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
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/s/ Mark R. Bradley
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Mark R. Bradley, Treasurer,
Chief Financial Officer and Chief
Accounting Officer
(principal financial officer)