund Expenses July 31, 2009 (Unaudited) As a shareholder of 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, or First Trust Multi Cap Growth AlphaDEX(R) Fund (each a "Fund" and collectively, the "Funds"), you incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, distribution and/or service fees, and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held through the six-month period ended July 31, 2009. Actual Expenses The first line in the following table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During the Six-Month Period" to estimate the expenses you paid on your account during this six-month period. Hypothetical Example for Comparison Purposes The second line in the following table provides information about hypothetical account values and hypothetical expenses based on each Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs such as brokerage commissions or creation and redemption transaction fees paid on purchases and sales of Fund shares. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
------------------------------------------------------------------------------------------------------------------------------------ Annualized Expense Ratio Expenses Paid Beginning Ending Based on the During the Account Value Account Value Six-Month Six-Month February 1, 2009 July 31, 2009 Period (a) Period (b) ------------------------------------------------------------------------------------------------------------------------------------ First Trust Consumer Discretionary AlphaDEX(R) Fund Actual $1,000.00 $1,491.10 0.70% $4.32 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 First Trust Consumer Staples AlphaDEX(R) Fund Actual $1,000.00 $1,182.00 0.70% $3.79 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 First Trust Energy AlphaDEX(R) Fund Actual $1,000.00 $1,255.90 0.70% $3.92 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 First Trust Financials AlphaDEX(R) Fund Actual $1,000.00 $1,384.90 0.70% $4.14 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 First Trust Health Care AlphaDEX(R) Fund Actual $1,000.00 $1,204.60 0.70% $3.83 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
Page 37 First Trust Exchange-Traded AlphaDEX(R) Fund Understanding Your Fund Expenses (Continued) July 31, 2009 (Unaudited)
------------------------------------------------------------------------------------------------------------------------------------ Annualized Expense Ratio Expenses Paid Beginning Ending Based on the During the Account Value Account Value Six-Month Six-Month February 1, 2009 July 31, 2009 Period (a) Period (b) ------------------------------------------------------------------------------------------------------------------------------------ First Trust Industrials/Producer Durables AlphaDEX(R) Fund Actual $1,000.00 $1,224.30 0.70% $3.86 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 First Trust Materials AlphaDEX(R) Fund Actual $1,000.00 $1,487.00 0.70% $4.32 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 First Trust Technology AlphaDEX(R) Fund Actual $1,000.00 $1,390.00 0.70% $4.15 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 First Trust Utilities AlphaDEX(R) Fund Actual $1,000.00 $1,117.20 0.70% $3.67 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 First Trust Large Cap Core AlphaDEX(R) Fund Actual $1,000.00 $1,260.20 0.70% $3.92 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 First Trust Mid Cap Core AlphaDEX(R) Fund Actual $1,000.00 $1,340.20 0.70% $4.06 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 First Trust Small Cap Core AlphaDEX(R) Fund Actual $1,000.00 $1,384.30 0.70% $4.14 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 First Trust Large Cap Value Opportunities AlphaDEX(R) Fund Actual $1,000.00 $1,334.10 0.70% $4.05 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund Actual $1,000.00 $1,173.10 0.70% $3.77 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 First Trust Multi Cap Value AlphaDEX(R) Fund Actual $1,000.00 $1,400.50 0.70% $4.17 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51 First Trust Multi Cap Growth AlphaDEX(R) Fund Actual $1,000.00 $1,204.10 0.70% $3.83 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
(a) These expense ratios reflect expense caps. (b) Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (February 1, 2009 through July 31, 2009), multiplied by 181/365 (to reflect the one-half year period). Page 38 FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND Portfolio of Investments (a) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 100.5% AUTO COMPONENTS -- 9.6% 2,096 Autoliv, Inc. $ 75,058 1,766 BorgWarner, Inc. 58,613 6,382 Federal Mogul Corp. (b) 90,178 6,974 Goodyear Tire & Rubber (The) Co. (b) 118,697 2,777 Johnson Controls, Inc. 71,869 6,949 TRW Automotive Holdings Corp. (b) 116,952 4,436 WABCO Holdings, Inc. 84,328 ----------- 615,695 ----------- AUTOMOBILES -- 1.9% 3,720 Harley-Davidson, Inc. 84,072 1,641 Thor Industries, Inc. 39,236 ----------- 123,308 ----------- DISTRIBUTORS -- 1.8% 898 Genuine Parts Co. 31,807 4,773 LKQ Corp. (b) 85,628 ----------- 117,435 ----------- DIVERSIFIED CONSUMER SERVICES -- 2.7% 1,211 Career Education Corp. (b) 27,756 1,812 Hillenbrand, Inc. 32,833 150 ITT Educational Services, Inc. (b) 14,603 8,254 Service Corp. International 52,165 138 Strayer Education, Inc. 29,309 585 Weight Watchers International, Inc. 16,310 ----------- 172,976 ----------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.5% 922 Tech Data Corp. (b) 32,206 ----------- FOOD & STAPLES RETAILING -- 1.0% 1,403 BJ's Wholesale Club, Inc. (b) 46,790 311 Wal-Mart Stores, Inc. 15,513 ----------- 62,303 ----------- HOTELS, RESTAURANTS & LEISURE -- 14.9% 3,541 Brinker International, Inc. 58,922 3,047 Carnival Corp. 85,285 982 Chipotle Mexican Grill, Inc., Class A (b) 92,141 567 Choice Hotels International, Inc. 15,791 1,371 Darden Restaurants, Inc. 44,407 948 International Game Technology 18,723 3,066 International Speedway Corp., Class A 78,398 7,673 Las Vegas Sands Corp. (b) 71,743 2,049 Marriott International, Inc., Class A 44,135 302 Panera Bread Co., Class A (b) 16,598 5,799 Royal Caribbean Cruises Ltd. 84,201 SHARES DESCRIPTION VALUE -------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE (Continued) 4,342 Starbucks Corp. (b) $ 76,853 2,037 Starwood Hotels & Resorts Worldwide, Inc. 48,094 1,914 WMS Industries, Inc. (b) 69,210 6,479 Wyndham Worldwide Corp. 90,382 427 Wynn Resorts Ltd. (b) 21,850 904 Yum! Brands, Inc. 32,056 ----------- 948,789 ----------- HOUSEHOLD DURABLES -- 8.0% 2,104 Black & Decker (The) Corp. 79,110 434 Fortune Brands, Inc. 17,173 3,297 Garmin Ltd. 91,195 802 Harman International Industries, Inc. 19,793 990 Leggett & Platt, Inc. 17,177 2,897 Newell Rubbermaid, Inc. 37,284 30 NVR, Inc. (b) 18,035 2,732 Snap-on, Inc. 97,341 1,337 Stanley Works (The) 53,681 1,417 Whirlpool Corp. 80,897 ----------- 511,686 ----------- INTERNET & CATALOG RETAIL -- 5.1% 939 Amazon.com, Inc. (b) 80,529 5,197 Expedia, Inc. (b) 107,630 1,094 NetFlix, Inc. (b) 48,070 704 priceline.com, Inc. (b) 91,252 ----------- 327,481 ----------- INTERNET SOFTWARE & SERVICES -- 1.2% 2,640 eBay, Inc. (b) 56,100 939 IAC/InterActiveCorp (b) 17,287 ----------- 73,387 ----------- IT SERVICES -- 0.3% 919 Western Union Co. 16,064 ----------- LEISURE EQUIPMENT & PRODUCTS -- 1.3% 1,244 Hasbro, Inc. 32,966 2,818 Mattel, Inc. 49,540 ----------- 82,506 ----------- MEDIA -- 11.8% 4,162 Comcast Corp., Class A 61,847 1,276 CTC Media, Inc. (b) 15,771 1,220 DIRECTV Group (The), Inc. (b) 31,598 2,790 DISH Network Corp., Class A (b) 47,291 546 DreamWorks Animation SKG, Inc., Class A (b) 17,205 8,956 Interpublic Group of Cos. (The), Inc. (b) 46,661 1,975 Lamar Advertising Co., Class A (b) 41,554 2,846 Liberty Global, Inc., Class A (b) 59,624 1,694 Marvel Entertainment, Inc. (b) 67,015 501 McGraw-Hill (The) Cos., Inc. 15,706 See Notes to Financial Statements Page 39 FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND Portfolio of Investments (a) (Continued) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (Continued) MEDIA (Continued) 2,360 Meredith Corp. $ 62,469 1,432 Omnicom Group, Inc. 48,688 2,269 Regal Entertainment Group, Class A 28,226 1,328 Viacom, Inc., Class B (b) 30,757 1,612 Virgin Media, Inc. 16,845 1,939 Walt Disney (The) Co. 48,708 13,423 Warner Music Group Corp. (b) 75,437 86 Washington Post (The) Co., Class B 38,829 ----------- 754,231 ----------- MULTILINE RETAIL -- 3.9% 2,151 Big Lots, Inc. (b) 49,559 358 Dollar Tree, Inc. (b) 16,511 533 Family Dollar Stores, Inc. 16,747 1,575 J. C. Penney Co., Inc. 47,486 705 Kohl's Corp. (b) 34,228 758 Nordstrom, Inc. 20,041 453 Sears Holdings Corp. (b) 30,052 764 Target Corp. 33,326 ----------- 247,950 ----------- PERSONAL PRODUCTS -- 1.1% 1,170 Avon Products, Inc. 37,885 923 Estee Lauder (The) Cos., Inc., Class A 33,634 ----------- 71,519 ----------- ROAD & RAIL -- 0.3% 1,887 Hertz Global Holdings, Inc. (b) 17,813 ----------- SPECIALTY RETAIL -- 28.6% 1,517 Aaron's, Inc. 41,672 3,093 Abercrombie & Fitch Co., Class A 88,429 727 Advance Auto Parts, Inc. 33,609 2,291 Aeropostale, Inc. (b) 83,392 3,192 American Eagle Outfitters, Inc. 45,933 4,526 AutoNation, Inc. (b) 93,598 100 AutoZone, Inc. (b) 15,357 2,923 Barnes & Noble, Inc. 67,317 1,471 Bed Bath & Beyond, Inc. (b) 51,117 1,351 Best Buy Co., Inc. 50,487 4,102 CarMax, Inc. (b) 66,165 8,070 Chico's FAS, Inc. (b) 92,563 4,565 Dick's Sporting Goods, Inc. (b) 90,615 2,880 Foot Locker, Inc. 31,910 2,740 GameStop Corp., Class A (b) 59,979 2,758 Gap (The), Inc. 45,010 2,339 Guess?, Inc. 67,995 638 Home Depot (The), Inc. 16,550 2,519 Limited Brands, Inc. 32,596 2,330 Lowe's Cos., Inc. 52,332 13,225 Office Depot, Inc. (b) 60,174 1,584 O'Reilly Automotive, Inc. (b) 64,405 4,719 Penske Automotive Group, Inc. 97,589 2,108 PetSmart, Inc. 47,156 5,625 RadioShack Corp. 87,244 SHARES DESCRIPTION VALUE -------------------------------------------------------------- SPECIALTY RETAIL (Continued) 1,562 Ross Stores, Inc. $ 68,868 2,990 Staples, Inc. 62,850 1,189 Tiffany & Co. 35,468 2,496 TJX (The) Cos., Inc. 90,430 2,167 Urban Outfitters, Inc. (b) 52,095 2,540 Williams-Sonoma, Inc. 35,712 ----------- 1,828,617 ----------- TEXTILES, APPAREL & LUXURY GOODS -- 5.0% 2,244 Coach, Inc. 66,400 2,009 Hanesbrands, Inc. (b) 39,979 291 NIKE, Inc., Class B 16,482 2,102 Phillips-Van Heusen Corp. 74,369 1,126 Polo Ralph Lauren Corp. 70,994 817 VF Corp. 52,852 ----------- 321,076 ----------- TRADING COMPANIES & DISTRIBUTORS -- 1.5% 425 MSC Industrial Direct Co., Inc., Class A 16,677 3,136 WESCO International, Inc. (b) 77,428 ----------- 94,105 ----------- TOTAL COMMON STOCKS -- 100.5% (Cost $5,706,991) 6,419,147 MONEY MARKET FUND -- 0.6% 37,281 Morgan Stanley Institutional Treasury Money Market Fund- 0.01% (c) (Cost $37,281) 37,281 ----------- TOTAL INVESTMENTS -- 101.1% (Cost $5,744,272) (d) 6,456,428 NET OTHER ASSETS AND LIABILITIES -- (1.1)% (70,013) ----------- NET ASSETS -- 100.0% $ 6,386,415 =========== (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 July 31, 2009. (d) Aggregate cost for federal income tax purposes is $5,936,885. As of July 31, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $709,747 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $190,204. Page 40 See Notes to Financial Statements FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND Portfolio of Investments (a) (Continued) July 31, 2009 ____________________ Valuation Inputs A summary of the inputs used to value the Fund's investments as of July 31, 2009 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs Investments Level 1 Level 2 Level 3 __________________________________________________________________ Common Stocks* $ 6,419,147 $ -- $ -- Money Market Fund 37,281 -- -- __________________________________________ Total Investments $ 6,456,428 $ -- $ -- ========================================== * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 41 FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND Portfolio of Investments (a) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 100.3% BEVERAGES -- 16.5% 4,840 Brown-Forman Corp., Class B $ 212,718 1,445 Coca-Cola (The) Co. 72,019 23,797 Coca-Cola Enterprises, Inc. 447,146 4,914 Molson Coors Brewing Co., Class B 222,162 11,709 Pepsi Bottling Group (The), Inc. 397,520 5,173 PepsiAmericas, Inc. 138,533 ----------- 1,490,098 ----------- FOOD & STAPLES RETAILING -- 18.0% 8,703 CVS Caremark Corp. 291,376 9,434 Kroger (The) Co. 201,699 13,616 Safeway, Inc. 257,751 3,085 Sysco Corp. 73,300 9,434 Walgreen Co. 292,926 20,876 Whole Foods Market, Inc. (b) 504,990 ----------- 1,622,042 ----------- FOOD PRODUCTS -- 43.5% 14,801 Archer-Daniels-Midland Co. 445,806 4,603 Bunge Ltd. 322,072 7,276 ConAgra Foods, Inc. 142,828 10,353 Corn Products International, Inc. 289,884 14,453 Dean Foods Co. (b) 306,259 22,177 Del Monte Foods Co. 214,230 6,350 Flowers Foods, Inc. 150,050 2,476 General Mills, Inc. 145,861 6,702 Green Mountain Coffee Roasters, Inc. (b) 472,089 1,942 H. J. Heinz Co. 74,689 1,926 Hershey (The) Co. 76,944 8,030 Hormel Foods Corp. 288,357 2,850 J. M. Smucker (The) Co. 142,586 4,467 Kellogg Co. 212,182 2,132 McCormick & Co., Inc. 68,693 2,276 Ralcorp Holdings, Inc. (b) 144,549 21,313 Sara Lee Corp. 226,770 14,890 Smithfield Foods, Inc. (b) 201,760 ----------- 3,925,609 ----------- HOUSEHOLD PRODUCTS -- 7.5% 2,484 Clorox (The) Co. 151,549 2,941 Colgate-Palmolive Co. 213,046 1,327 Energizer Holdings, Inc. (b) 85,008 1,323 Kimberly-Clark Corp. 77,329 2,714 Procter & Gamble (The) Co. 150,654 ----------- 677,586 ----------- PERSONAL PRODUCTS -- 10.5% 12,563 Herbalife Ltd. 432,293 14,091 NBTY, Inc. (b) 510,094 ----------- 942,387 ----------- TOBACCO -- 4.3% 1,023 Lorillard, Inc. 75,416 7,182 Reynolds American, Inc. 312,489 ----------- 387,905 ----------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- TOTAL COMMON STOCKS -- 100.3% (Cost $8,058,040) $ 9,045,627 MONEY MARKET FUND -- 0.4% 34,822 Morgan Stanley Institutional Treasury Money Market Fund- 0.01% (c) (Cost $34,822) 34,822 ----------- TOTAL INVESTMENTS -- 100.7% (Cost $8,092,862) (d) 9,080,449 NET OTHER ASSETS AND LIABILITIES -- (0.7)% (63,255) ----------- NET ASSETS -- 100.0% $ 9,017,194 =========== (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 July 31, 2009. (d) Aggregate cost for federal income tax purposes is $8,267,115. As of July 31, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $954,344 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $141,010. _______________________ Valuation Inputs A summary of the inputs used to value the Fund's investments as of July 31, 2009 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs Investments Level 1 Level 2 Level 3 __________________________________________________________________ Common Stocks* $ 9,045,627 $ -- $ -- Money Market Fund 34,822 -- -- __________________________________________ Total Investments $ 9,080,449 $ -- $ -- ========================================== * See Portfolio of Investments for industry breakout. Page 42 See Notes to Financial Statements FIRST TRUST ENERGY ALPHADEX(R) FUND Portfolio of Investments (a) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 100.1% ENERGY EQUIPMENT & SERVICES -- 44.5% 7,769 Atwood Oceanics, Inc. (b) $ 224,058 5,311 Baker Hughes, Inc. 215,096 19,362 BJ Services Co. 274,553 1,710 Cameron International Corp. (b) 53,403 583 Diamond Offshore Drilling, Inc. 52,394 3,708 Dresser-Rand Group, Inc. (b) 107,940 7,568 ENSCO International, Inc. 286,752 1,287 FMC Technologies, Inc. (b) 55,984 4,675 Halliburton Co. 103,271 8,549 Helmerich & Payne, Inc. 293,744 12,422 Nabors Industries Ltd. (b) 211,422 5,926 National Oilwell Varco, Inc. (b) 212,980 1,070 Oceaneering International, Inc. (b) 54,484 10,901 Oil States International, Inc. (b) 295,635 20,522 Patterson-UTI Energy, Inc. 283,409 10,531 Pride International, Inc. (b) 264,012 13,660 Rowan Cos., Inc. 291,368 894 Schlumberger Ltd. 47,829 2,572 SEACOR Holdings, Inc. (b) 204,423 6,149 Smith International, Inc. 154,524 15,281 Superior Energy Services, Inc. (b) 253,512 9,572 Unit Corp. (b) 303,337 ----------- 4,244,130 ----------- METALS & MINING -- 1.4% 2,670 Walter Energy, Inc. 131,791 ----------- OIL, GAS & CONSUMABLE FUELS -- 54.2% 6,028 Alpha Natural Resources, Inc. (b) 200,793 5,814 Anadarko Petroleum Corp. 280,235 1,341 Apache Corp. 112,577 12,592 Arch Coal, Inc. 219,227 1,579 Cabot Oil & Gas Corp. 55,470 7,985 Chesapeake Energy Corp. 171,198 2,921 Chevron Corp. 202,922 2,928 Comstock Resources, Inc. (b) 112,728 5,519 Concho Resources, Inc. (b) 169,433 6,569 Denbury Resources, Inc. (b) 109,045 5,242 El Paso Corp. 52,735 8,555 Encore Acquisition Co. (b) 304,558 2,849 EOG Resources, Inc. 210,912 3,745 EXCO Resources, Inc. (b) 51,456 1,384 Exxon Mobil Corp. 97,420 3,442 Foundation Coal Holdings, Inc. 123,671 3,691 Frontier Oil Corp. 51,305 2,946 Hess Corp. 162,619 6,423 Marathon Oil Corp. 207,142 8,235 Mariner Energy, Inc. (b) 98,738 8,104 Massey Energy Co. 215,566 3,563 Murphy Oil Corp. 207,367 2,685 Noble Energy, Inc. 164,107 2,406 Occidental Petroleum Corp. 171,644 1,604 Peabody Energy Corp. 53,108 6,210 Pioneer Natural Resources Co. 177,296 1,768 Plains Exploration & Production Co. (b) 50,653 SHARES DESCRIPTION VALUE -------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS (CONTINUED) 10,416 Quicksilver Resources, Inc. (b) $ 119,367 2,491 Southwestern Energy Co. (b) 103,202 2,860 Spectra Energy Corp. 52,510 7,587 St. Mary Land & Exploration Co. 181,102 8,342 Sunoco, Inc. 205,964 15,203 Tesoro Corp. 199,007 10,144 Williams (The) Cos., Inc. 169,303 2,537 XTO Energy, Inc. 102,064 ----------- 5,166,444 ----------- TOTAL COMMON STOCKS -- 100.1% (Cost $8,435,405) 9,542,365 MONEY MARKET FUND -- 0.3% 26,713 Morgan Stanley Institutional Treasury Money Market Fund- 0.01% (c) (Cost $26,713) 26,713 ----------- TOTAL INVESTMENTS -- 100.4% (Cost $8,462,118) (d) 9,569,078 NET OTHER ASSETS AND LIABILITIES -- (0.4)% (38,522) ----------- NET ASSETS -- 100.0% $ 9,530,556 =========== (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 July 31, 2009. (d) Aggregate cost for federal income tax purposes is $8,942,942. As of July 31, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $941,208 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $315,072. _____________________ Valuation Inputs A summary of the inputs used to value the Fund's investments as of July 31, 2009 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs Investments Level 1 Level 2 Level 3 __________________________________________________________________ Common Stocks* $ 9,542,365 $ -- $ -- Money Market Fund 26,713 -- -- __________________________________________ Total Investments $ 9,569,078 $ -- $ -- ========================================== * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 43 FIRST TRUST FINANCIALS ALPHADEX(R) FUND Portfolio of Investments (a) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 100.3% CAPITAL MARKETS -- 13.3% 604 Affiliated Managers Group, Inc. (b) $ 39,876 724 Ameriprise Financial, Inc. 20,127 1,199 Bank of New York Mellon (The) Corp. 32,781 401 BlackRock, Inc. 76,407 2,188 Federated Investors, Inc., Class B 56,735 732 Franklin Resources, Inc. 64,914 477 Goldman Sachs Group (The), Inc. 77,894 2,958 Invesco Ltd. 58,420 4,309 Investment Technology Group, Inc. (b) 96,306 6,166 Janus Capital Group, Inc. 84,228 3,295 Jefferies Group, Inc. (b) 75,324 2,465 Morgan Stanley 70,252 5,105 Raymond James Financial, Inc. 104,755 1,948 SEI Investments Co. 36,817 745 State Street Corp. 37,473 422 T. Rowe Price Group, Inc. 19,712 3,006 TD Ameritrade Holding Corp. (b) 55,731 3,332 Waddell & Reed Financial, Inc., Class A 94,529 ----------- 1,102,281 ----------- COMMERCIAL BANKS -- 11.3% 5,623 Associated Banc-Corp. 60,953 1,712 BancorpSouth, Inc. 38,520 981 Bank of Hawaii Corp. 37,641 3,198 BB&T Corp. 73,170 466 BOK Financial Corp. 19,521 3,601 CapitalSource, Inc. 16,709 954 City National Corp. 37,626 2,493 Comerica, Inc. 59,433 1,104 Commerce Bancshares, Inc. 40,473 381 Cullen/Frost Bankers, Inc. 18,299 526 First Citizens BancShares, Inc., Class A 74,708 3,373 Fulton Financial Corp. 22,801 8,408 Huntington Bancshares, Inc. 34,389 1,380 M&T Bank Corp. 80,482 3,661 Marshall & Ilsley Corp. 22,112 453 PNC Financial Services Group, Inc. 16,607 5,341 SunTrust Banks, Inc. 104,149 1,314 TCF Financial Corp. 18,580 981 U.S. Bancorp 20,022 1,449 Wells Fargo & Co. 35,443 9,592 Whitney Holding Corp. 84,026 1,520 Zions Bancorporation 20,642 ----------- 936,306 ----------- CONSUMER FINANCE -- 5.4% 2,268 American Express Co. 64,253 6,484 AmeriCredit Corp. (b) 101,734 1,606 Capital One Financial Corp. 49,304 8,555 Discover Financial Services 101,633 5,133 SLM Corp. (b) 45,632 SHARES DESCRIPTION VALUE -------------------------------------------------------------- CONSUMER FINANCE (Continued) 1,890 Student Loan (The) Corp. $ 84,956 ----------- 447,512 ----------- DIVERSIFIED FINANCIAL SERVICES -- 6.6% 3,994 Bank of America Corp. 59,071 40,867 CIT Group, Inc. 35,554 282 CME Group, Inc. 78,630 4,526 Interactive Brokers Group, Inc., Class A (b) 85,044 769 IntercontinentalExchange, Inc. (b) 72,332 515 JPMorgan Chase & Co. 19,905 2,876 MSCI, Inc., Class A (b) 80,384 3,298 NASDAQ OMX Group (The), Inc. (b) 69,687 1,935 NYSE Euronext 52,148 ----------- 552,755 ----------- INSURANCE -- 25.5% 1,130 Aflac, Inc. 42,782 65 Alleghany Corp. (b) 17,582 1,291 Allied World Assurance Holdings Ltd. 56,107 3,257 American Financial Group, Inc. 79,438 464 Aon Corp. 18,305 900 Arch Capital Group Ltd. (b) 55,971 823 Arthur J. Gallagher & Co. 18,847 2,360 Aspen Insurance Holdings Ltd. 58,693 3,647 Assurant, Inc. 93,071 2,685 Axis Capital Holdings Ltd. 76,415 1,763 Brown & Brown, Inc. 33,814 2,203 Chubb (The) Corp. 101,734 3,145 Cincinnati Financial Corp. 75,952 3,408 CNA Financial Corp. 58,106 1,799 Endurance Specialty Holdings Ltd. 60,033 246 Everest Re Group Ltd. 19,734 2,035 First American Corp. 60,134 12,570 Genworth Financial, Inc., Class A 86,733 1,383 Hanover Insurance Group, Inc. 54,366 2,928 HCC Insurance Holdings, Inc. 73,493 2,042 Lincoln National Corp. 43,270 2,928 MetLife, Inc. 99,406 2,198 Odyssey Re Holdings Corp. 101,548 933 Principal Financial Group, Inc. 22,112 2,326 Progressive (The) Corp. (b) 36,239 1,536 Protective Life Corp. 22,963 1,889 Prudential Financial, Inc. 83,626 1,510 Reinsurance Group of America, Inc. 62,665 1,838 StanCorp Financial Group, Inc. 63,264 1,898 Torchmark Corp. 74,136 811 Transatlantic Holdings, Inc. 38,368 2,141 Travelers (The) Cos., Inc. 92,213 1,462 Unitrin, Inc. 19,284 4,432 Unum Group 83,189 1,599 Validus Holdings Ltd. 36,297 2,455 W.R. Berkley Corp. 57,030 121 Wesco Financial Corp. 36,899 ----------- 2,113,819 ----------- Page 44 See Notes to Financial Statements FIRST TRUST FINANCIALS ALPHADEX(R) FUND Portfolio of Investments (a) (Continued) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (Continued) IT SERVICES -- 5.7% 2,120 Broadridge Financial Solutions, Inc. $ 36,612 4,402 Fidelity National Information Services, Inc. 103,095 1,538 Fiserv, Inc. (b) 72,917 1,407 Global Payments, Inc. 59,516 3,398 Metavante Technologies, Inc. (b) 104,658 6,562 Total System Services, Inc. 96,330 ----------- 473,128 ----------- MEDIA -- 1.1% 2,278 Interactive Data Corp. 51,825 852 Morningstar, Inc. (b) 37,735 ----------- 89,560 ----------- PROFESSIONAL SERVICES -- 1.0% 216 Dun & Bradstreet (The) Corp. 15,550 2,693 Equifax, Inc. 70,152 ----------- 85,702 ----------- REAL ESTATE INVESTMENT TRUSTS -- 24.9% 2,455 Alexandria Real Estate Equities, Inc. 93,560 934 AMB Property Corp. 18,503 7,942 Apartment Investment & Management Co. 74,496 314 AvalonBay Communities, Inc. 18,275 11,794 Brandywine Realty Trust 96,475 2,219 BRE Properties, Inc. 52,657 1,273 Camden Property Trust 37,566 599 Corporate Office Properties Trust 20,312 1,471 Digital Realty Trust, Inc. 59,649 9,774 Douglas Emmett, Inc. 99,304 10,019 Duke Realty Corp. 95,080 1,581 Equity Residential 37,944 282 Essex Property Trust, Inc. 18,333 2,488 HCP, Inc. 64,091 1,546 Health Care REIT, Inc. 61,933 7,390 Hospitality Properties Trust 116,688 10,472 Host Hotels & Resorts, Inc. 95,086 21,641 HRPT Properties Trust 104,310 6,994 Kimco Realty Corp. 68,821 3,051 Liberty Property Trust 84,726 4,989 Macerich (The) Co. 98,134 3,083 Mack-Cali Realty Corp. 86,046 683 Nationwide Health Properties, Inc. 19,821 4,360 ProLogis 38,324 1,450 Rayonier, Inc. 56,535 1,603 Realty Income Corp. 37,799 503 Regency Centers Corp. 16,136 3,230 Senior Housing Properties Trust 60,272 3,064 SL Green Realty Corp. 78,990 2,617 Taubman Centers, Inc. 69,638 5,103 UDR, Inc. 53,326 1,177 Ventas, Inc. 41,548 780 Vornado Realty Trust 39,796 3,633 Weingarten Realty Investors 56,057 ----------- 2,070,231 ----------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 3.4% 9,387 CB Richard Ellis Group, Inc., Class A (b) $ 102,318 10,650 Forest City Enterprises, Inc., Class A 76,041 2,685 Jones Lang LaSalle, Inc. 101,923 ----------- 280,282 ----------- SOFTWARE -- 0.5% 705 FactSet Research Systems, Inc. 39,974 ----------- THRIFTS & MORTGAGE FINANCE -- 1.6% 3,078 First Niagara Financial Group, Inc. 40,476 1,322 Hudson City Bancorp, Inc. 18,587 1,644 New York Community Bancorp, Inc. 17,985 1,168 People's United Financial, Inc. 18,980 2,704 Washington Federal, Inc. 37,667 ----------- 133,695 ----------- TOTAL COMMON STOCKS -- 100.3% (Cost $7,513,943) 8,325,245 MONEY MARKET FUND -- 0.5% 38,820 Morgan Stanley Institutional Treasury Money Market Fund- 0.01% (c) (Cost $38,820) 38,820 ----------- TOTAL INVESTMENTS -- 100.8% (Cost $7,552,763) (d) 8,364,065 NET OTHER ASSETS AND LIABILITIES -- (0.8)% (68,777) ----------- NET ASSETS -- 100.0% $ 8,295,288 =========== (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 July 31, 2009. (d) Aggregate cost for federal income tax purposes is $7,808,287. As of July 31, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $1,011,941 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $456,163. See Notes to Financial Statements Page 45 FIRST TRUST FINANCIALS ALPHADEX(R) FUND Portfolio of Investments (a) (Continued) July 31, 2009 ______________________ Valuation Inputs A summary of the inputs used to value the Fund's investments as of July 31, 2009 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs Investments Level 1 Level 2 Level 3 __________________________________________________________________ Common Stocks* $ 8,325,245 $ -- $ -- Money Market Fund 38,820 -- -- __________________________________________ Total Investments $ 8,364,065 $ -- $ -- ========================================== * See Portfolio of Investments for industry breakout. Page 46 See Notes to Financial Statements FIRST TRUST HEALTH CARE ALPHADEX(R) FUND Portfolio of Investments (a) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 100.3% BIOTECHNOLOGY -- 4.0% 3,011 Alexion Pharmaceuticals, Inc. (b) $ 132,635 8,007 Dendreon Corp. (b) 193,849 1,736 Myriad Genetics, Inc. (b) 47,601 2,388 United Therapeutics Corp. (b) 221,177 ----------- 595,262 ----------- HEALTH CARE EQUIPMENT & SUPPLIES -- 19.0% 2,167 Beckman Coulter, Inc. 136,499 6,105 Boston Scientific Corp. (b) 65,568 10,013 Cooper (The) Cos., Inc. 274,757 2,028 DENTSPLY International, Inc. 67,634 1,820 Edwards Lifesciences Corp. (b) 119,046 12,267 Hill-Rom Holdings, Inc. 210,256 4,350 Hologic, Inc. (b) 63,902 5,165 Hospira, Inc. (b) 198,491 5,360 IDEXX Laboratories, Inc. (b) 267,035 1,216 Intuitive Surgical, Inc. (b) 276,421 9,320 Inverness Medical Innovations, Inc. (b) 313,618 9,087 Kinetic Concepts, Inc. (b) 287,331 1,774 Medtronic, Inc. 62,835 3,040 ResMed, Inc. (b) 124,640 3,012 St. Jude Medical, Inc. (b) 113,583 5,812 Zimmer Holdings, Inc. (b) 270,839 ----------- 2,852,455 ----------- HEALTH CARE PROVIDERS & SERVICES -- 44.6% 7,943 Aetna, Inc. 214,223 6,979 AmerisourceBergen Corp. 137,626 8,105 Cardinal Health, Inc. 269,897 13,766 CIGNA Corp. 390,954 13,134 Community Health Systems, Inc. (b) 371,955 17,724 Coventry Health Care, Inc. (b) 407,652 2,503 DaVita, Inc. (b) 124,399 4,824 Express Scripts, Inc. (b) 337,873 67,130 Health Management Associates, Inc., Class A (b) 404,794 7,962 Health Net, Inc. (b) 107,726 5,164 Henry Schein, Inc. (b) 265,326 7,675 Humana, Inc. (b) 252,124 1,826 Laboratory Corp. of America Holdings (b) 122,689 9,433 LifePoint Hospitals, Inc. (b) 260,917 14,100 Lincare Holdings, Inc. (b) 369,138 5,628 McKesson Corp. 287,872 5,429 Medco Health Solutions, Inc. (b) 286,977 5,877 MEDNAX, Inc. (b) 272,399 4,806 Omnicare, Inc. 114,719 2,853 Patterson Cos., Inc. (b) 72,352 2,194 Quest Diagnostics, Inc. 119,836 117,596 Tenet Healthcare Corp. (b) 464,504 7,965 UnitedHealth Group, Inc. 223,498 5,069 Universal Health Services, Inc., Class B 281,887 SHARES DESCRIPTION VALUE -------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES (Continued) 7,452 VCA Antech, Inc. (b) $ 190,622 6,516 WellPoint, Inc. (b) 343,002 ----------- 6,694,961 ----------- HEALTH CARE TECHNOLOGY -- 6.0% 20,909 Allscripts-Misys Healthcare Solutions, Inc. 360,262 5,324 Cerner Corp. (b) 346,486 4,725 HLTH Corp. (b) 69,363 9,748 IMS Health, Inc. 116,976 ----------- 893,087 ----------- INTERNET SOFTWARE & SERVICES -- 2.5% 11,084 WebMD Health Corp., Class A (b) 370,316 ----------- LIFE SCIENCES TOOLS & SERVICES -- 8.0% 2,636 Bio-Rad Laboratories, Inc., Class A (b) 204,132 1,834 Charles River Laboratories International, Inc. (b) 60,650 1,258 Covance, Inc. (b) 69,379 3,179 Illumina, Inc. (b) 114,889 7,949 Life Technologies Corp. (b) 361,918 1,763 Millipore Corp. (b) 122,705 11,435 PerkinElmer, Inc. 201,599 1,518 Thermo Fisher Scientific, Inc. (b) 68,735 ----------- 1,204,007 ----------- PHARMACEUTICALS -- 16.2% 1,301 Allergan, Inc. 69,512 3,048 Bristol-Myers Squibb Co. 66,264 18,506 Endo Pharmaceuticals Holdings, Inc. (b) 388,811 9,861 Forest Laboratories, Inc. (b) 254,710 2,180 Johnson & Johnson 132,740 7,116 Merck & Co., Inc. 213,551 18,974 Mylan, Inc. (b) 250,267 2,228 Perrigo Co. 60,468 13,265 Pfizer, Inc. 211,311 9,857 Schering-Plough Corp. 261,309 11,488 Sepracor, Inc. (b) 199,317 2,407 Valeant Pharmaceuticals International (b) 62,101 5,906 Watson Pharmaceuticals, Inc. (b) 205,115 1,364 Wyeth 63,494 ----------- 2,438,970 ----------- TOTAL COMMON STOCKS -- 100.3% (Cost $12,655,494) 15,049,058 MONEY MARKET FUND -- 0.2% 36,950 Morgan Stanley Institutional Treasury Money Market Fund- 0.01% (c) (Cost $36,950) 36,950 ----------- See Notes to Financial Statements Page 47 FIRST TRUST HEALTH CARE ALPHADEX(R) FUND Portfolio of Investments (a) (Continued) July 31, 2009 DESCRIPTION VALUE -------------------------------------------------------------- TOTAL INVESTMENTS -- 100.5% (Cost $12,692,444) (d) $15,086,008 NET OTHER ASSETS AND LIABILITIES -- (0.5)% (70,760) ----------- NET ASSETS -- 100.0% $15,015,248 =========== (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 July 31, 2009. (d) Aggregate cost for federal income tax purposes is $12,942,138. As of July 31, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $2,310,861 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $166,991. ______________________ Valuation Inputs A summary of the inputs used to value the Fund's investments as of July 31, 2009 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs Investments Level 1 Level 2 Level 3 __________________________________________________________________ Common Stocks* $15,049,058 $ -- $ -- Money Market Fund 36,950 -- -- __________________________________________ Total Investments $15,086,008 $ -- $ -- ========================================== * See Portfolio of Investments for industry breakout. Page 48 See Notes to Financial Statements FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND Portfolio of Investments (a) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 100.6% AEROSPACE & DEFENSE -- 9.9% 421 Alliant Techsystems, Inc. (b) $ 33,141 6,375 BE Aerospace, Inc. (b) 103,020 626 General Dynamics Corp. 34,674 1,832 Goodrich Corp. 94,091 780 ITT Corp. 38,532 750 L-3 Communications Holdings, Inc. 56,625 781 Raytheon Co. 36,668 416 Rockwell Collins, Inc. 17,555 6,662 Spirit AeroSystems Holdings, Inc., Class A (b) 86,673 479 TransDigm Group, Inc. (b) 18,341 334 United Technologies Corp. 18,193 ----------- 537,513 ----------- AIR FREIGHT & LOGISTICS -- 1.8% 665 C.H. Robinson Worldwide, Inc. 36,263 936 FedEx Corp. 63,498 ----------- 99,761 ----------- AIRLINES -- 1.9% 4,315 AMR Corp. (b) 23,085 5,991 Delta Air Lines, Inc. (b) 41,518 5,155 Southwest Airlines Co. 40,467 ----------- 105,070 ----------- CHEMICALS -- 1.8% 5,436 Nalco Holding Co. 96,163 ----------- COMMERCIAL SERVICES & SUPPLIES -- 6.8% 2,026 Avery Dennison Corp. 54,155 3,038 Cintas Corp. 76,497 500 Copart, Inc. (b) 17,655 2,042 Corrections Corp. of America (b) 35,245 2,413 Iron Mountain, Inc. (b) 70,484 2,985 R.R. Donnelley & Sons Co. 41,491 711 Republic Services, Inc. 18,913 669 Waste Connections, Inc. (b) 18,872 1,232 Waste Management, Inc. 34,632 ----------- 367,944 =========== COMPUTERS & PERIPHERALS -- 1.5% 5,776 Lexmark International, Inc., Class A (b) 83,636 ----------- CONSTRUCTION & ENGINEERING -- 5.4% 2,168 Aecom Technology Corp. (b) 70,243 1,353 Fluor Corp. 71,439 1,881 KBR, Inc. 39,858 633 Shaw Group (The), Inc. (b) 18,636 1,849 URS Corp. (b) 93,559 ----------- 293,735 =========== ELECTRICAL EQUIPMENT -- 5.7% 1,676 Cooper Industries Ltd., Class A 55,224 2,164 Hubbell, Inc., Class B 80,761 SHARES DESCRIPTION VALUE -------------------------------------------------------------- ELECTRICAL EQUIPMENT (Continued) 1,620 Rockwell Automation, Inc. $ 67,084 383 Roper Industries, Inc. 18,315 3,172 Thomas & Betts Corp. (b) 84,502 ----------- 305,886 ----------- ENERGY EQUIPMENT & SERVICES -- 1.8% 2,135 Tidewater, Inc. 96,075 ----------- HEALTH CARE EQUIPMENT & SUPPLIES -- 0.3% 387 Teleflex, Inc. 18,560 ----------- INDUSTRIAL CONGLOMERATES -- 5.4% 2,165 Carlisle Cos., Inc. 67,829 4,440 General Electric Co. 59,496 3,416 McDermott International, Inc. (b) 66,749 7,182 Textron, Inc. 96,526 ----------- 290,600 ----------- IT SERVICES -- 2.6% 1,037 Accenture Ltd., Class A 36,368 1,869 Convergys Corp. (b) 20,017 5,905 Genpact Ltd. (b) 82,788 ----------- 139,173 ----------- LIFE SCIENCES TOOLS & SERVICES -- 1.7% 674 Mettler-Toledo International, Inc. (b) 56,656 674 Waters Corp. (b) 33,869 ----------- 90,525 ----------- MACHINERY -- 30.7% 2,387 AGCO Corp. (b) 75,095 3,205 Bucyrus International, Inc. 94,483 1,050 Caterpillar, Inc. 46,263 1,555 Crane Co. 32,997 1,478 Cummins, Inc. 63,569 281 Danaher Corp. 17,208 868 Deere & Co. 37,966 501 Donaldson Co., Inc. 19,043 2,097 Dover Corp. 71,319 2,052 Eaton Corp. 106,540 497 Flowserve Corp. 40,143 3,637 Gardner Denver, Inc. (b) 106,164 788 Graco, Inc. 19,495 2,452 Harsco Corp. 67,454 706 IDEX Corp. 19,260 465 Illinois Tool Works, Inc. 18,856 1,942 Joy Global, Inc. 72,204 3,617 Kennametal, Inc. 77,114 2,540 Lincoln Electric Holdings, Inc. 107,645 17,404 Manitowoc (The) Co., Inc. 107,557 3,579 Oshkosh Corp. 98,244 534 PACCAR, Inc. 18,503 1,615 Parker Hannifin Corp. 71,512 2,031 Pentair, Inc. 55,487 1,063 SPX Corp. 56,148 See Notes to Financial Statements Page 49 FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND Portfolio of Investments (a) (Continued) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (Continued) MACHINERY (Continued) 4,311 Terex Corp. (b) $ 65,441 6,721 Trinity Industries, Inc. 93,825 ----------- 1,659,535 ----------- MARINE -- 3.1% 2,960 Alexander & Baldwin, Inc. 86,491 2,182 Kirby Corp. (b) 80,756 ----------- 167,247 ----------- OFFICE ELECTRONICS -- 1.6% 8,030 Xerox Corp. 65,766 733 Zebra Technologies Corp., Class A (b) 17,914 ----------- 83,680 ----------- OIL, GAS & CONSUMABLE FUELS -- 4.1% 3,758 Frontline Ltd. 85,946 2,689 Overseas Shipholding Group, Inc. 92,367 2,474 Teekay Corp. 44,037 ----------- 222,350 ----------- PROFESSIONAL SERVICES -- 1.7% 2,937 Monster Worldwide, Inc. (b) 38,269 2,203 Robert Half International, Inc. 54,612 ----------- 92,881 ----------- ROAD & RAIL -- 10.8% 236 Burlington Northern Santa Fe Corp. 18,547 2,593 Con-way, Inc. 118,111 1,503 CSX Corp. 60,300 1,704 J.B. Hunt Transport Services, Inc. 47,627 5,682 Kansas City Southern (b) 115,402 1,842 Norfolk Southern Corp. 79,667 2,485 Ryder System, Inc. 87,298 1,000 Union Pacific Corp. 57,520 ----------- 584,472 ----------- TRADING COMPANIES & DISTRIBUTORS -- 2.0% 2,697 GATX Corp. 68,018 424 W.W. Grainger, Inc. 38,122 ----------- 106,140 ----------- TOTAL COMMON STOCKS -- 100.6% (Cost $4,605,308) 5,440,946 MONEY MARKET FUND -- 0.6% 33,671 Morgan Stanley Institutional Treasury Money Market Fund- 0.01% (c) (Cost $33,671) 33,671 ----------- TOTAL INVESTMENTS -- 101.2% (Cost $4,638,979) (d) $ 5,474,617 NET OTHER ASSETS AND LIABILITIES -- (1.2)% (62,949) ----------- NET ASSETS -- 100.0% $ 5,411,668 =========== (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 July 31, 2009. (d) Aggregate cost for federal income tax purposes is $4,858,562. As of July 31, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $740,440 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $124,385. _____________________ Valuation Inputs A summary of the inputs used to value the Fund's investments as of July 31, 2009 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs Investments Level 1 Level 2 Level 3 __________________________________________________________________ Common Stocks* $ 5,440,946 $ -- $ -- Money Market Fund 33,671 -- -- __________________________________________ Total Investments $ 5,474,617 $ -- $ -- ========================================== * See Portfolio of Investments for industry breakout. Page 50 See Notes to Financial Statements FIRST TRUST MATERIALS ALPHADEX(R) FUND Portfolio of Investments (a) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 100.4% AEROSPACE & DEFENSE -- 1.2% 1,481 Precision Castparts Corp. $ 118,199 ----------- BUILDING PRODUCTS -- 6.0% 13,115 Armstrong World Industries, Inc. (b) 322,629 5,556 Lennox International, Inc. 193,627 4,230 Owens Corning, Inc. (b) 77,747 ----------- 594,003 ----------- CHEMICALS -- 40.4% 4,402 Airgas, Inc. 196,241 4,229 Albemarle Corp. 125,644 10,601 Ashland, Inc. 351,317 17,191 Cabot Corp. 314,595 9,106 Celanese Corp., Class A 234,024 2,917 CF Industries Holdings, Inc. 230,268 11,054 Dow Chemical (The) Co. 234,013 2,110 E.I. du Pont de Nemours & Co. 65,262 5,706 Eastman Chemical Co. 283,360 2,773 Ecolab, Inc. 115,107 2,286 FMC Corp. 111,191 59,117 Huntsman Corp. 362,979 1,652 International Flavors & Fragrances, Inc. 58,250 1,925 Intrepid Potash, Inc. (b) 48,626 6,285 Lubrizol (The) Corp. 364,090 2,463 PPG Industries, Inc. 135,465 3,851 RPM International, Inc. 61,462 3,085 Scotts Miracle-Gro (The) Co., Class A 120,469 3,600 Sigma-Aldrich Corp. 182,700 12,277 Terra Industries, Inc. 357,997 2,400 Valspar (The) Corp. 60,768 ----------- 4,013,828 ----------- CONSTRUCTION MATERIALS -- 1.2% 2,509 Vulcan Materials Co. 119,127 ----------- CONTAINERS & PACKAGING -- 17.2% 5,283 AptarGroup, Inc. 184,482 2,394 Ball Corp. 115,774 4,291 Bemis Co., Inc. 112,939 7,391 Crown Holdings, Inc. (b) 185,514 4,891 Greif, Inc., Class A 251,055 6,370 Owens-Illinois, Inc. (b) 216,198 11,013 Packaging Corp. of America 216,626 9,966 Pactiv Corp. (b) 250,944 2,930 Sealed Air Corp. 53,883 4,515 Sonoco Products Co. 119,557 ----------- 1,706,972 ----------- ELECTRICAL EQUIPMENT -- 0.6% 1,439 General Cable Corp. (b) 55,790 ----------- MACHINERY -- 5.7% 17,410 Timken (The) Co. 354,816 3,000 Valmont Industries, Inc. 215,460 ----------- 570,276 ----------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- METALS & MINING -- 24.0% 6,191 Allegheny Technologies, Inc. $ 167,652 14,289 Carpenter Technology Corp. 267,061 12,152 Cliffs Natural Resources, Inc. 332,843 11,130 Commercial Metals Co. 184,090 985 Compass Minerals International, Inc. 52,392 1,079 Freeport-McMoRan Copper & Gold, Inc. 65,064 4,867 Nucor Corp. 216,436 7,746 Reliance Steel & Aluminum Co. 261,118 5,625 Schnitzer Steel Industries, Inc., Class A 302,456 23,532 Titanium Metals Corp. 196,963 8,320 United States Steel Corp. 330,720 ----------- 2,376,795 ----------- PAPER & FOREST PRODUCTS -- 3.5% 7,147 International Paper Co. 134,435 10,872 MeadWestvaco Corp. 211,895 ----------- 346,330 ----------- SPECIALTY RETAIL -- 0.6% 1,006 Sherwin-Williams (The) Co. 58,097 ----------- TOTAL COMMON STOCKS -- 100.4% (Cost $7,963,955) 9,959,417 MONEY MARKET FUND -- 0.5% 46,512 Morgan Stanley Institutional Treasury Money Market Fund- 0.01% (c) (Cost $46,512) 46,512 ----------- TOTAL INVESTMENTS -- 100.9% (Cost $8,010,467) (d) 10,005,929 NET OTHER ASSETS AND LIABILITIES -- (0.9)% (83,937) ----------- NET ASSETS -- 100.0% $ 9,921,992 =========== (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 July 31, 2009. (d) Aggregate cost for federal income tax purposes is $8,719,210. As of July 31, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $1,469,547 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $182,828. See Notes to Financial Statements Page 51 FIRST TRUST MATERIALS ALPHADEX(R) FUND Portfolio of Investments (a) (Continued) July 31, 2009 _____________________ Valuation Inputs A summary of the inputs used to value the Fund's investments as of July 31, 2009 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs Investments Level 1 Level 2 Level 3 __________________________________________________________________ Common Stocks* $ 9,959,417 $ -- $ -- Money Market Fund 46,512 -- -- __________________________________________ Total Investments $10,005,929 $ -- $ -- ========================================== * See Portfolio of Investments for industry breakout. Page 52 See Notes to Financial Statements FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND Portfolio of Investments (a) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 100.3% COMMUNICATIONS EQUIPMENT -- 12.7% 30,156 Brocade Communications Systems, Inc. (b) $ 237,026 8,578 Ciena Corp. (b) 95,730 2,381 Cisco Systems, Inc. (b) 52,406 6,818 F5 Networks, Inc. (b) 253,084 4,696 Harris Corp. 147,032 23,282 JDS Uniphase Corp. (b) 136,433 9,993 Juniper Networks, Inc. (b) 261,117 35,569 Motorola, Inc. 254,674 2,946 QUALCOMM, Inc. 136,135 ----------- 1,573,637 ----------- COMPUTERS & PERIPHERALS -- 16.2% 1,656 Apple, Inc. (b) 270,574 12,932 Dell, Inc. (b) 173,030 3,368 Diebold, Inc. 93,361 10,166 EMC Corp. (b) 153,100 3,446 Hewlett-Packard Co. 149,212 850 International Business Machines Corp. 100,240 3,752 NCR Corp. (b) 48,551 9,004 NetApp, Inc. (b) 202,230 3,501 QLogic Corp. (b) 45,688 6,044 SanDisk Corp. (b) 107,704 16,975 Seagate Technology 204,379 7,578 Teradata Corp. (b) 186,191 8,899 Western Digital Corp. (b) 269,195 ----------- 2,003,455 ----------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 11.9% 2,806 Amphenol Corp., Class A 93,580 8,360 Arrow Electronics, Inc. (b) 215,437 8,443 Avnet, Inc. (b) 206,009 17,881 AVX Corp. 196,512 14,684 Corning, Inc. 249,628 2,381 Dolby Laboratories, Inc., Class A (b) 99,121 11,965 Jabil Circuit, Inc. 109,599 2,855 Molex, Inc. 50,705 34,731 Vishay Intertechnology, Inc. (b) 246,938 ----------- 1,467,529 ----------- INTERNET SOFTWARE & SERVICES -- 4.9% 2,441 Equinix, Inc. (b) 199,503 316 Google, Inc., Class A (b) 140,004 3,753 Sohu.com, Inc. (b) 229,571 2,835 Yahoo!, Inc. (b) 40,597 ----------- 609,675 ----------- IT SERVICES -- 9.4% 3,997 Affiliated Computer Services, Inc., Class A (b) 189,498 SHARES DESCRIPTION VALUE -------------------------------------------------------------- IT SERVICES (Continued) 4,139 Amdocs Ltd. (b) $ 99,005 6,650 Cognizant Technology Solutions Corp., Class A (b) 196,773 5,323 Computer Sciences Corp. (b) 256,409 2,403 DST Systems, Inc. (b) 106,525 8,013 NeuStar, Inc., Class A (b) 181,735 7,179 SAIC, Inc. (b) 129,868 ----------- 1,159,813 ----------- PROFESSIONAL SERVICES -- 0.7% 1,780 IHS, Inc., Class A (b) 88,893 ----------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 22.3% 45,881 Advanced Micro Devices, Inc. (b) 167,924 1,791 Analog Devices, Inc. 49,020 4,047 Applied Materials, Inc. 55,849 7,163 Broadcom Corp., Class A (b) 202,212 8,024 Cree, Inc. (b) 257,249 19,300 Cypress Semiconductor Corp. (b) 204,966 8,047 Intel Corp. 154,905 18,761 Intersil Corp., Class A 269,596 7,627 Marvell Technology Group Ltd. (b) 101,744 2,829 Maxim Integrated Products, Inc. 50,130 3,937 Microchip Technology, Inc. 106,023 35,091 Micron Technology, Inc. (b) 224,232 34,377 ON Semiconductor Corp. (b) 250,952 16,730 PMC-Sierra, Inc. (b) 153,080 6,216 Silicon Laboratories, Inc. (b) 266,231 19,413 Teradyne, Inc. (b) 152,974 2,084 Texas Instruments, Inc. 50,120 2,170 Xilinx, Inc. 47,067 ----------- 2,764,274 ----------- SOFTWARE -- 21.0% 4,706 Adobe Systems, Inc. (b) 152,569 1,425 ANSYS, Inc. (b) 44,546 1,314 BMC Software, Inc. (b) 44,715 5,094 CA, Inc. 107,687 7,524 Cadence Design Systems, Inc. (b) 44,392 7,395 Citrix Systems, Inc. (b) 263,262 19,413 Compuware Corp. (b) 142,297 6,131 Electronic Arts, Inc. (b) 131,633 1,576 Intuit, Inc. (b) 46,807 4,209 McAfee, Inc. (b) 187,637 7,013 MICROS Systems, Inc. (b) 192,086 5,602 Microsoft Corp. 131,759 7,343 Nuance Communications, Inc. (b) 96,928 6,217 Oracle Corp. 137,582 6,616 Red Hat, Inc. (b) 151,043 10,813 Rovi Corp. (b) 282,868 1,163 Salesforce.com, Inc. (b) 50,404 2,833 Sybase, Inc. (b) 101,421 2,853 Symantec Corp. (b) 42,595 6,826 Synopsys, Inc. (b) 136,384 3,256 VMware, Inc., Class A (b) 104,941 ----------- 2,593,556 ----------- See Notes to Financial Statements Page 53 FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND Portfolio of Investments (a) (Continued) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (Continued) WIRELESS TELECOMMUNICATION SERVICES -- 1.2% 1,848 Crown Castle International Corp. (b) $ 53,111 3,618 SBA Communications Corp., Class A (b) 94,395 ----------- 147,506 ----------- TOTAL COMMON STOCKS -- 100.3% (Cost $10,654,644) 12,408,338 MONEY MARKET FUND -- 0.3% 34,832 Morgan Stanley Institutional Treasury Money Market Fund- 0.01% (c) (Cost $34,832) 34,832 ----------- TOTAL INVESTMENTS -- 100.6% (Cost $10,689,476) (d) 12,443,170 NET OTHER ASSETS AND LIABILITIES -- (0.6)% (68,757) ----------- NET ASSETS -- 100.0% $12,374,413 =========== (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 July 31, 2009. (d) Aggregate cost for federal income tax purposes is $10,917,497. As of July 31, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $1,629,953 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $104,280. ______________________ Valuation Inputs A summary of the inputs used to value the Fund's investments as of July 31, 2009 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs Investments Level 1 Level 2 Level 3 __________________________________________________________________ Common Stocks* $12,408,338 $ -- $ -- Money Market Fund 34,832 -- -- __________________________________________ Total Investments $12,443,170 $ -- $ -- ========================================== * See Portfolio of Investments for industry breakout. Page 54 See Notes to Financial Statements FIRST TRUST UTILITIES ALPHADEX(R) FUND Portfolio of Investments (a) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 100.1% DIVERSIFIED TELECOMMUNICATION SERVICES -- 5.4% 9,533 AT&T, Inc. $ 250,050 12,856 CenturyTel, Inc. 403,550 2,569 Verizon Communications, Inc. 82,388 ----------- 735,988 ----------- ELECTRIC UTILITIES -- 26.6% 6,155 Allegheny Energy, Inc. 155,168 10,929 American Electric Power Co., Inc. 338,362 3,407 DPL, Inc. 81,598 16,231 Duke Energy Corp. 251,256 10,036 Edison International 324,363 1,018 Entergy Corp. 81,776 6,111 FirstEnergy Corp. 251,773 1,388 FPL Group, Inc. 78,658 25,381 Great Plains Energy, Inc. 404,319 7,076 Northeast Utilities 162,819 29,263 NV Energy, Inc. 336,524 23,493 Pepco Holdings, Inc. 337,829 10,472 Pinnacle West Capital Corp. 334,685 4,173 Progress Energy, Inc. 164,583 2,533 Southern Co. 79,536 12,616 Westar Energy, Inc. 248,157 ----------- 3,631,406 ----------- GAS UTILITIES -- 9.8% 2,482 AGL Resources, Inc. 83,445 9,457 Atmos Energy Corp. 256,852 9,892 Energen Corp. 408,737 2,677 ONEOK, Inc. 88,609 12,707 Questar Corp. 420,220 3,097 UGI Corp. 81,885 ----------- 1,339,748 ----------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 16.6% 33,995 AES (The) Corp. (b) 434,796 35,397 Calpine Corp. (b) 455,913 173,867 Dynegy, Inc., Class A (b) 349,473 25,075 Mirant Corp. (b) 452,855 15,203 NRG Energy, Inc. (b) 413,674 3,916 Ormat Technologies, Inc. 155,034 ----------- 2,261,745 ----------- MULTI-UTILITIES -- 31.4% 12,084 Alliant Energy Corp. 316,117 15,857 Ameren Corp. 403,243 14,248 CenterPoint Energy, Inc. 171,688 26,138 CMS Energy Corp. 338,226 6,328 Consolidated Edison, Inc. 249,070 2,362 Dominion Resources, Inc. 79,836 9,867 DTE Energy Co. 340,017 7,896 Integrys Energy Group, Inc. 266,727 12,483 MDU Resources Group, Inc. 251,283 33,849 NiSource, Inc. 436,314 2,458 NSTAR 78,902 5,575 OGE Energy Corp. 167,807 SHARES DESCRIPTION VALUE -------------------------------------------------------------- MULTI-UTILITIES (Continued) 4,107 PG&E Corp. $ 165,800 7,293 SCANA Corp. 257,808 3,181 Sempra Energy 166,780 13,233 TECO Energy, Inc. 178,513 6,738 Vectren Corp. 165,485 1,939 Wisconsin Energy Corp. 83,319 8,575 Xcel Energy, Inc. 170,985 ----------- 4,287,920 ----------- OIL, GAS & CONSUMABLE FUELS -- 2.4% 17,169 Southern Union Co. 332,735 ----------- WIRELESS TELECOMMUNICATION SERVICES -- 7.9% 16,557 NII Holdings, Inc. (b) 381,142 49,232 Sprint Nextel Corp. (b) 196,928 11,157 Telephone and Data Systems, Inc. 287,181 6,159 United States Cellular Corp. (b) 220,616 ----------- 1,085,867 ----------- TOTAL COMMON STOCKS -- 100.1% (Cost $13,422,491) 13,675,409 MONEY MARKET FUND -- 0.3% 42,450 Morgan Stanley Institutional Treasury Money Market Fund- 0.01% (c) (Cost $42,450) 42,450 ----------- TOTAL INVESTMENTS -- 100.4% (Cost $13,464,941) (d) 13,717,859 NET OTHER ASSETS AND LIABILITIES -- (0.4)% (58,314) ----------- NET ASSETS -- 100.0% $13,659,545 =========== (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 July 31, 2009. (d) Aggregate cost for federal income tax purposes is $13,833,798. As of July 31, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $860,089 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $976,028. See Notes to Financial Statements Page 55 FIRST TRUST UTILITIES ALPHADEX(R) FUND Portfolio of Investments (a) (Continued) July 31, 2009 _____________________ Valuation Inputs A summary of the inputs used to value the Fund's investments as of July 31, 2009 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs Investments Level 1 Level 2 Level 3 __________________________________________________________________ Common Stocks* $13,675,409 $ -- $ -- Money Market Fund 42,450 -- -- __________________________________________ Total Investments $13,717,859 $ -- $ -- ========================================== * See Portfolio of Investments for industry breakout. Page 56 See Notes to Financial Statements FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND Portfolio of Investments (a) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 100.3% AEROSPACE & DEFENSE -- 2.8% 267 Boeing (The) Co. $ 11,457 818 General Dynamics Corp. 45,309 680 Goodrich Corp. 34,925 1,083 Honeywell International, Inc. 37,580 764 ITT Corp. 37,742 653 L-3 Communications Holdings, Inc. 49,301 281 Lockheed Martin Corp. 21,007 621 Precision Castparts Corp. 49,562 765 Raytheon Co. 35,917 815 Rockwell Collins, Inc. 34,393 436 United Technologies Corp. 23,749 ----------- 380,942 ----------- AIR FREIGHT & LOGISTICS -- 0.7% 652 C.H. Robinson Worldwide, Inc. 35,553 340 Expeditors International of Washington, Inc. 11,536 815 FedEx Corp. 55,290 ----------- 102,379 ----------- AIRLINES -- 0.3% 5,052 Southwest Airlines Co. 39,658 ----------- AUTOMOBILES -- 0.6% 3,496 Harley-Davidson, Inc. 79,010 ----------- BEVERAGES -- 1.3% 264 Brown-Forman Corp., Class B 11,603 236 Coca-Cola (The) Co. 11,762 2,674 Dr. Pepper Snapple Group, Inc. (b) 65,807 535 Molson Coors Brewing Co., Class B 24,187 1,675 Pepsi Bottling Group (The), Inc. 56,866 206 PepsiCo, Inc. 11,691 ----------- 181,916 ----------- BIOTECHNOLOGY -- 0.3% 400 Cephalon, Inc. (b) 23,460 242 Gilead Sciences, Inc. (b) 11,841 ----------- 35,301 ----------- CAPITAL MARKETS -- 1.3% 26,562 E*TRADE Financial Corp. (b) 39,843 941 Federated Investors, Inc., Class B 24,400 231 Goldman Sachs Group (The), Inc. 37,722 1,272 Invesco Ltd. 25,122 795 Morgan Stanley 22,658 480 State Street Corp. 24,144 ----------- 173,889 ----------- CHEMICALS -- 2.3% 175 Air Products and Chemicals, Inc. 13,055 764 CF Industries Holdings, Inc. 60,310 1,404 Dow Chemical (The) Co. 29,723 442 E.I. du Pont de Nemours & Co. 13,671 1,196 Eastman Chemical Co. 59,393 872 Ecolab, Inc. 36,197 693 International Flavors & Fragrances, Inc. 24,435 SHARES DESCRIPTION VALUE -------------------------------------------------------------- CHEMICALS (Continued) 152 Monsanto Co. $ 12,768 258 PPG Industries, Inc. 14,190 159 Praxair, Inc. 12,431 686 Sigma-Aldrich Corp. 34,814 ----------- 310,987 ----------- COMMERCIAL BANKS -- 1.2% 2,062 BB&T Corp. 47,179 536 Comerica, Inc. 12,778 2,833 First Horizon National Corp. (b) 36,319 668 M&T Bank Corp. 38,958 292 PNC Financial Services Group, Inc. 10,705 689 SunTrust Banks, Inc. 13,435 ----------- 159,374 ----------- COMMERCIAL SERVICES & SUPPLIES -- 1.9% 2,481 Cintas Corp. 62,471 1,971 Iron Mountain, Inc. (b) 57,573 517 Pitney Bowes, Inc. 10,676 1,951 R.R. Donnelley & Sons Co. 27,119 1,857 Republic Services, Inc. 49,396 440 Stericycle, Inc. (b) 22,528 1,207 Waste Management, Inc. 33,929 ----------- 263,692 ----------- COMMUNICATIONS EQUIPMENT -- 1.6% 2,401 Juniper Networks, Inc. (b) 62,738 8,547 Motorola, Inc. 61,196 1,003 QUALCOMM, Inc. 46,349 7,911 Tellabs, Inc. (b) 45,884 ----------- 216,167 ----------- COMPUTERS & PERIPHERALS -- 3.6% 398 Apple, Inc. (b) 65,029 3,302 Dell, Inc. (b) 44,181 3,461 EMC Corp. (b) 52,123 1,173 Hewlett-Packard Co. 50,791 217 International Business Machines Corp. 25,591 2,874 NetApp, Inc. (b) 64,550 2,681 QLogic Corp. (b) 34,987 1,543 SanDisk Corp. (b) 27,496 2,419 Teradata Corp. (b) 59,435 2,138 Western Digital Corp. (b) 64,674 ----------- 488,857 ----------- CONSTRUCTION & ENGINEERING -- 0.9% 1,105 Fluor Corp. 58,344 808 Jacobs Engineering Group, Inc. (b) 33,112 1,470 Quanta Services, Inc. (b) 34,266 ----------- 125,722 ----------- CONSUMER FINANCE -- 0.9% 1,463 American Express Co. 41,447 5,518 Discover Financial Services 65,554 2,207 SLM Corp. (b) 19,620 ----------- 126,621 ----------- See Notes to Financial Statements Page 57 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND Portfolio of Investments (a) (Continued) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (Continued) CONTAINERS & PACKAGING -- 1.5% 502 Ball Corp. $ 24,277 1,349 Bemis Co., Inc. 35,505 1,214 Owens-Illinois, Inc. (b) 41,203 2,089 Pactiv Corp. (b) 52,601 3,071 Sealed Air Corp. 56,476 ----------- 210,062 ----------- DISTRIBUTORS -- 0.3% 1,013 Genuine Parts Co. 35,880 ----------- DIVERSIFIED CONSUMER SERVICES -- 0.2% 159 Apollo Group, Inc., Class A (b) 10,978 226 DeVry, Inc. 11,241 658 H&R Block, Inc. 10,982 ----------- 33,201 ----------- DIVERSIFIED FINANCIAL SERVICES -- 1.7% 3,434 Bank of America Corp. 50,789 26,356 CIT Group, Inc. 22,930 146 CME Group, Inc. 40,709 496 IntercontinentalExchange, Inc. (b) 46,654 332 JPMorgan Chase & Co. 12,832 430 Moody's Corp. 10,208 1,595 NASDAQ OMX Group (The), Inc. (b) 33,702 416 NYSE Euronext 11,211 ----------- 229,035 ----------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.4% 1,825 AT&T, Inc. 47,870 1,846 CenturyTel, Inc. 57,946 3,175 Frontier Communications Corp. 22,225 2,731 Qwest Communications International, Inc. 10,542 1,106 Verizon Communications, Inc. 35,469 2,711 Windstream Corp. 23,775 ----------- 197,827 ----------- ELECTRIC UTILITIES -- 4.4% 1,767 Allegheny Energy, Inc. 44,546 1,961 American Electric Power Co., Inc. 60,713 3,107 Duke Energy Corp. 48,096 1,801 Edison International 58,208 439 Entergy Corp. 35,265 443 Exelon Corp. 22,531 1,170 FirstEnergy Corp. 48,204 598 FPL Group, Inc. 33,889 2,032 Northeast Utilities 46,756 4,216 Pepco Holdings, Inc. 60,626 1,504 Pinnacle West Capital Corp. 48,068 688 PPL Corp. 23,247 1,198 Progress Energy, Inc. 47,249 727 Southern (The) Co. 22,828 ----------- 600,226 ----------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- ELECTRICAL EQUIPMENT -- 0.8% 1,460 Cooper Industries Ltd., Class A $ 48,107 1,049 Emerson Electric Co. 38,163 706 Rockwell Automation, Inc. 29,235 ----------- 115,505 ----------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.8% 558 Agilent Technologies, Inc. (b) 12,957 716 Amphenol Corp., Class A 23,878 3,528 Corning, Inc. 59,976 729 Molex, Inc. 12,947 ----------- 109,758 ----------- ENERGY EQUIPMENT & SERVICES -- 3.9% 933 Baker Hughes, Inc. 37,786 2,494 BJ Services Co. 35,365 1,602 Cameron International Corp. (b) 50,030 546 Diamond Offshore Drilling, Inc. 49,069 650 ENSCO International, Inc. 24,629 1,206 FMC Technologies, Inc. (b) 52,461 2,190 Halliburton Co. 48,377 2,910 Nabors Industries Ltd. (b) 49,528 1,735 National Oilwell Varco, Inc. (b) 62,356 2,933 Rowan Cos., Inc. 62,561 628 Schlumberger Ltd. 33,598 1,320 Smith International, Inc. 33,172 ----------- 538,932 ----------- FOOD & STAPLES RETAILING -- 2.1% 248 Costco Wholesale Corp. 12,276 1,422 CVS Caremark Corp. 47,609 1,542 Kroger (The) Co. 32,968 2,782 Safeway, Inc. 52,663 1,008 Sysco Corp. 23,950 1,927 Walgreen Co. 59,833 234 Wal-Mart Stores, Inc. 11,672 1,791 Whole Foods Market, Inc. (b) 43,324 ----------- 284,295 ----------- FOOD PRODUCTS -- 2.6% 2,117 Archer-Daniels-Midland Co. 63,764 385 Campbell Soup Co. 11,947 1,189 ConAgra Foods, Inc. 23,340 1,772 Dean Foods Co. (b) 37,549 405 General Mills, Inc. 23,858 317 H. J. Heinz Co. 12,192 630 Hershey (The) Co. 25,168 1,312 Hormel Foods Corp. 47,114 466 J. M. Smucker (The) Co. 23,314 973 Kellogg Co. 46,217 447 Kraft Foods, Inc., Class A 12,668 697 McCormick & Co., Inc. 22,457 899 Tyson Foods, Inc., Class A 10,276 ----------- 359,864 ----------- Page 58 See Notes to Financial Statements FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND Portfolio of Investments (a) (Continued) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (Continued) GAS UTILITIES -- 0.3% 325 EQT Corp. $ 12,474 982 Nicor, Inc. 35,784 ----------- 48,258 ----------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.2% 428 Baxter International, Inc. 24,126 318 Becton, Dickinson & Co. 20,718 3,353 Boston Scientific Corp. (b) 36,011 304 C. R. Bard, Inc. 22,365 371 DENTSPLY International, Inc. 12,373 1,177 Hospira, Inc. (b) 45,232 277 Intuitive Surgical, Inc. (b) 62,968 325 Medtronic, Inc. 11,512 1,103 St. Jude Medical, Inc. (b) 41,594 285 Stryker Corp. 11,081 323 Varian Medical Systems, Inc. (b) 11,392 ----------- 299,372 ----------- HEALTH CARE PROVIDERS & SERVICES -- 4.8% 1,810 Aetna, Inc. 48,816 1,278 AmerisourceBergen Corp. 25,202 1,484 Cardinal Health, Inc. 49,417 470 CIGNA Corp. 13,348 3,029 Coventry Health Care, Inc. (b) 69,667 687 DaVita, Inc. (b) 34,144 824 Express Scripts, Inc. (b) 57,713 1,757 Humana, Inc. (b) 57,718 502 Laboratory Corp. of America Holdings (b) 33,729 515 McKesson Corp. 26,342 1,242 Medco Health Solutions, Inc. (b) 65,652 1,567 Patterson Cos., Inc. (b) 39,739 803 Quest Diagnostics, Inc. 43,860 8,038 Tenet Healthcare Corp. (b) 31,750 1,114 WellPoint, Inc. (b) 58,641 ----------- 655,738 ----------- HOTELS, RESTAURANTS & LEISURE -- 2.2% 2,199 Carnival Corp. 61,550 1,031 Darden Restaurants, Inc. 33,394 713 International Game Technology 14,082 2,054 Marriott International, Inc., Class A 44,243 394 McDonald's Corp. 21,694 4,080 Starbucks Corp. (b) 72,216 511 Starwood Hotels & Resorts Worldwide, Inc. 12,065 1,020 Yum! Brands, Inc. 36,169 ----------- 295,413 ----------- HOUSEHOLD DURABLES -- 1.9% 1,211 D.R. Horton, Inc. 14,036 326 Fortune Brands, Inc. 12,900 1,206 Harman International Industries, Inc. 29,764 744 Leggett & Platt, Inc. 12,908 SHARES DESCRIPTION VALUE -------------------------------------------------------------- HOUSEHOLD DURABLES (Continued) 1,972 Snap-on, Inc. $ 70,262 1,005 Stanley Works (The) 40,351 1,331 Whirlpool Corp. 75,987 ----------- 256,208 ----------- HOUSEHOLD PRODUCTS -- 0.7% 203 Clorox (The) Co. 12,385 481 Colgate-Palmolive Co. 34,844 432 Kimberly-Clark Corp. 25,250 444 Procter & Gamble (The) Co. 24,646 ----------- 97,125 ----------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.6% 2,928 AES (The) Corp. (b) 37,449 19,970 Dynegy, Inc., Class A (b) 40,140 ----------- 77,589 ----------- INDUSTRIAL CONGLOMERATES -- 0.7% 189 3M Co. 13,328 2,901 General Electric Co. 38,873 3,520 Textron, Inc. 47,309 ----------- 99,510 ----------- INSURANCE -- 2.9% 365 Aflac, Inc. 13,819 299 Aon Corp. 11,796 1,882 Assurant, Inc. 48,029 853 Chubb (The) Corp. 39,392 2,535 Cincinnati Financial Corp. 61,220 13,087 MBIA, Inc. (b) 54,834 755 MetLife, Inc. 25,632 602 Principal Financial Group, Inc. 14,267 750 Progressive (The) Corp. (b) 11,685 918 Torchmark Corp. 35,857 1,105 Travelers (The) Cos., Inc. 47,592 2,144 Unum Group 40,243 ----------- 404,366 ----------- INTERNET & CATALOG RETAIL -- 1.0% 677 Amazon.com, Inc. (b) 58,060 3,750 Expedia, Inc. (b) 77,662 ----------- 135,722 ----------- INTERNET SOFTWARE & SERVICES -- 0.6% 1,323 eBay, Inc. (b) 28,114 108 Google, Inc., Class A (b) 47,849 724 Yahoo!, Inc. (b) 10,368 ----------- 86,331 ----------- IT SERVICES -- 2.2% 1,021 Affiliated Computer Services, Inc., Class A (b) 48,406 2,122 Cognizant Technology Solutions Corp., Class A (b) 62,790 1,279 Computer Sciences Corp. (b) 61,610 1,703 Fidelity National Information Services, Inc. 39,884 See Notes to Financial Statements Page 59 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND Portfolio of Investments (a) (Continued) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (Continued) IT SERVICES (Continued) 1,240 Fiserv, Inc. (b) $ 58,788 1,382 Western Union Co. 24,157 ----------- 295,635 ----------- LEISURE EQUIPMENT & PRODUCTS -- 0.5% 1,403 Hasbro, Inc. 37,179 1,412 Mattel, Inc. 24,823 ----------- 62,002 ----------- LIFE SCIENCES TOOLS & SERVICES -- 1.5% 1,358 Life Technologies Corp. (b) 61,830 646 Millipore Corp. (b) 44,962 1,954 PerkinElmer, Inc. 34,449 834 Thermo Fisher Scientific, Inc. (b) 37,763 661 Waters Corp. (b) 33,215 ----------- 212,219 ----------- MACHINERY -- 2.6% 966 Cummins, Inc. 41,548 367 Danaher Corp. 22,475 567 Deere & Co. 24,801 1,370 Dover Corp. 46,594 1,270 Eaton Corp. 65,938 649 Flowserve Corp. 52,420 607 Illinois Tool Works, Inc. 24,614 697 PACCAR, Inc. 24,151 427 Pall Corp. 12,844 1,055 Parker Hannifin Corp. 46,715 ----------- 362,100 ----------- MEDIA -- 2.8% 3,911 Comcast Corp., Class A 58,117 1,835 DIRECTV Group (The), Inc. (b) 47,526 6,733 Interpublic Group of Cos. (The), Inc. (b) 35,079 753 McGraw-Hill (The) Cos., Inc. 23,607 1,331 Meredith Corp. 35,232 1,077 Omnicom Group, Inc. 36,618 814 Scripps Networks Interactive, Inc., Class A 26,276 1,997 Viacom, Inc., Class B (b) 46,251 1,943 Walt Disney (The) Co. 48,808 64 Washington Post (The) Co., Class B 28,896 ----------- 386,410 ----------- METALS & MINING -- 1.2% 1,097 Alcoa, Inc. 12,901 1,622 Allegheny Technologies, Inc. 43,924 226 Freeport-McMoRan Copper & Gold, Inc. 13,628 510 Nucor Corp. 22,680 1,233 Titanium Metals Corp. 10,320 1,586 United States Steel Corp. 63,043 ----------- 166,496 ----------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- MULTILINE RETAIL -- 2.4% 2,156 Big Lots, Inc. (b) $ 49,674 1,602 Family Dollar Stores, Inc. 50,335 1,184 J. C. Penney Co., Inc. 35,698 795 Kohl's Corp. (b) 38,597 1,709 Nordstrom, Inc. 45,186 852 Sears Holdings Corp. (b) 56,522 1,149 Target Corp. 50,119 ----------- 326,131 ----------- MULTI-UTILITIES -- 4.8% 2,277 Ameren Corp. 57,904 3,069 CenterPoint Energy, Inc. 36,981 4,691 CMS Energy Corp. 60,702 1,211 Consolidated Edison, Inc. 47,665 678 Dominion Resources, Inc. 22,916 1,771 DTE Energy Co. 61,029 4,860 NiSource, Inc. 62,645 1,179 PG&E Corp. 47,596 695 Public Service Enterprise Group, Inc. 22,553 1,396 SCANA Corp. 49,349 913 Sempra Energy 47,869 3,800 TECO Energy, Inc. 51,262 1,114 Wisconsin Energy Corp. 47,869 2,462 Xcel Energy, Inc. 49,092 ----------- 665,432 ----------- OFFICE ELECTRONICS -- 0.5% 8,745 Xerox Corp. 71,622 ----------- OIL, GAS & CONSUMABLE FUELS -- 6.2% 499 Anadarko Petroleum Corp. 24,052 740 Cabot Oil & Gas Corp. 25,996 1,715 Chesapeake Energy Corp. 36,770 269 ConocoPhillips 11,758 1,001 CONSOL Energy, Inc. 35,565 334 EOG Resources, Inc. 24,726 1,881 Marathon Oil Corp. 60,662 2,320 Massey Energy Co. 61,712 1,043 Murphy Oil Corp. 60,703 961 Noble Energy, Inc. 58,736 861 Occidental Petroleum Corp. 61,424 1,879 Peabody Energy Corp. 62,214 2,222 Pioneer Natural Resources Co. 63,438 274 Range Resources Corp. 12,716 1,459 Southwestern Energy Co. (b) 60,446 2,009 Spectra Energy Corp. 36,885 4,451 Tesoro Corp. 58,264 671 Valero Energy Corp. 12,078 3,630 Williams (The) Cos., Inc. 60,585 594 XTO Energy, Inc. 23,897 ----------- 852,627 ----------- PAPER & FOREST PRODUCTS -- 0.4% 2,763 MeadWestvaco Corp. 53,851 ----------- Page 60 See Notes to Financial Statements FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND Portfolio of Investments (a) (Continued) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (Continued) PERSONAL PRODUCTS -- 0.5% 1,319 Avon Products, Inc. $ 42,709 694 Estee Lauder (The) Cos., Inc., Class A 25,290 ----------- 67,999 ----------- PHARMACEUTICALS -- 2.1% 482 Abbott Laboratories 21,685 238 Allergan, Inc. 12,716 1,116 Bristol-Myers Squibb Co. 24,262 1,177 King Pharmaceuticals, Inc. (b) 10,675 1,216 Merck & Co., Inc. 36,492 4,342 Mylan, Inc. (b) 57,271 3,022 Pfizer, Inc. 48,141 451 Schering-Plough Corp. 11,956 1,346 Watson Pharmaceuticals, Inc. (b) 46,747 499 Wyeth 23,228 ----------- 293,173 ----------- PROFESSIONAL SERVICES -- 0.7% 140 Dun & Bradstreet (The) Corp. 10,079 2,879 Monster Worldwide, Inc. (b) 37,513 1,919 Robert Half International, Inc. 47,572 ----------- 95,164 ----------- REAL ESTATE INVESTMENT TRUSTS -- 0.7% 535 HCP, Inc. 13,782 332 Health Care REIT, Inc. 13,300 2,702 Host Hotels & Resorts, Inc. 24,534 2,255 Kimco Realty Corp. 22,189 381 Plum Creek Timber Co., Inc. 11,918 380 Ventas, Inc. 13,414 ----------- 99,137 ----------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.3% 3,632 CB Richard Ellis Group, Inc., Class A (b) 39,589 ----------- ROAD & RAIL -- 2.0% 462 Burlington Northern Santa Fe Corp. 36,308 1,309 CSX Corp. 52,517 1,504 Norfolk Southern Corp. 65,048 2,030 Ryder System, Inc. 71,314 871 Union Pacific Corp. 50,100 ----------- 275,287 ----------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.9% 11,714 Advanced Micro Devices, Inc. (b) 42,873 915 Analog Devices, Inc. 25,044 2,286 Broadcom Corp., Class A (b) 64,534 1,370 Intel Corp. 26,372 485 Linear Technology Corp. 13,032 7,456 LSI Corp. (b) 38,622 503 Microchip Technology, Inc. 13,546 532 Texas Instruments, Inc. 12,795 SHARES DESCRIPTION VALUE -------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (Continued) 1,108 Xilinx, Inc. $ 24,032 ----------- 260,850 ----------- SOFTWARE -- 2.6% 400 Adobe Systems, Inc. (b) 12,968 671 BMC Software, Inc. (b) 22,834 1,300 CA, Inc. 27,482 1,777 Citrix Systems, Inc. (b) 63,261 1,565 Electronic Arts, Inc. (b) 33,601 805 Intuit, Inc. (b) 23,908 1,343 McAfee, Inc. (b) 59,871 1,430 Microsoft Corp. 33,634 2,116 Oracle Corp. 46,827 594 Salesforce.com, Inc. (b) 25,744 728 Symantec Corp. (b) 10,869 ----------- 360,999 ----------- SPECIALTY RETAIL -- 4.3% 225 AutoZone, Inc. (b) 34,553 1,843 Bed Bath & Beyond, Inc. (b) 64,044 1,354 Best Buy Co., Inc. 50,599 515 GameStop Corp., Class A (b) 11,273 2,764 Gap (The), Inc. 45,109 959 Home Depot (The), Inc. 24,877 1,894 Limited Brands, Inc. 24,509 2,336 Lowe's Cos., Inc. 52,467 1,488 O'Reilly Automotive, Inc. (b) 60,502 4,059 RadioShack Corp. 62,955 211 Sherwin-Williams (The) Co. 12,185 2,809 Staples, Inc. 59,045 894 Tiffany & Co. 26,668 1,801 TJX (The) Cos., Inc. 65,250 ----------- 594,036 ----------- TEXTILES, APPAREL & LUXURY GOODS -- 1.5% 2,108 Coach, Inc. 62,376 657 NIKE, Inc., Class B 37,213 847 Polo Ralph Lauren Corp. 53,403 819 VF Corp. 52,981 ----------- 205,973 ----------- THRIFTS & MORTGAGE FINANCE -- 0.2% 853 Hudson City Bancorp, Inc. 11,993 754 People's United Financial, Inc. 12,253 ----------- 24,246 ----------- TOBACCO -- 0.5% 691 Altria Group, Inc. 12,113 167 Lorillard, Inc. 12,311 260 Philip Morris International, Inc. 12,116 587 Reynolds American, Inc. 25,541 ----------- 62,081 ----------- See Notes to Financial Statements Page 61 FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND Portfolio of Investments (a) (Continued) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (Continued) TRADING COMPANIES & DISTRIBUTORS -- 0.3% 415 W.W. Grainger, Inc. $ 37,313 ----------- WIRELESS TELECOMMUNICATION SERVICES -- 0.3% 9,425 Sprint Nextel Corp. (b) 37,700 ----------- TOTAL COMMON STOCKS -- 100.3% (Cost $12,242,767) 13,762,804 MONEY MARKET FUND -- 0.4% 51,815 Morgan Stanley Institutional Treasury Money Market Fund- 0.01% (c) (Cost $51,815) 51,815 ----------- TOTAL INVESTMENTS -- 100.7% (Cost $12,294,582) (d) 13,814,619 NET OTHER ASSETS AND LIABILITIES -- (0.7)% (94,645) ----------- NET ASSETS -- 100.0% $13,719,974 =========== (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 July 31, 2009. (d) Aggregate cost for federal income tax purposes is $12,974,407. As of July 31, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $1,658,023 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $817,811. _____________________ Valuation Inputs A summary of the inputs used to value the Fund's investments as of July 31, 2009 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs Investments Level 1 Level 2 Level 3 __________________________________________________________________ Common Stocks* $13,762,804 $ -- $ -- Money Market Fund 51,815 -- -- __________________________________________ Total Investments $13,814,619 $ -- $ -- ========================================== * See Portfolio of Investments for industry breakout. Page 62 See Notes to Financial Statements FIRST TRUST MID CAP CORE ALPHADEX(R) FUND Portfolio of Investments (a) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 100.3% AEROSPACE & DEFENSE -- 0.4% 438 Alliant Techsystems, Inc. (b) $ 34,479 ----------- AIRLINES -- 0.6% 988 Alaska Air Group, Inc. (b) 22,783 6,338 JetBlue Airways Corp. (b) 32,387 ----------- 55,170 ----------- AUTO COMPONENTS -- 0.3% 793 BorgWarner, Inc. 26,320 ----------- AUTOMOBILES -- 0.3% 982 Thor Industries, Inc. 23,480 ----------- BEVERAGES -- 0.2% 673 PepsiAmericas, Inc. 18,023 ----------- BIOTECHNOLOGY -- 1.1% 1,598 OSI Pharmaceuticals, Inc. (b) 53,996 325 United Therapeutics Corp. (b) 30,101 253 Vertex Pharmaceuticals, Inc. (b) 9,111 ----------- 93,208 ----------- CAPITAL MARKETS -- 0.7% 1,269 Jefferies Group, Inc. (b) 29,009 1,573 Raymond James Financial, Inc. 32,278 ----------- 61,287 ----------- CHEMICALS -- 4.6% 668 Airgas, Inc. 29,780 706 Albemarle Corp. 20,975 1,286 Ashland, Inc. 42,618 2,868 Cabot Corp. 52,484 191 FMC Corp. 9,290 1,252 Minerals Technologies, Inc. 54,425 3,794 Olin Corp. 52,319 772 Scotts Miracle-Gro (The) Co., Class A 30,147 1,599 Sensient Technologies Corp. 40,279 1,862 Terra Industries, Inc. 54,296 801 Valspar (The) Corp. 20,281 ----------- 406,894 ----------- COMMERCIAL BANKS -- 2.7% 2,887 Associated Banc-Corp. 31,295 439 BancorpSouth, Inc. 9,878 252 Bank of Hawaii Corp. 9,669 2,846 Cathay General Bancorp 25,956 245 City National Corp. 9,663 283 Commerce Bancshares, Inc. 10,375 196 Cullen/Frost Bankers, Inc. 9,414 1,063 FirstMerit Corp. 19,857 1,732 Fulton Financial Corp. 11,708 4,375 International Bancshares Corp. 57,662 675 TCF Financial Corp. 9,544 1,401 Trustmark Corp. 27,880 ----------- 232,901 =========== SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES -- 2.0% 311 Brink's (The) Co. $ 8,444 260 Copart, Inc. (b) 9,181 2,124 Corrections Corp. of America (b) 36,660 1,408 Deluxe Corp. 22,035 1,176 Herman Miller, Inc. 19,533 999 HNI Corp. 22,258 749 Mine Safety Appliances Co. 21,039 1,042 Rollins, Inc. 19,100 696 Waste Connections, Inc. (b) 19,634 ----------- 177,884 ----------- COMMUNICATIONS EQUIPMENT -- 3.3% 9,577 3Com Corp. (b) 36,105 3,400 ADC Telecommunications, Inc. (b) 24,752 1,261 ADTRAN, Inc. 30,466 1,718 CommScope, Inc. (b) 43,981 1,304 F5 Networks, Inc. (b) 48,404 2,178 Palm, Inc. (b) 34,260 1,431 Plantronics, Inc. 33,872 1,780 Polycom, Inc. (b) 42,275 ----------- 294,115 ----------- COMPUTERS & PERIPHERALS -- 0.2% 342 Diebold, Inc. 9,480 763 NCR Corp. (b) 9,873 ----------- 19,353 ----------- CONSTRUCTION & ENGINEERING -- 2.3% 1,410 Aecom Technology Corp. (b) 45,684 3,260 Dycom Industries, Inc. (b) 41,500 1,084 Granite Construction, Inc. 36,726 1,957 KBR, Inc. 41,469 329 Shaw Group (The), Inc. (b) 9,686 547 URS Corp. (b) 27,678 ----------- 202,743 ----------- CONSTRUCTION MATERIALS -- 0.1% 114 Martin Marietta Materials, Inc. 9,812 ----------- CONSUMER FINANCE -- 0.6% 3,329 AmeriCredit Corp. (b) 52,232 ----------- CONTAINERS & PACKAGING -- 1.5% 801 AptarGroup, Inc. 27,971 408 Greif, Inc., Class A 20,943 1,671 Packaging Corp. of America 32,869 1,130 Sonoco Products Co. 29,922 1,375 Temple-Inland, Inc. 21,532 ----------- 133,237 ----------- DISTRIBUTORS -- 0.5% 2,194 LKQ Corp. (b) 39,360 ----------- See Notes to Financial Statements Page 63 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND Portfolio of Investments (a) (Continued) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (Continued) DIVERSIFIED CONSUMER SERVICES -- 2.1% 637 Brink's Home Security Holdings, Inc. (b) $ 18,995 725 Career Education Corp. (b) 16,617 1,599 Corinthian Colleges, Inc. (b) 24,689 90 ITT Educational Services, Inc. (b) 8,761 580 Matthews International Corp., Class A 18,131 2,073 Regis Corp. 28,317 6,585 Service Corp. International 41,617 639 Sotheby's 9,630 83 Strayer Education, Inc. 17,628 ----------- 184,385 ----------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.2% 6,353 Cincinnati Bell, Inc. (b) 19,885 ----------- ELECTRIC UTILITIES -- 2.9% 1,207 Cleco Corp. 28,594 1,168 DPL, Inc. 27,974 2,901 Great Plains Energy, Inc. 46,213 1,420 Hawaiian Electric Industries, Inc. 25,375 1,380 IDACORP, Inc. 38,254 4,180 NV Energy, Inc. 48,070 1,923 Westar Energy, Inc. 37,825 ----------- 252,305 ----------- ELECTRICAL EQUIPMENT -- 1.4% 261 AMETEK, Inc. 8,446 1,407 Hubbell, Inc., Class B 52,509 938 Thomas & Betts Corp. (b) 24,988 1,823 Woodward Governor Co. 35,804 ----------- 121,747 ----------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.6% 400 National Instruments Corp. 10,088 1,103 Tech Data Corp. (b) 38,528 ----------- 48,616 ----------- ENERGY EQUIPMENT & SERVICES -- 2.5% 4,150 Helix Energy Solutions Group, Inc. (b) 43,533 877 Helmerich & Payne, Inc. 30,134 399 Oceaneering International, Inc. (b) 20,317 702 Patterson-UTI Energy, Inc. 9,695 1,800 Pride International, Inc. (b) 45,126 1,045 Superior Energy Services, Inc. (b) 17,336 1,052 Tidewater, Inc. 47,340 327 Unit Corp. (b) 10,363 ----------- 223,844 ----------- FOOD & STAPLES RETAILING -- 0.9% 1,120 BJ's Wholesale Club, Inc. (b) 37,352 SHARES DESCRIPTION VALUE -------------------------------------------------------------- FOOD & STAPLES RETAILING (Continued) 1,925 Ruddick Corp. $ 45,238 ----------- 82,590 ----------- FOOD PRODUCTS -- 1.4% 1,684 Corn Products International, Inc. 47,152 826 Flowers Foods, Inc. 19,518 409 Lancaster Colony Corp. 18,626 592 Ralcorp Holdings, Inc. (b) 37,598 ----------- 122,894 ----------- GAS UTILITIES -- 2.5% 1,135 AGL Resources, Inc. 38,159 1,130 Energen Corp. 46,692 500 National Fuel Gas Co. 20,290 1,224 ONEOK, Inc. 40,514 1,416 UGI Corp. 37,439 1,127 WGL Holdings, Inc. 37,326 ----------- 220,420 ----------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.6% 474 Beckman Coulter, Inc. 29,857 398 Edwards Lifesciences Corp. (b) 26,033 634 Hologic, Inc. (b) 9,313 586 IDEXX Laboratories, Inc. (b) 29,195 1,324 Kinetic Concepts, Inc. (b) 41,865 443 ResMed, Inc. (b) 18,163 1,038 STERIS Corp. 29,147 805 Teleflex, Inc. 38,608 337 Thoratec Corp. (b) 8,472 ----------- 230,653 ----------- HEALTH CARE PROVIDERS & SERVICES -- 4.9% 1,786 Community Health Systems, Inc. (b) 50,580 9,131 Health Management Associates, Inc., Class A (b) 55,060 2,321 Health Net, Inc. (b) 31,403 753 Henry Schein, Inc. (b) 38,689 3,646 Kindred Healthcare, Inc. (b) 51,190 1,718 LifePoint Hospitals, Inc. (b) 47,520 1,051 Omnicare, Inc. 25,087 206 Owens & Minor, Inc. 9,126 1,587 Psychiatric Solutions, Inc. (b) 42,881 923 Universal Health Services, Inc., Class B 51,328 1,014 VCA Antech, Inc. (b) 25,938 ----------- 428,802 ----------- HEALTH CARE TECHNOLOGY -- 0.5% 724 Cerner Corp. (b) 47,118 ----------- HOTELS, RESTAURANTS & LEISURE -- 3.0% 314 Bob Evans Farms, Inc. 9,112 2,607 Cheesecake Factory (The), Inc. (b) 50,498 Page 64 See Notes to Financial Statements FIRST TRUST MID CAP CORE ALPHADEX(R) FUND Portfolio of Investments (a) (Continued) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (Continued) HOTELS, RESTAURANTS & LEISURE (Continued) 451 Chipotle Mexican Grill, Inc., Class A (b) $ 42,317 1,761 International Speedway Corp., Class A 45,029 2,254 Life Time Fitness, Inc. (b) 57,364 362 Panera Bread Co., Class A (b) 19,896 1,145 WMS Industries, Inc. (b) 41,403 ----------- 265,619 ----------- HOUSEHOLD DURABLES -- 0.5% 18 NVR, Inc. (b) 10,821 1,040 Tupperware Brands Corp. 35,433 ----------- 46,254 ----------- HOUSEHOLD PRODUCTS -- 0.2% 166 Church & Dwight Co., Inc. 9,791 173 Energizer Holdings, Inc. (b) 11,082 ----------- 20,873 ----------- INDUSTRIAL CONGLOMERATES -- 0.5% 1,501 Carlisle Cos., Inc. 47,026 ----------- INSURANCE -- 2.2% 1,672 American Financial Group, Inc. 40,780 423 Arthur J. Gallagher & Co. 9,687 453 Brown & Brown, Inc. 8,688 126 Everest Re Group Ltd. 10,108 696 First American Corp. 20,567 473 Hanover Insurance Group, Inc. 18,594 905 Horace Mann Educators Corp. 10,272 517 Reinsurance Group of America, Inc. 21,455 1,258 StanCorp Financial Group, Inc. 43,300 751 Unitrin, Inc. 9,906 ----------- 193,357 ----------- INTERNET & CATALOG RETAIL -- 1.0% 873 NetFlix, Inc. (b) 38,360 404 priceline.com, Inc. (b) 52,366 ----------- 90,726 ----------- INTERNET SOFTWARE & SERVICES -- 0.9% 745 Digital River, Inc. (b) 26,336 496 Equinix, Inc. (b) 40,538 858 ValueClick, Inc. (b) 9,867 ----------- 76,741 ----------- IT SERVICES -- 3.4% 4,087 Acxiom Corp. 39,439 1,088 Broadridge Financial Solutions, Inc. 18,790 1,182 Gartner, Inc. (b) 20,212 482 Global Payments, Inc. 20,389 606 Hewitt Associates, Inc., Class A (b) 18,137 650 Lender Processing Services, Inc. 22,217 419 ManTech International Corp., Class A (b) 22,333 1,395 Metavante Technologies, Inc. (b) 42,966 SHARES DESCRIPTION VALUE -------------------------------------------------------------- IT SERVICES (Continued) 1,221 NeuStar, Inc., Class A (b) $ 27,692 1,945 SAIC, Inc. (b) 35,185 1,541 SRA International, Inc., Class A (b) 30,358 ----------- 297,718 ----------- LEISURE EQUIPMENT & PRODUCTS -- 0.6% 8,897 Callaway Golf Co. 56,674 ----------- LIFE SCIENCES TOOLS & SERVICES -- 1.4% 239 Bio-Rad Laboratories, Inc., Class A (b) 18,508 267 Charles River Laboratories International, Inc. (b) 8,830 367 Covance, Inc. (b) 20,240 351 Mettler-Toledo International, Inc. (b) 29,505 141 TECHNE Corp. 8,999 686 Varian, Inc. (b) 34,821 ----------- 120,903 ----------- MACHINERY -- 5.2% 1,552 AGCO Corp. (b) 48,826 1,579 Bucyrus International, Inc. 46,549 1,213 Crane Co. 25,740 260 Donaldson Co., Inc. 9,883 3,538 Federal Signal Corp. 31,347 1,275 Harsco Corp. 35,075 734 IDEX Corp. 20,023 1,010 Joy Global, Inc. 37,552 467 Nordson Corp. 20,968 1,056 Pentair, Inc. 28,850 553 SPX Corp. 29,209 2,641 Timken (The) Co. 53,824 662 Trinity Industries, Inc. 9,241 501 Valmont Industries, Inc. 35,982 841 Wabtec Corp. 28,300 ----------- 461,369 ----------- MARINE -- 0.4% 1,155 Alexander & Baldwin, Inc. 33,749 ----------- MEDIA -- 1.6% 327 DreamWorks Animation SKG, Inc., Class A (b) 10,304 3,901 Harte-Hanks, Inc. 42,209 591 Lamar Advertising Co., Class A (b) 12,434 1,014 Marvel Entertainment, Inc. (b) 40,114 1,368 Scholastic Corp. 30,848 ----------- 135,909 ----------- METALS & MINING -- 2.2% 2,168 Carpenter Technology Corp. 40,520 737 Cliffs Natural Resources, Inc. 20,186 2,814 Commercial Metals Co. 46,544 1,175 Reliance Steel & Aluminum Co. 39,609 3,062 Steel Dynamics, Inc. 50,094 ----------- 196,953 ----------- See Notes to Financial Statements Page 65 FIRST TRUST MID CAP CORE ALPHADEX(R) FUND Portfolio of Investments (a) (Continued) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (Continued) MULTILINE RETAIL -- 0.9% 3,322 99 Cents Only Stores (b) $ 48,667 643 Dollar Tree, Inc. (b) 29,655 ----------- 78,322 ----------- MULTI-UTILITIES -- 2.0% 1,726 Alliant Energy Corp. 45,152 785 Black Hills Corp. 20,418 476 MDU Resources Group, Inc. 9,582 843 NSTAR 27,060 1,274 OGE Energy Corp. 38,348 1,540 Vectren Corp. 37,822 ----------- 178,382 ----------- OFFICE ELECTRONICS -- 0.1% 381 Zebra Technologies Corp., Class A (b) 9,312 ----------- OIL, GAS & CONSUMABLE FUELS -- 4.9% 2,935 Arch Coal, Inc. 51,098 1,643 Bill Barrett Corp. (b) 51,902 318 Cimarex Energy Co. 11,378 585 Encore Acquisition Co. (b) 20,826 1,376 Frontier Oil Corp. 19,127 2,303 Mariner Energy, Inc. (b) 27,613 552 Newfield Exploration Co. (b) 21,710 1,325 Overseas Shipholding Group, Inc. 45,514 7,070 Patriot Coal Corp. (b) 59,176 989 Plains Exploration & Production Co. (b) 28,335 3,884 Quicksilver Resources, Inc. (b) 44,511 2,453 Southern Union Co. 47,539 ----------- 428,729 ----------- PERSONAL PRODUCTS -- 0.9% 710 Alberto-Culver Co. 18,190 1,604 NBTY, Inc. (b) 58,065 ----------- 76,255 ----------- PHARMACEUTICALS -- 1.1% 1,106 Medicis Pharmaceutical Corp., Class A 18,935 649 Perrigo Co. 17,614 2,083 Sepracor, Inc. (b) 36,140 1,052 Valeant Pharmaceuticals International (b) 27,141 ----------- 99,830 ----------- PROFESSIONAL SERVICES -- 0.6% 178 FTI Consulting, Inc. (b) 9,689 848 Korn/Ferry International (b) 11,796 213 Manpower, Inc. 10,213 2,362 MPS Group, Inc. (b) 20,431 ----------- 52,129 ----------- REAL ESTATE INVESTMENT TRUSTS -- 4.0% 756 Alexandria Real Estate Equities, Inc. 28,811 380 BRE Properties, Inc. 9,017 SHARES DESCRIPTION VALUE -------------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS (Continued) 615 Corporate Office Properties Trust $ 20,855 5,307 Cousins Properties, Inc. 45,746 3,086 Duke Realty Corp. 29,286 1,361 Equity One, Inc. 20,483 3,035 Hospitality Properties Trust 47,923 392 Liberty Property Trust 10,886 1,025 Macerich (The) Co. 20,162 396 Mack-Cali Realty Corp. 11,052 350 Nationwide Health Properties, Inc. 10,157 1,163 OMEGA Healthcare Investors, Inc. 19,434 496 Rayonier, Inc. 19,339 412 Realty Income Corp. 9,715 1,180 SL Green Realty Corp. 30,420 1,243 Weingarten Realty Investors 19,180 ----------- 352,466 ----------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.4% 827 Jones Lang LaSalle, Inc. 31,393 ----------- ROAD & RAIL -- 2.0% 1,277 Con-way, Inc. 58,167 886 J.B. Hunt Transport Services, Inc. 24,764 2,800 Kansas City Southern (b) 56,868 1,991 Werner Enterprises, Inc. 35,958 ----------- 175,757 ----------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.3% 2,419 Atmel Corp. (b) 10,087 1,228 Cree, Inc. (b) 39,370 1,134 Semtech Corp. (b) 20,866 951 Silicon Laboratories, Inc. (b) 40,731 ----------- 111,054 ----------- SOFTWARE -- 2.6% 825 Advent Software, Inc. (b) 30,071 290 ANSYS, Inc. (b) 9,065 181 FactSet Research Systems, Inc. 10,263 2,334 Fair Isaac Corp. 44,789 870 Jack Henry & Associates, Inc. 18,679 1,069 MICROS Systems, Inc. (b) 29,280 2,068 Rovi Corp. (b) 54,099 576 Sybase, Inc. (b) 20,621 462 Synopsys, Inc. (b) 9,231 ----------- 226,098 ----------- SPECIALTY RETAIL -- 7.4% 1,513 Aaron's, Inc. 41,562 870 Advance Auto Parts, Inc. 40,220 1,316 Aeropostale, Inc. (b) 47,902 1,910 American Eagle Outfitters, Inc. 27,485 1,749 Barnes & Noble, Inc. 40,279 4,636 Chico's FAS, Inc. (b) 53,175 7,443 Coldwater Creek, Inc. (b) 54,632 619 Collective Brands, Inc. (b) 9,855 2,622 Dick's Sporting Goods, Inc. (b) 52,047 862 Foot Locker, Inc. 9,551 Page 66 See Notes to Financial Statements FIRST TRUST MID CAP CORE ALPHADEX(R) FUND Portfolio of Investments (a) (Continued) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (Continued) SPECIALTY RETAIL (Continued) 1,400 Guess?, Inc. $ 40,698 1,669 J. Crew Group, Inc. (b) 46,999 1,682 PetSmart, Inc. 37,626 2,530 Rent-A-Center, Inc. (b) 52,523 935 Ross Stores, Inc. 41,224 1,297 Urban Outfitters, Inc. (b) 31,180 1,520 Williams-Sonoma, Inc. 21,371 ----------- 648,329 ----------- TEXTILES, APPAREL & LUXURY GOODS -- 2.2% 1,499 Fossil, Inc. (b) 39,484 1,803 Hanesbrands, Inc. (b) 35,880 629 Phillips-Van Heusen Corp. 22,254 1,360 Timberland (The) Co., Class A (b) 18,550 1,209 Under Armour, Inc., Class A (b) 29,367 1,392 Warnaco Group (The), Inc. (b) 50,571 ----------- 196,106 ----------- THRIFTS & MORTGAGE FINANCE -- 1.0% 3,154 Astoria Financial Corp. 30,625 2,370 First Niagara Financial Group, Inc. 31,166 844 New York Community Bancorp, Inc. 9,233 784 NewAlliance Bancshares, Inc. 9,604 694 Washington Federal, Inc. 9,668 ----------- 90,296 ----------- TOBACCO -- 0.6% 1,362 Universal Corp. 51,851 ----------- TRADING COMPANIES & DISTRIBUTORS -- 0.5% 1,754 GATX Corp. 44,236 ----------- WIRELESS TELECOMMUNICATION SERVICES -- 0.8% 1,688 Syniverse Holdings, Inc. (b) 29,591 1,594 Telephone and Data Systems, Inc. 41,029 ----------- 70,620 ----------- TOTAL COMMON STOCKS -- 100.3% (Cost $7,586,292) 8,828,793 MONEY MARKET FUND -- 0.4% 34,738 Morgan Stanley Institutional Treasury Money Market Fund- 0.01% (c) (Cost $34,738) 34,738 ----------- TOTAL INVESTMENTS -- 100.7% (Cost $7,621,030) (d) 8,863,531 NET OTHER ASSETS AND LIABILITIES -- (0.7)% (64,547) ----------- NET ASSETS -- 100.0% $ 8,798,984 =========== (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 July 31, 2009. (d) Aggregate cost for federal income tax purposes is $7,677,597. As of July 31, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $1,429,045 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $243,111. ____________________ Valuation Inputs A summary of the inputs used to value the Fund's investments as of July 31, 2009 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs Investments Level 1 Level 2 Level 3 __________________________________________________________________ Common Stocks* $ 8,828,793 $ -- $ -- Money Market Fund 34,738 -- -- __________________________________________ Total Investments $ 8,863,531 $ -- $ -- ========================================== * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 67 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND Portfolio of Investments (a) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 100.3% AEROSPACE & DEFENSE -- 3.3% 1,404 AAR Corp. (b) $ 26,858 547 Aerovironment, Inc. (b) 15,557 244 American Science & Engineering, Inc. 17,019 1,104 Applied Signal Technology, Inc. 27,600 315 Axsys Technologies, Inc. (b) 16,906 787 Cubic Corp. 30,819 190 Curtiss-Wright Corp. 6,276 1,041 Esterline Technologies Corp. (b) 29,596 5,898 GenCorp, Inc. (b) 15,335 1,091 Moog, Inc., Class A (b) 29,413 371 Orbital Sciences Corp. (b) 5,023 685 Stanley, Inc. (b) 21,057 172 Teledyne Technologies, Inc. (b) 5,629 704 Triumph Group, Inc. 28,118 ----------- 275,206 ----------- AIR FREIGHT & LOGISTICS -- 0.2% 264 Forward Air Corp. 6,106 546 Hub Group, Inc., Class A (b) 11,734 ----------- 17,840 ----------- AUTO COMPONENTS -- 0.3% 463 Drew Industries, Inc. (b) 8,885 1,989 Spartan Motors, Inc. 13,923 ----------- 22,808 ----------- AUTOMOBILES -- 0.1% 758 Winnebago Industries, Inc. 7,974 ----------- BEVERAGES -- 0.2% 571 Boston Beer (The) Co., Inc., Class A (b) 17,809 ----------- BIOTECHNOLOGY -- 0.8% 4,587 ArQule, Inc. (b) 28,073 615 Cubist Pharmaceuticals, Inc. (b) 12,220 943 Regeneron Pharmaceuticals, Inc. (b) 20,218 407 Savient Pharmaceuticals, Inc. (b) 6,345 ----------- 66,856 ----------- BUILDING PRODUCTS -- 0.9% 2,289 Apogee Enterprises, Inc. 33,374 1,640 Gibraltar Industries, Inc. 12,743 1,354 Griffon Corp. (b) 13,052 340 Universal Forest Products, Inc. 15,178 ----------- 74,347 ----------- CAPITAL MARKETS -- 0.8% 1,381 Investment Technology Group, Inc. (b) 30,865 1,310 LaBranche & Co., Inc. (b) 4,965 234 Stifel Financial Corp. (b) 11,684 806 SWS Group, Inc. 11,090 1,332 TradeStation Group, Inc. (b) 9,977 ----------- 68,581 ----------- CHEMICALS -- 2.0% 746 A. Schulman, Inc. 15,897 SHARES DESCRIPTION VALUE -------------------------------------------------------------- CHEMICALS (Continued) 1,495 American Vanguard Corp. $ 12,947 458 Arch Chemicals, Inc. 12,160 230 Balchem Corp. 6,382 406 Calgon Carbon Corp. (b) 5,144 418 NewMarket Corp. 31,622 971 OM Group, Inc. (b) 32,684 1,271 Quaker Chemical Corp. 22,878 511 Stepan Co. 22,883 ----------- 162,597 ----------- COMMERCIAL BANKS -- 5.0% 1,502 Central Pacific Financial Corp. 3,259 551 Columbia Banking System, Inc. 6,689 1,548 Community Bank System, Inc. 28,065 7,130 First BanCorp 22,103 2,665 First Commonwealth Financial Corp. 17,776 2,247 First Financial Bancorp 19,414 2,312 First Midwest Bancorp, Inc. 19,328 382 Glacier Bancorp, Inc. 5,948 858 Independent Bank Corp. 18,301 4,888 National Penn Bancshares, Inc. 24,342 259 NBT Bancorp, Inc. 5,941 1,720 Old National Bancorp 19,436 506 PrivateBancorp, Inc. 12,564 378 Prosperity Bancshares, Inc. 12,667 1,853 S&T Bancorp, Inc. 25,405 208 Signature Bank (b) 6,132 211 Simmons First National Corp., Class A 6,326 1,349 Sterling Bancorp 10,886 2,670 Sterling Bancshares, Inc. 21,547 5,760 Susquehanna Bancshares, Inc. 30,298 118 Tompkins Financial Corp. 5,249 4,471 UCBH Holdings, Inc. 5,410 148 UMB Financial Corp. 6,175 1,452 Umpqua Holdings Corp. 14,084 865 United Bankshares, Inc. 17,525 1,845 Whitney Holding Corp. 16,162 1,402 Wintrust Financial Corp. 36,662 ----------- 417,694 ----------- COMMERCIAL SERVICES & SUPPLIES -- 2.3% 624 ABM Industries, Inc. 13,148 388 ATC Technology Corp. (b) 8,117 1,293 Consolidated Graphics, Inc. (b) 23,662 607 Geo Group (The), Inc. (b) 10,914 945 Healthcare Services Group, Inc. 17,643 1,536 Mobile Mini, Inc. (b) 24,852 3,456 Standard Register (The) Co. 12,234 623 Sykes Enterprises, Inc. (b) 12,398 983 Tetra Tech, Inc. (b) 29,608 645 United Stationers, Inc. (b) 29,941 327 Viad Corp. 5,794 ----------- 188,311 ----------- Page 68 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND Portfolio of Investments (a) (Continued) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (Continued) COMMUNICATIONS EQUIPMENT -- 3.1% 2,317 Arris Group, Inc. (b) $ 28,221 842 Black Box Corp. 23,130 1,703 Blue Coat Systems, Inc. (b) 31,829 177 Comtech Telecommunications Corp. (b) 5,641 1,733 Digi International, Inc. (b) 17,694 809 EMS Technologies, Inc. (b) 17,798 2,869 Harmonic, Inc. (b) 19,882 1,173 NETGEAR, Inc. (b) 19,953 1,053 PC-Tel, Inc. (b) 7,045 4,881 Symmetricom, Inc. (b) 31,629 1,004 Tekelec (b) 18,463 2,150 Tollgrade Communications, Inc. (b) 12,018 878 ViaSat, Inc. (b) 23,706 ----------- 257,009 ----------- COMPUTERS & PERIPHERALS -- 0.5% 2,126 Adaptec, Inc. (b) 5,655 1,293 Intevac, Inc. (b) 14,883 729 Synaptics, Inc. (b) 17,474 ----------- 38,012 ----------- CONSTRUCTION & ENGINEERING -- 0.6% 1,399 EMCOR Group, Inc. (b) 33,744 664 Insituform Technologies, Inc., Class A (b) 12,217 ----------- 45,961 ----------- CONSTRUCTION MATERIALS -- 0.5% 223 Eagle Materials, Inc. 6,088 719 Texas Industries, Inc. 32,714 ----------- 38,802 ----------- CONSUMER FINANCE -- 0.9% 1,204 Cash America International, Inc. 32,183 964 First Cash Financial Services, Inc. (b) 18,123 1,491 Rewards Network, Inc. (b) 20,113 283 World Acceptance Corp. (b) 6,713 ----------- 77,132 ----------- CONTAINERS & PACKAGING -- 0.2% 443 Rock-Tenn Co., Class A 19,917 ----------- DIVERSIFIED CONSUMER SERVICES -- 1.1% 142 American Public Education, Inc. (b) 5,022 188 Capella Education Co. (b) 12,100 633 Coinstar, Inc. (b) 21,035 1,016 Hillenbrand, Inc. 18,410 516 Pre-Paid Legal Services, Inc. (b) 25,165 755 Universal Technical Institute, Inc. (b) 11,982 ----------- 93,714 ----------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES -- 0.5% 822 Financial Federal Corp. $ 16,670 581 Portfolio Recovery Associates, Inc. (b) 26,813 ----------- 43,483 ----------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.9% 393 Cbeyond, Inc. (b) 5,510 9,388 FairPoint Communications, Inc. 5,539 2,439 General Communication, Inc., Class A (b) 16,707 1,351 Iowa Telecommunications Services, Inc. 16,563 954 Neutral Tandem, Inc. (b) 29,574 ----------- 73,893 ----------- ELECTRIC UTILITIES -- 1.5% 784 ALLETE, Inc. 25,072 1,556 Central Vermont Public Service Corp. 28,693 2,017 El Paso Electric Co. (b) 30,477 1,004 UIL Holdings Corp. 24,497 636 UniSource Energy Corp. 17,554 ----------- 126,293 ----------- ELECTRICAL EQUIPMENT -- 2.2% 519 A.O. Smith Corp. 20,262 803 Acuity Brands, Inc. 23,696 655 AZZ, Inc. (b) 25,381 947 Baldor Electric Co. 24,395 673 Brady Corp., Class A 19,793 508 II-VI, Inc. (b) 12,187 20,262 Magnetek, Inc. (b) 27,354 568 Regal-Beloit Corp. 26,332 ----------- 179,400 ----------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 3.5% 749 Anixter International, Inc. (b) 25,631 782 Benchmark Electronics, Inc. (b) 12,356 399 Cognex Corp. 6,583 860 CTS Corp. 7,250 731 Daktronics, Inc. 6,126 416 DTS, Inc. (b) 11,427 1,008 Electro Scientific Industries, Inc. (b) 13,205 11,266 Gerber Scientific, Inc. (b) 35,263 564 Littelfuse, Inc. (b) 13,198 2,407 Methode Electronics, Inc. 18,245 1,091 MTS Systems Corp. 25,628 1,101 Plexus Corp. (b) 28,285 556 Rogers Corp. (b) 13,872 918 ScanSource, Inc. (b) 26,190 901 SYNNEX Corp. (b) 25,606 2,122 TTM Technologies, Inc. (b) 20,944 ----------- 289,809 ----------- See Notes to Financial Statements Page 69 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND Portfolio of Investments (a) (Continued) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (Continued) ENERGY EQUIPMENT & SERVICES -- 3.3% 1,131 Atwood Oceanics, Inc. (b) $ 32,618 950 Bristow Group, Inc. (b) 31,445 165 CARBO Ceramics, Inc. 6,879 296 Dril-Quip, Inc. (b) 12,518 1,780 Gulf Island Fabrication, Inc. 25,810 790 Hornbeck Offshore Services, Inc. (b) 17,206 268 Lufkin Industries, Inc. 12,167 1,963 Matrix Service Co. (b) 19,885 684 NATCO Group, Inc., Class A (b) 24,665 1,163 Oil States International, Inc. (b) 31,541 3,528 Pioneer Drilling Co. (b) 15,453 299 SEACOR Holdings, Inc. (b) 23,764 947 Superior Well Services, Inc. (b) 6,184 2,122 TETRA Technologies, Inc. (b) 16,361 ----------- 276,496 ----------- FOOD & STAPLES RETAILING -- 1.5% 376 Andersons (The), Inc. 12,115 877 Casey's General Stores, Inc. 24,056 5,301 Great Atlantic & Pacific Tea (The) Co., Inc. (b) 30,587 1,041 Nash Finch Co. 31,959 1,073 United Natural Foods, Inc. (b) 29,003 ----------- 127,720 ----------- FOOD PRODUCTS -- 2.3% 1,129 Cal-Maine Foods, Inc. 33,226 2,560 Darling International, Inc. (b) 18,074 808 Diamond Foods, Inc. 22,786 476 Green Mountain Coffee Roasters, Inc. (b) 33,529 361 Hain Celestial Group (The), Inc. (b) 5,996 471 J & J Snack Foods Corp. 20,413 243 Lance, Inc. 6,158 626 Sanderson Farms, Inc. 25,466 784 TreeHouse Foods, Inc. (b) 25,441 ----------- 191,089 ----------- GAS UTILITIES -- 1.6% 1,125 Atmos Energy Corp. 30,555 680 Laclede Group (The), Inc. 22,828 304 New Jersey Resources Corp. 11,734 255 Northwest Natural Gas Co. 11,383 467 Piedmont Natural Gas Co., Inc. 11,498 323 South Jersey Industries, Inc. 11,912 1,268 Southwest Gas Corp. 30,711 ----------- 130,621 ----------- HEALTH CARE EQUIPMENT & SUPPLIES -- 4.8% 548 Abaxis, Inc. (b) 14,670 2,126 Align Technology, Inc. (b) 23,195 1,426 American Medical Systems Holdings, Inc. (b) 21,803 152 Analogic Corp. 5,762 SHARES DESCRIPTION VALUE -------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES (Continued) 1,815 CONMED Corp. (b) $ 31,908 1,139 Cooper (The) Cos., Inc. 31,254 5,083 CryoLife, Inc. (b) 25,822 677 Cyberonics, Inc. (b) 11,245 996 Greatbatch, Inc. (b) 21,952 198 Haemonetics Corp. (b) 11,684 547 ICU Medical, Inc. (b) 21,295 1,277 Invacare Corp. 26,051 430 Kensey Nash Corp. (b) 12,281 1,037 Merit Medical Systems, Inc. (b) 18,967 488 Natus Medical, Inc. (b) 6,637 778 Neogen Corp. (b) 22,671 2,560 Osteotech, Inc. (b) 12,697 1,153 Palomar Medical Technologies, Inc. (b) 17,226 249 SurModics, Inc. (b) 5,567 2,417 Symmetry Medical, Inc. (b) 20,689 484 West Pharmaceutical Services, Inc. 17,666 874 Zoll Medical Corp. (b) 16,108 ----------- 397,150 ----------- HEALTH CARE PROVIDERS & SERVICES -- 7.8% 1,029 Air Methods Corp. (b) 30,263 648 Almost Family, Inc. (b) 20,555 342 Amedisys, Inc. (b) 15,291 883 AMN Healthcare Services, Inc. (b) 6,428 788 AmSurg Corp. (b) 16,248 891 Bio-Reference Laboratories, Inc. (b) 28,565 904 Catalyst Health Solutions, Inc. (b) 23,305 845 Centene Corp. (b) 16,317 286 Chemed Corp. 12,613 742 CorVel Corp. (b) 18,120 352 Genoptix, Inc. (b) 11,021 1,711 Gentiva Health Services, Inc. (b) 36,410 829 Hanger Orthopedic Group, Inc. (b) 11,374 2,593 HealthSpring, Inc. (b) 32,750 1,257 Healthways, Inc. (b) 18,528 553 HMS Holdings Corp. (b) 21,235 1,665 inVentiv Health, Inc. (b) 25,541 1,055 IPC The Hospitalist Co. (b) 29,382 91 Landauer, Inc. 6,090 2,670 LCA-Vision, Inc. (b) 15,326 254 LHC Group, Inc. (b) 7,455 343 Magellan Health Services, Inc. (b) 11,099 2,395 MedCath Corp. (b) 28,884 535 MEDNAX, Inc. (b) 24,797 1,178 Molina Healthcare, Inc. (b) 26,564 808 MWI Veterinary Supply, Inc. (b) 31,011 2,192 Odyssey HealthCare, Inc. (b) 25,537 1,435 PharMerica Corp. (b) 30,078 1,218 PSS World Medical, Inc. (b) 24,616 706 RehabCare Group, Inc. (b) 16,986 1,575 Res-Care, Inc. (b) 24,601 ----------- 646,990 ----------- Page 70 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND Portfolio of Investments (a) (Continued) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (Continued) HEALTH CARE TECHNOLOGY -- 1.0% 441 Computer Programs & Systems, Inc. $ 17,177 1,267 Eclipsys Corp. (b) 23,059 1,048 Omnicell, Inc. (b) 13,079 746 Phase Forward, Inc. (b) 10,593 395 Quality Systems, Inc. 21,682 ----------- 85,590 ----------- HOTELS, RESTAURANTS & LEISURE -- 5.9% 520 Buffalo Wild Wings, Inc. (b) 20,982 1,695 California Pizza Kitchen, Inc. (b) 27,967 573 CEC Entertainment, Inc. (b) 16,714 1,992 CKE Restaurants, Inc. 17,629 808 Cracker Barrel Old Country Store, Inc. 23,319 1,209 Interval Leisure Group, Inc. (b) 12,755 753 Jack in the Box, Inc. (b) 15,888 3,275 Landry's Restaurants, Inc. (b) 29,344 2,678 Marcus (The) Corp. 33,850 4,543 Multimedia Games, Inc. (b) 25,532 878 P.F. Chang's China Bistro, Inc. (b) 29,773 682 Papa John's International, Inc. (b) 17,330 894 Peet's Coffee & Tea, Inc. (b) 24,558 3,032 Pinnacle Entertainment, Inc. (b) 30,411 1,502 Red Robin Gourmet Burgers, Inc. (b) 28,117 3,383 Ruby Tuesday, Inc. (b) 25,305 7,674 Ruth's Hospitality Group, Inc. (b) 30,082 4,261 Shuffle Master, Inc. (b) 30,679 1,123 Sonic Corp. (b) 12,387 644 Steak n Shake (The) Co. (b) 6,582 2,582 Texas Roadhouse, Inc., Class A (b) 28,738 ----------- 487,942 ----------- HOUSEHOLD DURABLES -- 1.1% 671 Helen of Troy Ltd. (b) 14,594 1,493 Meritage Homes Corp. (b) 31,950 296 National Presto Industries, Inc. 23,787 837 Universal Electronics, Inc. (b) 17,669 ----------- 88,000 ----------- HOUSEHOLD PRODUCTS -- 0.1% 572 Central Garden & Pet Co., Class A (b) 6,458 194 WD-40 Co. 5,865 ----------- 12,323 ----------- INDUSTRIAL CONGLOMERATES -- 0.4% 1,456 Standex International Corp. 18,243 845 Tredegar Corp. 12,371 ----------- 30,614 ----------- INSURANCE -- 2.0% 290 Delphi Financial Group, Inc., Class A 6,911 957 eHealth, Inc. (b) 15,542 416 Employers Holdings, Inc. 5,791 308 Infinity Property & Casualty Corp. 12,794 SHARES DESCRIPTION VALUE -------------------------------------------------------------- INSURANCE (Continued) 254 Navigators Group (The), Inc. (b) $ 12,525 744 Presidential Life Corp. 6,651 488 ProAssurance Corp. (b) 24,781 126 RLI Corp. 6,251 922 Safety Insurance Group, Inc. 29,744 882 Selective Insurance Group 13,177 455 Tower Group, Inc. 11,361 329 United Fire & Casualty Co. 5,530 777 Zenith National Insurance Corp. 18,547 ----------- 169,605 ----------- INTERNET & CATALOG RETAIL -- 0.8% 393 Blue Nile, Inc. (b) 18,168 1,599 HSN, Inc. (b) 16,198 375 PetMed Express, Inc. (b) 6,960 3,509 Ticketmaster Entertainment, Inc. (b) 28,423 ----------- 69,749 ----------- INTERNET SOFTWARE & SERVICES -- 1.1% 845 comScore, Inc. (b) 12,861 663 DealerTrack Holdings, Inc. (b) 13,147 850 InfoSpace, Inc. (b) 6,222 250 j2 Global Communications, Inc. (b) 5,998 2,417 Perficient, Inc. (b) 17,837 3,461 United Online, Inc. 31,772 ----------- 87,837 ----------- IT SERVICES -- 1.9% 528 CACI International, Inc., Class A (b) 24,394 9,085 CIBER, Inc. (b) 30,071 1,702 CSG Systems International, Inc. (b) 28,389 737 Cybersource Corp. (b) 12,780 230 Forrester Research, Inc. (b) 5,191 1,178 Heartland Payment Systems, Inc. 12,557 1,115 TeleTech Holdings, Inc. (b) 18,643 884 Wright Express Corp. (b) 25,000 ----------- 157,025 ----------- LEISURE EQUIPMENT & PRODUCTS -- 2.0% 6,972 Arctic Cat, Inc. 42,947 2,195 JAKKS Pacific, Inc. (b) 25,308 701 Polaris Industries, Inc. 26,547 681 Pool Corp. 16,085 1,703 RC2 Corp. (b) 26,005 2,264 Sturm Ruger & Co., Inc. 28,255 ----------- 165,147 ----------- LIFE SCIENCES TOOLS & SERVICES -- 1.1% 4,102 Cambrex Corp. (b) 18,787 276 Dionex Corp. (b) 18,191 2,301 Kendle International, Inc. (b) 26,876 1,567 PAREXEL International Corp. (b) 24,241 ----------- 88,095 =========== See Notes to Financial Statements Page 71 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND Portfolio of Investments (a) (Continued) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (Continued) MACHINERY -- 3.4% 379 Astec Industries, Inc. (b) $ 10,256 549 Badger Meter, Inc. 20,231 2,369 Barnes Group, Inc. 33,332 1,689 Briggs & Stratton Corp. 29,000 239 CIRCOR International, Inc. 5,511 386 CLARCOR, Inc. 12,780 1,564 EnPro Industries, Inc. (b) 27,870 377 ESCO Technologies, Inc. (b) 15,491 224 Gardner Denver, Inc. (b) 6,538 900 John Bean Technologies Corp. 12,474 519 Kaydon Corp. 16,956 511 Lindsay Corp. 18,125 1,656 Lydall, Inc. (b) 5,382 1,463 Robbins & Myers, Inc. 30,621 188 Toro (The) Co. 6,516 1,046 Watts Water Technologies, Inc., Class A 27,552 ----------- 278,635 ----------- MARINE -- 0.3% 708 Kirby Corp. (b) 26,203 ----------- MEDIA -- 0.2% 1,063 Arbitron, Inc. 17,306 ----------- METALS & MINING -- 1.2% 932 A.M. Castle & Co. 9,833 1,044 AMCOL International Corp. 19,638 673 Brush Engineered Materials, Inc. (b) 14,355 1,151 Olympic Steel, Inc. 29,362 1,594 RTI International Metals, Inc. (b) 28,309 ----------- 101,497 ----------- MULTILINE RETAIL -- 0.5% 894 Fred's, Inc., Class A 12,051 6,686 Tuesday Morning Corp. (b) 31,023 ----------- 43,074 ----------- MULTI-UTILITIES -- 0.5% 1,581 Avista Corp. 29,280 241 CH Energy Group, Inc. 11,927 ----------- 41,207 ----------- OIL, GAS & CONSUMABLE FUELS -- 1.2% 1,566 Holly Corp. 33,309 344 Penn Virginia Corp. 6,608 718 Petroleum Development Corp. (b) 12,091 1,526 PetroQuest Energy, Inc. (b) 5,112 270 St. Mary Land & Exploration Co. 6,445 338 Swift Energy Co. (b) 6,659 683 World Fuel Services Corp. 29,956 ----------- 100,180 ----------- PAPER & FOREST PRODUCTS -- 0.9% 891 Clearwater Paper Corp. (b) 35,702 621 Schweitzer-Mauduit International, Inc. 20,307 1,677 Wausau Paper Corp. 15,764 ----------- 71,773 ----------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- PERSONAL PRODUCTS -- 0.1% 82 Chattem, Inc. (b) $ 5,139 1,707 Mannatech, Inc. 5,992 ----------- 11,131 ----------- PHARMACEUTICALS -- 0.6% 1,969 Noven Pharmaceuticals, Inc. (b) 32,449 1,115 Par Pharmaceutical Cos., Inc. (b) 18,074 ----------- 50,523 ----------- PROFESSIONAL SERVICES -- 1.4% 484 Administaff, Inc. 12,129 2,021 CDI Corp. 25,667 617 Heidrick & Struggles International, Inc. 12,642 7,203 On Assignment, Inc. (b) 30,469 1,394 School Specialty, Inc. (b) 31,184 898 Volt Information Sciences, Inc. (b) 7,148 ----------- 119,239 ----------- REAL ESTATE INVESTMENT TRUSTS -- 3.8% 2,202 BioMed Realty Trust, Inc. 25,719 4,985 Cedar Shopping Centers, Inc. 26,470 761 Colonial Properties Trust 6,073 3,599 DiamondRock Hospitality Co. 24,329 1,367 Entertainment Properties Trust 37,333 2,698 Extra Space Storage, Inc. 23,688 850 Franklin Street Properties Corp. 12,121 804 Inland Real Estate Corp. 5,934 274 Kilroy Realty Corp. 6,466 5,787 Kite Realty Group Trust 18,518 1,370 LaSalle Hotel Properties 20,427 1,656 Lexington Realty Trust 7,088 551 LTC Properties, Inc. 13,455 2,784 Medical Properties Trust, Inc. 19,488 974 National Retail Properties, Inc. 19,198 433 Parkway Properties, Inc. 6,136 1,126 Pennsylvania Real Estate Investment Trust 5,957 1,035 Senior Housing Properties Trust 19,313 458 Sovran Self Storage, Inc. 12,329 400 Urstadt Biddle Properties, Inc., Class A 6,156 ----------- 316,198 ----------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.1% 474 Forestar Group, Inc. (b) 6,171 ----------- ROAD & RAIL -- 0.6% 641 Arkansas Best Corp. 18,256 340 Knight Transportation, Inc. 6,168 672 Old Dominion Freight Line, Inc. (b) 23,943 ----------- 48,367 ----------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.6% 379 Cymer, Inc. (b) 12,966 Page 72 See Notes to Financial Statements FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND Portfolio of Investments (a) (Continued) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (Continued) SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (Continued) 1,081 Diodes, Inc. (b) $ 19,955 1,567 Exar Corp. (b) 11,016 738 FEI Co. (b) 18,081 162 Hittite Microwave Corp. (b) 5,690 6,139 Kopin Corp. (b) 24,372 408 Microsemi Corp. (b) 5,569 2,304 Skyworks Solutions, Inc. (b) 27,832 224 Supertex, Inc. (b) 5,163 458 Ultratech, Inc. (b) 5,455 ----------- 136,099 ----------- SOFTWARE -- 4.2% 724 Blackbaud, Inc. 13,539 1,359 Commvault Systems, Inc. (b) 23,660 544 Concur Technologies, Inc. (b) 18,763 720 Ebix, Inc. (b) 29,866 4,252 Epicor Software Corp. (b) 25,852 367 EPIQ Systems, Inc. (b) 5,890 1,310 Informatica Corp. (b) 24,091 377 JDA Software Group, Inc. (b) 7,770 310 Manhattan Associates, Inc. (b) 5,735 2,079 Phoenix Technologies Ltd. (b) 6,882 532 Progress Software Corp. (b) 12,039 3,394 Radiant Systems, Inc. (b) 34,144 2,868 Smith Micro Software, Inc. (b) 32,781 5,729 Sonic Solutions (b) 20,796 338 SPSS, Inc. (b) 16,724 595 Take-Two Interactive Software, Inc. (b) 5,664 1,541 Taleo Corp., Class A (b) 26,968 1,082 Tyler Technologies, Inc. (b) 16,663 1,263 Websense, Inc. (b) 18,692 ----------- 346,519 ----------- SPECIALTY RETAIL -- 5.0% 1,019 Big 5 Sporting Goods Corp. 13,247 532 Buckle (The), Inc. 16,460 2,289 Cabela's, Inc. (b) 37,105 1,292 Cato (The) Corp., Class A 25,685 875 Charlotte Russe Holding, Inc. (b) 13,134 640 Children's Place Retail Stores (The), Inc. (b) 20,973 840 Christopher & Banks Corp. 6,653 1,575 Dress Barn (The), Inc. (b) 24,554 2,278 Finish Line (The), Inc., Class A 19,818 1,501 Genesco, Inc. (b) 32,602 635 Gymboree (The) Corp. (b) 25,260 626 Hibbett Sports, Inc. (b) 11,525 3,853 Hot Topic, Inc. (b) 29,784 1,090 Jo-Ann Stores, Inc. (b) 25,397 817 Jos. A. Bank Clothiers, Inc. (b) 29,894 1,174 Men's Wearhouse (The), Inc. 25,370 538 Midas, Inc. (b) 5,310 555 Pep Boys-Manny, Moe & Jack (The) 5,511 682 Tractor Supply Co. (b) 32,715 SHARES DESCRIPTION VALUE -------------------------------------------------------------- SPECIALTY RETAIL (Continued) 2,530 Tween Brands, Inc. (b) $ 18,317 ----------- 419,314 ----------- TEXTILES, APPAREL & LUXURY GOODS -- 3.2% 1,145 Carter's, Inc. (b) 32,449 4,970 CROCS, Inc. (b) 16,997 160 Deckers Outdoor Corp. (b) 10,818 1,831 Iconix Brand Group, Inc. (b) 32,079 1,474 Maidenform Brands, Inc. (b) 20,385 1,069 Movado Group, Inc. 15,265 773 Perry Ellis International, Inc. (b) 5,960 3,044 Quiksilver, Inc. (b) 6,545 2,883 Skechers U.S.A., Inc., Class A (b) 39,872 1,263 True Religion Apparel, Inc. (b) 28,241 757 UniFirst Corp. 29,462 901 Volcom, Inc. (b) 10,929 766 Wolverine World Wide, Inc. 18,461 ----------- 267,463 ----------- THRIFTS & MORTGAGE FINANCE -- 0.3% 1,292 Bank Mutual Corp. 12,713 1,237 Dime Community Bancshares, Inc. 14,894 ----------- 27,607 ----------- TOBACCO -- 0.4% 7,411 Alliance One International, Inc. (b) 30,682 ----------- TRADING COMPANIES & DISTRIBUTORS -- 0.6% 1,143 Applied Industrial Technologies, Inc. 25,283 1,012 Kaman Corp. 19,410 115 Watsco, Inc. 6,033 ----------- 50,726 ----------- WATER UTILITIES -- 0.1% 162 American States Water Co. 5,889 ----------- TOTAL COMMON STOCKS -- 100.3% (Cost $7,598,981) 8,331,244 MONEY MARKET FUND -- 0.3% 29,036 Morgan Stanley Institutional Treasury Money Market Fund- 0.01% (c) (Cost $29,036) 29,036 ----------- TOTAL INVESTMENTS -- 100.6% (Cost $7,628,017) (d) 8,360,280 NET OTHER ASSETS AND LIABILITIES -- (0.6)% (53,181) ----------- NET ASSETS -- 100.0% $ 8,307,099 =========== See Notes to Financial Statements Page 73 FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND Portfolio of Investments (a) (Continued) July 31, 2009 (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 July 31, 2009. (d) Aggregate cost for federal income tax purposes is $7,857,710. As of July 31, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $940,218 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $437,648. _____________________ Valuation Inputs A summary of the inputs used to value the Fund's investments as of July 31, 2009 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs Investments Level 1 Level 2 Level 3 __________________________________________________________________ Common Stocks* $ 8,331,244 $ -- $ -- Money Market Fund 29,036 -- -- __________________________________________ Total Investments $ 8,360,280 $ -- $ -- ========================================== * See Portfolio of Investments for industry breakout. Page 74 See Notes to Financial Statements FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(R) FUND Portfolio of Investments (a) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 100.1% AEROSPACE & DEFENSE -- 3.6% 1,925 General Dynamics Corp. $ 106,626 2,134 Goodrich Corp. 109,602 2,488 Honeywell International, Inc. 86,334 1,921 L-3 Communications Holdings, Inc. 145,035 1,460 Precision Castparts Corp. 116,523 1,758 Raytheon Co. 82,538 ----------- 646,658 ----------- AIR FREIGHT & LOGISTICS -- 0.7% 1,917 FedEx Corp. 130,049 ----------- AIRLINES -- 0.5% 11,608 Southwest Airlines Co. 91,123 ----------- AUTOMOBILES -- 1.0% 8,223 Harley-Davidson, Inc. 185,840 ----------- BEVERAGES -- 0.5% 606 Brown-Forman Corp., Class B 26,634 1,260 Molson Coors Brewing Co., Class B 56,964 ----------- 83,598 ----------- BIOTECHNOLOGY -- 0.6% 941 Cephalon, Inc. (b) 55,190 468 Genzyme Corp. (b) 24,284 556 Gilead Sciences, Inc. (b) 27,205 ----------- 106,679 ----------- CAPITAL MARKETS -- 1.3% 1,073 Ameriprise Financial, Inc. 29,829 2,213 Federated Investors, Inc., Class B 57,383 2,992 Invesco Ltd. 59,092 1,870 Morgan Stanley 53,295 625 T. Rowe Price Group, Inc. 29,194 ----------- 228,793 ----------- CHEMICALS -- 2.6% 403 Air Products and Chemicals, Inc. 30,064 1,798 CF Industries Holdings, Inc. 141,934 3,304 Dow Chemical (The) Co. 69,946 1,016 E.I. du Pont de Nemours & Co. 31,425 2,814 Eastman Chemical Co. 139,743 350 Monsanto Co. 29,400 593 PPG Industries, Inc. 32,615 ----------- 475,127 ----------- COMMERCIAL BANKS -- 1.7% 4,852 BB&T Corp. 111,014 1,231 Comerica, Inc. 29,347 1,534 M&T Bank Corp. 89,463 671 PNC Financial Services Group, Inc. 24,599 1,583 SunTrust Banks, Inc. 30,868 1,453 U.S. Bancorp 29,656 ----------- 314,947 ----------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES -- 1.7% 5,836 Cintas Corp. $ 146,950 1,187 Pitney Bowes, Inc. 24,512 4,589 R.R. Donnelley & Sons Co. 63,787 2,774 Waste Management, Inc. 77,977 ----------- 313,226 ----------- COMPUTERS & PERIPHERALS -- 0.4% 6,161 QLogic Corp. (b) 80,401 ----------- CONSTRUCTION & ENGINEERING -- 0.4% 1,856 Jacobs Engineering Group, Inc. (b) 76,059 ----------- CONSUMER FINANCE -- 1.0% 1,190 Capital One Financial Corp. 36,533 12,979 Discover Financial Services 154,191 ----------- 190,724 ----------- CONTAINERS & PACKAGING -- 0.4% 3,100 Bemis Co., Inc. 81,592 ----------- DISTRIBUTORS -- 0.5% 2,328 Genuine Parts Co. 82,458 ----------- DIVERSIFIED CONSUMER SERVICES -- 0.1% 1,511 H&R Block, Inc. 25,219 ----------- DIVERSIFIED FINANCIAL SERVICES -- 1.7% 8,079 Bank of America Corp. 119,488 61,999 CIT Group, Inc. 53,939 763 JPMorgan Chase & Co. 29,490 988 Moody's Corp. 23,455 3,666 NASDAQ OMX Group (The), Inc. (b) 77,463 ----------- 303,835 ----------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 2.7% 4,293 AT&T, Inc. 112,606 4,342 CenturyTel, Inc. 136,295 7,468 Frontier Communications Corp. 52,276 12,848 Qwest Communications International, Inc. 49,593 2,542 Verizon Communications, Inc. 81,522 6,378 Windstream Corp. 55,935 ----------- 488,227 ----------- ELECTRIC UTILITIES -- 8.2% 4,157 Allegheny Energy, Inc. 104,798 4,614 American Electric Power Co., Inc. 142,849 7,309 Duke Energy Corp. 113,143 4,237 Edison International 136,940 1,008 Entergy Corp. 80,973 1,525 Exelon Corp. 77,561 3,440 FirstEnergy Corp. 141,728 See Notes to Financial Statements Page 75 FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(R) FUND Portfolio of Investments (a) (Continued) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (Continued) ELECTRIC UTILITIES (Continued) 1,374 FPL Group, Inc. $ 77,865 4,780 Northeast Utilities 109,988 9,918 Pepco Holdings, Inc. 142,621 3,537 Pinnacle West Capital Corp. 113,043 1,618 PPL Corp. 54,672 2,819 Progress Energy, Inc. 111,181 2,507 Southern Co. 78,720 ----------- 1,486,082 ----------- ELECTRICAL EQUIPMENT -- 1.1% 3,434 Cooper Industries Ltd., Class A 113,150 2,411 Emerson Electric Co. 87,712 ----------- 200,862 ----------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.9% 8,300 Corning, Inc. 141,100 1,675 Molex, Inc. 29,748 ----------- 170,848 ----------- ENERGY EQUIPMENT & SERVICES -- 2.9% 1,284 Diamond Offshore Drilling, Inc. 115,393 5,152 Halliburton Co. 113,808 4,081 National Oilwell Varco, Inc. (b) 146,671 6,900 Rowan Cos., Inc. 147,177 ----------- 523,049 ----------- FOOD & STAPLES RETAILING -- 2.0% 1,167 Costco Wholesale Corp. 57,767 3,543 Kroger (The) Co. 75,749 6,544 Safeway, Inc. 123,878 4,116 Whole Foods Market, Inc. (b) 99,566 ----------- 356,960 ----------- FOOD PRODUCTS -- 1.9% 4,979 Archer-Daniels-Midland Co. 149,967 2,797 ConAgra Foods, Inc. 54,905 729 H. J. Heinz Co. 28,037 1,096 J. M. Smucker (The) Co. 54,833 1,028 Kraft Foods, Inc., Class A 29,134 2,065 Tyson Foods, Inc., Class A 23,603 ----------- 340,479 ----------- GAS UTILITIES -- 0.9% 1,527 EQT Corp. 58,606 3,080 Nicor, Inc. 112,235 ----------- 170,841 ----------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.3% 1,007 Baxter International, Inc. 56,765 1,095 Becton, Dickinson & Co. 71,339 716 C. R. Bard, Inc. 52,676 1,747 DENTSPLY International, Inc. 58,262 ----------- 239,042 ----------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES -- 3.3% 4,257 Aetna, Inc. $ 114,811 3,006 AmerisourceBergen Corp. 59,278 3,491 Cardinal Health, Inc. 116,250 1,081 CIGNA Corp. 30,701 4,132 Humana, Inc. (b) 135,736 1,212 McKesson Corp. 61,994 18,908 Tenet Healthcare Corp. (b) 74,687 ----------- 593,457 ----------- HOTELS, RESTAURANTS & LEISURE -- 1.8% 5,173 Carnival Corp. 144,792 2,369 Darden Restaurants, Inc. 76,732 1,638 International Game Technology 32,350 927 McDonald's Corp. 51,041 1,173 Starwood Hotels & Resorts Worldwide, Inc. 27,695 ----------- 332,610 ----------- HOUSEHOLD DURABLES -- 