0001445546-11-002470.txt : 20110629 0001445546-11-002470.hdr.sgml : 20110629 20110629160403 ACCESSION NUMBER: 0001445546-11-002470 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20110430 FILED AS OF DATE: 20110629 DATE AS OF CHANGE: 20110629 EFFECTIVENESS DATE: 20110629 FILER: COMPANY DATA: COMPANY CONFORMED NAME: FIRST TRUST EXCHANGE-TRADED ALPHADEX FUND CENTRAL INDEX KEY: 0001383496 IRS NUMBER: 000000000 STATE OF INCORPORATION: MA FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-22019 FILM NUMBER: 11939031 BUSINESS ADDRESS: STREET 1: 120 EAST LIBERTY DRIVE, SUITE 400 CITY: WHEATON STATE: IL ZIP: 60187 BUSINESS PHONE: 630-765-8000 MAIL ADDRESS: STREET 1: 120 EAST LIBERTY DRIVE, SUITE 400 CITY: WHEATON STATE: IL ZIP: 60187 0001383496 S000017337 First Trust Large Cap Core AlphaDEX Fund C000047995 First Trust Large Cap Core AlphaDEX Fund FEX 0001383496 S000017338 First Trust Mid Cap Core AlphaDEX Fund C000047996 First Trust Mid Cap Core AlphaDEX Fund FNX 0001383496 S000017339 First Trust Small Cap Core AlphaDEX Fund C000047997 First Trust Small Cap Core AlphaDEX Fund FYX 0001383496 S000017340 First Trust Large Cap Value AlphaDEX Fund C000047998 First Trust Large Cap Value Opportunities AlphaDEX Fund FTA 0001383496 S000017341 First Trust Large Cap Growth AlphaDEX Fund C000047999 First Trust Large Cap Growth Opportunities AlphaDEX Fund FTC 0001383496 S000017342 First Trust Multi Cap Value AlphaDEX Fund C000048000 First Trust Multi Cap Value AlphaDEX Fund FAB 0001383496 S000017343 First Trust Multi Cap Growth AlphaDEX Fund C000048001 First Trust Multi Cap Growth AlphaDEX Fund FAD 0001383496 S000017696 First Trust Consumer Discretionary AlphaDEX Fund C000048896 First Trust Consumer Discretionary AlphaDEX Fund FXD 0001383496 S000017697 First Trust Consumer Staples AlphaDEX Fund C000048897 First Trust Consumer Staples AlphaDEX Fund FXG 0001383496 S000017698 First Trust Energy AlphaDEX Fund C000048898 First Trust Energy AlphaDEX Fund FXN 0001383496 S000017699 First Trust Financial AlphaDEX Fund C000048899 First Trust Financial AlphaDEX Fund FXO 0001383496 S000017700 First Trust Health Care AlphaDEX Fund C000048900 First Trust Health Care AlphaDEX Fund FXH 0001383496 S000017701 First Trust Industrials/Producer Durables AlphaDEX Fund C000048901 First Trust Industrials/Producer Durables AlphaDEX Fund FXR 0001383496 S000017702 First Trust Materials AlphaDEX Fund C000048902 First Trust Materials AlphaDEX Fund FXZ 0001383496 S000017703 First Trust Technology AlphaDEX Fund C000048903 First Trust Technology AlphaDEX Fund FXL 0001383496 S000017704 First Trust Utilities AlphaDEX Fund C000048904 First Trust Utilities AlphaDEX Fund FXU 0001383496 S000031804 First Trust Mid Cap Growth AlphaDEX Fund C000099059 First Trust Mid Cap Growth AlphaDEX Fund FNY 0001383496 S000031805 First Trust Mid Cap Value AlphaDEX Fund C000099060 First Trust Mid Cap Value AlphaDEX Fund FNK 0001383496 S000031806 First Trust Small Cap Growth AlphaDEX Fund C000099061 First Trust Small Cap Growth AlphaDEX Fund FYC 0001383496 S000031807 First Trust Small Cap Value AlphaDEX Fund C000099062 First Trust Small Cap Value AlphaDEX Fund FYT N-Q 1 adex_nq.txt QUARTERLY PORTFOLIO OF INVESTMENTS UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-Q QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY Investment Company Act file number 811-22019 --------------- First Trust Exchange-Traded AlphaDEX(R) Fund -------------------------------------------------------------------------------- (Exact name of registrant as specified in charter) 120 East Liberty Drive, 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: April 30, 2011 ------------------ Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (Sections 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507. ITEM 1. SCHEDULE OF INVESTMENTS. The Portfolios of Investments are attached herewith. FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 100.0% AUTO COMPONENTS -- 10.1% 107,920 Autoliv, Inc. $ 8,647,630 100,544 BorgWarner, Inc. (b) 7,766,019 321,754 Federal-Mogul Corp. (b) 8,526,481 152,558 Gentex Corp. 4,782,693 534,840 Goodyear Tire & Rubber (The) Co. (b) 9,707,346 154,188 Johnson Controls, Inc. 6,321,708 131,161 Lear Corp. 6,707,573 145,460 TRW Automotive Holdings Corp. (b) 8,299,948 ------------ 60,759,398 ------------ AUTOMOBILES -- 1.5% 214,939 Ford Motor Co. (b) 3,325,107 108,624 Harley-Davidson, Inc. 4,047,330 46,087 Thor Industries, Inc. 1,429,158 ------------ 8,801,595 ------------ COMMERCIAL SERVICES & SUPPLIES -- 0.7% 208,914 KAR Auction Services, Inc. (b) 4,073,823 ------------ DISTRIBUTORS -- 0.8% 28,662 Genuine Parts Co. 1,539,149 132,972 LKQ Corp. (b) 3,353,554 ------------ 4,892,703 ------------ DIVERSIFIED CONSUMER SERVICES -- 3.7% 67,713 Career Education Corp. (b) 1,476,821 27,930 DeVry, Inc. 1,477,497 382,593 Education Management Corp. (b) 7,093,274 91,892 H&R Block, Inc. 1,588,813 21,321 ITT Educational Services, Inc. (b) 1,529,355 139,073 Service Corp. International 1,636,889 91,427 Weight Watchers International, Inc. 7,108,449 ------------ 21,911,098 ------------ FOOD & STAPLES RETAILING -- 2.5% 94,533 BJ's Wholesale Club, Inc. (b) 4,851,434 43,712 Costco Wholesale Corp. 3,537,175 123,135 Wal-Mart Stores, Inc. 6,769,962 ------------ 15,158,571 ------------ HOTELS, RESTAURANTS & LEISURE -- 10.7% 182,389 Brinker International, Inc. 4,393,751 167,073 Carnival Corp. 6,360,469 29,423 Chipotle Mexican Grill, Inc. (b) 7,849,762 31,301 Darden Restaurants, Inc. 1,470,208 154,855 International Speedway Corp., Class A 4,738,563 SHARES DESCRIPTION VALUE -------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE (CONTINUED) 75,913 Las Vegas Sands Corp. (b) $ 3,568,670 50,458 Panera Bread Co., Class A (b) 6,110,968 155,342 Royal Caribbean Cruises Ltd. (b) 6,185,718 173,457 Starbucks Corp. 6,277,409 305,814 Wendy's/Arby's Group, Inc., Class A 1,474,024 145,065 Wyndham Worldwide Corp. 5,020,700 62,957 Wynn Resorts Ltd. 9,264,123 29,949 Yum! Brands, Inc. 1,606,464 ------------ 64,320,829 ------------ HOUSEHOLD DURABLES -- 7.8% 51,793 Fortune Brands, Inc. 3,370,688 236,630 Garmin Ltd. (b) 8,099,845 68,443 Harman International Industries, Inc. 3,321,539 62,794 Leggett & Platt, Inc. 1,650,854 104,829 Mohawk Industries, Inc. (b) 6,293,933 80,410 Newell Rubbermaid, Inc. 1,532,615 2,045 NVR, Inc. (b) 1,511,930 158,143 Tempur-Pedic International, Inc. (b) 9,928,217 77,276 Tupperware Brands Corp. 4,920,163 75,077 Whirlpool Corp. 6,470,136 ------------ 47,099,920 ------------ INTERNET & CATALOG RETAIL -- 5.4% 17,808 Amazon.com, Inc. (b) 3,499,272 203,646 Expedia, Inc. 5,097,259 499,485 Liberty Media Corp. - Interactive, Class A (b) 8,730,998 33,768 Netflix, Inc. (b) 7,856,801 12,651 priceline.com, Inc. (b) 6,920,223 ------------ 32,104,553 ------------ INTERNET SOFTWARE & SERVICES -- 0.9% 49,572 eBay, Inc. (b) 1,705,277 61,752 VistaPrint N.V. (b) 3,359,309 ------------ 5,064,586 ------------ LEISURE EQUIPMENT & PRODUCTS -- 0.8% 185,098 Mattel, Inc. 4,945,819 ------------ MACHINERY -- 1.5% 25,618 Snap-on, Inc. 1,582,424 103,978 WABCO Holdings, Inc. (b) 7,678,775 ------------ 9,261,199 ------------ MEDIA -- 17.9% 319,961 CBS Corp., Class B 8,069,416 259,280 Comcast Corp., Class A 6,803,507 Page 1 See Notes to Quarterly Portfolio of Investments FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (Continued) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) MEDIA (CONTINUED) 98,596 DIRECTV, Class A (b) $ 4,790,780 80,324 Discovery Communications, Inc., Class A (b) 3,555,140 189,433 DISH Network Corp., Class A (b) 4,743,402 526,062 Gannett Co., Inc. 7,922,494 509,895 Interpublic Group of Cos. (The), Inc. 5,991,266 30,246 John Wiley & Sons, Inc., Class A 1,540,429 108,758 Liberty Media Corp. - Capital Series A (b) 8,947,521 41,316 Liberty Media-Starz, Series A, Class A (b) 3,175,135 118,734 Madison Square Garden, Inc., Class A (b) 3,247,375 39,029 McGraw-Hill (The) Cos., Inc. 1,579,504 188,943 Meredith Corp. 6,314,475 487,309 New York Times (The) Co., Class A (b) 3,961,822 262,788 News Corp., Class A 4,682,882 65,307 Omnicom Group, Inc. 3,212,451 2,779,988 Sirius XM Radio, Inc. (b) 5,532,176 44,917 Time Warner Cable, Inc. 3,509,365 129,254 Time Warner, Inc. 4,893,557 68,891 Viacom, Inc., Class B 3,524,464 74,374 Walt Disney (The) Co. 3,205,519 18,293 Washington Post (The) Co., Class B 7,973,919 ------------ 107,176,599 ------------ MULTILINE RETAIL -- 6.4% 147,587 Big Lots, Inc. (b) 6,067,302 49,078 Dollar General Corp. (b) 1,599,452 57,739 Dollar Tree, Inc. (b) 3,319,993 62,440 Family Dollar Stores, Inc. 3,384,872 128,512 J. C. Penney Co., Inc. 4,941,286 120,844 Kohl's Corp. 6,369,687 190,230 Macy's, Inc. 4,548,399 71,423 Nordstrom, Inc. 3,396,164 55,832 Sears Holdings Corp. (b) 4,799,877 ------------ 38,427,032 ------------ PERSONAL PRODUCTS -- 1.1% 66,530 Estee Lauder (The) Cos., Inc., Class A 6,453,410 ------------ ROAD & RAIL -- 1.2% 410,083 Hertz Global Holdings, Inc. (b) 7,057,528 ------------ SPECIALTY RETAIL -- 21.9% 315,937 Aaron's, Inc. 9,095,826 78,626 Abercrombie & Fitch Co., Class A 5,566,721 48,827 Advance Auto Parts, Inc. 3,196,215 403,350 American Eagle Outfitters, Inc. 6,276,126 SHARES DESCRIPTION VALUE -------------------------------------------------------------- SPECIALTY RETAIL (CONTINUED) 226,509 AutoNation, Inc. (b) $ 7,680,920 11,700 AutoZone, Inc. (b) 3,303,846 143,769 CarMax, Inc. (b) 4,988,784 309,713 Chico's FAS, Inc. 4,531,101 160,312 Dick's Sporting Goods, Inc. (b) 6,561,570 234,022 Foot Locker, Inc. 5,036,154 355,752 GameStop Corp., Class A (b) 9,135,711 353,555 Gap (The), Inc. 8,216,618 41,512 Home Depot (The), Inc. 1,541,756 30,116 J. Crew Group, Inc. (b) (c) - 140,367 Limited Brands, Inc. 5,777,506 174,596 Lowe's Cos., Inc. 4,583,145 996,710 Office Depot, Inc. (b) 4,295,820 26,773 O'Reilly Automotive, Inc. (b) 1,581,213 37,576 PetSmart, Inc. 1,584,580 533,769 RadioShack Corp. 8,438,888 90,130 Ross Stores, Inc. 6,641,680 69,626 Signet Jewelers Ltd. (b) 3,046,138 25,045 Tiffany & Co. 1,739,125 64,449 TJX (The) Cos., Inc. 3,455,755 133,853 Tractor Supply Co. 8,281,485 158,246 Williams-Sonoma, Inc. 6,869,459 ------------ 131,426,142 ------------ TEXTILES, APPAREL & LUXURY GOODS -- 3.9% 29,558 Coach, Inc. 1,767,864 85,536 Fossil, Inc. (b) 8,192,638 56,888 Hanesbrands, Inc. (b) 1,849,429 49,277 Phillips-Van Heusen Corp. 3,469,594 51,843 Polo Ralph Lauren Corp. 6,779,509 15,629 VF Corp. 1,571,652 ------------ 23,630,686 ------------ TRADING COMPANIES & DISTRIBUTORS -- 1.3% 128,175 WESCO International, Inc. (b) 7,940,441 ------------ TOTAL COMMON STOCKS -- 100.0% (Cost $517,344,806) 600,505,932 MONEY MARKET FUND -- 0.1% 426,888 Morgan Stanley Institutional Treasury Money Market Fund - 0.01% (d) 426,888 (Cost $426,888) ------------ TOTAL INVESTMENTS -- 100.1% 600,932,820 (Cost $517,771,694) (e) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (343,999) ------------ NET ASSETS -- 100.0% $600,588,821 ============ Page 2 See Notes to Quarterly Portfolio of Investments FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) This security is fair valued in accordance with procedures adopted by the Trust's Board of Trustees and in accordance with the Investment Company Act of 1940, as amended. (d) Represents annualized 7-day yield at April 30, 2011. (e) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of April 30, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $86,647,038 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $3,485,912. ---------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of April 30, 2011 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------------------------- Common Stocks* $600,505,932 $ -- $ -- Money Market Fund 426,888 -- -- ------------------------------------------ Total Investments $600,932,820 $ -- $ -- ========================================== * See Portfolio of Investments for industry breakout. Page 3 See Notes to Quarterly Portfolio of Investments FIRST TRUST CONSUMER STAPLES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 99.9% BEVERAGES -- 14.4% 27,512 Coca-Cola (The) Co. $ 1,855,959 50,943 Coca-Cola Enterprises, Inc. 1,447,291 68,570 Constellation Brands, Inc., Class A (b) 1,535,282 16,374 Dr. Pepper Snapple Group, Inc. 641,861 30,305 Hansen Natural Corp. (b) 2,004,676 59,320 Molson Coors Brewing Co., Class B 2,891,850 9,446 PepsiCo, Inc. 650,735 ------------ 11,027,654 ------------ FOOD & STAPLES RETAILING -- 18.1% 81,039 CVS Caremark Corp. 2,936,854 116,036 Kroger (The) Co. 2,820,835 118,151 Safeway, Inc. 2,872,251 45,474 Walgreen Co. 1,942,649 52,754 Whole Foods Market, Inc. 3,310,841 ------------ 13,883,430 ------------ FOOD PRODUCTS -- 51.7% 96,544 Archer-Daniels-Midland Co. 3,574,059 48,067 Bunge Ltd. 3,626,174 42,004 Campbell Soup Co. 1,410,914 76,854 ConAgra Foods, Inc. 1,879,080 26,837 Corn Products International, Inc. 1,478,719 278,136 Dean Foods Co. (b) 3,112,342 67,031 Flowers Foods, Inc. 2,048,467 38,049 General Mills, Inc. 1,467,930 53,809 Green Mountain Coffee Roasters, Inc. (b) 3,603,051 25,586 Hershey (The) Co. 1,476,568 65,565 Hormel Foods Corp. 1,928,267 25,569 J.M. Smucker (The) Co. 1,919,465 19,401 Kraft Foods, Inc., Class A 651,486 12,721 McCormick & Co., Inc. 624,855 40,644 Ralcorp Holdings, Inc. (b) 3,162,103 34,436 Sara Lee Corp. 661,171 144,503 Smithfield Foods, Inc. (b) 3,404,491 181,173 Tyson Foods, Inc., Class A 3,605,343 ------------ 39,634,485 ------------ HOUSEHOLD PRODUCTS -- 9.0% 7,670 Church & Dwight Co., Inc. 632,622 39,083 Energizer Holdings, Inc. (b) 2,951,939 21,305 Kimberly-Clark Corp. 1,407,408 29,629 Procter & Gamble (The) Co. 1,922,922 ------------ 6,914,891 ------------ PERSONAL PRODUCTS -- 5.0% 42,730 Herbalife Ltd. 3,836,300 ------------ TOBACCO -- 1.7% 6,406 Lorillard, Inc. 682,239 SHARES DESCRIPTION VALUE -------------------------------------------------------------- TOBACCO (CONTINUED) 9,269 Philip Morris International, Inc. $ 643,639 ------------ 1,325,878 ------------ 76,622,638 TOTAL COMMON STOCKS -- 99.9% (Cost $68,505,724) MONEY MARKET FUND -- 0.1% 73,736 Morgan Stanley Institutional Treasury Money Market Fund - 0.01% (c) 73,736 (Cost $73,736) ------------ TOTAL INVESTMENTS -- 100.0% 76,696,374 (Cost $68,579,460) (d) NET OTHER ASSETS AND LIABILITIES -- 0.0% 1,602 ------------ NET ASSETS -- 100.0% $ 76,697,976 ============ ================================================================================ (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 April 30, 2011. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of April 30, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $8,129,132 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $12,218. ---------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of April 30, 2011 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------------------------- Common Stocks* $76,622,638 $ -- $ -- Money Market Fund 73,736 -- -- ------------------------------------------ Total Investments $76,696,374 $ -- $ -- ========================================== * See Portfolio of Investments for industry breakout. Page 4 See Notes to Quarterly Portfolio of Investments FIRST TRUST ENERGY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 100.0% ENERGY EQUIPMENT & SERVICES -- 32.4% 104,445 Atwood Oceanics, Inc. (b) $ 4,692,714 82,552 Baker Hughes, Inc. 6,390,350 42,465 Cameron International Corp. (b) 2,238,755 11,869 Core Laboratories N.V. 1,139,187 62,414 Diamond Offshore Drilling, Inc. 4,735,350 45,220 Dresser-Rand Group, Inc. (b) 2,375,859 102,179 Exterran Holdings, Inc. (b) 2,218,306 97,292 Halliburton Co. 4,911,300 17,653 Helmerich & Payne, Inc. 1,171,100 159,614 Nabors Industries Ltd. (b) 4,890,573 79,605 Oil States International, Inc. (b) 6,608,011 41,246 Patterson-UTI Energy, Inc. 1,283,163 28,222 Pride International, Inc. (b) 1,239,228 54,882 Rowan Cos., Inc. (b) 2,288,579 38,995 Schlumberger Ltd. 3,499,801 65,556 SEACOR Holdings, Inc. 6,478,900 118,278 Superior Energy Services, Inc. (b) 4,544,241 58,712 Unit Corp. (b) 3,700,030 53,640 Weatherford International Ltd. (b) 1,157,551 ------------ 65,562,998 ------------ METALS & MINING -- 1.8% 26,857 Walter Energy, Inc. 3,712,175 ------------ OIL, GAS & CONSUMABLE FUELS -- 62.0% 20,422 Alpha Natural Resources, Inc. (b) 1,187,948 27,785 Apache Corp. 3,705,685 67,277 Arch Coal, Inc. 2,307,601 71,919 Atlas Energy, Inc. (c) 7,192 108,501 Chesapeake Energy Corp. 3,653,229 56,417 Chevron Corp. 6,174,277 52,603 Cimarex Energy Co. 5,817,366 39,178 Comstock Resources, Inc. (b) 1,256,047 45,197 Concho Resources, Inc. (b) 4,829,299 75,897 ConocoPhillips 5,990,550 45,212 CONSOL Energy, Inc. 2,445,517 50,886 Continental Resources, Inc. (b) 3,494,850 39,629 Devon Energy Corp. 3,606,239 134,705 El Paso Corp. 2,614,624 30,693 EOG Resources, Inc. 3,465,547 57,639 Exxon Mobil Corp. 5,072,232 32,046 Forest Oil Corp. (b) 1,150,772 56,903 Hess Corp. 4,891,382 99,766 Holly Corp. 5,776,451 113,700 Marathon Oil Corp. 6,144,348 66,045 Murphy Oil Corp. 5,117,167 15,948 Newfield Exploration Co. (b) 1,129,118 12,544 Noble Energy, Inc. 1,207,611 23,203 Occidental Petroleum Corp. 2,651,871 148,209 Petrohawk Energy Corp. (b) 4,003,125 SHARES DESCRIPTION VALUE -------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS (CONTINUED) 66,927 Plains Exploration & Production Co. (b) $ 2,545,903 59,802 QEP Resources, Inc. 2,555,339 423,587 Quicksilver Resources, Inc. (b) 6,290,267 20,740 Range Resources Corp. 1,170,773 473,552 SandRidge Energy, Inc. (b) 5,853,103 49,016 SM Energy Co. 3,718,354 53,179 Sunoco, Inc. 2,268,616 121,968 Valero Energy Corp. 3,451,694 66,020 Whiting Petroleum Corp. (b) 4,588,390 155,523 Williams (The) Cos., Inc. 5,158,698 ------------ 125,301,185 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.8% 353,653 SunPower Corp., Class A (b) 7,699,026 ------------ TOTAL COMMON STOCKS -- 100.0% 202,275,384 (Cost $181,380,413) MONEY MARKET FUND -- 0.0% 77,443 Morgan Stanley Institutional Treasury Money Market Fund - 0.01% (d) 77,443 (Cost $77,443) ------------ TOTAL INVESTMENTS -- 100.0% 202,352,827 (Cost $181,457,856) (e) NET OTHER ASSETS AND LIABILITIES -- (0.0)% (107,133) ------------ NET ASSETS -- 100.0% $202,245,694 ============ ================================================================================ (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) This security is fair valued in accordance with procedures adopted by the Trust's Board of Trustees and in accordance with the Investment Company Act of 1940, as amended. (d) Represents annualized 7-day yield at April 30, 2011. (e) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of April 30, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $21,983,374 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $1,088,403. Page 5 See Notes to Quarterly Portfolio of Investments FIRST TRUST ENERGY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) ---------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of April 30, 2011 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs TOTAL VALUE AT 04/30/11 Level 1 Level 2 Level 3 COMMON STOCKS: --------------------------------------------------- Energy Equipment & Services $ 65,562,998 $ 65,562,998 $ -- $ -- Metals & Mining 3,712,175 3,712,175 -- -- Oil, Gas & Consumable Fuels 125,301,185 125,293,993 7,192 -- Semiconductors & Semiconductor Equipment 7,699,026 7,699,026 -- -- --------------------------------------------------- Total Common Stocks 202,275,384 202,268,192 7,192 -- --------------------------------------------------- Money Market Fund 77,443 77,443 -- -- --------------------------------------------------- Total Investments $202,352,827 $202,345,635 $7,192 $ -- =================================================== Page 6 See Notes to Quarterly Portfolio of Investments FIRST TRUST FINANCIALS ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 99.9% CAPITAL MARKETS -- 13.0% 10,529 Affiliated Managers Group, Inc. (b) $ 1,148,503 18,881 Ameriprise Financial, Inc. 1,171,755 88,127 Ares Capital Corp. 1,560,729 29,907 Bank of New York Mellon (The) Corp. 866,107 2,873 BlackRock, Inc. 562,936 18,442 E*TRADE Financial Corp. (b) 299,498 8,952 Eaton Vance Corp. 302,309 21,544 Federated Investors, Inc., Class B 555,404 7,143 Franklin Resources, Inc. 922,304 7,264 Goldman Sachs Group (The), Inc. 1,096,937 34,948 Invesco Ltd. 869,157 92,460 Janus Capital Group, Inc. 1,125,238 11,570 Jefferies Group, Inc. 279,647 21,488 Lazard Ltd., Class A 881,008 24,769 Legg Mason, Inc. 920,168 42,196 Morgan Stanley 1,103,425 5,672 Northern Trust Corp. 283,543 7,547 Raymond James Financial, Inc. 283,013 19,885 State Street Corp. 925,647 13,460 T. Rowe Price Group, Inc. 864,805 27,609 TD Ameritrade Holding Corp. 594,698 28,394 Waddell & Reed Financial, Inc., Class A 1,164,438 ------------ 17,781,269 ------------ COMMERCIAL BANKS -- 10.7% 18,657 BancorpSouth, Inc. 252,802 12,061 Bank of Hawaii Corp. 588,456 10,510 BB&T Corp. 282,929 17,297 BOK Financial Corp. 930,233 34,999 CIT Group, Inc. (b) 1,486,058 5,052 City National Corp. 288,520 7,851 Comerica, Inc. 297,788 14,255 Commerce Bancshares, Inc. 606,693 4,884 Cullen/Frost Bankers, Inc. 289,328 13,138 East West Bancorp, Inc. 277,606 41,520 Fifth Third Bancorp 550,970 5,747 First Citizens BancShares, Inc., Class A 1,149,457 51,892 Fulton Financial Corp. 606,099 134,562 Huntington Bancshares, Inc. 913,676 129,824 KeyCorp 1,125,574 10,097 M&T Bank Corp. 892,272 18,303 PNC Financial Services Group, Inc. 1,141,009 198,090 Popular, Inc. (b) 623,984 56,324 TCF Financial Corp. 878,091 21,816 U.S. Bancorp 563,289 20,634 Valley National Bancorp 295,479 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMERCIAL BANKS (CONTINUED) 18,184 Wells Fargo & Co. $ 529,336 ------------ 14,569,649 CONSUMER FINANCE -- 2.1% 12,760 American Express Co. 626,261 28,646 Capital One Financial Corp. 1,567,795 37,674 SLM Corp. (b) 625,012 ------------ 2,819,068 DIVERSIFIED FINANCIAL SERVICES -- 6.5% 9,952 CBOE Holdings, Inc. 266,913 260,822 Citigroup, Inc. (b) 1,197,173 1,910 CME Group, Inc. 564,921 2,349 IntercontinentalExchange, Inc. (b) 282,702 24,997 JPMorgan Chase & Co. 1,140,613 39,661 Leucadia National Corp. 1,533,294 26,356 Moody's Corp. 1,031,574 57,635 NASDAQ OMX Group (The), Inc. (b) 1,561,908 32,794 NYSE Euronext 1,313,400 ------------ 8,892,498 ------------ INSURANCE -- 45.7% 23,019 ACE Ltd. 1,548,028 10,917 Aflac, Inc. 613,426 3,483 Alleghany Corp. (b) 1,145,907 23,752 Allied World Assurance Holdings Co. Ltd. 1,543,167 18,142 Allstate (The) Corp. 613,925 42,532 American Financial Group, Inc. 1,521,370 42,369 American International Group, Inc. (b) 1,319,794 11,285 American National Insurance Co. 892,643 21,775 Aon Corp. 1,136,002 15,019 Arch Capital Group Ltd. (b) 1,561,976 18,956 Arthur J. Gallagher & Co. 564,510 54,026 Aspen Insurance Holdings Ltd. 1,543,523 23,206 Assurant, Inc. 921,278 99,949 Assured Guaranty Ltd. 1,699,133 42,641 Axis Capital Holdings Ltd. 1,507,786 10,696 Berkshire Hathaway, Inc., Class B (b) 890,977 22,351 Brown & Brown, Inc. 577,773 24,272 Chubb (The) Corp. 1,582,292 27,234 Cincinnati Financial Corp. 862,773 39,019 CNA Financial Corp. 1,211,150 30,513 Endurance Specialty Holdings Ltd. 1,352,946 16,214 Erie Indemnity Co., Class A 1,174,380 16,893 Everest Re Group Ltd. 1,539,290 105,374 Fidelity National Financial, Inc., Class A 1,626,975 Page 7 See Notes to Quarterly Portfolio of Investments FIRST TRUST FINANCIALS ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 21,417 Genworth Financial, Inc., Class A (b) $ 261,073 19,751 Hanover Insurance Group, Inc. 833,887 55,286 Hartford Financial Services Group (The), Inc. 1,601,635 47,567 HCC Insurance Holdings, Inc. 1,547,830 38,369 Lincoln National Corp. 1,198,264 20,744 Loews Corp. 918,129 1,390 Markel Corp. (b) 580,019 29,982 Marsh & McLennan Cos., Inc. 907,855 28,705 MBIA, Inc. (b) 296,236 29,475 Mercury General Corp. 1,171,336 19,969 MetLife, Inc. 934,350 85,193 OneBeacon Insurance Group Ltd., Class A 1,196,962 18,796 PartnerRe Ltd. 1,510,447 27,821 Principal Financial Group, Inc. 938,959 42,279 Progressive (The) Corp. 927,601 43,414 Protective Life Corp. 1,168,271 18,707 Prudential Financial, Inc. 1,186,398 23,724 Reinsurance Group of America, Inc. 1,501,729 21,589 RenaissanceRe Holdings Ltd. 1,517,275 24,983 StanCorp Financial Group, Inc. 1,076,767 109,494 Symetra Financial Corp. 1,519,777 17,331 Torchmark Corp. 1,159,791 30,588 Transatlantic Holdings, Inc. 1,507,683 25,031 Travelers (The) Cos., Inc. 1,583,962 37,325 Unitrin, Inc. 1,128,708 43,929 Unum Group 1,163,240 44,672 Validus Holdings Ltd. 1,453,627 35,776 W. R. Berkley Corp. 1,166,655 751 Wesco Financial Corp. 294,392 785 White Mountains Insurance Group Ltd. 280,645 36,305 XL Group PLC 886,568 ------------ 62,371,095 ------------ IT SERVICES -- 5.5% 17,326 Alliance Data Systems Corp. (b) 1,645,970 25,405 Broadridge Financial Solutions, Inc. 590,412 31,160 CoreLogic, Inc. (b) 573,656 27,335 Fidelity National Information Services, Inc. 904,788 14,245 Fiserv, Inc. (b) 873,361 11,777 Global Payments, Inc. 627,007 8,962 Lender Processing Services, Inc. 263,752 1,130 MasterCard, Inc., Class A 311,756 63,960 Total System Services, Inc. 1,205,646 27,751 Western Union Co. 589,709 ------------ 7,586,057 ------------ SHARES DESCRIPTION VALUE -------------------------------------------------------------- MEDIA -- 1.1% 15,307 Morningstar, Inc. $ 881,683 14,702 Thomson Reuters Corp. 594,990 ------------ 1,476,673 ------------ PROFESSIONAL SERVICES -- 1.5% 23,007 Equifax, Inc. 863,453 12,981 IHS, Inc., Class A (b) 1,145,443 ------------ 2,008,896 ------------ REAL ESTATE INVESTMENT TRUSTS -- 8.4% 24,830 AMB Property Corp. 903,812 66,049 Annaly Capital Management, Inc. 1,178,314 11,313 Apartment Investment & Management Co., Class A 304,999 376,025 Chimera Investment Corp. 1,522,901 22,186 CommonWealth REIT 607,675 4,958 Digital Realty Trust, Inc. 299,166 10,213 Equity Residential 609,920 2,338 Essex Property Trust, Inc. 316,752 29,683 Piedmont Office Realty Trust, Inc., Class A 590,692 6,606 Plum Creek Timber Co., Inc. 284,653 18,025 ProLogis 293,627 2,595 Public Storage 304,420 14,351 Rayonier, Inc. 952,332 12,510 Senior Housing Properties Trust 296,737 2,695 Simon Property Group, Inc. 308,685 3,832 SL Green Realty Corp. 316,255 23,652 UDR, Inc. 612,350 3,290 Vornado Realty Trust 318,077 60,526 Weyerhaeuser Co. 1,392,703 ------------ 11,414,070 ------------ REAL ESTATE MANAGEMENT & DEVELOPMENT -- 2.4% 55,766 CB Richard Ellis Group, Inc., Class A (b) 1,489,510 30,608 Forest City Enterprises, Inc., Class A (b) 587,980 11,572 Jones Lang LaSalle, Inc. 1,184,741 ------------ 3,262,231 ------------ SOFTWARE -- 0.7% 8,529 FactSet Research Systems, Inc. 933,158 ------------ THRIFTS & MORTGAGE FINANCE -- 2.3% 42,439 First Niagara Financial Group, Inc. 611,122 119,103 Hudson City Bancorp, Inc. 1,135,051 33,392 New York Community Bancorp, Inc. 554,307 22,898 People's United Financial, Inc. 313,474 Page 8 See Notes to Quarterly Portfolio of Investments FIRST TRUST FINANCIALS ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) THRIFTS & MORTGAGE FINANCE (CONTINUED) 33,243 Washington Federal, Inc. $ 534,880 ------------ 3,148,834 ------------ TOTAL COMMON STOCKS -- 99.9% (Cost $132,836,257) 136,263,498 MONEY MARKET FUND -- 0.2% 254,446 Morgan Stanley Institutional Treasury Money Market Fund - 0.01% (c) 254,446 (Cost $254,446) ------------ TOTAL INVESTMENTS -- 100.1% (Cost $133,090,703) (d) 136,517,944 NET OTHER ASSETS AND LIABILITIES -- (0.1)% (161,758) ------------ NET ASSETS -- 100.0% $136,356,186 ============ ================================================================================ (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 April 30, 2011. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of April 30, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $5,881,747 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $2,454,506. ---------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of April 30, 2011 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------------------------- Common Stocks* $136,263,498 $ -- $ -- Money Market Fund 254,446 -- -- ------------------------------------------ Total Investments $136,517,944 $ -- $ -- ========================================== * See Portfolio of Investments for industry breakout. Page 9 See Notes to Quarterly Portfolio of Investments FIRST TRUST HEALTH CARE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 99.9% BIOTECHNOLOGY -- 14.1% 30,211 Alexion Pharmaceuticals, Inc. (b) $ 2,927,144 55,788 Amgen, Inc. (b) 3,171,548 15,162 Biogen Idec, Inc. (b) 1,476,021 29,382 Cephalon, Inc. (b) 2,256,537 13,115 Gilead Sciences, Inc. (b) 509,387 66,351 Regeneron Pharmaceuticals, Inc. (b) 3,391,200 41,538 Talecris Biotherapeutics Holdings Corp. (b) 1,159,741 16,614 United Therapeutics Corp. (b) 1,112,473 46,454 Vertex Pharmaceuticals, Inc. (b) 2,555,899 ------------ 18,559,950 ------------ HEALTH CARE EQUIPMENT & SUPPLIES -- 18.1% 28,438 Alere, Inc. (b) 1,056,187 13,396 Beckman Coulter, Inc. 1,109,859 5,610 C. R. Bard, Inc. 598,867 19,733 CareFusion Corp. (b) 579,558 32,053 Cooper (The) Cos., Inc. 2,400,770 10,720 Covidien PLC 596,997 12,789 Edwards Lifesciences Corp. (b) 1,104,330 16,784 Gen-Probe, Inc. (b) 1,391,729 47,101 Hill-Rom Holdings, Inc. 2,120,016 14,419 IDEXX Laboratories, Inc. (b) 1,174,139 1,670 Intuitive Surgical, Inc. (b) 583,999 40,914 Kinetic Concepts, Inc. (b) 2,415,153 56,581 Medtronic, Inc. 2,362,257 34,909 St. Jude Medical, Inc. 1,865,537 9,154 Stryker Corp. 540,086 30,863 Teleflex, Inc. 1,944,678 29,559 Zimmer Holdings, Inc. (b) 1,928,725 ------------ 23,772,887 ------------ HEALTH CARE PROVIDERS & SERVICES -- 41.2% 79,659 Aetna, Inc. 3,296,289 56,288 AmerisourceBergen Corp. 2,287,544 106,491 Brookdale Senior Living, Inc. (b) 2,900,815 27,073 Cardinal Health, Inc. 1,182,819 40,402 CIGNA Corp. 1,892,026 55,680 Community Health Systems, Inc. (b) 1,711,046 93,511 Coventry Health Care, Inc. (b) 3,017,600 26,039 DaVita, Inc. (b) 2,293,776 8,745 Emergency Medical Services Corp., Class A (b) 557,931 32,179 Express Scripts, Inc. (b) 1,825,836 273,568 Health Management Associates, Inc., Class A (b) 3,085,847 34,046 Health Net, Inc. (b) 1,133,732 31,737 Henry Schein, Inc. (b) 2,319,023 42,626 Humana, Inc. (b) 3,244,691 SHARES DESCRIPTION VALUE -------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 6,047 Laboratory Corp. of America Holdings (b) $ 583,354 74,206 LifePoint Hospitals, Inc. (b) 3,087,712 18,762 Lincare Holdings, Inc. 589,502 22,629 McKesson Corp. 1,878,433 26,856 MEDNAX, Inc. (b) 1,904,628 37,123 Omnicare, Inc. 1,166,405 17,283 Patterson Cos., Inc. 599,893 38,567 Quest Diagnostics, Inc. 2,174,407 400,241 Tenet Healthcare Corp. (b) 2,773,670 49,262 UnitedHealth Group, Inc. 2,425,168 45,060 Universal Health Services, Inc., Class B 2,468,387 22,102 VCA Antech, Inc. (b) 543,709 42,734 WellPoint, Inc. 3,281,544 ------------ 54,225,787 ------------ HEALTH CARE TECHNOLOGY -- 4.6% 16,092 Cerner Corp. (b) 1,933,937 69,097 Emdeon, Inc., Class A (b) 1,082,059 54,407 SXC Health Solutions Corp. (b) 3,001,090 ------------ 6,017,086 ------------ INTERNET SOFTWARE & SERVICES -- 0.5% 10,413 WebMD Health Corp. (b) 602,600 ------------ LIFE SCIENCES TOOLS & SERVICES -- 6.4% 14,888 Bio-Rad Laboratories, Inc., Class A (b) 1,862,787 31,773 Illumina, Inc. (b) 2,255,247 21,231 Life Technologies Corp. (b) 1,171,951 42,384 PerkinElmer, Inc. 1,198,196 32,207 Thermo Fisher Scientific, Inc. (b) 1,932,098 ------------ 8,420,279 ------------ PHARMACEUTICALS -- 15.0% 22,697 Abbott Laboratories 1,181,152 67,688 Bristol-Myers Squibb Co. 1,902,033 84,776 Eli Lilly & Co. 3,137,560 46,888 Endo Pharmaceuticals Holdings, Inc. (b) 1,836,134 92,316 Forest Laboratories, Inc. (b) 3,061,198 37,577 Johnson & Johnson 2,469,560 24,552 Mylan, Inc. (b) 611,836 27,996 Perrigo Co. 2,529,719 88,089 Pfizer, Inc. 1,846,345 23,914 Warner Chilcott PLC, Class A 551,218 Page 10 See Notes to Quarterly Portfolio of Investments FIRST TRUST HEALTH CARE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) PHARMACEUTICALS (CONTINUED) 9,939 Watson Pharmaceuticals, Inc. (b) $ 616,417 ------------ 19,743,172 ------------ TOTAL COMMON STOCKS -- 99.9% 131,341,761 (Cost $116,311,750) MONEY MARKET FUND -- 0.1% 174,132 Morgan Stanley Institutional Treasury Money Market Fund - 0.01% (c) 174,132 (Cost $174,132) ------------ TOTAL INVESTMENTS -- 100.0% 131,515,893 (Cost $116,485,882) (d) NET OTHER ASSETS AND LIABILITIES -- (0.0)% (71,273) ------------ NET ASSETS -- 100.0% $131,444,620 ============ ================================================================================ (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 April 30, 2011. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of April 30, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $15,378,221 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $348,210. ---------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of April 30, 2011 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------------------------- Common Stocks* $131,341,761 $ -- $ -- Money Market Fund 174,132 -- -- ------------------------------------------ Total Investments $131,515,893 $ -- $ -- ========================================== * See Portfolio of Investments for industry breakout. Page 11 See Notes to Quarterly Portfolio of Investments FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 12.3% 16,425 Alliant Techsystems, Inc. $ 1,160,426 12,124 General Dynamics Corp. 882,870 11,665 Honeywell International, Inc. 714,248 3,685 ITT Corp. 212,956 14,822 L-3 Communications Holdings, Inc. 1,188,576 2,746 Lockheed Martin Corp. 217,620 18,501 Northrop Grumman Corp. 1,176,849 22,813 Raytheon Co. 1,107,571 18,079 Spirit AeroSystems Holdings, Inc., Class A (b) 444,743 25,419 Textron, Inc. 663,436 11,072 TransDigm Group, Inc. (b) 922,298 ------------ 8,691,593 ------------ AIR FREIGHT & LOGISTICS -- 2.4% 4,409 Expeditors International of Washington, Inc. 239,277 7,440 FedEx Corp. 711,785 34,396 UTI Worldwide, Inc. 770,814 ------------ 1,721,876 ------------ AIRLINES -- 2.3% 13,183 Copa Holdings SA, Class A 766,591 55,133 Southwest Airlines Co. 647,813 9,611 United Continental Holdings, Inc. (b) 219,323 ------------ 1,633,727 ------------ COMMERCIAL SERVICES & SUPPLIES -- 7.0% 11,062 Avery Dennison Corp. 461,728 15,334 Cintas Corp. 476,121 5,103 Copart, Inc. (b) 231,523 28,539 Corrections Corp. of America (b) 710,336 14,860 Iron Mountain, Inc. 473,291 36,803 R.R. Donnelley & Sons Co. 694,105 23,177 Republic Services, Inc. 732,857 5,237 Stericycle, Inc. (b) 478,033 7,681 Waste Connections, Inc. 236,344 12,435 Waste Management, Inc. 490,685 ------------ 4,985,023 ------------ COMPUTERS & PERIPHERALS -- 1.4% 31,334 Lexmark International, Inc., Class A (b) 1,010,522 ------------ CONSTRUCTION & ENGINEERING -- 7.4% 33,476 Aecom Technology Corp. (b) 912,556 22,830 Chicago Bridge & Iron Co. N.V. 925,528 12,603 Fluor Corp. 881,454 4,294 Jacobs Engineering Group, Inc. (b) 213,025 SHARES DESCRIPTION VALUE -------------------------------------------------------------- CONSTRUCTION & ENGINEERING (CONTINUED) 30,725 KBR, Inc. $ 1,178,918 25,200 URS Corp. (b) 1,127,700 ------------ 5,239,181 ------------ ELECTRICAL EQUIPMENT -- 10.3% 21,158 AMETEK, Inc. 974,114 3,409 Cooper Industries PLC 224,824 26,802 General Cable Corp. (b) 1,299,897 13,073 Hubbell, Inc., Class B 914,979 12,578 Regal-Beloit Corp. 953,287 12,259 Rockwell Automation, Inc. 1,068,127 8,053 Roper Industries, Inc. 696,504 19,516 Thomas & Betts Corp. (b) 1,131,342 ------------ 7,263,074 ------------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 6.0% 13,416 FLIR Systems, Inc. 472,512 12,334 Itron, Inc. (b) 671,340 35,413 National Instruments Corp. 1,074,430 22,961 Trimble Navigation Ltd. (b) 1,075,493 59,241 Vishay Precision Group, Inc. (b) 977,476 ------------ 4,271,251 ------------ ENERGY EQUIPMENT & SERVICES -- 1.3% 15,516 Tidewater, Inc. 923,357 ------------ INDUSTRIAL CONGLOMERATES -- 3.6% 20,842 Carlisle Cos., Inc. 1,032,513 11,019 General Electric Co. 225,338 25,917 Tyco International Ltd. 1,263,195 ------------ 2,521,046 ------------ IT SERVICES -- 1.7% 12,667 Accenture PLC, Class A 723,666 25,771 Booz Allen Hamilton Holding Corp., Class A (b) 498,411 ------------ 1,222,077 ------------ LIFE SCIENCES TOOLS & SERVICES -- 2.9% 15,547 Agilent Technologies, Inc. (b) 775,951 5,396 Mettler-Toledo International, Inc. (b) 1,011,210 2,540 Waters Corp. (b) 248,920 ------------ 2,036,081 ------------ MACHINERY -- 27.9% 4,017 AGCO Corp. (b) 231,299 7,616 Bucyrus International, Inc. 696,483 10,423 Caterpillar, Inc. 1,202,918 19,120 CNH Global N.V. (b) 923,496 Page 12 See Notes to Quarterly Portfolio of Investments FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 4,229 Cummins, Inc. $ 508,241 8,946 Danaher Corp. 494,177 11,976 Deere & Co. 1,167,660 7,572 Donaldson Co., Inc. 463,634 14,124 Dover Corp. 960,997 16,743 Eaton Corp. 896,253 11,898 Gardner Denver, Inc. 1,028,106 20,413 Graco, Inc. 1,021,262 13,154 Harsco Corp. 468,282 10,635 IDEX Corp. 498,994 4,572 Ingersoll-Rand PLC 230,886 4,697 Joy Global, Inc. 474,162 11,902 Kennametal, Inc. 502,502 15,282 Lincoln Electric Holdings, Inc. 1,200,860 53,040 Manitowoc (The) Co., Inc. 1,176,958 16,737 Navistar International Corp. (b) 1,163,556 13,116 Oshkosh Corp. (b) 415,253 12,089 Pall Corp. 706,481 12,256 Parker Hannifin Corp. 1,155,986 5,853 Pentair, Inc. 235,057 2,786 SPX Corp. 240,850 7,008 Toro (The) Co. 475,913 6,027 Trinity Industries, Inc. 218,177 13,691 Wabtec Corp. 977,264 ------------ 19,735,707 ------------ MARINE -- 1.3% 4,840 Alexander & Baldwin, Inc. 255,068 12,157 Kirby Corp. (b) 690,275 ------------ 945,343 ------------ OFFICE ELECTRONICS -- 1.2% 65,378 Xerox Corp. 659,664 5,628 Zebra Technologies Corp., Class A (b) 221,124 ------------ 880,788 ------------ OIL, GAS & CONSUMABLE FUELS -- 1.2% 37,475 Frontline Ltd. 828,572 ------------ PROFESSIONAL SERVICES -- 1.0% 5,763 FTI Consulting, Inc. (b) 229,944 8,374 Towers Watson & Co., Class A 480,332 ------------ 710,276 ------------ ROAD & RAIL -- 6.5% 17,720 Con-way, Inc. 689,662 20,439 J.B. Hunt Transport Services, Inc. 974,532 21,308 Kansas City Southern (b) 1,238,208 10,160 Landstar System, Inc. 481,584 3,195 Norfolk Southern Corp. 238,603 13,764 Ryder System, Inc. 736,374 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) ROAD & RAIL (CONTINUED) 2,247 Union Pacific Corp. $ 232,497 ------------ 4,591,460 ------------ TRADING COMPANIES & DISTRIBUTORS -- 2.1% 18,007 GATX Corp. 761,156 6,781 MSC Industrial Direct Co., Inc., Class A 485,452 1,606 W.W. Grainger, Inc. 243,469 ------------ 1,490,077 ------------ TOTAL COMMON STOCKS -- 99.8% 70,701,031 (Cost $63,172,841) MONEY MARKET FUND -- 0.2% 115,402 Morgan Stanley Institutional Treasury Money Market Fund - 0.01% (c) 115,402 (Cost $115,402) ------------ TOTAL INVESTMENTS -- 100.0% 70,816,433 (Cost $63,288,243) (d) NET OTHER ASSETS AND LIABILITIES -- 0.0% (30,976) ------------ NET ASSETS -- 100.0% $ 70,785,457 ============ ================================================================================ (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 April 30, 2011. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of April 30, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $7,870,050 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $341,860. Page 13 See Notes to Quarterly Portfolio of Investments FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) ---------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of April 30, 2011 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------------------------- Common Stocks* $70,701,031 $ -- $ -- Money Market Fund 115,402 -- -- ------------------------------------------ Total Investments $70,816,433 $ -- $ -- ========================================== * See Portfolio of Investments for industry breakout. Page 14 See Notes to Quarterly Portfolio of Investments FIRST TRUST MATERIALS ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS -- 99.9% BUILDING PRODUCTS -- 6.4% 82,816 Armstrong World Industries, Inc. $ 3,706,016 240,494 Lennox International, Inc. 11,690,413 275,289 Masco Corp. 3,694,379 585,600 Owens Corning, Inc. (b) 22,159,104 ------------ 41,249,912 ------------ CHEMICALS -- 38.5% 141,054 Albemarle Corp. 9,951,360 364,866 Ashland, Inc. 22,650,881 364,230 Cabot Corp. 16,335,715 380,007 Celanese Corp., Class A 18,969,949 92,432 CF Industries Holdings, Inc. 13,083,750 232,571 Cytec Industries, Inc. 13,647,266 223,330 Dow Chemical (The) Co. 9,154,297 306,727 E.I. du Pont de Nemours & Co. 17,419,026 212,185 Eastman Chemical Co. 22,756,841 99,262 FMC Corp. 8,762,849 202,980 International Flavors & Fragrances, Inc. 12,893,290 157,314 Lubrizol (The) Corp. 21,161,879 107,066 Mosaic (The) Co. 8,014,961 177,088 PPG Industries, Inc. 16,764,921 161,491 RPM International, Inc. 3,795,039 145,721 Scotts Miracle-Gro (The) Co., Class A 8,228,865 45,607 Sherwin-Williams (The) Co. 3,753,000 60,223 Sigma-Aldrich Corp. 4,250,539 431,199 Valspar (The) Corp. 16,950,433 ------------ 248,544,861 ------------ CONTAINERS & PACKAGING -- 16.6% 168,163 AptarGroup, Inc. 8,820,149 352,727 Ball Corp. 13,160,244 385,397 Bemis Co., Inc. 12,078,342 437,024 Crown Holdings, Inc. (b) 16,344,698 193,312 Greif, Inc., Class A 12,004,675 126,911 Owens-Illinois, Inc. (b) 3,765,450 437,692 Packaging Corp. of America 12,487,353 474,326 Sealed Air Corp. 12,223,381 232,670 Sonoco Products Co. 8,041,075 360,260 Temple-Inland, Inc. 8,476,918 ------------ 107,402,285 ------------ MACHINERY -- 6.2% 402,982 Timken (The) Co. 22,724,155 161,552 Valmont Industries, Inc. 17,011,426 ------------ 39,735,581 ------------ METALS & MINING -- 22.0% 242,842 AK Steel Holding Corp. 3,946,183 1,194,068 Alcoa, Inc. 20,299,156 311,222 Allegheny Technologies, Inc. 22,407,984 296,063 Carpenter Technology Corp. 15,176,189 SHARES DESCRIPTION VALUE -------------------------------------------------------------- METALS & MINING (CONTINUED) 214,449 Cliffs Natural Resources, Inc. $ 20,098,160 40,965 Compass Minerals International, Inc. 3,998,594 68,971 Freeport-McMoRan Copper & Gold, Inc. 3,795,474 183,179 Nucor Corp. 8,602,086 364,749 Reliance Steel & Aluminum Co. 20,648,441 259,356 Schnitzer Steel Industries, Inc., Class A 16,098,227 204,143 Steel Dynamics, Inc. 3,713,361 71,026 United States Steel Corp. 3,388,650 ------------ 142,172,505 ------------ PAPER & FOREST PRODUCTS -- 8.9% 229,620 Domtar Corp. 21,359,252 558,668 International Paper Co. 17,251,668 555,888 MeadWestvaco Corp. 18,727,867 ------------ 57,338,787 ------------ TRADING COMPANIES & DISTRIBUTORS -- 1.3% 130,049 Fastenal Co. 8,724,987 ------------ TOTAL COMMON STOCKS -- 99.9% 645,168,918 (Cost $573,711,407) MONEY MARKET FUND -- 0.1% 709,525 Morgan Stanley Institutional Treasury Money Market Fund - 0.01% (c) 709,525 (Cost $709,525) ------------ TOTAL INVESTMENTS -- 100.0% 645,878,443 (Cost $574,420,932) (d) NET OTHER ASSETS AND LIABILITIES -- 0.0% (191,817) ------------ NET ASSETS -- 100.0% $645,686,626 ============ ================================================================================ (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 April 30, 2011. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of April 30, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $74,352,313 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $2,894,802. Page 15 See Notes to Quarterly Portfolio of Investments FIRST TRUST MATERIALS ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) ---------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of April 30, 2011 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------------------------- Common Stocks* $645,168,918 $ -- $ -- Money Market Fund 709,525 -- -- ------------------------------------------ Total Investments $645,878,443 $ -- $ -- ========================================== * See Portfolio of Investments for industry breakout. Page 16 See Notes to Quarterly Portfolio of Investments FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 99.8% COMMUNICATIONS EQUIPMENT -- 13.0% 399,192 Brocade Communications Systems, Inc. (b) $ 2,494,950 157,616 Ciena Corp. (b) 4,451,076 108,104 EchoStar Corp., Class A (b) 4,008,496 16,499 Harris Corp. 876,592 196,340 JDS Uniphase Corp. (b) 4,091,726 58,342 Juniper Networks, Inc. (b) 2,236,249 78,915 Polycom, Inc. (b) 4,721,484 14,925 QUALCOMM, Inc. 848,337 780,862 Tellabs, Inc. 3,841,841 ------------ 27,570,751 ------------ COMPUTERS & PERIPHERALS -- 10.0% 7,046 Apple, Inc. (b) 2,453,629 56,399 Dell, Inc. (b) 874,748 23,078 Diebold, Inc. 780,036 92,468 EMC Corp. (b) 2,620,543 173,746 NCR Corp. (b) 3,441,908 35,511 SanDisk Corp. (b) 1,745,011 284,147 Seagate Technology 5,006,670 109,727 Western Digital Corp. (b) 4,367,135 ------------ 21,289,680 ------------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 15.5% 15,046 Amphenol Corp., Class A 841,222 97,701 Arrow Electronics, Inc. (b) 4,454,188 96,021 Avnet, Inc. (b) 3,487,483 274,428 AVX Corp. 4,475,920 198,338 Corning, Inc. 4,153,198 155,653 Ingram Micro, Inc., Class A (b) 2,915,381 160,224 Jabil Circuit, Inc. 3,178,844 97,732 Molex, Inc. 2,638,764 48,270 Tech Data Corp. (b) 2,564,585 230,649 Vishay Intertechnology, Inc. (b) 4,400,783 ------------ 33,110,368 ------------ INTERNET SOFTWARE & SERVICES -- 2.9% 52,984 IAC/InterActiveCorp (b) 1,913,252 22,600 VeriSign, Inc. 835,296 196,599 Yahoo!, Inc. (b) 3,489,632 ------------ 6,238,180 ------------ IT SERVICES -- 9.2% 113,462 Amdocs Ltd. (b) 3,488,957 30,160 Cognizant Technology Solutions Corp., Class A (b) 2,500,264 83,967 Computer Sciences Corp. 4,280,638 30,986 DST Systems, Inc. 1,527,920 78,555 Gartner, Inc. (b) 3,370,795 SHARES DESCRIPTION VALUE -------------------------------------------------------------- IT SERVICES (CONTINUED) 10,037 International Business Machines Corp. $ 1,712,111 48,423 Teradata Corp. (b) 2,707,814 ------------ 19,588,499 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 35.6% 190,313 Advanced Micro Devices, Inc. (b) 1,731,848 74,361 Altera Corp. 3,621,381 41,561 Analog Devices, Inc. 1,675,324 157,172 Applied Materials, Inc. 2,466,029 73,312 Atheros Communications (b) 3,288,776 240,160 Atmel Corp. (b) 3,674,448 78,940 Avago Technologies Ltd. 2,641,333 126,679 Cypress Semiconductor Corp. (b) 2,756,535 179,856 Fairchild Semiconductor International, Inc. (b) 3,771,580 202,862 Intel Corp. 4,704,370 99,013 International Rectifier Corp. (b) 3,421,889 69,102 KLA-Tencor Corp. 3,033,578 57,772 Lam Research Corp. (b) 2,790,965 95,900 Maxim Integrated Products, Inc. 2,621,906 126,288 MEMC Electronic Materials, Inc. (b) 1,493,987 43,059 Microchip Technology, Inc. 1,767,141 357,043 Micron Technology, Inc. (b) 4,031,016 114,134 National Semiconductor Corp. 2,752,912 88,160 Novellus Systems, Inc. (b) 2,829,936 88,661 NVIDIA Corp. (b) 1,773,220 165,824 ON Semiconductor Corp. (b) 1,742,810 218,225 PMC-Sierra, Inc. (b) 1,750,165 100,968 Skyworks Solutions, Inc. (b) 3,176,453 229,743 Teradyne, Inc. (b) 3,698,862 71,037 Texas Instruments, Inc. 2,523,945 84,071 Varian Semiconductor Equipment Associates, Inc. (b) 3,525,097 74,848 Xilinx, Inc. 2,609,201 ------------ 75,874,707 ------------ SOFTWARE -- 13.6% 149,197 Activision Blizzard, Inc. 1,699,354 24,679 Adobe Systems, Inc. (b) 827,981 15,101 ANSYS, Inc. (b) 834,934 55,657 Autodesk, Inc. (b) 2,503,452 16,452 BMC Software, Inc. (b) 826,384 67,688 CA, Inc. 1,664,448 251,798 Cadence Design Systems, Inc. (b) 2,613,663 11,140 Citrix Systems, Inc. (b) 939,548 Page 17 See Notes to Quarterly Portfolio of Investments FIRST TRUST TECHNOLOGY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 70,852 Compuware Corp. (b) $ 802,753 41,902 Electronic Arts, Inc. (b) 845,582 62,672 Informatica Corp. (b) 3,510,259 30,823 Intuit, Inc. (b) 1,712,526 33,111 MICROS Systems, Inc. (b) 1,722,434 96,807 Microsoft Corp. 2,518,918 41,838 Nuance Communications, Inc. (b) 866,047 49,047 Oracle Corp. 1,768,144 18,029 Red Hat, Inc. (b) 855,837 6,126 Salesforce.com, Inc. (b) 849,064 44,139 Symantec Corp. (b) 867,331 29,596 Synopsys, Inc. (b) 810,634 ------------ 29,039,293 ------------ TOTAL COMMON STOCKS -- 99.8% 212,711,478 (Cost $191,337,470) MONEY MARKET FUND -- 2.0% 4,157,538 Morgan Stanley Institutional Treasury Money Market Fund - 0.01% (c) 4,157,538 (Cost $4,157,538) ------------ TOTAL INVESTMENTS -- 101.8% 216,869,016 (Cost $195,495,008) (d) NET OTHER ASSETS AND LIABILITIES -- (1.8)% (3,796,249) ------------ NET ASSETS -- 100.0% $213,072,767 ============ ================================================================================ (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 April 30, 2011. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of April 30, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $23,108,458 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $1,734,450. ---------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of April 30, 2011 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------------------------- Common Stocks* $212,711,478 $ -- $ -- Money Market Fund 4,157,538 -- -- ------------------------------------------ Total Investments $216,869,016 $ -- $ -- ========================================== * See Portfolio of Investments for industry breakout. Page 18 See Notes to Quarterly Portfolio of Investments FIRST TRUST UTILITIES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 99.9% DIVERSIFIED TELECOMMUNICATION SERVICES -- 7.6% 57,087 AT&T, Inc. $ 1,776,547 42,042 CenturyLink, Inc. 1,714,473 38,639 Frontier Communications Corp. 319,544 216,060 Level 3 Communications, Inc. (b) 337,054 ------------ 4,147,618 ------------ ELECTRIC UTILITIES -- 38.1% 39,769 American Electric Power Co., Inc. 1,450,773 34,762 DPL, Inc. 1,052,941 52,497 Duke Energy Corp. 979,069 47,741 Edison International 1,874,789 25,991 Entergy Corp. 1,812,093 33,887 Exelon Corp. 1,428,337 37,678 FirstEnergy Corp. 1,505,613 87,255 Great Plains Energy, Inc. 1,795,708 25,353 NextEra Energy, Inc. 1,434,219 9,179 Northeast Utilities 326,772 93,854 NV Energy, Inc. 1,425,642 37,466 Pepco Holdings, Inc. 721,970 32,659 Pinnacle West Capital Corp. 1,417,074 37,661 PPL Corp. 1,033,041 20,651 Progress Energy, Inc. 979,890 52,895 Westar Energy, Inc. 1,439,273 ------------ 20,677,204 ------------ GAS UTILITIES -- 5.8% 17,539 AGL Resources, Inc. 728,044 20,491 Atmos Energy Corp. 714,931 15,095 Energen Corp. 981,326 21,238 UGI Corp. 707,225 ------------ 3,131,526 ------------ INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 4.8% 20,013 Calpine Corp. (b) 335,218 81,098 NRG Energy, Inc. (b) 1,962,572 12,539 Ormat Technologies, Inc. 312,221 ------------ 2,610,011 ------------ MULTI-UTILITIES -- 30.2% 24,475 Alliant Energy Corp. 967,741 24,893 Ameren Corp. 729,614 35,577 CMS Energy Corp. 704,425 13,776 Consolidated Edison, Inc. 718,005 31,264 Dominion Resources, Inc. 1,451,275 35,679 DTE Energy Co. 1,802,860 6,288 Integrys Energy Group, Inc. 329,240 41,481 MDU Resources Group, Inc. 990,981 72,861 NiSource, Inc. 1,417,146 6,282 OGE Energy Corp. 334,014 15,816 PG&E Corp. 728,801 55,438 Public Service Enterprise Group, Inc. 1,783,440 SHARES DESCRIPTION VALUE -------------------------------------------------------------- MULTI-UTILITIES (CONTINUED) 35,496 SCANA Corp. $ 1,473,794 5,937 Sempra Energy 327,129 16,930 TECO Energy, Inc. 326,241 35,030 Vectren Corp. 1,001,157 10,413 Wisconsin Energy Corp. 324,990 39,884 Xcel Energy, Inc. 970,378 ------------ 16,381,231 ------------ OIL, GAS & CONSUMABLE FUELS -- 1.8% 33,292 Southern Union Co. 995,431 ------------ WATER UTILITIES -- 1.4% 24,910 American Water Works Co., Inc. 731,856 ------------ WIRELESS TELECOMMUNICATION SERVICES -- 10.2% 107,565 MetroPCS Communications, Inc. (b) 1,810,319 7,622 NII Holdings, Inc. (b) 316,923 150,590 Sprint Nextel Corp. (b) 780,056 51,835 Telephone and Data Systems, Inc. 1,739,583 18,505 United States Cellular Corp. (b) 911,186 ------------ 5,558,067 ------------ TOTAL COMMON STOCKS -- 99.9% 54,232,944 (Cost $49,854,016) MONEY MARKET FUND -- 0.0% 11,113 Morgan Stanley Institutional Treasury Money Market Fund - 0.01% (c) 11,113 (Cost $11,113) ------------ TOTAL INVESTMENTS -- 99.9% 54,244,057 (Cost $49,865,129) (d) NET OTHER ASSETS AND LIABILITIES -- 0.1% 29,948 ------------ NET ASSETS -- 100.0% $ 54,274,005 ============ ================================================================================ (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 April 30, 2011. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of April 30, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $4,495,186 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $116,258. Page 19 See Notes to Quarterly Portfolio of Investments FIRST TRUST UTILITIES ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) ---------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of April 30, 2011 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------------------------- Common Stocks* $54,232,944 $ -- $ -- Money Market Fund 11,113 -- -- ------------------------------------------ Total Investments $54,244,057 $ -- $ -- ========================================== * See Portfolio of Investments for industry breakout. Page 20 See Notes to Quarterly Portfolio of Investments FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 2.4% 2,932 Boeing (The) Co. $ 233,915 11,325 General Dynamics Corp. 824,686 14,522 Honeywell International, Inc. 889,182 7,219 ITT Corp. 417,186 13,840 L-3 Communications Holdings, Inc. 1,109,830 2,696 Lockheed Martin Corp. 213,658 17,283 Northrop Grumman Corp. 1,099,372 21,306 Raytheon Co. 1,034,406 2,561 United Technologies Corp. 229,414 ------------ 6,051,649 ------------ AIR FREIGHT & LOGISTICS -- 0.5% 2,924 C.H. Robinson Worldwide, Inc. 234,446 4,323 Expeditors International of Washington, Inc. 234,609 6,951 FedEx Corp. 665,002 2,917 United Parcel Service, Inc., Class B 218,688 ------------ 1,352,745 ------------ AIRLINES -- 0.2% 51,488 Southwest Airlines Co. 604,984 ------------ AUTOMOBILES -- 0.5% 29,076 Ford Motor Co. (b) 449,806 20,406 Harley-Davidson, Inc. 760,327 ------------ 1,210,133 ------------ BEVERAGES -- 0.5% 10,688 Constellation Brands, Inc., Class A (b) 239,305 18,491 Molson Coors Brewing Co., Class B 901,436 ------------ 1,140,741 ------------ BIOTECHNOLOGY -- 1.1% 20,278 Amgen, Inc. (b) 1,152,804 5,907 Biogen Idec, Inc. (b) 575,046 11,442 Cephalon, Inc. (b) 878,746 5,107 Gilead Sciences, Inc. (b) 198,356 ------------ 2,804,952 ------------ CAPITAL MARKETS -- 1.9% 14,196 Ameriprise Financial, Inc. 881,004 14,513 Bank of New York Mellon (The) Corp. 420,297 8,103 Federated Investors, Inc., Class B 208,895 3,466 Franklin Resources, Inc. 447,530 4,104 Goldman Sachs Group (The), Inc. 619,745 16,961 Invesco Ltd. 421,820 34,766 Janus Capital Group, Inc. 423,102 6,007 Legg Mason, Inc. 223,160 23,803 Morgan Stanley 622,448 SHARES DESCRIPTION VALUE -------------------------------------------------------------- CAPITAL MARKETS (CONTINUED) 6,527 T. Rowe Price Group, Inc. $ 419,360 ------------ 4,687,361 CHEMICALS -- 2.7% 4,807 Air Products and Chemicals, Inc. 459,165 6,339 CF Industries Holdings, Inc. 897,285 11,484 Dow Chemical (The) Co. 470,729 15,773 E.I. du Pont de Nemours & Co. 895,749 10,913 Eastman Chemical Co. 1,170,419 7,657 FMC Corp. 675,960 10,438 International Flavors & Fragrances, Inc. 663,022 11,383 PPG Industries, Inc. 1,077,629 2,133 Praxair, Inc. 226,994 2,581 Sherwin-Williams (The) Co. 212,390 ------------ 6,749,342 ------------ COMMERCIAL BANKS -- 0.9% 65,290 Huntington Bancshares, Inc. 443,319 73,231 KeyCorp 634,913 2,450 M&T Bank Corp. 216,507 10,324 PNC Financial Services Group, Inc. 643,598 6,838 Wells Fargo & Co. 199,054 ------------ 2,137,391 ------------ COMMERCIAL SERVICES & SUPPLIES -- 1.7% 15,497 Avery Dennison Corp. 646,845 14,322 Cintas Corp. 444,698 20,823 Iron Mountain, Inc. 663,213 34,371 R.R. Donnelley & Sons Co. 648,237 21,647 Republic Services, Inc. 684,478 7,334 Stericycle, Inc. (b) 669,447 11,610 Waste Management, Inc. 458,131 ------------ 4,215,049 ------------ COMMUNICATIONS EQUIPMENT -- 2.2% 50,557 Cisco Systems, Inc. 887,781 21,851 Harris Corp. 1,160,943 52,006 JDS Uniphase Corp. (b) 1,083,805 20,605 Juniper Networks, Inc. (b) 789,790 7,907 QUALCOMM, Inc. 449,434 206,835 Tellabs, Inc. 1,017,628 ------------ 5,389,381 ------------ COMPUTERS & PERIPHERALS -- 2.1% 1,866 Apple, Inc. (b) 649,797 29,878 Dell, Inc. (b) 463,408 32,657 EMC Corp. (b) 925,499 26,454 Hewlett-Packard Co. 1,067,948 Page 21 See Notes to Quarterly Portfolio of Investments FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMPUTERS & PERIPHERALS (CONTINUED) 29,260 Lexmark International, Inc., Class A (b) $ 943,635 9,406 SanDisk Corp. (b) 462,211 17,438 Western Digital Corp. (b) 694,033 ------------ 5,206,531 ------------ CONSTRUCTION & ENGINEERING -- 0.4% 11,771 Fluor Corp. 823,264 9,664 Quanta Services, Inc. (b) 209,515 ------------ 1,032,779 ------------ CONSUMER FINANCE -- 0.5% 4,795 American Express Co. 235,339 16,687 Capital One Financial Corp. 913,279 ------------ 1,148,618 ------------ CONTAINERS & PACKAGING -- 0.9% 24,185 Ball Corp. 902,342 19,820 Bemis Co., Inc. 621,159 7,180 Owens-Illinois, Inc. (b) 213,031 24,392 Sealed Air Corp. 628,582 ------------ 2,365,114 ------------ DISTRIBUTORS -- 0.1% 4,041 Genuine Parts Co. 217,002 ------------ DIVERSIFIED CONSUMER SERVICES -- 0.2% 3,936 DeVry, Inc. 208,215 12,949 H&R Block, Inc. 223,888 ------------ 432,103 ------------ DIVERSIFIED FINANCIAL SERVICES -- 2.0% 147,124 Citigroup, Inc. (b) 675,299 718 CME Group, Inc. 212,363 14,106 JPMorgan Chase & Co. 643,657 28,871 Leucadia National Corp. 1,116,153 19,177 Moody's Corp. 750,588 33,555 NASDAQ OMX Group (The), Inc. (b) 909,340 18,490 NYSE Euronext 740,524 ------------ 5,047,924 ------------ DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.2% 35,419 AT&T, Inc. 1,102,239 26,085 CenturyLink, Inc. 1,063,747 52,741 Frontier Communications Corp. 436,168 11,249 Verizon Communications, Inc. 424,987 ------------ 3,027,141 ------------ SHARES DESCRIPTION VALUE -------------------------------------------------------------- ELECTRIC UTILITIES -- 4.4% 24,674 American Electric Power Co., Inc. $ 900,107 47,771 Duke Energy Corp. 890,929 29,621 Edison International 1,163,217 16,125 Entergy Corp. 1,124,235 21,024 Exelon Corp. 886,162 23,377 FirstEnergy Corp. 934,145 15,730 NextEra Energy, Inc. 889,846 12,529 Northeast Utilities 446,032 34,868 Pepco Holdings, Inc. 671,906 20,263 Pinnacle West Capital Corp. 879,212 34,271 PPL Corp. 940,054 18,792 Progress Energy, Inc. 891,680 11,375 Southern Co. 444,080 ------------ 11,061,605 ------------ ELECTRICAL EQUIPMENT -- 0.8% 3,710 Emerson Electric Co. 225,419 11,451 Rockwell Automation, Inc. 997,726 10,028 Roper Industries, Inc. 867,322 ------------ 2,090,467 ------------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.3% 3,985 Amphenol Corp., Class A 222,801 52,536 Corning, Inc. 1,100,104 18,790 FLIR Systems, Inc. 661,784 21,220 Jabil Circuit, Inc. 421,005 34,516 Molex, Inc. 931,932 ------------ 3,337,626 ------------ ENERGY EQUIPMENT & SERVICES -- 3.1% 14,760 Baker Hughes, Inc. 1,142,572 15,185 Cameron International Corp. (b) 800,553 4,589 FMC Technologies, Inc. (b) 213,297 21,746 Halliburton Co. 1,097,738 15,778 Helmerich & Payne, Inc. 1,046,712 14,270 Nabors Industries Ltd. (b) 437,233 8,203 National Oilwell Varco, Inc. 629,088 23,758 Noble Corp. 1,021,831 9,813 Rowan Cos., Inc. (b) 409,202 9,297 Schlumberger Ltd. 834,406 ------------ 7,632,632 ------------ FOOD & STAPLES RETAILING -- 2.1% 25,264 CVS Caremark Corp. 915,567 27,129 Kroger (The) Co. 659,506 36,834 Safeway, Inc. 895,435 15,650 Sysco Corp. 452,441 10,801 Walgreen Co. 461,419 16,659 Wal-Mart Stores, Inc. 915,912 Page 22 See Notes to Quarterly Portfolio of Investments FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) FOOD & STAPLES RETAILING (CONTINUED) 16,446 Whole Foods Market, Inc. $ 1,032,151 ------------ 5,332,431 ------------ FOOD PRODUCTS -- 2.7% 30,098 Archer-Daniels-Midland Co. 1,114,228 6,547 Campbell Soup Co. 219,914 18,253 ConAgra Foods, Inc. 446,286 65,029 Dean Foods Co. (b) 727,674 11,861 General Mills, Inc. 457,597 7,977 Hershey (The) Co. 460,353 31,144 Hormel Foods Corp. 915,945 6,073 J.M. Smucker (The) Co. 455,900 6,912 Kraft Foods, Inc., Class A 232,105 4,532 McCormick & Co., Inc. 222,612 24,535 Sara Lee Corp. 471,072 56,478 Tyson Foods, Inc., Class A 1,123,912 ------------ 6,847,598 ------------ GAS UTILITIES -- 0.2% 8,073 Nicor, Inc. 447,486 ------------ HEALTH CARE EQUIPMENT & SUPPLIES -- 1.5% 2,723 Becton, Dickinson & Co. 234,015 2,182 C. R. Bard, Inc. 232,929 4,173 Covidien PLC 232,394 4,983 Edwards Lifesciences Corp. (b) 430,282 650 Intuitive Surgical, Inc. (b) 227,305 22,034 Medtronic, Inc. 919,919 12,686 St. Jude Medical, Inc. 677,940 3,565 Stryker Corp. 210,335 7,163 Zimmer Holdings, Inc. (b) 467,386 ------------ 3,632,505 ------------ HEALTH CARE PROVIDERS & SERVICES -- 4.4% 28,956 Aetna, Inc. 1,198,199 27,397 AmerisourceBergen Corp. 1,113,414 5,270 Cardinal Health, Inc. 230,246 24,476 CIGNA Corp. 1,146,211 33,986 Coventry Health Care, Inc. (b) 1,096,728 10,140 DaVita, Inc. (b) 893,233 11,693 Express Scripts, Inc. (b) 663,461 12,398 Humana, Inc. (b) 943,736 2,352 Laboratory Corp. of America Holdings (b) 226,897 11,267 Quest Diagnostics, Inc. 635,234 116,383 Tenet Healthcare Corp. (b) 806,534 19,183 UnitedHealth Group, Inc. 944,379 15,530 WellPoint, Inc. 1,192,549 ------------ 11,090,821 ------------ SHARES DESCRIPTION VALUE -------------------------------------------------------------- HEALTH CARE TECHNOLOGY -- 0.3% 5,848 Cerner Corp. (b) $ 702,813 ------------ HOTELS, RESTAURANTS & LEISURE -- 1.5% 22,603 Carnival Corp. 860,496 4,412 Darden Restaurants, Inc. 207,232 23,465 Starbucks Corp. 849,198 6,815 Wyndham Worldwide Corp. 235,867 8,517 Wynn Resorts Ltd. 1,253,277 4,219 Yum! Brands, Inc. 226,307 ------------ 3,632,377 ------------ HOUSEHOLD DURABLES -- 1.2% 3,502 Fortune Brands, Inc. 227,910 9,259 Harman International Industries, Inc. 449,339 8,848 Leggett & Platt, Inc. 232,614 14,149 Stanley Black & Decker, Inc. 1,027,925 12,697 Whirlpool Corp. 1,094,228 ------------ 3,032,016 ------------ HOUSEHOLD PRODUCTS -- 0.4% 6,643 Kimberly-Clark Corp. 438,837 7,038 Procter & Gamble (The) Co. 456,766 ------------ 895,603 ------------ INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.6% 16,674 AES (The) Corp. (b) 220,764 50,317 NRG Energy, Inc. (b) 1,217,671 ------------ 1,438,435 ------------ INDUSTRIAL CONGLOMERATES -- 0.6% 4,636 3M Co. 450,665 10,811 General Electric Co. 221,085 19,367 Tyco International Ltd. 943,948 ------------ 1,615,698 ------------ INSURANCE -- 3.8% 16,751 ACE Ltd. 1,126,505 4,107 Aflac, Inc. 230,772 30,843 American International Group, Inc. (b) 960,759 5,628 Assurant, Inc. 223,432 17,678 Chubb (The) Corp. 1,152,429 6,608 Cincinnati Financial Corp. 209,341 32,196 Hartford Financial Services Group (The), Inc. 932,718 14,432 Lincoln National Corp. 450,711 5,031 Loews Corp. 222,672 6,750 Principal Financial Group, Inc. 227,813 10,259 Progressive (The) Corp. 225,083 10,560 Prudential Financial, Inc. 669,715 9,782 Torchmark Corp. 654,611 Page 23 See Notes to Quarterly Portfolio of Investments FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 18,221 Travelers (The) Cos., Inc. $ 1,153,025 24,773 Unum Group 655,989 17,623 XL Group PLC 430,354 ------------ 9,525,929 ------------ INTERNET & CATALOG RETAIL -- 1.1% 2,407 Amazon.com, Inc. (b) 472,976 4,567 Netflix, Inc. (b) 1,062,604 2,140 priceline.com, Inc. (b) 1,170,601 ------------ 2,706,181 ------------ INTERNET SOFTWARE & SERVICES -- 0.6% 6,984 eBay, Inc. (b) 240,250 5,987 VeriSign, Inc. 221,279 52,076 Yahoo!, Inc. (b) 924,349 ------------ 1,385,878 ------------ IT SERVICES -- 2.4% 4,225 Automatic Data Processing, Inc. 229,629 10,652 Cognizant Technology Solutions Corp., Class A (b) 883,051 22,242 Computer Sciences Corp. 1,133,897 13,262 Fidelity National Information Services, Inc. 438,972 3,456 Fiserv, Inc. (b) 211,887 2,658 International Business Machines Corp. 453,402 51,244 SAIC, Inc. (b) 891,646 17,101 Teradata Corp. (b) 956,288 36,087 Total System Services, Inc. 680,240 10,437 Western Union Co. 221,786 ------------ 6,100,798 ------------ LEISURE EQUIPMENT & PRODUCTS -- 0.3% 26,085 Mattel, Inc. 696,991 ------------ LIFE SCIENCES TOOLS & SERVICES -- 0.9% 14,522 Agilent Technologies, Inc. (b) 724,793 8,251 PerkinElmer, Inc. 233,256 11,706 Thermo Fisher Scientific, Inc. (b) 702,243 4,988 Waters Corp. (b) 488,824 ------------ 2,149,116 ------------ MACHINERY -- 4.1% 9,733 Caterpillar, Inc. 1,123,285 5,932 Cummins, Inc. 712,908 12,529 Danaher Corp. 692,102 11,186 Deere & Co. 1,090,635 13,189 Dover Corp. 897,380 15,639 Eaton Corp. 837,156 8,070 Illinois Tool Works, Inc. 471,369 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- MACHINERY (CONTINUED) 13,461 Ingersoll-Rand PLC $ 679,780 6,581 Joy Global, Inc. 664,352 4,140 PACCAR, Inc. 219,875 15,051 Pall Corp. 879,580 11,447 Parker Hannifin Corp. 1,079,681 14,436 Snap-on, Inc. 891,712 ------------ 10,239,815 ------------ MEDIA -- 3.8% 12,526 Cablevision Systems Corp., Class A 441,291 8,657 CBS Corp., Class B 218,330 26,306 Comcast Corp., Class A 690,269 13,895 DIRECTV, Class A (b) 675,158 71,163 Gannett Co., Inc. 1,071,715 86,223 Interpublic Group of Cos. (The), Inc. 1,013,120 5,502 McGraw-Hill (The) Cos., Inc. 222,666 49,377 News Corp., Class A 879,898 13,255 Omnicom Group, Inc. 652,014 9,116 Time Warner Cable, Inc. 712,233 18,215 Time Warner, Inc. 689,620 9,319 Viacom, Inc., Class B 476,760 15,091 Walt Disney (The) Co. 650,422 2,477 Washington Post (The) Co., Class B 1,079,724 ------------ 9,473,220 ------------ METALS & MINING -- 1.3% 12,281 Alcoa, Inc. 208,777 16,005 Allegheny Technologies, Inc. 1,152,360 11,028 Cliffs Natural Resources, Inc. 1,033,544 7,805 Freeport-McMoRan Copper & Gold, Inc. 429,509 8,037 United States Steel Corp. 383,446 ------------ 3,207,636 ------------ MULTILINE RETAIL -- 2.3% 19,965 Big Lots, Inc. (b) 820,761 12,671 Family Dollar Stores, Inc. 686,895 12,073 J. C. Penney Co., Inc. 464,207 16,347 Kohl's Corp. 861,650 35,740 Macy's, Inc. 854,543 9,660 Nordstrom, Inc. 459,333 7,868 Sears Holdings Corp. (b) 676,412 17,338 Target Corp. 851,296 ------------ 5,675,097 ------------ MULTI-UTILITIES -- 4.7% 23,166 Ameren Corp. 678,995 24,689 CenterPoint Energy, Inc. 459,215 33,111 CMS Energy Corp. 655,598 12,821 Consolidated Edison, Inc. 668,231 24,247 Dominion Resources, Inc. 1,125,546 Page 24 See Notes to Quarterly Portfolio of Investments FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) MULTI-UTILITIES (CONTINUED) 22,137 DTE Energy Co. $ 1,118,583 12,875 Integrys Energy Group, Inc. 674,135 45,206 NiSource, Inc. 879,257 19,626 PG&E Corp. 904,366 34,396 Public Service Enterprise Group, Inc. 1,106,519 22,023 SCANA Corp. 914,395 12,155 Sempra Energy 669,740 34,663 TECO Energy, Inc. 667,956 14,214 Wisconsin Energy Corp. 443,619 36,293 Xcel Energy, Inc. 883,009 ------------ 11,849,164 ------------ OFFICE ELECTRONICS -- 0.2% 61,060 Xerox Corp. 616,095 ------------ OIL, GAS & CONSUMABLE FUELS -- 8.7% 5,292 Anadarko Petroleum Corp. 417,751 8,278 Apache Corp. 1,104,037 8,184 Cabot Oil & Gas Corp. 460,596 32,333 Chesapeake Energy Corp. 1,088,652 10,089 Chevron Corp. 1,104,140 13,572 ConocoPhillips 1,071,238 12,126 CONSOL Energy, Inc. 655,895 44,419 Denbury Resources, Inc. (b) 1,002,537 9,448 Devon Energy Corp. 859,768 36,127 El Paso Corp. 701,225 7,317 EOG Resources, Inc. 826,162 4,343 EQT Corp. 228,485 10,306 Exxon Mobil Corp. 906,928 12,720 Hess Corp. 1,093,411 20,330 Marathon Oil Corp. 1,098,633 12,683 Massey Energy Co. 865,488 14,762 Murphy Oil Corp. 1,143,760 8,555 Newfield Exploration Co. (b) 605,694 6,728 Noble Energy, Inc. 647,705 6,224 Occidental Petroleum Corp. 711,341 12,049 Peabody Energy Corp. 805,114 8,507 Pioneer Natural Resources Co. 869,671 16,041 QEP Resources, Inc. 685,432 7,416 Range Resources Corp. 418,633 10,090 Southwestern Energy Co. (b) 442,547 7,975 Spectra Energy Corp. 231,594 9,509 Sunoco, Inc. 405,654 16,159 Tesoro Corp. (b) 438,232 29,076 Valero Energy Corp. 822,851 ------------ 21,713,174 ------------ PAPER & FOREST PRODUCTS -- 0.3% 21,547 International Paper Co. 665,371 ------------ SHARES DESCRIPTION VALUE -------------------------------------------------------------- PERSONAL PRODUCTS -- 0.3% 8,998 Estee Lauder (The) Cos., Inc., Class A $ 872,806 ------------ PHARMACEUTICALS -- 1.7% 16,403 Bristol-Myers Squibb Co. 460,924 33,555 Forest Laboratories, Inc. (b) 1,112,684 14,634 Johnson & Johnson 961,746 9,561 Mylan, Inc. (b) 238,260 21,345 Pfizer, Inc. 447,391 15,480 Watson Pharmaceuticals, Inc. (b) 960,070 ------------ 4,181,075 ------------ PROFESSIONAL SERVICES -- 0.1% 5,579 Equifax, Inc. 209,380 ------------ REAL ESTATE INVESTMENT TRUSTS -- 0.5% 3,842 Equity Residential 229,444 4,133 Health Care REIT, Inc. 222,231 35,246 Weyerhaeuser Co. 811,011 ------------ 1,262,686 ------------ REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.4% 40,593 CB Richard Ellis Group, Inc., Class A (b) 1,084,239 ------------ ROAD & RAIL -- 1.1% 13,789 CSX Corp. 1,085,056 6,258 Norfolk Southern Corp. 467,348 12,851 Ryder System, Inc. 687,529 4,409 Union Pacific Corp. 456,199 ------------ 2,696,132 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 5.3% 50,410 Advanced Micro Devices, Inc. (b) 458,731 24,621 Altera Corp. 1,199,043 11,009 Analog Devices, Inc. 443,773 55,509 Applied Materials, Inc. 870,936 2,695 First Solar, Inc. (b) 376,141 53,734 Intel Corp. 1,246,092 22,880 KLA-Tencor Corp. 1,004,432 127,507 LSI Corp. (b) 934,626 17,108 Microchip Technology, Inc. 702,112 94,574 Micron Technology, Inc. (b) 1,067,741 45,348 National Semiconductor Corp. 1,093,794 29,190 Novellus Systems, Inc. (b) 936,999 23,484 NVIDIA Corp. (b) 469,680 60,854 Teradyne, Inc. (b) 979,749 18,817 Texas Instruments, Inc. 668,568 19,826 Xilinx, Inc. 691,134 ------------ 13,143,551 ------------ Page 25 See Notes to Quarterly Portfolio of Investments FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE -- 1.8% 6,537 Adobe Systems, Inc. (b) $ 219,316 19,657 Autodesk, Inc. (b) 884,172 4,358 BMC Software, Inc. (b) 218,902 17,929 CA, Inc. 440,874 2,951 Citrix Systems, Inc. (b) 248,887 18,767 Compuware Corp. (b) 212,630 11,099 Electronic Arts, Inc. (b) 223,978 8,165 Intuit, Inc. (b) 453,648 19,487 Oracle Corp. 702,507 4,775 Red Hat, Inc. (b) 226,669 3,246 Salesforce.com, Inc. (b) 449,896 11,691 Symantec Corp. (b) 229,728 ------------ 4,511,207 ------------ SPECIALTY RETAIL -- 4.5% 11,079 Abercrombie & Fitch Co., Class A 784,393 1,585 AutoZone, Inc. (b) 447,572 37,737 Best Buy Co., Inc. 1,178,149 20,259 CarMax, Inc. (b) 702,987 48,126 GameStop Corp., Class A (b) 1,235,876 47,830 Gap (The), Inc. 1,111,569 5,849 Home Depot (The), Inc. 217,232 26,370 Limited Brands, Inc. 1,085,389 24,604 Lowe's Cos., Inc. 645,855 3,772 O'Reilly Automotive, Inc. (b) 222,774 72,206 RadioShack Corp. 1,141,577 12,191 Ross Stores, Inc. 898,355 33,485 Staples, Inc. 707,873 7,056 Tiffany & Co. 489,969 8,717 TJX (The) Cos., Inc. 467,406 ------------ 11,336,976 ------------ TEXTILES, APPAREL & LUXURY GOODS -- 0.7% 4,165 Coach, Inc. 249,109 7,012 Polo Ralph Lauren Corp. 916,959 6,600 VF Corp. 663,696 ------------ 1,829,764 ------------ THRIFTS & MORTGAGE FINANCE -- 0.3% 67,179 Hudson City Bancorp, Inc. 640,216 ------------ TOBACCO -- 0.4% 4,563 Lorillard, Inc. 485,960 3,303 Philip Morris International, Inc. 229,360 6,101 Reynolds American, Inc. 226,408 ------------ 941,728 ------------ TRADING COMPANIES & DISTRIBUTORS -- 0.4% 6,687 Fastenal Co. 448,631 SHARES DESCRIPTION VALUE -------------------------------------------------------------- TRADING COMPANIES & DISTRIBUTORS (CONTINUED) 3,149 W.W. Grainger, Inc. $ 477,388 ------------ 926,019 ------------ WIRELESS TELECOMMUNICATION SERVICES -- 0.8% 66,738 MetroPCS Communications, Inc. (b) 1,123,201 186,864 Sprint Nextel Corp. (b) 967,955 ------------ 2,091,156 ------------ TOTAL COMMON STOCKS -- 99.9% 249,342,453 (Cost $226,335,933) MONEY MARKET FUND -- 0.1% 238,376 Morgan Stanley Institutional Treasury Money Market Fund - 0.01% (c) 238,376 (Cost $238,376) ------------ TOTAL INVESTMENTS -- 100.0% 249,580,829 (Cost $226,574,309) (d) NET OTHER ASSETS AND LIABILITIES -- 0.0% (80,423) ------------ NET ASSETS -- 100.0% $249,500,406 ============ ================================================================================ (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 April 30, 2011. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of April 30, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $24,557,807 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $1,551,287. PAGE> FIRST TRUST LARGE CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) ---------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of April 30, 2011 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------------------------- Common Stocks* $249,342,453 $ -- $ -- Money Market Fund $238,376 -- -- ------------------------------------------ Total Investments $249,580,829 $ -- $ -- ========================================== * See Portfolio of Investments for industry breakout. Page 26 See Notes to Quarterly Portfolio of Investments FIRST TRUST MID CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 0.5% 18,303 Alliant Techsystems, Inc. $ 1,293,107 ------------ AIRLINES -- 1.1% 69,446 AirTran Holdings, Inc. (b) 521,539 16,318 Alaska Air Group, Inc. (b) 1,074,867 165,030 JetBlue Airways Corp. (b) 934,070 ------------ 2,530,476 ------------ AUTO COMPONENTS -- 0.9% 16,231 BorgWarner, Inc. (b) 1,253,682 25,654 Gentex Corp. 804,253 ------------ 2,057,935 ------------ AUTOMOBILES -- 0.2% 15,503 Thor Industries, Inc. 480,748 ------------ BEVERAGES -- 0.2% 8,590 Hansen Natural Corp. (b) 568,229 ------------ BIOTECHNOLOGY -- 0.5% 3,861 United Therapeutics Corp. (b) 258,532 16,193 Vertex Pharmaceuticals, Inc. (b) 890,939 ------------ 1,149,471 ------------ BUILDING PRODUCTS -- 0.2% 9,841 Lennox International, Inc. 478,371 ------------ CAPITAL MARKETS -- 0.6% 7,097 Affiliated Managers Group, Inc. (b) 774,141 10,832 SEI Investments Co. 241,879 12,740 Waddell & Reed Financial, Inc., Class A 522,467 ------------ 1,538,487 ------------ CHEMICALS -- 3.7% 8,658 Albemarle Corp. 610,822 17,915 Ashland, Inc. 1,112,163 22,354 Cabot Corp. 1,002,577 4,760 Cytec Industries, Inc. 279,317 7,723 Lubrizol (The) Corp. 1,038,898 15,101 Minerals Technologies, Inc. 1,026,868 8,175 NewMarket Corp. 1,506,816 11,287 Olin Corp. 290,527 10,902 RPM International, Inc. 256,197 4,470 Scotts Miracle-Gro (The) Co., Class A 252,421 21,655 Sensient Technologies Corp. 820,508 13,233 Valspar (The) Corp. 520,189 ------------ 8,717,303 ------------ COMMERCIAL BANKS -- 1.8% 5,411 Bank of Hawaii Corp. 264,003 6,396 Commerce Bancshares, Inc. 272,214 15,165 FirstMerit Corp. 264,932 23,284 Fulton Financial Corp. 271,957 42,313 International Bancshares Corp. 745,555 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMERCIAL BANKS (CONTINUED) 6,050 Prosperity Bancshares, Inc. $ 277,392 9,088 SVB Financial Group (b) 549,279 32,622 TCF Financial Corp. 508,577 22,091 Trustmark Corp. 513,395 24,144 Webster Financial Corp. 519,579 ------------ 4,186,883 ------------ COMMERCIAL SERVICES & SUPPLIES -- 2.2% 7,813 Brink's (The) Co. 257,907 13,111 Clean Harbors, Inc. (b) 1,291,434 11,941 Copart, Inc. (b) 541,763 31,807 Corrections Corp. of America (b) 791,676 29,242 Deluxe Corp. 791,873 28,230 Herman Miller, Inc. 734,545 12,743 Rollins, Inc. 267,221 17,970 Waste Connections, Inc. 552,937 ------------ 5,229,356 ------------ COMMUNICATIONS EQUIPMENT -- 2.1% 18,279 ADTRAN, Inc. 754,374 49,823 Ciena Corp. (b) 1,407,002 14,130 Plantronics, Inc. 523,799 24,946 Polycom, Inc. (b) 1,492,519 20,614 Riverbed Technology, Inc. (b) 724,376 ------------ 4,902,070 ------------ CONSTRUCTION & ENGINEERING -- 1.1% 37,315 Aecom Technology Corp. (b) 1,017,207 6,850 KBR, Inc. 262,835 28,087 URS Corp. (b) 1,256,893 ------------ 2,536,935 ------------ CONTAINERS & PACKAGING -- 2.2% 15,481 AptarGroup, Inc. 811,979 11,864 Greif, Inc., Class A 736,754 26,864 Packaging Corp. of America 766,430 18,649 Rock-Tenn Co., Class A 1,288,086 6,782 Silgan Holdings, Inc. 311,023 21,421 Sonoco Products Co. 740,310 22,110 Temple-Inland, Inc. 520,248 ------------ 5,174,830 ------------ DISTRIBUTORS -- 0.2% 21,467 LKQ Corp. (b) 541,398 ------------ DIVERSIFIED CONSUMER SERVICES -- 2.1% 56,930 Career Education Corp. (b) 1,241,643 3,587 ITT Educational Services, Inc. (b) 257,296 13,420 Matthews International Corp., Class A 538,679 Page 27 See Notes to Quarterly Portfolio of Investments FIRST TRUST MID CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) DIVERSIFIED CONSUMER SERVICES (CONTINUED) 72,911 Regis Corp. $ 1,239,487 70,169 Service Corp. International 825,889 19,671 Sotheby's 993,779 ------------ 5,096,773 ------------ ELECTRIC UTILITIES -- 3.6% 37,720 Cleco Corp. 1,323,972 37,749 DPL, Inc. 1,143,417 64,607 Great Plains Energy, Inc. 1,329,612 20,860 Hawaiian Electric Industries, Inc. 531,721 33,948 IDACORP, Inc. 1,331,101 86,866 NV Energy, Inc. 1,319,495 34,678 PNM Resources, Inc. 531,614 39,164 Westar Energy, Inc. 1,065,653 ------------ 8,576,585 ------------ ELECTRICAL EQUIPMENT -- 1.6% 8,845 Acuity Brands, Inc. 520,086 17,690 AMETEK, Inc. 814,448 10,926 Hubbell, Inc., Class B 764,711 10,512 Regal-Beloit Corp. 796,704 17,400 Thomas & Betts Corp. (b) 1,008,678 ------------ 3,904,627 ------------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 3.9% 30,886 Arrow Electronics, Inc. (b) 1,408,093 37,942 Avnet, Inc. (b) 1,378,053 61,504 Ingram Micro, Inc., Class A (b) 1,151,970 13,751 Itron, Inc. (b) 748,467 39,472 National Instruments Corp. 1,197,580 20,343 Tech Data Corp. (b) 1,080,824 20,472 Trimble Navigation Ltd. (b) 958,908 72,911 Vishay Intertechnology, Inc. (b) 1,391,142 ------------ 9,315,037 ------------ ENERGY EQUIPMENT & SERVICES -- 2.9% 16,716 Atwood Oceanics, Inc. (b) 751,050 32,706 Exterran Holdings, Inc. (b) 710,047 30,078 Helix Energy Solutions Group, Inc. (b) 569,377 8,677 Oceaneering International, Inc. (b) 758,543 17,602 Patterson-UTI Energy, Inc. 547,598 6,022 Pride International, Inc. (b) 264,426 31,549 Superior Energy Services, Inc. (b) 1,212,113 17,289 Tidewater, Inc. 1,028,868 16,701 Unit Corp. (b) 1,052,497 ------------ 6,894,519 ------------ SHARES DESCRIPTION VALUE -------------------------------------------------------------- FOOD & STAPLES RETAILING -- 0.9% 15,895 BJ's Wholesale Club, Inc. (b) $ 815,732 33,518 Ruddick Corp. 1,391,667 ------------ 2,207,399 ------------ FOOD PRODUCTS -- 2.6% 24,960 Corn Products International, Inc. 1,375,296 19,000 Flowers Foods, Inc. 580,640 20,019 Green Mountain Coffee Roasters, Inc. (b) 1,340,472 8,539 Lancaster Colony Corp. 521,819 15,120 Ralcorp Holdings, Inc. (b) 1,176,336 53,761 Smithfield Foods, Inc. (b) 1,266,609 ------------ 6,261,172 ------------ GAS UTILITIES -- 2.2% 19,480 AGL Resources, Inc. 808,615 30,343 Atmos Energy Corp. 1,058,667 16,393 Energen Corp. 1,065,709 3,496 National Fuel Gas Co. 256,257 29,649 Questar Corp. 520,933 23,587 UGI Corp. 785,447 19,899 WGL Holdings, Inc. 786,408 ------------ 5,282,036 ------------ HEALTH CARE EQUIPMENT & SUPPLIES -- 2.7% 9,343 Beckman Coulter, Inc. 774,067 14,901 Cooper (The) Cos., Inc. 1,116,085 20,433 Hill-Rom Holdings, Inc. 919,689 23,304 Hologic, Inc. (b) 513,154 3,351 IDEXX Laboratories, Inc. (b) 272,872 39,236 Immucor, Inc. (b) 856,522 9,507 Kinetic Concepts, Inc. (b) 561,198 15,630 Masimo Corp. 543,768 13,385 Teleflex, Inc. 843,389 ------------ 6,400,744 ------------ HEALTH CARE PROVIDERS & SERVICES -- 3.8% 19,405 Community Health Systems, Inc. (b) 596,316 94,930 Health Management Associates, Inc., Class A (b) 1,070,810 15,823 Health Net, Inc. (b) 526,906 11,059 Henry Schein, Inc. (b) 808,081 54,166 Kindred Healthcare, Inc. (b) 1,366,067 32,193 LifePoint Hospitals, Inc. (b) 1,339,551 8,721 Lincare Holdings, Inc. 274,014 7,963 Owens & Minor, Inc. 274,325 20,942 Universal Health Services, Inc., Class B 1,147,203 20,547 VCA Antech, Inc. (b) 505,456 Page 28 See Notes to Quarterly Portfolio of Investments FIRST TRUST MID CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 24,667 WellCare Health Plans, Inc. (b) $ 1,080,661 ------------ 8,989,390 ------------ HOTELS, RESTAURANTS & LEISURE -- 2.7% 39,675 Bob Evans Farms, Inc. 1,244,208 110,430 Boyd Gaming Corp. (b) 987,244 30,675 Brinker International, Inc. 738,961 4,751 Chipotle Mexican Grill, Inc. (b) 1,267,519 26,041 International Speedway Corp., Class A 796,855 8,149 Panera Bread Co., Class A (b) 986,925 102,857 Wendy's/Arby's Group, Inc., Class A 495,771 ------------ 6,517,483 ------------ HOUSEHOLD DURABLES -- 1.5% 54,808 American Greetings Corp., Class A 1,348,277 16,921 Mohawk Industries, Inc. (b) 1,015,937 344 NVR, Inc. (b) 254,329 12,997 Tupperware Brands Corp. 827,519 ------------ 3,446,062 ------------ HOUSEHOLD PRODUCTS -- 0.5% 3,260 Church & Dwight Co., Inc. 268,885 10,906 Energizer Holdings, Inc. (b) 823,730 ------------ 1,092,615 ------------ INDUSTRIAL CONGLOMERATES -- 0.1% 5,808 Carlisle Cos., Inc. 287,728 ------------ INSURANCE -- 6.5% 36,934 American Financial Group, Inc. 1,321,129 8,505 Arthur J. Gallagher & Co. 253,279 46,932 Aspen Insurance Holdings Ltd. 1,340,847 10,026 Brown & Brown, Inc. 259,172 14,669 Everest Re Group Ltd. 1,336,639 91,538 Fidelity National Financial, Inc., Class A 1,413,347 62,711 First American Financial Corp. 978,292 17,151 Hanover Insurance Group, Inc. 724,115 33,048 HCC Insurance Holdings, Inc. 1,075,382 19,835 Mercury General Corp. 788,243 29,231 Protective Life Corp. 786,606 16,483 Reinsurance Group of America, Inc. 1,043,374 22,438 StanCorp Financial Group, Inc. 967,078 26,574 Transatlantic Holdings, Inc. 1,309,833 25,130 Unitrin, Inc. 759,931 32,125 W. R. Berkley Corp. 1,047,596 ------------ 15,404,863 ------------ SHARES DESCRIPTION VALUE -------------------------------------------------------------- INTERNET SOFTWARE & SERVICES -- 1.1% 30,185 Rackspace Hosting, Inc. (b) $ 1,394,245 71,558 ValueClick, Inc. (b) 1,198,597 ------------ 2,592,842 ------------ IT SERVICES -- 3.1% 72,109 Acxiom Corp. (b) 1,049,907 15,060 Alliance Data Systems Corp. (b) 1,430,700 11,402 Broadridge Financial Solutions, Inc. 264,982 13,985 CoreLogic, Inc. (b) 257,464 24,486 DST Systems, Inc. 1,207,405 24,832 Gartner, Inc. (b) 1,065,541 22,899 Jack Henry & Associates, Inc. 777,879 30,507 ManTech International Corp., Class A (b) 1,338,952 ------------ 7,392,830 ------------ LEISURE EQUIPMENT & PRODUCTS -- 0.7% 14,862 Polaris Industries, Inc. 1,566,901 ------------ LIFE SCIENCES TOOLS & SERVICES -- 0.9% 6,461 Bio-Rad Laboratories, Inc., Class A (b) 808,400 4,513 Mettler-Toledo International, Inc. (b) 845,736 9,336 Pharmaceutical Product Development, Inc. 288,016 3,614 Techne Corp. 280,844 ------------ 2,222,996 ------------ MACHINERY -- 6.1% 18,825 AGCO Corp. (b) 1,083,943 5,659 Bucyrus International, Inc. 517,516 10,682 Crane Co. 533,139 8,442 Donaldson Co., Inc. 516,904 9,948 Gardner Denver, Inc. 859,607 22,747 Graco, Inc. 1,138,032 7,329 Harsco Corp. 260,912 11,852 IDEX Corp. 556,096 13,266 Kennametal, Inc. 560,090 13,630 Lincoln Electric Holdings, Inc. 1,071,045 22,481 Nordson Corp. 1,280,743 36,558 Oshkosh Corp. (b) 1,157,426 13,690 Pentair, Inc. 549,790 6,516 SPX Corp. 563,308 24,730 Timken (The) Co. 1,394,525 7,053 Trinity Industries, Inc. 255,319 9,913 Valmont Industries, Inc. 1,043,839 15,254 Wabtec Corp. 1,088,831 ------------ 14,431,065 ------------ Page 29 See Notes to Quarterly Portfolio of Investments FIRST TRUST MID CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) MARINE -- 0.5% 5,668 Alexander & Baldwin, Inc. $ 298,704 13,545 Kirby Corp. (b) 769,085 ------------ 1,067,789 ------------ MEDIA -- 1.5% 86,954 Harte-Hanks, Inc. 807,803 5,088 John Wiley & Sons, Inc., Class A 259,132 30,507 Meredith Corp. 1,019,544 27,316 New York Times (The) Co., Class A (b) 222,079 47,834 Scholastic Corp. 1,257,077 ------------ 3,565,635 ------------ METALS & MINING -- 0.9% 12,113 Carpenter Technology Corp. 620,912 2,765 Compass Minerals International, Inc. 269,892 8,955 Reliance Steel & Aluminum Co. 506,943 27,564 Steel Dynamics, Inc. 501,389 12,365 Worthington Industries, Inc. 266,713 ------------ 2,165,849 ------------ MULTILINE RETAIL -- 0.7% 39,597 99 Cents Only Stores (b) 798,276 4,660 Dollar Tree, Inc. (b) 267,950 45,745 Saks, Inc. (b) 547,110 ------------ 1,613,336 ------------ MULTI-UTILITIES -- 2.4% 26,578 Alliant Energy Corp. 1,050,894 30,943 Black Hills Corp. 1,075,269 45,050 MDU Resources Group, Inc. 1,076,244 11,182 NSTAR 517,727 15,349 OGE Energy Corp. 816,106 38,044 Vectren Corp. 1,087,298 ------------ 5,623,538 ------------ OFFICE ELECTRONICS -- 0.1% 6,594 Zebra Technologies Corp., Class A (b) 259,078 ------------ OIL, GAS & CONSUMABLE FUELS -- 3.2% 21,535 Arch Coal, Inc. 738,650 6,482 Bill Barrett Corp. (b) 270,494 11,223 Cimarex Energy Co. 1,241,152 16,723 Comstock Resources, Inc. (b) 536,139 13,676 Forest Oil Corp. (b) 491,105 19,377 Northern Oil And Gas, Inc. (b) 460,397 40,059 Patriot Coal Corp. (b) 1,008,686 21,421 Plains Exploration & Production Co. (b) 814,855 13,946 SM Energy Co. 1,057,944 SHARES DESCRIPTION VALUE -------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS (CONTINUED) 36,154 Southern Union Co. $ 1,081,005 ------------ 7,700,427 ------------ PERSONAL PRODUCTS -- 0.1% 6,939 Alberto-Culver Co. 259,102 ------------ PHARMACEUTICALS -- 0.8% 13,557 Endo Pharmaceuticals Holdings, Inc. (b) 530,892 16,147 Medicis Pharmaceutical Corp., Class A 572,573 9,759 Perrigo Co. 881,823 ------------ 1,985,288 ------------ PROFESSIONAL SERVICES -- 0.7% 6,407 Corporate Executive Board (The) Co. 255,319 13,499 FTI Consulting, Inc. (b) 538,610 11,615 Korn/Ferry International (b) 240,547 9,330 Towers Watson & Co., Class A 535,169 ------------ 1,569,645 ------------ REAL ESTATE INVESTMENT TRUSTS -- 1.1% 7,190 AMB Property Corp. 261,716 18,464 Duke Realty Corp. 281,576 6,083 Nationwide Health Properties, Inc. 266,435 12,870 Potlatch Corp. 497,940 8,304 Rayonier, Inc. 551,054 11,226 Senior Housing Properties Trust 266,281 3,438 SL Green Realty Corp. 283,738 4,828 Taubman Centers, Inc. 280,748 ------------ 2,689,488 ------------ REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.3% 7,781 Jones Lang LaSalle, Inc. 796,619 ------------ ROAD & RAIL -- 1.4% 17,085 J.B. Hunt Transport Services, Inc. 814,613 19,003 Kansas City Southern (b) 1,104,264 11,326 Landstar System, Inc. 536,852 29,321 Werner Enterprises, Inc. 767,331 ------------ 3,223,060 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 4.0% 75,917 Atmel Corp. (b) 1,161,530 40,044 Cypress Semiconductor Corp. (b) 871,358 71,069 Fairchild Semiconductor International, Inc. (b) 1,490,317 Page 30 See Notes to Quarterly Portfolio of Investments FIRST TRUST MID CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 70,200 Integrated Device Technology, Inc. (b) $ 571,077 39,124 International Rectifier Corp. (b) 1,352,125 18,261 Lam Research Corp. (b) 882,189 40,355 RF Micro Devices, Inc. (b) 268,764 31,019 Semtech Corp. (b) 870,703 31,919 Skyworks Solutions, Inc. (b) 1,004,172 26,574 Varian Semiconductor Equipment Associates, Inc. (b) 1,114,248 ------------ 9,586,483 ------------ SOFTWARE -- 3.2% 23,660 ACI Worldwide, Inc. (b) 781,726 4,775 ANSYS, Inc. (b) 264,010 79,595 Cadence Design Systems, Inc. (b) 826,196 4,666 Concur Technologies, Inc. (b) 270,021 2,470 FactSet Research Systems, Inc. 270,243 16,368 Fair Isaac Corp. 489,076 19,810 Informatica Corp. (b) 1,109,558 88,410 Mentor Graphics Corp. (b) 1,304,048 10,469 MICROS Systems, Inc. (b) 544,597 9,356 Synopsys, Inc. (b) 256,261 47,465 TIBCO Software, Inc. (b) 1,423,475 ------------ 7,539,211 ------------ SPECIALTY RETAIL -- 6.5% 51,002 Aaron's, Inc. 1,468,348 7,886 Advance Auto Parts, Inc. 516,218 65,120 American Eagle Outfitters, Inc. 1,013,267 35,545 Ann, Inc. (b) 1,109,359 39,909 Ascena Retail Group, Inc. (b) 1,248,753 112,595 Barnes & Noble, Inc. 1,237,419 52,086 Chico's FAS, Inc. 762,018 59,937 Collective Brands, Inc. (b) 1,258,677 25,881 Dick's Sporting Goods, Inc. (b) 1,059,309 52,474 Foot Locker, Inc. 1,129,240 4,654 J. Crew Group, Inc. (b) (c) - 167,615 Office Depot, Inc. (b) 722,421 6,319 PetSmart, Inc. 266,472 37,051 Rent-A-Center, Inc. 1,128,203 21,607 Tractor Supply Co. 1,336,825 25,551 Williams-Sonoma, Inc. 1,109,169 ------------ 15,365,698 ------------ TEXTILES, APPAREL & LUXURY GOODS -- 2.5% 12,009 Deckers Outdoor Corp. (b) 1,019,084 13,810 Fossil, Inc. (b) 1,322,722 9,568 Hanesbrands, Inc. (b) 311,055 3,980 Phillips-Van Heusen Corp. 280,232 31,326 Timberland (The) Co., Class A (b) 1,415,622 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- TEXTILES, APPAREL & LUXURY GOODS (CONTINUED) 19,006 Under Armour, Inc., Class A (b) $ 1,301,151 4,524 Warnaco Group (The), Inc. (b) 291,164 ------------ 5,941,030 ------------ THRIFTS & MORTGAGE FINANCE -- 0.6% 18,000 Astoria Financial Corp. 260,460 19,051 First Niagara Financial Group, Inc. 274,334 29,977 New York Community Bancorp, Inc. 497,618 29,839 Washington Federal, Inc. 480,110 ------------ 1,512,522 ------------ TOBACCO -- 0.5% 29,709 Universal Corp. 1,288,776 ------------ TRADING COMPANIES & DISTRIBUTORS -- 1.5% 20,072 GATX Corp. 848,443 7,556 MSC Industrial Direct Co., Inc., Class A 540,934 38,866 United Rentals, Inc. (b) 1,143,438 14,843 Watsco, Inc. 1,052,220 ------------ 3,585,035 ------------ WIRELESS TELECOMMUNICATION SERVICES -- 0.5% 38,380 Telephone and Data Systems, Inc. 1,288,033 ------------ TOTAL COMMON STOCKS -- 100.0% 237,894,908 (Cost $211,857,431) MONEY MARKET FUND -- 0.1% 246,046 Morgan Stanley Institutional Treasury Money Market Fund - 0.01% (d) 246,046 (Cost $246,046) ------------ TOTAL INVESTMENTS -- 100.1% 238,140,954 (Cost $212,103,477) (e) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (148,188) ------------ NET ASSETS -- 100.0% $237,992,766 ============ Page 31 See Notes to Quarterly Portfolio of Investments FIRST TRUST MID CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) ================================================================================ (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) This security is fair valued in accordance with procedures adopted by the Trust's Board of Trustees and in accordance with the Investment Company Act of 1940, as amended. (d) Represents annualized 7-day yield at April 30, 2011. (e) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of April 30, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $28,216,592 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $2,179,115. ---------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of April 30, 2011 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------------------------- Common Stocks* $237,894,908 $ -- $ -- Money Market Fund 246,046 -- -- ------------------------------------------ Total Investments $238,140,954 $ -- $ -- ========================================== * See