2.9% 750 Fortune Brands, Inc. 29,678 3,501 Leggett & Platt, Inc. 60,742 4,638 Snap-on, Inc. 165,252 2,308 Stanley Works (The) 92,666 3,132 Whirlpool Corp. 178,806 ----------- 527,144 ----------- HOUSEHOLD PRODUCTS -- 0.6% 466 Clorox (The) Co. 28,430 1,529 Procter & Gamble (The) Co. 84,875 ----------- 113,305 ----------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 1.0% 6,729 AES (The) Corp. (b) 86,064 46,977 Dynegy, Inc., Class A (b) 94,424 ----------- 180,488 ----------- INDUSTRIAL CONGLOMERATES -- 1.1% 6,665 General Electric Co. 89,311 8,087 Textron, Inc. 108,689 ----------- 198,000 ----------- INSURANCE -- 4.9% 688 Aon Corp. 27,142 4,427 Assurant, Inc. 112,977 1,959 Chubb (The) Corp. 90,467 5,964 Cincinnati Financial Corp. 144,031 30,785 MBIA, Inc. (b) 128,989 1,777 MetLife, Inc. 60,329 1,382 Principal Financial Group, Inc. 32,753 2,109 Torchmark Corp. 82,377 2,598 Travelers (The) Cos., Inc. 111,896 4,926 Unum Group 92,461 ----------- 883,422 ----------- Page 76 See Notes to Financial Statements FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(R) FUND Portfolio of Investments (a) (Continued) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (Continued) IT SERVICES -- 1.9% 2,401 Affiliated Computer Services, Inc., Class A (b) $ 113,831 3,009 Computer Sciences Corp. (b) 144,944 3,914 Fidelity National Information Services, Inc. 91,666 ----------- 350,441 ----------- LEISURE EQUIPMENT & PRODUCTS -- 0.8% 3,223 Hasbro, Inc. 85,409 3,322 Mattel, Inc. 58,401 ----------- 143,810 ----------- LIFE SCIENCES TOOLS & SERVICES -- 0.9% 4,490 PerkinElmer, Inc. 79,159 1,916 Thermo Fisher Scientific, Inc. (b) 86,756 ----------- 165,915 ----------- MACHINERY -- 3.5% 1,335 Deere & Co. 58,393 3,223 Dover Corp. 109,614 2,988 Eaton Corp. 155,137 1,528 Flowserve Corp. 123,416 2,008 Pall Corp. 60,401 3,103 Parker Hannifin Corp. 137,401 ----------- 644,362 ----------- MEDIA -- 2.7% 9,199 Comcast Corp., Class A 136,697 15,469 Interpublic Group of Cos. (The), Inc. (b) 80,593 3,057 Meredith Corp. 80,919 4,571 Walt Disney (The) Co. 114,824 151 Washington Post (The) Co., Class B 68,176 ----------- 481,209 ----------- METALS & MINING -- 1.5% 2,521 Alcoa, Inc. 29,647 3,816 Allegheny Technologies, Inc. 103,337 3,730 United States Steel Corp. 148,268 ----------- 281,252 ----------- MULTILINE RETAIL -- 1.6% 5,071 Big Lots, Inc. (b) 116,836 2,721 J. C. Penney Co., Inc. 82,038 1,827 Kohl's Corp. (b) 88,701 ----------- 287,575 ----------- MULTI-UTILITIES -- 8.9% 5,355 Ameren Corp. 136,178 7,050 CenterPoint Energy, Inc. 84,953 11,035 CMS Energy Corp. 142,793 2,850 Consolidated Edison, Inc. 112,176 2,337 Dominion Resources, Inc. 78,991 4,166 DTE Energy Co. 143,560 868 Integrys Energy Group, Inc. 29,321 11,432 NiSource, Inc. 147,359 2,774 PG&E Corp. 111,986 SHARES DESCRIPTION VALUE -------------------------------------------------------------- MULTI-UTILITIES (Continued) 1,634 Public Service Enterprise Group, Inc. $ 53,023 3,284 SCANA Corp. 116,089 2,149 Sempra Energy 112,672 8,939 TECO Energy, Inc. 120,587 2,619 Wisconsin Energy Corp. 112,538 5,792 Xcel Energy, Inc. 115,493 ----------- 1,617,719 ----------- OFFICE ELECTRONICS -- 0.9% 20,571 Xerox Corp. 168,477 ----------- OIL, GAS & CONSUMABLE FUELS -- 6.9% 4,424 Marathon Oil Corp. 142,674 5,457 Massey Energy Co. 145,156 2,260 Noble Energy, Inc. 138,131 2,026 Occidental Petroleum Corp. 144,535 4,420 Peabody Energy Corp. 146,346 5,227 Pioneer Natural Resources Co. 149,231 4,617 Spectra Energy Corp. 84,768 10,471 Tesoro Corp. 137,066 1,542 Valero Energy Corp. 27,756 8,539 Williams (The) Cos., Inc. 142,516 ----------- 1,258,179 ----------- PAPER & FOREST PRODUCTS -- 0.7% 6,498 MeadWestvaco Corp. 126,646 ----------- PHARMACEUTICALS -- 2.1% 1,133 Abbott Laboratories 50,974 2,625 Bristol-Myers Squibb Co. 57,068 2,794 Merck & Co., Inc. 83,848 7,109 Pfizer, Inc. 113,246 1,037 Schering-Plough Corp. 27,491 1,175 Wyeth 54,696 ----------- 387,323 ----------- PROFESSIONAL SERVICES -- 0.5% 6,615 Monster Worldwide, Inc. (b) 86,193 ----------- REAL ESTATE INVESTMENT TRUSTS -- 1.3% 1,229 HCP, Inc. 31,659 764 Health Care REIT, Inc. 30,606 6,355 Host Hotels & Resorts, Inc. 57,703 5,305 Kimco Realty Corp. 52,201 874 Plum Creek Timber Co., Inc. 27,339 3,231 ProLogis 28,401 ----------- 227,909 ----------- ROAD & RAIL -- 3.6% 1,062 Burlington Northern Santa Fe Corp. 83,462 3,079 CSX Corp. 123,529 3,539 Norfolk Southern Corp. 153,062 4,774 Ryder System, Inc. 167,711 2,048 Union Pacific Corp. 117,801 ----------- 645,565 ----------- See Notes to Financial Statements Page 77 FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(R) FUND Portfolio of Investments (a) (Continued) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (Continued) SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.5% 2,152 Analog Devices, Inc. $ 58,901 4,720 Intel Corp. 90,860 1,115 Linear Technology Corp. 29,960 1,155 Microchip Technology, Inc. 31,104 2,606 Xilinx, Inc. 56,524 ----------- 267,349 ----------- SOFTWARE -- 0.4% 3,059 CA, Inc. 64,667 ----------- SPECIALTY RETAIL -- 1.7% 2,256 Home Depot (The), Inc. 58,520 4,454 Limited Brands, Inc. 57,635 5,494 Lowe's Cos., Inc. 123,395 2,102 Tiffany & Co. 62,703 ----------- 302,253 ----------- TEXTILES, APPAREL & LUXURY GOODS -- 0.7% 1,927 VF Corp. 124,658 ----------- THRIFTS & MORTGAGE FINANCE -- 0.2% 1,731 People's United Financial, Inc. 28,129 ----------- TOBACCO -- 1.0% 1,589 Altria Group, Inc. 27,855 787 Lorillard, Inc. 58,018 597 Philip Morris International, Inc. 27,820 1,381 Reynolds American, Inc. 60,087 ----------- 173,780 ----------- WIRELESS TELECOMMUNICATION SERVICES -- 0.6% 1,956 MetroPCS Communications, Inc. (b) 23,179 22,170 Sprint Nextel Corp. (b) 88,680 ----------- 111,859 ----------- TOTAL COMMON STOCKS -- 100.1% (Cost $16,675,347) 18,166,414 MONEY MARKET FUND -- 0.2% 32,980 Morgan Stanley Institutional Treasury Money Market Fund- 0.01% (c) (Cost $32,980) 32,980 ----------- TOTAL INVESTMENTS -- 100.3% (Cost $16,708,327) (d) 18,199,394 NET OTHER ASSETS AND LIABILITIES -- (0.3)% (58,714) ----------- NET ASSETS -- 100.0% $18,140,680 =========== (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 July 31, 2009. (d) Aggregate cost for federal income tax purposes is $17,464,671. As of July 31, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $1,881,086 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $1,146,363. ______________________ Valuation Inputs A summary of the inputs used to value the Fund's investments as of July 31, 2009 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs Investments Level 1 Level 2 Level 3 __________________________________________________________________ Common Stocks* $18,166,414 $ -- $ -- Money Market Fund 32,980 -- -- __________________________________________ Total Investments $18,199,394 $ -- $ -- ========================================== * See Portfolio of Investments for industry breakout. Page 78 See Notes to Financial Statements FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(R) FUND Portfolio of Investments (a) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 100.2% AEROSPACE & DEFENSE -- 2.2% 618 Boeing (The) Co. $ 26,518 1,827 ITT Corp. 90,254 652 Lockheed Martin Corp. 48,744 1,948 Rockwell Collins, Inc. 82,206 1,011 United Technologies Corp. 55,069 ----------- 302,791 ----------- AIR FREIGHT & LOGISTICS -- 0.6% 1,559 C.H. Robinson Worldwide, Inc. 85,012 ----------- BEVERAGES -- 2.2% 547 Coca-Cola (The) Co. 27,262 4,960 Dr. Pepper Snapple Group, Inc. (b) 122,066 4,003 Pepsi Bottling Group (The), Inc. 135,902 478 PepsiCo, Inc. 27,126 ----------- 312,356 ----------- CAPITAL MARKETS -- 1.7% 63,502 E*TRADE Financial Corp. (b) 95,253 551 Goldman Sachs Group (The), Inc. 89,978 1,113 State Street Corp. 55,984 ----------- 241,215 ----------- CHEMICALS -- 1.8% 2,085 Ecolab, Inc. 86,548 1,606 International Flavors & Fragrances, Inc. 56,628 370 Praxair, Inc. 28,927 1,640 Sigma-Aldrich Corp. 83,230 ----------- 255,333 ----------- COMMERCIAL BANKS -- 0.6% 6,773 First Horizon National Corp. (b) 86,830 ----------- COMMERCIAL SERVICES & SUPPLIES -- 2.0% 4,712 Iron Mountain, Inc. (b) 137,638 4,305 Republic Services, Inc. 114,513 510 Stericycle, Inc. (b) 26,112 ----------- 278,263 ----------- COMMUNICATIONS EQUIPMENT -- 3.5% 5,740 Juniper Networks, Inc. (b) 149,986 20,433 Motorola, Inc. 146,301 2,325 QUALCOMM, Inc. 107,438 14,185 Tellabs, Inc. (b) 82,273 ----------- 485,998 ----------- COMPUTERS & PERIPHERALS -- 7.7% 951 Apple, Inc. (b) 155,384 7,654 Dell, Inc. (b) 102,410 8,022 EMC Corp. (b) 120,811 2,719 Hewlett-Packard Co. 117,733 503 International Business Machines Corp. 59,319 6,870 NetApp, Inc. (b) 154,300 3,577 SanDisk Corp. (b) 63,742 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMPUTERS & PERIPHERALS (Continued) 5,782 Teradata Corp. (b) $ 142,064 5,112 Western Digital Corp. (b) 154,638 ----------- 1,070,401 ----------- CONSTRUCTION & ENGINEERING -- 1.6% 2,641 Fluor Corp. 139,445 3,514 Quanta Services, Inc. (b) 81,911 ----------- 221,356 ----------- CONSUMER FINANCE -- 0.9% 3,498 American Express Co. 99,098 2,558 SLM Corp. (b) 22,741 ----------- 121,839 ----------- CONTAINERS & PACKAGING -- 2.9% 1,164 Ball Corp. 56,291 2,902 Owens-Illinois, Inc. (b) 98,494 4,843 Pactiv Corp. (b) 121,946 7,343 Sealed Air Corp. 135,038 ----------- 411,769 ----------- DIVERSIFIED CONSUMER SERVICES -- 0.4% 369 Apollo Group, Inc., Class A (b) 25,476 525 DeVry, Inc. 26,113 ----------- 51,589 ----------- DIVERSIFIED FINANCIAL SERVICES -- 1.7% 338 CME Group, Inc. 94,245 1,186 IntercontinentalExchange, Inc. (b) 111,555 964 NYSE Euronext 25,980 ----------- 231,780 ----------- ELECTRICAL EQUIPMENT -- 0.5% 1,636 Rockwell Automation, Inc. 67,747 ----------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.6% 1,294 Agilent Technologies, Inc. (b) 30,047 1,661 Amphenol Corp., Class A 55,394 ----------- 85,441 ----------- ENERGY EQUIPMENT & SERVICES -- 4.9% 1,442 Baker Hughes, Inc. 58,401 5,963 BJ Services Co. 84,555 3,713 Cameron International Corp. (b) 115,957 1,507 ENSCO International, Inc. 57,100 2,796 FMC Technologies, Inc. (b) 121,626 6,745 Nabors Industries Ltd. (b) 114,800 971 Schlumberger Ltd. 51,949 3,157 Smith International, Inc. 79,335 ----------- 683,723 ----------- See Notes to Financial Statements Page 79 FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(R) FUND Portfolio of Investments (a) (Continued) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (Continued) FOOD & STAPLES RETAILING -- 2.2% 3,298 CVS Caremark Corp. $ 110,417 1,169 Sysco Corp. 27,776 4,608 Walgreen Co. 143,078 542 Wal-Mart Stores, Inc. 27,035 ----------- 308,306 ----------- FOOD PRODUCTS -- 3.4% 4,236 Dean Foods Co. (b) 89,761 938 General Mills, Inc. 55,258 1,460 Hershey (The) Co. 58,327 3,043 Hormel Foods Corp. 109,274 2,257 Kellogg Co. 107,207 1,615 McCormick & Co., Inc. 52,035 ----------- 471,862 ----------- HEALTH CARE EQUIPMENT & SUPPLIES -- 3.5% 8,016 Boston Scientific Corp. (b) 86,092 2,728 Hospira, Inc. (b) 104,837 642 Intuitive Surgical, Inc. (b) 145,939 753 Medtronic, Inc. 26,671 2,557 St. Jude Medical, Inc. (b) 96,425 748 Varian Medical Systems, Inc. (b) 26,382 ----------- 486,346 ----------- HEALTH CARE PROVIDERS & SERVICES -- 6.6% 7,241 Coventry Health Care, Inc. (b) 166,543 1,643 DaVita, Inc. (b) 81,657 1,970 Express Scripts, Inc. (b) 137,979 1,199 Laboratory Corp. of America Holdings (b) 80,561 2,970 Medco Health Solutions, Inc. (b) 156,994 2,421 Patterson Cos., Inc. (b) 61,397 1,862 Quest Diagnostics, Inc. 101,702 2,662 WellPoint, Inc. (b) 140,128 ----------- 926,961 ----------- HOTELS, RESTAURANTS & LEISURE -- 2.3% 4,762 Marriott International, Inc., Class A 102,573 7,566 Starbucks Corp. (b) 133,918 2,438 Yum! Brands, Inc. 86,452 ----------- 322,943 ----------- HOUSEHOLD DURABLES -- 0.5% 2,807 D.R. Horton, Inc. 32,533 1,397 Harman International Industries, Inc. 34,478 ----------- 67,011 ----------- HOUSEHOLD PRODUCTS -- 1.0% 1,149 Colgate-Palmolive Co. 83,233 1,002 Kimberly-Clark Corp. 58,567 ----------- 141,800 ----------- INDUSTRIAL CONGLOMERATES -- 0.2% 437 3M Co. 30,817 ----------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- INSURANCE -- 0.2% 845 Aflac, Inc. $ 31,992 ----------- INTERNET & CATALOG RETAIL -- 2.3% 1,619 Amazon.com, Inc. (b) 138,845 8,966 Expedia, Inc. (b) 185,686 ----------- 324,531 ----------- INTERNET SOFTWARE & SERVICES -- 1.4% 3,067 eBay, Inc. (b) 65,174 249 Google, Inc., Class A (b) 110,319 1,678 Yahoo!, Inc. (b) 24,029 ----------- 199,522 ----------- IT SERVICES -- 2.5% 5,074 Cognizant Technology Solutions Corp., Class A (b) 150,140 2,964 Fiserv, Inc. (b) 140,523 3,204 Western Union Co. 56,006 ----------- 346,669 ----------- LIFE SCIENCES TOOLS & SERVICES -- 2.4% 3,247 Life Technologies Corp. (b) 147,836 1,497 Millipore Corp. (b) 104,191 1,579 Waters Corp. (b) 79,345 ----------- 331,372 ----------- MACHINERY -- 1.7% 2,308 Cummins, Inc. 99,267 851 Danaher Corp. 52,115 1,407 Illinois Tool Works, Inc. 57,054 808 PACCAR, Inc. 27,997 ----------- 236,433 ----------- MEDIA -- 2.8% 3,289 DIRECTV Group (The), Inc. (b) 85,185 1,745 McGraw-Hill (The) Cos., Inc. 54,706 2,574 Omnicom Group, Inc. 87,516 1,888 Scripps Networks Interactive, Inc., Class A 60,944 4,630 Viacom, Inc., Class B (b) 107,231 ----------- 395,582 ----------- METALS & MINING -- 0.4% 1,183 Nucor Corp. 52,608 ----------- MULTILINE RETAIL -- 3.4% 3,713 Family Dollar Stores, Inc. 116,662 4,087 Nordstrom, Inc. 108,060 2,037 Sears Holdings Corp. (b) 135,135 2,663 Target Corp. 116,160 ----------- 476,017 ----------- OIL, GAS & CONSUMABLE FUELS -- 4.1% 1,158 Anadarko Petroleum Corp. 55,816 1,715 Cabot Oil & Gas Corp. 60,248 Page 80 See Notes to Financial Statements FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(R) FUND Portfolio of Investments (a) (Continued) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (Continued) OIL, GAS & CONSUMABLE FUELS (Continued) 2,650 Chesapeake Energy Corp. $ 56,816 2,393 CONSOL Energy, Inc. 85,023 387 EOG Resources, Inc. 28,650 1,935 Murphy Oil Corp. 112,617 634 Range Resources Corp. 29,424 2,705 Southwestern Energy Co. (b) 112,068 689 XTO Energy, Inc. 27,718 ----------- 568,380 ----------- PERSONAL PRODUCTS -- 0.9% 2,038 Avon Products, Inc. 65,990 1,608 Estee Lauder (The) Cos., Inc., Class A 58,596 ----------- 124,586 ----------- PHARMACEUTICALS -- 2.1% 552 Allergan, Inc. 29,493 2,728 King Pharmaceuticals, Inc. (b) 24,743 10,381 Mylan, Inc. (b) 136,926 3,119 Watson Pharmaceuticals, Inc. (b) 108,323 ----------- 299,485 ----------- PROFESSIONAL SERVICES -- 0.8% 324 Dun & Bradstreet (The) Corp. 23,325 3,441 Robert Half International, Inc. 85,302 ----------- 108,627 ----------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.7% 8,684 CB Richard Ellis Group, Inc., Class A (b) 94,656 ----------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.7% 27,156 Advanced Micro Devices, Inc. (b) 99,391 5,465 Broadcom Corp., Class A (b) 154,277 17,825 LSI Corp. (b) 92,333 1,233 Texas Instruments, Inc. 29,654 ----------- 375,655 ----------- SOFTWARE -- 5.2% 928 Adobe Systems, Inc. (b) 30,086 1,555 BMC Software, Inc. (b) 52,917 4,248 Citrix Systems, Inc. (b) 151,229 2,419 Electronic Arts, Inc. (b) 51,936 1,866 Intuit, Inc. (b) 55,420 3,211 McAfee, Inc. (b) 143,146 3,420 Microsoft Corp. 80,438 4,906 Oracle Corp. 108,570 688 Salesforce.com, Inc. (b) 29,818 1,688 Symantec Corp. (b) 25,202 ----------- 728,762 ----------- SPECIALTY RETAIL -- 7.9% 538 AutoZone, Inc. (b) 82,621 4,406 Bed Bath & Beyond, Inc. (b) 153,108 SHARES DESCRIPTION VALUE -------------------------------------------------------------- SPECIALTY RETAIL (Continued) 3,138 Best Buy Co., Inc. $ 117,267 1,194 GameStop Corp., Class A (b) 26,137 6,408 Gap (The), Inc. 104,579 3,558 O'Reilly Automotive, Inc. (b) 144,668 9,704 RadioShack Corp. 150,509 489 Sherwin-Williams (The) Co. 28,240 6,716 Staples, Inc. 141,170 4,306 TJX (The) Cos., Inc. 156,006 ----------- 1,104,305 ----------- TEXTILES, APPAREL & LUXURY GOODS -- 2.4% 5,040 Coach, Inc. 149,134 1,015 NIKE, Inc., Class B 57,489 1,963 Polo Ralph Lauren Corp. 123,767 ----------- 330,390 ----------- THRIFTS & MORTGAGE FINANCE -- 0.2% 1,977 Hudson City Bancorp, Inc. 27,797 ----------- TRADING COMPANIES & DISTRIBUTORS -- 0.6% 993 W.W. Grainger, Inc. 89,281 ----------- TOTAL COMMON STOCKS -- 100.2% (Cost $12,018,222) 13,996,139 MONEY MARKET FUND -- 0.3% 37,442 Morgan Stanley Institutional Treasury Money Market Fund- 0.01% (c) (Cost $37,442) 37,442 ----------- TOTAL INVESTMENTS -- 100.5% (Cost $12,055,664) (d) 14,033,581 NET OTHER ASSETS AND LIABILITIES -- (0.5)% (73,330) ----------- NET ASSETS -- 100.0% $13,960,251 =========== (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 July 31, 2009. (d) Aggregate cost for federal income tax purposes is $12,113,660. As of July 31, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $2,029,180 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $109,259. See Notes to Financial Statements Page 81 FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(R) FUND Portfolio of Investments (a) (Continued) July 31, 2009 _____________________ Valuation Inputs A summary of the inputs used to value the Fund's investments as of July 31, 2009 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs Investments Level 1 Level 2 Level 3 __________________________________________________________________ Common Stocks* $13,996,139 $ -- $ -- Money Market Fund 37,442 -- -- __________________________________________ Total Investments $14,033,581 $ -- $ -- ========================================== * See Portfolio of Investments for industry breakout. Page 82 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND Portfolio of Investments (a) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 2.2% 457 Esterline Technologies Corp. (b) $ 12,992 2,588 GenCorp, Inc. (b) 6,729 531 General Dynamics Corp. 29,412 589 Goodrich Corp. 30,251 687 Honeywell International, Inc. 23,839 530 L-3 Communications Holdings, Inc. 40,015 479 Moog, Inc., Class A (b) 12,914 402 Precision Castparts Corp. 32,084 484 Raytheon Co. 22,724 309 Triumph Group, Inc. 12,341 ----------- 223,301 ----------- AIR FREIGHT & LOGISTICS -- 0.4% 529 FedEx Corp. 35,887 240 Hub Group, Inc., Class A (b) 5,158 ----------- 41,045 ----------- AIRLINES -- 0.4% 3,829 JetBlue Airways Corp. (b) 19,566 3,201 Southwest Airlines Co. 25,128 ----------- 44,694 ----------- AUTO COMPONENTS -- 0.1% 872 Spartan Motors, Inc. 6,104 ----------- AUTOMOBILES -- 0.5% 2,268 Harley-Davidson, Inc. 51,257 ----------- BEVERAGES -- 0.3% 168 Brown-Forman Corp., Class B 7,383 348 Molson Coors Brewing Co., Class B 15,733 419 PepsiAmericas, Inc. 11,221 ----------- 34,337 ----------- BIOTECHNOLOGY -- 0.6% 260 Cephalon, Inc. (b) 15,249 129 Genzyme Corp. (b) 6,694 153 Gilead Sciences, Inc. (b) 7,486 994 OSI Pharmaceuticals, Inc. (b) 33,587 ----------- 63,016 =========== BUILDING PRODUCTS -- 0.4% 1,003 Apogee Enterprises, Inc. 14,624 719 Gibraltar Industries, Inc. 5,587 593 Griffon Corp. (b) 5,717 170 Lennox International, Inc. 5,924 149 Universal Forest Products, Inc. 6,651 ----------- 38,503 ----------- CAPITAL MARKETS -- 1.0% 297 Ameriprise Financial, Inc. 8,257 610 Federated Investors, Inc., Class B 15,817 824 Invesco Ltd. 16,274 484 Investment Technology Group, Inc. (b) 10,817 574 LaBranche & Co., Inc. (b) 2,176 517 Morgan Stanley 14,735 950 Raymond James Financial, Inc. 19,494 SHARES DESCRIPTION VALUE -------------------------------------------------------------- CAPITAL MARKETS (Continued) 353 SWS Group, Inc. $ 4,857 172 T. Rowe Price Group, Inc. 8,034 ----------- 100,461 ----------- CHEMICALS -- 4.0% 328 A. Schulman, Inc. 6,990 111 Air Products and Chemicals, Inc. 8,281 403 Airgas, Inc. 17,966 439 Albemarle Corp. 13,043 657 American Vanguard Corp. 5,690 301 Arch Chemicals, Inc. 7,991 582 Ashland, Inc. 19,287 1,784 Cabot Corp. 32,647 178 Calgon Carbon Corp. (b) 2,255 497 CF Industries Holdings, Inc. 39,233 911 Dow Chemical (The) Co. 19,286 280 E.I. du Pont de Nemours & Co. 8,660 777 Eastman Chemical Co. 38,586 780 Minerals Technologies, Inc. 33,907 97 Monsanto Co. 8,148 2,361 Olin Corp. 32,558 427 OM Group, Inc. (b) 14,373 163 PPG Industries, Inc. 8,965 558 Quaker Chemical Corp. 10,044 994 Sensient Technologies Corp. 25,039 223 Stepan Co. 9,986 1,159 Terra Industries, Inc. 33,796 499 Valspar (The) Corp. 12,635 ----------- 409,366 ----------- COMMERCIAL BANKS -- 4.5% 1,797 Associated Banc-Corp. 19,479 548 BancorpSouth, Inc. 12,330 152 Bank of Hawaii Corp. 5,832 1,339 BB&T Corp. 30,636 1,719 Cathay General Bancorp 15,677 659 Central Pacific Financial Corp. 1,430 148 City National Corp. 5,837 482 Columbia Banking System, Inc. 5,851 340 Comerica, Inc. 8,106 171 Commerce Bancshares, Inc. 6,269 679 Community Bank System, Inc. 12,310 119 Cullen/Frost Bankers, Inc. 5,716 3,127 First BanCorp. 9,694 1,169 First Commonwealth Financial Corp. 7,797 984 First Financial Bancorp 8,502 1,352 First Midwest Bancorp, Inc. 11,303 661 FirstMerit Corp. 12,347 2,041 Frontier Financial Corp. 1,837 1,047 Fulton Financial Corp. 7,078 168 Glacier Bancorp, Inc. 2,616 77 Hancock Holding Co. 3,110 1,411 Hanmi Financial Corp. (b) 2,483 130 Home Bancshares, Inc. 2,829 377 Independent Bank Corp. 8,041 2,722 International Bancshares Corp. 35,876 422 M&T Bank Corp. 24,611 See Notes to Financial Statements Page 83 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND Portfolio of Investments (a) (Continued) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (Continued) COMMERCIAL BANKS (Continued) 2,143 National Penn Bancshares, Inc. $ 10,672 228 NBT Bancorp, Inc. 5,230 754 Old National Bancorp 8,520 184 PNC Financial Services Group, Inc. 6,745 167 Prosperity Bancshares, Inc. 5,596 812 S&T Bancorp, Inc. 11,133 184 Simmons First National Corp., Class A 5,516 2,075 South Financial Group (The), Inc. 3,341 888 Sterling Bancorp 7,166 1,171 Sterling Bancshares, Inc. 9,450 849 Sterling Financial Corp. 2,369 437 SunTrust Banks, Inc. 8,522 2,525 Susquehanna Bancshares, Inc. 13,282 840 TCF Financial Corp. 11,878 847 Trustmark Corp. 16,855 401 U.S. Bancorp 8,184 1,961 UCBH Holdings, Inc. 2,373 64 UMB Financial Corp. 2,670 637 Umpqua Holdings Corp. 6,179 379 United Bankshares, Inc. 7,679 412 United Community Banks, Inc. (b) 2,773 467 Valley National Bancorp 5,940 809 Whitney Holding Corp. 7,087 614 Wintrust Financial Corp. 16,056 ----------- 452,813 ----------- COMMERCIAL SERVICES & SUPPLIES -- 2.2% 273 ABM Industries, Inc. 5,752 188 Brink's (The) Co. 5,104 1,610 Cintas Corp. 40,540 568 Consolidated Graphics, Inc. (b) 10,394 1,322 Corrections Corp. of America (b) 22,818 877 Deluxe Corp. 13,725 621 HNI Corp. 13,836 467 Mine Safety Appliances Co. 13,118 673 Mobile Mini, Inc. (b) 10,889 328 Pitney Bowes, Inc. 6,773 1,264 R.R. Donnelley & Sons Co. 17,570 1,515 Standard Register (The) Co. 5,363 283 United Stationers, Inc. (b) 13,137 631 Waste Connections, Inc. (b) 17,801 764 Waste Management, Inc. 21,476 ----------- 218,296 ----------- COMMUNICATIONS EQUIPMENT -- 0.3% 296 Black Box Corp. 8,131 354 EMS Technologies, Inc. (b) 7,788 1,259 Harmonic, Inc. (b) 8,725 461 PC-Tel, Inc. (b) 3,084 942 Tollgrade Communications, Inc. (b) 5,266 ----------- 32,994 ----------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMPUTERS & PERIPHERALS -- 0.4% 932 Adaptec, Inc. (b) $ 2,479 207 Diebold, Inc. 5,738 461 NCR Corp. (b) 5,965 1,699 QLogic Corp. (b) 22,172 ----------- 36,354 ----------- CONSTRUCTION & ENGINEERING -- 1.1% 613 EMCOR Group, Inc. (b) 14,786 674 Granite Construction, Inc. 22,835 291 Insituform Technologies, Inc., Class A (b) 5,354 512 Jacobs Engineering Group, Inc. (b) 20,982 1,218 KBR, Inc. 25,809 199 Shaw Group (The), Inc. (b) 5,859 330 URS Corp. (b) 16,698 ----------- 112,323 ----------- CONSTRUCTION MATERIALS -- 0.2% 69 Martin Marietta Materials, Inc. 5,939 314 Texas Industries, Inc. 14,287 ----------- 20,226 ----------- CONSUMER FINANCE -- 0.8% 329 Capital One Financial Corp. 10,100 529 Cash America International, Inc. 14,140 3,580 Discover Financial Services 42,531 653 Rewards Network, Inc. (b) 8,809 ----------- 75,580 ----------- CONTAINERS & PACKAGING -- 1.1% 483 AptarGroup, Inc. 16,866 854 Bemis Co., Inc. 22,477 253 Greif, Inc., Class A 12,987 1,009 Packaging Corp. of America 19,847 193 Rock-Tenn Co., Class A 8,677 682 Sonoco Products Co. 18,059 857 Temple-Inland, Inc. 13,421 ----------- 112,334 ----------- DISTRIBUTORS -- 0.2% 642 Genuine Parts Co. 22,740 ----------- DIVERSIFIED CONSUMER SERVICES -- 0.8% 397 Brink's Home Security Holdings, Inc. (b) 11,839 417 H&R Block, Inc. 6,960 446 Hillenbrand, Inc. 8,081 361 Matthews International Corp., Class A 11,285 1,290 Regis Corp. 17,621 4,099 Service Corp. International 25,906 ----------- 81,692 ----------- DIVERSIFIED FINANCIAL SERVICES -- 0.9% 2,229 Bank of America Corp. 32,967 Page 84 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND Portfolio of Investments (a) (Continued) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (Continued) DIVERSIFIED FINANCIAL SERVICES (Continued) 17,098 CIT Group, Inc. $ 14,875 361 Financial Federal Corp. 7,321 210 JPMorgan Chase & Co. 8,117 272 Moody's Corp. 6,457 1,011 NASDAQ OMX Group (The), Inc. (b) 21,362 ----------- 91,099 ----------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.6% 1,183 AT&T, Inc. 31,030 1,198 CenturyTel, Inc. 37,605 3,953 Cincinnati Bell, Inc. (b) 12,373 4,116 FairPoint Communications, Inc. 2,429 2,060 Frontier Communications Corp. 14,420 1,070 General Communication, Inc., Class A (b) 7,330 592 Iowa Telecommunications Services, Inc. 7,258 3,543 Qwest Communications International, Inc. 13,676 701 Verizon Communications, Inc. 22,481 1,759 Windstream Corp. 15,426 ----------- 164,028 ----------- ELECTRIC UTILITIES -- 6.1% 1,147 Allegheny Energy, Inc. 28,916 343 ALLETE, Inc. 10,969 1,272 American Electric Power Co., Inc. 39,381 682 Central Vermont Public Service Corp. 12,576 729 Cleco Corp. 17,270 707 DPL, Inc. 16,933 2,015 Duke Energy Corp. 31,192 1,169 Edison International 37,782 884 El Paso Electric Co. (b) 13,357 278 Entergy Corp. 22,332 421 Exelon Corp. 21,412 949 FirstEnergy Corp. 39,099 379 FPL Group, Inc. 21,478 1,804 Great Plains Energy, Inc. 28,738 858 Hawaiian Electric Industries, Inc. 15,333 859 IDACORP, Inc. 23,812 1,319 Northeast Utilities 30,350 2,602 NV Energy, Inc. 29,923 2,734 Pepco Holdings, Inc. 39,315 974 Pinnacle West Capital Corp. 31,129 447 PPL Corp. 15,104 778 Progress Energy, Inc. 30,684 691 Southern Co. 21,697 440 UIL Holdings Corp. 10,736 279 UniSource Energy Corp. 7,700 1,197 Westar Energy, Inc. 23,545 ----------- 620,763 ----------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- ELECTRICAL EQUIPMENT -- 1.6% 303 A.O. Smith Corp. $ 11,829 352 Acuity Brands, Inc. 10,387 416 Baldor Electric Co. 10,716 294 Brady Corp., Class A 8,647 948 Cooper Industries Ltd., Class A 31,237 664 Emerson Electric Co. 24,156 700 Hubbell, Inc., Class B 26,124 8,886 Magnetek, Inc. (b) 11,996 1,133 Woodward Governor Co. 22,252 ----------- 157,344 ----------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.5% 329 Anixter International, Inc. (b) 11,258 350 Cognex Corp. 5,775 2,289 Corning, Inc. 38,913 378 CTS Corp. 3,187 4,941 Gerber Scientific, Inc. (b) 15,465 1,057 Methode Electronics, Inc. 8,012 461 Molex, Inc. 8,187 479 MTS Systems Corp. 11,252 241 National Instruments Corp. 6,078 243 Rogers Corp. (b) 6,063 396 SYNNEX Corp. (b) 11,254 687 Tech Data Corp. (b) 23,997 ----------- 149,441 ----------- ENERGY EQUIPMENT & SERVICES -- 2.5% 497 Atwood Oceanics, Inc. (b) 14,333 418 Bristow Group, Inc. (b) 13,836 353 Diamond Offshore Drilling, Inc. 31,724 780 Gulf Island Fabrication, Inc. 11,310 1,421 Halliburton Co. 31,390 861 Matrix Service Co. (b) 8,722 1,125 National Oilwell Varco, Inc. (b) 40,433 1,120 Pride International, Inc. (b) 28,078 1,902 Rowan Cos., Inc. 40,570 654 Tidewater, Inc. 29,430 ----------- 249,826 ----------- FOOD & STAPLES RETAILING -- 1.9% 164 Andersons (The), Inc. 5,284 697 BJ's Wholesale Club, Inc. (b) 23,245 384 Casey's General Stores, Inc. 10,533 321 Costco Wholesale Corp. 15,890 2,324 Great Atlantic & Pacific Tea (The) Co., Inc. (b) 13,409 978 Kroger (The) Co. 20,910 457 Nash Finch Co. 14,030 1,199 Ruddick Corp. 28,176 1,804 Safeway, Inc. 34,150 1,134 Whole Foods Market, Inc. (b) 27,431 ----------- 193,058 ----------- See Notes to Financial Statements Page 85 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND Portfolio of Investments (a) (Continued) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (Continued) FOOD PRODUCTS -- 1.8% 1,373 Archer-Daniels-Midland Co. $ 41,355 494 Cal-Maine Foods, Inc. 14,538 771 ConAgra Foods, Inc. 15,135 1,048 Corn Products International, Inc. 29,344 513 Flowers Foods, Inc. 12,122 201 H. J. Heinz Co. 7,731 207 J & J Snack Foods Corp. 8,971 302 J. M. Smucker (The) Co. 15,109 283 Kraft Foods, Inc., Class A 8,020 254 Lancaster Colony Corp. 11,567 107 Lance, Inc. 2,711 390 Smithfield Foods, Inc. (b) 5,285 240 Tootsie Roll Industries, Inc. 5,796 570 Tyson Foods, Inc., Class A 6,515 ----------- 184,199 ----------- GAS UTILITIES -- 2.4% 707 AGL Resources, Inc. 23,769 493 Atmos Energy Corp. 13,390 703 Energen Corp. 29,048 421 EQT Corp. 16,158 299 Laclede Group (The), Inc. 10,037 311 National Fuel Gas Co. 12,620 133 New Jersey Resources Corp. 5,134 850 Nicor, Inc. 30,974 168 Northwest Natural Gas Co. 7,499 761 ONEOK, Inc. 25,189 308 Piedmont Natural Gas Co., Inc. 7,583 212 South Jersey Industries, Inc. 7,819 557 Southwest Gas Corp. 13,491 881 UGI Corp. 23,294 510 WGL Holdings, Inc. 16,891 ----------- 242,896 ----------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.9% 932 Align Technology, Inc. (b) 10,168 67 Analogic Corp. 2,540 278 Baxter International, Inc. 15,671 302 Becton, Dickinson & Co. 19,675 198 C. R. Bard, Inc. 14,567 797 CONMED Corp. (b) 14,011 500 Cooper (The) Cos., Inc. 13,720 2,230 CryoLife, Inc. (b) 11,329 481 DENTSPLY International, Inc. 16,041 560 Invacare Corp. 11,424 1,122 Osteotech, Inc. (b) 5,565 628 STERIS Corp. 17,634 501 Teleflex, Inc. 24,028 212 West Pharmaceutical Services, Inc. 7,738 383 Zoll Medical Corp. (b) 7,059 ----------- 191,170 ----------- HEALTH CARE PROVIDERS & SERVICES -- 4.2% 1,173 Aetna, Inc. 31,636 379 Almost Family, Inc. (b) 12,022 829 AmerisourceBergen Corp. 16,348 SHARES DESCRIPTION VALUE -------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES (Continued) 962 Cardinal Health, Inc. $ 32,035 371 Centene Corp. (b) 7,164 299 CIGNA Corp. 8,492 326 CorVel Corp. (b) 7,961 750 Gentiva Health Services, Inc. (b) 15,960 363 Hanger Orthopedic Group, Inc. (b) 4,980 1,444 Health Net, Inc. (b) 19,537 1,138 HealthSpring, Inc. (b) 14,373 1,140 Humana, Inc. (b) 37,449 2,270 Kindred Healthcare, Inc. (b) 31,871 40 Landauer, Inc. 2,677 1,070 LifePoint Hospitals, Inc. (b) 29,596 333 McKesson Corp. 17,033 1,050 MedCath Corp. (b) 12,663 634 Omnicare, Inc. 15,133 123 Owens & Minor, Inc. 5,449 988 Psychiatric Solutions, Inc. (b) 26,696 310 RehabCare Group, Inc. (b) 7,459 691 Res-Care, Inc. (b) 10,793 5,214 Tenet Healthcare Corp. (b) 20,595 574 Universal Health Services, Inc., Class B 31,920 ----------- 419,842 ----------- HOTELS, RESTAURANTS & LEISURE -- 2.1% 190 Bob Evans Farms, Inc. 5,514 320 Brinker International, Inc. 5,325 1,427 Carnival Corp. 39,942 873 CKE Restaurants, Inc. 7,726 653 Darden Restaurants, Inc. 21,151 451 International Game Technology 8,907 1,097 International Speedway Corp., Class A 28,050 330 Jack in the Box, Inc. (b) 6,963 1,437 Landry's Restaurants, Inc. (b) 12,875 1,173 Marcus (The) Corp. 14,827 257 McDonald's Corp. 14,150 1,992 Multimedia Games, Inc. (b) 11,195 659 Red Robin Gourmet Burgers, Inc. (b) 12,336 1,483 Ruby Tuesday, Inc. (b) 11,093 492 Sonic Corp. (b) 5,427 323 Starwood Hotels & Resorts Worldwide, Inc. 7,626 282 Steak n Shake (The) Co. (b) 2,882 ----------- 215,989 ----------- HOUSEHOLD DURABLES -- 1.5% 207 Fortune Brands, Inc. 8,191 964 Leggett & Platt, Inc. 16,725 130 National Presto Industries, Inc. 10,447 1,279 Snap-on, Inc. 45,571 637 Stanley Works (The) 25,575 863 Whirlpool Corp. 49,269 ----------- 155,778 ----------- Page 86 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND Portfolio of Investments (a) (Continued) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (Continued) HOUSEHOLD PRODUCTS -- 0.4% 501 Central Garden & Pet Co., Class A (b) $ 5,656 129 Clorox (The) Co. 7,870 421 Procter & Gamble (The) Co. 23,370 ----------- 36,896 ----------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.5% 1,855 AES (The) Corp. (b) 23,725 12,956 Dynegy, Inc., Class A (b) 26,042 ----------- 49,767 ----------- INDUSTRIAL CONGLOMERATES -- 1.0% 933 Carlisle Cos., Inc. 29,231 1,839 General Electric Co. 24,643 852 Standex International Corp. 10,676 2,230 Textron, Inc. 29,971 371 Tredegar Corp. 5,431 ----------- 99,952 ----------- INSURANCE -- 4.1% 1,041 American Financial Group, Inc. 25,390 190 Aon Corp. 7,495 256 Arthur J. Gallagher & Co. 5,862 1,221 Assurant, Inc. 31,160 540 Chubb (The) Corp. 24,937 1,644 Cincinnati Financial Corp. 39,703 128 Delphi Financial Group, Inc., Class A 3,050 77 Everest Re Group Ltd. 6,177 433 First American Corp. 12,795 547 Horace Mann Educators Corp. 6,208 136 Infinity Property & Casualty Corp. 5,649 8,489 MBIA, Inc. (b) 35,569 490 MetLife, Inc. 16,636 111 Navigators Group (The), Inc. (b) 5,473 652 Presidential Life Corp. 5,829 381 Principal Financial Group, Inc. 9,030 213 ProAssurance Corp. (b) 10,816 321 Reinsurance Group of America, Inc. 13,322 56 RLI Corp. 2,778 403 Safety Insurance Group, Inc. 13,001 388 Selective Insurance Group 5,797 783 StanCorp Financial Group, Inc. 26,951 581 Torchmark Corp. 22,694 200 Tower Group, Inc. 4,994 717 Travelers (The) Cos., Inc. 30,881 143 United Fire & Casualty Co. 2,404 453 Unitrin, Inc. 5,975 1,359 Unum Group 25,508 341 Zenith National Insurance Corp. 8,140 ----------- 414,224 ----------- INTERNET SOFTWARE & SERVICES -- 0.1% 371 comScore, Inc. (b) 5,647 ----------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- IT SERVICES -- 2.4% 2,543 Acxiom Corp. $ 24,540 662 Affiliated Computer Services, Inc., Class A (b) 31,385 678 Broadridge Financial Solutions, Inc. 11,709 3,984 CIBER, Inc. (b) 13,187 830 Computer Sciences Corp. (b) 39,981 747 CSG Systems International, Inc. (b) 12,460 1,080 Fidelity National Information Services, Inc. 25,294 201 Forrester Research, Inc. (b) 4,537 378 Hewitt Associates, Inc., Class A (b) 11,313 404 Lender Processing Services, Inc. 13,809 261 ManTech International Corp., Class A (b) 13,911 1,211 SAIC, Inc. (b) 21,907 931 SRA International, Inc., Class A (b) 18,341 ----------- 242,374 ----------- LEISURE EQUIPMENT & PRODUCTS -- 1.0% 3,058 Arctic Cat, Inc. 18,837 5,536 Callaway Golf Co. 35,264 889 Hasbro, Inc. 23,559 962 JAKKS Pacific, Inc. (b) 11,092 917 Mattel, Inc. 16,121 ----------- 104,873 ----------- LIFE SCIENCES TOOLS & SERVICES -- 0.8% 2,399 Cambrex Corp. (b) 10,988 229 Covance, Inc. (b) 12,629 1,009 Kendle International, Inc. (b) 11,785 1,239 PerkinElmer, Inc. 21,844 529 Thermo Fisher Scientific, Inc. (b) 23,953 ----------- 81,199 ----------- MACHINERY -- 4.8% 967 AGCO Corp. (b) 30,422 1,039 Barnes Group, Inc. 14,619 741 Briggs & Stratton Corp. 12,723 158 Cascade Corp. 3,863 169 CLARCOR, Inc. 5,596 732 Crane Co. 15,533 368 Deere & Co. 16,096 889 Dover Corp. 30,235 823 Eaton Corp. 42,730 687 EnPro Industries, Inc. (b) 12,242 2,138 Federal Signal Corp. 18,943 421 Flowserve Corp. 34,004 793 Harsco Corp. 21,815 458 IDEX Corp. 12,494 394 John Bean Technologies Corp. 5,461 228 Kaydon Corp. 7,449 283 Kennametal, Inc. 6,034 223 Lindsay Corp. 7,910 1,453 Lydall, Inc. (b) 4,722 290 Nordson Corp. 13,021 See Notes to Financial Statements Page 87 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND Portfolio of Investments (a) (Continued) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (Continued) MACHINERY (Continued) 553 Pall Corp. $ 16,634 857 Parker Hannifin Corp. 37,948 639 Pentair, Inc. 17,458 641 Robbins & Myers, Inc. 13,416 333 SPX Corp. 17,589 1,643 Timken (The) Co. 33,484 509 Wabtec Corp. 17,128 459 Watts Water Technologies, Inc., Class A 12,090 ----------- 481,659 ----------- MARINE -- 0.3% 698 Alexander & Baldwin, Inc. 20,396 311 Kirby Corp. (b) 11,510 ----------- 31,906 ----------- MEDIA -- 1.8% 467 Arbitron, Inc. 7,603 2,538 Comcast Corp., Class A 37,715 2,429 Harte-Hanks, Inc. 26,282 4,265 Interpublic Group of Cos. (The), Inc. (b) 22,221 843 Meredith Corp. 22,314 827 Scholastic Corp. 18,649 1,261 Walt Disney (The) Co. 31,676 41 Washington Post (The) Co., Class B 18,511 ----------- 184,971 ----------- METALS & MINING -- 1.3% 694 Alcoa, Inc. 8,161 1,052 Allegheny Technologies, Inc. 28,488 1,349 Carpenter Technology Corp. 25,213 504 Olympic Steel, Inc. 12,857 699 RTI International Metals, Inc. (b) 12,414 1,029 United States Steel Corp. 40,903 ----------- 128,036 ----------- MULTILINE RETAIL -- 1.0% 1,399 Big Lots, Inc. (b) 32,233 589 Fred's, Inc., Class A 7,940 750 J. C. Penney Co., Inc. 22,612 503 Kohl's Corp. (b) 24,421 2,932 Tuesday Morning Corp. (b) 13,604 ----------- 100,810 ----------- MULTI-UTILITIES -- 5.7% 1,074 Alliant Energy Corp. 28,096 1,478 Ameren Corp. 37,586 693 Avista Corp. 12,834 711 Black Hills Corp. 18,493 1,944 CenterPoint Energy, Inc. 23,425 159 CH Energy Group, Inc. 7,869 3,043 CMS Energy Corp. 39,377 787 Consolidated Edison, Inc. 30,976 644 Dominion Resources, Inc. 21,767 1,149 DTE Energy Co. 39,595 SHARES DESCRIPTION VALUE -------------------------------------------------------------- MULTI-UTILITIES (Continued) 240 Integrys Energy Group, Inc. $ 8,107 3,152 NiSource, Inc. 40,629 509 NSTAR 16,339 792 OGE Energy Corp. 23,839 764 PG&E Corp. 30,843 451 Public Service Enterprise Group, Inc. 14,635 907 SCANA Corp. 32,063 592 Sempra Energy 31,039 2,464 TECO Energy, Inc. 33,239 959 Vectren Corp. 23,553 722 Wisconsin Energy Corp. 31,024 1,598 Xcel Energy, Inc. 31,864 ----------- 577,192 ----------- OFFICE ELECTRONICS -- 0.5% 5,673 Xerox Corp. 46,462 ----------- OIL, GAS & CONSUMABLE FUELS -- 5.1% 1,827 Arch Coal, Inc. 31,808 1,022 Bill Barrett Corp. (b) 32,285 550 Holly Corp. 11,699 1,220 Marathon Oil Corp. 39,345 1,504 Massey Energy Co. 40,007 623 Noble Energy, Inc. 38,078 559 Occidental Petroleum Corp. 39,879 824 Overseas Shipholding Group, Inc. 28,304 4,400 Patriot Coal Corp. (b) 36,828 1,219 Peabody Energy Corp. 40,361 1,441 Pioneer Natural Resources Co. 41,141 1,527 Southern Union Co. 29,593 1,273 Spectra Energy Corp. 23,372 2,888 Tesoro Corp. 37,804 424 Valero Energy Corp. 7,632 2,354 Williams (The) Cos., Inc. 39,288 ----------- 517,424 ----------- PAPER & FOREST PRODUCTS -- 0.5% 1,792 MeadWestvaco Corp. 34,926 272 Schweitzer-Mauduit International, Inc. 8,894 734 Wausau Paper Corp. 6,900 ----------- 50,720 ----------- PHARMACEUTICALS -- 1.1% 312 Abbott Laboratories 14,037 723 Bristol-Myers Squibb Co. 15,718 770 Merck & Co., Inc. 23,108 1,961 Pfizer, Inc. 31,239 287 Schering-Plough Corp. 7,608 323 Wyeth 15,035 ----------- 106,745 ----------- PROFESSIONAL SERVICES -- 0.8% 212 Administaff, Inc. 5,313 887 CDI Corp. 11,265 271 Heidrick & Struggles International, Inc. 5,553 129 Manpower, Inc. 6,185 Page 88 See Notes to Financial Statements FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND Portfolio of Investments (a) (Continued) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (Continued) PROFESSIONAL SERVICES (Continued) 1,824 Monster Worldwide, Inc. (b) $ 23,767 3,159 On Assignment, Inc. (b) 13,363 611 School Specialty, Inc. (b) 13,668 393 Volt Information Sciences, Inc. (b) 3,128 ----------- 82,242 ----------- REAL ESTATE INVESTMENT TRUSTS -- 4.1% 457 Alexandria Real Estate Equities, Inc. 17,416 967 BioMed Realty Trust, Inc. 11,295 229 BRE Properties, Inc. 5,434 2,185 Cedar Shopping Centers, Inc. 11,602 333 Colonial Properties Trust 2,657 3,302 Cousins Properties, Inc. 28,463 1,579 DiamondRock Hospitality Co. 10,674 1,863 Duke Realty Corp. 17,680 600 Entertainment Properties Trust 16,386 848 Equity One, Inc. 12,762 1,183 Extra Space Storage, Inc. 10,387 372 Franklin Street Properties Corp. 5,305 339 HCP, Inc. 8,733 210 Health Care REIT, Inc. 8,413 1,889 Hospitality Properties Trust 29,827 1,752 Host Hotels & Resorts, Inc. 15,908 352 Inland Real Estate Corp. 2,598 240 Kilroy Realty Corp. 5,664 1,463 Kimco Realty Corp. 14,396 2,539 Kite Realty Group Trust 8,125 727 Lexington Realty Trust 3,112 237 Liberty Property Trust 6,582 362 LTC Properties, Inc. 8,840 638 Macerich (The) Co. 12,549 239 Mack-Cali Realty Corp. 6,671 1,221 Medical Properties Trust, Inc. 8,547 570 National Retail Properties, Inc. 11,235 211 Nationwide Health Properties, Inc. 6,123 723 Omega Healthcare Investors, Inc. 12,081 190 Parkway Properties, Inc. 2,692 989 Pennsylvania Real Estate Investment Trust 5,232 241 Plum Creek Timber Co., Inc. 7,539 183 Post Properties, Inc. 2,591 891 ProLogis 7,832 51 PS Business Parks, Inc. 2,637 309 Rayonier, Inc. 12,048 249 Realty Income Corp. 5,871 453 Senior Housing Properties Trust 8,453 712 SL Green Realty Corp. 18,355 301 Sovran Self Storage, Inc. 8,103 351 Urstadt Biddle Properties, Inc., Class A 5,402 773 Weingarten Realty Investors 11,927 ----------- 418,147 ----------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.0% 208 Forestar Group, Inc. (b) $ 2,708 ----------- ROAD & RAIL -- 2.4% 281 Arkansas Best Corp. 8,003 292 Burlington Northern Santa Fe Corp. 22,948 849 CSX Corp. 34,062 1,742 Kansas City Southern (b) 35,380 977 Norfolk Southern Corp. 42,255 1,317 Ryder System, Inc. 46,266 564 Union Pacific Corp. 32,441 1,240 Werner Enterprises, Inc. 22,395 ----------- 243,750 ----------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 0.9% 593 Analog Devices, Inc. 16,230 88 Cabot Microelectronics Corp. (b) 2,985 274 Cohu, Inc. 3,324 1,302 Intel Corp. 25,063 308 Linear Technology Corp. 8,276 319 Microchip Technology, Inc. 8,591 179 Microsemi Corp. (b) 2,443 99 Supertex, Inc. (b) 2,282 401 Ultratech, Inc. (b) 4,776 719 Xilinx, Inc. 15,595 ----------- 89,565 ----------- SOFTWARE -- 0.8% 843 CA, Inc. 17,821 1,452 Fair Isaac Corp. 27,864 541 Jack Henry & Associates, Inc. 11,615 166 JDA Software Group, Inc. (b) 3,421 136 Manhattan Associates, Inc. (b) 2,516 233 Progress Software Corp. (b) 5,273 148 SPSS, Inc. (b) 7,323 ----------- 75,833 ----------- SPECIALTY RETAIL -- 3.2% 941 Aaron's, Inc. 25,849 1,089 Barnes & Noble, Inc. 25,080 447 Big 5 Sporting Goods Corp. 5,811 1,003 Cabela's, Inc. (b) 16,259 567 Cato (The) Corp., Class A 11,272 383 Charlotte Russe Holding, Inc. (b) 5,749 369 Christopher & Banks Corp. 2,923 373 Collective Brands, Inc. (b) 5,938 999 Finish Line (The), Inc., Class A 8,691 520 Foot Locker, Inc. 5,762 659 Genesco, Inc. (b) 14,314 94 Group 1 Automotive, Inc. 2,769 270 Haverty Furniture Cos., Inc. 2,900 622 Home Depot (The), Inc. 16,135 1,690 Hot Topic, Inc. (b) 13,064 478 Jo-Ann Stores, Inc. (b) 11,137 1,229 Limited Brands, Inc. 15,903 1,514 Lowe's Cos., Inc. 34,004 514 Men's Wearhouse (The), Inc. 11,108 See Notes to Financial Statements Page 89 FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND Portfolio of Investments (a) (Continued) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (Continued) SPECIALTY RETAIL (Continued) 237 Midas, Inc. (b) $ 2,339 243 Pep Boys-Manny, Moe & Jack (The) 2,413 1,574 Rent-A-Center, Inc. (b) 32,676 580 Tiffany & Co. 17,301 1,110 Tween Brands, Inc. (b) 8,036 1,378 Williams-Sonoma, Inc. 19,375 719 Zale Corp. (b) 4,256 ----------- 321,064 ----------- TEXTILES, APPAREL & LUXURY GOODS -- 1.0% 469 Movado Group, Inc. 6,697 339 Perry Ellis International, Inc. (b) 2,614 391 Phillips-Van Heusen Corp. 13,834 1,334 Quiksilver, Inc. (b) 2,868 1,264 Skechers U.S.A., Inc., Class A (b) 17,481 332 UniFirst Corp. 12,921 531 VF Corp. 34,350 337 Wolverine World Wide, Inc. 8,122 ----------- 98,887 ----------- THRIFTS & MORTGAGE FINANCE -- 0.8% 1,904 Astoria Financial Corp. 18,488 567 Bank Mutual Corp. 5,579 264 Brookline Bancorp, Inc. 3,076 542 Dime Community Bancshares, Inc. 6,526 1,431 First Niagara Financial Group, Inc. 18,818 510 New York Community Bancorp, Inc. 5,579 473 NewAlliance Bancshares, Inc. 5,794 478 People's United Financial, Inc. 7,767 419 Washington Federal, Inc. 5,837 ----------- 77,464 ----------- TOBACCO -- 0.9% 3,251 Alliance One International, Inc. (b) 13,459 439 Altria Group, Inc. 7,696 218 Lorillard, Inc. 16,071 164 Philip Morris International, Inc. 7,643 381 Reynolds American, Inc. 16,577 848 Universal Corp. 32,283 ----------- 93,729 ----------- TRADING COMPANIES & DISTRIBUTORS -- 0.5% 501 Applied Industrial Technologies, Inc. 11,082 1,091 GATX Corp. 27,515 443 Kaman Corp. 8,497 50 Watsco, Inc. 2,623 ----------- 49,717 ----------- WATER UTILITIES -- 0.0% 71 American States Water Co. 2,581 ----------- WIRELESS TELECOMMUNICATION SERVICES -- 0.7% 540 MetroPCS Communications, Inc. (b) 6,399 SHARES DESCRIPTION VALUE -------------------------------------------------------------- WIRELESS TELECOMMUNICATION SERVICES (Continued) 6,114 Sprint Nextel Corp. (b) $ 24,456 1,020 Syniverse Holdings, Inc. (b) 17,881 992 Telephone and Data Systems, Inc. 25,534 ----------- 74,270 ----------- TOTAL COMMON STOCKS -- 100.0% (Cost $8,931,469) 10,103,683 MONEY MARKET FUND -- 0.2% 22,497 Morgan Stanley Institutional Treasury Money Market Fund- 0.01% (c) (Cost $22,497) 22,497 ----------- TOTAL INVESTMENTS -- 100.2% (Cost $8,953,966) (d) 10,126,180 NET OTHER ASSETS AND LIABILITIES -- (0.2)% (25,356) ----------- NET ASSETS -- 100.0% $10,100,824 =========== (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 July 31, 2009. (d) Aggregate cost for federal income tax purposes is $9,386,014. As of July 31, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $1,020,482 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $280,316. _____________________ Valuation Inputs A summary of the inputs used to value the Fund's investments as of July 31, 2009 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs Investments Level 1 Level 2 Level 3 __________________________________________________________________ Common Stocks* $10,103,683 $ -- $ -- Money Market Fund 22,497 -- -- __________________________________________ Total Investments $10,126,180 $ -- $ -- ========================================== * See Portfolio of Investments for industry breakout. Page 90 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND Portfolio of Investments (a) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 100.6% AEROSPACE & DEFENSE -- 2.3% 403 AAR Corp. (b) $ 7,709 157 Aerovironment, Inc. (b) 4,465 174 Alliant Techsystems, Inc. (b) 13,697 70 American Science & Engineering, Inc. 4,883 317 Applied Signal Technology, Inc. 7,925 90 Axsys Technologies, Inc. (b) 4,830 115 Boeing (The) Co. 4,935 226 Cubic Corp. 8,850 340 ITT Corp. 16,796 121 Lockheed Martin Corp. 9,046 107 Orbital Sciences Corp. (b) 1,449 363 Rockwell Collins, Inc. 15,319 197 Stanley, Inc. (b) 6,056 49 Teledyne Technologies, Inc. (b) 1,604 188 United Technologies Corp. 10,240 ----------- 117,804 ----------- AIR FREIGHT & LOGISTICS -- 0.3% 290 C.H. Robinson Worldwide, Inc. 15,814 76 Forward Air Corp. 1,758 ----------- 17,572 ----------- AIRLINES -- 0.2% 393 Alaska Air Group, Inc. (b) 9,063 ----------- AUTO COMPONENTS -- 0.3% 328 BorgWarner, Inc. 10,887 133 Drew Industries, Inc. (b) 2,552 ----------- 13,439 ----------- AUTOMOBILES -- 0.2% 391 Thor Industries, Inc. 9,349 217 Winnebago Industries, Inc. 2,283 ----------- 11,632 ----------- BEVERAGES -- 1.2% 164 Boston Beer (The) Co., Inc., Class A (b) 5,115 102 Coca-Cola (The) Co. 5,084 924 Dr. Pepper Snapple Group, Inc. (b) 22,739 746 Pepsi Bottling Group (The), Inc. 25,327 89 PepsiCo, Inc. 5,051 ----------- 63,316 ----------- BIOTECHNOLOGY -- 0.7% 1,316 ArQule, Inc. (b) 8,054 88 Cubist Pharmaceuticals, Inc. (b) 1,748 270 Regeneron Pharmaceuticals, Inc. (b) 5,789 172 United Therapeutics Corp. (b) 15,931 101 Vertex Pharmaceuticals, Inc. (b) 3,637 ----------- 35,159 ----------- CAPITAL MARKETS -- 1.2% 11,833 E*TRADE Financial Corp. (b) 17,750 103 Goldman Sachs Group (The), Inc. 16,820 524 Jefferies Group, Inc. (b) 11,979 207 State Street Corp. 10,412 SHARES DESCRIPTION VALUE -------------------------------------------------------------- CAPITAL MARKETS (Continued) 67 Stifel Financial Corp. (b) $ 3,345 382 TradeStation Group, Inc. (b) 2,861 ----------- 63,167 ----------- CHEMICALS -- 1.4% 66 Balchem Corp. 1,832 388 Ecolab, Inc. 16,106 76 FMC Corp. 3,697 299 International Flavors & Fragrances, Inc. 10,543 120 NewMarket Corp. 9,078 69 Praxair, Inc. 5,394 319 Scotts Miracle-Gro (The) Co., Class A 12,457 306 Sigma-Aldrich Corp. 15,529 ----------- 74,636 ----------- COMMERCIAL BANKS -- 0.4% 1,262 First Horizon National Corp. (b) 16,179 145 PrivateBancorp, Inc. 3,600 60 Signature Bank (b) 1,769 ----------- 21,548 ----------- COMMERCIAL SERVICES & SUPPLIES -- 1.8% 111 ATC Technology Corp. (b) 2,322 104 Copart, Inc. (b) 3,672 174 Geo Group (The), Inc. (b) 3,129 271 Healthcare Services Group, Inc. 5,060 468 Herman Miller, Inc. 7,773 878 Iron Mountain, Inc. (b) 25,646 802 Republic Services, Inc. 21,333 415 Rollins, Inc. 7,607 95 Stericycle, Inc. (b) 4,864 179 Sykes Enterprises, Inc. (b) 3,562 282 Tetra Tech, Inc. (b) 8,494 ----------- 93,462 ----------- COMMUNICATIONS EQUIPMENT -- 4.9% 3,958 3Com Corp. (b) 14,922 1,405 ADC Telecommunications, Inc. (b) 10,228 521 ADTRAN, Inc. 12,587 664 Arris Group, Inc. (b) 8,088 488 Blue Coat Systems, Inc. (b) 9,121 710 CommScope, Inc. (b) 18,176 497 Digi International, Inc. (b) 5,074 539 F5 Networks, Inc. (b) 20,008 1,070 Juniper Networks, Inc. (b) 27,959 3,808 Motorola, Inc. 27,265 224 NETGEAR, Inc. (b) 3,810 867 Palm, Inc. (b) 13,638 592 Plantronics, Inc. 14,013 709 Polycom, Inc. (b) 16,839 433 QUALCOMM, Inc. 20,009 1,400 Symmetricom, Inc. (b) 9,072 288 Tekelec (b) 5,296 See Notes to Financial Statements Page 91 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND Portfolio of Investments (a) (Continued) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (Continued) COMMUNICATIONS EQUIPMENT (Continued) 2,643 Tellabs, Inc. (b) $ 15,329 189 ViaSat, Inc. (b) 5,103 ----------- 256,537 ----------- COMPUTERS & PERIPHERALS -- 4.0% 177 Apple, Inc. (b) 28,920 1,426 Dell, Inc. (b) 19,080 1,495 EMC Corp. (b) 22,515 507 Hewlett-Packard Co. 21,953 94 International Business Machines Corp. 11,085 185 Intevac, Inc. (b) 2,129 1,280 NetApp, Inc. (b) 28,749 667 SanDisk Corp. (b) 11,886 209 Synaptics, Inc. (b) 5,010 1,077 Teradata Corp. (b) 26,462 953 Western Digital Corp. (b) 28,828 ----------- 206,617 ----------- CONSTRUCTION & ENGINEERING -- 1.5% 583 Aecom Technology Corp. (b) 18,889 1,297 Dycom Industries, Inc. (b) 16,511 492 Fluor Corp. 25,978 655 Quanta Services, Inc. (b) 15,268 ----------- 76,646 ----------- CONSUMER FINANCE -- 1.0% 652 American Express Co. 18,471 1,376 AmeriCredit Corp. (b) 21,590 184 First Cash Financial Services, Inc. (b) 3,459 477 SLM Corp. (b) 4,241 81 World Acceptance Corp. (b) 1,921 ----------- 49,682 ----------- CONTAINERS & PACKAGING -- 1.5% 217 Ball Corp. 10,494 541 Owens-Illinois, Inc. (b) 18,362 902 Pactiv Corp. (b) 22,712 1,368 Sealed Air Corp. 25,157 ----------- 76,725 ----------- DISTRIBUTORS -- 0.3% 873 LKQ Corp. (b) 15,662 ----------- DIVERSIFIED CONSUMER SERVICES -- 1.1% 41 American Public Education, Inc. (b) 1,450 69 Apollo Group, Inc., Class A (b) 4,764 54 Capella Education Co. (b) 3,475 288 Career Education Corp. (b) 6,601 182 Coinstar, Inc. (b) 6,048 424 Corinthian Colleges, Inc. (b) 6,547 98 DeVry, Inc. 4,874 36 ITT Educational Services, Inc. (b) 3,505 148 Pre-Paid Legal Services, Inc. (b) 7,218 254 Sotheby's 3,828 SHARES DESCRIPTION VALUE -------------------------------------------------------------- DIVERSIFIED CONSUMER SERVICES (Continued) 33 Strayer Education, Inc. $ 7,008 216 Universal Technical Institute, Inc. (b) 3,428 ----------- 58,746 ----------- DIVERSIFIED FINANCIAL SERVICES -- 1.0% 63 CME Group, Inc. 17,567 221 IntercontinentalExchange, Inc. (b) 20,787 180 NYSE Euronext 4,851 167 Portfolio Recovery Associates, Inc. (b) 7,707 ----------- 50,912 ----------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.2% 113 Cbeyond, Inc. (b) 1,584 274 Neutral Tandem, Inc. (b) 8,494 ----------- 10,078 ----------- ELECTRICAL EQUIPMENT -- 0.8% 104 AMETEK, Inc. 3,366 235 AZZ, Inc. (b) 9,106 73 II-VI, Inc. (b) 1,751 163 Regal-Beloit Corp. 7,557 305 Rockwell Automation, Inc. 12,630 249 Thomas & Betts Corp. (b) 6,633 ----------- 41,043 ----------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.0% 241 Agilent Technologies, Inc. (b) 5,596 309 Amphenol Corp., Class A 10,305 224 Benchmark Electronics, Inc. (b) 3,539 210 Daktronics, Inc. 1,760 119 DTS, Inc. (b) 3,269 289 Electro Scientific Industries, Inc. (b) 3,786 162 Littelfuse, Inc. (b) 3,791 316 Plexus Corp. (b) 8,118 264 ScanSource, Inc. (b) 7,532 609 TTM Technologies, Inc. (b) 6,011 ----------- 53,707 ----------- ENERGY EQUIPMENT & SERVICES -- 4.3% 269 Baker Hughes, Inc. 10,895 1,111 BJ Services Co. 15,754 692 Cameron International Corp. (b) 21,611 47 CARBO Ceramics, Inc. 1,959 42 Dril-Quip, Inc. (b) 1,776 281 ENSCO International, Inc. 10,647 521 FMC Technologies, Inc. (b) 22,664 1,715 Helix Energy Solutions Group, Inc. (b) 17,990 362 Helmerich & Payne, Inc. 12,438 151 Hornbeck Offshore Services, Inc. (b) 3,289 77 Lufkin Industries, Inc. 3,496 Page 92 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND Portfolio of Investments (a) (Continued) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (Continued) ENERGY EQUIPMENT & SERVICES (Continued) 1,257 Nabors Industries Ltd. (b) $ 21,394 196 NATCO Group, Inc., Class A (b) 7,068 159 Oceaneering International, Inc. (b) 8,096 334 Oil States International, Inc. (b) 9,058 279 Patterson-UTI Energy, Inc. 3,853 1,012 Pioneer Drilling Co. (b) 4,433 181 Schlumberger Ltd. 9,684 86 SEACOR Holdings, Inc. (b) 6,835 588 Smith International, Inc. 14,776 416 Superior Energy Services, Inc. (b) 6,902 272 Superior Well Services, Inc. (b) 1,776 609 TETRA Technologies, Inc. (b) 4,695 ----------- 221,089 ----------- FOOD & STAPLES RETAILING -- 1.3% 614 CVS Caremark Corp. 20,557 218 Sysco Corp. 5,179 308 United Natural Foods, Inc. (b) 8,325 859 Walgreen Co. 26,672 101 Wal-Mart Stores, Inc. 5,038 ----------- 65,771 ----------- FOOD PRODUCTS -- 2.7% 490 Darling International, Inc. (b) 3,459 789 Dean Foods Co. (b) 16,719 232 Diamond Foods, Inc. 6,542 175 General Mills, Inc. 10,309 137 Green Mountain Coffee Roasters, Inc. (b) 9,650 104 Hain Celestial Group (The), Inc. (b) 1,728 272 Hershey (The) Co. 10,867 567 Hormel Foods Corp. 20,361 421 Kellogg Co. 19,998 301 McCormick & Co., Inc. 9,698 236 Ralcorp Holdings, Inc. (b) 14,988 180 Sanderson Farms, Inc. 7,323 225 TreeHouse Foods, Inc. (b) 7,301 ----------- 138,943 ----------- HEALTH CARE EQUIPMENT & SUPPLIES -- 4.0% 79 Abaxis, Inc. (b) 2,115 409 American Medical Systems Holdings, Inc. (b) 6,254 196 Beckman Coulter, Inc. 12,346 1,494 Boston Scientific Corp. (b) 16,046 97 Cyberonics, Inc. (b) 1,611 164 Edwards Lifesciences Corp. (b) 10,727 286 Greatbatch, Inc. (b) 6,303 28 Haemonetics Corp. (b) 1,652 252 Hologic, Inc. (b) 3,702 508 Hospira, Inc. (b) 19,522 157 ICU Medical, Inc. (b) 6,112 242 IDEXX Laboratories, Inc. (b) 12,056 120 Intuitive Surgical, Inc. (b) 27,278 SHARES DESCRIPTION VALUE -------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES (Continued) 123 Kensey Nash Corp. (b) $ 3,513 527 Kinetic Concepts, Inc. (b) 16,664 140 Medtronic, Inc. 4,959 198 Merit Medical Systems, Inc. (b) 3,621 140 Natus Medical, Inc. (b) 1,904 223 Neogen Corp. (b) 6,498 220 Palomar Medical Technologies, Inc. (b) 3,287 176 ResMed, Inc. (b) 7,216 476 St. Jude Medical, Inc. (b) 17,950 693 Symmetry Medical, Inc. (b) 5,932 134 Thoratec Corp. (b) 3,369 139 Varian Medical Systems, Inc. (b) 4,903 ----------- 205,540 ----------- HEALTH CARE PROVIDERS & SERVICES -- 7.0% 295 Air Methods Corp. (b) 8,676 98 Amedisys, Inc. (b) 4,382 226 AmSurg Corp. (b) 4,660 256 Bio-Reference Laboratories, Inc. (b) 8,207 259 Catalyst Health Solutions, Inc. (b) 6,677 82 Chemed Corp. 3,616 738 Community Health Systems, Inc. (b) 20,900 1,349 Coventry Health Care, Inc. (b) 31,027 306 DaVita, Inc. (b) 15,208 367 Express Scripts, Inc. (b) 25,705 101 Genoptix, Inc. (b) 3,162 3,774 Health Management Associates, Inc., Class A (b) 22,757 360 Healthways, Inc. (b) 5,306 300 Henry Schein, Inc. (b) 15,414 159 HMS Holdings Corp. (b) 6,106 478 inVentiv Health, Inc. (b) 7,333 303 IPC The Hospitalist Co., Inc. (b) 8,439 223 Laboratory Corp. of America Holdings (b) 14,983 766 LCA-Vision, Inc. (b) 4,397 73 LHC Group, Inc. (b) 2,143 49 Magellan Health Services, Inc. (b) 1,586 553 Medco Health Solutions, Inc. (b) 29,232 153 MEDNAX, Inc. (b) 7,092 338 Molina Healthcare, Inc. (b) 7,622 232 MWI Veterinary Supply, Inc. (b) 8,904 786 Odyssey HealthCare, Inc. (b) 9,157 451 Patterson Cos., Inc. (b) 11,437 412 PharMerica Corp. (b) 8,635 349 PSS World Medical, Inc. (b) 7,053 347 Quest Diagnostics, Inc. 18,953 419 VCA Antech, Inc. (b) 10,718 496 WellPoint, Inc. (b) 26,109 ----------- 365,596 ----------- HEALTH CARE TECHNOLOGY -- 0.8% 299 Cerner Corp. (b) 19,459 127 Computer Programs & Systems, Inc. 4,947 See Notes to Financial Statements Page 93 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND Portfolio of Investments (a) (Continued) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (Continued) HEALTH CARE TECHNOLOGY (Continued) 363 Eclipsys Corp. (b) $ 6,606 150 Omnicell, Inc. (b) 1,872 214 Phase Forward, Inc. (b) 3,039 113 Quality Systems, Inc. 6,202 ----------- 42,125 ----------- HOTELS, RESTAURANTS & LEISURE -- 4.4% 149 Buffalo Wild Wings, Inc. (b) 6,012 486 California Pizza Kitchen, Inc. (b) 8,019 164 CEC Entertainment, Inc. (b) 4,784 1,078 Cheesecake Factory (The), Inc. (b) 20,881 180 Chipotle Mexican Grill, Inc., Class A (b) 16,889 232 Cracker Barrel Old Country Store, Inc. 6,696 347 Interval Leisure Group, Inc. (b) 3,661 932 Life Time Fitness, Inc. (b) 23,720 887 Marriott International, Inc., Class A 19,106 252 P.F. Chang's China Bistro, Inc. (b) 8,545 144 Panera Bread Co., Class A (b) 7,914 196 Papa John's International, Inc. (b) 4,980 192 Peet's Coffee & Tea, Inc. (b) 5,274 870 Pinnacle Entertainment, Inc. (b) 8,726 2,201 Ruth's Hospitality Group, Inc. (b) 8,628 1,222 Shuffle Master, Inc. (b) 8,799 1,410 Starbucks Corp. (b) 24,957 740 Texas Roadhouse, Inc., Class A (b) 8,236 456 WMS Industries, Inc. (b) 16,489 454 Yum! Brands, Inc. 16,099 ----------- 228,415 ----------- HOUSEHOLD DURABLES -- 1.0% 523 D.R. Horton, Inc. 6,062 260 Harman International Industries, Inc. 6,417 192 Helen of Troy Ltd. (b) 4,176 428 Meritage Homes Corp. (b) 9,159 7 NVR, Inc. (b) 4,208 430 Tupperware Brands Corp. 14,650 240 Universal Electronics, Inc. (b) 5,066 ----------- 49,738 ----------- HOUSEHOLD PRODUCTS -- 0.7% 66 Church & Dwight Co., Inc. 3,893 214 Colgate-Palmolive Co. 15,502 69 Energizer Holdings, Inc. (b) 4,420 187 Kimberly-Clark Corp. 10,930 56 WD-40 Co. 1,693 ----------- 36,438 ----------- INDUSTRIAL CONGLOMERATES -- 0.1% 81 3M Co. 5,712 ----------- INSURANCE -- 0.3% 157 Aflac, Inc. 5,944 274 eHealth, Inc. (b) 4,450 188 Hanover Insurance Group, Inc. 7,390 ----------- 17,784 ----------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- INTERNET & CATALOG RETAIL -- 2.2% 302 Amazon.com, Inc. (b) $ 25,899 75 Blue Nile, Inc. (b) 3,467 1,671 Expedia, Inc. (b) 34,606 459 HSN, Inc. (b) 4,650 347 NetFlix, Inc. (b) 15,247 107 PetMed Express, Inc. 1,986 167 priceline.com, Inc. (b) 21,647 1,007 Ticketmaster Entertainment, Inc. (b) 8,157 ----------- 115,659 ----------- INTERNET SOFTWARE & SERVICES -- 1.7% 190 DealerTrack Holdings, Inc. (b) 3,768 308 Digital River, Inc. (b) 10,888 572 eBay, Inc. (b) 12,155 197 Equinix, Inc. (b) 16,101 46 Google, Inc., Class A (b) 20,380 244 InfoSpace, Inc. (b) 1,786 72 j2 Global Communications, Inc. (b) 1,727 693 Perficient, Inc. (b) 5,114 993 United Online, Inc. 9,116 341 ValueClick, Inc. (b) 3,922 313 Yahoo!, Inc. (b) 4,482 ----------- 89,439 ----------- IT SERVICES -- 2.5% 151 CACI International, Inc., Class A (b) 6,976 945 Cognizant Technology Solutions Corp., Class A (b) 27,963 211 Cybersource Corp. (b) 3,659 552 Fiserv, Inc. (b) 26,170 235 Gartner, Inc. (b) 4,018 192 Global Payments, Inc. 8,122 338 Heartland Payment Systems, Inc. 3,603 555 Metavante Technologies, Inc. (b) 17,094 505 NeuStar, Inc., Class A (b) 11,453 320 TeleTech Holdings, Inc. (b) 5,350 597 Western Union Co. 10,436 254 Wright Express Corp. (b) 7,183 ----------- 132,027 ----------- LEISURE EQUIPMENT & PRODUCTS -- 0.5% 201 Polaris Industries, Inc. 7,612 195 Pool Corp. 4,606 366 RC2 Corp. (b) 5,589 649 Sturm Ruger & Co., Inc. 8,099 ----------- 25,906 ----------- LIFE SCIENCES TOOLS & SERVICES -- 2.1% 95 Bio-Rad Laboratories, Inc., Class A (b) 7,357 106 Charles River Laboratories International, Inc. (b) 3,505 79 Dionex Corp. (b) 5,207 605 Life Technologies Corp. (b) 27,546 145 Mettler-Toledo International, Inc. (b) 12,189 279 Millipore Corp. (b) 19,418 Page 94 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND Portfolio of Investments (a) (Continued) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (Continued) LIFE SCIENCES TOOLS & SERVICES (Continued) 449 PAREXEL International Corp. (b) $ 6,946 284 Varian, Inc. (b) 14,416 294 Waters Corp. (b) 14,773 ----------- 111,357 ----------- MACHINERY -- 2.2% 54 Astec Industries, Inc. (b) 1,461 118 Badger Meter, Inc. 4,348 653 Bucyrus International, Inc. 19,251 430 Cummins, Inc. 18,494 159 Danaher Corp. 9,737 104 Donaldson Co., Inc. 3,953 108 ESCO Technologies, Inc. (b) 4,438 262 Illinois Tool Works, Inc. 10,624 402 Joy Global, Inc. 14,946 151 PACCAR, Inc. 5,232 54 Toro (The) Co. 1,872 264 Trinity Industries, Inc. 3,686 199 Valmont Industries, Inc. 14,292 ----------- 112,334 ----------- MEDIA -- 1.8% 613 DIRECTV Group (The), Inc. (b) 15,877 235 Lamar Advertising Co., Class A (b) 4,944 404 Marvel Entertainment, Inc. (b) 15,982 325 McGraw-Hill (The) Cos., Inc. 10,189 480 Omnicom Group, Inc. 16,320 352 Scripps Networks Interactive, Inc., Class A 11,363 863 Viacom, Inc., Class B (b) 19,987 ----------- 94,662 ----------- METALS & MINING -- 1.6% 267 A.M. Castle & Co. 2,817 225 AMCOL International Corp. 4,232 193 Brush Engineered Materials, Inc. (b) 4,117 293 Cliffs Natural Resources, Inc. 8,025 1,163 Commercial Metals Co. 19,236 220 Nucor Corp. 9,783 486 Reliance Steel & Aluminum Co. 16,383 1,266 Steel Dynamics, Inc. 20,712 ----------- 85,305 ----------- MULTILINE RETAIL -- 2.3% 1,373 99 Cents Only Stores (b) 20,114 266 Dollar Tree, Inc. (b) 12,268 692 Family Dollar Stores, Inc. 21,743 762 Nordstrom, Inc. 20,147 380 Sears Holdings Corp. (b) 25,209 496 Target Corp. 21,636 ----------- 121,117 ----------- MULTI-UTILITIES -- 0.1% 189 MDU Resources Group, Inc. 3,805 ----------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- OFFICE ELECTRONICS -- 0.1% 152 Zebra Technologies Corp., Class A (b) $ 3,715 ----------- OIL, GAS & CONSUMABLE FUELS -- 3.6% 216 Anadarko Petroleum Corp. 10,411 320 Cabot Oil & Gas Corp. 11,242 494 Chesapeake Energy Corp. 10,591 127 Cimarex Energy Co. 4,544 446 CONSOL Energy, Inc. 15,846 116 Encore Acquisition Co. (b) 4,130 72 EOG Resources, Inc. 5,330 548 Frontier Oil Corp. 7,617 952 Mariner Energy, Inc. (b) 11,415 361 Murphy Oil Corp. 21,010 220 Newfield Exploration Co. (b) 8,653 99 Penn Virginia Corp. 1,902 206 Petroleum Development Corp. (b) 3,469 409 Plains Exploration & Production Co. (b) 11,718 1,546 Quicksilver Resources, Inc. (b) 17,717 118 Range Resources Corp. 5,476 504 Southwestern Energy Co. (b) 20,881 77 St. Mary Land & Exploration Co. 1,838 196 World Fuel Services Corp. 8,597 128 XTO Energy, Inc. 5,149 ----------- 187,536 ----------- PAPER & FOREST PRODUCTS -- 0.3% 319 Clearwater Paper Corp. (b) 12,782 ----------- PERSONAL PRODUCTS -- 1.1% 282 Alberto-Culver Co. 7,225 380 Avon Products, Inc. 12,304 24 Chattem, Inc. (b) 1,504 300 Estee Lauder (The) Cos., Inc., Class A 10,932 663 NBTY, Inc. (b) 24,001 ----------- 55,966 ----------- PHARMACEUTICALS -- 2.1% 103 Allergan, Inc. 5,503 508 King Pharmaceuticals, Inc. (b) 4,608 440 Medicis Pharmaceutical Corp., Class A 7,533 1,934 Mylan, Inc. (b) 25,510 565 Noven Pharmaceuticals, Inc. (b) 9,311 320 Par Pharmaceutical Cos., Inc. (b) 5,187 258 Perrigo Co. 7,002 829 Sepracor, Inc. (b) 14,383 435 Valeant Pharmaceuticals International (b) 11,223 581 Watson Pharmaceuticals, Inc. (b) 20,178 ----------- 110,438 ----------- PROFESSIONAL SERVICES -- 0.6% 60 Dun & Bradstreet (The) Corp. 4,319 See Notes to Financial Statements Page 95 FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND Portfolio of Investments (a) (Continued) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (Continued) PROFESSIONAL SERVICES (Continued) 71 FTI Consulting, Inc. (b) $ 3,865 940 MPS Group, Inc. (b) 8,131 641 Robert Half International, Inc. 15,890 ----------- 32,205 ----------- REAL ESTATE INVESTMENT TRUSTS -- 0.2% 245 Corporate Office Properties Trust 8,308 262 LaSalle Hotel Properties 3,906 ----------- 12,214 ----------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.5% 1,618 CB Richard Ellis Group, Inc., Class A (b) 17,636 219 Jones Lang LaSalle, Inc. 8,313 ----------- 25,949 ----------- ROAD & RAIL -- 0.8% 528 Con-way, Inc. 24,050 366 J.B. Hunt Transport Services, Inc. 10,230 193 Old Dominion Freight Line, Inc. (b) 6,877 ----------- 41,157 ----------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.8% 5,060 Advanced Micro Devices, Inc. (b) 18,520 963 Atmel Corp. (b) 4,016 1,018 Broadcom Corp., Class A (b) 28,738 489 Cree, Inc. (b) 15,677 109 Cymer, Inc. (b) 3,729 207 Diodes, Inc. (b) 3,821 449 Exar Corp. (b) 3,156 212 FEI Co. (b) 5,194 46 Hittite Microwave Corp. (b) 1,616 1,761 Kopin Corp. (b) 6,991 3,322 LSI Corp. (b) 17,208 451 Semtech Corp. (b) 8,298 379 Silicon Laboratories, Inc. (b) 16,233 496 Skyworks Solutions, Inc. (b) 5,992 230 Texas Instruments, Inc. 5,531 ----------- 144,720 ----------- SOFTWARE -- 5.4% 173 Adobe Systems, Inc. (b) 5,609 219 Advent Software, Inc. (b) 7,983 115 ANSYS, Inc. (b) 3,595 208 Blackbaud, Inc. 3,890 290 BMC Software, Inc. (b) 9,869 792 Citrix Systems, Inc. (b) 28,195 390 CommVault Systems, Inc. (b) 6,790 156 Concur Technologies, Inc. (b) 5,380 206 Ebix, Inc. (b) 8,545 451 Electronic Arts, Inc. (b) 9,683 1,219 Epicor Software Corp. (b) 7,411 105 EPIQ Systems, Inc. (b) 1,685 SHARES DESCRIPTION VALUE -------------------------------------------------------------- SOFTWARE (Continued) 72 FactSet Research Systems, Inc. $ 4,082 376 Informatica Corp. (b) 6,915 348 Intuit, Inc. (b) 10,336 598 McAfee, Inc. (b) 26,659 442 Micros Systems, Inc. (b) 12,106 637 Microsoft Corp. 14,982 914 Oracle Corp. 20,227 596 Phoenix Technologies Ltd. (b) 1,973 973 Radiant Systems, Inc. (b) 9,788 855 Rovi Corp. (b) 22,367 128 Salesforce.com, Inc. (b) 5,547 823 Smith Micro Software, Inc. (b) 9,407 1,643 Sonic Solutions (b) 5,964 229 Sybase, Inc. (b) 8,198 315 Symantec Corp. (b) 4,703 442 Taleo Corp., Class A (b) 7,735 310 Tyler Technologies, Inc. (b) 4,774 362 Websense, Inc. (b) 5,358 ----------- 279,756 ----------- SPECIALTY RETAIL -- 8.5% 346 Advance Auto Parts, Inc. 15,996 544 Aeropostale, Inc. (b) 19,802 789 American Eagle Outfitters, Inc. 11,354 100 AutoZone, Inc. (b) 15,357 821 Bed Bath & Beyond, Inc. (b) 28,530 585 Best Buy Co., Inc. 21,861 153 Buckle (The), Inc. 4,734 1,916 Chico's FAS, Inc. (b) 21,976 183 Children's Place Retail Stores (The), Inc. (b) 5,997 3,076 Coldwater Creek, Inc. (b) 22,578 1,084 Dick's Sporting Goods, Inc. (b) 21,517 452 Dress Barn (The), Inc. (b) 7,047 222 GameStop Corp., Class A (b) 4,860 1,194 Gap (The), Inc. 19,486 557 Guess?, Inc. 16,192 182 Gymboree (The) Corp. (b) 7,240 90 Hibbett Sports, Inc. (b) 1,657 690 J. Crew Group, Inc. (b) 19,430 234 Jos. A. Bank Clothiers, Inc. (b) 8,562 663 O'Reilly Automotive, Inc. (b) 26,958 669 PetSmart, Inc. 14,966 1,808 RadioShack Corp. 28,042 372 Ross Stores, Inc. 16,401 91 Sherwin-Williams (The) Co. 5,255 1,252 Staples, Inc. 26,317 802 TJX (The) Cos., Inc. 29,056 196 Tractor Supply Co. (b) 9,402 536 Urban Outfitters, Inc. (b) 12,885 ----------- 443,458 ----------- TEXTILES, APPAREL & LUXURY GOODS -- 3.3% 328 Carter's, Inc. (b) 9,296 939 Coach, Inc. 27,785 1,426 CROCS, Inc. (b) 4,877 Page 96 See Notes to Financial Statements FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND Portfolio of Investments (a) (Continued) July 31, 2009 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (Continued) TEXTILES, APPAREL & LUXURY GOODS (Continued) 23 Deckers Outdoor Corp. (b) $ 1,555 596 Fossil, Inc. (b) 15,699 745 Hanesbrands, Inc. (b) 14,825 525 Iconix Brand Group, Inc. (b) 9,198 423 Maidenform Brands, Inc. (b) 5,850 189 NIKE, Inc., Class B 10,705 366 Polo Ralph Lauren Corp. 23,076 271 Timberland (The) Co., Class A (b) 3,696 362 True Religion Apparel, Inc. (b) 8,094 500 Under Armour, Inc., Class A (b) 12,145 259 Volcom, Inc. (b) 3,142 575 Warnaco Group (The), Inc. (b) 20,890 ----------- 170,833 ----------- THRIFTS & MORTGAGE FINANCE -- 0.1% 368 Hudson City Bancorp, Inc. 5,174 ----------- TRADING COMPANIES & DISTRIBUTORS -- 0.3% 185 W.W. Grainger, Inc. 16,633 ----------- TOTAL COMMON STOCKS -- 100.6% (Cost $4,299,995) 5,228,451 MONEY MARKET FUND -- 0.7% 34,897 Morgan Stanley Institutional Treasury Money Market Fund- 0.01% (c) (Cost $34,897) 34,897 ----------- TOTAL INVESTMENTS -- 101.3% (Cost $4,334,892) (d) 5,263,348 NET OTHER ASSETS AND LIABILITIES -- (1.3)% (67,822) ----------- NET ASSETS -- 100.0% $ 5,195,526 =========== (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 July 31, 2009. (d) Aggregate cost for federal income tax purposes is $4,343,543. As of July 31, 2009, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $950,506 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $30,701. ______________________ Valuation Inputs A summary of the inputs used to value the Fund's investments as of July 31, 2009 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs Investments Level 1 Level 2 Level 3 __________________________________________________________________ Common Stocks* $ 5,228,451 $ -- $ -- Money Market Fund 34,897 -- -- __________________________________________ Total Investments $ 5,263,348 $ -- $ -- ========================================== * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 97 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND Statements of Assets and Liabilities July 31, 2009
First Trust First Trust Consumer Consumer First Trust Discretionary Staples Energy AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund ___________________ ___________________ __________________ ASSETS: Investments at value................................................... $ 6,456,428 $ 9,080,449 $ 9,569,078 Cash................................................................... -- -- -- Receivables: Capital shares sold.............................................. -- -- -- Dividends........................................................ 1,640 10,156 2,577 Interest......................................................... 1 -- -- From investment advisor.......................................... -- 5 338 Prepaid expenses....................................................... 1,542 2,140 2,048 _______________ _______________ _______________ Total Assets.................................................. 6,459,611 9,092,750 9,574,041 _______________ _______________ _______________ LIABILITIES: Due to custodian....................................................... 1 2 415 Payables: Investment securities purchased.................................. 31,144 32,049 -- Audit and tax fees............................................... 28,475 28,475 28,475 Licensing fees................................................... 2,143 4,551 3,913 Investment advisory fees......................................... 2,522 -- -- Accrued expenses and other liabilities................................. 8,911 10,479 10,682 _______________ _______________ _______________ Total Liabilities............................................. 73,196 75,556 43,485 _______________ _______________ _______________ NET ASSETS............................................................. $ 6,386,415 $ 9,017,194 $ 9,530,556 =============== =============== =============== NET ASSETS consist of: Paid-in capital........................................................ $ 7,946,021 $ 9,775,584 $ 13,455,870 Par value.............................................................. 5,000 5,500 7,000 Accumulated net investment income (loss)............................... -- 11,416 -- Accumulated net realized gain (loss) on investments.................... (2,276,762) (1,762,893) (5,039,274) Net unrealized appreciation (depreciation) on investments.............. 712,156 987,587 1,106,960 _______________ _______________ _______________ NET ASSETS............................................................. $ 6,386,415 $ 9,017,194 $ 9,530,556 =============== =============== =============== NET ASSET VALUE, per share............................................. $ 12.77 $ 16.39 $ 13.62 =============== =============== =============== Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)..... 500,002 550,002 700,002 _______________ _______________ _______________ Investments at cost.................................................... $ 5,744,272 $ 8,092,862 $ 8,462,118 =============== =============== ===============
Page 98 See Notes to Financial Statements First Trust
First Trust First Trust Industrials/ First Trust First Trust Financials Health Care Producer Durables Materials Technology AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund ___________________ ___________________ ___________________ ___________________ ___________________ $ 8,364,065 $ 15,086,008 $ 5,474,617 $ 10,005,929 $ 12,443,170 -- -- -- -- -- -- -- -- -- -- 7,379 4,277 4,263 5,181 1,236 1 -- 1 1 1 1,518 682 -- 621 -- 1,825 2,588 1,803 2,096 1,928 _______________ _______________ _______________ _______________ _______________ 8,374,788 15,093,555 5,480,684 10,013,828 12,446,335 _______________ _______________ _______________ _______________ _______________ 2 3 1 2 2 37,052 27,140 23,334 48,099 27,287 28,475 28,475 28,475 28,475 28,475 3,466 7,397 2,412 3,880 4,171 -- -- 4,694 -- 757 10,505 15,292 10,100 11,380 11,230 _______________ _______________ _______________ _______________ _______________ 79,500 78,307 69,016 91,836 71,922 _______________ _______________ _______________ _______________ _______________ $ 8,295,288 $ 15,015,248 $ 5,411,668 $ 9,921,992 $ 12,374,413 =============== =============== =============== =============== =============== $ 10,044,737 $ 16,417,694 $ 7,139,699 $ 10,830,807 $ 14,992,478 8,000 8,500 4,500 6,500 8,550 15,386 -- 5,563 6,109 -- (2,584,137) (3,804,510) (2,573,732) (2,916,886) (4,380,309) 811,302 2,393,564 835,638 1,995,462 1,753,694 _______________ _______________ _______________ _______________ _______________ $ 8,295,288 $ 15,015,248 $ 5,411,668 $ 9,921,992 $ 12,374,413 =============== =============== =============== =============== =============== $ 10.37 $ 17.66 $ 12.03 $ 15.26 $ 14.47 =============== =============== =============== =============== =============== 800,002 850,002 450,002 650,002 855,000 _______________ _______________ _______________ _______________ _______________ $ 7,552,763 $ 12,692,444 $ 4,638,979 $ 8,010,467 $ 10,689,476 =============== =============== =============== =============== ===============
See Notes to Financial Statements Page 99 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND Statements of Assets and Liabilities (Continued) July 31, 2009
First Trust First Trust First Trust Large Cap Mid Cap Utilities Core Core AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund ___________________ ___________________ __________________ ASSETS: Investments at value................................................... $ 13,717,859 $ 13,814,619 $ 8,863,531 Cash................................................................... -- -- -- Receivables: Capital shares sold.............................................. -- -- -- Dividends........................................................ 28,583 11,806 5,226 Interest......................................................... 1 1 1 From investment advisor.......................................... 1,355 -- -- Prepaid expenses....................................................... 2,637 2,707 2,106 _______________ _______________ _______________ Total Assets.................................................. 13,750,435 13,829,133 8,870,864 _______________ _______________ _______________ LIABILITIES: Due to custodian....................................................... 3 3 2 Payables:.............................................................. Investment securities purchased.................................. 39,200 48,302 31,204 Audit and tax fees............................................... 28,475 28,475 28,475 Licensing fees................................................... 8,253 1,094 696 Investment advisory fees......................................... -- 15,681 364 Accrued expenses and other liabilities................................. 14,959 15,604 11,139 _______________ _______________ _______________ Total Liabilities............................................. 90,890 109,159 71,880 _______________ _______________ _______________ NET ASSETS............................................................. $ 13,659,545 $ 13,719,974 $ 8,798,984 =============== =============== =============== NET ASSETS consist of: Paid-in capital........................................................ $ 16,284,298 $ 18,165,638 $ 11,857,027 Par value.............................................................. 10,000 7,000 4,000 Accumulated net investment income (loss)............................... 27,118 8,052 2,756 Accumulated net realized gain (loss) on investments.................... (2,914,789) (5,980,753) (4,307,300) Net unrealized appreciation (depreciation) on investments.............. 252,918 1,520,037 1,242,501 _______________ _______________ _______________ NET ASSETS............................................................. $ 13,659,545 $ 13,719,974 $ 8,798,984 =============== =============== =============== NET ASSET VALUE, per share............................................. $ 13.66 $ 19.60 $ 22.00 =============== =============== =============== Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)..... 1,000,002 700,002 400,002 _______________ _______________ _______________ Investments at cost.................................................... $ 13,464,941 $ 12,294,582 $ 7,621,030 =============== =============== ===============