Portfolio of Investments for industry breakout. Page 32 See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 2.1% 6,449 AAR Corp. $ 167,932 10,224 Aerovironment, Inc. (b) 292,917 1,936 American Science & Engineering, Inc. 170,562 1,983 Ceradyne, Inc. (b) 92,923 7,773 Cubic Corp. 420,364 10,175 Curtiss-Wright Corp. 338,319 3,792 Esterline Technologies Corp. (b) 272,265 5,841 Moog, Inc., Class A (b) 257,705 9,449 Orbital Sciences Corp. (b) 177,925 3,457 Teledyne Technologies, Inc. (b) 174,544 3,032 Triumph Group, Inc. 261,116 ------------ 2,626,572 ------------ AIR FREIGHT & LOGISTICS -- 0.4% 5,837 Forward Air Corp. 196,240 7,410 Hub Group, Inc., Class A (b) 298,475 ------------ 494,715 ------------ AIRLINES -- 0.4% 26,415 SkyWest, Inc. 436,640 ------------ AUTO COMPONENTS -- 1.0% 12,009 Drew Industries, Inc. 289,057 13,030 Spartan Motors, Inc. 88,083 25,853 Standard Motor Products, Inc. 368,405 17,431 Superior Industries International, Inc. 440,481 ------------ 1,186,026 ------------ BEVERAGES -- 0.1% 1,930 Boston Beer (The) Co., Inc., Class A (b) 181,922 ------------ BIOTECHNOLOGY -- 0.8% 24,969 ArQule, Inc. (b) 176,281 3,542 Cubist Pharmaceuticals, Inc. (b) 119,897 11,099 Emergent Biosolutions, Inc. (b) 257,608 7,956 Regeneron Pharmaceuticals, Inc. (b) 406,631 ------------ 960,417 ------------ BUILDING PRODUCTS -- 0.6% 2,016 A.O. Smith Corp. 88,643 5,434 AAON, Inc. 178,507 6,808 Griffon Corp. (b) 86,734 7,055 NCI Building Systems, Inc. (b) 87,341 4,554 Quanex Building Products Corp. 95,452 3,034 Simpson Manufacturing Co., Inc. 84,709 4,878 Universal Forest Products, Inc. 157,511 ------------ 778,897 ------------ CAPITAL MARKETS -- 1.1% 19,656 Investment Technology Group, Inc. (b) 336,314 SHARES DESCRIPTION VALUE -------------------------------------------------------------- CAPITAL MARKETS (CONTINUED) 4,315 Piper Jaffray Cos. (b) $ 154,693 36,604 Prospect Capital Corp. 443,274 7,471 Stifel Financial Corp. (b) 341,275 12,733 TradeStation Group, Inc. (b) 122,874 ------------ 1,398,430 ------------ CHEMICALS -- 3.3% 10,848 A. Schulman, Inc. 274,671 41,192 American Vanguard Corp. 367,433 4,299 Arch Chemicals, Inc. 166,242 4,765 Balchem Corp. 189,123 5,629 Calgon Carbon Corp. (b) 96,594 16,646 H.B. Fuller Co. 363,715 10,467 Koppers Holdings, Inc. 478,656 11,275 LSB Industries, Inc. (b) 454,946 12,231 OM Group, Inc. (b) 443,251 25,162 PolyOne Corp. 364,346 6,676 Quaker Chemical Corp. 301,622 4,932 Stepan Co. 354,956 9,321 STR Holdings, Inc. (b) 153,517 ------------ 4,009,072 ------------ COMMERCIAL BANKS -- 2.3% 2,045 Bank of the Ozarks, Inc. 91,064 2,528 City Holding Co. 86,205 4,663 Columbia Banking System, Inc. 87,944 11,049 Community Bank System, Inc. 276,446 13,049 First Commonwealth Financial Corp. 80,904 5,356 First Financial Bancorp 88,267 2,722 Hancock Holding Co. 88,900 6,619 Independent Bank Corp. 194,003 11,549 National Penn Bancshares, Inc. 94,817 7,844 NBT Bancorp, Inc. 177,274 8,338 Old National Bancorp 86,298 8,288 S&T Bancorp, Inc. 169,158 4,755 Signature Bank (b) 276,789 9,899 Simmons First National Corp., Class A 261,235 9,560 Susquehanna Bancshares, Inc. 88,143 2,151 Tompkins Financial Corp. 87,632 4,786 UMB Financial Corp. 201,538 7,814 Umpqua Holdings Corp. 90,721 3,371 United Bankshares, Inc. 88,185 4,865 Wintrust Financial Corp. 163,902 ------------ 2,779,425 ------------ COMMERCIAL SERVICES & SUPPLIES -- 2.4% 3,521 ABM Industries, Inc. 85,631 4,909 Consolidated Graphics, Inc. (b) 275,640 13,442 G&K Services, Inc., Class A 444,930 6,973 Geo Group (The), Inc. (b) 186,040 Page 33 See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMERCIAL SERVICES & SUPPLIES (CONTINUED) 10,169 Healthcare Services Group, Inc. $ 180,601 19,337 Interface, Inc., Class A 360,442 7,443 Mobile Mini, Inc. (b) 185,405 53,848 Standard Register (The) Co. 185,237 9,043 Sykes Enterprises, Inc. (b) 181,131 7,241 Tetra Tech, Inc. (b) 171,032 8,431 UniFirst Corp. 436,389 2,516 United Stationers, Inc. 181,303 3,734 Viad Corp. 92,641 ------------ 2,966,422 ------------ COMMUNICATIONS EQUIPMENT -- 3.0% 21,049 Arris Group, Inc. (b) 252,588 16,245 Bel Fuse, Inc., Class B 327,012 12,715 Black Box Corp. 444,262 16,444 Comtech Telecommunications Corp. 465,365 5,549 DG Fastchannel, Inc. (b) 203,038 25,394 Digi International, Inc. (b) 299,903 18,191 EMS Technologies, Inc. (b) 459,505 38,118 Harmonic, Inc. (b) 315,617 5,511 NETGEAR, Inc. (b) 230,084 4,586 Oplink Communications, Inc. (b) 90,803 44,033 Tekelec (b) 367,676 17,736 Tollgrade Communications, Inc. (b) 178,956 ------------ 3,634,809 ------------ COMPUTERS & PERIPHERALS -- 1.2% 35,956 Intevac, Inc. (b) 439,742 9,509 Stratasys, Inc. (b) 512,059 27,864 Super Micro Computer, Inc. (b) 475,360 ------------ 1,427,161 ------------ CONSTRUCTION & ENGINEERING -- 0.3% 10,310 Dycom Industries, Inc. (b) 153,206 10,025 Insituform Technologies, Inc., Class A (b) 253,733 ------------ 406,939 ------------ CONSUMER FINANCE -- 1.2% 7,764 Cash America International, Inc. 368,402 11,391 EZCORP, Inc., Class A (b) 358,702 9,263 First Cash Financial Services, Inc. (b) 363,480 5,484 World Acceptance Corp. (b) 372,638 ------------ 1,463,222 ------------ DISTRIBUTORS -- 0.3% 55,867 Audiovox Corp., Class A (b) 412,298 ------------ SHARES DESCRIPTION VALUE -------------------------------------------------------------- DIVERSIFIED CONSUMER SERVICES -- 0.6% 2,210 American Public Education, Inc. (b) $ 93,373 3,893 Coinstar, Inc. (b) 210,144 20,223 Corinthian Colleges, Inc. (b) 89,992 8,315 Hillenbrand, Inc. 190,580 1,354 Pre-Paid Legal Services, Inc. (b) 89,296 ------------ 673,385 ------------ DIVERSIFIED FINANCIAL SERVICES -- 0.2% 3,150 Portfolio Recovery Associates, Inc. (b) 284,319 ------------ DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.2% 16,341 General Communication, Inc., Class A (b) 187,922 6,060 Neutral Tandem, Inc. (b) 92,657 ------------ 280,579 ------------ ELECTRIC UTILITIES -- 1.4% 6,881 ALLETE, Inc. 278,612 19,190 Central Vermont Public Service Corp. 449,238 11,762 El Paso Electric Co. (b) 364,387 8,786 UIL Holdings Corp. 279,570 9,896 Unisource Energy Corp. 367,438 ------------ 1,739,245 ------------ ELECTRICAL EQUIPMENT -- 1.2% 5,881 AZZ, Inc. 257,470 7,141 Belden, Inc. 271,572 7,514 Brady Corp., Class A 283,353 3,672 Encore Wire Corp. 102,486 5,390 II-VI, Inc. (b) 311,811 4,533 Powell Industries, Inc. (b) 179,144 5,421 Vicor Corp. 90,585 ------------ 1,496,421 ------------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 5.9% 15,573 Agilysys, Inc. (b) 81,291 23,560 Benchmark Electronics, Inc. (b) 398,164 8,246 Brightpoint, Inc. (b) 83,449 7,953 Checkpoint Systems, Inc. (b) 167,490 6,328 Cognex Corp. 197,940 33,107 CTS Corp. 363,846 1,917 DTS, Inc. (b) 84,463 20,596 Electro Scientific Industries, Inc. (b) 338,804 11,173 FARO Technologies, Inc. (b) 482,338 26,244 Insight Enterprises, Inc. (b) 450,347 6,262 Littelfuse, Inc. 389,559 Page 34 See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS (CONTINUED) 19,059 LoJack Corp. (b) $ 87,290 16,897 Mercury Computer Systems, Inc. (b) 326,281 22,199 Methode Electronics, Inc. 274,380 5,887 MTS Systems Corp. 260,617 20,053 Newport Corp. (b) 375,593 2,382 OSI Systems, Inc. (b) 91,445 8,315 Park Electrochemical Corp. 265,831 7,649 Plexus Corp. (b) 279,112 44,324 Pulse Electronics Corp. 265,058 11,315 Rofin-Sinar Technologies, Inc. (b) 490,053 9,919 Rogers Corp. (b) 411,837 4,706 ScanSource, Inc. (b) 168,334 13,655 SYNNEX Corp. (b) 457,852 24,611 TTM Technologies, Inc. (b) 470,562 ------------ 7,261,936 ------------ ENERGY EQUIPMENT & SERVICES -- 3.2% 17,520 Basic Energy Services, Inc. (b) 538,565 9,449 Bristow Group, Inc. (b) 438,434 3,167 CARBO Ceramics, Inc. 509,697 5,557 Gulf Island Fabrication, Inc. 196,384 11,590 Hornbeck Offshore Services, Inc. (b) 338,776 28,176 ION Geophysical Corp. (b) 356,145 4,782 Lufkin Industries, Inc. 441,522 5,870 Oil States International, Inc. (b) 487,269 6,477 Pioneer Drilling Co. (b) 100,393 4,834 SEACOR Holdings, Inc. 477,744 ------------ 3,884,929 ------------ FOOD & STAPLES RETAILING -- 1.6% 9,174 Andersons (The), Inc. 455,489 4,584 Casey's General Stores, Inc. 178,913 11,780 Nash Finch Co. 438,452 30,219 Spartan Stores, Inc. 471,719 9,972 United Natural Foods, Inc. (b) 425,705 ------------ 1,970,278 ------------ FOOD PRODUCTS -- 2.8% 19,049 B&G Foods, Inc., Class A 344,406 4,091 Calavo Growers, Inc. 85,911 15,150 Cal-Maine Foods, Inc. 437,684 29,079 Darling International, Inc. (b) 470,207 6,408 Diamond Foods, Inc. 420,365 8,307 Hain Celestial Group (The), Inc. (b) 282,521 5,697 J & J Snack Foods Corp. 289,522 9,733 Sanderson Farms, Inc. 463,291 14,963 Seneca Foods Corp., Class A (b) 418,365 SHARES DESCRIPTION VALUE -------------------------------------------------------------- FOOD PRODUCTS (CONTINUED) 4,715 TreeHouse Foods, Inc. (b) $ 286,059 ------------ 3,498,331 ------------ GAS UTILITIES -- 1.0% 7,038 Laclede Group (The), Inc. 270,048 2,081 New Jersey Resources Corp. 91,106 5,813 Northwest Natural Gas Co. 268,793 5,890 Piedmont Natural Gas Co., Inc. 187,007 1,597 South Jersey Industries, Inc. 91,748 9,175 Southwest Gas Corp. 364,890 ------------ 1,273,592 ------------ HEALTH CARE EQUIPMENT & SUPPLIES -- 3.3% 3,099 Abaxis, Inc. (b) 90,026 4,131 American Medical Systems Holdings, Inc. (b) 121,865 4,742 Analogic Corp. 273,471 10,414 Cantel Medical Corp. 270,035 10,204 CONMED Corp. (b) 286,528 14,654 CryoLife, Inc. (b) 85,579 5,620 Cyberonics, Inc. (b) 199,903 13,513 Greatbatch, Inc. (b) 365,797 6,125 ICU Medical, Inc. (b) 276,299 1,885 Integra LifeSciences Holdings (b) 98,604 2,872 Invacare Corp. 94,489 13,668 Merit Medical Systems, Inc. (b) 318,738 10,641 Natus Medical, Inc. (b) 180,578 4,320 Neogen Corp. (b) 181,008 12,039 Palomar Medical Technologies, Inc. (b) 192,744 36,485 Symmetry Medical, Inc. (b) 363,026 3,993 West Pharmaceutical Services, Inc. 188,629 7,979 Zoll Medical Corp. (b) 452,250 ------------ 4,039,569 ------------ HEALTH CARE PROVIDERS & SERVICES -- 6.5% 6,646 Air Methods Corp. (b) 449,403 2,375 Almost Family, Inc. (b) 82,341 12,770 Amedisys, Inc. (b) 425,496 6,956 AMERIGROUP Corp. (b) 475,095 14,055 AmSurg Corp. (b) 377,517 3,983 Bio-Reference Laboratories, Inc. (b) 100,411 7,991 Catalyst Health Solutions, Inc. (b) 475,944 5,421 Centene Corp. (b) 196,403 2,684 Chemed Corp. 186,887 5,043 CorVel Corp. (b) 261,227 13,997 Ensign Group (The), Inc. 387,157 9,567 Gentiva Health Services, Inc. (b) 267,876 11,960 Healthspring, Inc. (b) 496,220 29,079 Healthways, Inc. (b) 492,017 4,368 HMS Holdings Corp. (b) 343,805 Page 35 See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 7,874 IPC Hospitalist (The) Co. (b) $ 408,346 11,918 LHC Group, Inc. (b) 353,011 9,106 Magellan Health Services, Inc. (b) 473,694 6,704 Molina Healthcare, Inc. (b) 288,272 5,540 MWI Veterinary Supply, Inc. (b) 460,762 39,068 PharMerica Corp. (b) 514,135 6,585 PSS World Medical, Inc. (b) 189,385 7,273 RehabCare Group, Inc. (b) 273,247 ------------ 7,978,651 ------------ HEALTH CARE TECHNOLOGY -- 0.5% 5,562 Computer Programs & Systems, Inc. 326,990 3,218 Quality Systems, Inc. 288,719 ------------ 615,709 ------------ HOTELS, RESTAURANTS & LEISURE -- 3.9% 422 Biglari Holdings, Inc. (b) 184,515 9,091 BJ's Restaurants, Inc. (b) 426,822 3,284 Buffalo Wild Wings, Inc. (b) 200,652 3,252 DineEquity, Inc. (b) 162,502 11,824 Jack in the Box, Inc. (b) 244,166 41,003 Marcus (The) Corp. 454,723 42,975 Monarch Casino & Resort, Inc. (b) 492,494 62,400 Multimedia Games, Inc. (b) 366,288 44,918 O'Charley's, Inc. (b) 293,764 8,467 Papa John's International, Inc. (b) 254,518 5,576 Peet's Coffee & Tea, Inc. (b) 259,173 13,126 Pinnacle Entertainment, Inc. (b) 182,189 9,969 Red Robin Gourmet Burgers, Inc. (b) 271,057 34,091 Ruby Tuesday, Inc. (b) 358,296 69,293 Ruth's Hospitality Group, Inc. (b) 340,229 16,739 Shuffle Master, Inc. (b) 182,957 5,261 Texas Roadhouse, Inc. 85,597 ------------ 4,759,942 ------------ HOUSEHOLD DURABLES -- 1.4% 13,756 Blyth, Inc. 648,458 15,202 Helen of Troy Ltd. (b) 473,086 37,440 La-Z-Boy, Inc. (b) 440,295 6,048 Universal Electronics, Inc. (b) 167,469 ------------ 1,729,308 ------------ HOUSEHOLD PRODUCTS -- 0.5% 48,527 Central Garden & Pet Co., Class A (b) 486,241 2,111 WD-40 Co. 87,606 ------------ 573,847 ------------ INDUSTRIAL CONGLOMERATES -- 0.4% 7,077 Standex International Corp. 258,735 SHARES DESCRIPTION VALUE -------------------------------------------------------------- INDUSTRIAL CONGLOMERATES (CONTINUED) 12,426 Tredegar Corp. $ 271,881 ------------ 530,616 ------------ INSURANCE -- 4.4% 12,129 AMERISAFE, Inc. (b) 270,841 11,643 Delphi Financial Group, Inc., Class A 371,994 8,653 Employers Holdings, Inc. 174,444 21,283 Horace Mann Educators Corp. 380,540 7,513 Infinity Property & Casualty Corp. 444,018 43,182 Meadowbrook Insurance Group, Inc. 442,184 24,241 National Financial Partners Corp. (b) 390,038 5,207 Navigators Group (The), Inc. (b) 269,879 18,759 Presidential Life Corp. 208,975 7,053 ProAssurance Corp. (b) 468,319 6,202 RLI Corp. 367,406 7,754 Safety Insurance Group, Inc. 363,042 20,668 Selective Insurance Group, Inc. 364,584 8,529 Stewart Information Services Corp. 86,484 18,599 Tower Group, Inc. 425,359 17,692 United Fire & Casualty Co. 350,302 ------------ 5,378,409 ------------ INTERNET & CATALOG RETAIL -- 0.3% 2,791 HSN, Inc. (b) 92,606 18,507 Nutrisystem, Inc. 278,345 ------------ 370,951 ------------ INTERNET SOFTWARE & SERVICES -- 2.0% 12,116 comScore, Inc. (b) 361,178 7,786 DealerTrack Holdings, Inc. (b) 174,873 30,966 InfoSpace, Inc. (b) 278,694 22,254 Knot (The), Inc. (b) 227,213 15,015 Liquidity Services, Inc. (b) 292,042 4,240 LogMeIn, Inc. (b) 182,617 7,443 Perficient, Inc. (b) 92,963 11,423 RightNow Technologies, Inc. (b) 413,284 70,886 United Online, Inc. 467,848 ------------ 2,490,712 ------------ IT SERVICES -- 2.0% 4,373 CACI International, Inc., Class A (b) 267,234 13,178 Cardtronics, Inc. (b) 280,033 4,483 CSG Systems International, Inc. (b) 95,219 2,334 Forrester Research, Inc. 92,216 5,099 Heartland Payment Systems, Inc. 101,776 4,762 iGATE Corp. 80,764 36,725 Integral Systems, Inc. (b) 458,695 Page 36 See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) IT SERVICES (CONTINUED) 3,304 MAXIMUS, Inc. $ 264,287 11,004 NCI, Inc., Class A (b) 270,808 9,225 TeleTech Holdings, Inc. (b) 183,301 6,897 Wright Express Corp. (b) 388,508 ------------ 2,482,841 ------------ LEISURE EQUIPMENT & PRODUCTS -- 1.4% 22,994 Arctic Cat, Inc. (b) 386,069 17,575 Brunswick Corp. 410,728 13,107 Callaway Golf Co. 92,798 23,098 JAKKS Pacific, Inc. (b) 485,982 15,566 Sturm, Ruger & Co., Inc. 370,159 ------------ 1,745,736 ------------ LIFE SCIENCES TOOLS & SERVICES -- 0.9% 17,157 Affymetrix, Inc. (b) 92,648 65,009 Cambrex Corp. (b) 341,947 1,514 Dionex Corp. (b) 179,182 26,407 eResearchTechnology, Inc. (b) 167,948 16,692 Kendle International, Inc. (b) 167,755 7,180 PAREXEL International Corp. (b) 199,317 ------------ 1,148,797 ------------ MACHINERY -- 3.5% 3,082 Actuant Corp., Class A 85,556 10,770 Albany International Corp., Class A 272,589 4,794 Astec Industries, Inc. (b) 185,911 2,169 Badger Meter, Inc. 82,227 12,843 Barnes Group, Inc. 317,736 3,946 Briggs & Stratton Corp. 93,086 6,015 Cascade Corp. 275,487 5,703 CIRCOR International, Inc. 259,087 3,979 CLARCOR, Inc. 179,811 2,461 EnPro Industries, Inc. (b) 98,637 4,686 ESCO Technologies, Inc. 171,883 9,297 John Bean Technologies Corp. 187,892 4,562 Kaydon Corp. 176,549 5,656 Lindsay Corp. 414,698 40,219 Lydall, Inc. (b) 392,135 7,323 Mueller Industries, Inc. 286,476 7,775 Robbins & Myers, Inc. 337,979 4,050 Toro (The) Co. 275,036 4,681 Watts Water Technologies, Inc., Class A 181,155 ------------ 4,273,930 ------------ MEDIA -- 0.4% 2,233 Arbitron, Inc. 86,372 SHARES DESCRIPTION VALUE -------------------------------------------------------------- MEDIA (CONTINUED) 45,145 E.W. Scripps (The) Co., Class A $ 428,878 ------------ 515,250 ------------ METALS & MINING -- 1.1% 9,937 AMCOL International Corp. 369,855 23,926 Century Aluminum Co. (b) 478,041 1,815 Kaiser Aluminum Corp. 90,950 10,954 Materion Corp. (b) 457,439 ------------ 1,396,285 ------------ MULTILINE RETAIL -- 0.7% 26,843 Fred's, Inc., Class A 374,728 91,212 Tuesday Morning Corp. (b) 456,060 ------------ 830,788 ------------ MULTI-UTILITIES -- 0.9% 15,458 Avista Corp. 376,402 5,306 CH Energy Group, Inc. 284,508 11,800 NorthWestern Corp. 384,090 ------------ 1,045,000 ------------ OIL, GAS & CONSUMABLE FUELS -- 2.2% 2,827 Contango Oil & Gas Co. (b) 175,048 14,293 GeoResources, Inc. (b) 414,783 12,363 Gulfport Energy Corp. (b) 420,836 21,082 Penn Virginia Corp. 325,928 9,309 Petroleum Development Corp. (b) 370,684 38,200 PetroQuest Energy, Inc. (b) 334,632 8,036 Stone Energy Corp. (b) 284,153 6,283 Swift Energy Co. (b) 246,231 2,201 World Fuel Services Corp. 87,116 ------------ 2,659,411 ------------ PAPER & FOREST PRODUCTS -- 1.9% 16,413 Buckeye Technologies, Inc. 462,190 4,393 Clearwater Paper Corp. (b) 344,763 5,349 Deltic Timber Corp. 362,662 26,030 KapStone Paper & Packaging Corp. (b) 452,401 12,206 Neenah Paper, Inc. 284,766 58,500 Wausau Paper Corp. 394,875 ------------ 2,301,657 ------------ PERSONAL PRODUCTS -- 0.1% 7,773 Prestige Brands Holdings, Inc. (b) 89,778 ------------ PHARMACEUTICALS -- 0.6% 18,609 Questcor Pharmaceuticals, Inc. (b) 381,485 17,967 ViroPharma, Inc. (b) 346,583 ------------ 728,068 ------------ PROFESSIONAL SERVICES -- 0.9% 6,011 Exponent, Inc. (b) 257,932 Page 37 See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) PROFESSIONAL SERVICES (CONTINUED) 5,885 Insperity, Inc. $ 178,257 8,235 Kelly Services, Inc., Class A (b) 157,371 35,791 Navigant Consulting, Inc. (b) 416,965 5,324 TrueBlue, Inc. (b) 74,962 ------------ 1,085,487 ------------ REAL ESTATE INVESTMENT TRUSTS -- 1.4% 4,644 Colonial Properties Trust 98,267 1,909 Entertainment Properties Trust 90,887 8,632 Extra Space Storage, Inc. 186,883 11,720 Getty Realty Corp. 297,805 2,302 Kilroy Realty Corp. 96,546 3,311 LaSalle Hotel Properties 93,172 38,241 Lexington Realty Trust 381,645 3,154 LTC Properties, Inc. 92,791 9,110 Post Properties, Inc. 369,866 ------------ 1,707,862 ------------ ROAD & RAIL -- 0.5% 5,090 Heartland Express, Inc. 87,802 9,287 Knight Transportation, Inc. 167,259 10,190 Old Dominion Freight Line, Inc. (b) 381,310 ------------ 636,371 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 6.7% 21,869 Advanced Energy Industries, Inc. (b) 309,446 23,673 ATMI, Inc. (b) 471,329 32,552 Brooks Automation, Inc. (b) 398,111 6,843 Cabot Microelectronics Corp. (b) 334,280 13,376 CEVA, Inc. (b) 409,038 29,098 Cohu, Inc. 419,302 7,899 Cymer, Inc. (b) 380,021 13,122 Diodes, Inc. (b) 449,035 10,604 FEI Co. (b) 344,206 4,205 Hittite Microwave Corp. (b) 270,760 38,949 Kopin Corp. (b) 187,345 47,801 Kulicke & Soffa Industries, Inc. (b) 433,077 19,893 Micrel, Inc. 254,829 4,316 Microsemi Corp. (b) 101,858 13,422 MKS Instruments, Inc. 380,916 43,099 Pericom Semiconductor Corp. (b) 391,770 40,854 Rudolph Technologies, Inc. (b) 462,059 13,805 Sigma Designs, Inc. (b) 176,152 3,625 Standard Microsystems Corp. (b) 98,419 8,024 Supertex, Inc. (b) 173,238 24,476 Tessera Technologies, Inc. (b) 483,646 27,696 TriQuint Semiconductor, Inc. (b) 381,374 15,202 Ultratech, Inc. (b) 475,975 7,033 Veeco Instruments, Inc. (b) 359,597 SHARES DESCRIPTION VALUE -------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 3,600 Volterra Semiconductor Corp. (b) $ 94,644 ------------ 8,240,427 ------------ SOFTWARE -- 3.5% 10,667 Bottomline Technologies, Inc. (b) 296,329 8,966 CommVault Systems, Inc. (b) 353,171 3,780 Ebix, Inc. (b) 86,373 16,150 Epicor Software Corp. (b) 201,875 12,450 EPIQ Systems, Inc. 177,164 11,546 Interactive Intelligence, Inc. (b) 432,051 5,908 JDA Software Group, Inc. (b) 193,605 5,464 Manhattan Associates, Inc. (b) 197,524 3,323 MicroStrategy, Inc., Class A (b) 469,540 9,816 NetScout Systems, Inc. (b) 251,191 3,073 Progress Software Corp. (b) 91,115 3,249 Sourcefire, Inc. (b) 86,488 12,862 Synchronoss Technologies, Inc. (b) 414,928 17,447 Take-Two Interactive Software, Inc. (b) 282,293 7,522 Taleo Corp., Class A (b) 272,823 58,808 THQ, Inc. (b) 237,584 3,770 Tyler Technologies, Inc. (b) 93,458 3,891 Websense, Inc. (b) 100,349 ------------ 4,237,861 ------------ SPECIALTY RETAIL -- 5.6% 29,996 Big 5 Sporting Goods Corp. 358,452 36,574 Brown Shoe Co., Inc. 462,661 4,425 Buckle (The), Inc. 201,293 10,722 Cabela's, Inc. (b) 273,840 14,594 Cato (The) Corp., Class A 372,293 7,175 Children's Place Retail Stores (The), Inc. (b) 381,495 13,794 Christopher & Banks Corp. 84,833 33,859 Coldwater Creek, Inc. (b) 103,270 13,509 Finish Line (The), Inc., Class A 290,308 8,894 Genesco, Inc. (b) 359,140 4,177 Group 1 Automotive, Inc. 179,778 20,223 Haverty Furniture Cos., Inc. 264,921 7,488 Hibbett Sports, Inc. (b) 282,897 47,046 Hot Topic, Inc. 315,679 5,270 Jos. A. Bank Clothiers, Inc. (b) 276,253 5,789 Kirkland's, Inc. (b) 87,356 12,262 Lithia Motors, Inc., Class A 223,046 13,213 Men's Wearhouse (The), Inc. 368,511 2,710 Monro Muffler Brake, Inc. 82,330 13,816 OfficeMax, Inc. (b) 137,607 21,099 Pep Boys-Manny, Moe & Jack (The) 289,056 25,521 Sonic Automotive, Inc., Class A 359,846 18,603 Stage Stores, Inc. 358,294 35,366 Stein Mart, Inc. 384,782 Page 38 See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP CORE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) SPECIALTY RETAIL (CONTINUED) 5,285 Vitamin Shoppe, Inc. (b) $ 206,221 6,764 Zumiez, Inc. (b) 190,136 ------------ 6,894,298 ------------ TEXTILES, APPAREL & LUXURY GOODS -- 2.2% 20,042 Crocs, Inc. (b) 403,045 12,484 Iconix Brand Group, Inc. (b) 305,733 9,386 Maidenform Brands, Inc. (b) 297,161 10,458 Oxford Industries, Inc. 359,232 12,992 Perry Ellis International, Inc. (b) 366,115 21,759 Skechers U.S.A., Inc., Class A (b) 414,509 5,714 Steven Madden, Ltd. (b) 303,699 7,193 Wolverine World Wide, Inc. 285,418 ------------ 2,734,912 ------------ THRIFTS & MORTGAGE FINANCE -- 0.4% 8,489 Brookline Bancorp, Inc. 78,268 6,056 Dime Community Bancshares, Inc. 93,626 12,079 Provident Financial Services, Inc. 175,387 15,074 TrustCo Bank Corp. NY 90,444 ------------ 437,725 ------------ TOBACCO -- 0.4% 111,179 Alliance One International, Inc. (b) 443,604 ------------ TRADING COMPANIES & DISTRIBUTORS -- 0.3% 5,375 Applied Industrial Technologies, Inc. 189,523 2,539 Kaman Corp. 94,451 3,880 Lawson Products, Inc. 85,476 ------------ 369,450 ------------ WATER UTILITIES -- 0.1% 4,985 American States Water Co. 174,026 ------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.5% 9,711 NTELOS Holdings Corp. 191,598 30,845 USA Mobility, Inc. 476,555 ------------ 668,153 ------------ TOTAL COMMON STOCKS -- 100.0% (Cost $110,846,818) 122,841,413 MONEY MARKET FUND -- 0.1% 78,911 Morgan Stanley Institutional Treasury Money Market Fund - 0.01% (c) 78,911 (Cost $78,911) DESCRIPTION VALUE -------------------------------------------------------------- TOTAL INVESTMENTS -- 100.1% $122,920,324 (Cost $110,925,729) (d) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (77,300) ------------ NET ASSETS -- 100.0% $122,843,024 ============ ================================================================================ (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 April 30, 2011. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of April 30, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $13,336,360 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $1,341,765. ---------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of April 30, 2011 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------------------------- Common Stocks* $122,841,413 $ -- $ -- Money Market Fund 78,911 -- -- ------------------------------------------ Total Investments $122,920,324 $ -- $ -- ========================================== * See Portfolio of Investments for industry breakout. Page 39 See Notes to Quarterly Portfolio of Investments FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 3.3% 14,222 General Dynamics Corp. $ 1,035,646 17,850 L-3 Communications Holdings, Inc. 1,431,391 3,386 Lockheed Martin Corp. 268,341 22,290 Northrop Grumman Corp. 1,417,867 21,404 Raytheon Co. 1,039,164 ------------ 5,192,409 ------------ AIR FREIGHT & LOGISTICS -- 0.5% 8,729 FedEx Corp. 835,103 ------------ AIRLINES -- 0.5% 64,657 Southwest Airlines Co. 759,720 ------------ BEVERAGES -- 0.9% 13,422 Constellation Brands, Inc., Class A (b) 300,518 23,221 Molson Coors Brewing Co., Class B 1,132,024 ------------ 1,432,542 ------------ BIOTECHNOLOGY -- 1.6% 26,152 Amgen, Inc. (b) 1,486,741 14,368 Cephalon, Inc. (b) 1,103,463 ------------ 2,590,204 ------------ CAPITAL MARKETS -- 1.7% 9,113 Bank of New York Mellon (The) 263,913 10,176 Federated Investors, Inc., Class B 262,337 5,153 Goldman Sachs Group (The), Inc. 778,155 43,658 Janus Capital Group, Inc. 531,318 7,542 Legg Mason, Inc. 280,185 19,927 Morgan Stanley 521,091 ------------ 2,636,999 ------------ CHEMICALS -- 0.5% 6,037 Air Products and Chemicals, Inc. 576,654 7,211 Dow Chemical (The) Co. 295,579 ------------ 872,233 ------------ COMMERCIAL BANKS -- 1.3% 40,995 Huntington Bancshares, Inc. 278,356 61,308 KeyCorp 531,540 3,077 M&T Bank Corp. 271,914 12,964 PNC Financial Services Group, Inc. 808,176 8,587 Wells Fargo & Co. 249,968 ------------ 2,139,954 ------------ SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES -- 2.3% 19,462 Avery Dennison Corp. $ 812,344 17,985 Cintas Corp. 558,434 43,162 R.R. Donnelley & Sons Co. 814,035 27,184 Republic Services, Inc. 859,558 14,580 Waste Management, Inc. 575,327 ------------ 3,619,698 ------------ COMMUNICATIONS EQUIPMENT -- 2.5% 63,488 Cisco Systems, Inc. 1,114,849 28,182 Harris Corp. 1,497,310 266,758 Tellabs, Inc. 1,312,449 ------------ 3,924,608 ------------ COMPUTERS & PERIPHERALS -- 2.0% 37,520 Dell, Inc. (b) 581,935 34,118 Hewlett-Packard Co. 1,377,344 37,738 Lexmark International, Inc., Class A (b) 1,217,050 ------------ 3,176,329 ------------ CONSUMER FINANCE -- 0.7% 20,955 Capital One Financial Corp. 1,146,867 ------------ CONTAINERS & PACKAGING -- 1.0% 24,889 Bemis Co., Inc. 780,021 9,016 Owens-Illinois, Inc. (b) 267,505 20,421 Sealed Air Corp. 526,249 ------------ 1,573,775 ------------ DIVERSIFIED CONSUMER SERVICES -- 0.2% 16,261 H&R Block, Inc. 281,153 ------------ DIVERSIFIED FINANCIAL SERVICES -- 3.2% 123,170 Citigroup, Inc. (b) 565,350 903 CME Group, Inc. 267,080 17,714 JPMorgan Chase & Co. 808,290 37,235 Leucadia National Corp. 1,439,505 42,137 NASDAQ OMX Group (The), Inc. (b) 1,141,913 23,219 NYSE Euronext 929,921 ------------ 5,152,059 ------------ DIVERSIFIED TELECOMMUNICATION SERVICES -- 2.1% 45,680 AT&T, Inc. 1,421,562 33,642 CenturyLink, Inc. 1,371,921 66,230 Frontier Communications Corp. 547,722 ------------ 3,341,205 ------------ Page 40 See Notes to Quarterly Portfolio of Investments FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRIC UTILITIES -- 8.3% 30,985 American Electric Power Co., Inc. $ 1,130,333 44,993 Duke Energy Corp. 839,119 38,202 Edison International 1,500,193 20,798 Entergy Corp. 1,450,037 26,402 Exelon Corp. 1,112,844 29,356 FirstEnergy Corp. 1,173,066 19,754 NextEra Energy, Inc. 1,117,484 15,734 Northeast Utilities 560,130 43,786 Pepco Holdings, Inc. 843,756 25,446 Pinnacle West Capital Corp. 1,104,102 32,277 PPL Corp. 885,358 17,699 Progress Energy, Inc. 839,818 14,285 Southern Co. 557,686 ------------ 13,113,926 ------------ DLECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.0% 67,756 Corning, Inc. 1,418,811 26,648 Jabil Circuit, Inc. 528,696 43,345 Molex, Inc. 1,170,315 ------------ 3,117,822 ------------ ENERGY EQUIPMENT & SERVICES -- 1.5% 17,920 Nabors Industries Ltd. (b) 549,069 30,640 Noble Corp. 1,317,826 12,323 Rowan Cos., Inc. (b) 513,869 ------------ 2,380,764 ------------ FOOD & STAPLES RETAILING -- 3.4% 31,726 CVS Caremark Corp. 1,149,750 34,068 Kroger (The) Co. 828,193 46,254 Safeway, Inc. 1,124,435 19,654 Sysco Corp. 568,197 13,563 Walgreen Co. 579,411 20,919 Wal-Mart Stores, Inc. 1,150,127 ------------ 5,400,113 ------------ FOOD PRODUCTS -- 3.6% 38,817 Archer-Daniels-Midland Co. 1,437,005 8,221 Campbell Soup Co. 276,144 22,923 ConAgra Foods, Inc. 560,467 81,662 Dean Foods Co. (b) 913,798 7,447 General Mills, Inc. 287,305 7,626 J.M. Smucker (The) Co. 572,484 5,691 McCormick & Co., Inc. 279,542 72,841 Tyson Foods, Inc., Class A 1,449,536 ------------ 5,776,281 ------------ GAS UTILITIES -- 0.4% 10,138 Nicor, Inc. 561,949 ------------ SHARES DESCRIPTION VALUE -------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.3% 3,419 Becton, Dickinson & Co. $ 293,829 5,241 Covidien PLC 291,871 20,753 Medtronic, Inc. 866,438 8,994 Zimmer Holdings, Inc. (b) 586,858 ------------ 2,038,996 ------------ HEALTH CARE PROVIDERS & SERVICES -- 4.6% 29,090 Aetna, Inc. 1,203,744 43,832 Coventry Health Care, Inc. (b) 1,414,459 15,568 Humana, Inc. (b) 1,185,036 14,148 Quest Diagnostics, Inc. 797,664 24,089 UnitedHealth Group, Inc. 1,185,902 20,029 WellPoint, Inc. 1,538,027 ------------ 7,324,832 ------------ HOTELS, RESTAURANTS & LEISURE -- 0.7% 28,384 Carnival Corp. 1,080,579 ------------ HOUSEHOLD DURABLES -- 1.1% 4,398 Fortune Brands, Inc. 286,222 11,110 Leggett & Platt, Inc. 292,082 12,756 Whirlpool Corp. 1,099,312 ------------ 1,677,616 ------------ HOUSEHOLD PRODUCTS -- 0.5% 4,170 Kimberly-Clark Corp. 275,470 8,838 Procter & Gamble (The) Co. 573,586 ------------ 849,056 ------------ INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 1.2% 20,939 AES (The) Corp. (b) 277,232 64,894 NRG Energy, Inc. (b) 1,570,435 ------------ 1,847,667 ------------ INDUSTRIAL CONGLOMERATES -- 1.1% 2,911 3M Co. 282,978 13,576 General Electric Co. 277,629 24,320 Tyco International Ltd. 1,185,357 ------------ 1,745,964 ------------ INSURANCE -- 7.1% 21,605 ACE Ltd. 1,452,936 39,778 American International Group, Inc. (b) 1,239,085 7,068 Assurant, Inc. 280,600 17,759 Chubb (The) Corp. 1,157,709 8,299 Cincinnati Financial Corp. 262,913 40,432 Hartford Financial Services Group (The), Inc. 1,171,315 18,123 Lincoln National Corp. 565,981 Page 41 See Notes to Quarterly Portfolio of Investments FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 6,317 Loews Corp. $ 279,591 8,477 Principal Financial Group, Inc. 286,099 12,882 Progressive (The) Corp. 282,631 8,841 Prudential Financial, Inc. 560,696 12,284 Torchmark Corp. 822,045 23,501 Travelers (The) Cos., Inc. 1,487,143 31,109 Unum Group 823,766 22,131 XL Group PLC 540,439 ------------ 11,212,949 ------------ INTERNET SOFTWARE & SERVICES -- 0.7% 65,395 Yahoo!, Inc. (b) 1,160,761 ------------ IT SERVICES -- 2.5% 28,685 Computer Sciences Corp. 1,462,361 8,327 Fidelity National Information Services, Inc. 275,624 4,340 Fiserv, Inc. (b) 266,085 64,351 SAIC, Inc. (b) 1,119,707 45,317 Total System Services, Inc. 854,226 ------------ 3,978,003 ------------ LEISURE EQUIPMENT & PRODUCTS -- 0.5% 32,756 Mattel, Inc. 875,240 ------------ LIFE SCIENCES TOOLS & SERVICES -- 0.6% 10,362 PerkinElmer, Inc. 292,934 9,800 Thermo Fisher Scientific, Inc. (b) 587,902 ------------ 880,836 ------------ MACHINERY -- 0.2% 5,067 Illinois Tool Works, Inc. 295,964 ------------ MEDIA -- 2.5% 91,780 Gannett Co., Inc. 1,382,207 6,909 McGraw-Hill (The) Cos., Inc. 279,607 22,874 Time Warner, Inc. 866,010 3,195 Washington Post (The) Co., Class B 1,392,700 ------------ 3,920,524 ------------ METALS & MINING -- 0.2% 15,422 Alcoa, Inc. 262,174 ------------ MULTILINE RETAIL -- 2.8% 15,160 J. C. Penney Co., Inc. 582,902 20,528 Kohl's Corp. 1,082,031 44,881 Macy's, Inc. 1,073,105 6,587 Sears Holdings Corp. (b) 566,284 21,772 Target Corp. 1,069,005 ------------ 4,373,327 ------------ SHARES DESCRIPTION VALUE -------------------------------------------------------------- MULTI-UTILITIES -- 8.7% 29,092 Ameren Corp. $ 852,687 31,003 CenterPoint Energy, Inc. 576,656 41,579 CMS Energy Corp. 823,264 16,100 Consolidated Edison, Inc. 839,132 24,358 Dominion Resources, Inc. 1,130,698 22,239 DTE Energy Co. 1,123,737 16,167 Integrys Energy Group, Inc. 846,504 56,769 NiSource, Inc. 1,104,157 18,484 PG&E Corp. 851,743 44,361 Public Service Enterprise Group, Inc. 1,427,093 27,656 SCANA Corp. 1,148,277 15,264 Sempra Energy 841,046 43,530 TECO Energy, Inc. 838,823 17,850 Wisconsin Energy Corp. 557,099 34,182 Xcel Energy, Inc. 831,648 ------------ 13,792,564 ------------ OFFICE ELECTRONICS -- 0.5% 76,678 Xerox Corp. 773,681 ------------ OIL, GAS & CONSUMABLE FUELS -- 8.0% 8,317 Apache Corp. 1,109,238 13,011 Chevron Corp. 1,423,924 17,503 ConocoPhillips 1,381,512 9,707 Exxon Mobil Corp. 854,216 16,404 Hess Corp. 1,410,088 26,220 Marathon Oil Corp. 1,416,929 19,039 Murphy Oil Corp. 1,475,142 7,815 Occidental Petroleum Corp. 893,176 13,429 QEP Resources, Inc. 573,821 10,015 Spectra Energy Corp. 290,836 11,941 Sunoco, Inc. 509,403 10,146 Tesoro Corp. (b) 275,159 36,513 Valero Energy Corp. 1,033,318 ------------ 12,646,762 ------------ PAPER & FOREST PRODUCTS -- 0.3% 18,039 International Paper Co. 557,044 ------------ PHARMACEUTICALS -- 2.2% 20,598 Bristol-Myers Squibb Co. 578,804 33,710 Forest Laboratories, Inc. (b) 1,117,824 18,377 Johnson & Johnson 1,207,736 26,805 Pfizer, Inc. 561,833 ------------ 3,466,197 ------------ PROFESSIONAL SERVICES -- 0.2% 7,007 Equifax, Inc. 262,973 ------------ REAL ESTATE INVESTMENT TRUSTS -- 0.6% 44,261 Weyerhaeuser Co. 1,018,446 ------------ Page 42 See Notes to Quarterly Portfolio of Investments FIRST TRUST LARGE CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) ROAD & RAIL -- 0.5% 16,139 Ryder System, Inc. $ 863,437 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.6% 69,302 Intel Corp. 1,607,113 37,965 National Semiconductor Corp. 915,716 ------------ 2,522,829 ------------ SOFTWARE -- 0.3% 22,515 CA, Inc. 553,644 ------------ SPECIALTY RETAIL -- 5.0% 48,670 Best Buy Co., Inc. 1,519,478 62,070 GameStop Corp., Class A (b) 1,593,958 61,686 Gap (The), Inc. 1,433,583 7,345 Home Depot (The), Inc. 272,793 30,897 Lowe's Cos., Inc. 811,046 93,125 RadioShack Corp. 1,472,306 42,050 Staples, Inc. 888,937 ------------ 7,992,101 ------------ THRIFTS & MORTGAGE FINANCE -- 0.3% 56,241 Hudson City Bancorp, Inc. 535,977 ------------ WIRELESS TELECOMMUNICATION SERVICES -- 0.6% 175,995 Sprint Nextel Corp. (b) 911,654 ------------ TOTAL COMMON STOCKS -- 99.9% 158,447,510 (Cost $147,444,473) MONEY MARKET FUND -- 1.0% 1,550,941 Morgan Stanley Institutional Treasury Money Market Fund - 0.01% (c) 1,550,941 (Cost $1,550,941) ------------ TOTAL INVESTMENTS -- 100.9% 159,998,451 (Cost $148,995,414) (d) NET OTHER ASSETS AND LIABILITIES -- (0.9)% (1,431,717) ------------ NET ASSETS -- 100.0% $158,566,734 ============ ================================================================================ (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 April 30, 2011. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of April 30, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $12,619,989 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $1,616,952. ---------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of April 30, 2011 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------------------------- Common Stocks* $158,447,510 $ -- $ -- Money Market Fund 1,550,941 -- -- ------------------------------------------ Total Investments $159,998,451 $ -- $ -- ========================================== * See Portfolio of Investments for industry breakout. Page 43 See Notes to Quarterly Portfolio of Investments FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 1.8% 3,191 Boeing (The) Co. $ 254,578 16,225 Honeywell International, Inc. 993,457 12,100 ITT Corp. 699,259 3,639 Rockwell Collins, Inc. 229,621 2,786 United Technologies Corp. 249,570 ------------ 2,426,485 ------------ AIR FREIGHT & LOGISTICS -- 0.9% 6,534 C.H. Robinson Worldwide, Inc. 523,896 9,661 Expeditors International of Washington, Inc. 524,302 3,173 United Parcel Service, Inc., Class B 237,880 ------------ 1,286,078 ------------ AUTOMOBILES -- 1.0% 32,487 Ford Motor Co. (b) 502,574 22,800 Harley-Davidson, Inc. 849,528 ------------ 1,352,102 ------------ BIOTECHNOLOGY -- 0.6% 6,600 Biogen Idec, Inc. (b) 642,510 5,557 Gilead Sciences, Inc. (b) 215,834 ------------ 858,344 ------------ CAPITAL MARKETS -- 1.8% 15,861 Ameriprise Financial, Inc. 984,334 3,873 Franklin Resources, Inc. 500,082 18,951 Invesco Ltd. 471,311 7,293 T. Rowe Price Group, Inc. 468,575 ------------ 2,424,302 ------------ CHEMICALS -- 4.9% 7,082 CF Industries Holdings, Inc. 1,002,457 17,624 E.I. du Pont de Nemours & Co. 1,000,867 12,193 Eastman Chemical Co. 1,307,699 8,555 FMC Corp. 755,235 15,550 International Flavors & Fragrances, Inc. 987,736 12,719 PPG Industries, Inc. 1,204,108 2,322 Praxair, Inc. 247,107 2,809 Sherwin-Williams (The) Co. 231,153 ------------ 6,736,362 ------------ COMMERCIAL SERVICES & SUPPLIES -- 1.1% 23,265 Iron Mountain, Inc. 740,990 8,194 Stericycle, Inc. (b) 747,949 ------------ 1,488,939 ------------ COMMUNICATIONS EQUIPMENT -- 1.9% 58,108 JDS Uniphase Corp. (b) 1,210,971 23,022 Juniper Networks, Inc. (b) 882,433 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMUNICATIONS EQUIPMENT (CONTINUED) 8,834 QUALCOMM, Inc. $ 502,125 ------------ 2,595,529 ------------ COMPUTERS & PERIPHERALS -- 2.2% 2,085 Apple, Inc. (b) 726,060 36,489 EMC Corp. (b) 1,034,098 10,510 SanDisk Corp. (b) 516,461 19,485 Western Digital Corp. (b) 775,503 ------------ 3,052,122 ------------ CONSTRUCTION & ENGINEERING -- 0.7% 13,152 Fluor Corp. 919,851 ------------ CONSUMER FINANCE -- 0.2% 5,217 American Express Co. 256,050 ------------ CONTAINERS & PACKAGING -- 0.7% 27,023 Ball Corp. 1,008,228 ------------ DIVERSIFIED CONSUMER SERVICES -- 0.2% 4,282 DeVry, Inc. 226,518 ------------ DIVERSIFIED FINANCIAL SERVICES -- 0.6% 21,427 Moody's Corp. 838,653 ------------ DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.3% 12,568 Verizon Communications, Inc. 474,819 ------------ ELECTRICAL EQUIPMENT -- 1.7% 4,036 Emerson Electric Co. 245,227 12,794 Rockwell Automation, Inc. 1,114,741 11,205 Roper Industries, Inc. 969,121 ------------ 2,329,089 ------------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.9% 8,906 Amphenol Corp., Class A 497,934 20,993 FLIR Systems, Inc. 739,374 ------------ 1,237,308 ------------ ENERGY EQUIPMENT & SERVICES -- 4.9% 16,491 Baker Hughes, Inc. 1,276,568 16,966 Cameron International Corp. (b) 894,447 10,254 FMC Technologies, Inc. (b) 476,606 24,297 Halliburton Co. 1,226,513 17,629 Helmerich & Payne, Inc. 1,169,508 9,166 National Oilwell Varco, Inc. 702,941 10,388 Schlumberger Ltd. 932,323 ------------ 6,678,906 ------------ Page 44 See Notes to Quarterly Portfolio of Investments FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) FOOD & STAPLES RETAILING -- 0.8% 18,376 Whole Foods Market, Inc. $ 1,153,278 ------------ FOOD PRODUCTS -- 1.7% 8,912 Hershey (The) Co. 514,311 34,798 Hormel Foods Corp. 1,023,409 7,520 Kraft Foods, Inc., Class A 252,522 27,413 Sara Lee Corp. 526,330 ------------ 2,316,572 ------------ HEALTH CARE EQUIPMENT & SUPPLIES -- 1.6% 2,376 C. R. Bard, Inc. 253,638 5,568 Edwards Lifesciences Corp. (b) 480,797 1,450 Intuitive Surgical, Inc. (b) 507,065 14,174 St. Jude Medical, Inc. 757,458 3,879 Stryker Corp. 228,861 ------------ 2,227,819 ------------ HEALTH CARE PROVIDERS & SERVICES -- 4.1% 30,611 AmerisourceBergen Corp. 1,244,031 27,348 CIGNA Corp. 1,280,707 11,329 DaVita, Inc. (b) 997,971 13,066 Express Scripts, Inc. (b) 741,365 2,561 Laboratory Corp. of America Holdings (b) 247,060 162,546 Tenet Healthcare Corp. (b) 1,126,444 ------------ 5,637,578 ------------ HEALTH CARE TECHNOLOGY -- 0.6% 6,534 Cerner Corp. (b) 785,256 ------------ HOTELS, RESTAURANTS & LEISURE -- 2.2% 4,800 Darden Restaurants, Inc. 225,456 26,218 Starbucks Corp. 948,829 7,413 Wyndham Worldwide Corp. 256,564 9,516 Wynn Resorts Ltd. 1,400,279 4,590 Yum! Brands, Inc. 246,208 ------------ 3,077,336 ------------ HOUSEHOLD DURABLES -- 1.4% 15,519 Harman International Industries, Inc. 753,137 15,809 Stanley Black & Decker, Inc. 1,148,524 ------------ 1,901,661 ------------ INTERNET & CATALOG RETAIL -- 2.2% 2,689 Amazon.com, Inc. (b) 528,389 5,102 Netflix, Inc. (b) 1,187,082 2,392 priceline.com, Inc. (b) 1,308,448 ------------ 3,023,919 ------------ INTERNET SOFTWARE & SERVICES -- 0.6% 7,597 eBay, Inc. (b) 261,337 SHARES DESCRIPTION VALUE -------------------------------------------------------------- INTERNET SOFTWARE & SERVICES (CONTINUED) 13,377 VeriSign, Inc. $ 494,414 ------------ 755,751 ------------ IT SERVICES -- 2.2% 4,596 Automatic Data Processing, Inc. 249,793 11,901 Cognizant Technology Solutions Corp., Class A (b) 986,593 2,970 International Business Machines Corp. 506,623 19,108 Teradata Corp. (b) 1,068,519 11,354 Western Union Co. 241,272 ------------ 3,052,800 ------------ LIFE SCIENCES TOOLS & SERVICES -- 1.2% 21,634 Agilent Technologies, Inc. (b) 1,079,753 5,574 Waters Corp. (b) 546,252 ------------ 1,626,005 ------------ MACHINERY -- 8.3% 10,875 Caterpillar, Inc. 1,255,084 6,628 Cummins, Inc. 796,553 14,000 Danaher Corp. 773,360 12,498 Deere & Co. 1,218,555 18,421 Dover Corp. 1,253,365 21,843 Eaton Corp. 1,169,256 15,040 Ingersoll-Rand PLC 759,520 7,353 Joy Global, Inc. 742,285 4,505 PACCAR, Inc. 239,260 16,816 Pall Corp. 982,727 12,790 Parker Hannifin Corp. 1,206,353 16,130 Snap-on, Inc. 996,350 ------------ 11,392,668 ------------ MEDIA -- 5.4% 20,993 Cablevision Systems Corp., Class A 739,583 39,190 Comcast Corp., Class A 1,028,346 15,525 DIRECTV, Class A (b) 754,360 96,338 Interpublic Group of Cos. (The), Inc. 1,131,971 55,169 News Corp., Class A 983,112 14,810 Omnicom Group, Inc. 728,504 10,185 Time Warner Cable, Inc. 795,754 10,412 Viacom, Inc., Class B 532,678 16,862 Walt Disney (The) Co. 726,752 ------------ 7,421,060 ------------ METALS & MINING -- 2.4% 17,882 Allegheny Technologies, Inc. 1,287,504 12,322 Cliffs Natural Resources, Inc. 1,154,818 8,720 Freeport-McMoRan Copper & Gold, Inc. 479,861 Page 45 See Notes to Quarterly Portfolio of Investments FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) METALS & MINING (CONTINUED) 8,980 United States Steel Corp. $ 428,436 ------------ 3,350,619 ------------ MULTILINE RETAIL -- 1.6% 22,307 Big Lots, Inc. (b) 917,041 14,158 Family Dollar Stores, Inc. 767,505 10,793 Nordstrom, Inc. 513,207 ------------ 2,197,753 ------------ OIL, GAS & CONSUMABLE FUELS -- 10.3% 8,869 Anadarko Petroleum Corp. 700,119 13,717 Cabot Oil & Gas Corp. 771,993 36,127 Chesapeake Energy Corp. 1,216,396 13,548 CONSOL Energy, Inc. 732,811 49,630 Denbury Resources, Inc. (b) 1,120,149 13,196 Devon Energy Corp. 1,200,836 53,821 El Paso Corp. 1,044,666 8,175 EOG Resources, Inc. 923,039 9,707 EQT Corp. 510,685 17,715 Massey Energy Co. 1,208,872 9,559 Newfield Exploration Co. (b) 676,777 10,024 Noble Energy, Inc. 965,010 13,463 Peabody Energy Corp. 899,598 9,505 Pioneer Natural Resources Co. 971,696 12,429 Range Resources Corp. 701,617 11,273 Southwestern Energy Co. (b) 494,434 ------------ 14,138,698 ------------ PERSONAL PRODUCTS -- 0.9% 12,567 Estee Lauder (The) Cos., Inc., Class A 1,218,999 ------------ PHARMACEUTICALS -- 1.0% 10,402 Mylan, Inc. (b) 259,218 17,296 Watson Pharmaceuticals, Inc. (b) 1,072,698 ------------ 1,331,916 ------------ REAL ESTATE INVESTMENT TRUSTS -- 0.9% 1,964 AvalonBay Communities, Inc. 248,662 4,180 Equity Residential 249,629 4,497 Health Care REIT, Inc. 241,804 13,391 Host Hotels & Resorts, Inc. 238,226 2,202 Simon Property Group, Inc. 252,217 ------------ 1,230,538 ------------ REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.9% 45,355 CB Richard Ellis Group, Inc., Class A (b) 1,211,432 ------------ ROAD & RAIL -- 1.6% 15,407 CSX Corp. 1,212,377 6,993 Norfolk Southern Corp. 522,237 SHARES DESCRIPTION VALUE -------------------------------------------------------------- ROAD & RAIL (CONTINUED) 4,926 Union Pacific Corp. $ 509,693 ------------ 2,244,307 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 9.3% 56,324 Advanced Micro Devices, Inc. (b) 512,548 27,509 Altera Corp. 1,339,688 18,450 Analog Devices, Inc. 743,720 62,021 Applied Materials, Inc. 973,109 4,517 First Solar, Inc. (b) 630,438 25,564 KLA-Tencor Corp. 1,122,260 142,467 LSI Corp. (b) 1,044,283 19,115 Microchip Technology, Inc. 784,480 105,669 Micron Technology, Inc. (b) 1,193,003 32,614 Novellus Systems, Inc. (b) 1,046,909 26,240 NVIDIA Corp. (b) 524,800 67,994 Teradyne, Inc. (b) 1,094,703 21,024 Texas Instruments, Inc. 746,983 29,536 Xilinx, Inc. 1,029,625 ------------ 12,786,549 ------------ SOFTWARE -- 3.3% 7,112 Adobe Systems, Inc. (b) 238,608 21,963 Autodesk, Inc. (b) 987,896 4,741 BMC Software, Inc. (b) 238,140 3,210 Citrix Systems, Inc. (b) 270,731 20,417 Compuware Corp. (b) 231,325 12,075 Electronic Arts, Inc. (b) 243,673 9,122 Intuit, Inc. (b) 506,818 21,773 Oracle Corp. 784,917 5,195 Red Hat, Inc. (b) 246,607 3,626 Salesforce.com, Inc. (b) 502,564 12,720 Symantec Corp. (b) 249,948 ------------ 4,501,227 ------------ SPECIALTY RETAIL -- 4.9% 16,504 Abercrombie & Fitch Co., Class A 1,168,483 2,657 AutoZone, Inc. (b) 750,284 4,885 Bed Bath & Beyond, Inc. (b) 274,146 22,635 CarMax, Inc. (b) 785,434 29,464 Limited Brands, Inc. 1,212,738 4,104 O'Reilly Automotive, Inc. (b) 242,382 17,027 Ross Stores, Inc. 1,254,720 7,884 Tiffany & Co. 547,465 9,740 TJX (The) Cos., Inc. 522,259 ------------ 6,757,911 ------------ TEXTILES, APPAREL & LUXURY GOODS -- 1.5% 4,532 Coach, Inc. 271,059 7,835 Polo Ralph Lauren Corp. 1,024,583 7,374 VF Corp. 741,529 ------------ 2,037,171 ------------ Page 46 See Notes to Quarterly Portfolio of Investments FIRST TRUST LARGE CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) TOBACCO -- 0.9% 5,098 Lorillard, Inc. $ 542,937 7,381 Philip Morris International, Inc. 512,537 6,637 Reynolds American, Inc. 246,299 ------------ 1,301,773 ------------ TRADING COMPANIES & DISTRIBUTORS -- 0.9% 11,207 Fastenal Co. 751,877 3,518 W.W. Grainger, Inc. 533,329 ------------ 1,285,206 ------------ WIRELESS TELECOMMUNICATION SERVICES -- 0.9% 74,567 MetroPCS Communications, Inc. (b) 1,254,963 ------------ TOTAL COMMON STOCKS -- 100.0% 137,410,450 (Cost $123,583,230) MONEY MARKET FUND -- 0.1% 74,110 Morgan Stanley Institutional Treasury Money Market Fund - 0.01% (c) 74,110 (Cost $74,110) ------------ TOTAL INVESTMENTS -- 100.1% 137,484,560 (Cost $123,657,340) (d) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (104,429) ------------ NET ASSETS -- 100.0% $137,380,131 ============ ================================================================================ (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 April 30, 2011. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of April 30, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $14,365,703 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $538,483. ---------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of April 30, 2011 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------------------------- Common Stocks* $137,410,450 $ -- $ -- Money Market Fund 74,110 -- -- ------------------------------------------ Total Investments $137,484,560 $ -- $ -- ========================================== * See Portfolio of Investments for industry breakout. Page 47 See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 2.4% 1,070 AAR Corp. $ 27,863 1,639 Alliant Techsystems, Inc. 115,795 218 Ceradyne, Inc. (b) 10,216 1,148 Curtiss-Wright Corp. 38,171 419 Esterline Technologies Corp. (b) 30,084 1,699 General Dynamics Corp. 123,721 2,132 L-3 Communications Holdings, Inc. 170,965 403 Lockheed Martin Corp. 31,938 646 Moog, Inc., Class A (b) 28,502 2,663 Northrop Grumman Corp. 169,393 2,557 Raytheon Co. 124,142 390 Teledyne Technologies, Inc. (b) 19,691 ------------ 890,481 ------------ AIR FREIGHT & LOGISTICS -- 0.3% 1,043 FedEx Corp. 99,784 ------------ AIRLINES -- 1.0% 6,220 AirTran Holdings, Inc. (b) 46,712 1,461 Alaska Air Group, Inc. (b) 96,236 14,782 JetBlue Airways Corp. (b) 83,666 2,981 SkyWest, Inc. 49,276 7,724 Southwest Airlines Co. 90,757 ------------ 366,647 ------------ AUTO COMPONENTS -- 0.2% 1,328 Drew Industries, Inc. 31,965 2,941 Spartan Motors, Inc. 19,881 2,918 Standard Motor Products, Inc. 41,582 ------------ 93,428 ------------ AUTOMOBILES -- 0.1% 1,389 Thor Industries, Inc. 43,073 ------------ BEVERAGES -- 0.5% 1,604 Constellation Brands, Inc., Class A (b) 35,914 2,774 Molson Coors Brewing Co., Class B 135,232 ------------ 171,146 ------------ BIOTECHNOLOGY -- 0.8% 3,124 Amgen, Inc. (b) 177,599 1,717 Cephalon, Inc. (b) 131,866 ------------ 309,465 ------------ BUILDING PRODUCTS -- 0.2% 750 Apogee Enterprises, Inc. 10,710 753 Griffon Corp. (b) 9,593 504 Quanex Building Products Corp. 10,564 336 Simpson Manufacturing Co., Inc. 9,381 550 Universal Forest Products, Inc. 17,760 ------------ 58,008 ------------ CAPITAL MARKETS -- 1.2% 1,089 Bank of New York Mellon (The) Corp. 31,538 SHARES DESCRIPTION VALUE -------------------------------------------------------------- CAPITAL MARKETS (CONTINUED) 1,216 Federated Investors, Inc., Class B $ 31,349 615 Goldman Sachs Group (The), Inc. 92,871 2,218 Investment Technology Group, Inc. (b) 37,950 5,216 Janus Capital Group, Inc. 63,479 901 Legg Mason, Inc. 33,472 2,381 Morgan Stanley 62,263 487 Piper Jaffray Cos. (b) 17,459 4,131 Prospect Capital Corp. 50,026 970 SEI Investments Co. 21,660 1,408 TradeStation Group, Inc. (b) 13,587 ------------ 455,654 ------------ CHEMICALS -- 2.2% 1,200 A. Schulman, Inc. 30,384 721 Air Products and Chemicals, Inc. 68,870 4,649 American Vanguard Corp. 41,469 485 Arch Chemicals, Inc. 18,755 1,605 Ashland, Inc. 99,639 2,002 Cabot Corp. 89,790 623 Calgon Carbon Corp. (b) 10,691 425 Cytec Industries, Inc. 24,939 861 Dow Chemical (The) Co. 35,292 1,879 H.B. Fuller Co. 41,056 1,353 Minerals Technologies, Inc. 92,004 1,011 Olin Corp. 26,023 1,380 OM Group, Inc. (b) 50,011 976 RPM International, Inc. 22,936 1,939 Sensient Technologies Corp. 73,469 557 Stepan Co. 40,087 1,546 STR Holdings, Inc. (b) 25,463 1,185 Valspar (The) Corp. 46,582 ------------ 837,460 ------------ COMMERCIAL BANKS -- 2.3% 485 Bank of Hawaii Corp. 23,663 226 Bank of the Ozarks, Inc. 10,064 280 City Holding Co. 9,548 516 Columbia Banking System, Inc. 9,732 573 Commerce Bancshares, Inc. 24,387 1,222 Community Bank System, Inc. 30,574 1,443 First Commonwealth Financial Corp. 8,947 591 First Financial Bancorp 9,740 1,358 FirstMerit Corp. 23,724 2,086 Fulton Financial Corp. 24,364 657 Glacier Bancorp, Inc. 9,875 301 Hancock Holding Co. 9,831 4,898 Huntington Bancshares, Inc. 33,257 747 Independent Bank Corp. 21,894 3,790 International Bancshares Corp. 66,780 7,324 KeyCorp 63,499 368 M&T Bank Corp. 32,520 Page 48 See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMERCIAL BANKS (CONTINUED) 885 NBT Bancorp, Inc. $ 20,001 922 Old National Bancorp 9,543 1,549 PNC Financial Services Group, Inc. 96,565 542 Prosperity Bancshares, Inc. 24,851 935 S&T Bancorp, Inc. 19,083 1,095 Simmons First National Corp., Class A 28,897 1,057 Susquehanna Bancshares, Inc. 9,745 2,922 TCF Financial Corp. 45,554 486 Tompkins Financial Corp. 19,800 1,979 Trustmark Corp. 45,992 540 UMB Financial Corp. 22,739 864 Umpqua Holdings Corp. 10,031 373 United Bankshares, Inc. 9,758 2,162 Webster Financial Corp. 46,526 1,026 Wells Fargo & Co. 29,867 549 Wintrust Financial Corp. 18,496 ------------ 869,847 ------------ COMMERCIAL SERVICES & SUPPLIES -- 2.1% 795 ABM Industries, Inc. 19,334 2,325 Avery Dennison Corp. 97,045 700 Brink's (The) Co. 23,107 2,149 Cintas Corp. 66,726 2,849 Corrections Corp. of America (b) 70,912 1,517 G&K Services, Inc., Class A 50,213 787 Geo Group (The), Inc. (b) 20,997 5,156 R.R. Donnelley & Sons Co. 97,242 3,248 Republic Services, Inc. 102,702 6,077 Standard Register (The) Co. 20,905 817 Tetra Tech, Inc. (b) 19,298 951 UniFirst Corp. 49,224 417 United Stationers, Inc. 30,049 413 Viad Corp. 10,246 1,610 Waste Connections, Inc. 49,540 1,742 Waste Management, Inc. 68,739 ------------ 796,279 ------------ COMMUNICATIONS EQUIPMENT -- 2.1% 2,328 Arris Group, Inc. (b) 27,936 1,833 Bel Fuse, Inc., Class B 36,898 1,435 Black Box Corp. 50,139 7,585 Cisco Systems, Inc. 133,193 1,856 Comtech Telecommunications Corp. 52,525 2,808 Digi International, Inc. (b) 33,162 2,053 EMS Technologies, Inc. (b) 51,859 3,367 Harris Corp. 178,889 1,265 Plantronics, Inc. 46,894 4,969 Tekelec (b) 41,491 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMUNICATIONS EQUIPMENT (CONTINUED) 31,869 Tellabs, Inc. $ 156,795 ------------ 809,781 ------------ COMPUTERS & PERIPHERALS -- 1.1% 4,482 Dell, Inc. (b) 69,516 4,076 Hewlett-Packard Co. 164,548 4,058 Intevac, Inc. (b) 49,629 4,508 Lexmark International, Inc., Class A (b) 145,383 ------------ 429,076 ------------ CONSTRUCTION & ENGINEERING -- 0.7% 3,342 Aecom Technology Corp. (b) 91,103 1,164 Dycom Industries, Inc. (b) 17,297 1,109 Insituform Technologies, Inc., Class A (b) 28,069 613 KBR, Inc. 23,521 2,516 URS Corp. (b) 112,591 ------------ 272,581 ------------ CONSUMER FINANCE -- 0.4% 2,503 Capital One Financial Corp. 136,989 ------------ CONTAINERS & PACKAGING -- 1.3% 1,387 AptarGroup, Inc. 72,748 2,973 Bemis Co., Inc. 93,174 1,063 Greif, Inc., Class A 66,012 1,077 Owens-Illinois, Inc. (b) 31,955 2,406 Packaging Corp. of America 68,643 2,440 Sealed Air Corp. 62,879 1,919 Sonoco Products Co. 66,321 1,980 Temple-Inland, Inc. 46,589 ------------ 508,321 ------------ DISTRIBUTORS -- 0.1% 6,305 Audiovox Corp., Class A (b) 46,531 ------------ DIVERSIFIED CONSUMER SERVICES -- 0.9% 5,099 Career Education Corp. (b) 111,209 2,237 Corinthian Colleges, Inc. (b) 9,955 1,943 H&R Block, Inc. 33,594 938 Hillenbrand, Inc. 21,499 1,202 Matthews International Corp., Class A 48,248 6,530 Regis Corp. 111,010 ------------ 335,515 ------------ DIVERSIFIED FINANCIAL SERVICES -- 1.6% 14,715 Citigroup, Inc. (b) 67,542 108 CME Group, Inc. 31,943 2,116 JPMorgan Chase & Co. 96,553 Page 49 See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- COMMON STOCKS (CONTINUED) DIVERSIFIED FINANCIAL SERVICES (CONTINUED) 4,448 Leucadia National Corp. $ 171,960 5,034 NASDAQ OMX Group (The), Inc. (b) 136,421 2,774 NYSE Euronext 111,099 ------------ 615,518 ------------ DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.1% 5,457 AT&T, Inc. 169,822 4,019 CenturyLink, Inc. 163,895 7,912 Frontier Communications Corp. 65,432 ------------ 399,149 ------------ ELECTRIC UTILITIES -- 6.6% 761 ALLETE, Inc. 30,813 3,702 American Electric Power Co., Inc. 135,049 2,166 Central Vermont Public Service Corp. 50,706 3,379 Cleco Corp. 118,603 2,536 DPL, Inc. 76,815 5,375 Duke Energy Corp. 100,244 4,564 Edison International 179,228 1,327 El Paso Electric Co. (b) 41,111 2,485 Entergy Corp. 173,254 3,154 Exelon Corp. 132,941 3,507 FirstEnergy Corp. 140,140 5,787 Great Plains Energy, Inc. 119,096 1,869 Hawaiian Electric Industries, Inc. 47,641 3,041 IDACORP, Inc. 119,238 2,360 NextEra Energy, Inc. 133,505 1,880 Northeast Utilities 66,928 6,224 NV Energy, Inc. 94,543 5,231 Pepco Holdings, Inc. 100,801 3,040 Pinnacle West Capital Corp. 131,906 3,106 PNM Resources, Inc. 47,615 3,856 PPL Corp. 105,770 2,114 Progress Energy, Inc. 100,309 1,707 Southern Co. 66,641 972 UIL Holdings Corp. 30,929 1,117 Unisource Energy Corp. 41,474 3,508 Westar Energy, Inc. 95,453 ------------ 2,480,753 ------------ ELECTRICAL EQUIPMENT -- 0.2% 650 AZZ, Inc. 28,457 831 Brady Corp., Class A 31,337 405 Encore Wire Corp. 11,304 512 Powell Industries, Inc. (b) 20,234 ------------ 91,332 ------------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 3.6% 1,722 Agilysys, Inc. (b) 8,989 SHARES DESCRIPTION VALUE -------------------------------------------------------------------------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS (CONTINUED) 2,766 Arrow Electronics, Inc. (b) $ 126,102 3,398 Avnet, Inc. (b) 123,415 2,659 Benchmark Electronics, Inc. (b) 44,937 912 Brightpoint, Inc. (b) 9,229 897 Checkpoint Systems, Inc. (b) 18,891 714 Cognex Corp. 22,334 8,095 Corning, Inc. 169,509 3,736 CTS Corp. 41,059 5,509 Ingram Micro, Inc., Class A (b) 103,184 2,962 Insight Enterprises, Inc. (b) 50,828 1,232 Itron, Inc. (b) 67,058 3,183 Jabil Circuit, Inc. 63,151 2,455 Methode Electronics, Inc. 30,344 5,178 Molex, Inc. 139,806 920 Park Electrochemical Corp. 29,412 846 Plexus Corp. (b) 30,870 531 ScanSource, Inc. (b) 18,994 1,541 SYNNEX Corp. (b) 51,670 1,822 Tech Data Corp. (b) 96,803 6,530 Vishay Intertechnology, Inc. (b) 124,592 ------------ 1,371,177 ------------ ENERGY EQUIPMENT & SERVICES -- 2.2% 1,066 Bristow Group, Inc. (b) 49,462 2,929 Exterran Holdings, Inc. (b) 63,589 627 Gulf Island Fabrication, Inc. 22,158 2,694 Helix Energy Solutions Group, Inc. (b) 50,997 1,308 Hornbeck Offshore Services, Inc. (b) 38,233 2,141 Nabors Industries Ltd. (b) 65,600 3,660 Noble Corp. 157,417 1,577 Patterson-UTI Energy, Inc. 49,061 716 Pioneer Drilling Co. (b) 11,098 539 Pride International, Inc. (b) 23,668 1,472 Rowan Cos., Inc. (b) 61,382 546 SEACOR Holdings, Inc. 53,961 1,549 Tidewater, Inc. 92,181 1,496 Unit Corp. (b) 94,278 ------------ 833,085 ------------ FOOD & STAPLES RETAILING -- 2.6% 1,424 BJ's Wholesale Club, Inc. (b) 73,080 517 Casey's General Stores, Inc. 20,178 3,790 CVS Caremark Corp. 137,350 4,070 Kroger (The) Co. 98,942 1,329 Nash Finch Co. 49,465 3,002 Ruddick Corp. 124,643 5,526 Safeway, Inc. 134,337 3,410 Spartan Stores, Inc. 53,230 2,348 Sysco Corp. 67,881 Page 50 See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) FOOD & STAPLES RETAILING (CONTINUED) 1,620 Walgreen Co. $ 69,206 2,499 Wal-Mart Stores, Inc. 137,395 ------------ 965,707 ------------ FOOD PRODUCTS -- 3.1% 4,637 Archer-Daniels-Midland Co. 171,662 1,710 Cal-Maine Foods, Inc. 49,402 982 Campbell Soup Co. 32,985 2,738 ConAgra Foods, Inc. 66,944 9,756 Dean Foods Co. (b) 109,170 1,702 Flowers Foods, Inc. 52,013 890 General Mills, Inc. 34,336 630 J & J Snack Foods Corp. 32,017 911 J.M. Smucker (The) Co. 68,389 765 Lancaster Colony Corp. 46,749 680 McCormick & Co., Inc. 33,402 1,354 Ralcorp Holdings, Inc. (b) 105,341 1,098 Sanderson Farms, Inc. 52,265 1,689 Seneca Foods Corp., Class A (b) 47,224 4,815 Smithfield Foods, Inc. (b) 113,441 8,702 Tyson Foods, Inc., Class A 173,170 ------------ 1,188,510 ------------ GAS UTILITIES -- 1.7% 1,745 AGL Resources, Inc. 72,435 2,718 Atmos Energy Corp. 94,831 1,468 Energen Corp. 95,435 778 Laclede Group (The), Inc. 29,852 231 New Jersey Resources Corp. 10,113 1,211 Nicor, Inc. 67,126 643 Northwest Natural Gas Co. 29,732 665 Piedmont Natural Gas Co., Inc. 21,114 2,656 Questar Corp. 46,666 1,035 Southwest Gas Corp. 41,162 2,113 UGI Corp. 70,363 1,782 WGL Holdings, Inc. 70,424 ------------ 649,253 ------------ HEALTH CARE EQUIPMENT & SUPPLIES -- 1.8% 407 Becton, Dickinson & Co. 34,978 1,129 CONMED Corp. (b) 31,702 626 Covidien PLC 34,862 1,621 CryoLife, Inc. (b) 9,467 1,525 Greatbatch, Inc. (b) 41,282 1,830 Hill-Rom Holdings, Inc. 82,368 677 ICU Medical, Inc. (b) 30,539 3,514 Immucor, Inc. (b) 76,711 318 Invacare Corp. 10,462 2,479 Medtronic, Inc. 103,498 4,117 Symmetry Medical, Inc. (b) 40,964 1,199 Teleflex, Inc. 75,549 450 West Pharmaceutical Services, Inc. 21,258 SHARES DESCRIPTION VALUE -------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 1,074 Zimmer Holdings, Inc. (b) $ 70,079 ------------ 663,719 ------------ HEALTH CARE PROVIDERS & SERVICES -- 4.5% 3,475 Aetna, Inc. 143,796 1,441 Amedisys, Inc. (b) 48,014 1,586 AmSurg Corp. (b) 42,600 612 Centene Corp. (b) 22,173 1,738 Community Health Systems, Inc. (b) 53,409 5,236 Coventry Health Care, Inc. (b) 168,966 1,263 Cross Country Healthcare, Inc. (b) 9,371 1,058 Gentiva Health Services, Inc. (b) 29,624 1,417 Health Net, Inc. (b) 47,186 3,282 Healthways, Inc. (b) 55,531 1,860 Humana, Inc. (b) 141,583 4,851 Kindred Healthcare, Inc. (b) 122,342 1,345 LHC Group, Inc. (b) 39,839 2,883 LifePoint Hospitals, Inc. (b) 119,962 1,028 Magellan Health Services, Inc. (b) 53,477 741 Molina Healthcare, Inc. (b) 31,863 712 Owens & Minor, Inc. 24,528 4,409 PharMerica Corp. (b) 58,022 1,690 Quest Diagnostics, Inc. 95,282 804 RehabCare Group, Inc. (b) 30,206 2,878 UnitedHealth Group, Inc. 141,684 1,840 VCA Antech, Inc. (b) 45,264 2,393 WellPoint, Inc. 183,759 ------------ 1,708,481 ------------ HOTELS, RESTAURANTS & LEISURE -- 2.1% 3,554 Bob Evans Farms, Inc. 111,453 9,891 Boyd Gaming Corp. (b) 88,425 3,391 Carnival Corp. 129,095 2,333 International Speedway Corp., Class A 71,390 1,308 Jack in the Box, Inc. (b) 27,010 4,627 Marcus (The) Corp. 51,313 4,850 Monarch Casino & Resort, Inc. (b) 55,581 7,042 Multimedia Games, Inc. (b) 41,337 4,968 O'Charley's, Inc. (b) 32,491 936 Papa John's International, Inc. (b) 28,136 1,103 Red Robin Gourmet Burgers, Inc. (b) 29,991 3,847 Ruby Tuesday, Inc. (b) 40,432 7,820 Ruth's Hospitality Group, Inc. (b) 38,396 1,889 Shuffle Master, Inc. (b) 20,647 