Page 100 See Notes to Financial Statements
First Trust First Trust First Trust Small Cap Large Cap Value Large Cap Growth First Trust First Trust Core Opportunities Opportunities Multi Cap Value Multi Cap Growth AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund ___________________ ___________________ ___________________ ___________________ ___________________ $ 8,360,280 $ 18,199,394 $ 14,033,581 $ 10,126,180 $ 5,263,348 423 -- -- 198 -- 1,038,003 -- -- -- -- 3,753 23,393 4,439 10,290 1,367 1 1 1 -- -- 838 -- 1,222 23,379 -- 1,892 2,873 2,523 1,882 1,931 _______________ _______________ _______________ _______________ _______________ 9,405,190 18,225,661 14,041,766 10,161,929 5,266,646 _______________ _______________ _______________ _______________ _______________ -- 4 260 -- 1 1,059,504 34,689 32,540 -- 32,709 28,475 28,475 28,475 28,475 28,475 508 1,445 1,115 689 413 -- 2,961 -- -- 150 9,604 17,407 19,125 31,941 9,372 _______________ _______________ _______________ _______________ _______________ 1,098,091 84,981 81,515 61,105 71,120 _______________ _______________ _______________ _______________ _______________ $ 8,307,099 $ 18,140,680 $ 13,960,251 $ 10,100,824 $ 5,195,526 =============== =============== =============== =============== =============== $ 11,471,185 $ 24,664,296 $ 25,607,464 $ 11,898,110 $ 8,530,325 4,000 9,500 7,000 5,000 2,500 2,459 20,965 -- 2,768 -- (3,902,808) (8,045,148) (13,632,130) (2,977,268) (4,265,755) 732,263 1,491,067 1,977,917 1,172,214 928,456 _______________ _______________ _______________ _______________ _______________ $ 8,307,099 $ 18,140,680 $ 13,960,251 $ 10,100,824 $ 5,195,526 =============== =============== =============== =============== =============== $ 20.77 $ 19.10 $ 19.94 $ 20.20 $ 20.78 =============== =============== =============== =============== =============== 400,002 950,002 700,002 500,002 250,002 _______________ _______________ _______________ _______________ _______________ $ 7,628,017 $ 16,708,327 $ 12,055,664 $ 8,953,966 $ 4,334,892 =============== =============== =============== =============== ===============
See Notes to Financial Statements Page 101 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND Statements of Operations For the Year Ended July 31, 2009
First Trust First Trust Consumer Consumer First Trust Discretionary Staples Energy AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund ___________________ ___________________ __________________ INVESTMENT INCOME: Dividends ............................................................. $ 72,147 $ 199,377 $ 59,469 Foreign tax withholding ............................................... -- -- -- Interest............................................................... 286 248 224 _______________ _______________ _______________ Total investment income.......................................... 72,433 199,625 59,693 _______________ _______________ _______________ EXPENSES: Audit and tax fees..................................................... 29,011 29,011 29,011 Investment advisory fees............................................... 21,305 37,157 31,774 Listing fees........................................................... 6,441 6,328 6,102 Accounting and administration fees..................................... 4,724 6,180 5,757 Licensing fees......................................................... 4,261 7,431 6,355 Custodian fees......................................................... 1,224 2,803 2,458 Transfer agent fees.................................................... 213 372 318 Registration and filing fees........................................... 187 226 242 Legal fees............................................................. 132 5,018 3,422 Trustees' fees and expenses............................................ 12 1,090 189 Other expenses......................................................... 322 671 434 _______________ _______________ _______________ Total expenses................................................... 67,832 96,287 86,062 Less fees waived and expenses reimbursed by the investment advisor............................................ (38,005) (44,268) (41,578) _______________ _______________ _______________ Net expenses..................................................... 29,827 52,019 44,484 _______________ _______________ _______________ NET INVESTMENT INCOME (LOSS)........................................... 42,606 147,606 15,209 _______________ _______________ _______________ REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments...................................................... (1,773,040) (1,375,700) (4,454,393) In-kind redemptions.............................................. (1,284,519) (206,865) (597,259) _______________ _______________ _______________ Net realized gain (loss)............................................... (3,057,559) (1,582,565) (5,051,652) Net change in unrealized appreciation (depreciation) on investments... 957,867 1,011,613 2,173,380 _______________ _______________ _______________ NET REALIZED AND UNREALIZED GAIN (LOSS)................................ (2,099,692) (570,952) (2,878,272) _______________ _______________ _______________ NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................................................. $ (2,057,086) $ (423,346) $ (2,863,063) =============== =============== ===============
Page 102 See Notes to Financial Statements First Trust
First Trust First Trust Industrials/ First Trust First Trust Financials Health Care Producer Durables Materials Technology AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund ______________________ ______________________ ______________________ ______________________ ______________________ $ 172,293 $ 65,812 $ 65,782 $ 127,341 $ 41,537 (29) -- -- -- -- 272 173 233 245 329 __________________ __________________ __________________ __________________ __________________ 172,536 65,985 66,015 127,586 41,866 __________________ __________________ __________________ __________________ __________________ 29,011 29,011 29,011 29,011 29,011 27,075 61,728 19,555 29,511 39,657 6,440 6,497 6,102 6,328 6,486 5,921 9,923 3,904 5,602 6,997 5,415 12,346 3,911 5,902 7,931 2,521 4,473 1,100 2,249 2,323 271 617 196 295 397 270 412 38 270 364 3,612 11,590 -- 2,081 4,712 36 2,024 13 531 514 573 3,478 74 558 1,436 __________________ __________________ __________________ __________________ __________________ 81,145 142,099 63,904 82,338 99,828 (43,241) (55,680) (36,527) (41,022) (44,308) __________________ __________________ __________________ __________________ __________________ 37,904 86,419 27,377 41,316 55,520 __________________ __________________ __________________ __________________ __________________ 134,632 (20,434) 38,638 86,270 (13,654) __________________ __________________ __________________ __________________ __________________ (2,054,600) (3,259,138) (1,875,690) (2,876,191) (3,998,003) (194,164) 375,724 -- (676,157) (832,146) __________________ __________________ __________________ __________________ __________________ (2,248,764) (2,883,414) (1,875,690) (3,552,348) (4,830,149) 1,075,521 2,041,041 860,831 1,739,421 2,106,384 __________________ __________________ __________________ __________________ __________________ (1,173,243) (842,373) (1,014,859) (1,812,927) (2,723,765) __________________ __________________ __________________ __________________ __________________ $ (1,038,611) $ (862,807) $ (976,221) $ (1,726,657) $ (2,737,419) ================== ================== ================== ================== ==================
See Notes to Financial Statements Page 103 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND Statements of Operations (Continued) For the Year Ended July 31, 2009
First Trust First Trust First Trust Large Cap Mid Cap Utilities Core Core AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund ___________________ ___________________ __________________ INVESTMENT INCOME: Dividends ............................................................. $ 648,573 $ 281,895 $ 137,167 Foreign tax withholding................................................ -- -- -- Interest............................................................... 317 264 277 _______________ _______________ _______________ Total investment income.......................................... 648,890 282,159 137,444 _______________ _______________ _______________ EXPENSES: Audit and tax fees..................................................... 29,011 29,011 29,011 Investment advisory fees............................................... 68,549 60,619 38,772 Listing fees........................................................... 6,271 6,554 6,215 Accounting and administration fees..................................... 10,180 13,253 9,007 Licensing fees......................................................... 13,710 12,124 7,754 Custodian fees ........................................................ 5,256 5,649 3,065 Transfer agent fees.................................................... 685 606 388 Registration and filing fees........................................... 461 207 57 Legal fees............................................................. 14,747 10,316 4,329 Trustees' fees and expenses............................................ 2,662 39 22 Other expenses......................................................... 6,361 3,648 927 _______________ _______________ _______________ Total expenses................................................... 157,893 142,026 99,547 Less fees waived and expenses reimbursed by the investment advisor............................................ (61,924) (57,160) (45,266) _______________ _______________ _______________ Net expenses..................................................... 95,969 84,866 54,281 _______________ _______________ _______________ NET INVESTMENT INCOME (LOSS)........................................... 552,921 197,293 83,163 _______________ _______________ _______________ REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments...................................................... (2,788,711) (4,854,989) (3,130,320) In-kind redemptions.............................................. (495,919) 388,383 -- _______________ _______________ _______________ Net realized gain (loss)............................................... (3,284,630) (4,466,606) (3,130,320) Net change in unrealized appreciation (depreciation) on investments.... 446,425 2,129,465 1,408,480 _______________ _______________ _______________ NET REALIZED AND UNREALIZED GAIN (LOSS)................................ (2,838,205) (2,337,141) (1,721,840) _______________ _______________ _______________ NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................. $ (2,285,284) $ (2,139,848) $ (1,638,677) =============== =============== ===============
Page 104 See Notes to Financial Statements
First Trust First Trust First Trust Small Cap Large Cap Value Large Cap Growth First Trust First Trust Core Opportunities Opportunities Multi Cap Value Multi Cap Growth AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund ______________________ ______________________ ______________________ ______________________ ______________________ $ 74,302 $ 539,865 $ 217,116 $ 129,153 $ 56,626 (62) -- -- (16) (5) 228 272 288 245 245 __________________ __________________ __________________ __________________ __________________ 74,468 540,137 217,404 129,382 56,866 __________________ __________________ __________________ __________________ __________________ 29,011 29,011 29,011 29,011 29,011 31,203 85,089 87,809 24,039 28,733 6,215 6,215 6,272 6,554 6,246 9,085 14,996 13,347 13,539 12,301 6,241 17,018 17,562 4,808 5,747 2,817 7,444 3,948 2,459 4,712 312 851 878 240 287 101 557 862 175 -- 1,604 14,241 10,909 1,117 1,504 20 50 47 16 17 581 5,950 7,518 22,366 1,153 __________________ __________________ __________________ __________________ __________________ 87,190 181,422 178,163 104,324 89,711 (43,506) (62,297) (55,316) (70,667) (49,485) __________________ __________________ __________________ __________________ __________________ 43,684 119,125 122,847 33,657 40,226 __________________ __________________ __________________ __________________ __________________ 30,784 421,012 94,557 95,725 16,640 __________________ __________________ __________________ __________________ __________________ (2,610,440) (7,364,072) (10,325,564) (2,099,930) (2,773,338) (392,409) (1,266,341) (2,357,591) 245,349 236,644 __________________ __________________ __________________ __________________ __________________ (3,002,849) (8,630,413) (12,683,155) (1,854,581) (2,536,694) 940,551 3,008,229 1,374,852 1,990,405 393,003 __________________ __________________ __________________ __________________ __________________ (2,062,298) (5,622,184) (11,308,303) 135,824 (2,143,691) __________________ __________________ __________________ __________________ __________________ $ (2,031,514) $ (5,201,172) $ (11,213,746) $ 231,549 $ (2,127,051) ================== ================== ================== ================== ==================
See Notes to Financial Statements Page 105 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND Statements of Changes in Net Assets
First Trust Consumer Discretionary AlphaDEX(R) Fund ____________________________________________ For the Year For the Year Ended Ended July 31, 2009 July 31, 2008 ___________________ ___________________ OPERATIONS: Net investment income (loss)................................................... $ 42,606 $ 11,833 Net realized gain (loss) ...................................................... (3,057,559) (552,086) Net change in unrealized appreciation (depreciation) .......................... 957,867 (130,768) _______________ _______________ Net increase (decrease) in net assets resulting from operations................ (2,057,086) (671,021) _______________ _______________ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income ......................................................... (43,047) (11,580) Net realized gain.............................................................. -- -- Return of capital.............................................................. (13) -- _______________ _______________ Total distributions to shareholders............................................ (43,060) (11,580) _______________ _______________ SHAREHOLDER TRANSACTIONS: Proceeds from shares sold...................................................... 8,472,100 3,300,300 Value of shares repurchased.................................................... (3,532,147) (953,917) _______________ _______________ Net increase (decrease) in net assets resulting from shareholder transactions.. 4,939,953 2,346,383 _______________ _______________ Total increase (decrease) in net assets........................................ 2,839,807 1,663,782 NET ASSETS: Beginning of period............................................................ 3,546,608 1,882,826 _______________ _______________ End of period.................................................................. $ 6,386,415 $ 3,546,608 =============== =============== Accumulated net investment income (loss) at end of period...................... $ -- $ 441 =============== =============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period........................................ 250,002 100,002 Shares sold.................................................................... 650,000 200,000 Shares repurchased............................................................. (400,000) (50,000) _______________ _______________ Shares outstanding, end of period.............................................. 500,002 250,002 =============== ===============
Page 106 See Notes to Financial Statements
First Trust First Trust First Trust Consumer Staples Energy Financials AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund ____________________________________________________________________________________________________________________________________ For the Year For the Year For the Year For the Year For the Year For the Year Ended Ended Ended Ended Ended Ended July 31, 2009 July 31, 2008 July 31, 2009 July 31, 2008 July 31, 2009 July 31, 2008 ____________________ ______________________________________________________________________________________________________________ $ 147,606 $ 30,839 $ 15,209 $ 26,134 $ 134,632 $ 36,793 (1,582,565) (304,283) (5,051,652) 565,110 (2,248,764) (558,384) 1,011,613 134,562 2,173,380 (813,167) 1,075,521 (51,731) ______________ ______________ ______________ ______________ ______________ ______________ (423,346) (138,882) (2,863,063) (221,923) (1,038,611) (573,322) ______________ ______________ ______________ ______________ ______________ ______________ (139,591) (33,075) (15,209) (30,458) (120,540) (42,251) -- -- -- (892) -- -- -- -- (3,031) -- -- -- ______________ ______________ ______________ ______________ ______________ ______________ (139,591) (33,075) (18,240) (31,350) (120,540) (42,251) ______________ ______________ ______________ ______________ ______________ ______________ 13,674,307 1,985,991 6,283,433 14,269,178 9,278,615 1,612,374 (6,788,705) (1,985,991) (2,218,570) (10,853,396) (1,685,661) (926,277) ______________ ______________ ______________ ______________ ______________ ______________ 6,885,602 -- 4,064,863 3,415,782 7,592,954 686,097 ______________ ______________ ______________ ______________ ______________ ______________ 6,322,665 (171,957) 1,183,560 3,162,509 6,433,803 70,524 2,694,529 2,866,486 8,346,996 5,184,487 1,861,485 1,790,961 ______________ ______________ ______________ ______________ ______________ ______________ $ 9,017,194 $ 2,694,529 $ 9,530,556 $ 8,346,996 $ 8,295,288 $ 1,861,485 ============== ============== ============== ============== ============== ============== $ 11,416 $ 3,316 $ -- $ -- $ 15,386 $ 1,126 ============== ============== ============== ============== ============== ============== 150,002 150,002 350,002 250,002 150,002 100,002 800,000 100,000 550,000 550,000 850,000 100,000 (400,000) (100,000) (200,000) (450,000) (200,000) (50,000) ______________ ______________ ______________ ______________ ______________ ______________ 550,002 150,002 700,002 350,002 800,002 150,002 ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 107 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND Statements of Changes in Net Assets (Continued)
First Trust Health Care AlphaDEX(R) Fund ___________________________________________ For the Year For the Year Ended Ended July 31, 2009 July 31, 2008 ___________________ ___________________ OPERATIONS: Net investment income (loss)................................................... $ (20,434) $ (14,822) Net realized gain (loss) ...................................................... (2,883,414) (336,595) Net change in unrealized appreciation (depreciation) .......................... 2,041,041 377,596 _______________ _______________ Net increase (decrease) in net assets resulting from operations................ (862,807) 26,179 _______________ _______________ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income ......................................................... -- -- Net realized gain.............................................................. -- -- Return of capital.............................................................. -- -- _______________ _______________ Total distributions to shareholders............................................ -- -- _______________ _______________ SHAREHOLDER TRANSACTIONS: Proceeds from shares sold...................................................... 8,039,300 8,610,569 Value of shares repurchased.................................................... (681,813) (2,064,712) _______________ _______________ Net increase (decrease) in net assets resulting from shareholder transactions.. 7,357,487 6,545,857 _______________ _______________ Total increase (decrease) in net assets........................................ 6,494,680 6,572,036 NET ASSETS: Beginning of period............................................................ 8,520,568 1,948,532 _______________ _______________ End of period.................................................................. $ 15,015,248 $ 8,520,568 =============== =============== Accumulated net investment income (loss) at end of period...................... $ -- $ -- =============== =============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period........................................ 450,002 100,002 Shares sold.................................................................... 450,000 450,000 Shares repurchased............................................................. (50,000) (100,000) _______________ _______________ Shares outstanding, end of period.............................................. 850,002 450,002 =============== ===============
Page 108 See Notes to Financial Statements
First Trust First Trust First Trust Industrials/Producer Durables Materials Technology AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund ____________________________________________________________________________________________________________________________________ For the Year For the Year For the Year For the Year For the Year For the Year Ended Ended Ended Ended Ended Ended July 31, 2009 July 31, 2008 July 31, 2009 July 31, 2008 July 31, 2009 July 31, 2008 __________________ __________________ ____________________ ____________________ _____________________ _____________________ $ 38,638 $ 13,170 $ 86,270 $ 24,937 $ (13,654) $ (12,308) (1,875,690) (576,520) (3,552,348) 42,430 (4,830,149) (438,946) 860,831 240,994 1,739,421 310,083 2,106,384 (356,682) ______________ ______________ ______________ ______________ ______________ ______________ (976,221) (322,356) (1,726,657) 377,450 (2,737,419) (807,936) ______________ ______________ ______________ ______________ ______________ ______________ (34,770) (11,475) (81,375) (26,265) -- -- -- -- -- -- -- -- -- -- -- -- -- -- ______________ ______________ ______________ ______________ ______________ ______________ (34,770) (11,475) (81,375) (26,265) -- -- ______________ ______________ ______________ ______________ ______________ ______________ 2,038,171 1,933,032 11,042,270 5,269,020 9,467,594 8,660,675 -- (1,933,032) (4,786,227) (3,171,331) (3,259,388) (1,098,049) ______________ ______________ ______________ ______________ ______________ ______________ 2,038,171 -- 6,256,043 2,097,689 6,208,206 7,562,626 ______________ ______________ ______________ ______________ ______________ ______________ 1,027,180 (333,831) 4,448,011 2,448,874 3,470,787 6,754,690 4,384,488 4,718,319 5,473,981 3,025,107 8,903,626 2,148,936 ______________ ______________ ______________ ______________ ______________ ______________ $ 5,411,668 $ 4,384,488 $ 9,921,992 $ 5,473,981 $ 12,374,413 $ 8,903,626 ============== ============== ============== ============== ============== ============== $ 5,563 $ 1,695 $ 6,109 $ 1,209 $ -- $ -- ============== ============== ============== ============== ============== ============== 250,002 250,002 250,002 150,002 505,000 105,000 200,000 100,000 800,000 250,000 650,000 450,000 -- (100,000) (400,000) (150,000) (300,000) (50,000) ______________ ______________ ______________ ______________ ______________ ______________ 450,002 250,002 650,002 250,002 855,000 505,000 ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 109 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND Statements of Changes in Net Assets (Continued)
First Trust Utilities AlphaDEX(R) Fund ____________________________________________ For the Year For the Year Ended Ended July 31, 2009 July 31, 2008 ___________________ ___________________ OPERATIONS: Net investment income (loss)................................................... $ 552,921 $ 88,794 Net realized gain (loss) ...................................................... (3,284,630) (190,365) Net change in unrealized appreciation (depreciation) .......................... 446,425 43,051 _______________ _______________ Net increase (decrease) in net assets resulting from operations................ (2,285,284) (58,520) _______________ _______________ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income ......................................................... (547,701) (78,502) Net realized gain.............................................................. -- -- Return of capital.............................................................. -- -- _______________ _______________ Total distributions to shareholders............................................ (547,701) (78,502) _______________ _______________ SHAREHOLDER TRANSACTIONS: Proceeds from shares sold...................................................... 16,507,793 6,783,781 Value of shares repurchased.................................................... (5,681,893) (3,736,342) _______________ _______________ Net increase (decrease) in net assets resulting from shareholder transactions.. 10,825,900 3,047,439 _______________ _______________ Total increase (decrease) in net assets........................................ 7,992,915 2,910,417 NET ASSETS: Beginning of period............................................................ 5,666,630 2,756,213 _______________ _______________ End of period.................................................................. $ 13,659,545 $ 5,666,630 =============== =============== Accumulated net investment income (loss) at end of period...................... $ 27,118 $ 21,646 =============== =============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period........................................ 350,002 150,002 Shares sold.................................................................... 1,150,000 400,000 Shares repurchased............................................................. (500,000) (200,000) _______________ _______________ Shares outstanding, end of period.............................................. 1,000,002 350,002 =============== ===============
Page 110 See Notes to Financial Statements
First Trust First Trust First Trust Large Cap Core Mid Cap Core Small Cap Core AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund ____________________________________________________________________________________________________________________________________ For the Year For the Year For the Year For the Year For the Year For the Year Ended Ended Ended Ended Ended Ended July 31, 2009 July 31, 2008 July 31, 2009 July 31, 2008 July 31, 2009 July 31, 2008 ____________________ ______________________________________________________________________________________________________________ $ 197,293 $ 120,810 $ 83,163 $ 40,583 $ 30,784 $ 15,764 (4,466,606) (1,255,398) (3,130,320) (995,161) (3,002,849) (1,267,524) 2,129,465 (364,632) 1,408,480 288,552 940,551 327,549 ______________ ______________ ______________ ______________ ______________ ______________ (2,139,848) (1,499,220) (1,638,677) (666,026) (2,031,514) (924,211) ______________ ______________ ______________ ______________ ______________ ______________ (198,901) (115,441) (83,600) (39,200) (28,860) (18,440) -- -- -- -- -- -- -- -- -- -- -- -- ______________ ______________ ______________ ______________ ______________ ______________ (198,901) (115,441) (83,600) (39,200) (28,860) (18,440) ______________ ______________ ______________ ______________ ______________ ______________ 3,101,779 16,563,871 -- 8,542,062 2,059,729 10,645,981 (1,842,085) (3,018,540) -- (3,031,020) (1,608,061) (5,447,956) ______________ ______________ ______________ ______________ ______________ ______________ 1,259,694 13,545,331 -- 5,511,042 451,668 5,198,025 ______________ ______________ ______________ ______________ ______________ ______________ (1,079,055) 11,930,670 (1,722,277) 4,805,816 (1,608,706) 4,255,374 14,799,029 2,868,359 10,521,261 5,715,445 9,915,805 5,660,431 ______________ ______________ ______________ ______________ ______________ ______________ $ 13,719,974 $ 14,799,029 $ 8,798,984 $ 10,521,261 $ 8,307,099 $ 9,915,805 ============== ============== ============== ============== ============== ============== $ 8,052 $ 9,660 $ 2,756 $ 3,143 $ 2,459 $ 535 ============== ============== ============== ============== ============== ============== 600,002 100,002 400,002 200,002 400,002 200,002 200,000 600,000 -- 300,000 100,000 400,000 (100,000) (100,000) -- (100,000) (100,000) (200,000) ______________ ______________ ______________ ______________ ______________ ______________ 700,002 600,002 400,002 400,002 400,002 400,002 ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 111 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND Statements of Changes in Net Assets (Continued)
First Trust Large Cap Value Opportunities AlphaDEX(R) Fund ____________________________________________ For the Year For the Year Ended Ended July 31, 2009 July 31, 2008 __________________ ___________________ OPERATIONS: Net investment income (loss)................................................... $ 421,012 $ 197,639 Net realized gain (loss) ...................................................... (8,630,413) (1,074,825) Net change in unrealized appreciation (depreciation) .......................... 3,008,229 (985,648) _______________ _______________ Net increase (decrease) in net assets resulting from operations................ (5,201,172) (1,862,834) _______________ _______________ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income ......................................................... (422,101) (183,261) Net realized gain.............................................................. -- -- Return of capital.............................................................. -- -- _______________ _______________ Total distributions to shareholders............................................ (422,101) (183,261) _______________ _______________ SHAREHOLDER TRANSACTIONS: Proceeds from shares sold...................................................... 11,235,645 22,463,648 Value of shares repurchased.................................................... (10,635,114) (2,923,373) _______________ _______________ Net increase (decrease) in net assets resulting from shareholder transactions.. 600,531 19,540,275 _______________ _______________ Total increase (decrease) in net assets........................................ (5,022,742) 17,494,180 NET ASSETS: Beginning of period............................................................ 23,163,422 5,669,242 _______________ _______________ End of period.................................................................. $ 18,140,680 $ 23,163,422 =============== =============== Accumulated net investment income (loss) at end of period...................... $ 20,965 $ 22,054 =============== =============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period........................................ 1,000,002 200,002 Shares sold.................................................................... 600,000 900,000 Shares repurchased............................................................. (650,000) (100,000) _______________ _______________ Shares outstanding, end of period.............................................. 950,002 1,000,002 =============== ===============
Page 112 See Notes to Financial Statements
First Trust First Trust First Trust Large Cap Growth Opportunities Multi Cap Value Multi Cap Growth AlphaDEX(R) Fund AlphaDEX(R) Fund AlphaDEX(R) Fund ____________________________________________________________________________________________________________________________________ For the Year For the Year For the Year For the Year For the Year For the Year Ended Ended Ended Ended Ended Ended July 31, 2009 July 31, 2008 July 31, 2009 July 31, 2008 July 31, 2009 July 31, 2008 ____________________ ______________________________________________________________________________________________________________ $ 94,557 $ 83,304 $ 95,725 $ 88,713 $ 16,640 $ 8,995 (12,683,155) (3,428,659) (1,854,581) (567,762) (2,536,694) (1,426,991) 1,374,852 835,410 1,990,405 (483,942) 393,003 1,099,912 ______________ ______________ ______________ ______________ ______________ ______________ (11,213,746) (2,509,945) 231,549 (962,991) (2,127,051) (318,084) ______________ ______________ ______________ ______________ ______________ ______________ (97,291) (80,570) (96,701) (91,341) (16,640) (8,995) -- -- -- -- -- -- (2,679) -- -- -- (1,410) (1,395) ______________ ______________ ______________ ______________ ______________ ______________ (99,970) (80,570) (96,701) (91,341) (18,050) (10,390) ______________ ______________ ______________ ______________ ______________ ______________ 1,780,099 37,101,159 6,197,334 10,762,282 2,208,339 5,943,787 (13,710,082) (3,151,252) (877,994) (7,856,705) (3,155,370) (6,145,757) ______________ ______________ ______________ ______________ ______________ ______________ (11,929,983) 33,949,907 5,319,340 2,905,577 (947,031) (201,970) ______________ ______________ ______________ ______________ ______________ ______________ (23,243,699) 31,359,392 5,454,188 1,851,245 (3,092,132) (530,444) 37,203,950 5,844,558 4,646,636 2,795,391 8,287,658 8,818,102 ______________ ______________ ______________ ______________ ______________ ______________ $ 13,960,251 $ 37,203,950 $ 10,100,824 $ 4,646,636 $ 5,195,526 $ 8,287,658 ============== ============== ============== ============== ============== ============== $ -- $ 2,734 $ 2,768 $ 3,744 $ -- $ -- ============== ============== ============== ============== ============== ============== 1,400,002 200,002 200,002 100,002 300,002 300,002 100,000 1,300,000 350,000 400,000 100,000 200,000 (800,000) (100,000) (50,000) (300,000) (150,000) (200,000) ______________ ______________ ______________ ______________ ______________ ______________ 700,002 1,400,002 500,002 200,002 250,002 300,002 ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 113 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND Financial Highlights For a share outstanding throughout each period First Trust Consumer Discretionary AlphaDEX(R) Fund
For the Period For the For the May 8, 2007 (a) Year Ended Year Ended through July 31, 2009 July 31, 2008 July 31, 2007 ___________________________________________________________________ Net asset value, beginning of period $ 14.19 $ 18.83 $ 20.00 __________ __________ __________ Income from investment operations: Net investment income (loss) 0.10 0.08 0.00(b)(f) Net realized and unrealized gain (loss) (1.42) (4.64) (1.17) __________ __________ __________ Total from investment operations (1.32) (4.56) (1.17) __________ __________ __________ Distributions paid to shareholders from: Net investment income (0.10) (0.08) -- Return of capital (0.00)(f) -- -- __________ __________ __________ Total distributions (0.10) (0.08) -- __________ __________ __________ Net asset value, end of period $ 12.77 $ 14.19 $ 18.83 ========== ========== ========== TOTAL RETURN (c) (9.12)% (24.24)% (5.85)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 6,386 $ 3,547 $ 1,883 Ratios to average net assets: Ratio of total expenses to average net assets 1.59% 3.36% 11.39%(d) Ratio of net expenses to average net assets 0.70% 0.70% 0.70%(d) Ratio of net investment income (loss) to average net assets 1.00% 0.58% 0.04%(d) Portfolio turnover rate (e) 133% 91% 34% First Trust Consumer Staples AlphaDEX(R) Fund For the Period For the For the May 8, 2007 (a) Year Ended Year Ended through July 31, 2009 July 31, 2008 July 31, 2007 ___________________________________________________________________ Net asset value, beginning of period $ 17.96 $ 19.11 $ 20.00 __________ __________ __________ Income from investment operations: Net investment income (loss) 0.25 0.21 0.04(b) Net realized and unrealized gain (loss) (1.57) (1.14) (0.93) __________ __________ __________ Total from investment operations (1.32) (0.93) (0.89) Distributions paid to shareholders from: Net investment income (0.25) (0.22) -- __________ __________ __________ Net asset value, end of period $ 16.39 $ 17.96 $ 19.11 ========== ========== ========== TOTAL RETURN (c) (7.14)% (4.86)% (4.45)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 9,017 $ 2,695 $ 2,866 Ratios to average net assets: Ratio of total expenses to average net assets 1.30% 2.55% 9.34%(d) Ratio of net expenses to average net assets 0.70% 0.70% 0.70%(d) Ratio of net investment income (loss) to average net assets 1.99% 1.10% 0.98%(d) Portfolio turnover rate (e) 145% 96% 1% (a) Inception date. (b) Per share amounts have been calculated using the average share method. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return calculated for a period of less than one year is not annualized. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Annualized. (e) Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. (f) Amount represents less than $0.01 per share.
Page 114 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND Financial Highlights For a share outstanding throughout each period First Trust Energy AlphaDEX(R) Fund
For the Period For the For the May 8, 2007 (a) Year Ended Year Ended through July 31, 2009 July 31, 2008 July 31, 2007 ___________________________________________________________________ Net asset value, beginning of period $ 23.85 $ 20.74 $ 20.00 __________ __________ __________ Income from investment operations: Net investment income (loss) 0.03 0.12 (0.00)(b)(f) Net realized and unrealized gain (loss) (10.23) 3.12 0.74 __________ __________ __________ Total from investment operations (10.20) 3.24 0.74 __________ __________ __________ Distributions paid to shareholders from: Net investment income (0.03) (0.13) -- Net realized gain -- (0.00)(f) -- Return of capital (0.00)(f) -- -- __________ __________ __________ Total distributions (0.03) (0.13) -- __________ __________ __________ Net asset value, end of period $ 13.62 $ 23.85 $ 20.74 ========== ========== ========== TOTAL RETURN (c) (42.74)% 15.62% 3.70% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 9,531 $ 8,347 $ 5,184 Ratios to average net assets: Ratio of total expenses to average net assets 1.35% 1.80% 9.49%(d) Ratio of net expenses to average net assets 0.70% 0.70% 0.70%(d) Ratio of net investment income (loss) to average net assets 0.24% 0.48% (0.03)%(d) Portfolio turnover rate (e) 116% 67% 1% First Trust Financials AlphaDEX(R) Fund For the Period For the For the May 8, 2007 (a) Year Ended Year Ended through July 31, 2009 July 31, 2008 July 31, 2007 ___________________________________________________________________ Net asset value, beginning of period $ 12.41 $ 17.91 $ 20.00 __________ __________ __________ Income from investment operations: Net investment income (loss) 0.18 0.29 0.07(b) Net realized and unrealized gain (loss) (2.05) (5.44) (2.16) __________ __________ __________ Total from investment operations (1.87) (5.15) (2.09) Distributions paid to shareholders from: Net investment income (0.17) (0.35) -- __________ __________ __________ Net asset value, end of period $ 10.37 $ 12.41 $ 17.91 ========== ========== ========== TOTAL RETURN (c) (14.94)% (28.95)% (10.45)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 8,295 $ 1,861 $ 1,791 Ratios to average net assets: Ratio of total expenses to average net assets 1.50% 3.89% 11.58%(d) Ratio of net expenses to average net assets 0.70% 0.70% 0.70%(d) Ratio of net investment income (loss) to average net assets 2.49% 2.13% 1.46%(d) Portfolio turnover rate (e) 140% 74% 26% (a) Inception date. (b) Per share amounts have been calculated using the average share method. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return calculated for a period of less than one year is not annualized. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Annualized. (e) Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. (f) Amount represents less than $0.01 per share.
See Notes to Financial Statements Page 115 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND Financial Highlights For a share outstanding throughout each period First Trust Health Care AlphaDEX(R) Fund
For the Period For the For the May 8, 2007 (a) Year Ended Year Ended through July 31, 2009 July 31, 2008 July 31, 2007 ___________________________________________________________________ Net asset value, beginning of period $ 18.93 $ 19.48 $ 20.00 __________ __________ __________ Income from investment operations: Net investment income (loss) (0.02) (0.03) (0.01)(b) Net realized and unrealized gain (loss) (1.25) (0.52) (0.51) __________ __________ __________ Total from investment operations (1.27) (0.55) (0.52) __________ __________ __________ Net asset value, end of period $ 17.66 $ 18.93 $ 19.48 ========== ========== ========== TOTAL RETURN (c) (6.71)% (2.82)% (2.60)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 15,015 $ 8,521 $ 1,949 Ratios to average net assets: Ratio of total expenses to average net assets 1.15% 2.03% 11.48%(d) Ratio of net expenses to average net assets 0.70% 0.70% 0.70%(d) Ratio of net investment income (loss) to average net assets (0.17)% (0.34)% (0.31)%(d) Portfolio turnover rate (e) 138% 89% 30% First Trust Industrials/Producer Durables AlphaDEX(R) Fund For the Period For the For the May 8, 2007 (a) Year Ended Year Ended through July 31, 2009 July 31, 2008 July 31, 2007 ___________________________________________________________________ Net asset value, beginning of period $ 17.54 $ 18.87 $ 20.00 __________ __________ __________ Income from investment operations: Net investment income (loss) 0.10 0.05 (0.00)(b)(f) Net realized and unrealized gain (loss) (5.52) (1.33) (1.13) __________ __________ __________ Total from investment operations (5.42) (1.28) (1.13) Distributions paid to shareholders from: Net investment income (0.09) (0.05) -- __________ __________ __________ Net asset value, end of period $ 12.03 $ 17.54 $ 18.87 ========== ========== ========== TOTAL RETURN (c) (30.83)% (6.82)% (5.65)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 5,412 $ 4,384 $ 4,718 Ratios to average net assets: Ratio of total expenses to average net assets 1.63% 1.90% 10.09%(d) Ratio of net expenses to average net assets 0.70% 0.70% 0.70%(d) Ratio of net investment income (loss) to average net assets 0.99% 0.29% (0.14)%(d) Portfolio turnover rate (e) 153% 81% 24% (a) Inception date. (b) Per share amounts have been calculated using the average share method. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return calculated for a period of less than one year is not annualized. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Annualized. (e) Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. (f) Amount represents less than $0.01 per share.
Page 116 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND Financial Highlights For a share outstanding throughout each period First Trust Materials AlphaDEX(R) Fund
For the Period For the For the May 8, 2007 (a) Year Ended Year Ended through July 31, 2009 July 31, 2008 July 31, 2007 ___________________________________________________________________ Net asset value, beginning of period $ 21.90 $ 20.17 $ 20.00 __________ __________ __________ Income from investment operations: Net investment income (loss) 0.20 0.16 0.02(b) Net realized and unrealized gain (loss) (6.64) 1.75 0.15 __________ __________ __________ Total from investment operations (6.44) 1.91 0.17 Distributions paid to shareholders from: Net investment income (0.20) (0.18) -- __________ __________ __________ Net asset value, end of period $ 15.26 $ 21.90 $ 20.17 ========== ========== ========== TOTAL RETURN (c) (29.20)% 9.44% 0.85% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 9,922 $ 5,474 $ 3,025 Ratios to average net assets: Ratio of total expenses to average net assets 1.40% 2.33% 9.56%(d) Ratio of net expenses to average net assets 0.70% 0.70% 0.70%(d) Ratio of net investment income (loss) to average net assets 1.46% 0.75% 0.46%(d) Portfolio turnover rate (e) 153% 59% 1% First Trust Technology AlphaDEX(R) Fund For the Period For the For the May 8, 2007 (a) Year Ended Year Ended through July 31, 2009 July 31, 2008 July 31, 2007 ___________________________________________________________________ Net asset value, beginning of period $ 17.63 $ 20.47 $ 20.00 __________ __________ __________ Income from investment operations: Net investment income (loss) (0.02) (0.02) (0.02)(b) Net realized and unrealized gain (loss) (3.14) (2.82) 0.49 __________ __________ __________ Total from investment operations (3.16) (2.84) 0.47 __________ __________ __________ Net asset value, end of period $ 14.47 $ 17.63 $ 20.47 ========== ========== ========== TOTAL RETURN (c) (17.92)% (13.87)% 2.35% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 12,374 $ 8,904 $ 2,149 Ratios to average net assets: Ratio of total expenses to average net assets 1.26% 2.01% 10.64%(d) Ratio of net expenses to average net assets 0.70% 0.70% 0.70%(d) Ratio of net investment income (loss) to average net assets (0.17)% (0.29)% (0.47)%(d) Portfolio turnover rate (e) 135% 89% 6% (a) Inception date. (b) Per share amounts have been calculated using the average share method. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return calculated for a period of less than one year is not annualized. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Annualized. (e) Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or redemptions and in-kind transactions.
See Notes to Financial Statements Page 117 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND Financial Highlights For a share outstanding throughout each period First Trust Utilities AlphaDEX(R) Fund
For the Period For the For the May 8, 2007 (a) Year Ended Year Ended through July 31, 2009 July 31, 2008 July 31, 2007 ___________________________________________________________________ Net asset value, beginning of period $ 16.19 $ 18.37 $ 20.00 __________ __________ __________ Income from investment operations: Net investment income (loss) 0.44 0.90 0.09(b) Net realized and unrealized gain (loss) (2.50) (2.17) (1.72) __________ __________ __________ Total from investment operations (2.06) (1.27) (1.63) Distributions paid to shareholders from: Net investment income (0.47) (0.91) -- __________ __________ __________ Net asset value, end of period $ 13.66 $ 16.19 $ 18.37 ========== ========== ========== TOTAL RETURN (c) (12.53)% (7.39)% (8.15)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 13,660 $ 5,667 $ 2,756 Ratios to average net assets: Ratio of total expenses to average net assets 1.15% 2.50% 10.12%(d) Ratio of net expenses to average net assets 0.70% 0.70% 0.70%(d) Ratio of net investment income (loss) to average net assets 4.03% 2.96% 2.18%(d) Portfolio turnover rate (e) 128% 68% 1% First Trust Large Cap Core AlphaDEX(R) Fund For the Period For the For the May 8, 2007 (a) Year Ended Year Ended through July 31, 2009 July 31, 2008 July 31, 2007 ___________________________________________________________________ Net asset value, beginning of period $ 24.66 $ 28.68 $ 30.00 __________ __________ __________ Income from investment operations: Net investment income (loss) 0.29 0.25 0.04(b) Net realized and unrealized gain (loss) (5.06) (4.00) (1.36) __________ __________ __________ Total from investment operations (4.77) (3.75) (1.32) Distributions paid to shareholders from: Net investment income (0.29) (0.27) -- __________ __________ __________ Net asset value, end of period $ 19.60 $ 24.66 $ 28.68 ========== ========== ========== TOTAL RETURN (c) (19.18)% (13.14)% (4.40)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 13,720 $ 14,799 $ 2,868 Ratios to average net assets: Ratio of total expenses to average net assets 1.17% 1.42% 7.86%(d) Ratio of net expenses to average net assets 0.70% 0.70% 0.70%(d) Ratio of net investment income (loss) to average net assets 1.63% 1.16% 0.62%(d) Portfolio turnover rate (e) 114% 90% 1% (a) Inception date. (b) Per share amounts have been calculated using the average share method. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return calculated for a period of less than one year is not annualized. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Annualized. (e) Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or redemptions and in-kind transactions.
Page 118 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND Financial Highlights For a share outstanding throughout each period First Trust Mid Cap Core AlphaDEX(R) Fund
For the Period For the For the May 8, 2007 (a) Year Ended Year Ended through July 31, 2009 July 31, 2008 July 31, 2007 ___________________________________________________________________ Net asset value, beginning of period $ 26.30 $ 28.58 $ 30.00 __________ __________ __________ Income from investment operations: Net investment income (loss) 0.21 0.14 0.01(b) Net realized and unrealized gain (loss) (4.30) (2.28) (1.43) __________ __________ __________ Total from investment operations (4.09) (2.14) (1.42) Distributions paid to shareholders from: Net investment income (0.21) (0.14) -- __________ __________ __________ Net asset value, end of period $ 22.00 $ 26.30 $ 28.58 ========== ========== ========== TOTAL RETURN (c) (15.42)% (7.51)% (4.73)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 8,799 $ 10,521 $ 5,715 Ratios to average net assets: Ratio of total expenses to average net assets 1.28% 1.61% 5.98%(d) Ratio of net expenses to average net assets 0.70% 0.70% 0.70%(d) Ratio of net investment income (loss) to average net assets 1.07% 0.54% 0.19%(d) Portfolio turnover rate (e) 120% 82% 1% First Trust Small Cap Core AlphaDEX(R) Fund For the Period For the For the May 8, 2007 (a) Year Ended Year Ended through July 31, 2009 July 31, 2008 July 31, 2007 ___________________________________________________________________ Net asset value, beginning of period $ 24.79 $ 28.30 $ 30.00 __________ __________ __________ Income from investment operations: Net investment income (loss) 0.10 0.06 0.02(b) Net realized and unrealized gain (loss) (4.02) (3.50) (1.72) __________ __________ __________ Total from investment operations (3.92) (3.44) (1.70) Distributions paid to shareholders from: Net investment income (0.10) (0.07) -- __________ __________ __________ Net asset value, end of period $ 20.77 $ 24.79 $ 28.30 ========== ========== ========== TOTAL RETURN (c) (15.77)% (12.14)% (5.67)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 8,307 $ 9,916 $ 5,660 Ratios to average net assets: Ratio of total expenses to average net assets 1.40% 1.87% 7.25%(d) Ratio of net expenses to average net assets 0.70% 0.70% 0.70%(d) Ratio of net investment income (loss) to average net assets 0.49% 0.25% 0.42%(d) Portfolio turnover rate (e) 105% 95% 2% (a) Inception date. (b) Per share amounts have been calculated using the average share method. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return calculated for a period of less than one year is not annualized. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Annualized. (e) Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or redemptions and in-kind transactions.
See Notes to Financial Statements Page 119 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND Financial Highlights For a share outstanding throughout each period First Trust Large Cap Value Opportunities AlphaDEX(R) Fund
For the Period For the For the May 8, 2007 (a) Year Ended Year Ended through July 31, 2009 July 31, 2008 July 31, 2007 ___________________________________________________________________ Net asset value, beginning of period $ 23.16 $ 28.35 $ 30.00 __________ __________ __________ Income from investment operations: Net investment income (loss) 0.47 0.43 0.06(b) Net realized and unrealized gain (loss) (4.06) (5.18) (1.71) __________ __________ __________ Total from investment operations (3.59) (4.75) (1.65) Distributions paid to shareholders from: Net investment income (0.47) (0.44) -- __________ __________ __________ Net asset value, end of period $ 19.10 $ 23.16 $ 28.35 ========== ========== ========== TOTAL RETURN (c) (15.23)% (16.85)% (5.50)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 18,141 $ 23,163 $ 5,669 Ratios to average net assets: Ratio of total expenses to average net assets 1.07% 1.35% 6.95%(d) Ratio of net expenses to average net assets 0.70% 0.70% 0.70%(d) Ratio of net investment income (loss) to average net assets 2.47% 1.80% 0.97%(d) Portfolio turnover rate (e) 146% 104% 1% First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund For the Period For the For the May 8, 2007 (a) Year Ended Year Ended through July 31, 2009 July 31, 2008 July 31, 2007 ___________________________________________________________________ Net asset value, beginning of period $ 26.57 $ 29.22 $ 30.00 __________ __________ __________ Income from investment operations: Net investment income (loss) 0.14 0.15 (0.00)(b)(f) Net realized and unrealized gain (loss) (6.63) (2.65) (0.78) __________ __________ __________ Total from investment operations (6.49) (2.50) (0.78) __________ __________ __________ Distributions paid to shareholders from: Net investment income (0.14) (0.15) -- Return of capital (0.00)(f) -- -- __________ __________ __________ Total distributions (0.14) (0.15) -- __________ __________ __________ Net asset value, end of period $ 19.94 $ 26.57 $ 29.22 ========== ========== ========== TOTAL RETURN (c) (24.38)% (8.62)% (2.60)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 13,960 $ 37,204 $ 5,845 Ratios to average net assets: Ratio of total expenses to average net assets 1.01% 1.17% 5.98%(d) Ratio of net expenses to average net assets 0.70% 0.70% 0.70%(d) Ratio of net investment income (loss) to average net assets 0.54% 0.43% (0.07)%(d) Portfolio turnover rate (e) 152% 134% 1% (a) Inception date. (b) Per share amounts have been calculated using the average share method. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return calculated for a period of less than one year is not annualized. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Annualized. (e) Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. (f) Amount represents less than $0.01 per share.
Page 120 See Notes to Financial Statements FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND Financial Highlights For a share outstanding throughout each period First Trust Multi Cap Value AlphaDEX(R) Fund
For the Period For the For the May 8, 2007 (a) Year Ended Year Ended through July 31, 2009 July 31, 2008 July 31, 2007 ___________________________________________________________________ Net asset value, beginning of period $ 23.23 $ 27.95 $ 30.00 __________ __________ __________ Income from investment operations: Net investment income (loss) 0.29 0.35 0.06(b) Net realized and unrealized gain (loss) (3.02) (4.68) (2.11) __________ __________ __________ Total from investment operations (2.73) (4.33) (2.05) Distributions paid to shareholders from: Net investment income (0.30) (0.39) -- __________ __________ __________ Net asset value, end of period $ 20.20 $ 23.23 $ 27.95 ========== ========== ========== TOTAL RETURN (c) (11.51)% (15.53)% (6.83)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 10,101 $ 4,647 $ 2,795 Ratios to average net assets: Ratio of total expenses to average net assets 2.17% 1.70% 7.91%(d) Ratio of net expenses to average net assets 0.70% 0.70% 0.70%(d) Ratio of net investment income (loss) to average net assets 1.99% 1.45% 0.93%(d) Portfolio turnover rate (e) 134% 59% 2% First Trust Multi Cap Growth AlphaDEX(R) Fund For the Period For the For the May 8, 2007 (a) Year Ended Year Ended through July 31, 2009 July 31, 2008 July 31, 2007 __________________________________________________________________ Net asset value, beginning of period $ 27.63 $ 29.39 $ 30.00 __________ __________ __________ Income from investment operations: Net investment income (loss) 0.06 0.05 (0.01)(b) Net realized and unrealized gain (loss) (6.84) (1.76) (0.60) __________ __________ __________ Total from investment operations (6.78) (1.71) (0.61) __________ __________ __________ Distributions paid to shareholders from: Net investment income (0.06) (0.04) -- Return of capital (0.01) (0.01) -- __________ __________ __________ Total distributions (0.07) (0.05) -- __________ __________ __________ Net asset value, end of period $ 20.78 $ 27.63 $ 29.39 ========== ========== ========== TOTAL RETURN (c) (24.53)% (5.85)% (2.03)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 5,196 $ 8,288 $ 8,818 Ratios to average net assets: Ratio of total expenses to average net assets 1.56% 1.55% 6.01%(d) Ratio of net expenses to average net assets 0.70% 0.70% 0.70%(d) Ratio of net investment income (loss) to average net assets 0.29% 0.12% (0.21)%(d) Portfolio turnover rate (e) 153% 110% 1% (a) Inception date. (b) Based on average shares outstanding. (c) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividend distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return calculated for a period of less than one year is not annualized. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (d) Annualized. (e) Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or redemptions.
See Notes to Financial Statements Page 121 -------------------------------------------------------------------------------- Notes to Financial Statements -------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(R) Fund July 31, 2009 1. Organization First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") is an open-end management investment company organized as a Massachusetts business trust on December 6, 2006, and is registered with the Securities and Exchange Commission ("SEC") under the Investment Company Act of 1940, as amended (the "1940 Act"). The Trust currently consists of sixteen funds: First Trust Consumer Discretionary AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FXD") First Trust Consumer Staples AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FXG") First Trust Energy AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FXN") First Trust Financials AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FXO") First Trust Health Care AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FXH") First Trust Industrials/Producer Durables AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FXR") First Trust Materials AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FXZ") First Trust Technology AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FXL") First Trust Utilities AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FXU") First Trust Large Cap Core AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FEX") First Trust Mid Cap Core AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FNX") First Trust Small Cap Core AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FYX") First Trust Large Cap Value Opportunities AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FTA") First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FTC") First Trust Multi Cap Value AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FAB") First Trust Multi Cap Growth AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FAD") Each fund represents a separate series of beneficial interest in the Trust (each a "Fund" and collectively, the "Funds"). Each Fund's shares currently are listed and traded on the NYSE Arca, Inc. ("NYSE Arca"). Unlike conventional mutual funds, each Fund issues and redeems shares on a continuous basis, at net asset value ("NAV"), only in large specified blocks consisting of shares called a "Creation Unit". Effective December 1, 2008, each Creation Unit consists of 50,000 shares. Prior to December 1, 2008, the Creation Unit for the First Trust Consumer Discretionary AlphaDEX(R) Fund, the First Trust Consumer Staples AlphaDEX(R) Fund, the First Trust Energy AlphaDEX(R) Fund, the First Trust Financials AlphaDEX(R) Fund, the First Trust Health Care AlphaDEX(R) Fund, the First Trust Industrials/Producer Durables AlphaDEX(R) Fund, the First Trust Materials AlphaDEX(R) Fund, the First Trust Technology AlphaDEX(R) Fund, and the First Trust Utilities AlphaDEX(R) Fund (collectively, the "Sector Funds") consisted of 50,000 shares and for the First Trust Large Cap Core AlphaDEX(R) Fund, the First Trust Mid Cap Core AlphaDEX(R) Fund, the First Trust Small Cap Core AlphaDEX(R) Fund, the First Trust Large Cap Value Opportunities AlphaDEX(R) Fund, the First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund, the First Trust Multi Cap Value AlphaDEX(R) Fund, and the First Trust Multi Cap Growth AlphaDEX(R) Fund (collectively, the "Style Funds") consisted of 100,000 shares. Creation Units are issued and redeemed principally in-kind for securities included in a Fund's relevant index. Except when aggregated in Creation Units, shares are not redeemable securities of a Fund. The investment objective of each Fund is to seek investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of the following indices:
Fund Index First Trust Consumer Discretionary AlphaDEX(R) Fund StrataQuant(R) Consumer Discretionary Index(1) First Trust Consumer Staples AlphaDEX(R) Fund StrataQuant(R) Consumer Staples Index(1) First Trust Energy AlphaDEX(R) Fund StrataQuant(R) Energy Index(1) First Trust Financials AlphaDEX(R) Fund StrataQuant(R) Financials Index(1) First Trust Health Care AlphaDEX(R) Fund StrataQuant(R) Health Care Index(1) First Trust Industrials/Producer Durables AlphaDEX(R) Fund StrataQuant(R) Industrials Index(1) First Trust Materials AlphaDEX(R) Fund StrataQuant(R) Materials Index(1) First Trust Technology AlphaDEX(R) Fund StrataQuant(R) Technology Index(1) First Trust Utilities AlphaDEX(R) Fund StrataQuant(R) Utilities Index(1) First Trust Large Cap Core AlphaDEX(R) Fund Defined Large Cap Core Index First Trust Mid Cap Core AlphaDEX(R) Fund Defined Mid Cap Core Index First Trust Small Cap Core AlphaDEX(R) Fund Defined Small Cap Core Index First Trust Large Cap Value Opportunities AlphaDEX(R) Fund Defined Large Cap Value Opportunities Index First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund Defined Large Cap Growth Opportunities Index First Trust Multi Cap Value AlphaDEX(R) Fund Defined Multi Cap Value Index First Trust Multi Cap Growth AlphaDEX(R) Fund Defined Multi Cap Growth Index (1) This index is developed, maintained and sponsored by NYSE Euronext or its affiliates ("NYSE Euronext"), and licensed to First Trust Portfolios L.P. ("FTP") by Archipelago Holdings, Inc. ("Archipelago"), an affiliate of NYSE Euronext. Prior to the acquisition of the American Stock Exchange LLC (the "AMEX") by NYSE Euronext, the Index was developed, maintained and sponsored by AMEX.
Page 122 -------------------------------------------------------------------------------- Notes to Financial Statements - (Continued) -------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(R) Fund July 31, 2009 2. Significant Accounting Policies The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of the financial statements. The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. A. Portfolio Valuation Each Fund's 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 in accordance with valuation procedures adopted by the Trust's Board of Trustees and in accordance with the 1940 Act. Portfolio securities listed on any exchange other than the NASDAQ National Market ("NASDAQ") and the London Stock Exchange Alternative Investment Market ("AIM") are valued at the last sale price on the business day as of which such value is being determined. Securities listed on the NASDAQ or the AIM are valued at the official closing price on the business day as of which such value is being determined. If there has been no sale on such day, or no official closing price in the case of securities traded on the NASDAQ or the AIM, the securities are valued at the mean of the most recent bid and ask prices on such day. Portfolio securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, 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 trading on the NASDAQ and the AIM, are valued at the closing bid prices. Short-term investments that mature in less than 60 days when purchased 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. The use of fair value pricing by each Fund is governed by valuation procedures adopted by the Board of Trustees and is in accordance with the provisions of the 1940 Act. 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, as amended) for which a pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund's NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the pricing service, does not reflect the security's "fair value." As a general principle, the current "fair value" of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. The use of fair value prices by a Fund generally results in prices used by the Fund that may differ from current market quotations or official closing prices on the applicable exchange. 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 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 ("FASB") 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 as follows: 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 a Fund's own assumptions in determining the fair value of investments) In April 2009, FASB issued FASB Staff Position No. 157-4, "Determining Fair Value when the Volume and Level of Activity for the Asset or Liability Have Significantly Decreased and Identifying Transactions That Are Not Orderly" ("FSP 157-4"). FSP 157-4 is effective for fiscal years and interim periods ending after June 15, 2009. FSP 157-4 provides additional guidance for estimating fair value in accordance with FAS 157, when the volume and level of activity for the asset or liability have significantly decreased. FSP 157-4 also includes guidance on identifying circumstances that indicate a transaction is not orderly. FSP 157-4 requires entities to describe the inputs used in valuation techniques used to measure fair value and changes in inputs over the period. FSP 157-4 expands the three-level hierarchy disclosure and the Level 3 roll-forward disclosure for each major security type. 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 investments as of July 31, 2009 is included in each Fund's Portfolio of Investments. Page 123 -------------------------------------------------------------------------------- Notes to Financial Statements - (Continued) -------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(R) Fund July 31, 2009 B. Securities Transactions and Investment Income Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, if any, is recorded on the accrual basis. A Fund may hold publicly-traded master limited partnerships ("MLPs") and real estate investment trusts ("REITs"). Distributions from such investments may include a return of capital component from the MLP or REIT to the extent of the cost basis of such MLP or REIT investments. The actual character of amounts received during the year are not known until after the fiscal year end. A Fund records the character of distributions received from the MLPs or REITs during the year based on estimates available. A Fund's characterization may be subsequently revised based on information received from the MLPs or REITs after their tax reporting periods conclude. C. Dividends and Distribution to Shareholders Dividends from net investment income of each Fund, if any, are declared and paid semi-annually or as the Board of Trustees may determine from time to time. Distributions of net realized capital gains earned by each Fund, if any, are distributed at least annually. Distributions from income and capital gains are determined in accordance with income tax regulations, which may differ from accounting principles generally accepted in the United States of America. These differences are primarily due to differing treatments of income and gains on various investment securities held by a Fund, timing differences and differing characterization of distributions made by a Fund. The tax character of distributions paid by each Fund during the fiscal year ended July 31, 2009 was as follows:
Distributions Distributions Distributions paid from paid from paid from Ordinary Income Capital Gains Return of Capital --------------------- --------------------- --------------------- First Trust Consumer Discretionary AlphaDEX(R) Fund $ 43,047 $ -- $ 13 First Trust Consumer Staples AlphaDEX(R) Fund 139,591 -- -- First Trust Energy AlphaDEX(R) Fund 15,209 -- 3,031 First Trust Financials AlphaDEX(R) Fund 120,540 -- -- First Trust Health Care AlphaDEX(R) Fund -- -- -- First Trust Industrials/Producer Durables AlphaDEX(R) Fund 34,770 -- -- First Trust Materials AlphaDEX(R) Fund 81,375 -- -- First Trust Technology AlphaDEX(R) Fund -- -- -- First Trust Utilities AlphaDEX(R) Fund 547,701 -- -- First Trust Large Cap Core AlphaDEX(R) Fund 198,901 -- -- First Trust Mid Cap Core AlphaDEX(R) Fund 83,600 -- -- First Trust Small Cap Core AlphaDEX(R) Fund 28,860 -- -- First Trust Large Cap Value Opportunities AlphaDEX(R) Fund 422,101 -- -- First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund 97,291 -- 2,679 First Trust Multi Cap Value AlphaDEX(R) Fund 96,701 -- -- First Trust Multi Cap Growth AlphaDEX(R) Fund 16,640 -- 1,410 The tax character of distributions paid by each Fund during the fiscal year ended July 31, 2008 was as follows: Distributions Distributions Distributions paid from paid from paid from Ordinary Income Capital Gains Return of Capital ---------------------- --------------------- ----------------------- First Trust Consumer Discretionary AlphaDEX(R) Fund $ 11,580 $ -- $ -- First Trust Consumer Staples AlphaDEX(R) Fund 33,075 -- -- First Trust Energy AlphaDEX(R) Fund 31,350 -- -- First Trust Financials AlphaDEX(R) Fund 42,251 -- -- First Trust Health Care AlphaDEX(R) Fund -- -- -- First Trust Industrials/Producer Durables AlphaDEX(R) Fund 11,475 -- -- First Trust Materials AlphaDEX(R) Fund 26,265 -- -- First Trust Technology AlphaDEX(R) Fund -- -- -- First Trust Utilities AlphaDEX(R) Fund 78,502 -- -- First Trust Large Cap Core AlphaDEX(R) Fund 115,441 -- -- First Trust Mid Cap Core AlphaDEX(R) Fund 39,200 -- -- First Trust Small Cap Core AlphaDEX(R) Fund 18,440 -- -- First Trust Large Cap Value Opportunities AlphaDEX(R) Fund 183,261 -- -- First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund 80,570 -- -- First Trust Multi Cap Value AlphaDEX(R) Fund 91,341 -- -- First Trust Multi Cap Growth AlphaDEX(R) Fund 8,995 -- 1,395
Page 124 -------------------------------------------------------------------------------- Notes to Financial Statements - (Continued) -------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(R) Fund July 31, 2009 As of July 31, 2009, the components of distributable earnings on a tax basis for each Fund were as follows:
Undistributed Accumulated Net Unrealized Ordinary Capital and Other Appreciation Income Gain (Loss) (Depreciation) ------------------- ------------------- ------------------- First Trust Consumer Discretionary AlphaDEX(R) Fund $ -- $ (2,084,149) $ 519,543 First Trust Consumer Staples AlphaDEX(R) Fund 11,416 (1,588,640) 813,334 First Trust Energy AlphaDEX(R) Fund -- (4,558,450) 626,136 First Trust Financials AlphaDEX(R) Fund 15,386 (2,328,613) 555,778 First Trust Health Care AlphaDEX(R) Fund -- (3,554,816) 2,143,870 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 5,563 (2,354,149) 616,055 First Trust Materials AlphaDEX(R) Fund 6,109 (2,208,143) 1,286,719 First Trust Technology AlphaDEX(R) Fund -- (4,152,288) 1,525,673 First Trust Utilities AlphaDEX(R) Fund 27,118 (2,545,932) (115,939) First Trust Large Cap Core AlphaDEX(R) Fund 8,052 (5,300,928) 840,212 First Trust Mid Cap Core AlphaDEX(R) Fund 2,756 (4,250,733) 1,185,934 First Trust Small Cap Core AlphaDEX(R) Fund 2,459 (3,673,115) 502,570 First Trust Large Cap Value Opportunities AlphaDEX(R) Fund 20,965 (7,288,804) 734,723 First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund -- (13,574,134) 1,919,921 First Trust Multi Cap Value AlphaDEX(R) Fund 2,768 (2,545,220) 740,166 First Trust Multi Cap Growth AlphaDEX(R) Fund -- (4,257,104) 919,805
D. Income Taxes Each Fund intends to continue to qualify as a regulated investment company by complying with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended, which includes distributing substantially all of its net investment income and net realized gains to shareholders. Accordingly, no provision has been made for federal and state income taxes. In June 2006, FASB issued Interpretation No. 48, "Accounting for Uncertainty in Income Taxes" ("FIN 48"). FIN 48 establishes a minimum threshold for recognizing, and a system for measuring, the benefits of a tax position taken or expected to be taken in a tax return. Taxable years ending 2007, 2008 and 2009 remain open to federal and state audit. As of July 31, 2009, management has evaluated the application of FIN 48 to the Funds, and has determined that no provision for income tax is required in the Funds' financial statements for uncertain tax positions. At July 31, 2009 for federal income tax purposes, each Fund has capital loss carryforwards available that are shown in the table below, to the extent provided by regulations, to offset future capital gains through the years indicated. To the extent that these loss carryforwards are used to offset future capital gains, it is probable that the capital gains so offset will not be distributed to Fund shareholders. The Funds are subject to certain limitations, under U.S. tax rules, on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership.
Capital Loss Capital Loss Capital Loss Total Available Available Available Capital through through through Loss July 31, 2015 July 31, 2016 July 31, 2017 Available ---------------- --------------- --------------- ----------- First Trust Consumer Discretionary AlphaDEX(R) Fund $ 2,058 $ 64,889 $ 783,283 $ 850,230 First Trust Consumer Staples AlphaDEX(R) Fund 3,068 83,534 422,511 509,113 First Trust Energy AlphaDEX(R) Fund -- 73,845 2,326,320 2,400,165 First Trust Financials AlphaDEX(R) Fund 2,757 13,300 671,958 688,015 First Trust Health Care AlphaDEX(R) Fund 18,355 28,397 774,570 821,322 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 23,631 183,210 798,398 1,005,239 First Trust Materials AlphaDEX(R) Fund 4,424 13,424 1,265,429 1,283,277 First Trust Technology AlphaDEX(R) Fund 12,398 22,456 1,608,491 1,643,345 First Trust Utilities AlphaDEX(R) Fund 945 16,238 559,037 576,220 First Trust Large Cap Core AlphaDEX(R) Fund 15,102 8,528 2,600,275 2,623,905 First Trust Mid Cap Core AlphaDEX(R) Fund 7,911 84,882 1,985,474 2,078,267 First Trust Small Cap Core AlphaDEX(R) Fund 14,770 111,735 1,882,188 2,008,693 First Trust Large Cap Value Opportunities AlphaDEX(R) Fund 1,854 80,299 2,272,260 2,354,413 First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund -- 162,514 10,217,162 10,379,676 First Trust Multi Cap Value AlphaDEX(R) Fund 8,569 56,799 1,331,945 1,397,313 First Trust Multi Cap Growth AlphaDEX(R) Fund 26,562 241,100 2,554,292 2,821,954
Page 125 -------------------------------------------------------------------------------- Notes to Financial Statements - (Continued) -------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(R) Fund July 31, 2009 Capital losses incurred after October 31 ("Post-October Losses") within the taxable year can be deemed to arise on the first business day of each Fund's next taxable year. During the taxable year ended July 31, 2009, the following Funds incurred and elected to defer net capital losses as follows: Post-October Losses ------------------- First Trust Consumer Discretionary AlphaDEX(R) Fund $ 1,233,919 First Trust Consumer Staples AlphaDEX(R) Fund 1,079,527 First Trust Energy AlphaDEX(R) Fund 2,158,285 First Trust Financials AlphaDEX(R) Fund 1,640,598 First Trust Health Care AlphaDEX(R) Fund 2,733,494 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 1,348,910 First Trust Materials AlphaDEX(R) Fund 924,866 First Trust Technology AlphaDEX(R) Fund 2,508,943 First Trust Utilities AlphaDEX(R) Fund 1,969,712 First Trust Large Cap Core AlphaDEX(R) Fund 2,677,023 First Trust Mid Cap Core AlphaDEX(R) Fund 2,172,466 First Trust Small Cap Core AlphaDEX(R) Fund 1,664,422 First Trust Large Cap Value Opportunities AlphaDEX(R) Fund 4,934,391 First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund 3,194,458 First Trust Multi Cap Value AlphaDEX(R) Fund 1,147,907 First Trust Multi Cap Growth AlphaDEX(R) Fund 1,435,150 In order to present paid-in capital and accumulated net realized gain (loss) on investments on the Statements of Assets and Liabilities that more closely represent their tax character, certain adjustments have been made to paid-in capital, accumulated net investment income (loss) and accumulated net realized gain (loss) on investments. These adjustments are primarily due to the difference between book and tax treatments of income and gains on various investment securities held by the Funds and in-kind transactions. The results of operations and net assets were not affected by these adjustments. For the year ended July 31, 2009, the adjustments for each Fund were as follows:
Accumulated Accumulated Net Realized Net Investment Gain (Loss) Paid-in Income (Loss) on Investments Capital ------------------ ------------------ ----------------- First Trust Consumer Discretionary AlphaDEX(R) Fund $ -- $ 1,392,567 $ (1,392,567) First Trust Consumer Staples AlphaDEX(R) Fund 85 242,532 (242,617) First Trust Energy AlphaDEX(R) Fund -- 613,778 (613,778) First Trust Financials AlphaDEX(R) Fund 168 249,631 (249,799) First Trust Health Care AlphaDEX(R) Fund 20,434 (375,259) 354,825 First Trust Industrials/Producer Durables AlphaDEX(R) Fund -- -- -- First Trust Materials AlphaDEX(R) Fund 5 1,003,826 (1,003,831) First Trust Technology AlphaDEX(R) Fund 13,654 1,006,999 (1,020,653) First Trust Utilities AlphaDEX(R) Fund 252 649,520 (649,772) First Trust Large Cap Core AlphaDEX(R) Fund -- (183,117) 183,117 First Trust Mid Cap Core AlphaDEX(R) Fund 50 -- (50) First Trust Small Cap Core AlphaDEX(R) Fund -- 434,777 (434,777) First Trust Large Cap Value Opportunities AlphaDEX(R) Fund -- 1,737,311 (1,737,311) First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund -- 2,614,655 (2,614,655) First Trust Multi Cap Value AlphaDEX(R) Fund -- (213,007) 213,007 First Trust Multi Cap Growth AlphaDEX(R) Fund -- (221,766) 221,766
Page 126 -------------------------------------------------------------------------------- Notes to Financial Statements - (Continued) -------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(R) Fund July 31, 2009 E. Expenses Expenses that are directly related to one of the Funds are charged directly to the respective Fund. General expenses of the Trust are allocated to all the Funds based upon the average net assets of each Fund. FTP has entered into licensing agreements with each of the following "Licensors" for the respective Funds: Funds Licensor First Trust Consumer Discretionary AlphaDEX(R) Fund Archipelago First Trust Consumer Staples AlphaDEX(R) Fund Archipelago First Trust Energy AlphaDEX(R) Fund Archipelago First Trust Financials AlphaDEX(R) Fund Archipelago First Trust Health Care AlphaDEX(R) Fund Archipelago First Trust Industrials/Producer Durables AlphaDEX(R) Fund Archipelago First Trust Materials AlphaDEX(R) Fund Archipelago First Trust Technology AlphaDEX(R) Fund Archipelago First Trust Utilities AlphaDEX(R) Fund Archipelago First Trust Large Cap Core AlphaDEX(R) Fund Standard & Poor's First Trust Mid Cap Core AlphaDEX(R) Fund Standard & Poor's First Trust Small Cap Core AlphaDEX(R) Fund Standard & Poor's First Trust Large Cap Value Opportunities AlphaDEX(R) Fund Standard & Poor's First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund Standard & Poor's First Trust Multi Cap Value AlphaDEX(R) Fund Standard & Poor's First Trust Multi Cap Growth AlphaDEX(R) Fund Standard & Poor's The respective license agreements allow for the use by FTP of certain trademarks and trade names of the respective Licensors and in the case of the Sector Funds, certain trademarks and trade names of NYSE Euronext. The Funds and First Trust Advisors L.P. ("First Trust" or the "Advisor") are sub-licensees to the applicable license agreement. The respective Funds are required to pay licensing fees, which are shown on the Statements of Operations. 3. Investment Advisory Fee, Affiliated Transactions and Other Fee Arrangements First Trust is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. First Trust serves as investment advisor to the Funds pursuant to an Investment Management Agreement. First Trust is responsible for the selection and ongoing monitoring of the securities in each Fund's portfolio and providing certain other services necessary for the management of the Funds. For these services, First Trust is entitled to receive monthly fees from each Fund calculated at an annual rate of 0.50% of such Fund's average daily net assets. The Trust and the Advisor have entered into an Expense Reimbursement, Fee Waiver and Recovery Agreement in which the Advisor has agreed to waive fees and/or reimburse Fund expenses to the extent that the operating expenses of each Fund (excluding interest expense, brokerage commissions and other trading expenses, taxes and extraordinary expenses) exceed 0.70% of average daily net assets per year (the "Expense Cap"). Each Fund's Expense Cap will be in effect until at least March 31, 2010. Expenses borne by the Advisor are subject to reimbursement by each Fund up to three years from the date the fee or expense was incurred, but no reimbursement payment will be made by a Fund if at any time it would result in the Fund exceeding its Expense Cap. Page 127 -------------------------------------------------------------------------------- Notes to Financial Statements - (Continued) -------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(R) Fund July 31, 2009 The advisory fee waivers and expense reimbursements for the year ended July 31, 2009 and the expenses borne by the Advisor subject to reimbursement by each Fund from inception (May 8, 2007) through July 31, 2009 were as follows:
Expenses Borne by Advisor Subject to Reimbursement ----------------------------------------------------------- Advisory Expense Period Ended Year Ended Year Ended Fee Reim- July 31, July 31, July 31, Waivers bursements 2007 2008 2009 Total ----------- ----------- ------------ ---------- ----------- --------- First Trust Consumer Discretionary AlphaDEX(R) Fund $ 21,305 $ 16,700 $ 48,919 $ 54,215 $ 38,005 $141,139 First Trust Consumer Staples AlphaDEX(R) Fund 37,157 7,111 49,097 51,542 44,268 144,907 First Trust Energy AlphaDEX(R) Fund 31,774 9,804 49,595 59,344 41,578 150,517 First Trust Financials AlphaDEX(R) Fund 27,075 16,166 48,915 54,929 43,241 147,085 First Trust Health Care AlphaDEX(R) Fund 55,680 -- 48,919 58,261 55,680 162,860 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 19,555 16,972 49,565 55,095 36,527 141,187 First Trust Materials AlphaDEX(R) Fund 29,511 11,511 49,119 53,878 41,022 144,019 First Trust Technology AlphaDEX(R) Fund 39,657 4,651 48,964 56,200 44,308 149,472 First Trust Utilities AlphaDEX(R) Fund 61,924 -- 49,113 54,076 61,924 165,113 First Trust Large Cap Core AlphaDEX(R) Fund 57,160 -- 49,175 74,897 57,160 181,232 First Trust Mid Cap Core AlphaDEX(R) Fund 38,772 6,494 49,625 68,514 45,266 163,405 First Trust Small Cap Core AlphaDEX(R) Fund 31,203 12,303 49,675 73,550 43,506 166,731 First Trust Large Cap Value Opportunities AlphaDEX(R) Fund 62,297 -- 49,517 71,210 62,297 183,024 First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund 55,316 -- 49,614 90,402 55,316 195,332 First Trust Multi Cap Value AlphaDEX(R) Fund 24,039 46,628 49,334 61,560 70,667 181,561 First Trust Multi Cap Growth AlphaDEX(R) Fund 28,733 20,752 50,158 63,201 49,485 162,844
The Trust has multiple service agreements with The Bank of New York Mellon ("BNYM"). Under the servicing agreements, BNYM performs custodial, fund accounting, certain administrative, and transfer agency services for the Trust. As custodian, BNYM is responsible for custody of the Trust's assets. As fund accountant and administrator, BNYM is responsible for maintaining the books and records of the Trust's securities and cash. As transfer agent, BNYM is responsible for performing transfer agency services for the Trust. BNYM is a subsidiary of the Bank of New York Mellon Corporation, a financial holding company. PNC Global Investment Servicing (U.S.) Inc. provides certain administrative services to the Trust and the Funds in connection with the Trust's Board of Trustees meetings and other related matters. Each Trustee who is not an officer or employee of First Trust, any sub-advisor or any of their affiliates ("Independent Trustees") is paid an annual retainer of $10,000 per trust for the first 14 trusts of the First Trust Fund Complex and an annual retainer of $7,500 per trust for each subsequent trust in the First Trust Fund Complex. The annual retainer is allocated equally among each of the trusts. No additional meeting fees are paid in connection with board or committee meetings. Additionally, the Lead Independent Trustee is paid $10,000 annually, the Chairman of the Audit Committee is paid $5,000 annually and each of the Chairmen of the Nominating and Governance Committee and Valuation Committee are paid $2,500 annually to serve in such capacities, with such compensation paid by the trusts in the First Trust Fund Complex and allocated equally among those trusts. Trustees are also reimbursed by the trusts in the First Trust Fund Complex for travel and out-of-pocket expenses in connection with all meetings. The Lead Independent Trustee and each Committee chairman will serve two-year terms ending December 31, 2009, before rotating to serve as chairman of another Committee or as Lead Independent Trustee. The officers and "Interested" Trustee receive no compensation from the trusts for serving in such capacities. 4. Purchases and Sales of Securities For the year ended July 31, 2009, the cost of purchases and proceeds from sales of investment securities for each Fund, excluding short-term investments and in-kind transactions, were as follows: Page 128 -------------------------------------------------------------------------------- Notes to Financial Statements - (Continued) -------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(R) Fund July 31, 2009
Purchases Sales --------------- --------------- First Trust Consumer Discretionary AlphaDEX(R) Fund $ 5,800,555 $ 5,749,442 First Trust Consumer Staples AlphaDEX(R) Fund 10,539,592 10,496,969 First Trust Energy AlphaDEX(R) Fund 7,749,020 7,764,943 First Trust Financials AlphaDEX(R) Fund 7,792,784 7,714,149 First Trust Health Care AlphaDEX(R) Fund 17,109,661 17,105,343 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 6,157,955 6,126,339 First Trust Materials AlphaDEX(R) Fund 9,382,048 9,339,164 First Trust Technology AlphaDEX(R) Fund 11,109,812 11,098,747 First Trust Utilities AlphaDEX(R) Fund 17,480,392 17,378,817 First Trust Large Cap Core AlphaDEX(R) Fund 14,143,585 14,091,016 First Trust Mid Cap Core AlphaDEX(R) Fund 9,619,476 9,571,800 First Trust Small Cap Core AlphaDEX(R) Fund 6,951,660 6,927,931 First Trust Large Cap Value Opportunities AlphaDEX(R) Fund 25,017,188 24,984,917 First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund 27,660,991 27,656,462 First Trust Multi Cap Value AlphaDEX(R) Fund 6,917,302 6,894,287 First Trust Multi Cap Growth AlphaDEX(R) Fund 9,029,551 8,998,290 For the year ended July 31, 2009, the cost of in-kind purchases and proceeds from in-kind sales for each Fund were as follows: Purchases Sales --------------- --------------- First Trust Consumer Discretionary AlphaDEX(R) Fund $ 8,451,527 $ 3,520,880 First Trust Consumer Staples AlphaDEX(R) Fund 13,621,306 6,763,757 First Trust Energy AlphaDEX(R) Fund 6,282,805 2,218,722 First Trust Financials AlphaDEX(R) Fund 9,231,449 1,669,785 First Trust Health Care AlphaDEX(R) Fund 8,050,229 708,569 First Trust Industrials/Producer Durables AlphaDEX(R) Fund 2,034,932 -- First Trust Materials AlphaDEX(R) Fund 11,019,561 4,764,978 First Trust Technology AlphaDEX(R) Fund 9,476,006 3,265,385 First Trust Utilities AlphaDEX(R) Fund 16,379,427 5,617,602 First Trust Large Cap Core AlphaDEX(R) Fund 3,090,224 1,841,771 First Trust Mid Cap Core AlphaDEX(R) Fund -- -- First Trust Small Cap Core AlphaDEX(R) Fund 2,058,969 1,603,718 First Trust Large Cap Value Opportunities AlphaDEX(R) Fund 11,154,700 10,559,521 First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund 1,773,098 13,688,088 First Trust Multi Cap Value AlphaDEX(R) Fund 6,175,191 871,546 First Trust Multi Cap Growth AlphaDEX(R) Fund 2,207,732 3,153,276
5. Creation, Redemption & Transaction Fees Shares are created and redeemed by each Fund only in Creation Unit size aggregations of 50,000 shares. Such transactions are generally permitted on an in-kind basis, with a balancing cash component to equate the transaction to the daily NAV per share of each Fund on the transaction date times the number of shares in a Creation Unit. Purchasers of Creation Units must pay to BNYM, as transfer agent, a standard creation transaction fee (the "Creation Transaction Fee"), which is based on the number of different securities in a Creation Unit of each Fund according to the fee schedule set forth below: Number of Securities Creation in a Creation Unit Transaction Fee --------------------------- ---------------------- 1-100 $ 500 101-200 $1,000 201-300 $1,500 301-400 $2,000 401-500 $2,500 501-600 $3,000 601-700 $3,500 Page 129 -------------------------------------------------------------------------------- Notes to Financial Statements - (Continued) -------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(R) Fund July 31, 2009 The Creation Transaction Fee is applicable to each purchase transaction regardless of the number of Creation Units purchased in the transaction. An additional variable fee of up to three times the Creation Transaction Fee may be charged with respect to transactions effected outside of the clearing process (i.e., through a DTC Participant) or to the extent that cash is used in lieu of securities to purchase Creation Units. The price for each Creation Unit will equal the daily NAV per share of a Fund on the transaction date times the number of shares in a Creation Unit plus the fees described above and, if applicable, any transfer taxes. Parties redeeming Creation Units must pay to BNYM, as transfer agent, a standard redemption transaction fee (the "Redemption Transaction Fee"), which is based on the number of different securities in a Creation Unit of each Fund according to the fee schedule set forth below: Number of Securities Redemption in a Creation Unit Transaction Fee --------------------------- ---------------------- 1-100 $ 500 101-200 $1,000 201-300 $1,500 301-400 $2,000 401-500 $2,500 501-600 $3,000 601-700 $3,500 The Redemption Transaction Fee is applicable to each redemption transaction regardless of the number of Creation Units redeemed in the transaction. An additional variable fee of up to three times the Redemption Transaction Fee may be charged with respect to redemptions effected outside of the clearing process or to the extent that redemptions are for cash. Each Fund reserves the right to effect redemptions in cash. A shareholder may request cash redemption in lieu of securities; however, a Fund may, in its discretion, reject any such request. 6. Distribution Plan The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are authorized to pay an amount up to 0.25% of their average daily net assets each year to reimburse FTP, the distributor of the Funds, for amounts expended to finance activities primarily intended to result in the sale of Creation Units or the provision of investor services. FTP may also use this amount to compensate securities dealers or other persons that are Authorized Participants for providing distribution assistance, including broker-dealer and shareholder support and educational and promotional services. No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual arrangement, the Funds will not pay 12b-1 fees any time before December 31, 2009. 7. Indemnification The Trust, on behalf of the Funds, has a variety of indemnification obligations under contracts with its service providers. The Trust's maximum exposure under these arrangements is unknown. However, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote. 8. Subsequent Events Management has evaluated the impact of all subsequent events on the Funds through September 25, 2009, the date the financial statements were issued, and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements. Page 130 -------------------------------------------------------------------------------- Report of Registered Public Accounting Firm -------------------------------------------------------------------------------- To the Board of Trustees and Shareholders of First Trust Exchange-Traded AlphaDEX(R) Fund: We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of First Trust Exchange-Traded AlphaDEX(R) Fund, comprised of the First Trust Consumer Discretionary AlphaDEX(R) Fund, First Trust Consumer Staples AlphaDEX(R) Fund, First Trust Energy AlphaDEX(R) Fund, First Trust Financials AlphaDEX(R) Fund, First Trust Health Care AlphaDEX(R) Fund, First Trust Industrials/Producer Durables AlphaDEX(R) Fund, First Trust Materials AlphaDEX(R) Fund, First Trust Technology AlphaDEX(R) Fund, First Trust Utilities AlphaDEX(R) Fund, First Trust Large Cap Core AlphaDEX(R) Fund, First Trust Mid Cap Core AlphaDEX(R) Fund, First Trust Small Cap Core AlphaDEX(R) Fund, First Trust Large Cap Value Opportunities AlphaDEX(R) Fund, First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund, First Trust Multi Cap Value AlphaDEX(R) Fund, and First Trust Multi Cap Growth AlphaDEX(R) Fund (collectively, the "Funds"), as of July 31, 2009, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for the periods presented. These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Funds are not required to have, nor were we engaged to perform, audits of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds' internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of July 31, 2009, by correspondence with the Funds' custodian and brokers; where replies were not received, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the portfolios constituting the First Trust Exchange-Traded AlphaDEX(R) Fund as of July 31, 2009, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for the periods presented, in conformity with accounting principles generally accepted in the United States of America. /s/ Deloitte & Touche LLP Chicago, Illinois September 25, 2009 Page 131 -------------------------------------------------------------------------------- Additional Information -------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(R) Fund July 31, 2009 (Unaudited) Proxy Voting Policies and Procedures A description of the policies and procedures that the Trust uses to determine how to vote proxies and information on how each Fund voted proxies relating to its portfolio securities during the 12-months ended June 30, 2009 is available (1) without charge, upon request, by calling (800) 988-5891; (2) on the Trust's website located at http://www.ftportfolios.com; and (3) on the Securities and Exchange Commission's website at http://www.sec.gov. Portfolio Holdings The Trust files its complete schedule of each Fund's portfolio holdings with the Securities and Exchange Commission ("SEC") for the first and third quarters of each fiscal year on Form N-Q. The Trust's Forms N-Q are available (1) by calling (800) 988-5891; (2) on the Trust's website located at http://www.ftportfolios.com; (3) on the SEC's website at http://www.sec.gov; and (4) for review and copying at the SEC's Public Reference Room ("PRR") in Washington, DC. Information regarding the operation of the PRR may be obtained by calling (800) SEC-0330. Federal Tax Information For the taxable year ended July 31, 2009, the following percentages of income dividends paid by the Funds qualify for the dividends received deduction available to corporations: Dividends Received Deduction ------------------- First Trust Consumer Discretionary AlphaDEX(R) Fund 100% First Trust Consumer Staples AlphaDEX(R) Fund 100% First Trust Energy AlphaDEX(R) Fund 100% First Trust Financials AlphaDEX(R) Fund 68% First Trust Health Care AlphaDEX(R) Fund 0% First Trust Industrials/Producer Durables AlphaDEX(R) Fund 100% First Trust Materials AlphaDEX(R) Fund 100% First Trust Technology AlphaDEX(R) Fund 0% First Trust Utilities AlphaDEX(R) Fund 100% First Trust Large Cap Core AlphaDEX(R) Fund 100% First Trust Mid Cap Core AlphaDEX(R) Fund 100% First Trust Small Cap Core AlphaDEX(R) Fund 100% First Trust Large Cap Value Opportunities AlphaDEX(R) Fund 100% First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund 100% First Trust Multi Cap Value AlphaDEX(R) Fund 100% First Trust Multi Cap Growth AlphaDEX(R) Fund 100% For the taxable year ended July 31, 2009, the following percentages of income dividends paid by the Funds are hereby designated as qualified dividend income: Qualified Dividend Income ------------------ First Trust Consumer Discretionary AlphaDEX(R) Fund 100% First Trust Consumer Staples AlphaDEX(R) Fund 100% First Trust Energy AlphaDEX(R) Fund 100% First Trust Financials AlphaDEX(R) Fund 71% First Trust Health Care AlphaDEX(R) Fund 0% First Trust Industrials/Producer Durables AlphaDEX(R) Fund 100% First Trust Materials AlphaDEX(R) Fund 100% First Trust Technology AlphaDEX(R) Fund 0% First Trust Utilities AlphaDEX(R) Fund 100% First Trust Large Cap Core AlphaDEX(R) Fund 100% First Trust Mid Cap Core AlphaDEX(R) Fund 100% First Trust Small Cap Core AlphaDEX(R) Fund 100% First Trust Large Cap Value Opportunities AlphaDEX(R) Fund 100% First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund 100% First Trust Multi Cap Value AlphaDEX(R) Fund 100% First Trust Multi Cap Growth AlphaDEX(R) Fund 100% Page 132 -------------------------------------------------------------------------------- Additional Information - (Continued) -------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(R) Fund July 31, 2009 (Unaudited) Board Considerations Regarding Approval of Advisory Contract for First Trust Exchange-Traded AlphaDEX(R) Fund The Board of Trustees of the First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust"), including the Independent Trustees, unanimously approved the continuation of the Investment Management Agreement (the "Agreement") with First Trust Advisors L.P. (the "Advisor") on behalf of the following sixteen series of the Trust (each a "Fund" and collectively, the "Funds"): 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 Multi Cap Growth AlphaDEX(R) Fund First Trust Multi Cap Value AlphaDEX(R) Fund First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund First Trust Large Cap Value Opportunities AlphaDEX(R) Fund 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 The Board approved the continuation of the Agreement for a one-year period ending March 31, 2010 for each Fund at a meeting held on March 1-2, 2009. The Board of Trustees determined that the terms of the Agreement are fair and reasonable and that the Agreement continues to be in the best interests of the Trust and each Fund. To reach this determination, the Board considered its duties under the Investment Company Act of 1940, as amended (the "1940 Act"), as well as under the general principles of state law in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. To assist the Board in its evaluation of the Agreement for each Fund, the Independent Trustees received a report in advance of the Board meeting responding to a request for information from counsel to the Independent Trustees. The report, among other things, outlined the services provided by the Advisor to each Fund (including the relevant personnel responsible for these services and their experience); the advisory fee for each Fund as compared to fees charged by investment advisors to comparable funds and as compared to fees charged to other clients of the Advisor; expenses of each Fund compared to expense ratios of comparable funds; the nature of expenses incurred in providing services to each Fund and the potential for economies of scale, if any; financial data on the Advisor; any fall-out benefits to the Advisor and its affiliate, First Trust Portfolios L.P.; and information on the Advisor's compliance program. The Independent Trustees also met separately with their independent legal counsel to discuss the information provided by the Advisor. The Board applied its business judgment to determine whether the arrangements between the Trust and the Advisor are reasonable business arrangements from each Fund's perspective as well as from the perspective of shareholders. In reviewing the Agreement for each Fund, the Board considered the nature, extent and quality of services provided under the Agreement. The Board considered that the Advisor is responsible for the overall management and administration of the Trust and each Fund. The Board considered the compliance program that had been developed by the Advisor and noted the enhancements made by the Advisor to the compliance program in 2008. In light of the information presented and the considerations made, the Board concluded that the nature, quality and extent of services provided to the Trust and each Fund by the Advisor under the Agreement have been and are expected to remain satisfactory and that the Advisor has managed each Fund consistent with its investment objective and policies. The Board considered the advisory fees payable by each Fund under the Agreement. The Board considered that the Advisor agreed to extend the current expense cap for each Fund through at least March 31, 2010. For each Fund, the Board noted that expenses borne by the Advisor are proposed to be subject to reimbursement by the Fund for up to three years from the date the fee or expense was incurred, but no reimbursement payment would be made by the Fund if it would result in the Fund exceeding its expense cap, or if the expense cap is no longer in effect, would result in the Fund exceeding an expense ratio equal to its most recent expense cap. The Board considered the fees charged by the Advisor to other exchange-traded funds ("ETFs") and other advisory clients with investment objectives and policies similar to the Funds', noting that those fees generally were similar to the fees charged to the Funds. In addition, the Board received data prepared by Lipper Inc. ("Lipper"), an independent source, showing the management fees and expense ratios of each Fund as compared to the management Page 133 -------------------------------------------------------------------------------- Additional Information - (Continued) -------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(R) Fund July 31, 2009 (Unaudited) fees and expense ratios of a combined peer group selected by Lipper and the Advisor. The Board discussed with representatives of the Advisor the limitations in creating a relevant peer group for each Fund, including that (i) many of the Funds are unique in their composition which makes assembling peers with similar strategies and asset mix difficult, and (ii) many of the peer funds are larger than the Funds. The Board reviewed the Lipper materials, but based on its discussions with the Advisor, the Board determined that the Lipper data was of limited value for purposes of its consideration of the renewal of the Agreement. The Board also considered performance information for each Fund, noting that, similar to almost all other funds, each Fund's performance was impacted by the severe market downturn in 2008, and the volatility in the market also affected the Funds' premium/discount. The Board noted that the performance information included each Fund's quarterly performance report, which is part of the process that the Board has established for monitoring each Fund's performance on an ongoing basis. The Board determined that this process continues to be effective for reviewing each Fund's performance. The Board also considered the performance of each Fund's underlying index and reviewed the correlation between each Fund's underlying index and the Fund's performance and concluded that the correlation between each Fund's performance, before expenses, and its underlying index was appropriate. In addition to the Board's ongoing review of performance, the Board also received data prepared by Lipper comparing each Fund's performance to the combined peer group selected by Lipper and the Advisor, as well as to a larger group and to a broad-based benchmark. The Board reviewed the Lipper materials, but for similar reasons to those described above, the Board determined that the performance data provided by Lipper was of limited value. On the basis of all the information provided on the fees, expenses and performance of each Fund, the Board concluded that the advisory fees for each Fund were reasonable and appropriate in light of the nature, quality and extent of services provided by the Advisor to each Fund under the Agreement. The Board noted that the Advisor has continued to invest in personnel and infrastructure and had noted that the advisory fee is not structured to pass the benefits of any economies of scale on to the shareholders as each Fund's assets grow. The Board concluded that the advisory fee for each Fund reflects an appropriate level of sharing of any economies of scale. The Board also considered the costs of the services provided and profits realized by the Advisor from serving as investment manager to ETF products for the twelve months ended December 31, 2008, as set forth in the materials provided to the Board, noting that the Advisor incurred a loss in 2008. The Board considered that the Advisor had identified as a fall-out benefit to the Advisor and First Trust Portfolios L.P. their exposure to investors and brokers who, in the absence of the Funds, may have had no dealings with the Advisor, and noted that the Advisor does not utilize soft dollars in connection with its management of the Funds' portfolios. Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, determined that the terms of the Agreement continue to be fair and reasonable and that the continuation of the Agreement is in the best interests of the Trust and each Fund. No single factor was determinative in the Board's analysis. Page 134 -------------------------------------------------------------------------------- Additional Information - (Continued) -------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(R) Fund July 31, 2009 (Unaudited) Privacy Policy The open-end and closed-end funds advised by First Trust Advisors L.P. (each a "Fund") consider your privacy an important priority in maintaining our relationship. We are committed to protecting the security and confidentiality of your personal information. Sources of Information We may collect nonpublic personal information about you from the following sources: o Information we receive from you or your broker-dealer, investment adviser or financial representative through interviews, applications, agreements or other forms; o Information about your transactions with us, our affiliates or others; o Information we receive from your inquiries by mail, e-mail or telephone; and o Information we collect on our website through the use of "cookies." For example, we may identify the pages on our website that your browser requests or visits. Information Collected The type of data we collect may include your name, address, social security number, age, financial status, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, investment objectives, marital status, family relationships and other personal information. Disclosure of Information We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law. The permitted uses include the disclosure of such information to unaffiliated companies for the following reasons: o In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives and printers. o We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). In addition, in order to alert you to our other financial products and services, we may share your personal information to those individuals who need to know that information to provide products or services to you. We maintain physical, electronic and procedural safeguards to protect your nonpublic personal information. Confidentiality and Security With regard to our internal security procedures, the Fund restricts access to your nonpublic personal information to those individuals who need to know that information to provide products or services to you. We maintain physical, electronic and procedural safeguards to protect your nonpublic personal information. Policy Updates and Inquiries As required by federal law, we will notify you of our privacy policy annually. We reserve the right to modify this policy at any time; however, if we do change it, we will tell you promptly. For questions about our policy, or for additional copies of this notice, please contact us at (800) 621-1675. Page 135 -------------------------------------------------------------------------------- Board of Trustees and Officers -------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(R) Fund July 31, 2009 (Unaudited) Each Fund's respective statement of additional information includes additional information about the Trustees and is available, without charge, upon request, by calling (800) 988-5891.
NUMBER OF PORTFOLIOS IN TERM OF OFFICE THE FIRST TRUST OTHER NAME, ADDRESS, AND YEAR FIRST FUND COMPLEX TRUSTEESHIPS OR DATE OF BIRTH AND ELECTED OR PRINCIPAL OCCUPATIONS OVERSEEN BY DIRECTORSHIPS POSITION WITH THE TRUST APPOINTED DURING PAST 5 YEARS TRUSTEE HELD BY TRUSTEE ----------------------------------------------------------------------------------------------------------------------------------- INDEPENDENT TRUSTEES ----------------------------------------------------------------------------------------------------------------------------------- Richard E. Erickson, Trustee o Indefinite Term Physician; President, 60 None c/o First Trust Advisors Wheaton Orthopedics; L.P. o Since Inception Co-Owner and Co-Director, 120 E. Liberty Drive, (January 1996 to May 2007), Suite 400 Sports Med Center for Wheaton, IL 60187 Fitness; Limited Partner, D.O.B.: 04/51 Gundersen Real Estate Limited Partnership; Member, Sportsmed LLC Thomas R. Kadlec, Trustee o Indefinite Term Senior Vice President and 60 Director of c/o First Trust Advisors Chief Financial Officer (May ADM Investor L.P. o Since Inception 2007 to Present), Vice President Services, Inc. 120 E. Liberty Drive, and Chief Financial Officer (1990 and Director of Suite 400 to May 2007), ADM Investor Archer Financial Wheaton, IL 60187 Services, Inc. (Futures Services, Inc. D.O.B.: 11/57 Commission Merchant); President (May 2005 to Present), ADM Derivatives, Inc.; Registered Representative (2000 to Present), Segerdahl & Company, Inc., a FINRA member (Broker-Dealer) Robert F. Keith, Trustee o Indefinite Term President (2003 to Present), 60 None c/o First Trust Advisors Hibs Enterprises (Financial L.P. o Since Inception and Management Consulting) 120 E. Liberty Drive, Suite 400 Wheaton, IL 60187 D.O.B.: 11/56 Niel B. Nielson, Trustee o Indefinite Term President (June 2002 to 60 Director of c/o First Trust Advisors Present), Covenant College Covenant L.P. o Since Inception Transport Inc. 120 E. Liberty Drive, Suite 400 Wheaton, IL 60187 D.O.B.: 03/54 ----------------------------------------------------------------------------------------------------------------------------------- INTERESTED TRUSTEE ----------------------------------------------------------------------------------------------------------------------------------- James A. Bowen(1), Trustee, o Indefinite Term President, First Trust 60 Trustee of President, Chairman of the Advisors L.P. and First Wheaton College Board and CEO o Since Inception Trust Portfolios L.P.; 120 E. Liberty Drive, Chairman of the Board of Suite 400 Directors, BondWave LLC Wheaton, IL 60187 (Software Development Company/ D.O.B.: 09/55 Investment Advisor) and Stonebridge Advisors LLC (Investment Advisor) -------------------- 1 Mr. Bowen is deemed an "interested person" of the Trust due to his position as President of First Trust Advisors L.P., investment advisor of the Trust.
Page 136 -------------------------------------------------------------------------------- Board of Trustees and Officers (Continued) -------------------------------------------------------------------------------- First Trust Exchange-Traded AlphaDEX(R) Fund July 31, 2009 (Unaudited)
POSITION AND TERM OF OFFICE NAME, ADDRESS AND OFFICES AND LENGTH OF PRINCIPAL OCCUPATIONS DATE OF BIRTH WITH TRUST SERVICE DURING PAST 5 YEARS ----------------------------------------------------------------------------------------------------------------------------------- OFFICERS WHO ARE NOT TRUSTEES(2) ----------------------------------------------------------------------------------------------------------------------------------- Mark R. Bradley Treasurer, Controller, o Indefinite Term Chief Financial Officer, First Trust Advisors 120 E. Liberty Drive, Chief Financial Officer L.P. and First Trust Portfolios L.P.; Chief Suite 400 and Chief Accounting o Since Inception Financial Officer, BondWave LLC (Software Wheaton, IL 60187 Officer Development Company/Investment Advisor) and D.O.B.: 11/57 Stonebridge Advisors LLC (Investment Advisor) Erin E. Chapman Assistant Secretary o Indefinite Term Assistant General Counsel (October 2007 to Present), 120 E. Liberty Drive, Associate Counsel (March 2006 to October 2007), First Suite 400 o Since June 2009 Trust Advisors L.P. and First Trust Portfolios L.P.; Wheaton, IL 60187 Associate Attorney (November 2003 to March 2006), D.O.B.: 07/58 Doyle & Bolotin, Ltd. James M. Dykas Assistant Treasurer o Indefinite Term Senior Vice President (April 2007 to Present), 120 E. Liberty Drive, Vice President (January 2005 to April 2007), Suite 400 o Since Inception First Trust Advisors L.P. and First Trust Wheaton, IL 60187 Portfolios L.P.; Executive Director (December 2002 D.O.B.: 01/66 to January 2005), Vice President (December 2000 to December 2002), Van Kampen Asset Management and Morgan Stanley Investment Management W. Scott Jardine Secretary and Chief o Indefinite Term General Counsel, First Trust Advisors L.P. 120 E. Liberty Drive, Compliance Officer and First Trust Portfolios L.P.; Secretary, Suite 400 o Since Inception BondWave LLC (Software Development Company/ Wheaton, IL 60187 Investment Advisor) and Stonebridge Advisors LLC D.O.B.: 05/60 (Investment Advisor) Daniel J. Lindquist Vice President o Indefinite Term Senior Vice President (September 2005 to Present), 120 E. Liberty Drive, Vice President (April 2004 to September 2005), Suite 400 o Since Inception First Trust Advisors L.P. and First Trust Wheaton, IL 60187 Portfolios L.P. D.O.B.: 02/70 Coleen D. Lynch Assistant Vice President o Indefinite Term Assistant Vice President (January 2008 to Present), 120 E. Liberty Drive, First Trust Advisors L.P. and First Trust Portfolios Suite 400 o Since July 2008 L.P.; Vice President (May 1998 to January 2008), Van Wheaton, IL 60187 Kampen Asset Management and Morgan Stanley D.O.B.: 07/58 Investment Management Kristi A. Maher Assistant Secretary o Indefinite Term Deputy General Counsel (May 2007 to Present), 120 E. Liberty Drive, Assistant General Counsel (March 2004 to May Suite 400 o Since Inception 2007), First Trust Advisors L.P. and First Wheaton, IL 60187 Trust Portfolios L.P. D.O.B.: 12/66 Roger Testin Vice President o Indefinite Term Senior Vice President (November 2003 to 120 E. Liberty Drive, Present), Vice President (August 2001 to Suite 400 o Since Inception November 2003), First Trust Advisors L.P. Wheaton, IL 60187 and First Trust Portfolios L.P. D.O.B.: 06/66 Stan Ueland Vice President o Indefinite Term Vice President (August 2005 to Present), 120 E. Liberty Drive, First Trust Advisors L.P. and First Trust Suite 400 o Since Inception Portfolios L.P; Vice President (May 2004 to Wheaton, IL 60187 August 2005), BondWave LLC (Software Development D.O.B.: 11/70 Company/Investment Advisor); Account Executive (January 2003 to May 2004), Mina Capital Management, LLC and Samaritan Asset Management Services, Inc. -------------------- 2 The term "officer" means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function.
Page 137 -------------------------------------------------------------------------------- Risk Considerations (Unaudited) -------------------------------------------------------------------------------- Risks are inherent in all investing. You should consider each Fund's investment objective, risks, charges and expenses carefully before investing. You can download each Fund's prospectus at http://www.ftportfolios.com or contact First Trust Portfolios L.P. at (800) 621-1675 to request a prospectus, which contains this and other information about each Fund. For additional information about the risks associated with investing in the Funds, please see the Funds' statement of additional information, as well as other regulatory filings. Read these documents carefully before you invest. First Trust Portfolios L.P. is the distributor of the First Trust Exchange-Traded AlphaDEX(R) Fund. The following summarizes some of the risks that should be considered for the Funds. Each Fund's shares will change in value, and you could lose money by investing in a Fund. An investment in a Fund involves risks similar to those of investing in any fund of equity securities traded on an exchange. Investors buying or selling Fund shares on the secondary market may incur brokerage commissions. In addition, investors who sell Fund shares may receive less than the shares' net asset value. Unlike shares of open-end mutual funds, investors are generally not able to purchase shares directly from a Fund and individual shares are not redeemable. However, specified large blocks of shares called Creation Units can be purchased from, or redeemed to, the Fund. In 2008 and into 2009, securities markets have been significantly negatively affected by the financial crisis that initially resulted from the downturn in the subprime mortgage market in the United States. The potential impact of the financial crisis on securities markets may prove to be significant and long-lasting and may have a substantial impact on the value of a Fund. You should anticipate that the value of each Fund's shares will decline, more or less, in correlation with any decline in the value of that Fund's corresponding index. Each Fund's return may not match the return of its corresponding index for a number of reasons. For example, the Funds incur operating expenses not applicable to their corresponding indexes, and may incur costs in buying and selling securities, especially when rebalancing the Fund's portfolio holdings to reflect changes in the composition of its corresponding index. In addition, each Fund's portfolio holdings may not exactly replicate the securities included in its corresponding index or the ratios between the securities included in such index. Each Fund is exposed to additional market risk due to its policy of investing principally in the securities included in its corresponding index. As a result of this policy, securities held by each Fund will generally not be bought or sold in response to market fluctuations and the securities may be issued by companies concentrated in a particular industry. Therefore, the Funds will generally not sell a stock because the stock's issuer is in financial trouble, unless that stock is removed or is anticipated to be removed from a Fund's index. Each Fund relies on a license and related sublicense that permits it to use its corresponding index and associated trade names and trademarks in connection with the name and investment strategies of the Fund. Such license and related sublicense may be terminated by the index provider and, as a result, a Fund may lose its ability to use such intellectual property. In the event the license is terminated or the index provider does not have rights to license such intellectual property, it may have a significant effect on the operation of the respective Fund. The value of an individual security or particular type of security can be more volatile than the market as a whole and can perform differently from the value of the market as a whole. Each Fund may be concentrated in stocks of companies in an individual industry if the Fund's corresponding index is concentrated in an individual industry. You should be aware that an investment in a portfolio that is concentrated in an individual industry involves additional risk, including limited diversification. Each Fund is classified as "non-diversified" under the Investment Company Act of 1940, as amended. As a result, each Fund is only limited as to the percentage of its assets which may be invested in the securities of any one issuer by the diversification requirements imposed by the Internal Revenue Code of 1986, as amended. Because the Funds may invest a relatively high percentage of their assets in a limited number of issuers, the Funds may be more susceptible to any single economic, political or regulatory occurrence and to the financial conditions of the issuers in which they invest. Each Fund is not actively managed. The Fund may be affected by a general decline in certain market segments relating to a Fund's corresponding index. The Fund invests in securities included in or representative of its index regardless of their investment merit. The Fund generally will not attempt to take defensive positions in declining markets. The First Trust Consumer Discretionary AlphaDEX(R) Fund, the First Trust Consumer Staples AlphaDEX(R) Fund, the First Trust Energy AlphaDEX(R) Fund, the First Trust Financials AlphaDEX(R) Fund, the First Trust Health Care AlphaDEX(R) Fund, the First Trust Industrials/Producer Durables AlphaDEX(R) Fund, the First Trust Materials AlphaDEX(R) Fund, the First Trust Technology AlphaDEX(R) Fund, the First Trust Utilities AlphaDEX(R) Fund, the First Trust Multi Cap Value AlphaDEX(R) Fund, the First Trust Multi Cap Growth AlphaDEX(R) Fund, the First Trust Mid Cap Core AlphaDEX(R) Fund and the First Trust Small Cap Core AlphaDEX(R) Fund may invest in small capitalization and mid capitalization companies. Such companies may be more vulnerable to adverse general market or economic developments, and their securities may be less liquid and may experience greater price volatility than larger, more established companies as a result of several factors, including limited trading volumes, products or financial resources, management inexperience and less publicly available information. Accordingly, such companies are generally subject to greater market risk than larger, more established companies. Page 138 -------------------------------------------------------------------------------- Risk Considerations (Unaudited) (Continued) -------------------------------------------------------------------------------- The First Trust Large Cap Value Opportunities AlphaDEX(R) Fund and the First Trust Multi Cap Value AlphaDEX(R) Fund invest with a value-oriented investment style and may not be successful in realizing their respective investment objectives. Value companies may have experienced adverse business developments or may be subject to special risks that cause their securities to be out of favor, may never reach what may be their full value or may go down in price. The First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund and the First Trust Multi Cap Growth AlphaDEX(R) Fund invest with a growth-oriented investment style and may not be successful in realizing their respective investment objectives. Securities of growth companies may experience significant fluctuations in price in response to economic, political, regulatory, company specific, sector or market developments, changes in perceptions or interest rate changes. Each of the First Trust Large Cap Core AlphaDEX(R) Fund, the First Trust Mid Cap Core AlphaDEX(R) Fund, the First Trust Small Cap Core AlphaDEX(R) Fund, the First Trust Large Cap Value Opportunities AlphaDEX(R) Fund and the First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund normally invests at least 90% of its assets in common stocks that comprise the Index upon which it is based. The securities of companies represented in the Index upon which the Fund is based generally have market capitalizations that are consistent with the name of the Index. For purposes of determining the market capitalization range of such securities, the Fund will use the current range of the Index upon which it is based. However, the Fund will not be forced to sell a stock because the stock has exceeded or fallen below the current market capitalization range of the Index. Because of market movement, there can be no assurance that the securities in the Fund will stay within a given market capitalization range. As a result, the Fund may be exposed to additional risk or may not give investors the opportunity to invest fully in a given market capitalization range. The First Trust Consumer Discretionary AlphaDEX(R) Fund invests in the securities of companies in the consumer discretionary sector. Because companies in the consumer discretionary sector manufacture products and provide discretionary services directly to the consumer, the success of these companies is tied closely to the performance of the overall domestic and international economy, interest rates, competition and consumer confidence. Success depends heavily on disposable household income and consumer spending. Changes in demographics and consumer tastes can also affect the demand for, and success of, consumer discretionary products in the marketplace. The First Trust Consumer Staples AlphaDEX(R) Fund invests in the securities of companies in the consumer staples sector. Because companies in the consumer staples sector provide products directly to the consumer that are typically considered non-discretionary items based on consumer purchasing habits, these companies may be affected by a variety of factors which could impact company profitability. For instance, government regulations may affect the permissibility of using various food additives and the production methods of companies that manufacture food products. Tobacco companies may be adversely affected by the adoption of proposed legislation and/or by litigation. Also, the success of foods and soft drinks may be strongly affected by fads, marketing campaigns and other factors affecting supply and demand. The First Trust Energy AlphaDEX(R) Fund invests in the securities of companies in the energy sector. The companies in the energy sector include integrated oil companies that are involved in the exploration, production and refining process, gas distributors and pipeline-related companies and other energy companies involved with mining, producing and delivering energy-related services and drilling. General problems of issuers in the energy sector include volatile fluctuations in price and supply of energy fuels, international politics, terrorist attacks, reduced demand as a result of increases in energy efficiency and energy conservation, the success of exploration projects, clean-up and litigation costs relating to oil spills and environmental damage, and tax and other regulatory policies of various governments. Natural disasters such as hurricanes in the Gulf of Mexico will also impact the petroleum industry. Oil production and refining companies are subject to extensive federal, state and local environmental laws and regulations regarding air emissions and the disposal of hazardous materials. In addition, recently oil prices have been at historic highs and extremely volatile. The First Trust Financials AlphaDEX(R) Fund invests in the securities of companies in the financials sector. Banks, thrifts and their holding companies are especially subject to the adverse effects of economic recession; decreases in the availability of capital; volatile interest rates; portfolio concentrations in geographic markets and in commercial and residential real estate loans; and competition from new entrants in their fields of business. Although the barriers which separated the banking, insurance and securities industries were eliminated by legislation, these industries are still extensively regulated at both the federal and state level and may be adversely affected by increased regulations. Recent negative developments relating to the subprime mortgage market have adversely affected credit and capital markets worldwide and reduced the willingness of lenders to extend credit, thus making borrowing on favorable terms more difficult. In addition, the liquidity of certain debt instruments has been reduced or eliminated due to the lack of available market makers. Banks and thrifts face increased competition from nontraditional lending sources as regulatory changes permit new entrants to offer various financial products. Technological advances such as the Internet allow these nontraditional lending sources to cut overhead and permit the more efficient use of customer data. Brokerage firms, broker/dealers, investment banks, finance companies and mutual fund companies are also financial services providers. These companies compete with banks and thrifts to provide traditional financial service products, in addition to their traditional services, such as brokerage and investment advice. In addition, all financial service companies face shrinking profit margins due to new competitors, the cost of new technology and the pressure to compete globally. Companies involved in the insurance industry are engaged in underwriting, selling, distributing or placing of property and casualty, life or health insurance. Insurance company profits are affected by many factors, including interest rate movements, the imposition of premium rate caps, competition and pressure to compete globally. Property and casualty insurance profits may also be affected by weather catastrophes, such as hurricanes and earthquakes, acts of Page 139 -------------------------------------------------------------------------------- Risk Considerations (Unaudited) (Continued) -------------------------------------------------------------------------------- terrorism and other disasters. Life and health insurance profits may be affected by mortality rates. Already extensively regulated, insurance companies' profits may also be adversely affected by increased government regulations or tax law changes. The First Trust Financials AlphaDEX(R) Fund may invest in companies that may be significantly affected by the downturn in the U.S. and world economies that began with the significant decline in the subprime mortgage lending market in the United States. Due to the downturn, subprime mortgage loans have in recent periods experienced increased rates of delinquency, foreclosure, bankruptcy and loss, and are likely to continue to be subject to interest rates that are significantly higher than those experienced by mortgage loans underwritten in a more traditional manner. The downturn in the subprime mortgage lending market and the resulting impact on the world's economies has had a significant adverse effect on the financials sector and the economy and may have far-reaching consequences into various aspects of the financials sector, and consequently, the value of the Fund may decline in response to such developments. The First Trust Health Care AlphaDEX(R) Fund invests in the securities of companies in the health care sector. Because companies in the health care sector are involved in medical services or health care including biotechnology research and production, drugs and pharmaceuticals and health care facilities and services, general problems of these companies include extensive competition, generic drug sales or the loss of patent protection, product liability litigation and increased government regulation and involvement in the industry. Research and development costs of bringing new drugs to market are substantial, and there is no guarantee that the product will ever come to market. Health care facility operators may be affected by the demand for services, efforts by government or insurers to limit rates, restriction of government financial assistance and competition from other providers. The First Trust Industrials/Producer Durables AlphaDEX(R) Fund invests in the securities of companies in the industrials and producer durables sectors. Many companies in these sectors convert unfinished goods into finished durables used to manufacture other goods or provide services. Some industries included in these sectors are electrical equipment and components, industrial products, manufactured housing and telecommunications equipment. General risks of these companies include the general state of the economy, intense competition, consolidation, domestic and international politics, excess capacity and consumer demand and spending trends. In addition, they may also be significantly affected by overall capital spending levels, economic cycles, technical obsolescence, delays in modernization, labor relations, government regulations and e-commerce initiatives. The First Trust Materials AlphaDEX(R) Fund invests in the securities of companies in the materials sector. Because companies in the materials sector are involved in the extracting or processing of raw materials, general risks of these companies include the general state of the economy, consolidation, domestic and international politics and excess capacity. In addition, materials companies may also be significantly affected by volatility of commodity prices, import controls, worldwide competition, liability for environmental damage, depletion of resources, and mandated expenditures for safety and pollution control devices. The First Trust Technology AlphaDEX(R) Fund invests in the securities of companies in the technology sector. Because companies in the technology sector serve the electronics and computer industries or manufacture products based on the latest applied science, general risks of these companies include the risks of rapidly changing technologies, short product life cycles, fierce competition, aggressive pricing and reduced profit margins, loss of patent, copyright and trademark protections, cyclical market patterns, evolving industry standards, and frequent new product introductions. Technology companies may be smaller and less experienced companies, with limited product lines, markets or financial resources and fewer experienced management or marketing personnel. Technology company stocks, particularly those involved with the Internet, have experienced extreme price and volume fluctuations that often have been unrelated to their operating performance. Also, the stocks of many technology companies have exceptionally high price-to-earning ratios with little or no earnings histories. The First Trust Utilities AlphaDEX(R) Fund invests in the securities of companies in the utilities sector. General problems of issuers in the utilities sector include the imposition of rate caps, increased competition due to deregulation, the difficulty in obtaining an adequate return on invested capital or in financing large construction projects, the limitations on operations and increased costs and delays attributable to environmental considerations, and the capital market's ability to absorb utility debt. In addition, taxes, government regulation, international politics, price and supply fluctuations, volatile interest rates and energy conservation may cause difficulties for utilities. All of such issuers have been experiencing certain of these problems in varying degrees. NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE Page 140 -------------------------------------------------------------------------------- [LOGO OMITTED] FIRST TRUST FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND -------------------------------------------------------------------------------- INVESTMENT ADVISOR First Trust Advisors L.P. 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 ADMINISTRATOR, CUSTODIAN, FUND ACCOUNTANT & TRANSFER AGENT The Bank of New York Mellon 101 Barclay Street New York, NY 10286 BOARD ADMINISTRATOR PNC Global Investment Servicing (U.S.), Inc. 301 Bellevue Parkway Wilmington, DE 19809 INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Deloitte & Touche LLP 111 S. Wacker Drive Chicago, IL 60606 LEGAL COUNSEL Chapman and Cutler LLP 111 W. Monroe Street Chicago, IL 60603 -------------------------------------------------------------------------------- Inside Back Cover [BLANK BACK COVER] Item 2. Code of Ethics. (a) The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. (c) During the period covered by this report, the code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description was amended to name W. Scott Jardine as the Compliance Coordinator for the implementation and administration of the aforementioned code. The amended codes of ethics is provided as an exhibit pursuant to Item 12(a)(1). (d) The registrant, during the period covered by this report, has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item's instructions. (e) Not applicable. Item 3. Audit Committee Financial Expert. As of the end of the period covered by the report, the registrant's board of trustees has determined that Thomas R. Kadlec and Robert F. Keith are qualified to serve as audit committee financial experts serving on its audit committee and that each of them is "independent," as defined by Item 3 of Form N-CSR. Item 4. Principal Accountant Fees and Services. (a) Audit Fees (Registrant) -- The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $1,500 for 2008 and $400,000 for 2009. (b) Audit-Related Fees (Registrant) -- The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item were $0 for 2008 and $0 for 2009. Audit-Related Fees (Investment Adviser and Distributor) -- The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item were $0 for 2008 and $0 for 2009. (c) Tax Fees (Registrant) -- The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the registrant were $68,000 for 2008 and $68,800 for 2009. These fees were for tax consultation. Tax Fees (Investment Adviser and Distributor) -- The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the registrant's adviser and distributor were $0 for 2008 and $0 2009. (d) All Other Fees (Registrant) -- The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant to the registrant, other than the services reported in paragraphs (a) through (c) of this Item were $0 for 2008 and $0 for 2009. All Other Fees (Investment Adviser and Distributor) -- The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant to the registrant's investment adviser and distributor, other than the services reported in paragraphs (a) through (c) of this Item were $0 for 2008 and $0 for 2009. (e)(1) Disclose the audit committee's pre-approval policies and procedures described in paragraph (c) (7) of Rule 2-01 of Regulation S-X. Pursuant to its charter and its Audit and Non-Audit Services Pre-Approval Policy, the Audit Committee (the "Committee") is responsible for the pre-approval of all audit services and permitted non-audit services (including the fees and terms thereof) to be performed for the registrant by its independent auditors. The Chairman of the Committee is authorized to give such pre-approvals on behalf of the Committee up to $25,000 and report any such pre-approval to the full Committee. The Committee is also responsible for the pre-approval of the independent auditor's engagements for non-audit services with the registrant's adviser (not including a sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser) and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the registrant, if the engagement relates directly to the operations and financial reporting of the registrant, subject to the de minimis exceptions for non-audit services described in Rule 2-01 of Regulation S-X. If the independent auditor has provided non-audit services to the registrant's adviser (other than any sub-adviser whose role is primarily portfolio management and is sub-contracted with or overseen by another investment adviser) and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to its policies, the Committee will consider whether the provision of such non-audit services is compatible with the auditor's independence. (e)(2) The percentage of services described in each of paragraphs (b) through (d) for the registrant and the registrant's investment adviser and distributor of this Item that were approved by the audit committee pursuant to the pre-approval exceptions included in paragraph (c)(7)(i)(C) or paragraph(C)(7)(ii) of Rule 2-01 of Regulation S-X are as follows: Registrant: Adviser and Distributor: (b) 0% (b) 0% (c) 0% (c) 0% (d) 0% (d) 0% (f) The percentage of hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant's full-time, permanent employees was less than fifty percent. (g) The aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for 2008 were $68,000 for the registrant, $19,143 for the registrant's investment adviser and $45,088 for the registrant's distributor, and for 2009 were $68,800 for the registrant, $6,000 for the registrant's investment adviser and $60,300 for the registrant's distributor. (h) The registrant's audit committee of its Board of Trustees has determined that the provision of non-audit services that were rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant's independence. Items 5. Audit Committee of Listed Registrants. The registrant has a separately designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934. The audit committee of the registrant is comprised of: Richard E. Erickson, Thomas R. Kadlec, Robert F. Keith and Niel B. Nielson. Item 6. Investments. (a) Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. (b) Not applicable. Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. Not applicable. Item 8. Portfolio Managers of Closed-End Management Investment Companies. Not applicable. Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. Not applicable. Item 10. Submission of Matters to a Vote of Security Holders. There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant's board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407 (c) (2) (iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22 (b) (15) of Schedule 14A (17 CFR 240.14a-101)), or this Item. Item 11. Controls and Procedures. (a) The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3 (c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15 (b)). (b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant's last fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. Item 12. Exhibits. (a)(1) Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto. (a)(2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. (a)(3) Not Applicable (b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (registrant) First Trust Exchange-Traded AlphaDEX(R) Fund By (Signature and Title)* /s/ James A. Bowen -------------------------------------------- James A. Bowen, Chairman of the Board, President and Chief Executive Officer (principal executive officer) Date: September 23, 2009 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 (Signature and Title)* /s/ James A. Bowen -------------------------------------------- James A. Bowen, Chairman of the Board, President and Chief Executive Officer (principal executive officer) Date: September 23, 2009 By (Signature and Title)* /s/ Mark R. Bradley -------------------------------------------- Mark R. Bradley, Treasurer, Controller, Chief Financial Officer and Chief Accounting Officer (principal financial officer) Date: September 23, 2009 * Print the name and title of each signing officer under his or her signature.