9,213 Wendy's/Arby's Group, Inc., Class A 44,407 ------------ 810,104 ------------ Page 51 See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) HOUSEHOLD DURABLES -- 1.6% 4,909 American Greetings Corp., Class A $ 120,761 1,552 Blyth, Inc. 73,161 524 Fortune Brands, Inc. 34,102 1,716 Helen of Troy Ltd. (b) 53,402 4,225 La-Z-Boy, Inc. (b) 49,686 1,327 Leggett & Platt, Inc. 34,887 1,516 Mohawk Industries, Inc. (b) 91,021 31 NVR, Inc. (b) 22,919 1,524 Whirlpool Corp. 131,338 ------------ 611,277 ------------ HOUSEHOLD PRODUCTS -- 0.6% 5,476 Central Garden & Pet Co., Class A (b) 54,870 977 Energizer Holdings, Inc. (b) 73,793 497 Kimberly-Clark Corp. 32,832 1,056 Procter & Gamble (The) Co. 68,534 ------------ 230,029 ------------ INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.6% 2,501 AES (The) Corp. (b) 33,113 7,753 NRG Energy, Inc. (b) 187,623 ------------ 220,736 ------------ INDUSTRIAL CONGLOMERATES -- 0.8% 348 3M Co. 33,829 519 Carlisle Cos., Inc. 25,711 1,622 General Electric Co. 33,170 783 Standex International Corp. 28,626 1,374 Tredegar Corp. 30,063 2,905 Tyco International Ltd. 141,590 ------------ 292,989 ------------ INSURANCE -- 8.7% 2,581 ACE Ltd. 173,572 3,308 American Financial Group, Inc. 118,327 4,752 American International Group, Inc. (b) 148,025 1,341 AMERISAFE, Inc. (b) 29,945 4,204 Aspen Insurance Holdings Ltd. 120,108 844 Assurant, Inc. 33,507 898 Brown & Brown, Inc. 23,213 2,122 Chubb (The) Corp. 138,333 991 Cincinnati Financial Corp. 31,395 1,314 Delphi Financial Group, Inc., Class A 41,982 977 Employers Holdings, Inc. 19,696 1,314 Everest Re Group Ltd. 119,732 8,199 Fidelity National Financial, Inc., Class A 126,593 5,617 First American Financial Corp. 87,625 1,536 Hanover Insurance Group, Inc. 64,850 SHARES DESCRIPTION VALUE -------------------------------------------------------------- INSURANCE (CONTINUED) 4,830 Hartford Financial Services Group (The), Inc. $ 139,925 2,960 HCC Insurance Holdings, Inc. 96,318 2,402 Horace Mann Educators Corp. 42,948 848 Infinity Property & Casualty Corp. 50,117 2,165 Lincoln National Corp. 67,613 755 Loews Corp. 33,416 4,873 Meadowbrook Insurance Group, Inc. 49,900 1,776 Mercury General Corp. 70,578 2,736 National Financial Partners Corp. (b) 44,022 576 Navigators Group (The), Inc. (b) 29,854 2,117 Presidential Life Corp. 23,583 1,013 Principal Financial Group, Inc. 34,189 796 ProAssurance Corp. (b) 52,854 1,539 Progressive (The) Corp. 33,766 2,618 Protective Life Corp. 70,450 1,056 Prudential Financial, Inc. 66,972 1,476 Reinsurance Group of America, Inc. 93,431 700 RLI Corp. 41,468 875 Safety Insurance Group, Inc. 40,968 2,332 Selective Insurance Group, Inc. 41,136 2,010 StanCorp Financial Group, Inc. 86,631 943 Stewart Information Services Corp. 9,562 1,467 Torchmark Corp. 98,172 2,099 Tower Group, Inc. 48,004 2,380 Transatlantic Holdings, Inc. 117,310 2,808 Travelers (The) Cos., Inc. 177,690 1,997 United Fire & Casualty Co. 39,541 2,251 Unitrin, Inc. 68,070 3,717 Unum Group 98,426 2,877 W. R. Berkley Corp. 93,819 2,644 XL Group PLC 64,567 ------------ 3,302,203 ------------ INTERNET & CATALOG RETAIL -- 0.1% 2,047 Nutrisystem, Inc. 30,787 ------------ INTERNET SOFTWARE & SERVICES -- 0.9% 3,425 InfoSpace, Inc. (b) 30,825 8,000 United Online, Inc. 52,800 6,409 ValueClick, Inc. (b) 107,351 7,812 Yahoo!, Inc. (b) 138,663 ------------ 329,639 ------------ IT SERVICES -- 2.5% 6,459 Acxiom Corp. (b) 94,043 1,021 Broadridge Financial Solutions, Inc. 23,728 658 CACI International, Inc., Class A (b) 40,210 3,427 Computer Sciences Corp. 174,708 1,252 CoreLogic, Inc. (b) 23,049 Page 52 See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) IT SERVICES (CONTINUED) 2,193 DST Systems, Inc. $ 108,137 995 Fidelity National Information Services, Inc. 32,935 518 Fiserv, Inc. (b) 31,759 564 Heartland Payment Systems, Inc. 11,257 2,732 ManTech International Corp., Class A (b) 119,908 1,217 NCI, Inc., Class A (b) 29,950 7,688 SAIC, Inc. (b) 133,771 1,041 TeleTech Holdings, Inc. (b) 20,685 5,414 Total System Services, Inc. 102,054 ------------ 946,194 ------------ LEISURE EQUIPMENT & PRODUCTS -- 0.6% 2,595 Arctic Cat, Inc. (b) 43,570 1,450 Callaway Golf Co. 10,266 2,607 JAKKS Pacific, Inc. (b) 54,851 3,913 Mattel, Inc. 104,556 ------------ 213,243 ------------ LIFE SCIENCES TOOLS & SERVICES -- 0.8% 1,897 Affymetrix, Inc. (b) 10,244 579 Bio-Rad Laboratories, Inc., Class A (b) 72,445 7,336 Cambrex Corp. (b) 38,587 2,980 eResearchTechnology, Inc. (b) 18,953 1,884 Kendle International, Inc. (b) 18,934 1,238 PerkinElmer, Inc. 34,998 836 Pharmaceutical Product Development, Inc. 25,791 324 Techne Corp. 25,178 1,171 Thermo Fisher Scientific, Inc. (b) 70,248 ------------ 315,378 ------------ MACHINERY -- 1.4% 341 Actuant Corp., Class A 9,466 1,191 Albany International Corp., Class A 30,144 541 Astec Industries, Inc. (b) 20,980 490 Badger Meter, Inc. 18,576 1,420 Barnes Group, Inc. 35,131 436 Briggs & Stratton Corp. 10,285 777 ESCO Technologies, Inc. 28,500 657 Harsco Corp. 23,389 605 Illinois Tool Works, Inc. 35,338 1,049 John Bean Technologies Corp. 21,200 515 Kaydon Corp. 19,931 4,539 Lydall, Inc. (b) 44,255 810 Mueller Industries, Inc. 31,687 3,274 Oshkosh Corp. (b) 103,655 1,226 Pentair, Inc. 49,236 632 Trinity Industries, Inc. 22,879 SHARES DESCRIPTION VALUE -------------------------------------------------------------- MACHINERY (CONTINUED) 528 Watts Water Technologies, Inc., Class A $ 20,434 ------------ 525,086 ------------ MARINE -- 0.1% 508 Alexander & Baldwin, Inc. 26,772 ------------ MEDIA -- 2.2% 5,095 E.W. Scripps (The) Co., Class A (b) 48,402 10,965 Gannett Co., Inc. 165,133 5,841 Harte-Hanks, Inc. 54,263 456 John Wiley & Sons, Inc., Class A 23,224 825 McGraw-Hill (The) Cos., Inc. 33,388 2,732 Meredith Corp. 91,303 4,893 New York Times (The) Co., Class A (b) 39,780 4,284 Scholastic Corp. 112,584 2,733 Time Warner, Inc. 103,471 382 Washington Post (The) Co., Class B 166,514 ------------ 838,062 ------------ METALS & MINING -- 0.4% 1,842 Alcoa, Inc. 31,314 201 Kaiser Aluminum Corp. 10,072 802 Reliance Steel & Aluminum Co. 45,401 2,469 Steel Dynamics, Inc. 44,911 1,108 Worthington Industries, Inc. 23,900 ------------ 155,598 ------------ MULTILINE RETAIL -- 1.9% 3,546 99 Cents Only Stores (b) 71,487 3,029 Fred's, Inc., Class A 42,285 1,811 J. C. Penney Co., Inc. 69,633 2,452 Kohl's Corp. 129,245 5,362 Macy's, Inc. 128,206 4,097 Saks, Inc. (b) 49,000 787 Sears Holdings Corp. (b) 67,658 2,601 Target Corp. 127,709 10,294 Tuesday Morning Corp. (b) 51,470 ------------ 736,693 ------------ MULTI-UTILITIES -- 6.0% 2,381 Alliant Energy Corp. 94,145 3,476 Ameren Corp. 101,881 1,745 Avista Corp. 42,491 2,772 Black Hills Corp. 96,327 3,704 CenterPoint Energy, Inc. 68,894 587 CH Energy Group, Inc. 31,475 4,967 CMS Energy Corp. 98,346 1,923 Consolidated Edison, Inc. 100,227 2,910 Dominion Resources, Inc. 135,082 2,657 DTE Energy Co. 134,258 1,931 Integrys Energy Group, Inc. 101,107 4,035 MDU Resources Group, Inc. 96,396 6,782 NiSource, Inc. 131,910 Page 53 See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) MULTI-UTILITIES (CONTINUED) 1,332 NorthWestern Corp. $ 43,357 1,002 NSTAR 46,393 1,375 OGE Energy Corp. 73,109 2,208 PG&E Corp. 101,745 5,300 Public Service Enterprise Group, Inc. 170,501 3,304 SCANA Corp. 137,182 1,824 Sempra Energy 100,502 5,200 TECO Energy, Inc. 100,204 3,407 Vectren Corp. 97,372 2,132 Wisconsin Energy Corp. 66,540 4,084 Xcel Energy, Inc. 99,364 ------------ 2,268,808 ------------ OFFICE ELECTRONICS -- 0.2% 9,160 Xerox Corp. 92,424 ------------ OIL, GAS & CONSUMABLE FUELS -- 4.9% 994 Apache Corp. 132,570 1,554 Chevron Corp. 170,070 1,498 Comstock Resources, Inc. (b) 48,026 2,091 ConocoPhillips 165,043 1,160 Exxon Mobil Corp. 102,080 1,225 Forest Oil Corp. (b) 43,990 1,960 Hess Corp. 168,482 3,132 Marathon Oil Corp. 169,253 2,274 Murphy Oil Corp. 176,189 934 Occidental Petroleum Corp. 106,747 2,379 Penn Virginia Corp. 36,779 4,311 PetroQuest Energy, Inc. (b) 37,764 1,919 Plains Exploration & Production Co. (b) 72,999 1,604 QEP Resources, Inc. 68,539 3,238 Southern Union Co. 96,816 1,196 Spectra Energy Corp. 34,732 1,427 Sunoco, Inc. 60,876 1,212 Tesoro Corp. (b) 32,869 4,362 Valero Energy Corp. 123,445 242 World Fuel Services Corp. 9,578 ------------ 1,856,847 ------------ PAPER & FOREST PRODUCTS -- 0.5% 495 Clearwater Paper Corp. (b) 38,848 2,155 International Paper Co. 66,546 1,350 Neenah Paper, Inc. 31,495 6,602 Wausau Paper Corp. 44,564 ------------ 181,453 ------------ PERSONAL PRODUCTS -- 0.1% 622 Alberto-Culver Co. 23,225 860 Prestige Brands Holdings, Inc. (b) 9,933 ------------ 33,158 ------------ SHARES DESCRIPTION VALUE -------------------------------------------------------------- PHARMACEUTICALS -- 1.1% 2,461 Bristol-Myers Squibb Co. $ 69,154 4,027 Forest Laboratories, Inc. (b) 133,535 2,195 Johnson & Johnson 144,256 3,202 Pfizer, Inc. 67,114 ------------ 414,059 ------------ PROFESSIONAL SERVICES -- 0.5% 837 Equifax, Inc. 31,413 1,209 FTI Consulting, Inc. (b) 48,239 929 Kelly Services, Inc., Class A (b) 17,753 1,040 Korn/Ferry International (b) 21,539 4,039 Navigant Consulting, Inc. (b) 47,054 702 SFN Group, Inc. (b) 7,392 ------------ 173,390 ------------ REAL ESTATE INVESTMENT TRUSTS -- 0.6% 211 Entertainment Properties Trust 10,046 703 Franklin Street Properties Corp. 9,940 1,296 Getty Realty Corp. 32,931 349 LTC Properties, Inc. 10,268 1,006 Senior Housing Properties Trust 23,862 519 Urstadt Biddle Properties, Inc., Class A 10,214 5,288 Weyerhaeuser Co. 121,677 ------------ 218,938 ------------ ROAD & RAIL -- 0.6% 380 Arkansas Best Corp. 8,744 1,149 Heartland Express, Inc. 19,820 1,048 Knight Transportation, Inc. 18,875 1,928 Ryder System, Inc. 103,148 2,626 Werner Enterprises, Inc. 68,722 ------------ 219,309 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.3% 2,468 Advanced Energy Industries, Inc. (b) 34,922 2,672 ATMI, Inc. (b) 53,200 3,674 Brooks Automation, Inc. (b) 44,933 3,284 Cohu, Inc. 47,322 6,288 Integrated Device Technology, Inc. (b) 51,153 8,279 Intel Corp. 191,990 3,504 International Rectifier Corp. (b) 121,098 4,535 National Semiconductor Corp. 109,384 4,864 Pericom Semiconductor Corp. (b) 44,214 4,610 Rudolph Technologies, Inc. (b) 52,139 1,558 Sigma Designs, Inc. (b) 19,880 400 Standard Microsystems Corp. (b) 10,860 906 Supertex, Inc. (b) 19,561 Page 54 See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 2,762 Tessera Technologies, Inc. (b) $ 54,577 ------------ 855,233 ------------ SOFTWARE -- 0.4% 2,690 CA, Inc. 66,147 1,405 EPIQ Systems, Inc. 19,993 838 Synopsys, Inc. (b) 22,953 6,504 THQ, Inc. (b) 26,276 ------------ 135,369 ------------ SPECIALTY RETAIL -- 5.9% 4,568 Aaron's, Inc. 131,513 5,833 American Eagle Outfitters, Inc. 90,761 10,085 Barnes & Noble, Inc. 110,834 5,814 Best Buy Co., Inc. 181,513 3,385 Big 5 Sporting Goods Corp. 40,451 4,128 Brown Shoe Co., Inc. 52,219 1,647 Cato (The) Corp., Class A 42,015 810 Children's Place Retail Stores (The), Inc. (b) 43,068 1,526 Christopher & Banks Corp. 9,385 3,745 Coldwater Creek, Inc. (b) 11,422 5,368 Collective Brands, Inc. (b) 112,728 4,700 Foot Locker, Inc. 101,144 7,415 GameStop Corp., Class A (b) 190,417 7,369 Gap (The), Inc. 171,256 471 Group 1 Automotive, Inc. 20,272 2,237 Haverty Furniture Cos., Inc. 29,305 877 Home Depot (The), Inc. 32,572 7,079 Hot Topic, Inc. 47,500 2,034 Lithia Motors, Inc., Class A 36,998 3,691 Lowe's Cos., Inc. 96,889 1,491 Men's Wearhouse (The), Inc. 41,584 15,013 Office Depot, Inc. (b) 64,706 1,559 OfficeMax, Inc. (b) 15,528 2,333 Pep Boys-Manny, Moe & Jack (The) 31,962 11,125 RadioShack Corp. 175,886 3,319 Rent-A-Center, Inc. 101,063 2,880 Sonic Automotive, Inc., Class A 40,608 2,099 Stage Stores, Inc. 40,427 5,024 Staples, Inc. 106,207 3,991 Stein Mart, Inc. 43,422 ------------ 2,213,655 ------------ TEXTILES, APPAREL & LUXURY GOODS -- 0.3% 857 Hanesbrands, Inc. (b) 27,861 1,466 Perry Ellis International, Inc. (b) 41,312 2,456 Skechers U.S.A., Inc., Class A (b) 46,787 ------------ 115,960 ------------ SHARES DESCRIPTION VALUE -------------------------------------------------------------- THRIFTS & MORTGAGE FINANCE -- 0.7% 1,612 Astoria Financial Corp. $ 23,326 939 Brookline Bancorp, Inc. 8,658 670 Dime Community Bancshares, Inc. 10,358 1,706 First Niagara Financial Group, Inc. 24,566 6,719 Hudson City Bancorp, Inc. 64,032 2,685 New York Community Bancorp, Inc. 44,571 1,363 Provident Financial Services, Inc. 19,791 1,667 TrustCo Bank Corp. NY 10,002 2,672 Washington Federal, Inc. 42,992 ------------ 248,296 ------------ TOBACCO -- 0.4% 12,547 Alliance One International, Inc. (b) 50,063 2,661 Universal Corp. 115,434 ------------ 165,497 ------------ TRADING COMPANIES & DISTRIBUTORS -- 0.4% 892 Applied Industrial Technologies, Inc. 31,452 1,798 GATX Corp. 76,002 281 Kaman Corp. 10,453 876 Lawson Products, Inc. 19,298 ------------ 137,205 ------------ WATER UTILITIES -- 0.1% 563 American States Water Co. 19,654 ------------ WIRELESS TELECOMMUNICATION SERVICES -- 0.8% 1,096 NTELOS Holdings Corp. 21,624 21,025 Sprint Nextel Corp. (b) 108,910 3,438 Telephone and Data Systems, Inc. 115,379 3,481 USA Mobility, Inc. 53,781 ------------ 299,694 ------------ TOTAL COMMON STOCKS -- 100.0% 37,730,489 (Cost $34,729,611) MONEY MARKET FUND -- 0.1% 55,905 Morgan Stanley Institutional Treasury Money Market Fund - 0.01% (c) 55,905 (Cost $55,905) ------------ TOTAL INVESTMENTS -- 100.1% 37,786,394 (Cost $34,785,516) (d) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (34,737) ------------ NET ASSETS -- 100.0% $ 37,751,657 ============ Page 55 See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) ================================================================================ (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Represents annualized 7-day yield at April 30, 2011. (d) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of April 30, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $3,435,437 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $434,559. ---------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of April 30, 2011 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------------------------- Common Stocks* $37,730,489 $ -- $ -- Money Market Fund 55,905 -- -- ------------------------------------------ Total Investments $37,786,394 $ -- $ -- ========================================== * See Portfolio of Investments for industry breakout. Page 56 See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 1.4% 1,038 Aerovironment, Inc. (b) $ 29,739 197 American Science & Engineering, Inc. 17,356 331 Boeing (The) Co. 26,407 809 Cubic Corp. 43,751 1,685 Honeywell International, Inc. 103,172 1,258 ITT Corp. 72,700 960 Orbital Sciences Corp. (b) 18,077 378 Rockwell Collins, Inc. 23,852 316 Triumph Group, Inc. 27,214 289 United Technologies Corp. 25,888 ------------ 388,156 ------------ AIR FREIGHT & LOGISTICS -- 0.6% 678 C.H. Robinson Worldwide, Inc. 54,362 1,003 Expeditors International of Washington, Inc. 54,433 593 Forward Air Corp. 19,937 771 Hub Group, Inc., Class A (b) 31,056 329 United Parcel Service, Inc., Class B 24,665 ------------ 184,453 ------------ AUTO COMPONENTS -- 0.7% 1,251 BorgWarner, Inc. (b) 96,627 1,979 Gentex Corp. 62,042 1,816 Superior Industries International, Inc. 45,890 ------------ 204,559 ------------ AUTOMOBILES -- 0.5% 3,376 Ford Motor Co. (b) 52,227 2,370 Harley-Davidson, Inc. 88,306 ------------ 140,533 ------------ BEVERAGES -- 0.2% 196 Boston Beer (The) Co., Inc., Class A (b) 18,475 662 Hansen Natural Corp. (b) 43,791 ------------ 62,266 ------------ BIOTECHNOLOGY -- 1.0% 2,538 ArQule, Inc. (b) 17,918 685 Biogen Idec, Inc. (b) 66,685 360 Cubist Pharmaceuticals, Inc. (b) 12,186 1,155 Emergent Biosolutions, Inc. (b) 26,807 577 Gilead Sciences, Inc. (b) 22,411 808 Regeneron Pharmaceuticals, Inc. (b) 41,297 297 United Therapeutics Corp. (b) 19,887 1,248 Vertex Pharmaceuticals, Inc. (b) 68,665 ------------ 275,856 ------------ BUILDING PRODUCTS -- 0.3% 205 A.O. Smith Corp. 9,014 552 AAON, Inc. 18,133 SHARES DESCRIPTION VALUE -------------------------------------------------------------- BUILDING PRODUCTS (CONTINUED) 758 Lennox International, Inc. $ 36,847 716 NCI Building Systems, Inc. (b) 8,864 ------------ 72,858 ------------ CAPITAL MARKETS -- 1.3% 547 Affiliated Managers Group, Inc. (b) 59,667 1,647 Ameriprise Financial, Inc. 102,213 402 Franklin Resources, Inc. 51,906 1,970 Invesco Ltd. 48,994 759 Stifel Financial Corp. (b) 34,671 757 T. Rowe Price Group, Inc. 48,637 982 Waddell & Reed Financial, Inc., Class A 40,272 ------------ 386,360 ------------ CHEMICALS -- 4.0% 667 Albemarle Corp. 47,057 484 Balchem Corp. 19,210 735 CF Industries Holdings, Inc. 104,039 1,832 E.I. du Pont de Nemours & Co. 104,039 1,266 Eastman Chemical Co. 135,779 888 FMC Corp. 78,393 1,616 International Flavors & Fragrances, Inc. 102,648 1,091 Koppers Holdings, Inc. 49,891 1,174 LSB Industries, Inc. (b) 47,371 595 Lubrizol (The) Corp. 80,039 630 NewMarket Corp. 116,122 2,558 PolyOne Corp. 37,040 1,321 PPG Industries, Inc. 125,059 241 Praxair, Inc. 25,647 695 Quaker Chemical Corp. 31,400 345 Scotts Miracle-Gro (The) Co., S Class A 19,482 292 Sherwin-Williams (The) Co. 24,029 ------------ 1,147,245 ------------ COMMERCIAL BANKS -- 0.3% 1,173 National Penn Bancshares, Inc. 9,630 495 Signature Bank (b) 28,814 700 SVB Financial Group (b) 42,308 ------------ 80,752 ------------ COMMERCIAL SERVICES & SUPPLIES -- 1.9% 1,010 Clean Harbors, Inc. (b) 99,485 511 Consolidated Graphics, Inc. (b) 28,693 920 Copart, Inc. (b) 41,740 2,256 Deluxe Corp. 61,092 1,033 Healthcare Services Group, Inc. 18,346 2,178 Herman Miller, Inc. 56,672 1,966 Interface, Inc., Class A 36,646 2,418 Iron Mountain, Inc. 77,013 756 Mobile Mini, Inc. (b) 18,832 Page 57 See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMERCIAL SERVICES & SUPPLIES (CONTINUED) 982 Rollins, Inc. $ 20,593 851 Stericycle, Inc. (b) 77,679 918 Sykes Enterprises, Inc. (b) 18,388 ------------ 555,179 ------------ COMMUNICATIONS EQUIPMENT -- 2.5% 1,409 ADTRAN, Inc. 58,149 3,844 Ciena Corp. (b) 108,555 563 DG Fastchannel, Inc. (b) 20,600 2,979 Harmonic, Inc. (b) 24,666 6,039 JDS Uniphase Corp. (b) 125,853 2,393 Juniper Networks, Inc. (b) 91,724 560 NETGEAR, Inc. (b) 23,380 466 Oplink Communications, Inc. (b) 9,227 1,923 Polycom, Inc. (b) 115,053 917 QUALCOMM, Inc. 52,122 1,589 Riverbed Technology, Inc. (b) 55,838 1,803 Tollgrade Communications, Inc. (b) 18,192 ------------ 703,359 ------------ COMPUTERS & PERIPHERALS -- 1.5% 216 Apple, Inc. (b) 75,218 3,792 EMC Corp. (b) 107,465 1,091 SanDisk Corp. (b) 53,612 990 Stratasys, Inc. (b) 53,311 2,903 Super Micro Computer, Inc. (b) 49,525 2,025 Western Digital Corp. (b) 80,595 ------------ 419,726 ------------ CONSTRUCTION & ENGINEERING -- 0.3% 1,367 Fluor Corp. 95,608 ------------ CONSUMER FINANCE -- 0.6% 542 American Express Co. 26,601 788 Cash America International, Inc. 37,391 1,157 EZCORP, Inc., Class A (b) 36,434 941 First Cash Financial Services, Inc. (b) 36,925 557 World Acceptance Corp. (b) 37,848 ------------ 175,199 ------------ CONTAINERS & PACKAGING -- 0.8% 2,808 Ball Corp. 104,766 1,439 Rock-Tenn Co., Class A 99,392 523 Silgan Holdings, Inc. 23,985 ------------ 228,143 ------------ DISTRIBUTORS -- 0.1% 1,655 LKQ Corp. (b) 41,739 ------------ SHARES DESCRIPTION VALUE -------------------------------------------------------------- DIVERSIFIED CONSUMER SERVICES -- 0.7% 224 American Public Education, Inc. (b) $ 9,464 198 Coinstar, Inc. (b) 10,688 445 DeVry, Inc. 23,541 276 ITT Educational Services, Inc. (b) 19,798 138 Pre-Paid Legal Services, Inc. (b) 9,101 5,413 Service Corp. International 63,711 1,518 Sotheby's 76,689 ------------ 212,992 ------------ DIVERSIFIED FINANCIAL SERVICES -- 0.4% 2,227 Moody's Corp. 87,165 328 Portfolio Recovery Associates, Inc. (b) 29,605 ------------ 116,770 ------------ DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.2% 830 General Communication, Inc., Class A (b) 9,545 1,305 Verizon Communications, Inc. 49,303 ------------ 58,848 ------------ ELECTRICAL EQUIPMENT -- 2.2% 341 Acuity Brands, Inc. 20,051 1,820 AMETEK, Inc. 83,793 743 Belden, Inc. 28,256 419 Emerson Electric Co. 25,458 1,123 Hubbell, Inc., Class B 78,599 561 II-VI, Inc. (b) 32,454 810 Regal-Beloit Corp. 61,390 1,330 Rockwell Automation, Inc. 115,883 1,165 Roper Industries, Inc. 100,761 1,341 Thomas & Betts Corp. (b) 77,738 550 Vicor Corp. 9,190 ------------ 633,573 ------------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.5% 925 Amphenol Corp., Class A 51,717 2,094 Electro Scientific Industries, Inc. (b) 34,446 1,163 FARO Technologies, Inc. (b) 50,207 2,182 FLIR Systems, Inc. 76,850 636 Littelfuse, Inc. 39,566 1,937 LoJack Corp. (b) 8,871 1,718 Mercury Computer Systems, Inc. (b) 33,175 613 MTS Systems Corp. 27,137 3,045 National Instruments Corp. 92,385 2,038 Newport Corp. (b) 38,172 242 OSI Systems, Inc. (b) 9,290 4,618 Pulse Electronics Corp. 27,616 1,178 Rofin-Sinar Technologies, Inc. (b) 51,019 Page 58 See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS (CONTINUED) 1,032 Rogers Corp. (b) $ 42,849 1,580 Trimble Navigation Ltd. (b) 74,007 2,564 TTM Technologies, Inc. (b) 49,024 ------------ 706,331 ------------ ENERGY EQUIPMENT & SERVICES -- 4.0% 1,288 Atwood Oceanics, Inc. (b) 57,870 1,714 Baker Hughes, Inc. 132,681 1,824 Basic Energy Services, Inc. (b) 56,070 1,762 Cameron International Corp. (b) 92,893 330 CARBO Ceramics, Inc. 53,110 1,065 FMC Technologies, Inc. (b) 49,501 2,525 Halliburton Co. 127,462 1,832 Helmerich & Payne, Inc. 121,535 2,864 ION Geophysical Corp. (b) 36,201 498 Lufkin Industries, Inc. 45,980 952 National Oilwell Varco, Inc. 73,009 669 Oceaneering International, Inc. (b) 58,484 611 Oil States International, Inc. (b) 50,719 1,079 Schlumberger Ltd. 96,840 2,434 Superior Energy Services, Inc. (b) 93,514 ------------ 1,145,869 ------------ FOOD & STAPLES RETAILING -- 0.7% 955 Andersons (The), Inc. 47,416 1,038 United Natural Foods, Inc. (b) 44,312 1,910 Whole Foods Market, Inc. 119,872 ------------ 211,600 ------------ FOOD PRODUCTS -- 2.2% 1,936 B&G Foods, Inc., Class A 35,003 415 Calavo Growers, Inc. 8,715 1,926 Corn Products International, Inc. 106,122 3,030 Darling International, Inc. (b) 48,995 500 Diamond Foods, Inc. 32,800 1,543 Green Mountain Coffee Roasters, Inc. (b) 103,319 865 Hain Celestial Group (The), Inc. (b) 29,419 925 Hershey (The) Co. 53,382 3,617 Hormel Foods Corp. 106,376 781 Kraft Foods, Inc., Class A 26,226 2,849 Sara Lee Corp. 54,701 491 TreeHouse Foods, Inc. (b) 29,789 ------------ 634,847 ------------ GAS UTILITIES -- 0.1% 269 National Fuel Gas Co. 19,718 162 South Jersey Industries, Inc. 9,307 ------------ 29,025 ------------ SHARES DESCRIPTION VALUE -------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.6% 315 Abaxis, Inc. (b) $ 9,151 494 Analogic Corp. 28,489 720 Beckman Coulter, Inc. 59,652 247 C. R. Bard, Inc. 26,367 1,084 Cantel Medical Corp. 28,108 1,148 Cooper (The) Cos., Inc. 85,985 571 Cyberonics, Inc. (b) 20,310 578 Edwards Lifesciences Corp. (b) 49,910 1,798 Hologic, Inc. (b) 39,592 258 IDEXX Laboratories, Inc. (b) 21,009 151 Intuitive Surgical, Inc. (b) 52,805 733 Kinetic Concepts, Inc. (b) 43,269 1,205 Masimo Corp. 41,922 1,423 Merit Medical Systems, Inc. (b) 33,184 1,081 Natus Medical, Inc. (b) 18,345 439 Neogen Corp. (b) 18,394 611 Palomar Medical Technologies, Inc. (b) 9,782 1,472 St. Jude Medical, Inc. 78,664 403 Stryker Corp. 23,777 810 Zoll Medical Corp. (b) 45,911 ------------ 734,626 ------------ HEALTH CARE PROVIDERS & SERVICES -- 4.7% 540 Air Methods Corp. (b) 36,515 241 Almost Family, Inc. (b) 8,355 724 AMERIGROUP Corp. (b) 49,449 3,181 AmerisourceBergen Corp. 129,276 404 Bio-Reference Laboratories, Inc. (b) 10,185 832 Catalyst Health Solutions, Inc. (b) 49,554 136 Chemed Corp. 9,470 2,842 CIGNA Corp. 133,091 525 CorVel Corp. (b) 27,195 1,176 DaVita, Inc. (b) 103,594 1,457 Ensign Group (The), Inc. 40,301 1,357 Express Scripts, Inc. (b) 76,996 7,324 Health Management Associates, Inc., Class A (b) 82,615 1,245 Healthspring, Inc. (b) 51,655 852 Henry Schein, Inc. (b) 62,256 444 HMS Holdings Corp. (b) 34,947 800 IPC Hospitalist (The) Co. (b) 41,488 266 Laboratory Corp. of America Holdings (b) 25,661 672 Lincare Holdings, Inc. 21,114 577 MWI Veterinary Supply, Inc. (b) 47,989 669 PSS World Medical, Inc. (b) 19,240 16,893 Tenet Healthcare Corp. (b) 117,069 1,616 Universal Health Services, Inc., Class B 88,524 Page 59 See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 1,903 WellCare Health Plans, Inc. (b) $ 83,370 ------------ 1,349,909 ------------ HEALTH CARE TECHNOLOGY -- 0.5% 678 Cerner Corp. (b) 81,482 565 Computer Programs & Systems, Inc. 33,217 335 Quality Systems, Inc. 30,056 ------------ 144,755 ------------ HOTELS, RESTAURANTS & LEISURE -- 2.5% 43 Biglari Holdings, Inc. (b) 18,801 923 BJ's Restaurants, Inc. (b) 43,335 2,366 Brinker International, Inc. 56,997 334 Buffalo Wild Wings, Inc. (b) 20,408 366 Chipotle Mexican Grill, Inc. (b) 97,645 498 Darden Restaurants, Inc. 23,391 330 DineEquity, Inc. (b) 16,490 785 Panera Bread Co., Class A (b) 95,071 377 Peet's Coffee & Tea, Inc. (b) 17,523 1,333 Pinnacle Entertainment, Inc. (b) 18,502 2,725 Starbucks Corp. 98,618 534 Texas Roadhouse, Inc. 8,688 770 Wyndham Worldwide Corp. 26,650 988 Wynn Resorts Ltd. 145,384 477 Yum! Brands, Inc. 25,586 ------------ 713,089 ------------ HOUSEHOLD DURABLES -- 1.0% 1,613 Harman International Industries, Inc. 78,279 1,643 Stanley Black & Decker, Inc. 119,364 1,002 Tupperware Brands Corp. 63,797 614 Universal Electronics, Inc. (b) 17,002 ------------ 278,442 ------------ HOUSEHOLD PRODUCTS -- 0.1% 251 Church & Dwight Co., Inc. 20,702 214 WD-40 Co. 8,881 ------------ 29,583 ------------ INSURANCE -- 0.1% 656 Arthur J. Gallagher & Co. 19,536 ------------ INTERNET & CATALOG RETAIL -- 1.1% 279 Amazon.com, Inc. (b) 54,824 283 HSN, Inc. (b) 9,390 530 Netflix, Inc. (b) 123,315 248 priceline.com, Inc. (b) 135,658 ------------ 323,187 ------------ SHARES DESCRIPTION VALUE -------------------------------------------------------------- INTERNET SOFTWARE & SERVICES -- 1.2% 1,232 ComScore, Inc. (b) $ 36,726 791 DealerTrack Holdings, Inc. (b) 17,766 789 eBay, Inc. (b) 27,142 1,507 Knot (The), Inc. (b) 15,386 1,563 Liquidity Services, Inc. (b) 30,400 215 LogMeIn, Inc. (b) 9,260 756 Perficient, Inc. (b) 9,442 2,329 Rackspace Hosting, Inc. (b) 107,577 1,160 RightNow Technologies, Inc. (b) 41,969 1,389 VeriSign, Inc. 51,337 ------------ 347,005 ------------ IT SERVICES -- 2.6% 1,161 Alliance Data Systems Corp. (b) 110,295 477 Automatic Data Processing, Inc. 25,925 1,372 Cardtronics, Inc. (b) 29,155 1,236 Cognizant Technology Solutions Corp., Class A (b) 102,464 237 Forrester Research, Inc. 9,364 1,916 Gartner, Inc. (b) 82,215 484 iGATE Corp. 8,209 3,826 Integral Systems, Inc. (b) 47,787 308 International Business Machines Corp. 52,539 1,767 Jack Henry & Associates, Inc. 60,025 344 MAXIMUS, Inc. 27,516 1,986 Teradata Corp. (b) 111,057 1,179 Western Union Co. 25,054 700 Wright Express Corp. (b) 39,431 ------------ 731,036 ------------ LEISURE EQUIPMENT & PRODUCTS -- 0.7% 1,831 Brunswick Corp. 42,790 1,146 Polaris Industries, Inc. 120,823 1,581 Sturm, Ruger & Co., Inc. 37,596 ------------ 201,209 ------------ LIFE SCIENCES TOOLS & SERVICES -- 1.0% 2,248 Agilent Technologies, Inc. (b) 112,198 154 Dionex Corp. (b) 18,226 348 Mettler-Toledo International, Inc. (b) 65,215 729 PAREXEL International Corp. (b) 20,237 579 Waters Corp. (b) 56,742 ------------ 272,618 ------------ MACHINERY -- 8.0% 1,451 AGCO Corp. (b) 83,549 436 Bucyrus International, Inc. 39,872 407 Cascade Corp. 18,641 1,129 Caterpillar, Inc. 130,298 Page 60 See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 594 CIRCOR International, Inc. $ 26,985 202 CLARCOR, Inc. 9,128 823 Crane Co. 41,076 688 Cummins, Inc. 82,684 1,454 Danaher Corp. 80,319 1,298 Deere & Co. 126,555 651 Donaldson Co., Inc. 39,861 1,913 Dover Corp. 130,161 2,270 Eaton Corp. 121,513 250 EnPro Industries, Inc. (b) 10,020 767 Gardner Denver, Inc. 66,276 1,755 Graco, Inc. 87,803 913 IDEX Corp. 42,838 1,562 Ingersoll-Rand PLC 78,881 763 Joy Global, Inc. 77,025 1,022 Kennametal, Inc. 43,149 1,050 Lincoln Electric Holdings, Inc. 82,509 589 Lindsay Corp. 43,185 1,734 Nordson Corp. 98,786 468 PACCAR, Inc. 24,855 1,748 Pall Corp. 102,153 1,328 Parker Hannifin Corp. 125,257 789 Robbins & Myers, Inc. 34,298 1,675 Snap-on, Inc. 103,465 502 SPX Corp. 43,398 1,908 Timken (The) Co. 107,592 421 Toro (The) Co. 28,590 764 Valmont Industries, Inc. 80,449 1,176 Wabtec Corp. 83,943 ------------ 2,295,114 ------------ MARINE -- 0.2% 1,044 Kirby Corp. (b) 59,278 ------------ MEDIA -- 2.7% 227 Arbitron, Inc. 8,780 2,182 Cablevision Systems Corp., Class A 76,872 4,073 Comcast Corp., Class A 106,876 1,614 DIRECTV, Class A (b) 78,424 10,012 Interpublic Group of Cos. (The), Inc. 117,641 5,734 News Corp., Class A 102,180 1,538 Omnicom Group, Inc. 75,654 1,057 Time Warner Cable, Inc. 82,584 1,081 Viacom, Inc., Class B 55,304 1,751 Walt Disney (The) Co. 75,468 ------------ 779,783 ------------ METALS & MINING -- 1.9% 1,857 Allegheny Technologies, Inc. 133,704 1,009 AMCOL International Corp. 37,555 934 Carpenter Technology Corp. 47,877 2,493 Century Aluminum Co. (b) 49,810 1,281 Cliffs Natural Resources, Inc. 120,055 SHARES DESCRIPTION VALUE -------------------------------------------------------------- METALS & MINING (CONTINUED) 213 Cmpass Minerals International, Inc. $ 20,791 905 Freeport-McMoRan Copper & Gold, Inc. 49,802 1,140 Materion Corp. (b) 47,606 932 United States Steel Corp. 44,466 ------------ 551,666 ------------ MULTILINE RETAIL -- 0.9% 2,318 Big Lots, Inc. (b) 95,293 359 Dollar Tree, Inc. (b) 20,642 1,470 Family Dollar Stores, Inc. 79,689 1,121 Nordstrom, Inc. 53,304 ------------ 248,928 ------------ OFFICE ELECTRONICS -- 0.1% 508 Zebra Technologies Corp., Class A (b) 19,959 ------------ OIL, GAS & CONSUMABLE FUELS -- 7.1% 921 Anadarko Petroleum Corp. 72,704 1,660 Arch Coal, Inc. 56,938 500 Bill Barrett Corp. (b) 20,865 1,426 Cabot Oil & Gas Corp. 80,255 3,755 Chesapeake Energy Corp. 126,431 865 Cimarex Energy Co. 95,660 1,407 CONSOL Energy, Inc. 76,105 287 Contango Oil & Gas Co. (b) 17,771 5,158 Denbury Resources, Inc. (b) 116,416 1,370 Devon Energy Corp. 124,670 5,594 El Paso Corp. 108,580 849 EOG Resources, Inc. 95,861 1,008 EQT Corp. 53,031 1,488 GeoResources, Inc. (b) 43,182 1,287 Gulfport Energy Corp. (b) 43,809 1,841 Massey Energy Co. 125,630 992 Newfield Exploration Co. (b) 70,234 1,041 Noble Energy, Inc. 100,217 1,495 Northern Oil And Gas, Inc. (b) 35,521 3,091 Patriot Coal Corp. (b) 77,831 1,398 Peabody Energy Corp. 93,414 969 Petroleum Development Corp. (b) 38,586 987 Pioneer Natural Resources Co. 100,901 1,292 Range Resources Corp. 72,933 1,075 SM Energy Co. 81,549 1,172 Southwestern Energy Co. (b) 51,404 836 Stone Energy Corp. (b) 29,561 654 Swift Energy Co. (b) 25,630 ------------ 2,035,689 ------------ PAPER & FOREST PRODUCTS -- 0.5% 1,710 Buckeye Technologies, Inc. 48,154 543 Deltic Timber Corp. 36,815 Page 61 See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) PAPER & FOREST PRODUCTS (CONTINUED) 2,712 KapStone Paper & Packaging Corp. $ 47,135 ------------ 132,104 ------------ PERSONAL PRODUCTS -- 0.4% 1,305 Estee Lauder (The) Cos., Inc., Class A 126,585 ------------ PHARMACEUTICALS -- 1.2% 1,045 Endo Pharmaceuticals Holdings, Inc. (b) 40,922 1,245 Medicis Pharmaceutical Corp., Class A 44,148 1,080 Mylan, Inc. (b) 26,913 752 Perrigo Co. 67,951 1,260 Questcor Pharmaceuticals, Inc. (b) 25,830 1,825 ViroPharma, Inc. (b) 35,204 1,798 Watson Pharmaceuticals, Inc. (b) 111,512 ------------ 352,480 ------------ PROFESSIONAL SERVICES -- 0.4% 494 Corporate Executive Board (The) Co. 19,686 626 Exponent, Inc. (b) 26,862 598 Insperity, Inc. 18,113 719 Towers Watson & Co., Class A 41,242 541 TrueBlue, Inc. (b) 7,617 ------------ 113,520 ------------ REAL ESTATE INVESTMENT TRUSTS -- 1.5% 554 AMB Property Corp. 20,166 204 AvalonBay Communities, Inc. 25,828 472 Colonial Properties Trust 9,988 1,423 Duke Realty Corp. 21,701 434 Equity Residential 25,919 877 Extra Space Storage, Inc. 18,987 467 Health Care REIT, Inc. 25,111 1,392 Host Hotels & Resorts, Inc. 24,764 234 Kilroy Realty Corp. 9,814 3,887 Lexington Realty Trust 38,792 469 Nationwide Health Properties, Inc. 20,542 925 Post Properties, Inc. 37,555 992 Potlatch Corp. 38,380 640 Rayonier, Inc. 42,470 228 Simon Property Group, Inc. 26,115 265 SL Green Realty Corp. 21,870 372 Taubman Centers, Inc. 21,632 ------------ 429,634 ------------ REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.7% 4,714 CB Richard Ellis Group, Inc., Class A (b) 125,911 SHARES DESCRIPTION VALUE -------------------------------------------------------------- REAL ESTATE MANAGEMENT & DEVELOPMENT (CONTINUED) 600 Jones Lang LaSalle, Inc. $ 61,428 ------------ 187,339 ------------ ROAD & RAIL -- 1.6% 1,600 CSX Corp. 125,904 1,317 J.B. Hunt Transport Services, Inc. 62,794 1,465 Kansas City Southern (b) 85,131 873 Landstar System, Inc. 41,380 726 Norfolk Southern Corp. 54,218 1,035 Old Dominion Freight Line, Inc. (b) 38,730 511 Union Pacific Corp. 52,873 ------------ 461,030 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 8.4% 5,854 Advanced Micro Devices, Inc. (b) 53,271 2,859 Altera Corp. 139,233 1,918 Analog Devices, Inc. 77,315 6,446 Applied Materials, Inc. 101,138 5,857 Atmel Corp. (b) 89,612 695 Cabot Microelectronics Corp. (b) 33,951 1,360 CEVA, Inc. (b) 41,589 822 Cymer, Inc. (b) 39,546 3,089 Cypress Semiconductor Corp. (b) 67,217 1,366 Diodes, Inc. (b) 46,745 5,483 Fairchild Semiconductor International, Inc. (b) 114,978 1,077 FEI Co. (b) 34,959 469 First Solar, Inc. (b) 65,458 438 Hittite Microwave Corp. (b) 28,203 2,657 KLA-Tencor Corp. 116,642 1,980 Kopin Corp. (b) 9,524 4,980 Kulicke & Soffa Industries, Inc. (b) 45,119 1,409 Lam Research Corp. (b) 68,069 14,807 LSI Corp. (b) 108,535 1,347 Micrel, Inc. 17,255 1,987 Microchip Technology, Inc. 81,546 10,982 Micron Technology, Inc. (b) 123,987 438 Microsemi Corp. (b) 10,337 1,397 MKS Instruments, Inc. 39,647 3,390 Novellus Systems, Inc. (b) 108,819 2,727 NVIDIA Corp. (b) 54,540 3,113 RF Micro Devices, Inc. (b) 20,733 2,393 Semtech Corp. (b) 67,171 2,462 Skyworks Solutions, Inc. (b) 77,455 7,067 Teradyne, Inc. (b) 113,779 2,185 Texas Instruments, Inc. 77,633 2,815 TriQuint Semiconductor, Inc. (b) 38,763 1,584 Ultratech, Inc. (b) 49,595 2,050 Varian Semiconductor Equipment Associates, Inc. (b) 85,956 714 Veeco Instruments, Inc. (b) 36,507 Page 62 See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 366 Volterra Semiconductor Corp. (b) $ 9,622 3,070 Xilinx, Inc. 107,020 ------------ 2,401,469 ------------ SOFTWARE -- 4.9% 1,825 ACI Worldwide, Inc. (b) 60,298 738 Adobe Systems, Inc. (b) 24,760 368 ANSYS, Inc. (b) 20,347 2,283 Autodesk, Inc. (b) 102,689 492 BMC Software, Inc. (b) 24,713 1,110 Bottomline Technologies, Inc. (b) 30,836 6,141 Cadence Design Systems, Inc. (b) 63,744 333 Citrix Systems, Inc. (b) 28,085 910 CommVault Systems, Inc. (b) 35,845 2,122 Compuware Corp. (b) 24,042 360 Concur Technologies, Inc. (b) 20,833 384 Ebix, Inc. (b) 8,774 1,254 Electronic Arts, Inc. (b) 25,306 1,642 Epicor Software Corp. (b) 20,525 190 FactSet Research Systems, Inc. 20,788 1,263 Fair Isaac Corp. 37,739 1,527 Informatica Corp. (b) 85,527 1,202 Interactive Intelligence, Inc. (b) 44,979 947 Intuit, Inc. (b) 52,615 600 JDA Software Group, Inc. (b) 19,662 555 Manhattan Associates, Inc. (b) 20,063 6,821 Mentor Graphics Corp. (b) 100,610 807 MICROS Systems, Inc. (b) 41,980 346 MicroStrategy, Inc., Class A (b) 48,890 1,022 NetScout Systems, Inc. (b) 26,153 2,263 Oracle Corp. 81,581 312 Progress Software Corp. (b) 9,251 539 Red Hat, Inc. (b) 25,586 376 Salesforce.com, Inc. (b) 52,114 1,321 Symantec Corp. (b) 25,958 1,339 Synchronoss Technologies, Inc. (b) 43,196 1,181 Take-Two Interactive Software, Inc. (b) 19,109 783 Taleo Corp., Class A (b) 28,399 3,662 TIBCO Software, Inc. (b) 109,823 383 Tyler Technologies, Inc. (b) 9,495 395 Websense, Inc. (b) 10,187 ------------ 1,404,502 ------------ SPECIALTY RETAIL -- 5.3% 1,714 Abercrombie & Fitch Co., Class A 121,351 608 Advance Auto Parts, Inc. 39,800 2,742 Ann, Inc. (b) 85,578 3,079 Ascena Retail Group, Inc. (b) 96,342 276 AutoZone, Inc. (b) 77,937 507 Bed Bath & Beyond, Inc. (b) 28,453 449 Buckle (The), Inc. 20,425 SHARES DESCRIPTION VALUE -------------------------------------------------------------- SPECIALTY RETAIL (CONTINUED) 1,116 Cabela's, Inc. (b) $ 28,503 2,352 CarMax, Inc. (b) 81,614 4,018 Chico's FAS, Inc. 58,783 1,997 Dick's Sporting Goods, Inc. (b) 81,737 1,408 Finish Line (The), Inc., Class A 30,258 903 Genesco, Inc. (b) 36,463 779 Hibbett Sports, Inc. (b) 29,431 351 J. Crew Group, Inc. (b) (c) - 549 Jos. A. Bank Clothiers, Inc. (b) 28,779 588 Kirkland's, Inc. (b) 8,873 3,062 Limited Brands, Inc. 126,032 275 Monro Muffler Brake, Inc. 8,354 426 O'Reilly Automotive, Inc. (b) 25,159 487 PetSmart, Inc. 20,537 1,770 Ross Stores, Inc. 130,431 819 Tiffany & Co. 56,871 1,011 TJX (The) Cos., Inc. 54,210 1,667 Tractor Supply Co. 103,137 537 Vitamin Shoppe, Inc. (b) 20,954 1,971 Williams-Sonoma, Inc. 85,561 687 Zumiez, Inc. (b) 19,312 ------------ 1,504,885 ------------ TEXTILES, APPAREL & LUXURY GOODS -- 2.9% 470 Coach, Inc. 28,111 2,037 Crocs, Inc. (b) 40,964 926 Deckers Outdoor Corp. (b) 78,580 1,066 Fossil, Inc. (b) 102,101 1,301 Iconix Brand Group, Inc. (b) 31,862 635 Maidenform Brands, Inc. (b) 20,104 1,062 Oxford Industries, Inc. 36,480 307 Phillips-Van Heusen Corp. 21,616 813 Polo Ralph Lauren Corp. 106,316 595 Steven Madden, Ltd. (b) 31,624 2,417 Timberland (The) Co., Class A (b) 109,224 1,465 Under Armour, Inc., Class A (b) 100,294 766 VF Corp. 77,029 349 Warnaco Group (The), Inc. (b) 22,462 749 Wolverine World Wide, Inc. 29,720 ------------ 836,487 ------------ TOBACCO -- 0.5% 529 Lorillard, Inc. 56,338 766 Philip Morris International, Inc. 53,191 689 Reynolds American, Inc. 25,569 ------------ 135,098 ------------ TRADING COMPANIES & DISTRIBUTORS -- 1.2% 1,164 Fastenal Co. 78,093 582 MSC Industrial Direct Co., Inc., Class A 41,665 2,998 United Rentals, Inc. (b) 88,201 Page 63 See Notes to Quarterly Portfolio of Investments FIRST TRUST MULTI CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) TRADING COMPANIES & DISTRIBUTORS (CONTINUED) 365 W.W. Grainger, Inc. $ 55,334 1,144 Watsco, Inc. 81,098 ------------ 344,391 ------------ WIRELESS TELECOMMUNICATION SERVICES -- 0.5% 7,750 MetroPCS Communications, Inc. (b) 130,433 ------------ TOTAL COMMON STOCKS -- 100.0% 28,607,215 (Cost $25,958,377) MONEY MARKET FUND -- 0.1% 33,821 Morgan Stanley Institutional Treasury Money Market Fund - 0.01% (d) 33,821 (Cost $33,821) ------------ TOTAL INVESTMENTS -- 100.1% 28,641,036 (Cost $25,992,198) (e) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (35,960) ------------ NET ASSETS -- 100.0% $ 28,605,076 ============ ================================================================================ (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) This security is fair valued in accordance with procedures adopted by the Trust's Board of Trustees and in accordance with the Investment Company Act of 1940, as amended. (d) Represents annualized 7-day yield at April 30, 2011. (e) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of April 30, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $2,784,420 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $135,582. ---------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of April 30, 2011 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------------------------- Common Stocks* $28,607,215 $ -- $ -- Money Market Fund 33,821 -- -- ------------------------------------------ TOTAL INVESTMENTS $28,641,036 $ -- $ -- ========================================== * See Portfolio of Investments for industry breakout. Page 64 See Notes to Quarterly Portfolio of Investments FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 1.0% 302 Alliant Techsystems, Inc. $ 21,336 ------------ AIRLINES -- 2.0% 1,146 AirTran Holdings, Inc. (b) 8,606 270 Alaska Air Group, Inc. (b) 17,785 2,724 JetBlue Airways Corp. (b) 15,418 ------------ 41,809 ------------ AUTOMOBILES -- 0.4% 256 Thor Industries, Inc. 7,939 ------------ CAPITAL MARKETS -- 0.2% 178 SEI Investments Co. 3,975 ------------ CHEMICALS -- 4.2% 296 Ashland, Inc. 18,376 370 Cabot Corp. 16,594 78 Cytec Industries, Inc. 4,577 250 Minerals Technologies, Inc. 17,000 186 Olin Corp. 4,788 180 RPM International, Inc. 4,230 358 Sensient Technologies Corp. 13,565 218 Valspar (The) Corp. 8,569 ------------ 87,699 ------------ COMMERCIAL BANKS -- 2.9% 90 Bank of Hawaii Corp. 4,391 106 Commerce Bancshares, Inc. 4,511 250 FirstMerit Corp. 4,368 384 Fulton Financial Corp. 4,485 698 International Bancshares Corp. 12,299 100 Prosperity Bancshares, Inc. 4,585 538 TCF Financial Corp. 8,388 364 Trustmark Corp. 8,459 398 Webster Financial Corp. 8,565 ------------ 60,051 ------------ COMMERCIAL SERVICES & SUPPLIES -- 1.3% 130 Brink's (The) Co. 4,291 526 Corrections Corp. of America (b) 13,092 296 Waste Connections, Inc. 9,108 ------------ 26,491 ------------ COMMUNICATIONS EQUIPMENT -- 0.4% 234 Plantronics, Inc. 8,674 ------------ CONSTRUCTION & ENGINEERING -- 2.0% 616 Aecom Technology Corp. (b) 16,792 114 KBR, Inc. 4,374 464 URS Corp. (b) 20,764 ------------ 41,930 ------------ CONTAINERS & PACKAGING -- 2.8% 256 AptarGroup, Inc. 13,427 196 Greif, Inc., Class A 12,172 444 Packaging Corp. of America 12,667 SHARES DESCRIPTION VALUE -------------------------------------------------------------- CONTAINERS & PACKAGING (CONTINUED) 354 Sonoco Products Co. $ 12,234 366 Temple-Inland, Inc. 8,612 ------------ 59,112 ------------ DIVERSIFIED CONSUMER SERVICES -- 2.4% 940 Career Education Corp. (b) 20,501 222 Matthews International Corp., Class A 8,911 1,204 Regis Corp. 20,468 ------------ 49,880 ------------ ELECTRIC UTILITIES -- 6.4% 622 Cleco Corp. 21,832 468 DPL, Inc. 14,176 1,066 Great Plains Energy, Inc. 21,938 344 Hawaiian Electric Industries, Inc. 8,768 560 IDACORP, Inc. 21,958 1,148 NV Energy, Inc. 17,438 572 PNM Resources, Inc. 8,769 646 Westar Energy, Inc. 17,578 ------------ 132,457 ------------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 5.7% 510 Arrow Electronics, Inc. (b) 23,251 626 Avnet, Inc. (b) 22,736 1,016 Ingram Micro, Inc., Class A (b) 19,030 228 Itron, Inc. (b) 12,410 336 Tech Data Corp. (b) 17,852 1,204 Vishay Intertechnology, Inc. (b) 22,972 ------------ 118,251 ------------ ENERGY EQUIPMENT & SERVICES -- 3.3% 540 Exterran Holdings, Inc. (b) 11,723 496 Helix Energy Solutions Group, Inc. (b) 9,389 290 Patterson-UTI Energy, Inc. 9,022 100 Pride International, Inc. (b) 4,391 286 Tidewater, Inc. 17,020 276 Unit Corp. (b) 17,394 ------------ 68,939 ------------ FOOD & STAPLES RETAILING -- 1.8% 262 BJ's Wholesale Club, Inc. (b) 13,446 554 Ruddick Corp. 23,002 ------------ 36,448 ------------ FOOD PRODUCTS -- 2.8% 314 Flowers Foods, Inc. 9,596 140 Lancaster Colony Corp. 8,556 250 Ralcorp Holdings, Inc. (b) 19,450 888 Smithfield Foods, Inc. (b) 20,921 ------------ 58,523 ------------ GAS UTILITIES -- 4.0% 322 AGL Resources, Inc. 13,366 Page 65 See Notes to Quarterly Portfolio of Investments FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) GAS UTILITIES (CONTINUED) 502 Atmos Energy Corp. $ 17,515 270 Energen Corp. 17,553 490 Questar Corp. 8,609 390 UGI Corp. 12,987 328 WGL Holdings, Inc. 12,963 ------------ 82,993 ------------ HEALTH CARE EQUIPMENT & SUPPLIES -- 2.1% 338 Hill-Rom Holdings, Inc. 15,213 648 Immucor, Inc. (b) 14,146 222 Teleflex, Inc. 13,988 ------------ 43,347 ------------ HEALTH CARE PROVIDERS & SERVICES -- 3.7% 320 Community Health Systems, Inc. (b) 9,834 262 Health Net, Inc. (b) 8,725 894 Kindred Healthcare, Inc. (b) 22,547 532 LifePoint Hospitals, Inc. (b) 22,136 132 Owens & Minor, Inc. 4,547 340 VCA Antech, Inc. (b) 8,364 ------------ 76,153 ------------ HOTELS, RESTAURANTS & LEISURE -- 2.8% 656 Bob Evans Farms, Inc. 20,572 1,824 Boyd Gaming Corp. (b) 16,307 430 International Speedway Corp., Class A 13,158 1,698 Wendy's/Arby's Group, Inc., Class A 8,184 ------------ 58,221 ------------ HOUSEHOLD DURABLES -- 2.1% 904 American Greetings Corp., Class A 22,239 280 Mohawk Industries, Inc. (b) 16,811 6 NVR, Inc. (b) 4,436 ------------ 43,486 ------------ HOUSEHOLD PRODUCTS -- 0.7% 180 Energizer Holdings, Inc. (b) 13,595 ------------ INDUSTRIAL CONGLOMERATES -- 0.2% 96 Carlisle Cos., Inc. 4,756 ------------ INSURANCE -- 12.0% 610 American Financial Group, Inc. 21,820 774 Aspen Insurance Holdings Ltd. 22,113 166 Brown & Brown, Inc. 4,291 242 Everest Re Group Ltd. 22,051 1,512 Fidelity National Financial, Inc., Class A 23,345 1,036 First American Financial Corp. 16,162 284 Hanover Insurance Group, Inc. 11,990 546 HCC Insurance Holdings, Inc. 17,767 328 Mercury General Corp. 13,035 482 Protective Life Corp. 12,971 SHARES DESCRIPTION VALUE -------------------------------------------------------------- INSURANCE (CONTINUED) 272 Reinsurance Group of America, Inc. $ 17,218 370 StanCorp Financial Group, Inc. 15,947 438 Transatlantic Holdings, Inc. 21,589 414 Unitrin, Inc. 12,519 530 W. R. Berkley Corp. 17,283 ------------ 250,101 ------------ INTERNET SOFTWARE & SERVICES -- 1.0% 1,182 ValueClick, Inc. (b) 19,799 ------------ IT SERVICES -- 3.3% 1,190 Acxiom Corp. (b) 17,327 188 Broadridge Financial Solutions, Inc. 4,369 230 CoreLogic, Inc. (b) 4,234 404 DST Systems, Inc. 19,921 504 ManTech International Corp., Class A (b) 22,121 ------------ 67,972 ------------ LIFE SCIENCES TOOLS & SERVICES -- 1.0% 106 Bio-Rad Laboratories, Inc., Class A (b) 13,263 154 Pharmaceutical Product Development, Inc. 4,751 60 Techne Corp. 4,662 ------------ 22,676 ------------ MACHINERY -- 1.8% 122 Harsco Corp. 4,343 604 Oshkosh Corp. (b) 19,123 226 Pentair, Inc. 9,076 116 Trinity Industries, Inc. 4,199 ------------ 36,741 ------------ MARINE -- 0.2% 94 Alexander & Baldwin, Inc. 4,954 ------------ MEDIA -- 2.9% 1,076 Harte-Hanks, Inc. 9,996 84 John Wiley & Sons, Inc., Class A 4,278 504 Meredith Corp. 16,844 902 New York Times (The) Co., Class A (b) 7,333 790 Scholastic Corp. 20,761 ------------ 59,212 ------------ METALS & MINING -- 1.0% 148 Reliance Steel & Aluminum Co. 8,378 456 Steel Dynamics, Inc. 8,295 204 Worthington Industries, Inc. 4,400 ------------ 21,073 ------------ MULTILINE RETAIL -- 1.1% 654 99 Cents Only Stores (b) 13,184 Page 66 See Notes to Quarterly Portfolio of Investments FIRST TRUST MID CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) MULTILINE RETAIL (CONTINUED) 756 Saks, Inc. (b) $ 9,042 ------------ 22,226 ------------ MULTI-UTILITIES -- 4.5% 438 Alliant Energy Corp. 17,319 510 Black Hills Corp. 17,723 744 MDU Resources Group, Inc. 17,774 184 NSTAR 8,519 254 OGE Energy Corp. 13,505 628 Vectren Corp. 17,948 ------------ 92,788 ------------ OIL, GAS & CONSUMABLE FUELS -- 2.3% 276 Comstock Resources, Inc. (b) 8,849 226 Forest Oil Corp. (b) 8,116 354 Plains Exploration & Production Co. (b) 13,466 596 Southern Union Co. 17,820 ------------ 48,251 ------------ PERSONAL PRODUCTS -- 0.2% 114 Alberto-Culver Co. 4,257 ------------ PROFESSIONAL SERVICES -- 0.6% 222 FTI Consulting, Inc. (b) 8,858 192 Korn/Ferry International (b) 3,976 ------------ 12,834 ------------ REAL ESTATE INVESTMENT TRUSTS -- 0.2% 186 Senior Housing Properties Trust 4,412 ------------ ROAD & RAIL -- 0.6% 484 Werner Enterprises, Inc. 12,666 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.5% 1,160 Integrated Device Technology, Inc. (b) 9,436 646 International Rectifier Corp. (b) 22,326 ------------ 31,762 ------------ SOFTWARE -- 0.2% 154 Synopsys, Inc. (b) 4,218 ------------ SPECIALTY RETAIL -- 6.3% 842 Aaron's, Inc. 24,241 1,076 American Eagle Outfitters, Inc. 16,743 1,860 Barnes & Noble, Inc. 20,442 990 Collective Brands, Inc. (b) 20,790 866 Foot Locker, Inc. 18,636 2,768 Office Depot, Inc. (b) 11,930 612 Rent-A-Center, Inc. 18,635 ------------ 131,417 ------------ TEXTILES, APPAREL & LUXURY GOODS -- 0.2% 158 Hanesbrands, Inc. (b) 5,137 ------------ SHARES DESCRIPTION VALUE -------------------------------------------------------------- THRIFTS & MORTGAGE FINANCE -- 1.2% 298 Astoria Financial Corp. $ 4,312 314 First Niagara Financial Group, Inc. 4,522 494 New York Community Bancorp, Inc. 8,200 492 Washington Federal, Inc. 7,916 ------------ 24,950 ------------ TOBACCO -- 1.0% 490 Universal Corp. 21,256 ------------ TRADING COMPANIES & DISTRIBUTORS -- 0.7% 332 GATX Corp. 14,034 ------------ WIRELESS TELECOMMUNICATION SERVICES -- 1.0% 634 Telephone and Data Systems, Inc. 21,277 ------------ TOTAL INVESTMENTS -- 100.0% 2,080,078 (Cost $2,006,285) (c) NET OTHER ASSETS AND LIABILITIES -- 0.0% (463) ------------ NET ASSETS -- 100.0% $ 2,079,615 ============ ================================================================================ (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of April 30, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $87,549 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $13,756. ---------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of April 30, 2011 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------------------------- Common Stocks* $2,080,078 $ -- $ -- ========================================== * See Portfolio of Investments for industry breakout. Page 67 See Notes to Quarterly Portfolio of Investments FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 100.0% AUTO COMPONENTS -- 1.8% 306 BorgWarner, Inc. (b) $ 23,636 486 Gentex Corp. 15,236 ------------ 38,872 ------------ BEVERAGES -- 0.5% 162 Hansen Natural Corp. (b) 10,716 ------------ BIOTECHNOLOGY -- 1.0% 74 United Therapeutics Corp. (b) 4,955 306 Vertex Pharmaceuticals, Inc. (b) 16,836 ------------ 21,791 ------------ BUILDING PRODUCTS -- 0.4% 186 Lennox International, Inc. 9,041 ------------ CAPITAL MARKETS -- 1.2% 134 Affiliated Managers Group, Inc. (b) 14,617 240 Waddell & Reed Financial, Inc., Class A 9,842 ------------ 24,459 ------------ CHEMICALS -- 3.0% 164 Albemarle Corp. 11,570 146 Lubrizol (The) Corp. 19,640 154 NewMarket Corp. 28,385 84 Scotts Miracle-Gro (The) Co., Class A 4,744 ------------ 64,339 ------------ COMMERCIAL BANKS -- 0.5% 172 SVB Financial Group (b) 10,396 ------------ COMMERCIAL SERVICES & SUPPLIES -- 3.3% 248 Clean Harbors, Inc. (b) 24,428 226 Copart, Inc. (b) 10,253 554 Deluxe Corp. 15,002 534 Herman Miller, Inc. 13,895 242 Rollins, Inc. 5,075 ------------ 68,653 ------------ COMMUNICATIONS EQUIPMENT -- 3.9% 346 ADTRAN, Inc. 14,279 942 Ciena Corp. (b) 26,602 472 Polycom, Inc. (b) 28,240 390 Riverbed Technology, Inc. (b) 13,705 ------------ 82,826 ------------ CONTAINERS & PACKAGING -- 1.4% 352 Rock-Tenn Co., Class A 24,313 128 Silgan Holdings, Inc. 5,870 ------------ 30,183 ------------ DISTRIBUTORS -- 0.5% 406 LKQ Corp. (b) 10,239 ------------ SHARES DESCRIPTION VALUE -------------------------------------------------------------- DIVERSIFIED CONSUMER SERVICES -- 1.9% 68 ITT Educational Services, Inc. (b) $ 4,878 1,328 Service Corp. International 15,631 372 Sotheby's 18,793 ------------ 39,302 ------------ ELECTRICAL EQUIPMENT -- 3.7% 84 Acuity Brands, Inc. 4,939 446 AMETEK, Inc. 20,534 276 Hubbell, Inc., Class B 19,317 198 Regal-Beloit Corp. 15,007 330 Thomas & Betts Corp. (b) 19,130 ------------ 78,927 ------------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.9% 746 National Instruments Corp. 22,634 388 Trimble Navigation Ltd. (b) 18,174 ------------ 40,808 ------------ ENERGY EQUIPMENT & SERVICES -- 2.4% 316 Atwood Oceanics, Inc. (b) 14,198 164 Oceaneering International, Inc. (b) 14,337 596 Superior Energy Services, Inc. (b) 22,898 ------------ 51,433 ------------ FOOD PRODUCTS -- 2.4% 472 Corn Products International, Inc. 26,007 378 Green Mountain Coffee Roasters, Inc. (b) 25,311 ------------ 51,318 ------------ GAS UTILITIES -- 0.2% 66 National Fuel Gas Co. 4,838 ------------ HEALTH CARE EQUIPMENT & SUPPLIES -- 3.4% 176 Beckman Coulter, Inc. 14,582 282 Cooper (The) Cos., Inc. 21,122 440 Hologic, Inc. (b) 9,689 64 IDEXX Laboratories, Inc. (b) 5,211 180 Kinetic Concepts, Inc. (b) 10,625 296 Masimo Corp. 10,298 ------------ 71,527 ------------ HEALTH CARE PROVIDERS & SERVICES -- 3.9% 1,796 Health Management Associates, Inc., Class A (b) 20,259 210 Henry Schein, Inc. (b) 15,345 164 Lincare Holdings, Inc. 5,153 396 Universal Health Services, Inc., Class B 21,693 466 WellCare Health Plans, Inc. (b) 20,415 ------------ 82,865 ------------ Page 68 See Notes to Quarterly Portfolio of Investments FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE -- 2.9% 580 Brinker International, Inc. $ 13,972 90 Chipotle Mexican Grill, Inc. (b) 24,011 192 Panera Bread Co., Class A (b) 23,253 ------------ 61,236 ------------ HOUSEHOLD DURABLES -- 0.7% 246 Tupperware Brands Corp. 15,663 ------------ HOUSEHOLD PRODUCTS -- 0.3% 62 Church & Dwight Co., Inc. 5,114 ------------ INSURANCE -- 0.2% 160 Arthur J. Gallagher & Co. 4,765 ------------ INTERNET SOFTWARE & SERVICES -- 1.3% 570 Rackspace Hosting, Inc. (b) 26,328 ------------ IT SERVICES -- 2.9% 284 Alliance Data Systems Corp. (b) 26,980 470 Gartner, Inc. (b) 20,168 434 Jack Henry & Associates, Inc. 14,743 ------------ 61,891 ------------ LEISURE EQUIPMENT & PRODUCTS -- 1.4% 282 Polaris Industries, Inc. 29,731 ------------ LIFE SCIENCES TOOLS & SERVICES -- 0.8% 86 Mettler-Toledo International, Inc. (b) 16,116 ------------ MACHINERY -- 10.9% 356 AGCO Corp. (b) 20,498 108 Bucyrus International, Inc. 9,877 202 Crane Co. 10,082 160 Donaldson Co., Inc. 9,797 188 Gardner Denver, Inc. 16,245 430 Graco, Inc. 21,513 224 IDEX Corp. 10,510 250 Kennametal, Inc. 10,555 258 Lincoln Electric Holdings, Inc. 20,274 426 Nordson Corp. 24,269 124 SPX Corp. 10,720 468 Timken (The) Co. 26,391 188 Valmont Industries, Inc. 19,796 288 Wabtec Corp. 20,557 ------------ 231,084 MARINE -- 0.7% 256 Kirby Corp. (b) 14,536 ------------ METALS & MINING -- 0.8% 230 Carpenter Technology Corp. 11,790 52 Compass Minerals International, Inc. 5,075 ------------ 16,865 ------------ MULTILINE RETAIL -- 0.2% 88 Dollar Tree, Inc. (b) 5,060 ------------ SHARES DESCRIPTION VALUE -------------------------------------------------------------- OFFICE ELECTRONICS -- 0.2% 124 Zebra Technologies Corp., Class A (b) $ 4,872 ------------ OIL, GAS & CONSUMABLE FUELS -- 4.3% 408 Arch Coal, Inc. 13,994 122 Bill Barrett Corp. (b) 5,091 212 Cimarex Energy Co. 23,445 366 Northern Oil And Gas, Inc. (b) 8,696 758 Patriot Coal Corp. (b) 19,087 264 SM Energy Co. 20,027 ------------ 90,340 ------------ PHARMACEUTICALS -- 1.8% 256 Endo Pharmaceuticals Holdings, Inc. (b) 10,025 306 Medicis Pharmaceutical Corp., Class A 10,851 184 Perrigo Co. 16,626 ------------ 37,502 ------------ PROFESSIONAL SERVICES -- 0.7% 122 Corporate Executive Board (The) Co. 4,862 176 Towers Watson & Co., Class A 10,095 ------------ 14,957 ------------ REAL ESTATE INVESTMENT TRUSTS -- 2.2% 136 AMB Property Corp. 4,950 350 Duke Realty Corp. 5,338 116 Nationwide Health Properties, Inc. 5,081 244 Potlatch Corp. 9,440 158 Rayonier, Inc. 10,485 66 SL Green Realty Corp. 5,447 92 Taubman Centers, Inc. 5,350 ------------ 46,091 ------------ REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.7% 148 Jones Lang LaSalle, Inc. 15,152 ------------ ROAD & RAIL -- 2.2% 324 J.B. Hunt Transport Services, Inc. 15,448 360 Kansas City Southern (b) 20,920 214 Landstar System, Inc. 10,143 ------------ 46,511 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 6.9% 1,436 Atmel Corp. (b) 21,971 758 Cypress Semiconductor Corp. (b) 16,494 1,344 Fairchild Semiconductor International, Inc. (b) 28,184 346 Lam Research Corp. (b) 16,715 764 RF Micro Devices, Inc. (b) 5,088 586 Semtech Corp. (b) 16,449 604 Skyworks Solutions, Inc. (b) 19,002 Page 69 See Notes to Quarterly Portfolio of Investments FIRST TRUST MID CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 502 Varian Semiconductor Equipment Associates, Inc. (b) $ 21,049 ------------ 144,952 ------------ SOFTWARE -- 6.5% 448 ACI Worldwide, Inc. (b) 14,802 90 ANSYS, Inc. (b) 4,976 1,506 Cadence Design Systems, Inc. (b) 15,632 88 Concur Technologies, Inc. (b) 5,092 46 FactSet Research Systems, Inc. 5,033 310 Fair Isaac Corp. 9,263 374 Informatica Corp. (b) 20,948 1,672 Mentor Graphics Corp. (b) 24,662 198 MICROS Systems, Inc. (b) 10,300 898 TIBCO Software, Inc. (b) 26,931 ------------ 137,639 ------------ SPECIALTY RETAIL -- 6.6% 150 Advance Auto Parts, Inc. 9,819 672 Ann, Inc. (b) 20,973 754 Ascena Retail Group, Inc. (b) 23,593 986 Chico's FAS, Inc. 14,425 490 Dick's Sporting Goods, Inc. (b) 20,056 120 PetSmart, Inc. 5,060 408 Tractor Supply Co. 25,243 484 Williams-Sonoma, Inc. 21,010 ------------ 140,179 ------------ TEXTILES, APPAREL & LUXURY GOODS -- 5.1% 228 Deckers Outdoor Corp. (b) 19,348 262 Fossil, Inc. (b) 25,094 6 Phillips-Van Heusen Corp. 5,351 592 Timberland (The) Co., Class A (b) 26,753 360 Under Armour, Inc., Class A (b) 24,646 86 Warnaco Group (The), Inc. (b) 5,535 ------------ 106,727 ------------ TRADING COMPANIES & DISTRIBUTORS -- 2.4% 142 MSC Industrial Direct Co., Inc., Class A 10,166 736 United Rentals, Inc. (b) 21,653 280 Watsco, Inc. 19,849 ------------ 51,668 ------------ TOTAL INVESTMENTS -- 100.0% 2,117,512 (Cost $2,017,522) (c) NET OTHER ASSETS AND LIABILITIES -- 0.0% (547) ------------ NET ASSETS -- 100.0% $ 2,116,965 ============ ================================================================================ (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of April 30, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $113,641 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $13,651. ---------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of April 30, 2011 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------------------------- Common Stocks* $2,117,512 $ -- $ -- ========================================== * See Portfolio of Investments for industry breakout. Page 70 See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 2.0% 298 AAR Corp. $ 7,760 60 Ceradyne, Inc. (b) 2,812 318 Curtiss-Wright Corp. 10,573 116 Esterline Technologies Corp. (b) 8,329 180 Moog, Inc., Class A (b) 7,941 108 Teledyne Technologies, Inc. (b) 5,453 ------------ 42,868 ------------ AIRLINES -- 0.7% 828 SkyWest, Inc. 13,687 ------------ AUTO COMPONENTS -- 1.2% 368 Drew Industries, Inc. 8,858 816 Spartan Motors, Inc. 5,516 810 Standard Motor Products, Inc. 11,542 ------------ 25,916 ------------ BUILDING PRODUCTS -- 0.8% 208 Apogee Enterprises, Inc. 2,970 210 Griffon Corp. (b) 2,675 140 Quanex Building Products Corp. 2,935 94 Simpson Manufacturing Co., Inc. 2,625 152 Universal Forest Products, Inc. 4,908 ------------ 16,113 ------------ CAPITAL MARKETS -- 1.6% 616 Investment Technology Group, Inc. (b) 10,540 136 Piper Jaffray Cos. (b) 4,875 1,148 Prospect Capital Corp. 13,902 392 TradeStation Group, Inc. (b) 3,783 ------------ 33,100 ------------ CHEMICALS -- 3.4% 334 A. Schulman, Inc. 8,457 1,292 American Vanguard Corp. 11,525 134 Arch Chemicals, Inc. 5,182 172 Calgon Carbon Corp. (b) 2,951 522 H.B. Fuller Co. 11,406 384 OM Group, Inc. (b) 13,916 154 Stepan Co. 11,083 430 STR Holdings, Inc. (b) 7,082 ------------ 71,602 ------------ COMMERCIAL BANKS -- 3.8% 62 Bank of the Ozarks, Inc. 2,761 78 City Holding Co. 2,660 144 Columbia Banking System, Inc. 2,716 340 Community Bank System, Inc. 8,507 400 First Commonwealth Financial Corp. 2,480 164 First Financial Bancorp 2,703 182 Glacier Bancorp, Inc. 2,735 84 Hancock Holding Co. 2,743 208 Independent Bank Corp. 6,096 246 NBT Bancorp, Inc. 5,560 256 Old National Bancorp 2,650 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMERCIAL BANKS (CONTINUED) 260 S&T Bancorp, Inc. $ 5,307 304 Simmons First National Corp., Class A 8,022 294 Susquehanna Bancshares, Inc. 2,711 134 Tompkins Financial Corp. 5,459 150 UMB Financial Corp. 6,316 240 Umpqua Holdings Corp. 2,786 104 United Bankshares, Inc. 2,721 152 Wintrust Financial Corp. 5,121 ------------ 80,054 ------------ COMMERCIAL SERVICES & SUPPLIES -- 2.9% 220 ABM Industries, Inc. 5,351 422 G&K Services, Inc., Class A 13,968 218 Geo Group (The), Inc. (b) 5,816 1,688 Standard Register (The) Co. 5,807 226 Tetra Tech, Inc. (b) 5,338 264 UniFirst Corp. 13,665 116 United Stationers, Inc. 8,359 114 Viad Corp. 2,828 ------------ 61,132 ------------ COMMUNICATIONS EQUIPMENT -- 3.9% 646 Arris Group, Inc. (b) 7,752 510 Bel Fuse, Inc., Class B 10,266 398 Black Box Corp. 13,906 516 Comtech Telecommunications Corp. 14,603 780 Digi International, Inc. (b) 9,212 570 EMS Technologies, Inc. (b) 14,398 1,380 Tekelec (b) 11,523 ------------ 81,660 ------------ COMPUTERS & PERIPHERALS -- 0.7% 1,128 Intevac, Inc. (b) 13,795 ------------- CONSTRUCTION & ENGINEERING -- 0.6% 324 Dycom Industries, Inc. (b) 4,815 308 Insituform Technologies, Inc., Class A (b) 7,795 ------------ 12,610 ------------ DISTRIBUTORS -- 0.6% 1,752 Audiovox Corp., Class A (b) 12,930 ------------ DIVERSIFIED CONSUMER SERVICES -- 0.4% 622 Corinthian Colleges, Inc. (b) 2,768 260 Hillenbrand, Inc. 5,959 ------------ 8,727 ------------ ELECTRIC UTILITIES -- 2.6% 212 ALLETE, Inc. 8,584 602 Central Vermont Public Service Corp. 14,093 368 El Paso Electric Co. (b) 11,401 270 UIL Holdings Corp. 8,591 Page 71 See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRIC UTILITIES (CONTINUED) 310 Unisource Energy Corp. $ 11,510 ------------ 54,179 ------------ ELECTRICAL EQUIPMENT -- 1.2% 180 AZZ, Inc. 7,880 230 Brady Corp., Class A 8,673 112 Encore Wire Corp. 3,126 142 Powell Industries, Inc. (b) 5,612 ------------ 25,291 ------------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 4.8% 478 Agilysys, Inc. (b) 2,495 738 Benchmark Electronics, Inc. (b) 12,472 254 Brightpoint, Inc. (b) 2,570 250 Checkpoint Systems, Inc. (b) 5,265 198 Cognex Corp. 6,193 1,038 CTS Corp. 11,408 822 Insight Enterprises, Inc. (b) 14,106 682 Methode Electronics, Inc. 8,430 256 Park Electrochemical Corp. 8,184 234 Plexus Corp. (b) 8,539 148 ScanSource, Inc. (b) 5,294 428 SYNNEX Corp. (b) 14,351 ------------ 99,307 ------------ ENERGY EQUIPMENT & SERVICES -- 2.3% 296 Bristow Group, Inc. (b) 13,734 174 Gulf Island Fabrication, Inc. 6,149 364 Hornbeck Offshore Services, Inc. (b) 10,640 198 Pioneer Drilling Co. (b) 3,069 152 SEACOR Holdings, Inc. 15,022 ------------ 48,614 ------------ FOOD & STAPLES RETAILING -- 1.6% 144 Casey's General Stores, Inc. 5,620 370 Nash Finch Co. 13,772 948 Spartan Stores, Inc. 14,798 ------------ 34,190 ------------ FOOD PRODUCTS -- 2.4% 474 Cal-Maine Foods, Inc. 13,694 176 J & J Snack Foods Corp. 8,944 306 Sanderson Farms, Inc. 14,566 470 Seneca Foods Corp., Class A (b) 13,141 ------------ 50,345 ------------ GAS UTILITIES -- 1.8% 216 Laclede Group (The), Inc. 8,288 64 New Jersey Resources Corp. 2,802 178 Northwest Natural Gas Co. 8,230 184 Piedmont Natural Gas Co., Inc. 5,842 288 Southwest Gas Corp. 11,454 ------------ 36,616 ------------ SHARES DESCRIPTION VALUE -------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.5% 314 CONMED Corp. (b) $ 8,817 450 CryoLife, Inc. (b) 2,628 424 Greatbatch, Inc. (b) 11,478 188 ICU Medical, Inc. (b) 8,481 88 Invacare Corp. 2,895 1,144 Symmetry Medical, Inc. (b) 11,383 126 West Pharmaceutical Services, Inc. 5,952 ------------ 51,634 ------------ HEALTH CARE PROVIDERS & SERVICES -- 5.6% 400 Amedisys, Inc. (b) 13,328 440 AmSurg Corp. (b) 11,818 170 Centene Corp. (b) 6,159 350 Cross Country Healthcare, Inc. (b) 2,597 294 Gentiva Health Services, Inc. (b) 8,232 912 Healthways, Inc. (b) 15,431 374 LHC Group, Inc. (b) 11,078 286 Magellan Health Services, Inc. (b) 14,878 206 Molina Healthcare, Inc. (b) 8,858 1,224 PharMerica Corp. (b) 16,108 224 RehabCare Group, Inc. (b) 8,416 ------------ 116,903 ------------ HOTELS, RESTAURANTS & LEISURE -- 4.9% 364 Jack in the Box, Inc. (b) 7,516 1,286 Marcus (The) Corp. 14,262 1,348 Monarch Casino & Resort, Inc. (b) 15,448 1,956 Multimedia Games, Inc. (b) 11,482 1,380 O'Charley's, Inc. (b) 9,025 260 Papa John's International, Inc. (b) 7,816 306 Red Robin Gourmet Burgers, Inc. (b) 8,320 1,068 Ruby Tuesday, Inc. (b) 11,225 2,172 Ruth's Hospitality Group, Inc. (b) 10,665 524 Shuffle Master, Inc. (b) 5,727 ------------ 101,486 ------------ HOUSEHOLD DURABLES -- 2.3% 432 Blyth, Inc. 20,365 476 Helen of Troy Ltd. (b) 14,813 1,174 La-Z-Boy, Inc. (b) 13,806 ------------ 48,984 ------------ HOUSEHOLD PRODUCTS -- 0.7% 1,522 Central Garden & Pet Co., Class A (b) 15,250 ------------ INDUSTRIAL CONGLOMERATES -- 0.8% 218 Standex International Corp. 7,970 382 Tredegar Corp. 8,358 ------------ 16,328 ------------ INSURANCE -- 8.1% 372 AMERISAFE, Inc. (b) 8,307 364 Delphi Financial Group, Inc., Class A 11,630 Page 72 See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 272 Employers Holdings, Inc. $ 5,483 668 Horace Mann Educators Corp. 11,944 236 Infinity Property & Casualty Corp. 13,948 1,354 Meadowbrook Insurance Group, Inc. 13,865 760 National Financial Partners Corp. (b) 12,228 160 Navigators Group (The), Inc. (b) 8,293 588 Presidential Life Corp. 6,550 222 ProAssurance Corp. (b) 14,741 194 RLI Corp. 11,492 244 Safety Insurance Group, Inc. 11,424 648 Selective Insurance Group, Inc. 11,431 262 Stewart Information Services Corp. 2,657 584 Tower Group, Inc. 13,356 554 United Fire & Casualty Co. 10,969 ------------ 168,318 ------------ INTERNET & CATALOG RETAIL -- 0.4% 568 Nutrisystem, Inc. 8,543 ------------ INTERNET SOFTWARE & SERVICES -- 1.1% 952 InfoSpace, Inc. (b) 8,568 2,222 United Online, Inc. 14,665 ------------ 23,233 ------------ IT SERVICES -- 1.4% 182 CACI International, Inc., Class A (b) 11,122 156 Heartland Payment Systems, Inc. 3,114 338 NCI, Inc., Class A (b) 8,318 290 TeleTech Holdings, Inc. (b) 5,762 ------------ 28,316 ------------ LEISURE EQUIPMENT & PRODUCTS -- 1.4% 720 Arctic Cat, Inc. (b) 12,089 402 Callaway Golf Co. 2,846 724 JAKKS Pacific, Inc. (b) 15,233 ------------ 30,168 ------------ LIFE SCIENCES TOOLS & SERVICES -- 1.2% 528 Affymetrix, Inc. (b) 2,851 2,038 Cambrex Corp. (b) 10,720 828 eResearchTechnology, Inc. (b) 5,266 524 Kendle International, Inc. (b) 5,266 ------------ 24,103 ------------ MACHINERY -- 3.9% 94 Actuant Corp., Class A 2,610 330 Albany International Corp., Class A 8,352 150 Astec Industries, Inc. (b) 5,817 136 Badger Meter, Inc. 5,156 394 Barnes Group, Inc. 9,748 122 Briggs & Stratton Corp. 2,878 216 ESCO Technologies, Inc. 7,923 292 John Bean Technologies Corp. 5,901 SHARES DESCRIPTION VALUE -------------------------------------------------------------- MACHINERY (CONTINUED) 142 Kaydon Corp. $ 5,495 1,260 Lydall, Inc. (b) 12,285 224 Mueller Industries, Inc. 8,763 146 Watts Water Technologies, Inc., Class A 5,650 ------------ 80,578 ------------ MEDIA -- 0.6% 1,416 E.W. Scripps (The) Co., Class A (b) 13,452 ------------ METALS & MINING -- 0.1% 56 Kaiser Aluminum Corp. 2,806 ------------ MULTILINE RETAIL -- 1.2% 842 Fred's, Inc., Class A 11,754 2,860 Tuesday Morning Corp. (b) 14,300 ------------ 26,054 ------------ MULTI-UTILITIES -- 1.6% 484 Avista Corp. 11,785 164 CH Energy Group, Inc. 8,794 370 NorthWestern Corp. 12,044 ------------ 32,623 ------------ OIL, GAS & CONSUMABLE FUELS -- 1.1% 660 Penn Virginia Corp. 10,204 1,198 PetroQuest Energy, Inc. (b) 10,495 68 World Fuel Services Corp. 2,691 ------------ 23,390 ------------ PAPER & FOREST PRODUCTS -- 1.5% 138 Clearwater Paper Corp. (b) 10,830 374 Neenah Paper, Inc. 8,725 1,834 Wausau Paper Corp. 12,380 ------------ 31,935 ------------ PERSONAL PRODUCTS -- 0.1% 238 Prestige Brands Holdings, Inc. (b) 2,749 ------------ PROFESSIONAL SERVICES -- 1.0% 258 Kelly Services, Inc., Class A (b) 4,931 1,122 Navigant Consulting, Inc. (b) 13,071 194 SFN Group, Inc. (b) 2,043 ------------ 20,045 ------------ REAL ESTATE INVESTMENT TRUSTS -- 1.0% 58 Entertainment Properties Trust 2,761 196 Franklin Street Properties Corp. 2,772 360 Getty Realty Corp. 9,148 96 LTC Properties, Inc. 2,824 144 Urstadt Biddle Properties, Inc., Class A 2,834 ------------ 20,339 ------------ ROAD & RAIL -- 0.6% 106 Arkansas Best Corp. 2,439 320 Heartland Express, Inc. 5,520 Page 73 See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) ROAD & RAIL (CONTINUED) 292 Knight Transportation, Inc. $ 5,259 ------------ 13,218 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 5.1% 686 Advanced Energy Industries, Inc. (b) 9,707 742 ATMI, Inc. (b) 14,773 1,020 Brooks Automation, Inc. (b) 12,474 912 Cohu, Inc. 13,142 1,352 Pericom Semiconductor Corp. (b) 12,290 1,280 Rudolph Technologies, Inc. (b) 14,477 432 Sigma Designs, Inc. (b) 5,512 112 Standard Microsystems Corp. (b) 3,041 252 Supertex, Inc. (b) 5,441 768 Tessera Technologies, Inc. (b) 15,176 ------------ 106,033 ------------ SOFTWARE -- 0.6% 390 EPIQ Systems, Inc. 5,550 1,806 THQ, Inc. (b) 7,296 ------------ 12,846 ------------ SPECIALTY RETAIL -- 7.3% 940 Big 5 Sporting Goods Corp. 11,233 1,146 Brown Shoe Co., Inc. 14,497 458 Cato (The) Corp., Class A 11,684 224 Children's Place Retail Stores (The), Inc. (b) 11,910 424 Christopher & Banks Corp. 2,608 1,040 Coldwater Creek, Inc. (b) 3,172 130 Group 1 Automotive, Inc. 5,595 622 Haverty Furniture Cos., Inc. 8,148 1,966 Hot Topic, Inc. 13,192 566 Lithia Motors, Inc., Class A 10,295 414 Men's Wearhouse (The), Inc. 11,546 434 OfficeMax, Inc. (b) 4,323 648 Pep Boys-Manny, Moe & Jack (The) 8,878 800 Sonic Automotive, Inc., Class A 11,280 584 Stage Stores, Inc. 11,248 1,108 Stein Mart, Inc. 12,055 ------------ 151,664 ------------ TEXTILES, APPAREL & LUXURY GOODS -- 1.2% 408 Perry Ellis International, Inc. (b) 11,498 682 Skechers U.S.A., Inc., Class A (b) 12,992 ------------ 24,490 ------------ THRIFTS & MORTGAGE FINANCE -- 0.6% 260 Brookline Bancorp, Inc. 2,397 186 Dime Community Bancshares, Inc. 2,876 378 Provident Financial Services, Inc. 5,488 SHARES DESCRIPTION VALUE -------------------------------------------------------------- THRIFTS & MORTGAGE FINANCE (CONTINUED) 464 TrustCo Bank Corp. NY $ 2,784 ------------ 13,545 ------------ TOBACCO -- 0.7% 3,486 Alliance One International, Inc. (b) 13,909 ------------ TRADING COMPANIES & DISTRIBUTORS -- 0.8% 248 Applied Industrial Technologies, Inc. 8,744 78 Kaman Corp. 2,902 244 Lawson Products, Inc. 5,375 ------------ 17,021 ------------ WATER UTILITIES -- 0.3% 156 American States Water Co. 5,446 ------------ WIRELESS TELECOMMUNICATION SERVICES -- 1.0% 304 NTELOS Holdings Corp. 5,998 966 USA Mobility, Inc. 14,925 ------------ 20,923 ------------ TOTAL INVESTMENTS -- 100.0% 2,089,068 (Cost $1,997,092) (c) NET OTHER ASSETS AND LIABILITIES -- 0.0% 622 ------------ NET ASSETS -- 100.0% $ 2,089,690 ============ ================================================================================ (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of April 30, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $99,561 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $7,585. Page 74 See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP VALUE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) ---------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of April 30, 2011 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------------------------- Common Stocks* $2,089,068 $ -- $ -- ========================================== * See Portfolio of Investments for industry breakout. Page 75 See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 2.4% 387 Aerovironment, Inc. (b) $ 11,088 72 American Science & Engineering, Inc. 6,343 300 Cubic Corp. 16,224 356 Orbital Sciences Corp. (b) 6,703 116 Triumph Group, Inc. 9,990 ------------ 50,348 ------------ AIR FREIGHT & LOGISTICS -- 0.9% 220 Forward Air Corp. 7,397 286 Hub Group, Inc., Class A (b) 11,520 ------------ 18,917 ------------ AUTO COMPONENTS -- 0.8% 675 Superior Industries International, Inc. 17,057 ------------ BEVERAGES -- 0.3% 72 Boston Beer (The) Co., Inc., Class A (b) 6,787 ------------ BIOTECHNOLOGY -- 1.7% 944 ArQule, Inc. (b) 6,665 134 Cubist Pharmaceuticals, Inc. (b) 4,536 430 Emergent Biosolutions, Inc. (b) 9,980 300 Regeneron Pharmaceuticals, Inc. (b) 15,333 ------------ 36,514 ------------ BUILDING PRODUCTS -- 0.6% 76 A.O. Smith Corp. 3,342 204 AAON, Inc. 6,701 266 NCI Building Systems, Inc. (b) 3,293 ------------ 13,336 ------------ CAPITAL MARKETS -- 0.6% 282 Stifel Financial Corp. (b) 12,882 ------------ CHEMICALS -- 3.2% 180 Balchem Corp. 7,144 406 Koppers Holdings, Inc. 18,566 437 LSB Industries, Inc. (b) 17,633 951 PolyOne Corp. 13,771 258 Quaker Chemical Corp. 11,656 ------------ 68,770 ------------ COMMERCIAL BANKS -- 0.7% 437 National Penn Bancshares, Inc. 3,588 184 Signature Bank (b) 10,710 ------------ 14,298 ------------ COMMERCIAL SERVICES & SUPPLIES -- 2.1% 190 Consolidated Graphics, Inc. (b) 10,668 384 Healthcare Services Group, Inc. 6,820 731 Interface, Inc., Class A 13,626 280 Mobile Mini, Inc. (b) 6,975 342 Sykes Enterprises, Inc. (b) 6,850 ------------ 44,939 ------------ SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMUNICATIONS EQUIPMENT -- 1.7% 210 DG Fastchannel, Inc. (b) $ 7,684 1,108 Harmonic, Inc. (b) 9,174 208 NETGEAR, Inc. (b) 8,684 172 Oplink Communications, Inc. (b) 3,406 671 Tollgrade Communications, Inc. (b) 6,770 ------------ 35,718 ------------ COMPUTERS & PERIPHERALS -- 1.8% 369 Stratasys, Inc. (b) 19,870 1,080 Super Micro Computer, Inc. (b) 18,425 ------------ 38,295 ------------ CONSUMER FINANCE -- 2.6% 294 Cash America International, Inc. 13,950 431 EZCORP, Inc., Class A (b) 13,572 350 First Cash Financial Services, Inc. (b) 13,734 206 World Acceptance Corp. (b) 13,998 ------------ 55,254 ------------ DIVERSIFIED CONSUMER SERVICES -- 0.5% 84 American Public Education, Inc. (b) 3,549 74 Coinstar, Inc. (b) 3,995 50 Pre-Paid Legal Services, Inc. (b) 3,297 ------------ 10,841 ------------ DIVERSIFIED FINANCIAL SERVICES -- 0.5% 122 Portfolio Recovery Associates, Inc. (b) 11,012 ------------ DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.2% 308 General Communication, Inc., Class A (b) 3,542 ------------ ELECTRICAL EQUIPMENT -- 1.2% 276 Belden, Inc. 10,496 208 II-VI, Inc. (b) 12,033 204 Vicor Corp. 3,409 ------------ 25,938 ------------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 7.2% 779 Electro Scientific Industries, Inc. (b) 12,814 433 FARO Technologies, Inc. (b) 18,693 236 Littelfuse, Inc. 14,682 721 LoJack Corp. (b) 3,302 639 Mercury Computer Systems, Inc. (b) 12,339 228 MTS Systems Corp. 10,094 758 Newport Corp. (b) 14,197 90 OSI Systems, Inc. (b) 3,455 1,718 Pulse Electronics Corp. 10,274 438 Rofin-Sinar Technologies, Inc. (b) 18,970 384 Rogers Corp. (b) 15,944 954 TTM Technologies, Inc. (b) 18,240 ------------ 153,004 ------------ Page 76 See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) ENERGY EQUIPMENT & SERVICES -- 4.2% 679 Basic Energy Services, Inc. (b) $ 20,872 122 CARBO Ceramics, Inc. 19,635 1,065 ION Geophysical Corp. (b) 13,462 184 Lufkin Industries, Inc. 16,989 226 Oil States International, Inc. (b) 18,760 ------------ 89,718 ------------ FOOD & STAPLES RETAILING -- 1.6% 354 Andersons (The), Inc. 17,576 386 United Natural Foods, Inc. (b) 16,478 ------------ 34,054 ------------ FOOD PRODUCTS -- 3.2% 720 B&G Foods, Inc., Class A 13,018 154 Calavo Growers, Inc. 3,234 1,127 Darling International, Inc. (b) 18,223 186 Diamond Foods, Inc. 12,202 322 Hain Celestial Group (The), Inc. (b) 10,951 182 TreeHouse Foods, Inc. (b) 11,042 ------------ 68,670 ------------ GAS UTILITIES -- 0.2% 60 South Jersey Industries, Inc. 3,447 ------------ HEALTH CARE EQUIPMENT & SUPPLIES -- 3.7% 116 Abaxis, Inc. (b) 3,370 184 Analogic Corp. 10,611 404 Cantel Medical Corp. 10,476 212 Cyberonics, Inc. (b) 7,541 530 Merit Medical Systems, Inc. (b) 12,360 402 Natus Medical, Inc. (b) 6,822 162 Neogen Corp. (b) 6,788 228 Palomar Medical Technologies, Inc. (b) 3,650 302 Zoll Medical Corp. (b) 17,117 ------------ 78,735 ------------ HEALTH CARE PROVIDERS & SERVICES -- 7.5% 200 Air Methods Corp. (b) 13,524 90 Almost Family, Inc. (b) 3,120 270 AMERIGROUP Corp. (b) 18,441 150 Bio-Reference Laboratories, Inc. (b) 3,782 310 Catalyst Health Solutions, Inc. (b) 18,464 50 Chemed Corp. 3,482 194 CorVel Corp. (b) 10,049 542 Ensign Group (The), Inc. 14,992 462 Healthspring, Inc. (b) 19,168 164 HMS Holdings Corp. (b) 12,908 298 IPC Hospitalist (The) Co. (b) 15,454 214 MWI Veterinary Supply, Inc. (b) 17,798 248 PSS World Medical, Inc. (b) 7,133 ------------ 158,315 ------------ SHARES DESCRIPTION VALUE -------------------------------------------------------------- HEALTH CARE TECHNOLOGY -- 1.1% 210 Computer Programs & Systems, Inc. $ 12,346 124 Quality Systems, Inc. 11,125 ------------ 23,471 ------------ HOTELS, RESTAURANTS & LEISURE -- 2.5% 16 Biglari Holdings, Inc. (b) 6,996 344 BJ's Restaurants, Inc. (b) 16,151 124 Buffalo Wild Wings, Inc. (b) 7,576 122 DineEquity, Inc. (b) 6,096 140 Peet's Coffee & Tea, Inc. (b) 6,507 496 Pinnacle Entertainment, Inc. (b) 6,885 198 Texas Roadhouse, Inc. 3,222 ------------ 53,433 ------------ HOUSEHOLD DURABLES -- 0.3% 228 Universal Electronics, Inc. (b) 6,313 ------------ HOUSEHOLD PRODUCTS -- 0.2% 80 WD-40 Co. 3,320 ------------ INTERNET & CATALOG RETAIL -- 0.2% 106 HSN, Inc. (b) 3,517 ------------ INTERNET SOFTWARE & SERVICES -- 2.8% 458 comScore, Inc. (b) 13,653 294 DealerTrack Holdings, Inc. (b) 6,603 561 Knot (The), Inc. (b) 5,728 582 Liquidity Services, Inc. (b) 11,320 80 LogMeIn, Inc. (b) 3,446 280 Perficient, Inc. (b) 3,497 432 RightNow Technologies, Inc. (b) 15,630 ------------ 59,877 ------------ IT SERVICES -- 2.8% 511 Cardtronics, Inc. (b) 10,859 88 Forrester Research, Inc. 3,477 180 iGATE Corp. 3,053 1,423 Integral Systems, Inc. (b) 17,773 128 MAXIMUS, Inc. 10,238 260 Wright Express Corp. (b) 14,646 ------------ 60,046 ------------ LEISURE EQUIPMENT & PRODUCTS -- 1.4% 681 Brunswick Corp. 15,915 588 Sturm, Ruger & Co., Inc. 13,983 ------------ 29,898 ------------ LIFE SCIENCES TOOLS & SERVICES -- 0.7% 56 Dionex Corp. (b) 6,628 270 PAREXEL International Corp. (b) 7,495 ------------ 14,123 ------------ MACHINERY -- 3.0% 152 Cascade Corp. 6,962 Page 77 See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 220 CIRCOR International, Inc. $ 9,995 74 CLARCOR, Inc. 3,344 92 EnPro Industries, Inc. (b) 3,687 218 Lindsay Corp. 15,984 294 Robbins & Myers, Inc. 12,780 156 Toro (The) Co. 10,594 ------------ 63,346 ------------ MEDIA -- 0.1% 84 Arbitron, Inc. 3,249 ------------ METALS & MINING -- 2.4% 376 AMCOL International Corp. 13,995 927 Century Aluminum Co. (b) 18,521 425 Materion Corp. (b) 17,748 ------------ 50,264 ------------ OIL, GAS & CONSUMABLE FUELS -- 3.5% 106 Contango Oil & Gas Co. (b) 6,563 554 GeoResources, Inc. (b) 16,077 479 Gulfport Energy Corp. (b) 16,305 361 Petroleum Development Corp. (b) 14,375 310 Stone Energy Corp. (b) 10,962 242 Swift Energy Co. (b) 9,484 ------------ 73,766 ------------ PAPER & FOREST PRODUCTS -- 2.3% 636 Buckeye Technologies, Inc. 17,910 202 Deltic Timber Corp. 13,696 1,009 KapStone Paper & Packaging Corp. (b) 17,536 ------------ 49,142 ------------ PHARMACEUTICALS -- 1.1% 469 Questcor Pharmaceuticals, Inc. (b) 9,614 679 ViroPharma, Inc. (b) 13,098 ------------ 22,712 ------------ PROFESSIONAL SERVICES -- 0.9% 232 Exponent, Inc. (b) 9,955 222 Insperity, Inc. 6,725 200 TrueBlue, Inc. (b) 2,816 ------------ 19,496 ------------ REAL ESTATE INVESTMENT TRUSTS -- 2.0% 176 Colonial Properties Trust 3,724 326 Extra Space Storage, Inc. 7,058 86 Kilroy Realty Corp. 3,607 1,446 Lexington Realty Trust 14,431 344 Post Properties, Inc. 13,966 ------------ 42,786 ------------ ROAD & RAIL -- 0.7% 384 Old Dominion Freight Line, Inc. (b) 14,369 ------------ SHARES DESCRIPTION VALUE -------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 8.4% 258 Cabot Microelectronics Corp. (b) $ 12,603 506 CEVA, Inc. (b) 15,474 306 Cymer, Inc. (b) 14,722 509 Diodes, Inc. (b) 17,418 401 FEI Co. (b) 13,016 162 Hittite Microwave Corp. (b) 10,431 736 Kopin Corp. (b) 3,540 1,852 Kulicke & Soffa Industries, Inc. (b) 16,779 501 Micrel, Inc. 6,418 162 Microsemi Corp. (b) 3,823 520 MKS Instruments, Inc. 14,758 1,047 TriQuint Semiconductor, Inc. (b) 14,417 589 Ultratech, Inc. (b) 18,442 266 Veeco Instruments, Inc. (b) 13,601 136 Volterra Semiconductor Corp. (b) 3,575 ------------ 179,017 ------------ SOFTWARE -- 6.6% 412 Bottomline Technologies, Inc. (b) 11,445 338 CommVault Systems, Inc. (b) 13,314 142 Ebix, Inc. (b) 3,245 611 Epicor Software Corp. (b) 7,638 446 Interactive Intelligence, Inc. (b) 16,689 222 JDA Software Group, Inc. (b) 7,275 206 Manhattan Associates, Inc. (b) 7,447 128 MicroStrategy, Inc., Class A (b) 18,086 380 NetScout Systems, Inc. (b) 9,724 116 Progress Software Corp. (b) 3,440 498 Synchronoss Technologies, Inc. (b) 16,066 440 Take-Two Interactive Software, Inc. (b) 7,119 290 Taleo Corp., Class A (b) 10,518 142 Tyler Technologies, Inc. (b) 3,520 146 Websense, Inc. (b) 3,765 ------------ 139,291 ------------ SPECIALTY RETAIL -- 4.1% 166 Buckle (The), Inc. 7,551 416 Cabela's, Inc. (b) 10,625 524 Finish Line (The), Inc., Class A 11,261 336 Genesco, Inc. (b) 13,568 290 Hibbett Sports, Inc. (b) 10,956 204 Jos. A. Bank Clothiers, Inc. (b) 10,694 218 Kirkland's, Inc. (b) 3,289 102 Monro Muffler Brake, Inc. 3,099 200 Vitamin Shoppe, Inc. (b) 7,804 256 Zumiez, Inc. (b) 7,196 ------------ 86,043 ------------ TEXTILES, APPAREL & LUXURY GOODS -- 3.3% 758 Crocs, Inc. (b) 15,243 484 Iconix Brand Group, Inc. (b) 11,853 236 Maidenform Brands, Inc. (b) 7,472 Page 78 See Notes to Quarterly Portfolio of Investments FIRST TRUST SMALL CAP GROWTH ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS (a) (CONTINUED) APRIL 30, 2011 (UNAUDITED) SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) TEXTILES, APPAREL & LUXURY GOODS (CONTINUED) 394 Oxford Industries, Inc. $ 13,534 220 Steven Madden, Ltd. (b) 11,693 278 Wolverine World Wide, Inc. 11,031 ------------ 70,826 ------------ TOTAL INVESTMENTS -- 99.8% 2,118,696 (Cost $2,003,640) (c) NET OTHER ASSETS AND LIABILITIES -- 0.2% 3,598 ------------ NET ASSETS -- 100.0% $ 2,122,294 ============ ================================================================================ (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) Non-income producing security. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of April 30, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $123,956 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $8,900. ---------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of April 30, 2011 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS LEVEL 1 LEVEL 2 LEVEL 3 -------------------------------------------------------------------------------- Common Stocks* $2,118,696 $ -- $ -- ========================================== * See Portfolio of Investments for industry breakout. Page 79 See Notes to Quarterly Portfolio of Investments FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS APRIL 30, 2011 (UNAUDITED) 1. VALUATION AND INVESTMENT PRACTICES A. PORTFOLIO VALUATION: First Trust Exchange-Traded AlphaDEX(R) Fund (the "Trust") is an open-end management investment company that currently consists of twenty exchange-traded funds (each a "Fund" and collectively, the "Funds") as follows: First Trust Consumer Discretionary AlphaDEX(R) Fund First Trust Consumer Staples AlphaDEX(R) Fund First Trust Energy AlphaDEX(R) Fund First Trust Financials AlphaDEX(R) Fund First Trust Health Care AlphaDEX(R) Fund First Trust Industrials/Producer Durables AlphaDEX(R) Fund First Trust Materials AlphaDEX(R) Fund First Trust Technology AlphaDEX(R) Fund First Trust Utilities AlphaDEX(R) Fund First Trust Large Cap Core AlphaDEX(R) Fund First Trust Mid Cap Core AlphaDEX(R) Fund First Trust Small Cap Core AlphaDEX(R) Fund First Trust Large Cap Value AlphaDEX(R) Fund (1) First Trust Large Cap Growth AlphaDEX(R) Fund (2) First Trust Multi Cap Value AlphaDEX(R) Fund First Trust Multi Cap Growth AlphaDEX(R) Fund First Trust Mid Cap Value AlphaDEX(R) Fund First Trust Mid Cap Growth AlphaDEX(R) Fund First Trust Small Cap Value AlphaDEX(R) Fund First Trust Small Cap Growth AlphaDEX(R) Fund Each Fund's net asset value ("NAV") is determined daily, as of the close of regular trading on the New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. If the NYSE closes early on a valuation day, the NAV is determined as of that time. 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 daily 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 Investment Company Act of 1940, as amended (the "1940 Act"). Portfolio securities listed on any exchange other than the NASDAQ National Market ("NASDAQ") or 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 asked 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 or 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. (1) The fund was formerly known as the First Trust Large Cap Value Opportunities AlphaDEX(R) Fund. (2) The fund was formerly known as the First Trust Large Cap Growth Opportunities AlphaDEX(R) Fund. Page 80 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS (CONTINUED) APRIL 30, 2011 (UNAUDITED) 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 in accordance with 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 that makes 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 Fund 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 the Fund's performance and the performance of its underlying index. The Funds are subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows: o Level 1 - Level 1 inputs are quoted prices in active markets for identical securities. An active market is a market in which transactions for the security occur with sufficient frequency and volume to provide pricing information on an ongoing basis. o Level 2 - Level 2 inputs are observable inputs, either directly or indirectly, and include the following: o Quoted prices for similar securities in active markets. o Quoted prices for identical or similar securities in markets that are non-active. A non-active market is a market where there are few transactions for the security, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. o Inputs other than quoted prices that are observable for the security (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). o Inputs that are derived principally from or corroborated by observable market data by correlation or other means. o Level 3 - Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity's own assumptions about the assumptions that market participants would use in pricing the security. 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 April 30, 2011, is included with each Fund's Portfolio of Investments. B. SECURITIES TRANSACTIONS: Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Page 81 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS (CONTINUED) APRIL 30, 2011 (UNAUDITED) 2. SUBSEQUENT EVENT On May 11, 2011, First Trust Advisors L.P., the investment advisor to the Funds, launched the First Trust Mega Cap AlphaDEX(R) Fund. This new fund joined the current line-up of twenty AlphaDEX(R) funds trading on the New York Stock Exchange Arca ("NYSE Arca") under the ticker symbol FMK. Page 82 FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND ADDITIONAL INFORMATION APRIL 30, 2011 (UNAUDITED) LICENSING INFORMATION Each of the StrataQuant(R) Consumer Discretionary Index, StrataQuant(R) Consumer Staples Index, StrataQuant(R) Energy Index, StrataQuant(R) Financials Index, StrataQuant(R) Health Care Index, StrataQuant(R) Industrials Index, StrataQuant(R) Materials Index, StrataQuant(R) Technology Index and StrataQuant(R) Utilities Index (the "StrataQuant(R) Series") is a registered trademark of the NYSE Euronext or its affiliates ("NYSE Euronext") and is licensed for use by First Trust Portfolios L.P. for use with the Funds. The Funds are not sponsored, endorsed, sold or promoted by NYSE Euronext. NYSE Euronext makes no representation or warranty, express or implied, to the owners of the Funds or any member of the public regarding the advisability of investing in securities generally or the Funds particularly or as to the result to be obtained by any person from the use of the StrataQuant(R) Series in connection with the trading of the Funds. Each of the Defined Large Cap Core Index, Defined Mid Cap Core Index, Defined Small Cap Core Index, Defined Large Cap Value Index, Defined Large Cap Growth Index, Defined Multi Cap Value Index, Defined Multi Cap Growth Index, Defined Mid Cap Growth Index, Defined Mid Cap Value Index, Defined Small Cap Growth Index and Defined Small Cap Value Index (the "Defined Series") is the exclusive property of Standard & Poor's, a division of The McGraw-Hill Companies, Inc. ("S&P"). First Trust Portfolios L.P. has contracted with S&P to calculate and maintain the Defined Series. STANDARD & POOR'S and S&P are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by First Trust Portfolios L.P. for use with the Funds. The Funds are not sponsored, endorsed, sold or promoted by S&P and S&P does not make any representation regarding the advisability of investing in the Funds. Page 83 ITEM 2. CONTROLS AND PROCEDURES. (a) The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3 (c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15 (b)). (b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 3. EXHIBITS. Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) First Trust Exchange-Traded AlphaDEX(R) Fund ------------------------------------------------ By: /s/ James A. Bowen ------------------------------------------------------------ James A. Bowen, Chairman of the Board, President and Chief Executive Officer (principal executive officer) Date: June 20, 2011 ------------------------------ Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By: /s/ James A. Bowen ------------------------------------------------------------ James A. Bowen, Chairman of the Board, President and Chief Executive Officer (principal executive officer) Date: June 20, 2011 ------------------------------ By: /s/ Mark R. Bradley ------------------------------------------------------------ Mark R. Bradley, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) Date: June 20, 2011 ---------------------------- EX-99.CERT 2 certifications.txt SECTION 302 CERTIFICATIONS CERTIFICATIONS CERTIFICATION PURSUANT TO RULE 30A-2(A) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT I, James A. Bowen, certify that: 1. I have reviewed this report on Form N-Q of First Trust Exchange-Traded AlphaDEX(R) Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: June 20, 2011 -------------------- /s/ James A. Bowen ------------------------------------------- James A. Bowen, Chairman of the Board, President and Chief Executive Officer (principal executive officer) CERTIFICATIONS CERTIFICATION PURSUANT TO RULE 30A-2(A) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT I, Mark R. Bradley, certify that: 1. I have reviewed this report on Form N-Q of First Trust Exchange-Traded AlphaDEX(R) Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: June 20, 2011 ---------------------- /s/ Mark R. Bradley ------------------------------------------- Mark R. Bradley, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer)