Rule 497 (e)
                                                             File No. 333-171759



                                    ALPHADEX
                                 FAMILY OF ETFs

--------------------------------------------------------------------------------

FUND NAME                                              TICKER SYMBOL   EXCHANGE

ALPHADEX(R) FUND II

First Trust Asia Pacific Ex-Japan AlphaDEX(R) Fund          FPA        NYSE Arca
First Trust Europe AlphaDEX(R) Fund                         FEP        NYSE Arca
First Trust Latin America AlphaDEX(R) Fund                  FLN        NYSE Arca
First Trust Brazil AlphaDEX(R) Fund                         FBZ        NYSE Arca
First Trust China AlphaDEX(R) Fund                          FCA        NYSE Arca
First Trust Japan AlphaDEX(R) Fund                          FJP        NYSE Arca
First Trust South Korea AlphaDEX(R) Fund                    FKO        NYSE Arca
First Trust Developed Markets Ex-US AlphaDEX(R) Fund        FDT        NYSE Arca
First Trust Emerging Markets AlphaDEX(R) Fund               FEM        NYSE Arca

First Trust Exchange-Traded AlphaDEX(R) Fund II (the "Trust") is a registered
management investment company that includes First Trust Asia Pacific Ex-Japan
AlphaDEX(R) Fund, First Trust Europe AlphaDEX(R) Fund, First Trust Latin America
AlphaDEX(R) Fund, First Trust Brazil AlphaDEX(R) Fund, First Trust China
AlphaDEX(R) Fund, First Trust Japan AlphaDEX(R) Fund, First Trust South Korea
AlphaDEX(R) Fund, First Trust Developed Markets ex-US AlphaDEX(R) Fund and First
Trust Emerging Markets AlphaDEX(R) Fund (each, a "Fund" and collectively, the
"Funds"), each a separate exchange-traded index fund. First Trust Advisors L.P.
("First Trust") is the investment advisor to each Fund.

The shares of each Fund ("Shares) are listed and principally trades its shares
(the "Shares") on the NYSE Arca, Inc. (the "NYSE Arca" or the "Exchange"), an
affiliate of NYSE Euronext. Market prices may differ to some degree from the net
asset value ("NAV") of the Shares. Unlike mutual funds, each Fund issues and
redeems Shares at its NAV, only in large specified blocks each consisting of
50,000 Shares (each such block of Shares, called a "Creation Unit" and
collectively, the "Creation Units"). Each Fund's Creation Units are issued and
redeemed for cash or in-kind for securities in which the Fund invests.

EXCEPT WHEN AGGREGATED IN CREATION UNITS, THE SHARES ARE NOT REDEEMABLE
SECURITIES OF THE FUNDS.

THE SECURITIES AND EXCHANGE COMMISSION HAS NOT APPROVED OR DISAPPROVED THESE
SECURITIES OR PASSED UPON THE ADEQUACY OR ACCURACY OF THIS PROSPECTUS. ANY
REPRESENTATION TO THE CONTRARY IS A CRIMINAL OFFENSE.



                       NOT FDIC INSURED. MAY LOSE VALUE.
                               NO BANK GUARANTEE.



                                April 30, 2012,
                             as amended May 2, 2012
--------------------------------------------------------------------------------





                               TABLE OF CONTENTS
Summary Information
       First Trust Asia Pacific Ex-Japan AlphaDEX(R) Fund....................  1
       First Trust Europe AlphaDEX(R) Fund...................................  5
       First Trust Latin America AlphaDEX(R) Fund............................  8
       First Trust Brazil AlphaDEX(R) Fund................................... 11
       First Trust China AlphaDEX(R) Fund.................................... 14
       First Trust Japan AlphaDEX(R) Fund.................................... 17
       First Trust South Korea AlphaDEX(R) Fund.............................. 20
       First Trust Developed Markets Ex-US AlphaDEX(R) Fund.................. 23
       First Trust Emerging Markets AlphaDEX(R) Fund......................... 26
Investment Strategies........................................................ 29
Additional Risks of Investing in the Funds................................... 29
Fund Organization............................................................ 31
Management of the Funds...................................................... 31
How to Buy and Sell Shares................................................... 32
Dividends, Distributions and Taxes........................................... 33
Federal Tax Matters.......................................................... 34
Distribution Plan............................................................ 36
Net Asset Value.............................................................. 36
Fund Service Providers....................................................... 37
Index Provider............................................................... 37
Disclaimers.................................................................. 37
Index Information............................................................ 38
Premium/Discount Information................................................. 47
Total Return Information..................................................... 49
Financial Highlights......................................................... 52
Other Information............................................................ 57





--------------------------------------------------------------------------------
                              SUMMARY INFORMATION
               FIRST TRUST ASIA PACIFIC EX-JAPAN ALPHADEX(R) FUND
--------------------------------------------------------------------------------

INVESTMENT OBJECTIVE
The First Trust Asia Pacific Ex-Japan AlphaDEX(R) Fund (the "Fund") seeks
investment results that correspond generally to the price and yield (before the
Fund's fees and expenses) of an equity index called the Defined Asia Pacific
Ex-Japan Index (the "Index").

FEES AND EXPENSES OF THE FUND
The following table describes the fees and expenses you may pay if you buy and
hold Shares of the Fund. Investors purchasing and selling Shares may be subject
to costs (including customary brokerage commissions) charged by their broker.

   SHAREHOLDER FEES (fees paid directly from your investment)

   Maximum Sales Charge (Load) Imposed on Purchases
        (as a percentage of offering price)                                 None

   ANNUAL FUND OPERATING EXPENSES (Expenses that you pay each
        year as a percentage of the value of your investment)

   Management Fees                                                         0.80%
   Distribution and Service (12b-1) Fees (1)                               0.00%
   Other Expenses                                                          0.00%
                                                                           -----
        Total Annual Fund Operating Expenses                               0.80%


   EXAMPLE

   The example below is intended to help you compare the cost of investing in
   the Fund with the cost of investing in other funds. This example does not
   take into account customary brokerage commissions that you pay when
   purchasing or selling Shares of the Fund in the secondary market.

   The example assumes that you invest $10,000 in the Fund for the time periods
   indicated and then you retain the Shares or redeem all of your Shares at the
   end of those periods. The example also assumes that your investment has a 5%
   return each year and that the Fund's annual operating expenses remain at
   current levels until April 30, 2013 and thereafter at 1.05% to represent the
   imposition of the 12b-1 fee of 0.25% per annum of the Fund's average daily
   net assets. Although your actual costs may be higher or lower, based on these
   assumptions your costs would be:

           1 YEAR           3 YEARS          5 YEARS         10 YEARS
           ------           -------          -------         --------
            $82               $301             $547            $1,252

-------------------

(1)   Although the Fund has adopted a 12b-1 plan that permits it to pay up to
      0.25% per annum, it will not pay 12b-1 fees at any time before April 30,
      2013.

   PORTFOLIO TURNOVER

   The Fund pays transaction costs, such as commissions, when it buys and sells
   securities (or "turns over" its portfolio). A higher portfolio turnover rate
   may indicate higher transaction costs and may result in higher taxes when
   Fund Shares are held in a taxable account. These costs, which are not
   reflected in annual fund operating expenses or in the example, affect the
   Fund's performance. During the fiscal period April 18, 2011 (inception)
   through December 31, 2011, the Fund's portfolio turnover rate was 49% of the
   average value of its portfolio.

PRINCIPAL INVESTMENT STRATEGIES

The Fund will normally invest at least 90% of its net assets plus the amount of
any borrowings for investment purposes in stocks that comprise the Index. The
Fund, using an "indexing" investment approach, attempts to replicate, before
fees and expenses, the performance of the Index. First Trust seeks a correlation
of 0.95 or better (before fees and expenses) between the Fund's performance and
the performance of the Index; a figure of 1.00 would represent perfect
correlation. First Trust will regularly monitor the Fund's tracking accuracy and
will seek to maintain an appropriate correlation.

The Index is in the "Defined Index Series," a family of custom enhanced indices
developed, maintained and sponsored by Standard & Poor's Financial Services LLC
("S&P" or the "Index Provider"). The Index is a modified equal-dollar weighted
index designed by S&P to objectively identify and select stocks from the S&P
Asia Pacific Ex-Japan BMI Index (the "Base Index") that may generate positive
alpha relative to traditional passive-style indices through the use of the

                                       1


--------------------------------------------------------------------------------
           FIRST TRUST ASIA PACIFIC EX-JAPAN ALPHADEX(R) FUND -- FPA
--------------------------------------------------------------------------------

AlphaDEX(R) selection methodology. The Base Index is a comprehensive,
rules-based index designed to measure stock market performance in the Asia
Pacific region excluding Japan. The Base Index covers all publicly listed
equities with float adjusted market values of $100 million or more and annual
dollar value traded of at least $50 million. Alpha is an indication of how much
an investment outperforms or underperforms on a risk-adjusted basis relative to
its benchmark. As of March 31, 2012, the Index was comprised of 98 securities
from five countries. The Index is rebalanced and reconstituted as of the last
business day of the semi-annual periods ended March 31 and September 30. Changes
to the Index will be effective at the open of trading on the ninth business day
of the following month.

The Fund intends to invest entirely in the Index; however, there may also be
instances in which the Fund may be overweighted in certain stocks in the Index,
purchase securities not in the Index that are appropriate to substitute for
certain securities in the Index or utilize various combinations of the above
techniques in seeking to track the Index.

PRINCIPAL RISKS

You could lose money by investing in the Fund. An investment in the Fund is not
a deposit of a bank and is not insured or guaranteed by the Federal Deposit
Insurance Corporation or any other governmental agency.

MARKET RISK. Market risk is the risk that a particular stock owned by the Fund,
Shares of the Fund or stocks in general may fall in value. Shares are subject to
market fluctuations caused by such factors as economic, political, regulatory or
market developments, changes in interest rates and perceived trends in stock
prices. Overall stock values could decline generally or could underperform other
investments.

NON-CORRELATION RISK. The Fund's return may not match the return of the Index
for a number of reasons. For example, the Fund incurs operating expenses not
applicable to the Index, and may incur costs in buying and selling securities,
especially when rebalancing the Fund's portfolio holdings to reflect changes in
the composition of the Index. In addition, the Fund's portfolio holdings may not
exactly replicate the securities included in the Index or the ratios between the
securities included in the Index.

REPLICATION MANAGEMENT RISK. The Fund is exposed to additional market risk due
to its policy of investing principally in the securities included in the Index.
As a result of this policy, securities held by the Fund will generally not be
bought or sold in response to market fluctuations, and the securities may be
issued by companies concentrated in a particular industry. Therefore, the Fund
will generally not sell a stock because the stock's issuer is in financial
trouble, unless that stock is removed or is anticipated to be removed from the
Index.

NON-DIVERSIFICATION RISK. The Fund is classified as "non-diversified" under the
Investment Company Act of 1940, as amended (the "1940 Act"). As a result, the
Fund is only limited as to the percentage of its assets which may be invested in
the securities of any one issuer by the diversification requirements imposed by
the Internal Revenue Code of 1986, as amended (the "Code"). The Fund may invest
a relatively high percentage of its assets in a limited number of issuers. As a
result, the Fund may be more susceptible to a single adverse economic or
regulatory occurrence affecting one or more of these issuers, experience
increased volatility and be highly concentrated in certain issuers.

NON-U.S. SECURITIES AND EMERGING MARKETS RISK. The Fund invests in securities of
non-U.S. issuers, including non-U.S. dollar-denominated securities traded
outside of the United States and U.S. dollar-denominated securities of non-U.S.
issuers traded in the United States. Such securities are subject to higher
volatility than securities of domestic issuers due to possible adverse
political, social or economic developments; restrictions on foreign investment
or exchange of securities; lack of liquidity; excessive taxation; government
seizure of assets; different legal or accounting standards; and less government
supervision and regulation of exchanges in foreign countries. These risks may be
heightened for securities of companies located in, or with significant
operations in, emerging market countries.

CASH TRANSACTIONS RISK. Unlike most exchange-traded funds, the Fund may effect a
portion of creations and redemptions for cash, rather than in-kind securities.
As a result, an investment in the Fund may be less tax-efficient than an
investment in a more conventional exchange-traded fund. Because the Fund may
effect a portion of redemptions for cash, rather than in-kind distributions, it
may be required to sell portfolio securities in order to obtain the cash needed
to distribute redemption proceeds. A sale of Shares may result in capital gains
or losses, and may also result in higher brokerage costs.

CURRENCY RISK. Because the Fund's NAV is determined on the basis of U.S. dollars
and the Fund invests in foreign securities, you may lose money if the local
currency of a foreign market depreciates against the U.S. dollar, even if the
local currency value of the Fund's holdings goes up.

REAL ESTATE INVESTMENT RISK. The Fund invests in companies in the real estate
industry, including REITs. Therefore, the Fund is subject to the risks
associated with investing in real estate, which may include, but are not limited
to, fluctuations in the value of underlying properties; defaults by borrowers or
tenants; market saturation; changes in general and local economic conditions;
decreases in market rates for rents; increases in competition, property taxes,

                                       2


--------------------------------------------------------------------------------
           FIRST TRUST ASIA PACIFIC EX-JAPAN ALPHADEX(R) FUND -- FPA
--------------------------------------------------------------------------------

capital expenditures or operating expenses; and other economic, political or
regulatory occurrences affecting companies in the real estate industry.

The Fund invests in real estate companies that may be adversely impacted by the
downturn in the subprime mortgage lending market in the United States. Subprime
loans have higher defaults and losses than prime loans. Subprime loans also have
higher serious delinquency rates than prime loans. The downturn in the subprime
mortgage lending market may have far-reaching consequences into many aspects and
geographic regions of the real estate business, and consequently, the value of
the Fund may decline in response to such developments.

ASIA PACIFIC RISK. The Fund invests in securities issued by companies operating
in the Asia Pacific region. The Fund is more susceptible to the economic,
market, regulatory, political, natural disasters and local risks of the Asia
Pacific region than a fund that is more geographically diversified. The region
has historically been highly dependent on global trade, with nations taking
strong roles in both the importing and exporting of goods; such a relationship
creates a risk with this dependency on global growth. The respective stock
markets tend to have a larger prevalence of smaller companies that are
inherently more volatile and less liquid than larger companies. Varying levels
of accounting and disclosure standards, restrictions on foreign ownership,
minority ownership rights, and corporate governance standards are also common
for the region.

HONG KONG AND SOUTH KOREA RISK. The Fund invests heavily in companies operating
in South Korea and Hong Kong. The South Korean economy is dependent on the
economies of Asia and the United States as key trading partners. Reduction in
spending by these economies on South Korean products and services or negative
changes in any of these economies, mainly in China or Southeast Asia, may cause
an adverse impact on the South Korean economy. Furthermore, South Korea's
economy is also dependent on the economies of other Asian countries and can be
significantly affected by currency fluctuations and increasing competition from
Asia's other low-cost emerging economies. Also, the political tensions with
North Korea could escalate and lead to further uncertainty in the political and
economic climate on the Korean peninsula.

Hong Kong companies are subject to risks related to Hong Kong's political and
economic environment and the volatility of and the concentration of real estate
companies listed on the Hong Kong Stock Exchange. Because of Hong Kong's
reversion to China, any increase in uncertainty as to the economic and political
status of Hong Kong or a deterioration of the relationship between China and the
United States, could have negative implications on stocks listed on the Hong
Kong Stock Exchange. Securities prices on the Hong Kong Stock Exchange, and
specifically the Hang Seng Index, can be highly volatile and are sensitive to
developments in Hong Kong and China, as well as other world markets.

ANNUAL TOTAL RETURN

The Fund has not yet operated for a full calendar year and, therefore,
performance information is not included in this section of the Prospectus. See
"Total Return Information" for performance information regarding the Fund.

MANAGEMENT

   INVESTMENT ADVISOR
   First Trust Advisors L.P. ("First Trust")

   PORTFOLIO MANAGERS
   The Fund's portfolio is managed by a team (the "Investment Committee")
   consisting of:

      o     Daniel J. Lindquist, Chairman of the Investment Committee and Senior
            Vice President of First Trust;

      o     Robert F. Carey, Chief Investment Officer and Senior Vice President
            of First Trust;

      o     Jon C. Erickson, Senior Vice President of First Trust;

      o     David G. McGarel, Senior Vice President of First Trust;

      o     Roger F. Testin, Senior Vice President of First Trust; and

      o     Stan Ueland, Vice President of First Trust.

   Each Investment Committee member has served as a part of the portfolio
   management team of the Fund since inception.

                                       3



--------------------------------------------------------------------------------
           FIRST TRUST ASIA PACIFIC EX-JAPAN ALPHADEX(R) FUND -- FPA
--------------------------------------------------------------------------------

PURCHASE AND SALE OF FUND SHARES

The Fund issues and redeems Shares on a continuous basis, at NAV, only in
Creation Units consisting of 50,000 Shares. The Fund's Creation Units are issued
and redeemed for cash or in-kind for securities included in the Fund's
portfolio. Individual Shares may only be purchased and sold on NYSE Arca through
a broker-dealer. Shares of the Fund will trade on NYSE Arca at market prices
rather than NAV, which may cause the Shares to trade at a price greater than NAV
(premium) or less than NAV (discount).

TAX INFORMATION

The Fund's distributions are taxable and will generally be taxed as ordinary
income or capital gains.

PAYMENTS TO BROKER-DEALERS AND OTHER FINANCIAL INTERMEDIARIES

If you purchase Shares of the Fund through a broker-dealer or other financial
intermediary (such as a bank), First Trust and First Trust Portfolios L.P., the
Fund's distributor, may pay the intermediary for the sale of Fund Shares and
related services. These payments may create a conflict of interest by
influencing the broker-dealer or other intermediary and your salesperson to
recommend the Fund over another investment. Ask your salesperson or visit your
financial intermediary's website for more information.


                                       4


--------------------------------------------------------------------------------
                              SUMMARY INFORMATION
                      FIRST TRUST EUROPE ALPHADEX(R) FUND
--------------------------------------------------------------------------------

INVESTMENT OBJECTIVE

The First Trust Europe AlphaDEX(R) Fund (the "Fund") seeks investment results
that correspond generally to the price and yield (before the Fund's fees and
expenses) of an equity index called the Defined Europe Index (the "Index").

FEES AND EXPENSES OF THE FUND

The following table describes the fees and expenses you may pay if you buy and
hold Shares of the Fund. Investors purchasing and selling Shares may be subject
to costs (including customary brokerage commissions) charged by their broker.

   SHAREHOLDER FEES (fees paid directly from your investment)

   Maximum Sales Charge (Load) Imposed on Purchases
        (as a percentage of offering price)                                 None

   ANNUAL FUND OPERATING EXPENSES (Expenses that you pay each
        year as a percentage of the value of your investment)

   Management Fees                                                         0.80%
   Distribution and Service (12b-1) Fees (1)                               0.00%
   Other Expenses                                                          0.00%
                                                                           -----
   Total Annual Fund Operating Expenses                                    0.80%


   EXAMPLE

   The example below is intended to help you compare the cost of investing in
   the Fund with the cost of investing in other funds. This example does not
   take into account customary brokerage commissions that you pay when
   purchasing or selling Shares of the Fund in the secondary market.

   The example assumes that you invest $10,000 in the Fund for the time periods
   indicated and then you retain the Shares or redeem all of your Shares at the
   end of those periods. The example also assumes that your investment has a 5%
   return each year and that the Fund's annual operating expenses remain at
   current levels until April 30, 2013 and thereafter at 1.05% to represent the
   imposition of the 12b-1 fee of 0.25% per annum of the Fund's average daily
   net assets. Although your actual costs may be higher or lower, based on these
   assumptions your costs would be:

           1 YEAR           3 YEARS          5 YEARS         10 YEARS
           ------           -------          -------         --------
            $82               $301             $547            $1,252

-------------------

(1)   Although the Fund has adopted a 12b-1 plan that permits it to pay up to
      0.25% per annum, it will not pay 12b-1 fees at any time before April 30,
      2013.

   PORTFOLIO TURNOVER

   The Fund pays transaction costs, such as commissions, when it buys and sells
   securities (or "turns over" its portfolio). A higher portfolio turnover rate
   may indicate higher transaction costs and may result in higher taxes when
   Fund Shares are held in a taxable account. These costs, which are not
   reflected in annual fund operating expenses or in the example, affect the
   Fund's performance. During the fiscal period April 18, 2011 (inception)
   through December 31, 2011, the Fund's portfolio turnover rate was 27% of the
   average value of its portfolio.

PRINCIPAL INVESTMENT STRATEGIES

The Fund will normally invest at least 90% of its net assets plus the amount of
any borrowings for investment purposes in stocks that comprise the Index. The
Fund, using an "indexing" investment approach, attempts to replicate, before
fees and expenses, the performance of the Index. First Trust seeks a correlation
of 0.95 or better (before fees and expenses) between the Fund's performance and
the performance of the Index; a figure of 1.00 would represent perfect
correlation. First Trust will regularly monitor the Fund's tracking accuracy and
will seek to maintain an appropriate correlation.

The Index is in the "Defined Index Series," a family of custom enhanced indices
developed, maintained and sponsored by Standard & Poor's Financial Services LLC
("S&P" or the "Index Provider"). The Index is a modified equal-dollar weighted
index designed by S&P to objectively identify and select stocks from the S&P
Europe BMI Index (the "Base Index") that may generate positive alpha relative to
traditional passive-style indices through the use of the AlphaDEX(R) selection
methodology. The Base Index is a comprehensive, rules-based index designed to

                                       5


--------------------------------------------------------------------------------
                   FIRST TRUST EUROPE ALPHADEX(R) FUND -- FEP
--------------------------------------------------------------------------------

measure stock market performance in Europe. The Base Index covers all publicly
listed equities with float adjusted market values of $100 million or more and
annual dollar value traded of at least $50 million. Alpha is an indication of
how much an investment outperforms or underperforms on a risk-adjusted basis
relative to its benchmark. As of March 31, 2012, the Index was comprised of 197
securities from 17 countries. The Index is rebalanced and reconstituted as of
the last business day of the semi-annual periods ended March 31 and September
30. Changes to the Index will be effective at the open of trading on the ninth
business day of the following month.

The Fund intends to invest entirely in the Index; however, there may also be
instances in which the Fund may be overweighted in certain stocks in the Index,
purchase securities not in the Index that are appropriate to substitute for
certain securities in the Index or utilize various combinations of the above
techniques in seeking to track the Index.

PRINCIPAL RISKS

You could lose money by investing in the Fund. An investment in the Fund is not
a deposit of a bank and is not insured or guaranteed by the Federal Deposit
Insurance Corporation or any other governmental agency.

MARKET RISK. Market risk is the risk that a particular stock owned by the Fund,
Shares of the Fund or stocks in general may fall in value. Shares are subject to
market fluctuations caused by such factors as economic, political, regulatory or
market developments, changes in interest rates and perceived trends in stock
prices. Overall stock values could decline generally or could underperform other
investments.

NON-CORRELATION RISK. The Fund's return may not match the return of the Index
for a number of reasons. For example, the Fund incurs operating expenses not
applicable to the Index, and may incur costs in buying and selling securities,
especially when rebalancing the Fund's portfolio holdings to reflect changes in
the composition of the Index. In addition, the Fund's portfolio holdings may not
exactly replicate the securities included in the Index or the ratios between the
securities included in the Index.

REPLICATION MANAGEMENT RISK. The Fund is exposed to additional market risk due
to its policy of investing principally in the securities included in the Index.
As a result of this policy, securities held by the Fund will generally not be
bought or sold in response to market fluctuations, and the securities may be
issued by companies concentrated in a particular industry. Therefore, the Fund
will generally not sell a stock because the stock's issuer is in financial
trouble, unless that stock is removed or is anticipated to be removed from the
Index.

NON-DIVERSIFICATION RISK. The Fund is classified as "non-diversified" under the
Investment Company Act of 1940, as amended (the "1940 Act"). As a result, the
Fund is only limited as to the percentage of its assets which may be invested in
the securities of any one issuer by the diversification requirements imposed by
the Internal Revenue Code of 1986, as amended (the "Code"). The Fund may invest
a relatively high percentage of its assets in a limited number of issuers. As a
result, the Fund may be more susceptible to a single adverse economic or
regulatory occurrence affecting one or more of these issuers, experience
increased volatility and be highly concentrated in certain issuers.

NON-U.S. SECURITIES RISK. The Fund invests in securities of non-U.S. issuers,
including non-U.S. dollar-denominated securities traded outside of the United
States and U.S. dollar-denominated securities of non-U.S. issuers traded in the
United States. Such securities are subject to higher volatility than securities
of domestic issuers due to possible adverse political, social or economic
developments; restrictions on foreign investment or exchange of securities; lack
of liquidity; excessive taxation; government seizure of assets; different legal
or accounting standards; and less government supervision and regulation of
exchanges in foreign countries.

CURRENCY RISK. Because the Fund's NAV is determined on the basis of U.S. dollars
and the Fund invests in foreign securities, you may lose money if the local
currency of a foreign market depreciates against the U.S. dollar, even if the
local currency value of the Fund's holdings goes up.

EUROPE RISK. The Fund invests in securities issued by companies operating in
Europe. The Fund is therefore subject to certain risks associated specifically
with Europe. A significant number of countries in Europe are member states in
the European Union, and the member states no longer control their own monetary
policies by directing independent interest rates for their currencies. In these
member states, the authority to direct monetary policies, including money supply
and official interest rates for the Euro, is exercised by the European Central
Bank. Furthermore, the European sovereign debt crisis and the related austerity
measures in certain countries have had, and continues to have, a significant
negative impact on the economies of certain European countries and their future
economic outlooks.

ANNUAL TOTAL RETURN

The Fund has not yet operated for a full calendar year and, therefore,
performance information is not included in this section of the Prospectus. See
"Total Return Information" for performance information regarding the Fund.

                                       6


--------------------------------------------------------------------------------
                   FIRST TRUST EUROPE ALPHADEX(R) FUND -- FEP
--------------------------------------------------------------------------------

MANAGEMENT

     INVESTMENT ADVISOR
     First Trust Advisors L.P. ("First Trust")

     PORTFOLIO MANAGERS
     The Fund's portfolio is managed by a team (the "Investment Committee")
     consisting of:

      o     Daniel J. Lindquist, Chairman of the Investment Committee and Senior
            Vice President of First Trust;

      o     Robert F. Carey, Chief Investment Officer and Senior Vice President
            of First Trust;

      o     Jon C. Erickson, Senior Vice President of First Trust;

      o     David G. McGarel, Senior Vice President of First Trust;

      o     Roger F. Testin, Senior Vice President of First Trust; and

      o     Stan Ueland, Vice President of First Trust.

   Each Investment Committee member has served as a part of the portfolio
   management team of the Fund since inception.

PURCHASE AND SALE OF FUND SHARES

The Fund issues and redeems Shares on a continuous basis, at NAV, only in
Creation Units consisting of 50,000 Shares. The Fund's Creation Units are issued
and redeemed in cash or in-kind for securities included in the Fund's portfolio.
Individual Shares may only be purchased and sold on NYSE Arca through a
broker-dealer. Shares of the Fund will trade on NYSE Arca at market prices
rather than NAV, which may cause the Shares to trade at a price greater than NAV
(premium) or less than NAV (discount).

TAX INFORMATION

The Fund's distributions are taxable and will generally be taxed as ordinary
income or capital gains.

PAYMENTS TO BROKER-DEALERS AND OTHER FINANCIAL INTERMEDIARIES

If you purchase Shares of the Fund through a broker-dealer or other financial
intermediary (such as a bank), First Trust and First Trust Portfolios L.P., the
Fund's distributor, may pay the intermediary for the sale of Fund Shares and
related services. These payments may create a conflict of interest by
influencing the broker-dealer or other intermediary and your salesperson to
recommend the Fund over another investment. Ask your salesperson or visit your
financial intermediary's website for more information.


                                       7


--------------------------------------------------------------------------------
                              SUMMARY INFORMATION
                   FIRST TRUST LATIN AMERICA ALPHADEX(R) FUND
--------------------------------------------------------------------------------

INVESTMENT OBJECTIVE

The First Trust Latin America AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Defined Latin America Index (the
"Index").

FEES AND EXPENSES OF THE FUND

The following table describes the fees and expenses you may pay if you buy and
hold Shares of the Fund. Investors purchasing and selling Shares may be subject
to costs (including customary brokerage commissions) charged by their broker.

   SHAREHOLDER FEES (fees paid directly from your investment)

   Maximum Sales Charge (Load) Imposed on Purchases
        (as a percentage of offering price)                                 None

   ANNUAL FUND OPERATING EXPENSES (Expenses that you pay each
        year as a percentage of the value of your investment)

   Management Fees                                                         0.80%
   Distribution and Service (12b-1) Fees (1)                               0.00%
   Other Expenses                                                          0.00%
                                                                           -----
   Total Annual Fund Operating Expenses                                    0.80%


   EXAMPLE

   The example below is intended to help you compare the cost of investing in
   the Fund with the cost of investing in other funds. This example does not
   take into account customary brokerage commissions that you pay when
   purchasing or selling Shares of the Fund in the secondary market.

   The example assumes that you invest $10,000 in the Fund for the time periods
   indicated and then you retain the Shares or redeem all of your Shares at the
   end of those periods. The example also assumes that your investment has a 5%
   return each year and that the Fund's annual operating expenses remain at
   current levels until April 30, 2013 and thereafter at 1.05% to represent the
   imposition of the 12b-1 fee of 0.25% per annum of the Fund's average daily
   net assets. Although your actual costs may be higher or lower, based on these
   assumptions your costs would be:

           1 YEAR           3 YEARS          5 YEARS         10 YEARS
           ------           -------          -------         --------
            $82               $301             $547            $1,252

-------------------

(1)   Although the Fund has adopted a 12b-1 plan that permits it to pay up to
      0.25% per annum, it will not pay 12b-1 fees at any time before April 30,
      2013.

   PORTFOLIO TURNOVER

   The Fund pays transaction costs, such as commissions, when it buys and sells
   securities (or "turns over" its portfolio). A higher portfolio turnover rate
   may indicate higher transaction costs and may result in higher taxes when
   Fund Shares are held in a taxable account. These costs, which are not
   reflected in annual fund operating expenses or in the example, affect the
   Fund's performance. During the fiscal period April 18, 2011 (inception)
   through December 31, 2011, the Fund's portfolio turnover rate was 54% of the
   average value of its portfolio.

PRINCIPAL INVESTMENT STRATEGIES

The Fund will normally invest at least 90% of its net assets plus the amount of
any borrowings for investment purposes in stocks that comprise the Index. The
Fund, using an "indexing" investment approach, attempts to replicate, before
fees and expenses, the performance of the Index. First Trust seeks a correlation
of 0.95 or better (before fees and expenses) between the Fund's performance and
the performance of the Index; a figure of 1.00 would represent perfect
correlation. First Trust will regularly monitor the Fund's tracking accuracy and
will seek to maintain an appropriate correlation.

The Index is in the "Defined Index Series," a family of custom enhanced indices
developed, maintained and sponsored by Standard & Poor's Financial Services LLC
("S&P" or the "Index Provider"). The Index is a modified equal-dollar weighted
index designed by S&P to objectively identify and select stocks from the S&P
Latin America BMI Index (the "Base Index") that may generate positive alpha
relative to traditional passive-style indices through the use of the AlphaDEX(R)

                                       8


--------------------------------------------------------------------------------
               FIRST TRUST LATIN AMERICA ALPHADEX(R) FUND -- FLN
--------------------------------------------------------------------------------

selection methodology. The Base Index is a comprehensive, rules-based index
designed to measure stock market performance in Latin America. The Base Index
covers all publicly listed equities with float adjusted market values of $100
million or more and annual dollar value traded of at least $50 million. Alpha is
an indication of how much an investment outperforms or underperforms on a
risk-adjusted basis relative to its benchmark. As of March 31, 2012, the Index
was comprised of 50 securities from four countries. The Index is rebalanced and
reconstituted as of the last business day of the semi-annual periods ended March
31 and September 30. Changes to the Index will be effective at the open of
trading on the ninth business day of the following month.

The Fund intends to invest entirely in the Index; however, there may also be
instances in which the Fund may be overweighted in certain stocks in the Index,
purchase securities not in the Index that are appropriate to substitute for
certain securities in the Index or utilize various combinations of the above
techniques in seeking to track the Index.

PRINCIPAL RISKS

You could lose money by investing in the Fund. An investment in the Fund is not
a deposit of a bank and is not insured or guaranteed by the Federal Deposit
Insurance Corporation or any other governmental agency.

MARKET RISK. Market risk is the risk that a particular stock owned by the Fund,
Shares of the Fund or stocks in general may fall in value. Shares are subject to
market fluctuations caused by such factors as economic, political, regulatory or
market developments, changes in interest rates and perceived trends in stock
prices. Overall stock values could decline generally or could underperform other
investments.

NON-CORRELATION RISK. The Fund's return may not match the return of the Index
for a number of reasons. For example, the Fund incurs operating expenses not
applicable to the Index, and may incur costs in buying and selling securities,
especially when rebalancing the Fund's portfolio holdings to reflect changes in
the composition of the Index. In addition, the Fund's portfolio holdings may not
exactly replicate the securities included in the Index or the ratios between the
securities included in the Index.

REPLICATION MANAGEMENT RISK. The Fund is exposed to additional market risk due
to its policy of investing principally in the securities included in the Index.
As a result of this policy, securities held by the Fund will generally not be
bought or sold in response to market fluctuations, and the securities may be
issued by companies concentrated in a particular industry. Therefore, the Fund
will generally not sell a stock because the stock's issuer is in financial
trouble, unless that stock is removed or is anticipated to be removed from the
Index.

NON-DIVERSIFICATION RISK. The Fund is classified as "non-diversified" under the
Investment Company Act of 1940, as amended (the "1940 Act"). As a result, the
Fund is only limited as to the percentage of its assets which may be invested in
the securities of any one issuer by the diversification requirements imposed by
the Internal Revenue Code of 1986, as amended (the "Code"). The Fund may invest
a relatively high percentage of its assets in a limited number of issuers. As a
result, the Fund may be more susceptible to a single adverse economic or
regulatory occurrence affecting one or more of these issuers, experience
increased volatility and be highly concentrated in certain issuers.

NON-U.S. SECURITIES AND EMERGING MARKETS RISK. The Fund invests in securities of
non-U.S. issuers, including non-U.S. dollar-denominated securities traded
outside of the United States and U.S. dollar-denominated securities of non-U.S.
issuers traded in the United States. Such securities are subject to higher
volatility than securities of domestic issuers due to possible adverse
political, social or economic developments; restrictions on foreign investment
or exchange of securities; lack of liquidity; excessive taxation; government
seizure of assets; different legal or accounting standards; and less government
supervision and regulation of exchanges in foreign countries. These risks may be
heightened for securities of companies located in, or with significant
operations in, emerging market countries.

CASH TRANSACTIONS RISK. Unlike most exchange-traded funds, the Fund may effect a
portion of creations and redemptions for cash, rather than in-kind securities.
As a result, an investment in the Fund may be less tax-efficient than an
investment in a more conventional exchange-traded fund. Because the Fund may
effect a portion of redemptions for cash, rather than in-kind distributions, it
may be required to sell portfolio securities in order to obtain the cash needed
to distribute redemption proceeds. A sale of Shares may result in capital gains
or losses, and may also result in higher brokerage costs.

CURRENCY RISK. Because the Fund's NAV is determined on the basis of U.S. dollars
and the Fund invests in foreign securities, you may lose money if the local
currency of a foreign market depreciates against the U.S. dollar, even if the
local currency value of the Fund's holdings goes up.

LATIN AMERICA RISK. The Fund invests in securities issued by companies operating
in Latin America. The Fund is therefore subject to certain risks associated
specifically with this region. The value of Fund Shares may be adversely
affected by political, economic, and social instability; inadequate investor
protection; changes in laws or regulations of countries within Latin America;
international relations with other nations; natural disasters; corruption and
military activity. The economies of many Latin American countries differ from

                                       9


--------------------------------------------------------------------------------
               FIRST TRUST LATIN AMERICA ALPHADEX(R) FUND -- FLN
--------------------------------------------------------------------------------

the economies of more developed countries in many respects. Certain Latin
American countries are highly dependent upon and may be affected by developments
in the United States, Europe and other Latin American economies.

BRAZIL RISK. The Fund invests heavily in companies operating in Brazil. Brazil
has experienced substantial economic instability resulting from, among other
things, periods of very high inflation, persistent structural public sector
deficits and significant devaluations of its currency leading also to a high
degree of price volatility in both the Brazilian equity and foreign currency
markets. Brazilian companies may also be adversely affected by high interest and
unemployment rates, and are particularly sensitive to fluctuations in commodity
prices. Brazilian securities may also be subject to restrictions on foreign
investment or exchange of securities; lack of liquidity; excessive taxation;
government seizure of assets; different legal or accounting standards and less
government supervision and regulation of exchanges than in the United States.
These risks may be heightened for securities of companies located in, or with
significant operations in, an emerging market country like Brazil.

ANNUAL TOTAL RETURN

The Fund has not yet operated for a full calendar year and, therefore,
performance information is not included in this section of the Prospectus. See
"Total Return Information" for performance information regarding the Fund.

MANAGEMENT

   INVESTMENT ADVISOR
   First Trust Advisors L.P. ("First Trust")

   PORTFOLIO MANAGERS
   The Fund's portfolio is managed by a team (the "Investment Committee")
   consisting of:

      o     Daniel J. Lindquist, Chairman of the Investment Committee and Senior
            Vice President of First Trust;

      o     Robert F. Carey, Chief Investment Officer and Senior Vice President
            of First Trust;

      o     Jon C. Erickson, Senior Vice President of First Trust;

      o     David G. McGarel, Senior Vice President of First Trust;

      o     Roger F. Testin, Senior Vice President of First Trust; and

      o     Stan Ueland, Vice President of First Trust.

   Each Investment Committee member has served as a part of the portfolio
   management team of the Fund since inception.

PURCHASE AND SALE OF FUND SHARES

The Fund issues and redeems Shares on a continuous basis, at NAV, only in
Creation Units consisting of 50,000 Shares. The Fund's Creation Units are issued
and redeemed for cash or in-kind for securities included in the Fund's
portfolio. Individual Shares may only be purchased and sold on NYSE Arca through
a broker-dealer. Shares of the Fund will trade on NYSE Arca at market prices
rather than NAV, which may cause the Shares to trade at a price greater than NAV
(premium) or less than NAV (discount).

TAX INFORMATION

The Fund's distributions are taxable and will generally be taxed as ordinary
income or capital gains.

PAYMENTS TO BROKER-DEALERS AND OTHER FINANCIAL INTERMEDIARIES

If you purchase Shares of the Fund through a broker-dealer or other financial
intermediary (such as a bank), First Trust and First Trust Portfolios L.P., the
Fund's distributor, may pay the intermediary for the sale of Fund Shares and
related services. These payments may create a conflict of interest by
influencing the broker-dealer or other intermediary and your salesperson to
recommend the Fund over another investment. Ask your salesperson or visit your
financial intermediary's website for more information.

                                       10


--------------------------------------------------------------------------------
                              SUMMARY INFORMATION
                      FIRST TRUST BRAZIL ALPHADEX(R) FUND
--------------------------------------------------------------------------------

INVESTMENT OBJECTIVE

The First Trust Brazil AlphaDEX(R) Fund (the "Fund") seeks investment results
that correspond generally to the price and yield (before the Fund's fees and
expenses) of an equity index called the Defined Brazil Index (the "Index").

FEES AND EXPENSES OF THE FUND

The following table describes the fees and expenses you may pay if you buy and
hold Shares of the Fund. Investors purchasing and selling Shares may be subject
to costs (including customary brokerage commissions) charged by their broker.

   SHAREHOLDER FEES (fees paid directly from your investment)

   Maximum Sales Charge (Load) Imposed on Purchases
        (as a percentage of offering price)                                 None

   ANNUAL FUND OPERATING EXPENSES (Expenses that you pay each
        year as a percentage of the value of your investment)

   Management Fees                                                         0.80%
   Distribution and Service (12b-1) Fees (1)                               0.00%
   Other Expenses                                                          0.00%
                                                                           -----
   Total Annual Fund Operating Expenses                                    0.80%


   EXAMPLE

   The example below is intended to help you compare the cost of investing in
   the Fund with the cost of investing in other funds. This example does not
   take into account customary brokerage commissions that you pay when
   purchasing or selling Shares of the Fund in the secondary market.

   The example assumes that you invest $10,000 in the Fund for the time periods
   indicated and then you retain the Shares or redeem all of your Shares at the
   end of those periods. The example also assumes that your investment has a 5%
   return each year and that the Fund's annual operating expenses remain at
   current levels until April 30, 2013 and thereafter at 1.05% to represent the
   imposition of the 12b-1 fee of 0.25% per annum of the Fund's average daily
   net assets. Although your actual costs may be higher or lower, based on these
   assumptions your costs would be:

           1 YEAR           3 YEARS          5 YEARS         10 YEARS
           ------           -------          -------         --------
            $82               $301             $547            $1,252

-------------------

(1)   Although the Fund has adopted a 12b-1 plan that permits it to pay up to
      0.25% per annum, it will not pay 12b-1 fees at any time before April 30,
      2013.

   PORTFOLIO TURNOVER

   The Fund pays transaction costs, such as commissions, when it buys and sells
   securities (or "turns over" its portfolio). A higher portfolio turnover rate
   may indicate higher transaction costs and may result in higher taxes when
   Fund Shares are held in a taxable account. These costs, which are not
   reflected in annual fund operating expenses or in the example, affect the
   Fund's performance. During the fiscal period April 18, 2011 (inception)
   through December 31, 2011, the Fund's portfolio turnover rate was 46% of the
   average value of its portfolio.

PRINCIPAL INVESTMENT STRATEGIES

The Fund will normally invest at least 90% of its net assets plus the amount of
any borrowings for investment purposes in stocks that comprise the Index. The
Fund, using an "indexing" investment approach, attempts to replicate, before
fees and expenses, the performance of the Index. First Trust seeks a correlation
of 0.95 or better (before fees and expenses) between the Fund's performance and
the performance of the Index; a figure of 1.00 would represent perfect
correlation. First Trust will regularly monitor the Fund's tracking accuracy and
will seek to maintain an appropriate correlation.

The Index is in the "Defined Index Series," a family of custom enhanced indices
developed, maintained and sponsored by Standard & Poor's Financial Services LLC
("S&P" or the "Index Provider"). The Index is a modified equal-dollar weighted
index designed by S&P to objectively identify and select stocks from the S&P
Brazil BMI Index (the "Base Index") that may generate positive alpha relative to
traditional passive-style indices through the use of the AlphaDEX(R) selection

                                       11


--------------------------------------------------------------------------------
                   FIRST TRUST BRAZIL ALPHADEX(R) FUND -- FBZ
--------------------------------------------------------------------------------

methodology. The Base Index is a comprehensive, rules-based index designed to
measure stock market performance in Brazil. The Base Index covers all publicly
listed equities with float adjusted market values of $100 million or more and
annual dollar value traded of at least $50 million. Alpha is an indication of
how much an investment outperforms or underperforms on a risk-adjusted basis
relative to its benchmark. As of March 31, 2012, the Index was comprised of 50
securities. The Index is rebalanced and reconstituted as of the last business
day of the semi-annual periods ended June 30 and December 31. Changes to the
Index will be effective at the open of trading on the ninth business day of the
following month.

The Fund intends to invest entirely in the Index; however, there may also be
instances in which the Fund may be overweighted in certain stocks in the Index,
purchase securities not in the Index that are appropriate to substitute for
certain securities in the Index or utilize various combinations of the above
techniques in seeking to track the Index.

PRINCIPAL RISKS
You could lose money by investing in the Fund. An investment in the Fund is not
a deposit of a bank and is not insured or guaranteed by the Federal Deposit
Insurance Corporation or any other governmental agency.

MARKET RISK. Market risk is the risk that a particular stock owned by the Fund,
Shares of the Fund or stocks in general may fall in value. Shares are subject to
market fluctuations caused by such factors as economic, political, regulatory or
market developments, changes in interest rates and perceived trends in stock
prices. Overall stock values could decline generally or could underperform other
investments.

NON-CORRELATION RISK. The Fund's return may not match the return of the Index
for a number of reasons. For example, the Fund incurs operating expenses not
applicable to the Index, and may incur costs in buying and selling securities,
especially when rebalancing the Fund's portfolio holdings to reflect changes in
the composition of the Index. In addition, the Fund's portfolio holdings may not
exactly replicate the securities included in the Index or the ratios between the
securities included in the Index.

REPLICATION MANAGEMENT RISK. The Fund is exposed to additional market risk due
to its policy of investing principally in the securities included in the Index.
As a result of this policy, securities held by the Fund will generally not be
bought or sold in response to market fluctuations, and the securities may be
issued by companies concentrated in a particular industry. Therefore, the Fund
will generally not sell a stock because the stock's issuer is in financial
trouble, unless that stock is removed or is anticipated to be removed from the
Index.

NON-DIVERSIFICATION RISK. The Fund is classified as "non-diversified" under the
Investment Company Act of 1940, as amended (the "1940 Act"). As a result, the
Fund is only limited as to the percentage of its assets which may be invested in
the securities of any one issuer by the diversification requirements imposed by
the Internal Revenue Code of 1986, as amended (the "Code"). The Fund may invest
a relatively high percentage of its assets in a limited number of issuers. As a
result, the Fund may be more susceptible to a single adverse economic or
regulatory occurrence affecting one or more of these issuers, experience
increased volatility and be highly concentrated in certain issuers.

NON-U.S. SECURITIES AND EMERGING MARKETS RISK. The Fund invests in securities of
non-U.S. issuers, including non-U.S. dollar-denominated securities traded
outside of the United States and U.S. dollar-denominated securities of non-U.S.
issuers traded in the United States. Such securities are subject to higher
volatility than securities of domestic issuers due to possible adverse
political, social or economic developments; restrictions on foreign investment
or exchange of securities; lack of liquidity; excessive taxation; government
seizure of assets; different legal or accounting standards; and less government
supervision and regulation of exchanges in foreign countries. These risks may be
heightened for securities of companies located in, or with significant
operations in, emerging market countries.

CASH TRANSACTIONS RISK. Unlike most exchange-traded funds, the Fund may effect a
portion of creations and redemptions for cash, rather than in-kind securities.
As a result, an investment in the Fund may be less tax-efficient than an
investment in a more conventional exchange-traded fund. Because the Fund may
effect a portion of redemptions for cash, rather than in-kind distributions, it
may be required to sell portfolio securities in order to obtain the cash needed
to distribute redemption proceeds. A sale of Shares may result in capital gains
or losses, and may also result in higher brokerage costs.

CURRENCY RISK. Because the Fund's NAV is determined on the basis of U.S. dollars
and the Fund invests in foreign securities, you may lose money if the local
currency of a foreign market depreciates against the U.S. dollar, even if the
local currency value of the Fund's holdings goes up.

BRAZIL RISK. The Fund invests in companies that are operating in Brazil. Brazil
has experienced substantial economic instability resulting from, among other
things, periods of very high inflation, persistent structural public sector
deficits and significant devaluations of its currency leading also to a high
degree of price volatility in both the Brazilian equity and foreign currency
markets. Brazilian companies may also be adversely affected by high interest and
unemployment rates, and are particularly sensitive to fluctuations in commodity

                                       12


--------------------------------------------------------------------------------
                   FIRST TRUST BRAZIL ALPHADEX(R) FUND -- FBZ
--------------------------------------------------------------------------------

prices. Brazilian securities may also be subject to restrictions on foreign
investment or exchange of securities; lack of liquidity; excessive taxation;
government seizure of assets; different legal or accounting standards and less
government supervision and regulation of exchanges than in the United States.
These risks may be heightened for securities of companies located in, or with
significant operations in, an emerging market country like Brazil.

ANNUAL TOTAL RETURN

The Fund has not yet operated for a full calendar year and, therefore,
performance information is not included in this section of the Prospectus. See
"Total Return Information" for performance information regarding the Fund.

MANAGEMENT

   INVESTMENT ADVISOR
   First Trust Advisors L.P. ("First Trust")

   PORTFOLIO MANAGERS
   The Fund's portfolio is managed by a team (the "Investment Committee")
   consisting of:

      o     Daniel J. Lindquist, Chairman of the Investment Committee and Senior
            Vice President of First Trust;

      o     Robert F. Carey, Chief Investment Officer and Senior Vice President
            of First Trust;

      o     Jon C. Erickson, Senior Vice President of First Trust;

      o     David G. McGarel, Senior Vice President of First Trust;

      o     Roger F. Testin, Senior Vice President of First Trust; and

      o     Stan Ueland, Vice President of First Trust.

   Each Investment Committee member has served as a part of the portfolio
   management team of the Fund since inception.

PURCHASE AND SALE OF FUND SHARES

The Fund issues and redeems Shares on a continuous basis, at NAV, only in
Creation Units consisting of 50,000 Shares. The Fund's Creation Units are issued
and redeemed for cash or in-kind for securities included in the Fund's
portfolio. Individual Shares may only be purchased and sold on NYSE Arca through
a broker-dealer. Shares of the Fund will trade on NYSE Arca at market prices
rather than NAV, which may cause the Shares to trade at a price greater than NAV
(premium) or less than NAV (discount).

TAX INFORMATION

The Fund's distributions are taxable and will generally be taxed as ordinary
income or capital gains.

PAYMENTS TO BROKER-DEALERS AND OTHER FINANCIAL INTERMEDIARIES

If you purchase Shares of the Fund through a broker-dealer or other financial
intermediary (such as a bank), First Trust and First Trust Portfolios L.P., the
Fund's distributor, may pay the intermediary for the sale of Fund Shares and
related services. These payments may create a conflict of interest by
influencing the broker-dealer or other intermediary and your salesperson to
recommend the Fund over another investment. Ask your salesperson or visit your
financial intermediary's website for more information.

                                       13


--------------------------------------------------------------------------------
                              SUMMARY INFORMATION
                       FIRST TRUST CHINA ALPHADEX(R) FUND
--------------------------------------------------------------------------------

INVESTMENT OBJECTIVE

The First Trust China AlphaDEX(R) Fund (the "Fund") seeks investment results
that correspond generally to the price and yield (before the Fund's fees and
expenses) of an equity index called the Defined China Index (the "Index").

FEES AND EXPENSES OF THE FUND

The following table describes the fees and expenses you may pay if you buy and
hold Shares of the Fund. Investors purchasing and selling Shares may be subject
to costs (including customary brokerage commissions) charged by their broker.

   SHAREHOLDER FEES (fees paid directly from your investment)

   Maximum Sales Charge (Load) Imposed on Purchases
        (as a percentage of offering price)                                 None

   ANNUAL FUND OPERATING EXPENSES (Expenses that you pay each
        year as a percentage of the value of your investment)

   Management Fees                                                         0.80%
   Distribution and Service (12b-1) Fees (1)                               0.00%
   Other Expenses                                                          0.00%
                                                                          ------
   Total Annual Fund Operating Expenses                                    0.80%


   EXAMPLE

   The example below is intended to help you compare the cost of investing in
   the Fund with the cost of investing in other funds. This example does not
   take into account customary brokerage commissions that you pay when
   purchasing or selling Shares of the Fund in the secondary market.

   The example assumes that you invest $10,000 in the Fund for the time periods
   indicated and then you retain the Shares or redeem all of your Shares at the
   end of those periods. The example also assumes that your investment has a 5%
   return each year and that the Fund's annual operating expenses remain at
   current levels until April 30, 2013 and thereafter at 1.05% to represent the
   imposition of the 12b-1 fee of 0.25% per annum of the Fund's average daily
   net assets. Although your actual costs may be higher or lower, based on these
   assumptions your costs would be:

           1 YEAR           3 YEARS          5 YEARS         10 YEARS
           ------           -------          -------         --------
            $82               $301             $547            $1,252

-------------------

(1)   Although the Fund has adopted a 12b-1 plan that permits it to pay up to
      0.25% per annum, it will not pay 12b-1 fees at any time before April 30,
      2013.

   PORTFOLIO TURNOVER

   The Fund pays transaction costs, such as commissions, when it buys and sells
   securities (or "turns over" its portfolio). A higher portfolio turnover rate
   may indicate higher transaction costs and may result in higher taxes when
   Fund Shares are held in a taxable account. These costs, which are not
   reflected in annual fund operating expenses or in the example, affect the
   Fund's performance. During the fiscal period April 18, 2011 (inception)
   through December 31, 2011, the Fund's portfolio turnover rate was 60% of the
   average value of its portfolio.

PRINCIPAL INVESTMENT STRATEGIES

The Fund will normally invest at least 90% of its net assets plus the amount of
any borrowings for investment purposes in stocks that comprise the Index. The
Fund, using an "indexing" investment approach, attempts to replicate, before
fees and expenses, the performance of the Index. First Trust seeks a correlation
of 0.95 or better (before fees and expenses) between the Fund's performance and
the performance of the Index; a figure of 1.00 would represent perfect
correlation. First Trust will regularly monitor the Fund's tracking accuracy and
will seek to maintain an appropriate correlation.

The Index is in the "Defined Index Series," a family of custom enhanced indices
developed, maintained and sponsored by Standard & Poor's Financial Services LLC
("S&P" or the "Index Provider"). The Index is a modified equal-dollar weighted
index designed by S&P to objectively identify and select stocks from the S&P
China BMI Index (the "Base Index") that may generate positive alpha relative to
traditional passive-style indices through the use of the AlphaDEX(R) selection

                                       14


--------------------------------------------------------------------------------
                   FIRST TRUST CHINA ALPHADEX(R) FUND -- FCA
--------------------------------------------------------------------------------

methodology. The Base Index is a comprehensive, rules-based index designed to
measure stock market performance in China. The Base Index covers all publicly
listed equities with float adjusted market values of $100 million or more and
annual dollar value traded of at least $50 million. Alpha is an indication of
how much an investment outperforms or underperforms on a risk-adjusted basis
relative to its benchmark. As of March 31, 2012, the Index was comprised of 49
securities. The Index is rebalanced and reconstituted as of the last business
day of the semi-annual periods ended June 30 and December 31. Changes to the
Index will be effective at the open of trading on the ninth business day of the
following month.

The Fund intends to invest entirely in the Index; however, there may also be
instances in which the Fund may be overweighted in certain stocks in the Index,
purchase securities not in the Index that are appropriate to substitute for
certain securities in the Index or utilize various combinations of the above
techniques in seeking to track the Index.

PRINCIPAL RISKS

You could lose money by investing in the Fund. An investment in the Fund is not
a deposit of a bank and is not insured or guaranteed by the Federal Deposit
Insurance Corporation or any other governmental agency.

MARKET RISK. Market risk is the risk that a particular stock owned by the Fund,
Shares of the Fund or stocks in general may fall in value. Shares are subject to
market fluctuations caused by such factors as economic, political, regulatory or
market developments, changes in interest rates and perceived trends in stock
prices. Overall stock values could decline generally or could underperform other
investments.

NON-CORRELATION RISK. The Fund's return may not match the return of the Index
for a number of reasons. For example, the Fund incurs operating expenses not
applicable to the Index, and may incur costs in buying and selling securities,
especially when rebalancing the Fund's portfolio holdings to reflect changes in
the composition of the Index. In addition, the Fund's portfolio holdings may not
exactly replicate the securities included in the Index or the ratios between the
securities included in the Index.

REPLICATION MANAGEMENT RISK. The Fund is exposed to additional market risk due
to its policy of investing principally in the securities included in the Index.
As a result of this policy, securities held by the Fund will generally not be
bought or sold in response to market fluctuations, and the securities may be
issued by companies concentrated in a particular industry. Therefore, the Fund
will generally not sell a stock because the stock's issuer is in financial
trouble, unless that stock is removed or is anticipated to be removed from the
Index.

NON-DIVERSIFICATION RISK. The Fund is classified as "non-diversified" under the
Investment Company Act of 1940, as amended (the "1940 Act"). As a result, the
Fund is only limited as to the percentage of its assets which may be invested in
the securities of any one issuer by the diversification requirements imposed by
the Internal Revenue Code of 1986, as amended (the "Code"). The Fund may invest
a relatively high percentage of its assets in a limited number of issuers. As a
result, the Fund may be more susceptible to a single adverse economic or
regulatory occurrence affecting one or more of these issuers, experience
increased volatility and be highly concentrated in certain issuers.

NON-U.S. SECURITIES AND EMERGING MARKETS RISK. The Fund invests in securities of
non-U.S. issuers, including non-U.S. dollar-denominated securities traded
outside of the United States and U.S. dollar-denominated securities of non-U.S.
issuers traded in the United States. Such securities are subject to higher
volatility than securities of domestic issuers due to possible adverse
political, social or economic developments; restrictions on foreign investment
or exchange of securities; lack of liquidity; excessive taxation; government
seizure of assets; different legal or accounting standards; and less government
supervision and regulation of exchanges in foreign countries. These risks may be
heightened for securities of companies located in, or with significant
operations in, emerging market countries.

CURRENCY RISK. Because the Fund's NAV is determined on the basis of U.S. dollars
and the Fund invests in foreign securities, you may lose money if the local
currency of a foreign market depreciates against the U.S. dollar, even if the
local currency value of the Fund's holdings goes up.

CHINA RISK. The Fund may invest in H shares, certain depositary receipts and
U.S.-listed common stock of companies that are domiciled in China, including
Hong Kong. Some Chinese companies are listed on both the Hong Kong Stock
Exchange with H shares and the Shanghai Stock Exchange with A shares. Price
differentials between H shares and A shares of the same company may be
significant. Also, price fluctuations of A shares are limited to either 5% or
10% per trading day, while no such limitations exist for H shares. Therefore, H
shares may be susceptible to greater price fluctuations. Investing in securities
of companies in China involves additional risks, including, but not limited to,
the economy of China differs, often unfavorably, from the U.S. economy in such
respects as structure, general development, government involvement, wealth
distribution, rate of inflation, growth rate, allocation of resources and
capital reinvestment, among others; the central government has historically
exercised substantial control over virtually every sector of the Chinese economy
through administrative regulation and/or state ownership; and actions of the
Chinese central and local government authorities continue to have a substantial

                                       15


--------------------------------------------------------------------------------
                   FIRST TRUST CHINA ALPHADEX(R) FUND -- FCA
--------------------------------------------------------------------------------

effect on economic conditions in China. Furthermore, China's economy is
dependent on the economies of other Asian countries and can be significantly
affected by currency fluctuations and increasing competition from Asia's other
low-cost emerging economies. Chinese securities may also be subject to greater
restrictions on foreign investment or exchange of securities; lack of liquidity;
excessive taxation; government seizure of assets; different legal or accounting
standards and less government supervision and regulation of exchanges than in
the United States. These risks may be heightened for securities of companies
located in, or with significant operations in, an emerging market country like
China.

ANNUAL TOTAL RETURN

The Fund has not yet operated for a full calendar year and, therefore,
performance information is not included in this section of the Prospectus. See
"Total Return Information" for performance information regarding the Fund.

MANAGEMENT

   INVESTMENT ADVISOR
   First Trust Advisors L.P. ("First Trust")

   PORTFOLIO MANAGERS
   The Fund's portfolio is managed by a team (the "Investment Committee")
   consisting of:

      o     Daniel J. Lindquist, Chairman of the Investment Committee and Senior
            Vice President of First Trust;

      o     Robert F. Carey, Chief Investment Officer and Senior Vice President
            of First Trust;

      o     Jon C. Erickson, Senior Vice President of First Trust;

      o     David G. McGarel, Senior Vice President of First Trust;

      o     Roger F. Testin, Senior Vice President of First Trust; and

      o     Stan Ueland, Vice President of First Trust.

   Each Investment Committee member has served as a part of the portfolio
   management team of the Fund since inception.

PURCHASE AND SALE OF FUND SHARES

The Fund issues and redeems Shares on a continuous basis, at NAV, only in
Creation Units consisting of 50,000 Shares. The Fund's Creation Units are issued
and redeemed for cash or in-kind for securities included in the Fund's
portfolio. Individual Shares may only be purchased and sold on NYSE Arca through
a broker-dealer. Shares of the Fund will trade on NYSE Arca at market prices
rather than NAV, which may cause the Shares to trade at a price greater than NAV
(premium) or less than NAV (discount).

TAX INFORMATION

The Fund's distributions are taxable and will generally be taxed as ordinary
income or capital gains.

PAYMENTS TO BROKER-DEALERS AND OTHER FINANCIAL INTERMEDIARIES

If you purchase Shares of the Fund through a broker-dealer or other financial
intermediary (such as a bank), First Trust and First Trust Portfolios L.P., the
Fund's distributor, may pay the intermediary for the sale of Fund Shares and
related services. These payments may create a conflict of interest by
influencing the broker-dealer or other intermediary and your salesperson to
recommend the Fund over another investment. Ask your salesperson or visit your
financial intermediary's website for more information.


                                       16


--------------------------------------------------------------------------------
                              SUMMARY INFORMATION
                       FIRST TRUST JAPAN ALPHADEX(R) FUND
--------------------------------------------------------------------------------

INVESTMENT OBJECTIVE

The First Trust Japan AlphaDEX(R) Fund (the "Fund") seeks investment results
that correspond generally to the price and yield (before the Fund's fees and
expenses) of an equity index called the Defined Japan Index (the "Index").

FEES AND EXPENSES OF THE FUND

The following table describes the fees and expenses you may pay if you buy and
hold Shares of the Fund. Investors purchasing and selling Shares may be subject
to costs (including customary brokerage commissions) charged by their broker.

   SHAREHOLDER FEES (fees paid directly from your investment)

   Maximum Sales Charge (Load) Imposed on Purchases
        (as a percentage of offering price)                                 None

   ANNUAL FUND OPERATING EXPENSES (Expenses that you pay each
        year as a percentage of the value of your investment)

   Management Fees                                                         0.80%
   Distribution and Service (12b-1) Fees (1)                               0.00%
   Other Expenses                                                          0.00%
                                                                           -----
   Total Annual Fund Operating Expenses                                    0.80%


   EXAMPLE

   The example below is intended to help you compare the cost of investing in
   the Fund with the cost of investing in other funds. This example does not
   take into account customary brokerage commissions that you pay when
   purchasing or selling Shares of the Fund in the secondary market.

   The example assumes that you invest $10,000 in the Fund for the time periods
   indicated and then you retain the Shares or redeem all of your Shares at the
   end of those periods. The example also assumes that your investment has a 5%
   return each year and that the Fund's annual operating expenses remain at
   current levels until April 30, 2013 and thereafter at 1.05% to represent the
   imposition of the 12b-1 fee of 0.25% per annum of the Fund's average daily
   net assets. Although your actual costs may be higher or lower, based on these
   assumptions your costs would be:

           1 YEAR           3 YEARS          5 YEARS         10 YEARS
           ------           -------          -------         --------
            $82               $301             $547            $1,252

-------------------

(1)   Although the Fund has adopted a 12b-1 plan that permits it to pay up to
      0.25% per annum, it will not pay 12b-1 fees at any time before April 30,
      2013.

   PORTFOLIO TURNOVER

   The Fund pays transaction costs, such as commissions, when it buys and sells
   securities (or "turns over" its portfolio). A higher portfolio turnover rate
   may indicate higher transaction costs and may result in higher taxes when
   Fund Shares are held in a taxable account. These costs, which are not
   reflected in annual fund operating expenses or in the example, affect the
   Fund's performance. During the fiscal period April 18, 2011 (inception)
   through December 31, 2011, the Fund's portfolio turnover rate was 43% of the
   average value of its portfolio.

PRINCIPAL INVESTMENT STRATEGIES

The Fund will normally invest at least 90% of its net assets plus the amount of
any borrowings for investment purposes in stocks that comprise the Index. The
Fund, using an "indexing" investment approach, attempts to replicate, before
fees and expenses, the performance of the Index. First Trust seeks a correlation
of 0.95 or better (before fees and expenses) between the Fund's performance and
the performance of the Index; a figure of 1.00 would represent perfect
correlation. First Trust will regularly monitor the Fund's tracking accuracy and
will seek to maintain an appropriate correlation.

The Index is in the "Defined Index Series," a family of custom enhanced indices
developed, maintained and sponsored by Standard & Poor's Financial Services LLC
("S&P" or the "Index Provider"). The Index is a modified equal-dollar weighted
index designed by S&P to objectively identify and select stocks from the S&P
Japan BMI Index (the "Base Index") that may generate positive alpha relative to
traditional passive-style indices through the use of the AlphaDEX(R) selection

                                       17


--------------------------------------------------------------------------------
                   FIRST TRUST JAPAN ALPHADEX(R) FUND -- FJP
--------------------------------------------------------------------------------

methodology. The Base Index is a comprehensive, rules-based index designed to
measure stock market performance in Japan. The Base Index covers all publicly
listed equities with float adjusted market values of $100 million or more and
annual dollar value traded of at least $50 million. Alpha is an indication of
how much an investment outperforms or underperforms on a risk-adjusted basis
relative to its benchmark. As of March 31, 2012, the Index was comprised of 100
securities. The Index is rebalanced and reconstituted as of the last business
day of the semi-annual periods ended June 30 and December 31. Changes to the
Index will be effective at the open of trading on the ninth business day of the
following month.

The Fund intends to invest entirely in the Index; however, there may also be
instances in which the Fund may be overweighted in certain stocks in the Index,
purchase securities not in the Index that are appropriate to substitute for
certain securities in the Index or utilize various combinations of the above
techniques in seeking to track the Index.

PRINCIPAL RISKS

You could lose money by investing in the Fund. An investment in the Fund is not
a deposit of a bank and is not insured or guaranteed by the Federal Deposit
Insurance Corporation or any other governmental agency.

MARKET RISK. Market risk is the risk that a particular stock owned by the Fund,
Shares of the Fund or stocks in general may fall in value. Shares are subject to
market fluctuations caused by such factors as economic, political, regulatory or
market developments, changes in interest rates and perceived trends in stock
prices. Overall stock values could decline generally or could underperform other
investments.

NON-CORRELATION RISK. The Fund's return may not match the return of the Index
for a number of reasons. For example, the Fund incurs operating expenses not
applicable to the Index, and may incur costs in buying and selling securities,
especially when rebalancing the Fund's portfolio holdings to reflect changes in
the composition of the Index. In addition, the Fund's portfolio holdings may not
exactly replicate the securities included in the Index or the ratios between the
securities included in the Index.

REPLICATION MANAGEMENT RISK. The Fund is exposed to additional market risk due
to its policy of investing principally in the securities included in the Index.
As a result of this policy, securities held by the Fund will generally not be
bought or sold in response to market fluctuations, and the securities may be
issued by companies concentrated in a particular industry. Therefore, the Fund
will generally not sell a stock because the stock's issuer is in financial
trouble, unless that stock is removed or is anticipated to be removed from the
Index.

NON-DIVERSIFICATION RISK. The Fund is classified as "non-diversified" under the
Investment Company Act of 1940, as amended (the "1940 Act"). As a result, the
Fund is only limited as to the percentage of its assets which may be invested in
the securities of any one issuer by the diversification requirements imposed by
the Internal Revenue Code of 1986, as amended (the "Code"). The Fund may invest
a relatively high percentage of its assets in a limited number of issuers. As a
result, the Fund may be more susceptible to a single adverse economic or
regulatory occurrence affecting one or more of these issuers, experience
increased volatility and be highly concentrated in certain issuers.

NON-U.S. SECURITIES RISK. The Fund invests in securities of non-U.S. issuers,
including non-U.S. dollar-denominated securities traded outside of the United
States and U.S. dollar-denominated securities of non-U.S. issuers traded in the
United States. Such securities are subject to higher volatility than securities
of domestic issuers due to possible adverse political, social or economic
developments; restrictions on foreign investment or exchange of securities; lack
of liquidity; excessive taxation; government seizure of assets; different legal
or accounting standards; and less government supervision and regulation of
exchanges in foreign countries.

CURRENCY RISK. Because the Fund's NAV is determined on the basis of U.S. dollars
and the Fund invests in foreign securities, you may lose money if the local
currency of a foreign market depreciates against the U.S. dollar, even if the
local currency value of the Fund's holdings goes up.

JAPAN RISK. The Fund invests in the stock of companies operating in Japan.
Because Japan's economy and equity market share a strong correlation with the
U.S. markets, the Japanese economy may be affected by economic problems in the
U.S. Japan also has a growing economic relationship with China and other
Southeast Asian countries, and thus Japan's economy may also be affected by
economic, political or social instability in those countries. Despite a
strengthening in the economic relationship between Japan and China, the
countries' political relationship has at times been strained in recent years.
Should political tension increase, it could adversely affect the economy and
destabilize the region as a whole. Japan also remains heavily dependent on oil
imports, and higher commodity prices could therefore have a negative impact on
the economy. Japanese securities may also be subject to lack of liquidity;
excessive taxation; government seizure of assets; different legal or accounting
standards and less government supervision and regulation of exchanges than in
the United States. Furthermore, the natural disasters that have impacted Japan
and the ongoing recovery efforts have had a negative affect on Japan's economy,
and may continue to do so.

                                       18


--------------------------------------------------------------------------------
                   FIRST TRUST JAPAN ALPHADEX(R) FUND -- FJP
--------------------------------------------------------------------------------

ANNUAL TOTAL RETURN

The Fund has not yet operated for a full calendar year and, therefore,
performance information is not included in this section of the Prospectus. See
"Total Return Information" for performance information regarding the Fund.

MANAGEMENT

   INVESTMENT ADVISOR
   First Trust Advisors L.P. ("First Trust")

   PORTFOLIO MANAGERS
   The Fund's portfolio is managed by a team (the "Investment Committee")
   consisting of:

      o     Daniel J. Lindquist, Chairman of the Investment Committee and Senior
            Vice President of First Trust;

      o     Robert F. Carey, Chief Investment Officer and Senior Vice President
            of First Trust;

      o     Jon C. Erickson, Senior Vice President of First Trust;

      o     David G. McGarel, Senior Vice President of First Trust;

      o     Roger F. Testin, Senior Vice President of First Trust; and

      o     Stan Ueland, Vice President of First Trust.

   Each Investment Committee member has served as a part of the portfolio
   management team of the Fund since inception.

PURCHASE AND SALE OF FUND SHARES

The Fund issues and redeems Shares on a continuous basis, at NAV, only in
Creation Units consisting of 50,000 Shares. The Fund's Creation Units are issued
and redeemed for cash or in-kind for securities included in the Fund's
portfolio. Individual Shares may only be purchased and sold on NYSE Arca through
a broker-dealer. Shares of the Fund will trade on NYSE Arca at market prices
rather than NAV, which may cause the Shares to trade at a price greater than NAV
(premium) or less than NAV (discount).

TAX INFORMATION

The Fund's distributions are taxable and will generally be taxed as ordinary
income or capital gains.

PAYMENTS TO BROKER-DEALERS AND OTHER FINANCIAL INTERMEDIARIES

If you purchase Shares of the Fund through a broker-dealer or other financial
intermediary (such as a bank), First Trust and First Trust Portfolios L.P., the
Fund's distributor, may pay the intermediary for the sale of Fund Shares and
related services. These payments may create a conflict of interest by
influencing the broker-dealer or other intermediary and your salesperson to
recommend the Fund over another investment. Ask your salesperson or visit your
financial intermediary's website for more information.


                                       19


--------------------------------------------------------------------------------
                              SUMMARY INFORMATION
                    FIRST TRUST SOUTH KOREA ALPHADEX(R) FUND
--------------------------------------------------------------------------------

INVESTMENT OBJECTIVE

The First Trust South Korea AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Defined South Korea Index (the
"Index").

FEES AND EXPENSES OF THE FUND

The following table describes the fees and expenses you may pay if you buy and
hold Shares of the Fund. Investors purchasing and selling Shares may be subject
to costs (including customary brokerage commissions) charged by their broker.

   SHAREHOLDER FEES (fees paid directly from your investment)

   Maximum Sales Charge (Load) Imposed on Purchases
        (as a percentage of offering price)                                 None

   ANNUAL FUND OPERATING EXPENSES (Expenses that you pay each
        year as a percentage of the value of your investment)

   Management Fees                                                         0.80%
   Distribution and Service (12b-1) Fees (1)                               0.00%
   Other Expenses                                                          0.00%
                                                                           -----
   Total Annual Fund Operating Expenses                                    0.80%


   EXAMPLE

   The example below is intended to help you compare the cost of investing in
   the Fund with the cost of investing in other funds. This example does not
   take into account customary brokerage commissions that you pay when
   purchasing or selling Shares of the Fund in the secondary market.

   The example assumes that you invest $10,000 in the Fund for the time periods
   indicated and then you retain the Shares or redeem all of your Shares at the
   end of those periods. The example also assumes that your investment has a 5%
   return each year and that the Fund's annual operating expenses remain at
   current levels until April 30, 2013 and thereafter at 1.05% to represent the
   imposition of the 12b-1 fee of 0.25% per annum of the Fund's average daily
   net assets. Although your actual costs may be higher or lower, based on these
   assumptions your costs would be:

           1 YEAR           3 YEARS          5 YEARS         10 YEARS
           ------           -------          -------         --------
            $82               $301             $547            $1,252

-------------------

(1)   Although the Fund has adopted a 12b-1 plan that permits it to pay up to
      0.25% per annum, it will not pay 12b-1 fees at any time before April 30,
      2013.

   PORTFOLIO TURNOVER

   The Fund pays transaction costs, such as commissions, when it buys and sells
   securities (or "turns over" its portfolio). A higher portfolio turnover rate
   may indicate higher transaction costs and may result in higher taxes when
   Fund Shares are held in a taxable account. These costs, which are not
   reflected in annual fund operating expenses or in the example, affect the
   Fund's performance. During the fiscal period April 18, 2011 (inception)
   through December 31, 2011, the Fund's portfolio turnover rate was 123% of the
   average value of its portfolio.

PRINCIPAL INVESTMENT STRATEGIES

The Fund will normally invest at least 90% of its net assets plus the amount of
any borrowings for investment purposes in stocks that comprise the Index. The
Fund, using an "indexing" investment approach, attempts to replicate, before
fees and expenses, the performance of the Index. First Trust seeks a correlation
of 0.95 or better (before fees and expenses) between the Fund's performance and
the performance of the Index; a figure of 1.00 would represent perfect
correlation. First Trust will regularly monitor the Fund's tracking accuracy and
will seek to maintain an appropriate correlation.

The Index is in the "Defined Index Series," a family of custom enhanced indices
developed, maintained and sponsored by Standard & Poor's Financial Services LLC
("S&P" or the "Index Provider"). The Index is a modified equal-dollar weighted
index designed by S&P to objectively identify and select stocks from the S&P

                                       20


--------------------------------------------------------------------------------
                FIRST TRUST SOUTH KOREA ALPHADEX(R) FUND -- FKO
--------------------------------------------------------------------------------

South Korea BMI Index (the "Base Index") that may generate positive alpha
relative to traditional passive-style indices through the use of the AlphaDEX(R)
selection methodology. The Base Index is a comprehensive, rules-based index
designed to measure stock market performance in South Korea. The Base Index
covers all publicly listed equities with float adjusted market values of $100
million or more and annual dollar value traded of at least $50 million. Alpha is
an indication of how much an investment outperforms or underperforms on a
risk-adjusted basis relative to its benchmark. As of March 31, 2012, the Index
was comprised of 50 securities. The Index is rebalanced and reconstituted as of
the last business day of the semi-annual periods ended June 30 and December 31.
Changes to the Index will be effective at the open of trading on the ninth
business day of the following month.

The Fund intends to invest entirely in the Index; however, there may also be
instances in which the Fund may be overweighted in certain stocks in the Index,
purchase securities not in the Index that are appropriate to substitute for
certain securities in the Index or utilize various combinations of the above
techniques in seeking to track the Index.

PRINCIPAL RISKS

You could lose money by investing in the Fund. An investment in the Fund is not
a deposit of a bank and is not insured or guaranteed by the Federal Deposit
Insurance Corporation or any other governmental agency.

MARKET RISK. Market risk is the risk that a particular stock owned by the Fund,
Shares of the Fund or stocks in general may fall in value. Shares are subject to
market fluctuations caused by such factors as economic, political, regulatory or
market developments, changes in interest rates and perceived trends in stock
prices. Overall stock values could decline generally or could underperform other
investments.

NON-CORRELATION RISK. The Fund's return may not match the return of the Index
for a number of reasons. For example, the Fund incurs operating expenses not
applicable to the Index, and may incur costs in buying and selling securities,
especially when rebalancing the Fund's portfolio holdings to reflect changes in
the composition of the Index. In addition, the Fund's portfolio holdings may not
exactly replicate the securities included in the Index or the ratios between the
securities included in the Index.

REPLICATION MANAGEMENT RISK. The Fund is exposed to additional market risk due
to its policy of investing principally in the securities included in the Index.
As a result of this policy, securities held by the Fund will generally not be
bought or sold in response to market fluctuations, and the securities may be
issued by companies concentrated in a particular industry. Therefore, the Fund
will generally not sell a stock because the stock's issuer is in financial
trouble, unless that stock is removed or is anticipated to be removed from the
Index.

NON-DIVERSIFICATION RISK. The Fund is classified as "non-diversified" under the
Investment Company Act of 1940, as amended (the "1940 Act"). As a result, the
Fund is only limited as to the percentage of its assets which may be invested in
the securities of any one issuer by the diversification requirements imposed by
the Internal Revenue Code of 1986, as amended (the "Code"). The Fund may invest
a relatively high percentage of its assets in a limited number of issuers. As a
result, the Fund may be more susceptible to a single adverse economic or
regulatory occurrence affecting one or more of these issuers, experience
increased volatility and be highly concentrated in certain issuers.

NON-U.S. SECURITIES AND EMERGING MARKETS RISK. The Fund invests in securities of
non-U.S. issuers, including non-U.S. dollar-denominated securities traded
outside of the United States and U.S. dollar-denominated securities of non-U.S.
issuers traded in the United States. Such securities are subject to higher
volatility than securities of domestic issuers due to possible adverse
political, social or economic developments; restrictions on foreign investment
or exchange of securities; lack of liquidity; excessive taxation; government
seizure of assets; different legal or accounting standards; and less government
supervision and regulation of exchanges in foreign countries. These risks may be
heightened for securities of companies located in, or with significant
operations in, emerging market countries.

CASH TRANSACTIONS RISK. Unlike most exchange-traded funds, the Fund may effect a
portion of creations and redemptions for cash, rather than in-kind securities.
As a result, an investment in the Fund may be less tax-efficient than an
investment in a more conventional exchange-traded fund. Because the Fund may
effect a portion of redemptions for cash, rather than in-kind distributions, it
may be required to sell portfolio securities in order to obtain the cash needed
to distribute redemption proceeds. A sale of Shares may result in capital gains
or losses, and may also result in higher brokerage costs.

CURRENCY RISK. Because the Fund's NAV is determined on the basis of U.S. dollars
and the Fund invests in foreign securities, you may lose money if the local
currency of a foreign market depreciates against the U.S. dollar, even if the
local currency value of the Fund's holdings goes up.

SOUTH KOREA RISK. The Fund invests in the stock of companies that are domiciled
in South Korea. The South Korean economy is dependent on the economies of Asia
and the United States as key trading partners. Reduction in spending by these
economies on South Korean products and services or negative changes in any of
these economies, mainly in China or Southeast Asia, may cause an adverse impact
on the South Korean economy. Furthermore, South Korea's economy is also

                                       21


--------------------------------------------------------------------------------
                FIRST TRUST SOUTH KOREA ALPHADEX(R) FUND -- FKO
--------------------------------------------------------------------------------

dependent on the economies of other Asian countries and can be significantly
affected by currency fluctuations and increasing competition from Asia's other
low-cost emerging economies. Also, the political tensions with North Korea could
escalate and lead to further uncertainty in the political and economic climate
on the Korean peninsula. South Korean securities may also be subject to
restrictions on foreign investment or exchange of securities; lack of liquidity;
excessive taxation; government seizure of assets; different legal or accounting
standards and less government supervision and regulation of exchanges than in
the United States. These risks may be heightened for securities of companies
located in, or with significant operations in, an emerging market country like
South Korea.

ANNUAL TOTAL RETURN
The Fund has not yet operated for a full calendar year and, therefore,
performance information is not included in this section of the Prospectus. See
"Total Return Information" for performance information regarding the Fund.

MANAGEMENT

   INVESTMENT ADVISOR
   First Trust Advisors L.P. ("First Trust")

   PORTFOLIO MANAGERS
   The Fund's portfolio is managed by a team (the "Investment Committee")
   consisting of:

      o     Daniel J. Lindquist, Chairman of the Investment Committee and Senior
            Vice President of First Trust;

      o     Robert F. Carey, Chief Investment Officer and Senior Vice President
            of First Trust;

      o     Jon C. Erickson, Senior Vice President of First Trust;

      o     David G. McGarel, Senior Vice President of First Trust;

      o     Roger F. Testin, Senior Vice President of First Trust; and

      o     Stan Ueland, Vice President of First Trust.

   Each Investment Committee member has served as a part of the portfolio
   management team of the Fund since inception.

PURCHASE AND SALE OF FUND SHARES

The Fund issues and redeems Shares on a continuous basis, at NAV, only in
Creation Units consisting of 50,000 Shares. The Fund's Creation Units are issued
and redeemed for cash or in-kind for securities included in the Fund's
portfolio. Individual Shares may only be purchased and sold on NYSE Arca through
a broker-dealer. Shares of the Fund will trade on NYSE Arca at market prices
rather than NAV, which may cause the Shares to trade at a price greater than NAV
(premium) or less than NAV (discount).

TAX INFORMATION

The Fund's distributions are taxable and will generally be taxed as ordinary
income or capital gains.

PAYMENTS TO BROKER-DEALERS AND OTHER FINANCIAL INTERMEDIARIES

If you purchase Shares of the Fund through a broker-dealer or other financial
intermediary (such as a bank), First Trust and First Trust Portfolios L.P., the
Fund's distributor, may pay the intermediary for the sale of Fund Shares and
related services. These payments may create a conflict of interest by
influencing the broker-dealer or other intermediary and your salesperson to
recommend the Fund over another investment. Ask your salesperson or visit your
financial intermediary's website for more information.

                                       22


--------------------------------------------------------------------------------
                              SUMMARY INFORMATION
              FIRST TRUST DEVELOPED MARKETS EX-US ALPHADEX(R) FUND
--------------------------------------------------------------------------------

INVESTMENT OBJECTIVE

The First Trust Developed Markets Ex-US AlphaDEX(R) Fund (the "Fund") seeks
investment results that correspond generally to the price and yield (before the
Fund's fees and expenses) of an equity index called the Defined Developed
Markets Ex-US Index (the "Index").

FEES AND EXPENSES OF THE FUND

The following table describes the fees and expenses you may pay if you buy and
hold Shares of the Fund. Investors purchasing and selling Shares may be subject
to costs (including customary brokerage commissions) charged by their broker.

   SHAREHOLDER FEES (fees paid directly from your investment)

   Maximum Sales Charge (Load) Imposed on Purchases
        (as a percentage of offering price)                                 None

   ANNUAL FUND OPERATING EXPENSES (Expenses that you pay each
        year as a percentage of the value of your investment)

   Management Fees                                                         0.80%
   Distribution and Service (12b-1) Fees (1)                               0.00%
   Other Expenses                                                          0.00%
                                                                           -----
   Total Annual Fund Operating Expenses                                    0.80%


   EXAMPLE

   The example below is intended to help you compare the cost of investing in
   the Fund with the cost of investing in other funds. This example does not
   take into account customary brokerage commissions that you pay when
   purchasing or selling Shares of the Fund in the secondary market.

   The example assumes that you invest $10,000 in the Fund for the time periods
   indicated and then you retain the Shares or redeem all of your Shares at the
   end of those periods. The example also assumes that your investment has a 5%
   return each year and that the Fund's annual operating expenses remain at
   current levels until April 30, 2013 and thereafter at 1.05% to represent the
   imposition of the 12b-1 fee of 0.25% per annum of the Fund's average daily
   net assets. Although your actual costs may be higher or lower, based on these
   assumptions your costs would be:

           1 YEAR           3 YEARS          5 YEARS         10 YEARS
           ------           -------          -------         --------
            $82               $301             $547            $1,252

-------------------

(1)   Although the Fund has adopted a 12b-1 plan that permits it to pay up to
      0.25% per annum, it will not pay 12b-1 fees at any time before April 30,
      2013.

   PORTFOLIO TURNOVER

   The Fund pays transaction costs, such as commissions, when it buys and sells
   securities (or "turns over" its portfolio). A higher portfolio turnover rate
   may indicate higher transaction costs and may result in higher taxes when
   Fund Shares are held in a taxable account. These costs, which are not
   reflected in annual fund operating expenses or in the example, affect the
   Fund's performance. During the fiscal period April 18, 2011 (inception)
   through December 31, 2011, the Fund's portfolio turnover rate was 67% of the
   average value of its portfolio.

PRINCIPAL INVESTMENT STRATEGIES

The Fund will normally invest at least 90% of its net assets plus the amount of
any borrowings for investment purposes in stocks that comprise the Index. The
Fund, using an "indexing" investment approach, attempts to replicate, before
fees and expenses, the performance of the Index. First Trust seeks a correlation
of 0.95 or better (before fees and expenses) between the Fund's performance and
the performance of the Index; a figure of 1.00 would represent perfect
correlation. First Trust will regularly monitor the Fund's tracking accuracy and
will seek to maintain an appropriate correlation.

The Index is in the "Defined Index Series," a family of custom enhanced indices
developed, maintained and sponsored by Standard & Poor's Financial Services LLC
("S&P" or the "Index Provider"). The Index is a modified equal-dollar weighted
index designed by S&P to objectively identify and select stocks from the S&P

                                       23


--------------------------------------------------------------------------------
          FIRST TRUST DEVELOPED MARKETS EX-US ALPHADEX(R) FUND -- FDT
--------------------------------------------------------------------------------

Developed Markets Ex-US BMI Index (the "Base Index") that may generate positive
alpha relative to traditional passive-style indices through the use of the
AlphaDEX(R) selection methodology. The Base Index is a comprehensive,
rules-based index designed to measure stock market performance in developed
markets excluding the United States. The Base Index covers all publicly listed
equities with float adjusted market values of $100 million or more and annual
dollar value traded of at least $50 million. Alpha is an indication of how much
an investment outperforms or underperforms on a risk-adjusted basis relative to
its benchmark. As of March 31, 2012, the Index was comprised of 295 securities
from 23 countries. The Index is rebalanced and reconstituted as of the last
business day of the semi-annual periods ended March 31 and September 30. Changes
to the Index will be effective at the open of trading on the ninth business day
of the following month.

The Fund intends to invest entirely in the Index; however, there may also be
instances in which the Fund may be overweighted in certain stocks in the Index,
purchase securities not in the Index that are appropriate to substitute for
certain securities in the Index or utilize various combinations of the above
techniques in seeking to track the Index.

PRINCIPAL RISKS

You could lose money by investing in the Fund. An investment in the Fund is not
a deposit of a bank and is not insured or guaranteed by the Federal Deposit
Insurance Corporation or any other governmental agency.

MARKET RISK. Market risk is the risk that a particular stock owned by the Fund,
Shares of the Fund or stocks in general may fall in value. Shares are subject to
market fluctuations caused by such factors as economic, political, regulatory or
market developments, changes in interest rates and perceived trends in stock
prices. Overall stock values could decline generally or could underperform other
investments.

NON-CORRELATION RISK. The Fund's return may not match the return of the Index
for a number of reasons. For example, the Fund incurs operating expenses not
applicable to the Index, and may incur costs in buying and selling securities,
especially when rebalancing the Fund's portfolio holdings to reflect changes in
the composition of the Index. In addition, the Fund's portfolio holdings may not
exactly replicate the securities included in the Index or the ratios between the
securities included in the Index.

REPLICATION MANAGEMENT RISK. The Fund is exposed to additional market risk due
to its policy of investing principally in the securities included in the Index.
As a result of this policy, securities held by the Fund will generally not be
bought or sold in response to market fluctuations, and the securities may be
issued by companies concentrated in a particular industry. Therefore, the Fund
will generally not sell a stock because the stock's issuer is in financial
trouble, unless that stock is removed or is anticipated to be removed from the
Index.

NON-DIVERSIFICATION RISK. The Fund is classified as "non-diversified" under the
Investment Company Act of 1940, as amended (the "1940 Act"). As a result, the
Fund is only limited as to the percentage of its assets which may be invested in
the securities of any one issuer by the diversification requirements imposed by
the Internal Revenue Code of 1986, as amended (the "Code"). The Fund may invest
a relatively high percentage of its assets in a limited number of issuers. As a
result, the Fund may be more susceptible to a single adverse economic or
regulatory occurrence affecting one or more of these issuers, experience
increased volatility and be highly concentrated in certain issuers.

NON-U.S. SECURITIES RISK. The Fund invests in securities of non-U.S. issuers,
including non-U.S. dollar-denominated securities traded outside of the United
States and U.S. dollar-denominated securities of non-U.S. issuers traded in the
United States. Such securities are subject to higher volatility than securities
of domestic issuers due to possible adverse political, social or economic
developments; restrictions on foreign investment or exchange of securities; lack
of liquidity; excessive taxation; government seizure of assets; different legal
or accounting standards; and less government supervision and regulation of
exchanges in foreign countries.

CURRENCY RISK. Because the Fund's NAV is determined on the basis of U.S. dollars
and the Fund invests in foreign securities, you may lose money if the local
currency of a foreign market depreciates against the U.S. dollar, even if the
local currency value of the Fund's holdings goes up.

JAPAN RISK. The Fund invests in the stock of companies operating in Japan.
Because Japan's economy and equity market share a strong correlation with the
U.S. markets, the Japanese economy may be affected by economic problems in the
U.S. Japan also has a growing economic relationship with China and other
Southeast Asian countries, and thus Japan's economy may also be affected by
economic, political or social instability in those countries. Despite a
strengthening in the economic relationship between Japan and China, the
countries' political relationship has at times been strained in recent years.
Should political tension increase, it could adversely affect the economy and
destabilize the region as a whole. Japan also remains heavily dependent on oil
imports, and higher commodity prices could therefore have a negative impact on
the economy. Japanese securities may also be subject to lack of liquidity;
excessive taxation; government seizure of assets; different legal or accounting
standards and less government supervision and regulation of exchanges than in
the United States. Furthermore, the natural disasters that have impacted Japan
and the ongoing recovery efforts have had a negative affect on Japan's economy,
and may continue to do so.

                                       24


--------------------------------------------------------------------------------
          FIRST TRUST DEVELOPED MARKETS EX-US ALPHADEX(R) FUND -- FDT
--------------------------------------------------------------------------------

ANNUAL TOTAL RETURN

The Fund has not yet operated for a full calendar year and, therefore,
performance information is not included in this section of the Prospectus. See
"Total Return Information" for performance information regarding the Fund.

MANAGEMENT

   INVESTMENT ADVISOR
   First Trust Advisors L.P. ("First Trust")

   PORTFOLIO MANAGERS
   The Fund's portfolio is managed by a team (the "Investment Committee")
   consisting of:

      o     Daniel J. Lindquist, Chairman of the Investment Committee and Senior
            Vice President of First Trust;

      o     Robert F. Carey, Chief Investment Officer and Senior Vice President
            of First Trust;

      o     Jon C. Erickson, Senior Vice President of First Trust;

      o     David G. McGarel, Senior Vice President of First Trust;

      o     Roger F. Testin, Senior Vice President of First Trust; and

      o     Stan Ueland, Vice President of First Trust.

   Each Investment Committee member has served as a part of the portfolio
   management team of the Fund since inception.

PURCHASE AND SALE OF FUND SHARES

The Fund issues and redeems Shares on a continuous basis, at NAV, only in
Creation Units consisting of 50,000 Shares. The Fund's Creation Units are issued
and redeemed for cash or in-kind for securities included in the Fund's
portfolio. Individual Shares may only be purchased and sold on NYSE Arca through
a broker-dealer. Shares of the Fund will trade on NYSE Arca at market prices
rather than NAV, which may cause the Shares to trade at a price greater than NAV
(premium) or less than NAV (discount).

TAX INFORMATION

The Fund's distributions are taxable and will generally be taxed as ordinary
income or capital gains.

PAYMENTS TO BROKER-DEALERS AND OTHER FINANCIAL INTERMEDIARIES

If you purchase Shares of the Fund through a broker-dealer or other financial
intermediary (such as a bank), First Trust and First Trust Portfolios L.P., the
Fund's distributor, may pay the intermediary for the sale of Fund Shares and
related services. These payments may create a conflict of interest by
influencing the broker-dealer or other intermediary and your salesperson to
recommend the Fund over another investment. Ask your salesperson or visit your
financial intermediary's website for more information.

                                       25


--------------------------------------------------------------------------------
                              SUMMARY INFORMATION
                 FIRST TRUST EMERGING MARKETS ALPHADEX(R) FUND
--------------------------------------------------------------------------------

INVESTMENT OBJECTIVE

The First Trust Emerging Markets AlphaDEX(R) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Defined Emerging Markets Index (the
"Index").

FEES AND EXPENSES OF THE FUND

The following table describes the fees and expenses you may pay if you buy and
hold Shares of the Fund. Investors purchasing and selling Shares may be subject
to costs (including customary brokerage commissions) charged by their broker.

   SHAREHOLDER FEES (fees paid directly from your investment)

   Maximum Sales Charge (Load) Imposed on Purchases
        (as a percentage of offering price)                                 None

   ANNUAL FUND OPERATING EXPENSES (Expenses that you pay each
        year as a percentage of the value of your investment)

   Management Fees                                                         0.80%
   Distribution and Service (12b-1) Fees (1)                               0.00%
   Other Expenses                                                          0.00%
                                                                           -----
   Total Annual Fund Operating Expenses                                    0.80%


   EXAMPLE

   The example below is intended to help you compare the cost of investing in
   the Fund with the cost of investing in other funds. This example does not
   take into account customary brokerage commissions that you pay when
   purchasing or selling Shares of the Fund in the secondary market.

   The example assumes that you invest $10,000 in the Fund for the time periods
   indicated and then you retain the Shares or redeem all of your Shares at the
   end of those periods. The example also assumes that your investment has a 5%
   return each year and that the Fund's annual operating expenses remain at
   current levels until April 30, 2013 and thereafter at 1.05% to represent the
   imposition of the 12b-1 fee of 0.25% per annum of the Fund's average daily
   net assets. Although your actual costs may be higher or lower, based on these
   assumptions your costs would be:

           1 YEAR           3 YEARS          5 YEARS         10 YEARS
           ------           -------          -------         --------
            $82               $301             $547            $1,252

-------------------

(1)   Although the Fund has adopted a 12b-1 plan that permits it to pay up to
      0.25% per annum, it will not pay 12b-1 fees at any time before April 30,
      2013.

   PORTFOLIO TURNOVER

   The Fund pays transaction costs, such as commissions, when it buys and sells
   securities (or "turns over" its portfolio). A higher portfolio turnover rate
   may indicate higher transaction costs and may result in higher taxes when
   Fund Shares are held in a taxable account. These costs, which are not
   reflected in annual fund operating expenses or in the example, affect the
   Fund's performance. During the fiscal period April 18, 2011 (inception)
   through December 31, 2011, the Fund's portfolio turnover rate was 56% of the
   average value of its portfolio.

PRINCIPAL INVESTMENT STRATEGIES

The Fund will normally invest at least 90% of its net assets plus the amount of
any borrowings for investment purposes in stocks that comprise the Index. The
Fund, using an "indexing" investment approach, attempts to replicate, before
fees and expenses, the performance of the Index. First Trust seeks a correlation
of 0.95 or better (before fees and expenses) between the Fund's performance and
the performance of the Index; a figure of 1.00 would represent perfect
correlation. First Trust will regularly monitor the Fund's tracking accuracy and
will seek to maintain an appropriate correlation.

The Index is in the "Defined Index Series," a family of custom enhanced indices
developed, maintained and sponsored by Standard & Poor's Financial Services LLC
("S&P" or the "Index Provider"). The Index is a modified equal-dollar weighted
index designed by S&P to objectively identify and select stocks from the S&P

                                       26


--------------------------------------------------------------------------------
              FIRST TRUST EMERGING MARKETS ALPHADEX(R) FUND -- FEM
--------------------------------------------------------------------------------

Emerging Markets BMI Index (the "Base Index") that may generate positive alpha
relative to traditional passive-style indices through the use of the AlphaDEX(R)
selection methodology. The Base Index is a comprehensive, rules-based index
designed to measure stock market performance in emerging markets. The Base Index
covers all publicly listed equities with float adjusted market values of $100
million or more and annual dollar value traded of at least $50 million. Alpha is
an indication of how much an investment outperforms or underperforms on a
risk-adjusted basis relative to its benchmark. As of March 31, 2012, the Index
was comprised of 148 securities from 17 countries. The Index is rebalanced and
reconstituted as of the last business day of the semi-annual periods ended March
31 and September 30. Changes to the Index will be effective at the open of
trading on the ninth business day of the following month.

The Fund intends to invest entirely in the Index; however, there may also be
instances in which the Fund may be overweighted in certain stocks in the Index,
purchase securities not in the Index that are appropriate to substitute for
certain securities in the Index or utilize various combinations of the above
techniques in seeking to track the Index.

PRINCIPAL RISKS

You could lose money by investing in the Fund. An investment in the Fund is not
a deposit of a bank and is not insured or guaranteed by the Federal Deposit
Insurance Corporation or any other governmental agency.

MARKET RISK. Market risk is the risk that a particular stock owned by the Fund,
Shares of the Fund or stocks in general may fall in value. Shares are subject to
market fluctuations caused by such factors as economic, political, regulatory or
market developments, changes in interest rates and perceived trends in stock
prices. Overall stock values could decline generally or could underperform other
investments.

NON-CORRELATION RISK. The Fund's return may not match the return of the Index
for a number of reasons. For example, the Fund incurs operating expenses not
applicable to the Index, and may incur costs in buying and selling securities,
especially when rebalancing the Fund's portfolio holdings to reflect changes in
the composition of the Index. In addition, the Fund's portfolio holdings may not
exactly replicate the securities included in the Index or the ratios between the
securities included in the Index.

REPLICATION MANAGEMENT RISK. The Fund is exposed to additional market risk due
to its policy of investing principally in the securities included in the Index.
As a result of this policy, securities held by the Fund will generally not be
bought or sold in response to market fluctuations, and the securities may be
issued by companies concentrated in a particular industry. Therefore, the Fund
will generally not sell a stock because the stock's issuer is in financial
trouble, unless that stock is removed or is anticipated to be removed from the
Index.

NON-DIVERSIFICATION RISK. The Fund is classified as "non-diversified" under the
Investment Company Act of 1940, as amended (the "1940 Act"). As a result, the
Fund is only limited as to the percentage of its assets which may be invested in
the securities of any one issuer by the diversification requirements imposed by
the Internal Revenue Code of 1986, as amended (the "Code"). The Fund may invest
a relatively high percentage of its assets in a limited number of issuers. As a
result, the Fund may be more susceptible to a single adverse economic or
regulatory occurrence affecting one or more of these issuers, experience
increased volatility and be highly concentrated in certain issuers.

NON-U.S. SECURITIES AND EMERGING MARKETS RISK. The Fund invests in securities of
non-U.S. issuers, including non-U.S. dollar-denominated securities traded
outside of the United States and U.S. dollar-denominated securities of non-U.S.
issuers traded in the United States. Such securities are subject to higher
volatility than securities of domestic issuers due to possible adverse
political, social or economic developments; restrictions on foreign investment
or exchange of securities; lack of liquidity; excessive taxation; government
seizure of assets; different legal or accounting standards; and less government
supervision and regulation of exchanges in foreign countries. These risks may be
heightened for securities of companies located in, or with significant
operations in, emerging market countries.

CHINA RISK. The Fund may invest in H shares, certain depositary receipts and
U.S.-listed common stock of companies that are domiciled in China, including
Hong Kong. Some Chinese companies are listed on both the Hong Kong Stock
Exchange with H shares and the Shanghai Stock Exchange with A shares. Price
differentials between H shares and A shares of the same company may be
significant. Also, price fluctuations of A shares are limited to either 5% or
10% per trading day, while no such limitations exist for H shares. Therefore, H
shares may be susceptible to greater price fluctuations. Investing in securities
of companies in China involves additional risks, including, but not limited to,
the economy of China differs, often unfavorably, from the U.S. economy in such
respects as structure, general development, government involvement, wealth
distribution, rate of inflation, growth rate, allocation of resources and
capital reinvestment, among others; the central government has historically
exercised substantial control over virtually every sector of the Chinese economy
through administrative regulation and/or state ownership; and actions of the
Chinese central and local government authorities continue to have a substantial
effect on economic conditions in China. Furthermore, China's economy is
dependent on the economies of other Asian countries and can be significantly
affected by currency fluctuations and increasing competition from Asia's other

                                       27


--------------------------------------------------------------------------------
              FIRST TRUST EMERGING MARKETS ALPHADEX(R) FUND -- FEM
--------------------------------------------------------------------------------

low-cost emerging economies. Chinese securities may also be subject to greater
restrictions on foreign investment or exchange of securities; lack of liquidity;
excessive taxation; government seizure of assets; different legal or accounting
standards and less government supervision and regulation of exchanges than in
the United States. These risks may be heightened for securities of companies
located in, or with significant operations in, an emerging market country like
China.

BRAZIL RISK. The Fund invests in companies that are operating in Brazil. Brazil
has experienced substantial economic instability resulting from, among other
things, periods of very high inflation, persistent structural public sector
deficits and significant devaluations of its currency leading also to a high
degree of price volatility in both the Brazilian equity and foreign currency
markets. Brazilian companies may also be adversely affected by high interest and
unemployment rates, and are particularly sensitive to fluctuations in commodity
prices. Brazilian securities may also be subject to restrictions on foreign
investment or exchange of securities; lack of liquidity; excessive taxation;
government seizure of assets; different legal or accounting standards and less
government supervision and regulation of exchanges than in the United States.
These risks may be heightened for securities of companies located in, or with
significant operations in, an emerging market country like Brazil.

CURRENCY RISK. Because the Fund's NAV is determined on the basis of U.S. dollars
and the Fund invests in foreign securities, you may lose money if the local
currency of a foreign market depreciates against the U.S. dollar, even if the
local currency value of the Fund's holdings goes up.

ANNUAL TOTAL RETURN

The Fund has not yet operated for a full calendar year and, therefore,
performance information is not included in this section of the Prospectus. See
"Total Return Information" for performance information regarding the Fund.

MANAGEMENT

   INVESTMENT ADVISOR
   First Trust Advisors L.P. ("First Trust")

   PORTFOLIO MANAGERS
   The Fund's portfolio is managed by a team (the "Investment Committee")
   consisting of:

      o     Daniel J. Lindquist, Chairman of the Investment Committee and Senior
            Vice President of First Trust;

      o     Robert F. Carey, Chief Investment Officer and Senior Vice President
            of First Trust;

      o     Jon C. Erickson, Senior Vice President of First Trust;

      o     David G. McGarel, Senior Vice President of First Trust;

      o     Roger F. Testin, Senior Vice President of First Trust; and

      o     Stan Ueland, Vice President of First Trust.

   Each Investment Committee member has served as a part of the portfolio
   management team of the Fund since inception.

PURCHASE AND SALE OF FUND SHARES

The Fund issues and redeems Shares on a continuous basis, at NAV, only in
Creation Units consisting of 50,000 Shares. The Fund's Creation Units are issued
and redeemed for cash or in-kind for securities included in the Fund's
portfolio. Individual Shares may only be purchased and sold on NYSE Arca through
a broker-dealer. Shares of the Fund will trade on NYSE Arca at market prices
rather than NAV, which may cause the Shares to trade at a price greater than NAV
(premium) or less than NAV (discount).

TAX INFORMATION

The Fund's distributions are taxable and will generally be taxed as ordinary
income or capital gains.

PAYMENTS TO BROKER-DEALERS AND OTHER FINANCIAL INTERMEDIARIES
If you purchase Shares of the Fund through a broker-dealer or other financial
intermediary (such as a bank), First Trust and First Trust Portfolios L.P., the
Fund's distributor, may pay the intermediary for the sale of Fund Shares and
related services. These payments may create a conflict of interest by
influencing the broker-dealer or other intermediary and your salesperson to
recommend the Fund over another investment. Ask your salesperson or visit your
financial intermediary's website for more information.

                                       28



                             INVESTMENT STRATEGIES

Each Fund is a series of the Trust, an investment company and an exchange-traded
"index fund." The investment objective of each Fund is to seek investment
results that correspond generally to the price and yield (before each Fund's
fees and expenses) of such Fund's corresponding equity index (each Fund's
corresponding equity index is referred to herein as an "Index," and together, as
the "Indices;" the provider of each Fund's Index is referred to herein as the
"Index Provider"). Each Fund will normally invest at least 90% of its net assets
in stocks that comprise its Index. Each Fund's investment objective, the 90%
investment strategy and each of the policies described herein are
non-fundamental policies that may be changed by the Board of Trustees of the
Trust (the "Board") without shareholder approval. As non-fundamental policies,
each Fund's investment objective and the 90% investment strategy require 60
days' prior written notice to shareholders before they can be changed. Certain
fundamental policies of the Funds are set forth in the Statement of Additional
Information ("SAI") under "Investment Objectives and Policies."

In seeking to achieve each Fund's investment objective, the Fund generally will
invest in all of the securities comprising its Index, in proportion to their
weightings in the Index. However, under various circumstances, it may not be
possible or practicable to purchase all of those stocks in those weightings. In
those circumstances, a Fund may purchase a sample of stocks in its Index. There
may also be instances in which First Trust may choose to overweight certain
stocks in the applicable Index, purchase securities not in the Index which First
Trust believes are appropriate to substitute for certain securities in the
Index, use futures or derivative instruments, or utilize various combinations of
the above techniques in seeking to track the Index. A Fund may sell stocks that
are represented in its Index in anticipation of their removal from the Index or
purchase stocks not represented in the Index in anticipation of their addition
to the Index.

DISCLOSURE OF PORTFOLIO HOLDINGS

A description of the policies and procedures with respect to the disclosure of
each Fund's portfolio securities is included in the Funds' SAI and on the Funds'
website at www.ftportfolios.com.

SECURITIES LENDING

Each Fund may lend securities representing up to 20% of the value of its total
assets to broker-dealers, banks and other institutions to generate additional
income. When a Fund loans its portfolio securities, it will receive, at the
inception of each loan, cash collateral equal to at least 102% (for domestic
securities) or 105% (for international securities) of the market value of the
loaned securities.

                   ADDITIONAL RISKS OF INVESTING IN THE FUNDS

Risk is inherent in all investing. Investing in a Fund involves risk, including
the risk that you may lose all or part of your investment. There can be no
assurance that a Fund will meet its stated objective. Before you invest, you
should consider the following risks in addition to the Principal Risks set forth
above in this prospectus.

INDEX TRACKING RISK. You should anticipate that the value of Fund Shares will
decline, more or less, in correlation with any decline in the value of that
Fund's Index.

NON-U.S. SECURITIES RISK. In addition to the risks described above in "Principal
Risks--Non-U.S. Securities and Emerging Markets Risk," and "Principal
Risks--Non-U.S. Securities Risk," an investment in securities of non-U.S.
companies involves other risks not associated with domestic issuers. Investment
in non-U.S. securities may involve higher costs than investment in U.S.
securities, including higher transaction and custody costs as well as the
imposition of additional taxes by non-U.S. governments. Non-U.S. investments may
also involve risks associated with the level of currency exchange rates, less
complete financial information about the issuers, less market liquidity, more
market volatility and political instability. Future political and economic
developments, the possible imposition of withholding taxes on dividend income,
the possible seizure or nationalization of non-U.S. holdings, the possible
establishment of exchange controls or freezes on the convertibility of currency,
or the adoption of other governmental restrictions might adversely affect an
investment in non-U.S. securities. Additionally, non-U.S. issuers may be subject
to less stringent regulation, and to different accounting, auditing and
recordkeeping requirements.

EMERGING MARKETS RISK. In addition to the risks described above in "Principal
Risks--Non-U.S. Securities and Emerging Markets Risk," an investment in emerging
market companies involves certain further risks not associated with investing in
developed market countries because emerging market countries are often in the
initial stages of their industrialization cycles and have low per capita income.
These increased risks include the possibility of investment and trading
limitations, greater liquidity concerns, higher price volatility, greater delays
and possibility of disruptions in settlement transactions, greater political
uncertainties and greater dependence on international trade or development
assistance. In addition, emerging market countries may be subject to
overburdened infrastructures and environmental problems.

                                       29



CURRENCY RISK. In addition to the risks described above in "Principal
Risks--Currency Risk," an investment in non-U.S. securities involves further
risk due to currency exchange rates. Changes in currency exchange rates may
affect the Funds' net asset values, the value of dividends and interest earned,
and gains and losses realized on the sale of securities. An increase in the
strength of the U.S. dollar relative to other currencies may cause the value of
the Funds to decline. Certain non-U.S. currencies may be particularly volatile,
and non-U.S. governments may intervene in the currency markets, causing a
decline in value or liquidity in the Funds' non-U.S. holdings whose value is
tied to the affected non-U.S. currency.

DEPOSITARY RECEIPTS RISK. Depositary receipts may be less liquid than the
underlying shares in their primary trading market. Any distributions paid to the
holders of depositary receipts are usually subject to a fee charged by the
depositary. Holders of depositary receipts may have limited voting rights, and
investment restrictions in certain countries may adversely impact the value of
depositary receipts because such restrictions may limit the ability to convert
equity shares into depositary receipts and vice versa. Such restrictions may
cause equity shares of the underlying issuer to trade at a discount or premium
to the market price of the depositary receipts.

RISK OF CASH TRANSACTIONS. In addition to the risks described above in
"Principal Risks--Cash Transactions Risk," an investment in certain Funds
involves further risk due to cash transactions. Unlike most exchange-traded
funds, certain of the Funds may effect a portion of creations and redemptions
for cash, rather than in-kind securities. As a result, an investment in such a
Fund may be less tax-efficient than an investment in a more conventional
exchange-traded fund. Because certain of the Funds may effect a portion of
redemptions for cash, rather than in-kind distributions, they may be required to
sell portfolio securities in order to obtain the cash needed to distribute
redemption proceeds. Any recognized gain on these sales by such a Fund will
generally cause the Fund to recognize gain it might not otherwise have
recognized, or to recognize such gain sooner than would otherwise be required if
it were to distribute portfolio securities in-kind. Such Funds generally
distribute these gains to shareholders to avoid being taxed on this gain at the
fund level and otherwise comply with the special tax rules that apply to it.
This strategy may cause shareholders to be subject to tax on gains they would
not otherwise be subject to, or at an earlier date than if they had made an
investment in a different exchange-traded fund. Moreover, cash transactions may
have to be carried out over several days if the securities market is relatively
illiquid and may involve considerable brokerage fees and taxes. These brokerage
fees and taxes, which will be higher than if a Fund sold and redeemed its shares
principally in-kind, will be passed on to those purchasing and redeeming
Creation Units in the form of creation and redemption transaction fees. Brazil
may also impose higher local tax rates on transactions involving certain
companies. In addition, these factors may result in wider spreads between the
bid and the offered prices of a Fund's Shares than for more conventional
exchange-traded funds.

ISSUER SPECIFIC CHANGES RISK. The value of an individual security or particular
type of security can be more volatile than the market as a whole and can perform
differently from the value of the market as a whole.

PASSIVE INVESTMENT RISK. No Fund is actively managed. A Fund may be affected by
a general decline in certain market segments relating to its Index. A Fund
invests in securities included in or representative of its Index regardless of
their investment merit. A Fund generally will not attempt to take defensive
positions in declining markets.

INTELLECTUAL PROPERTY RISK. Each Fund relies on a license and related sublicense
that permits the Fund to use its Index and associated trade names, trademarks
and service marks (the "Intellectual Property") in connection with the name and
investment strategies of the Fund. Such license and related sublicense may be
terminated by the Index Provider and, as a result, the Fund may lose its ability
to use the Intellectual Property. There is also no guarantee that the Index
Provider has all rights to license the Intellectual Property for use by the
Fund. Accordingly, in the event the license is terminated or the Index Provider
does not have rights to license the Intellectual Property, it may have a
significant effect on the operation of the Fund.

INFLATION RISK. Inflation risk is the risk that the value of assets or income
from investments will be less in the future as inflation decreases the value of
money. As inflation increases, the value of a Fund's assets can decline as can
the value of a Fund's distributions. Stock prices may be particularly sensitive
to rising interest rates, as the cost of capital rises and borrowing costs
increase.

SECURITIES LENDING RISK. Each Fund may lend securities representing up to 20% of
the value of its total assets to broker-dealers, banks and other institutions to
generate additional income. Under these Funds' securities lending agreement, the
securities lending agent will generally bear the risk that a borrower may
default on its obligation to return loaned securities. The Funds, however, will
be responsible for the risks associated with the investment of cash collateral.
A Fund may lose money on its investment of cash collateral or may fail to earn
sufficient income on its investment to meet its obligations to the borrower.

When a dividend is paid on a security that is out on loan, the borrower receives
the dividend and in turn makes a payment of the same amount to the fund.
Dividends, if they constitute "qualified dividends," are taxable at the same
rate as long-term capital gains. These payments made by borrowers, however, are
not qualified dividends, and are taxable at higher ordinary income rates. As a
result, some of the distributions received by shareholders who hold Fund shares

                                       30


in taxable accounts may be subject to taxation at a higher rate than if the Fund
had not loaned its portfolio securities.

TRADING ISSUES
Although Shares of each Fund are listed for trading on NYSE Arca, there can be
no assurance that an active trading market for such Shares will develop or be
maintained. Trading in Shares on NYSE Arca may be halted due to market
conditions or for reasons that, in the view of NYSE Arca, make trading in Shares
inadvisable. In addition, trading in Shares on NYSE Arca is subject to trading
halts caused by extraordinary market volatility pursuant to NYSE Arca "circuit
breaker" rules. There can be no assurance that the requirements of NYSE Arca
necessary to maintain the listing of the Funds will continue to be met or will
remain unchanged. Due to the small asset size of some of the Funds, these Funds
are more likely to have difficulty maintaining their listing on NYSE Arca.

FLUCTUATION OF NET ASSET VALUE
The NAV of Shares of each Fund will generally fluctuate with changes in the
market value of such Fund's holdings. The market prices of Shares will generally
fluctuate in accordance with changes in NAV as well as the relative supply of
and demand for Shares on NYSE Arca. First Trust cannot predict whether Shares
will trade below, at or above their NAV. Price differences may be due, in large
part, to the fact that supply and demand forces at work in the secondary trading
market for Shares will be closely related to, but not identical to, the same
forces influencing the prices of the stocks of the Funds trading individually or
in the aggregate at any point in time. However, given that Shares can be
purchased and redeemed in Creation Units (unlike shares of closed-end funds,
which frequently trade at appreciable discounts from, and sometimes at premiums
to, their NAV), First Trust believes that large discounts or premiums to the NAV
of Shares should not be sustained.

                               FUND ORGANIZATION

Each Fund is a series of the Trust, an investment company registered under the
1940 Act. Each Fund is treated as a separate fund with its own investment
objective and policies. The Trust is organized as a Massachusetts business
trust. Its Board is responsible for the overall management and direction of the
Trust. The Board elects the Trust's officers and approves all significant
agreements, including those with the investment advisor, custodian and fund
administrative and accounting agent.

                            MANAGEMENT OF THE FUNDS

First Trust Advisors L.P. ("First Trust" or the "Advisor"), 120 East Liberty
Drive, Wheaton, Illinois 60187, is the investment advisor to the Funds. In this
capacity, First Trust is responsible for the selection and ongoing monitoring of
the securities in each Fund's portfolio and certain other services necessary for
the management of the portfolios.

First Trust is a limited partnership with one limited partner, Grace Partners of
DuPage L.P., and one general partner, The Charger Corporation. Grace Partners of
DuPage L.P. is a limited partnership with one general partner, The Charger
Corporation, and a number of limited partners. The Charger Corporation is an
Illinois corporation controlled by James A. Bowen, the Chief Executive Officer
of the Advisor. First Trust discharges its responsibilities subject to the
policies of the Board.

First Trust serves as advisor or sub-advisor to 14 mutual fund portfolios, 4
exchange-traded funds consisting of 69 series and 12 closed-end funds and is
also the portfolio supervisor of certain unit investment trusts sponsored by
FTP. FTP specializes in the underwriting, trading and distribution of unit
investment trusts and other securities. FTP is the principal underwriter of the
Shares of each Fund.

There is no one individual primarily responsible for portfolio management
decisions for the Funds. Investments are made under the direction of the
Investment Committee. The Investment Committee consists of Daniel J. Lindquist,
Robert F. Carey, Jon C. Erickson, David G. McGarel, Roger F. Testin and Stan
Ueland. Mr. Lindquist is Chairman of the Investment Committee and presides over
Investment Committee meetings. Mr. Lindquist is responsible for overseeing the
implementation of each Fund's investment strategy. Mr. Lindquist joined First
Trust as a Vice President in April 2004 and has been a Senior Vice President of
First Trust and FTP since September 2005. Mr. Carey is the Chief Investment
Officer and a Senior Vice President of First Trust and FTP. As First Trust's
Chief Investment Officer, Mr. Carey consults with the other members of the
Investment Committee on market conditions and First Trust's general investment
philosophy. Mr. Erickson is a Senior Vice President of First Trust and FTP. As

                                       31


the head of First Trust's Equity Research Group, Mr. Erickson is responsible for
determining the securities to be purchased and sold by funds that do not utilize
quantitative investment strategies. Mr. McGarel is a Senior Vice President of
First Trust and FTP. As the head of First Trust's Strategy Research Group, Mr.
McGarel is responsible for developing and implementing quantitative investment
strategies for those funds that have investment policies that require them to
follow such strategies. Mr. Testin is a Senior Vice President of First Trust and
FTP. Mr. Testin is the head of First Trust's Portfolio Management Group. Mr.
Ueland has been a Vice President of First Trust and FTP since August 2005. At
First Trust, he plays an important role in executing the investment strategies
of each portfolio of exchange-traded funds advised by First Trust. For
additional information concerning First Trust, including a description of the
services provided to the Funds, see the Funds' SAI. In addition, the SAI
provides additional information about the compensation of Investment Committee
members, other accounts managed by members of the Investment Committee and
ownership by members of the Investment Committee of Shares of the Funds.

Pursuant to the Investment Management Agreement, First Trust will manage the
investment of a Fund's assets and will be responsible for the Fund's expenses,
including the cost of transfer agency, custody, fund administration, legal,
audit and other services, but excluding fee payments under the Investment
Management Agreement, interest, taxes, brokerage commissions and other expenses
connected with the execution of portfolio transactions, distribution and service
fees payable pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses.
Each Fund has agreed to pay First Trust an annual management fee as set forth in
the table below.

                                                                    ANNUAL
                                                                MANAGEMENT FEE
                                                                 (% OF AVERAGE
        FUND                                                   DAILY NET ASSETS)
        First Trust Asia Pacific Ex-Japan AlphaDEX(R) Fund           0.80%
        First Trust Europe AlphaDEX(R) Fund                          0.80%
        First Trust Latin America AlphaDEX(R) Fund                   0.80%
        First Trust Brazil AlphaDEX(R) Fund                          0.80%
        First Trust China AlphaDEX(R) Fund                           0.80%
        First Trust Japan AlphaDEX(R) Fund                           0.80%
        First Trust South Korea AlphaDEX(R) Fund                     0.80%
        First Trust Developed Markets Ex-US AlphaDEX(R) Fund         0.80%
        First Trust Emerging Markets AlphaDEX(R) Fund                0.80%

A discussion regarding the Board's approval of the Investment Management
Agreement is available in the Funds' Semi-Annual Report to Shareholders for the
period ended June 30, 2011.

                           HOW TO BUY AND SELL SHARES

Most investors will buy and sell Shares of the Funds in secondary market
transactions through brokers. Shares of the Funds are listed for trading on the
secondary market on NYSE Arca. Shares can be bought and sold throughout the
trading day like other publicly traded shares. There is no minimum investment
when buying Shares on NYSE Arca. Although Shares are generally purchased and
sold in "round lots" of 100 Shares, brokerage firms typically permit investors
to purchase or sell Shares in smaller "odd lots," at no per-Share price
differential. When buying or selling Shares through a broker, investors should
expect to incur customary brokerage commissions, investors may receive less than
the NAV of the Shares, and investors may pay some or all of the spread between
the bid and the offer price in the secondary market on each leg of a round trip
(purchase and sale) transaction. Share prices are reported in dollars and cents
per Share.

For purposes of the 1940 Act, each Fund is treated as a registered investment
company, and the acquisition of Shares by other registered investment companies
is subject to the restrictions of Section 12(d)(1) of the 1940 Act. The Trust,
on behalf of the Funds, has received an exemptive order from the Securities and
Exchange Commission that permits certain registered investment companies to
invest in a Fund beyond the limits set forth in Section 12(d)(1), subject to
certain terms and conditions, including that any such investment companies enter
into agreements with a Fund regarding the terms of any investment.

                                       32



BOOK ENTRY

Shares are held in book-entry form, which means that no Share certificates are
issued. The Depository Trust Company ("DTC") or its nominee is the record owner
of all outstanding Shares of the Funds and is recognized as the owner of all
Shares for all purposes.

Investors owning Shares are beneficial owners as shown on the records of DTC or
its participants. DTC serves as the securities depository for all Shares.
Participants in DTC include securities brokers and dealers, banks, trust
companies, clearing corporations and other institutions that directly or
indirectly maintain a custodial relationship with DTC. As a beneficial owner of
Shares, you are not entitled to receive physical delivery of Share certificates
or to have Shares registered in your name, and you are not considered a
registered owner of Shares. Therefore, to exercise any right as an owner of
Shares, you must rely upon the procedures of DTC and its participants. These
procedures are the same as those that apply to any other stocks that you hold in
book-entry or "street name" form.

SHARE TRADING PRICES

The trading prices of Shares of a Fund on NYSE Arca may differ from such Fund's
daily NAV and can be affected by market forces of supply and demand, economic
conditions and other factors.

Information regarding the intra-day value of the Shares of a Fund, also referred
to as the "indicative optimized portfolio value" ("IOPV"), is disseminated every
15 seconds throughout such Fund's trading day by the national securities
exchange on which the Shares are listed or by market data vendors or other
information providers. The IOPV should not be viewed as a "real-time" update of
the NAV per Share of a Fund because the IOPV may not be calculated in the same
manner as the NAV, which is computed once a day, generally at the end of the
business day. The price of a non-U.S. security that is primarily traded on a
non-U.S. exchange shall be updated, using the last sale price, every 15 seconds
throughout the trading day, provided, that upon the closing of such non-U.S.
exchange, the closing price of the security, after being converted to U.S.
dollars, will be used. Furthermore, in calculating the IOPV of a Fund's Shares,
exchange rates may be used throughout the day (9:00 a.m. to 4:15 p.m., Eastern
Time) that may differ from those used to calculate the NAV per Share of such
Fund and consequently may result in differences between the NAV and the IOPV. A
Fund is not involved in, or responsible for, the calculation or dissemination of
the IOPV of Shares of such Fund and such Fund does not make any warranty as to
its accuracy.

FREQUENT PURCHASES AND REDEMPTIONS OF THE FUNDS' SHARES

The Funds impose no restrictions on the frequency of purchases and redemptions
("market timing"). In determining not to approve a written, established policy,
the Board evaluated the risks of market timing activities by the Funds'
shareholders. The Board considered that, unlike traditional mutual funds, each
Fund issues and redeems its Shares at NAV per Share generally for a basket of
securities intended to mirror such Fund's portfolio, plus a small amount of
cash, and the Shares may be purchased and sold on NYSE Arca at prevailing market
prices. The Board noted that a Fund's Shares can only be purchased and redeemed
directly from the Fund in Creation Units by broker-dealers and large
institutional investors that have entered into participation agreements (i.e.,
authorized participants ("APs")) and that the vast majority of trading in Shares
occurs on the secondary market. Because the secondary market trades do not
involve a Fund directly, it is unlikely those trades would cause many of the
harmful effects of market timing, including: dilution, disruption of portfolio
management, increases in a Fund's trading costs and the realization of capital
gains. With respect to trades directly with a Fund, to the extent effected
in-kind (i.e., for securities), those trades do not cause any of the harmful
effects (as noted above) that may result from frequent cash trades. To the
extent trades are effected in whole or in part in cash, the Board noted that
those trades could result in dilution to a Fund and increased transaction costs,
which could negatively impact a Fund's ability to achieve its investment
objective. However, the Board noted that direct trading by APs is critical to
ensuring that the Shares trade at or close to NAV. The Funds also employ fair
valuation pricing to minimize potential dilution from market timing. The Funds
impose transaction fees on in-kind purchases and redemptions of Shares to cover
the custodial and other costs incurred by the Funds in executing in-kind trades,
and with respect to the redemption fees, these fees increase if an investor
substitutes cash in part or in whole for securities, reflecting the fact that a
Fund's trading costs increase in those circumstances. Given this structure, the
Board determined that it is not necessary to adopt policies and procedures to
detect and deter market timing of the Funds' Shares.

                       DIVIDENDS, DISTRIBUTIONS AND TAXES

Dividends from net investment income of the Funds, if any, are declared and paid
quarterly by each respective Fund. Each Fund distributes its net realized
capital gains, if any, to shareholders at least annually.

                                       33



Distributions in cash may be reinvested automatically in additional whole Shares
only if the broker through whom you purchased Shares makes such option
available. Such Shares will generally be reinvested by the broker based upon the
market price of those Shares and investors may be subject to customary brokerage
commissions charged by the broker.

                              FEDERAL TAX MATTERS

This section summarizes some of the main U.S. federal income tax consequences of
owning Shares of the Funds. This section is current as of the date of this
Prospectus. Tax laws and interpretations change frequently, and these summaries
do not describe all of the tax consequences to all taxpayers. For example, these
summaries generally do not describe your situation if you are a corporation, a
non-U.S. person, a broker-dealer, or other investor with special circumstances.
In addition, this section does not describe your state, local or non-U.S. tax
consequences.

This federal income tax summary is based in part on the advice of counsel to the
Funds. The Internal Revenue Service could disagree with any conclusions set
forth in this section. In addition, counsel to the Funds was not asked to
review, and has not reached a conclusion with respect to, the federal income tax
treatment of the assets to be included in the Funds. This may not be sufficient
for you to use for the purpose of avoiding penalties under federal tax law.

As with any investment, you should seek advice based on your individual
circumstances from your own tax advisor.

FUND STATUS

Each Fund intends to continue to qualify as a "regulated investment company"
under the federal tax laws. If a Fund qualifies as a regulated investment
company and distributes its income as required by the tax law, the Fund
generally will not pay federal income taxes.

DISTRIBUTIONS

The Funds' distributions are generally taxable. After the end of each year, you
will receive a tax statement that separates the distributions of a Fund into two
categories, ordinary income distributions and capital gain dividends. Ordinary
income distributions are generally taxed at your ordinary tax rate, however, as
further discussed below, certain ordinary income distributions received from the
Fund may be taxed at the capital gains tax rates. Generally, you will treat all
capital gain dividends as long-term capital gains regardless of how long you
have owned your Shares. To determine your actual tax liability for your capital
gains dividends, you must calculate your total net capital gain or loss for the
tax year after considering all of your other taxable transactions, as described
below. In addition, the Fund may make distributions that represent a return of
capital for tax purposes and thus will generally not be taxable to you. The tax
status of your distributions from a Fund is not affected by whether you reinvest
your distributions in additional Shares or receive them in cash. The income from
a Fund that you must take into account for federal income tax purposes is not
reduced by amounts used to pay a deferred sales fee, if any. The tax laws may
require you to treat distributions made to you in January as if you had received
them on December 31 of the previous year. Under the "Health Care and Education
Reconciliation Act of 2010," income from the Trust may also be subject to a new
3.8% "Medicare tax" imposed for taxable years beginning after 2012. This tax
will generally apply to your net investment income if your adjusted gross income
exceeds certain threshold amounts, which are $250,000 in the case of married
couples filing joint returns and $200,000 in the case of single individuals.

DIVIDENDS RECEIVED DEDUCTION

A corporation that owns Shares generally will not be entitled to the dividends
received deduction with respect to dividends received from the Fund because the
dividends received deduction is generally not available for distributions from
regulated investment companies. However, certain ordinary income dividends on
Shares that are attributable to qualifying dividends received by the Funds from
certain corporations may be designated by the Funds as being eligible for the
dividends received deduction.

CAPITAL GAINS AND LOSSES AND CERTAIN ORDINARY INCOME DIVIDENDS

If you are an individual, the maximum marginal federal tax rate for net capital
gain is generally 15% (generally 0% for certain taxpayers in the 10% and 15% tax
brackets). These capital gain rates are generally effective for taxable years
beginning before January 1, 2013. For later periods, if you are an individual,
the maximum marginal federal tax rate for net capital gain is generally 20% (10%
for certain taxpayers in the 10% and 15% tax brackets). The 20% rate is reduced
to 18% for net capital gains from most property acquired after December 31, 2000
with a holding period of more than five years, and the 10% rate is reduced to 8%
for net capital gains from most property (regardless of when acquired) with a
holding period of more than five years.


                                       34


Net capital gain equals net long-term capital gain minus net short-term capital
loss for the taxable year. Capital gain or loss is long-term if the holding
period for the asset is more than one year and is short-term if the holding
period for the asset is one year or less. You must exclude the date you purchase
your Shares to determine your holding period. However, if you receive a capital
gain dividend from a Fund and sell your Shares at a loss after holding it for
six months or less, the loss will be recharacterized as long-term capital loss
to the extent of the capital gain dividend received. The tax rates for capital
gains realized from assets held for one year or less are generally the same as
for ordinary income. The Code treats certain capital gains as ordinary income in
special situations.

Ordinary income dividends received by an individual shareholder from a regulated
investment company such as the Funds are generally taxed at the same rates that
apply to net capital gain (as discussed above), provided certain holding period
requirements are satisfied and provided the dividends are attributable to
qualifying dividends received by the Funds themselves. These special rules
relating to the taxation of ordinary income dividends from regulated investment
companies generally apply to taxable years beginning before January 1, 2013. The
Funds will provide notice to its shareholders of the amount of any distribution
which may be taken into account as a dividend which is eligible for the capital
gains tax rates.

SALE OF SHARES

If you sell your Shares, you will generally recognize a taxable gain or loss. To
determine the amount of this gain or loss, you must subtract your tax basis in
your Shares from the amount you receive in the transaction. Your tax basis in
your Shares is generally equal to the cost of your Shares, generally including
sales charges. In some cases, however, you may have to adjust your tax basis
after you purchase your Shares.

TAXES ON PURCHASE AND REDEMPTION OF CREATION UNITS

If you exchange equity securities for Creation Units, you will generally
recognize a gain or a loss. The gain or loss will be equal to the difference
between the market value of the Creation Units at the time and your aggregate
basis in the securities surrendered and the cash component paid. If you exchange
Creation Units for equity securities, you will generally recognize a gain or
loss equal to the difference between your basis in the Creation Units and the
aggregate market value of the securities received and the Cash Redemption
Amount. The Internal Revenue Service, however, may assert that a loss realized
upon an exchange of securities for Creation Units or Creation Units for
securities cannot be deducted currently under the rules governing "wash sales,"
or on the basis that there has been no significant change in economic position.

DEDUCTIBILITY OF FUND EXPENSES

Expenses incurred and deducted by the Funds will generally not be treated as
income taxable to you. In some cases, however, you may be required to treat your
portion of these Fund expenses as income. In these cases, you may be able to
take a deduction for these expenses. However, certain miscellaneous itemized
deductions, such as investment expenses, may be deducted by individuals only to
the extent that all of these deductions exceed 2% of the individual's adjusted
gross income.

NON-U.S. TAX CREDIT

Because the Funds will invest in non-U.S. securities, the tax statement that you
receive may include an item showing non-U.S. taxes a Fund paid to other
countries. In this case, dividends taxed to you will include your share of the
taxes such Fund paid to other countries. You may be able to deduct or receive a
tax credit for your share of these taxes.

NON-U.S. INVESTORS

If you are a non-U.S. investor (i.e., an investor other than a U.S. citizen or
resident or a U.S. corporation, partnership, estate or trust), you should be
aware that, generally, subject to applicable tax treaties, distributions from a
Fund will be characterized as dividends for federal income tax purposes (other
than dividends which a Fund properly reports as capital gain dividends) and will
be subject to U.S. federal income taxes, including withholding taxes, subject to
certain exceptions described below. However, distributions received by a
non-U.S. investor from a Fund that are properly reported by a Fund as capital
gain dividends may not be subject to U.S. federal income taxes, including
withholding taxes, provided that a Fund makes certain elections and certain
other conditions are met. In the case of dividends with respect to taxable years
of a Fund beginning prior to 2012, distributions from a Fund that are properly
reported by such Fund as an interest-related dividend attributable to certain
interest income received by the Fund or as a short-term capital gain dividend
attributable to certain net short-term capital gain income received by such Fund
may not be subject to U.S. federal income taxes, including withholding taxes
when received by certain foreign investors, provided that a Fund makes certain
elections and certain other conditions are met. Distributions in respect of
shares after December 31, 2013 may be subject to a U.S. withholding tax of 30%
in the case of distributions to (i) certain non-U.S. financial institutions that

                                       35


have not entered into an agreement with the U.S. Treasury to collect and
disclose certain information and (ii) certain other non-U.S. entities that do
not provide certain certifications and information about the entity's U.S.
owners. Disposition of shares by such persons may be subject to such withholding
after December 31, 2014.

INVESTMENTS IN CERTAIN NON-U.S. CORPORATIONS

If the Fund holds an equity interest in any PFICs, which are generally certain
non-U.S. corporations that receive at least 75% of their annual gross income
from passive sources (such as interest, dividends, certain rents and royalties
or capital gains) or that hold at least 50% of their assets in investments
producing such passive income, the Fund could be subject to U.S. federal income
tax and additional interest charges on gains and certain distributions with
respect to those equity interests, even if all the income or gain is timely
distributed to its shareholders. The Fund will not be able to pass through to
its shareholders any credit or deduction for such taxes. The Fund may be able to
make an election that could ameliorate these adverse tax consequences. In this
case, the Fund would recognize as ordinary income any increase in the value of
such PFIC shares, and as ordinary loss any decrease in such value to the extent
it did not exceed prior increases included in income. Under this election, the
Fund might be required to recognize in a year income in excess of its
distributions from PFICs and its proceeds from dispositions of PFIC stock during
that year, and such income would nevertheless be subject to the distribution
requirement and would be taken into account for purposes of the 4% excise tax
(described above). Dividends paid by PFICs will not be treated as qualified
dividend income.

                               DISTRIBUTION PLAN

FTP serves as the distributor of Creation Units for the Funds on an agency
basis. FTP does not maintain a secondary market in Shares.

The Board has adopted a Distribution and Service Plan pursuant to Rule 12b-1
under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are
authorized to pay an amount up to 0.25% of their average daily net assets each
year to reimburse FTP for amounts expended to finance activities primarily
intended to result in the sale of Creation Units or the provision of investor
services. FTP may also use this amount to compensate securities dealers or other
persons that are APs for providing distribution assistance, including
broker-dealer and shareholder support and educational and promotional services.

The Funds do not currently pay 12b-1 fees, and pursuant to a contractual
arrangement, the Funds will not pay 12b-1 fees any time before April 30, 2013.
However, in the event 12b-1 fees are charged in the future, because these fees
are paid out of the Funds' assets, over time these fees will increase the cost
of your investment and may cost you more than certain other types of sales
charges.

                                NET ASSET VALUE

Each Fund's NAV is determined as of the close of trading (normally 4:00 p.m.,
Eastern time) on each day the New York Stock Exchange is open for business. NAV
is calculated for a Fund by taking the market price of the Fund's total assets,
including interest or dividends accrued but not yet collected, less all
liabilities, and dividing such amount by the total number of Shares outstanding.
The result, rounded to the nearest cent, is the NAV per Share. All valuations
are subject to review by the Board or its delegate.

Each Fund's investments are valued at market value or, in the absence of market
value with respect to any portfolio securities, at fair value in accordance with
valuation procedures adopted by the Trust's Board of Trustees and in accordance
with the 1940 Act. Portfolio securities listed on any exchange other than
NASDAQ(R) National Market ("NASDAQ(R)") and the London Stock Exchange
Alternative Investment Market ("AIM") are valued at the last sale price on the
business day as of which such value is being determined. Securities listed on
the NASDAQ(R) 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 NASDAQ(R) or the AIM, the securities are valued at the mean of the most
recent bid and ask prices on such day. Portfolio securities traded on more than
one securities exchange are valued at the last sale price or official closing
price, as applicable, on the business day as of which such value is being
determined at the close of the exchange representing the principal market for
such securities. Portfolio securities traded in the over-the-counter market, but
excluding securities trading on NASDAQ(R) and the AIM, are valued at the closing
bid prices. Short-term investments that mature in less than 60 days when
purchased are valued at amortized cost.

                                       36



Certain securities may not be able to be priced by pre-established pricing
methods. Such securities may be valued by the Board or its delegate at fair
value. The use of fair value pricing by a Fund is governed by valuation
procedures adopted by the Board and in accordance with the provisions of the
1940 Act. These securities generally include, but are not limited to, restricted
securities (securities which may not be publicly sold without registration under
the Securities Act of 1933, as amended (the "Securities Act")) for which a
pricing service is unable to provide a market price; securities whose trading
has been formally suspended; a security whose market price is not available from
a pre-established pricing source; a security with respect to which an event has
occurred that is likely to materially affect the value of the security after the
market has closed but before the calculation of a Fund's NAV or make it
difficult or impossible to obtain a reliable market quotation; and a security
whose price, as provided by the pricing service, does not reflect the security's
"fair value." As a general principle, the current "fair value" of a security
would appear to be the amount which the owner might reasonably expect to receive
for the security upon its current sale. The use of fair value prices by a Fund
generally results in the prices used by a Fund that may differ from the 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. See the SAI for details.

Valuing a Fund's securities using fair value pricing will result in using prices
for those securities that may differ from current market quotations or official
closing prices on the applicable exchange. 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 its Index, which, in turn, could result in a difference between such Fund's
performance and the performance of its Index.

Because foreign securities exchanges may be open on different days than the days
during which an investor may purchase or sell the Shares of a Fund, the value of
such Fund's securities may change on the days when investors are not able to
purchase or sell Shares of such Fund.

The value of securities denominated in foreign currencies is converted into U.S.
dollars at the exchange rates in effect at the time of valuation. Any use of a
different rate from the rates used by a Fund's Index may adversely affect such
Fund's ability to track its Index.

                             FUND SERVICE PROVIDERS

Brown Brothers Harriman & Co. is the administrator, custodian and fund
accounting and transfer agent for the Funds. Chapman and Cutler LLP, 111 West
Monroe Street, Chicago, Illinois 60603, serves as legal counsel to the Funds.
First Trust serves as the fund reporting agent for the Funds.

                                 INDEX PROVIDER

Each equity index in the Defined Index Series that each Fund seeks to track is
compiled by S&P. S&P is not affiliated with the Funds, First Trust or FTP. The
Funds are entitled to use each equity index in the Defined Index Series pursuant
to sublicensing arrangements by and among the Trust on behalf of each applicable
Fund, S&P, First Trust and FTP, which in turn has a licensing agreement with
S&P. S&P, or its agent, also serves as the index calculation agent for each
equity index in the Defined Index Series. The index calculation agent will
calculate and disseminate the values of such Indices at least once every 15
seconds.

                                  DISCLAIMERS

First Trust does not guarantee the accuracy and/or the completeness of the
Indices or any data included therein, and First Trust shall have no liability
for any errors, omissions or interruptions therein. First Trust makes no
warranty, express or implied, as to results to be obtained by the Funds, owners
of the Shares of the Funds or any other person or entity from the use of the
Indices or any data included therein. First Trust makes no express or implied
warranties, and expressly disclaims all warranties of merchantability or fitness
for a particular purpose or use with respect to the Indices or any data included
therein. Without limiting any of the foregoing, in no event shall First Trust
have any liability for any special, punitive, direct, indirect or consequential
damages (including lost profits) arising out of matters relating to the use of
the Indices, even if notified of the possibility of such damages.

                                       37



"AlphaDEX(R)" is a registered trademark of FTP. The Funds and First Trust on
behalf of the Funds have been granted the right by FTP to use the name
"AlphaDEX(R)" for certain purposes.

FTP has licensed to S&P, free of charge, the right to use certain intellectual
property owned by FTP, including the AlphaDEX(R) trademark and the AlphaDEX(R)
stock selection method, in connection with S&P's creation of the Defined Index
Series. A patent application with respect to the AlphaDEX(R) stock selection
method is pending at the United States Patent and Trademark Office.

Notwithstanding such license, S&P is solely responsible for the creation,
compilation and administration of the Defined Index Series and has the exclusive
right to determine the stocks included in the Indices and the Indices'
methodologies. S&P freely exercises discretion in using the AlphaDEX(R)
methodology to select individual stocks for each Index.

The AlphaDEX(R) Funds are not sponsored, endorsed, sold or promoted by S&P. S&P
makes no representation or warranty, express or implied, to the owners of the
AlphaDEX(R) Funds or any member of the public regarding the advisability of
investing in securities generally or in the AlphaDEX(R) Funds particularly or
the ability of the Defined Index Series to track general stock market
performance or a segment of the same. S&P's publication of the Defined Index
Series in no way suggests or implies an opinion by S&P as to the advisability of
investment in any or all of the securities upon which the Defined Index Series
is based. S&P's only relationship to FTP is the licensing of certain trademarks
and trade names of S&P and of the Defined Index Series, which is determined,
composed and calculated by S&P without regard to FTP or the AlphaDEX(R) Funds.
S&P is not responsible for and has not reviewed the AlphaDEX(R) Funds nor any
associated literature or publications and S&P makes no representation or
warranty express or implied as to their accuracy or completeness, or otherwise.
S&P reserves the right, at any time and without notice, to alter, amend,
terminate or in any way change the Defined Index Series. S&P has no obligation
or liability in connection with the administration, marketing or trading of the
AlphaDEX(R) Funds.

S&P, ITS AFFILIATES AND THEIR THIRD PARTY LICENSORS DO NOT GUARANTEE THE
ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE DEFINED INDEX SERIES OR ANY
DATA INCLUDED THEREIN AND S&P, ITS AFFILIATES AND THEIR THIRD PARTY LICENSORS
SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS,
DELAYS OR INTERRUPTIONS THEREIN. S&P, ITS AFFILIATES AND THEIR THIRD PARTY
LICENSORS MAKE NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY
FTP, INVESTORS, OWNERS OF THE ALPHADEX(R) FUNDS, OR ANY OTHER PERSON OR ENTITY
FROM THE USE OF THE DEFINED INDEX SERIES OR ANY DATA INCLUDED THEREIN. S&P, ITS
AFFILIATES AND THEIR THIRD PARTY LICENSORS MAKE NO EXPRESS OR IMPLIED
WARRANTIES, AND EXPRESSLY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY OR FITNESS
FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE DEFINED INDEX SERIES OR ANY
DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL
S&P, ITS AFFILIATES AND THEIR THIRD PARTY LICENSORS HAVE ANY LIABILITY FOR ANY
SPECIAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS),
EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.

                               INDEX INFORMATION

FIRST TRUST ASIA PACIFIC EX-JAPAN ALPHADEX(R) FUND

INDEX CONSTRUCTION

The Index is a modified equal-dollar weighted index designed by S&P to
objectively identify and select stocks from the S&P Asia Pacific Ex-Japan BMI
Index, which, as of March 31, 2012, was comprised of 1,391 securities, that may
generate positive alpha relative to traditional passive-style indices through
the use of the AlphaDEX(R) selection methodology. Alpha is an indication of how
much an investment outperforms or underperforms on a risk-adjusted basis
relative to its benchmark. The inception date of the Index was February 25,
2011. The initial divisor was created to set a benchmark value of 100.00 on
February 25, 2011. The Index was created and trademarked by S&P.

      1.    Start with all stocks in the S&P Asia Pacific Ex-Japan BMI Index.
            Exclude the following:

            i.    Stocks which do not trade on an eligible exchange.

            ii.   Duplicates (multiple share classes) of a common issuer.

            iii.  Stocks with average daily dollar volume over the last three
                  months of less than $500,000.

            iv.   Stocks with a market cap less than the NYSE midcap breakpoint
                  (50th percentile).


                                       38


            v.    For South Korean stocks currently at their foreign ownership
                  limit, the direct listed security is replaced in the universe
                  with its ADR/GDR if available (subject to above liquidity
                  requirements). If none is available, the stock is excluded.


            vi.   Should the steps above result in an eligible universe of fewer
                  than 134 stocks, the next largest stock below the NYSE midcap
                  breakpoint passing all other eligibility requirements is added
                  until the eligible universe reaches 134 stocks.


      2.    Rank all remaining stocks in the universe on both growth and value
            factors. The five growth factors are 3, 6 & 12 month price
            appreciation, sales to price and 1 year sales growth. The three
            value factors are book value to price, cash flow to price and return
            on assets. All stocks are ranked on the sum of ranks for the growth
            factors and, separately, all stocks are ranked on the sum of ranks
            for the value factors. A stock must have data for all growth and/or
            value factors to receive a rank for that style.

      3.    Each stock receives the best style rank from step 2 as its selection
            score.

      4.    The top 100 stocks based on the selection score determined in step 3
            comprise the "selected stocks". The "selected stocks" are then split
            into quintiles based on their selection score. The top ranked
            quintile receives 5/15 (33.3%) of the portfolio weight with
            successive quintiles receiving 4/15 (26.7%), 3/15 (20.0%), 2/15
            (13.3%) and 1/15 (6.7%), respectively. Stocks are equally weighted
            within each quintile.

      5.    After weights are assigned, each stock is tested in order of its
            selection score rank to check if the weight assigned to that stock
            violates a country and/or sector weighting constraint. Country and
            sector weighting constraints are set at 15% above the benchmark
            weight.

      6.    Stocks will fail the country/sector constraint if the weight
            assigned to the stock, when added with the weight assigned to all
            higher ranking stocks in its country/sector, is greater than the
            country/sector weighting constraint.

      7.    Stocks failing the country/sector weighting constraint test are
            lowered in rank to the highest rank in the next quintile. Stocks
            previously lower in rank than the failing stock move up one rank.
            This may result in a weighting change for these stocks if they move
            up to a higher quintile. The failing stock will later be retested
            for constraint violations with its new lower assigned weight in the
            order determined by its new rank. Stocks in the lowest quintile are
            removed from the portfolio and are replaced by the highest scoring
            stock not originally selected, subject to country/sector
            constraints.

As of March 31, 2012, the countries represented in the Index included Australia
(41.83%), Hong Kong (17.96%), New Zealand (0.90%), Singapore (9.65%) and South
Korea (29.66%).

The Index is rebalanced and reconstituted semi-annually as of the last business
day of March and September. Changes will be effective at the open of trading on
the ninth business day of the following month. Acquired companies are deleted at
the close on the day the merger closes for both cash and stock deals. An
acquired company's weight in the Index is reallocated pro rata among the
remaining Index constituents. Spin-offs are not included in the Index. The value
of the spin-off is reallocated to the parent company.

FIRST TRUST EUROPE ALPHADEX(R) FUND

INDEX CONSTRUCTION

The Index is a modified equal-dollar weighted index designed by S&P to
objectively identify and select stocks from the S&P Europe BMI Index, which, as
of March 31, 2012, was comprised of 1,727 securities, that may generate positive
alpha relative to traditional passive-style indices through the use of the
AlphaDEX(R) selection methodology. Alpha is an indication of how much an
investment outperforms or underperforms on a risk-adjusted basis relative to its
benchmark. The inception date of the Index was February 25, 2011. The initial
divisor was created to set a benchmark value of 100.00 on February 25, 2011. The
Index was created and trademarked by S&P.

      1.    Start with all stocks in the S&P Europe BMI Index.
            Exclude the following:

            i.    Stocks which do not trade on an eligible exchange.

            ii.   Duplicates (multiple share classes) of a common issuer.

            iii.  Stocks with average daily dollar volume over the last three
                  months of less than $500,000.

            iv.   Stocks with a market cap less than the NYSE midcap breakpoint
                  (50th percentile).


            v.    Should the steps above result in an eligible universe of fewer
                  than 267 stocks, the next largest stock below the NYSE midcap
                  breakpoint passing all other eligibility requirements is added
                  until the eligible universe reaches 267 stocks.


                                       39


      2.    Rank all remaining stocks in the universe on both growth and value
            factors. The five growth factors are 3, 6 & 12 month price
            appreciation, sales to price and 1 year sales growth. The three
            value factors are book value to price, cash flow to price and return
            on assets. All stocks are ranked on the sum of ranks for the growth
            factors and, separately, all stocks are ranked on the sum of ranks
            for the value factors. A stock must have data for all growth and/or
            value factors to receive a rank for that style.

      3.    Each stock receives the best style rank from step 2 as its selection
            score.

      4.    The top 200 stocks based on the selection score determined in step 3
            comprise the "selected stocks". The "selected stocks" are then split
            into quintiles based on their selection score. The top ranked
            quintile receives 5/15 (33.3%) of the portfolio weight with
            successive quintiles receiving 4/15 (26.7%), 3/15 (20.0%), 2/15
            (13.3%) and 1/15 (6.7%), respectively. Stocks are equally weighted
            within each quintile.

      5.    After weights are assigned, each stock is tested in order of its
            selection score rank to check if the weight assigned to that stock
            violates a country and/or sector weighting constraint. Country and
            sector weighting constraints are set at 15% above the benchmark
            weight.

      6.    Stocks will fail the country/sector constraint if the weight
            assigned to the stock, when added with the weight assigned to all
            higher ranking stocks in its country/sector, is greater than the
            country/sector weighting constraint.

      7.    Stocks failing the country/sector weighting constraint test are
            lowered in rank to the highest rank in the next quintile. Stocks
            previously lower in rank than the failing stock move up one rank.
            This may result in a weighting change for these stocks if they move
            up to a higher quintile. The failing stock will later be retested
            for constraint violations with its new lower assigned weight in the
            order determined by its new rank. Stocks in the lowest quintile are
            removed from the portfolio and are replaced by the highest scoring
            stock not originally selected, subject to country/sector
            constraints.

As of March 31, 2012, the countries represented in the Index included Austria
(0.60%), Belgium (1.73%), Denmark (1.81%), Finland (1.66%), France (13.76%),
Germany (12.72%), Greece (0.26%), Ireland (0.70%), Italy (4.18%), Luxembourg
(0.44%), Netherlands (3.96%), Norway (1.82%), Portugal (0.39%), Spain (4.23%),
Sweden (5.10%), Switzerland (15.50%) and United Kingdom (34.02%).

The Index is rebalanced and reconstituted semi-annually as of the last business
day of March and September. Changes will be effective at the open of trading on
the ninth business day of the following month. Acquired companies are deleted at
the close on the day the merger closes for both cash and stock deals. An
acquired company's weight in the Index is reallocated pro rata among the
remaining Index constituents. Spin-offs are not included in the Index. The value
of the spin-off is reallocated to the parent company.

FIRST TRUST LATIN AMERICA ALPHADEX(R) FUND

INDEX CONSTRUCTION

The Index is a modified equal-dollar weighted index designed by S&P to
objectively identify and select stocks from the S&P Latin America BMI Index,
which, as of March 31, 2012, was comprised of 362 securities, that may generate
positive alpha relative to traditional passive-style indices through the use of
the AlphaDEX(R) selection methodology. Alpha is an indication of how much an
investment outperforms or underperforms on a risk-adjusted basis relative to its
benchmark. The inception date of the Index was February 25, 2011. The initial
divisor was created to set a benchmark value of 100.00 on February 25, 2011. The
Index was created and trademarked by S&P.

      1.    Start with all stocks in the S&P Latin America BMI Index
            Exclude the following:

            i.    Stocks which do not trade on an eligible exchange.

            ii.   Duplicates (multiple share classes) of a common issuer.

            iii.  Stocks with average daily dollar volume over the last three
                  months of less than $500,000.

            iv.   Stocks with a market cap less than the NYSE midcap breakpoint
                  (50th percentile).


            v.    Should the steps above result in an eligible universe of fewer
                  than 67 stocks, the next largest stock below the NYSE midcap
                  breakpoint passing all other eligibility requirements is added
                  until the eligible universe reaches 67 stocks.


      2.    Rank all remaining stocks in the universe on both growth and value
            factors. The five growth factors are 3, 6 & 12 month price
            appreciation, sales to price and 1 year sales growth. The three
            value factors are book value to price, cash flow to price and return
            on assets. All stocks are ranked on the sum of ranks for the growth
            factors and, separately, all stocks are ranked on the sum of ranks
            for the value factors. A stock must have data for all growth and/or
            value factors to receive a rank for that style.


                                       40


      3.    Each stock receives the best style rank from step 2 as its selection
            score.

      4.    The top 50 stocks based on the selection score determined in step 3
            comprise the "selected stocks". The "selected stocks" are then split
            into quintiles based on their selection score. The top ranked
            quintile receives 5/15 (33.3%) of the portfolio weight with
            successive quintiles receiving 4/15 (26.7%), 3/15 (20.0%), 2/15
            (13.3%) and 1/15 (6.7%), respectively. Stocks are equally weighted
            within each quintile.

      5.    After weights are assigned, each stock is tested in order of its
            selection score rank to check if the weight assigned to that stock
            violates a country and/or sector weighting constraint. Country and
            sector weighting constraints are set at 15% above the benchmark
            weight.

      6.    Stocks will fail the country/sector constraint if the weight
            assigned to the stock, when added with the weight assigned to all
            higher ranking stocks in its country/sector, is greater than the
            country/sector weighting constraint.

      7.    Stocks failing the country/sector weighting constraint test are
            lowered in rank to the highest rank in the next quintile. Stocks
            previously lower in rank than the failing stock move up one rank.
            This may result in a weighting change for these stocks if they move
            up to a higher quintile. The failing stock will later be retested
            for constraint violations with its new lower assigned weight in the
            order determined by its new rank. Stocks in the lowest quintile are
            removed from the portfolio and are replaced by the highest scoring
            stock not originally selected, subject to country/sector
            constraints.

As of March 31, 2012, the countries represented in the Index included Brazil
(61.00%), Chile (9.77%), Colombia (5.24%), Mexico (20.49%) and Peru (3.43%).

The Index is rebalanced and reconstituted semi-annually as of the last business
day of March and September. Changes will be effective at the open of trading on
the ninth business day of the following month. Acquired companies are deleted at
the close on the day the merger closes for both cash and stock deals. An
acquired company's weight in the Index is reallocated pro rata among the
remaining Index constituents. Spin-offs are not included in the Index. The value
of the spin-off is reallocated to the parent company.

FIRST TRUST BRAZIL ALPHADEX(R) FUND

INDEX CONSTRUCTION

The Index is a modified equal-dollar weighted index designed by S&P to
objectively identify and select stocks from the S&P Brazil BMI Index, which, as
of March 31, 2012, was comprised of 199 securities, that may generate positive
alpha relative to traditional passive-style indices through the use of the
AlphaDEX(R) selection methodology. Alpha is an indication of how much an
investment outperforms or underperforms on a risk-adjusted basis relative to its
benchmark. The inception date of the Index was February 25, 2011. The initial
divisor was created to set a benchmark value of 100.00 on February 25, 2011. The
Index was created and trademarked by S&P.

      1.    Start with all stocks in the S&P Brazil BMI Index
            Exclude the following:

            i.    Stocks which do not trade on an eligible exchange.

            ii.   Duplicates (multiple share classes) of a common issuer.

            iii.  Stocks with average daily dollar volume over the last three
                  months of less than $500,000.

            iv.   Stocks with a market cap less than the NYSE midcap breakpoint
                  (50th percentile).


            v.    Should the steps above result in an eligible universe of fewer
                  than 67 stocks, the next largest stock below the NYSE midcap
                  breakpoint passing all other eligibility requirements is added
                  until the eligible universe reaches 67 stocks.


      2.    Rank all remaining stocks in the universe on both growth and value
            factors. The five growth factors are 3, 6 & 12 month price
            appreciation, sales to price and 1 year sales growth. The three
            value factors are book value to price, cash flow to price and return
            on assets. All stocks are ranked on the sum of ranks for the growth
            factors and, separately, all stocks are ranked on the sum of ranks
            for the value factors. A stock must have data for all growth and/or
            value factors to receive a rank for that style.

      3.    Each stock receives the best style rank from step 2 as its selection
            score.

      4.    The top 50 stocks based on the selection score determined in step 3
            comprise the "selected stocks". The "selected stocks" are then split
            into quintiles based on their selection score. The top ranked
            quintile receives 5/15 (33.3%) of the portfolio weight with
            successive quintiles receiving 4/15 (26.7%), 3/15 (20.0%), 2/15
            (13.3%) and 1/15 (6.7%), respectively. Stocks are equally weighted
            within each quintile.


                                       41


      5.    After weights are assigned, each stock is tested in order of its
            selection score rank to check if the weight assigned to that stock
            violates a sector weighting constraint. Sector weighting constraints
            are set at 15% above the benchmark weight.

      6.    Stocks will fail the sector constraint if the weight assigned to the
            stock, when added to the weight assigned to all higher ranking
            stocks in its sector, is greater than the sector weighting
            constraint.

      7.    Stocks failing the sector weighting constraint test are lowered in
            rank to the highest rank in the next quintile. Stocks previously
            lower in rank than the failing stock move up one rank. This may
            result in a weighting change for these stocks if they move up to a
            higher quintile. The failing stock will later be retested for
            constraint violations at its new lower assigned weight in the order
            determined by its new rank. Stocks in the lowest quintile that
            violate the sector weighting constraint are removed from the
            portfolio and replaced by the highest scoring stock not originally
            selected, subject to sector constraints.

The Index is rebalanced and reconstituted semi-annually as of the last business
day of June and December. Changes will be effective at the open of trading on
the ninth business day of the following month. Acquired companies are deleted at
the close on the day the merger closes for both cash and stock deals. An
acquired company's weight in the Index is reallocated pro rata among the
remaining Index constituents. Spin-offs are not included in the Index. The value
of the spin-off is reallocated to the parent company.

FIRST TRUST CHINA ALPHADEX(R) FUND

INDEX CONSTRUCTION

The Index is a modified equal-dollar weighted index designed by S&P to
objectively identify and select stocks from the S&P China BMI Index, which, as
of March 31, 2012, was comprised of 600 securities, that may generate positive
alpha relative to traditional passive-style indices through the use of the
AlphaDEX(R) selection methodology. Alpha is an indication of how much an
investment outperforms or underperforms on a risk-adjusted basis relative to its
benchmark. The inception date of the Index was February 25, 2011. The initial
divisor was created to set a benchmark value of 100.00 on February 25, 2011. The
Index was created and trademarked by S&P.

      1.    Start with all stocks in the S&P China BMI Index.
            Exclude the following:

            i.    Stocks which do not trade on an eligible exchange.

            ii.   Duplicates (multiple share classes) of a common issuer.

            iii.  Stocks with average daily dollar volume over the last three
                  months of less than $500,000.

            iv.   Stocks with a market cap less than the NYSE midcap breakpoint
                  (50th percentile).


            v.    Should the steps above result in an eligible universe of fewer
                  than 67 stocks, the next largest stock below the NYSE midcap
                  breakpoint passing all other eligibility requirements is added
                  until the eligible universe reaches 67 stocks.


      2.    Rank all remaining stocks in the universe on both growth and value
            factors. The five growth factors are 3, 6 & 12 month price
            appreciation, sales to price and 1 year sales growth. The three
            value factors are book value to price, cash flow to price and return
            on assets. All stocks are ranked on the sum of ranks for the growth
            factors and, separately, all stocks are ranked on the sum of ranks
            for the value factors. A stock must have data for all growth and/or
            value factors to receive a rank for that style.

      3.    Each stock receives the best style rank from step 2 as its selection
            score.

      4.    The top 50 stocks based on the selection score determined in step 3
            comprise the "selected stocks". The "selected stocks" are then split
            into quintiles based on their selection score. The top ranked
            quintile receives 5/15 (33.3%) of the portfolio weight with
            successive quintiles receiving 4/15 (26.7%), 3/15 (20.0%), 2/15
            (13.3%) and 1/15 (6.7%), respectively. Stocks are equally weighted
            within each quintile.

      5.    After weights are assigned, each stock is tested in order of its
            selection score rank to check if the weight assigned to that stock
            violates a sector weighting constraint. Sector weighting constraints
            are set at 15% above the benchmark weight.

      6.    Stocks will fail the sector constraint if the weight assigned to the
            stock, when added to the weight assigned to all higher ranking
            stocks in its sector, is greater than the sector weighting
            constraint.

      7.    Stocks failing the sector weighting constraint test are lowered in
            rank to the highest rank in the next quintile. Stocks previously
            lower in rank than the failing stock move up one rank. This may
            result in a weighting change for these stocks if they move up to a
            higher quintile. The failing stock will later be retested for
            constraint violations at its new lower assigned weight in the order
            determined by its new rank. Stocks in the lowest quintile that

                                       42


            violate the sector weighting constraint are removed from the
            portfolio and replaced by the highest scoring stock not originally
            selected, subject to sector constraints.

The Index is rebalanced and reconstituted semi-annually as of the last business
day of June and December. Changes will be effective at the open of trading on
the ninth business day of the following month. Acquired companies are deleted at
the close on the day the merger closes for both cash and stock deals. An
acquired company's weight in the Index is reallocated pro rata among the
remaining Index constituents. Spin-offs are not included in the Index. The value
of the spin-off is reallocated to the parent company.

FIRST TRUST JAPAN ALPHADEX(R) FUND

INDEX CONSTRUCTION

The Index is a modified equal-dollar weighted index designed by S&P to
objectively identify and select stocks from the S&P Japan BMI Index, which, as
of March 31, 2012, was comprised of 1,317 securities, that may generate positive
alpha relative to traditional passive-style indices through the use of the
AlphaDEX(R) selection methodology. Alpha is an indication of how much an
investment outperforms or underperforms on a risk-adjusted basis relative to its
benchmark. The inception date of the Index was February 25, 2011. The initial
divisor was created to set a benchmark value of 100.00 on February 25, 2011. The
Index was created and trademarked by S&P.

      1.    Start with all stocks in the S&P Japan BMI Index.
            Exclude the following:

            i.    Stocks which do not trade on an eligible exchange.

            ii.   Duplicates (multiple share classes) of a common issuer.

            iii.  Stocks with average daily dollar volume over the last three
                  months of less than $500,000.

            iv.   Stocks with a market cap less than the NYSE midcap breakpoint
                  (50th percentile).


            v.    Should the steps above result in an eligible universe of fewer
                  than 134 stocks, the next largest stock below the NYSE midcap
                  breakpoint passing all other eligibility requirements is added
                  until the eligible universe reaches 134 stocks.


      2.    Rank all remaining stocks in the universe on both growth and value
            factors. The five growth factors are 3, 6 & 12 month price
            appreciation, sales to price and 1 year sales growth. The three
            value factors are book value to price, cash flow to price and return
            on assets. All stocks are ranked on the sum of ranks for the growth
            factors and, separately, all stocks are ranked on the sum of ranks
            for the value factors. A stock must have data for all growth and/or
            value factors to receive a rank for that style.

      3.    Each stock receives the best style rank from step 2 as its selection
            score.

      4.    The top 100 stocks based on the selection score determined in step 3
            comprise the "selected stocks". The "selected stocks" are then split
            into quintiles based on their selection score. The top ranked
            quintile receives 5/15 (33.3%) of the portfolio weight with
            successive quintiles receiving 4/15 (26.7%), 3/15 (20.0%), 2/15
            (13.3%) and 1/15 (6.7%), respectively. Stocks are equally weighted
            within each quintile.

      5.    After weights are assigned, each stock is tested in order of its
            selection score rank to check if the weight assigned to that stock
            violates a sector weighting constraint. Sector weighting constraints
            are set at 15% above the benchmark weight.

      6.    Stocks will fail the sector constraint if the weight assigned to the
            stock, when added to the weight assigned to all higher ranking
            stocks in its sector, is greater than the sector weighting
            constraint.

      7.    Stocks failing the sector weighting constraint test are lowered in
            rank to the highest rank in the next quintile. Stocks previously
            lower in rank than the failing stock move up one rank. This may
            result in a weighting change for these stocks if they move up to a
            higher quintile. The failing stock will later be retested for
            constraint violations at its new lower assigned weight in the order
            determined by its new rank. Stocks in the lowest quintile that
            violate the sector weighting constraint are removed from the
            portfolio and replaced by the highest scoring stock not originally
            selected, subject to sector constraints.

The Index is rebalanced and reconstituted semi-annually as of the last business
day of June and December. Changes will be effective at the open of trading on
the ninth business day of the following month. Acquired companies are deleted at
the close on the day the merger closes for both cash and stock deals. An
acquired company's weight in the Index is reallocated pro rata among the
remaining Index constituents. Spin-offs are not included in the Index. The value
of the spin-off is reallocated to the parent company.


                                       43


FIRST TRUST SOUTH KOREA ALPHADEX(R) FUND

INDEX CONSTRUCTION

The Index is a modified equal-dollar weighted index designed by S&P to
objectively identify and select stocks from the S&P South Korea BMI Index,
which, as of March 31, 2012, was comprised of 491 securities, that may generate
positive alpha relative to traditional passive-style indices through the use of
the AlphaDEX(R) selection methodology. Alpha is an indication of how much an
investment outperforms or underperforms on a risk-adjusted basis relative to its
benchmark. The inception date of the Index was February 25, 2011. The initial
divisor was created to set a benchmark value of 100.00 on February 25, 2011. The
Index was created and trademarked by S&P.

      1.    Start with all stocks in the S&P South Korea BMI Index.
            Exclude the following:

            i.    Stocks which do not trade on an eligible exchange.

            ii.   Duplicates (multiple share classes) of a common issuer.

            iii.  Stocks with average daily dollar volume over the last three
                  months of less than $500,000.

            iv.   Stocks with a market cap less than the NYSE midcap breakpoint
                  (50th percentile).

            v.    For South Korean stocks currently at their foreign ownership
                  limit, the direct listed security is replaced in the universe
                  with its ADR/GDR if available (subject to above liquidity
                  requirements). If none is available, the stock is excluded.


            vi.   Should the steps above result in an eligible universe of fewer
                  than 67 stocks, the next largest stock below the NYSE midcap
                  breakpoint passing all other eligibility requirements is added
                  until the eligible universe reaches 67 stocks.


      2.    Rank all remaining stocks in the universe on both growth and value
            factors. The five growth factors are 3, 6 & 12 month price
            appreciation, sales to price and 1 year sales growth. The three
            value factors are book value to price, cash flow to price and return
            on assets. All stocks are ranked on the sum of ranks for the growth
            factors and, separately, all stocks are ranked on the sum of ranks
            for the value factors. A stock must have data for all growth and/or
            value factors to receive a rank for that style.

      3.    Each stock receives the best style rank from step 2 as its selection
            score.

      4.    The top 50 stocks based on the selection score determined in step 3
            comprise the "selected stocks". The "selected stocks" are then split
            into quintiles based on their selection score. The top ranked
            quintile receives 5/15 (33.3%) of the portfolio weight with
            successive quintiles receiving 4/15 (26.7%), 3/15 (20.0%), 2/15
            (13.3%) and 1/15 (6.7%), respectively. Stocks are equally weighted
            within each quintile.

      5.    After weights are assigned, each stock is tested in order of its
            selection score rank to check if the weight assigned to that stock
            violates a sector weighting constraint. Sector weighting constraints
            are set at 15% above the benchmark weight.

      6.    Stocks will fail the sector constraint if the weight assigned to the
            stock, when added to the weight assigned to all higher ranking
            stocks in its sector, is greater than the sector weighting
            constraint.

      7.    Stocks failing the sector weighting constraint test are lowered in
            rank to the highest rank in the next quintile. Stocks previously
            lower in rank than the failing stock move up one rank. This may
            result in a weighting change for these stocks if they move up to a
            higher quintile. The failing stock will later be retested for
            constraint violations at its new lower assigned weight in the order
            determined by its new rank. Stocks in the lowest quintile that
            violate the sector weighting constraint are removed from the
            portfolio and replaced by the highest scoring stock not originally
            selected, subject to sector constraints.

The Index is rebalanced and reconstituted semi-annually as of the last business
day of June and December. Changes will be effective at the open of trading on
the ninth business day of the following month. Acquired companies are deleted at
the close on the day the merger closes for both cash and stock deals. An
acquired company's weight in the Index is reallocated pro rata among the
remaining Index constituents. Spin-offs are not included in the Index. The value
of the spin-off is reallocated to the parent company.

FIRST TRUST DEVELOPED MARKETS EX-US ALPHADEX(R) FUND

INDEX CONSTRUCTION

The Index is a modified equal-dollar weighted index designed by S&P to
objectively identify and select stocks from the S&P Developed Ex-US BMI Index,
which, as of March 31, 2012, was comprised of 5,052 securities, that may
generate positive alpha relative to traditional passive-style indices through
the use of the AlphaDEX(R) selection methodology. Alpha is an indication of how

                                       44


much an investment outperforms or underperforms on a risk-adjusted basis
relative to its benchmark. The inception date of the Index was February 25,
2011. The initial divisor was created to set a benchmark value of 100.00 on
February 25, 2011. The Index was created and trademarked by S&P.

      1.    Start with all stocks in the S&P Developed Ex-US BMI Index.
            Exclude the following:

            i.    Stocks which do not trade on an eligible exchange.

            ii.   Duplicates (multiple share classes) of a common issuer.

            iii.  Stocks with average daily dollar volume over the last three
                  months of less than $500,000.

            iv.   Stocks with a market cap less than the NYSE midcap breakpoint
                  (50th percentile).

            v.    For South Korean stocks currently at their foreign ownership
                  limit, the direct listed security is replaced in the universe
                  with its ADR/GDR if available (subject to above liquidity
                  requirements). If none is available, the stock is excluded.


            vi.   Should the steps above result in an eligible universe of fewer
                  than 400 stocks, the next largest stock below the NYSE midcap
                  breakpoint passing all other eligibility requirements is added
                  until the eligible universe reaches 400 stocks.


      2.    Rank all remaining stocks in the universe on both growth and value
            factors. The five growth factors are 3, 6 & 12 month price
            appreciation, sales to price and 1 year sales growth. The three
            value factors are book value to price, cash flow to price and return
            on assets. All stocks are ranked on the sum of ranks for the growth
            factors and, separately, all stocks are ranked on the sum of ranks
            for the value factors. A stock must have data for all growth and/or
            value factors to receive a rank for that style.

      3.    Each stock receives the best style rank from step 2 as its selection
            score.

      4.    The top 300 stocks based on the selection score determined in step 3
            comprise the "selected stocks." The "selected stocks" are then split
            into quintiles based on their selection score. The top ranked
            quintile receives 5/15 (33.3%) of the portfolio weight with
            successive quintiles receiving 4/15 (26.7%), 3/15 (20.0%), 2/15
            (13.3%) and 1/15 (6.7%), respectively. Stocks are equally weighted
            within each quintile.

      5.    After weights are assigned, each stock is tested in order of its
            selection score rank to check if the weight assigned to that stock
            violates a country and/or sector weighting constraint. Country and
            sector weighting constraints are set at 15% above the benchmark
            weight.

      6.    Stocks will fail the country/sector constraint if the weight
            assigned to the stock, when added with the weight assigned to all
            higher ranking stocks in its country/sector, is greater than the
            country/sector weighting constraint.

      7.    Stocks failing the country/sector weighting constraint test are
            lowered in rank to the highest rank in the next quintile. Stocks
            previously lower in rank than the failing stock move up one rank.
            This may result in a weighting change for these stocks if they move
            up to a higher quintile. The failing stock will later be retested
            for constraint violations with its new lower assigned weight in the
            order determined by its new rank. Stocks in the lowest quintile are
            removed from the portfolio and are replaced by the highest scoring
            stock not originally selected, subject to country/sector
            constraints.

As of March 31, 2012, the countries represented in the Index included Australia
(7.18%), Austria (0.32%), Belgium (0.92%), Canada (10.34%), Denmark (0.96%),
Finland (0.89%), France (7.33%), Germany (6.77%), Greece (0.14%), Hong Kong
(3.08%), Ireland (0.37%), Israel (0.64%), Italy (2.23%), Japan (18.60%),
Luxembourg (0.26%), Netherlands (2.11%), New Zealand (0.15%), Norway (0.97%),
Portugal (0.21%), Singapore (1.66%), South Korea (5.09%), Spain (2.26%), Sweden
(2.72%), Switzerland (6.69%) and United Kingdom (18.12%).

The Index is rebalanced and reconstituted semi-annually as of the last business
day of March and September. Changes will be effective at the open of trading on
the ninth business day of the following month. Acquired companies are deleted at
the close on the day the merger closes for both cash and stock deals. An
acquired company's weight in the Index is reallocated pro rata among the
remaining Index constituents. Spin-offs are not included in the Index. The value
of the spin-off is reallocated to the parent company.

FIRST TRUST EMERGING MARKETS ALPHADEX(R) FUND

INDEX CONSTRUCTION

The Index is a modified equal-dollar weighted index designed by S&P to
objectively identify and select stocks from the S&P Emerging Markets BMI Index,
which, as of March 31, 2012, was comprised of 2,801 securities, that may
generate positive alpha relative to traditional passive-style indices through
the use of the AlphaDEX(R) selection methodology. Alpha is an indication of how

                                       45


much an investment outperforms or underperforms on a risk-adjusted basis
relative to its benchmark. The inception date of the Index was February 25,
2011. The initial divisor was created to set a benchmark value of 100.00 on
February 25, 2011. The Index was created and trademarked by S&P.

      1.    Start with all stocks in the S&P Emerging Markets BMI Index.
            Exclude the following:

            i.    Stocks which do not trade on an eligible exchange.

            ii.   Duplicates (multiple share classes) of a common issuer.

            iii.  Stocks with average daily dollar volume over the last three
                  months of less than $500,000.

            iv.   Stocks with a market cap less than the NYSE midcap breakpoint
                  (50th percentile).


            v.    Should the steps above result in an eligible universe of fewer
                  than 200 stocks, the next largest stock below the NYSE midcap
                  breakpoint passing all other eligibility requirements is added
                  until the eligible universe reaches 200 stocks.


      2.    Rank all remaining stocks in the universe on both growth and value
            factors. The five growth factors are 3, 6 & 12 month price
            appreciation, sales to price and 1 year sales growth. The three
            value factors are book value to price, cash flow to price and return
            on assets. All stocks are ranked on the sum of ranks for the growth
            factors and, separately, all stocks are ranked on the sum of ranks
            for the value factors. A stock must have data for all growth and/or
            value factors to receive a rank for that style.

      3.    Each stock receives the best style rank from step 2 as its selection
            score.

      4.    The top 150 stocks based on the selection score determined in step 3
            comprise the "selected stocks". The "selected stocks" are then split
            into quintiles based on their selection score. The top ranked
            quintile receives 5/15 (33.3%) of the portfolio weight with
            successive quintiles receiving 4/15 (26.7%), 3/15 (20.0%), 2/15
            (13.3%) and 1/15 (6.7%), respectively. Stocks are equally weighted
            within each quintile.

      5.    After weights are assigned, each stock is tested in order of its
            selection score rank to check if the weight assigned to that stock
            violates a country and/or sector weighting constraint. Country and
            sector weighting constraints are set at 15% above the benchmark
            weight.

      6.    Stocks will fail the country/sector constraint if the weight
            assigned to the stock, when added with the weight assigned to all
            higher ranking stocks in its country/sector, is greater than the
            country/sector weighting constraint.

      7.    Stocks failing the country/sector weighting constraint test are
            lowered in rank to the highest rank in the next quintile. Stocks
            previously lower in rank than the failing stock move up one rank.
            This may result in a weighting change for these stocks if they move
            up to a higher quintile. The failing stock will later be retested
            for constraint violations with its new lower assigned weight in the
            order determined by its new rank. Stocks in the lowest quintile are
            removed from the portfolio and are replaced by the highest scoring
            stock not originally selected, subject to country/sector
            constraints.

As of March 31, 2012, the countries represented in the Index included Brazil
(15.96%), Chile (2.55%), China (19.20%), Colombia (1.37%), Czech Republic
(0.35%), Egypt (0.44%), Hungary (0.33%), India (8.61%), Indonesia (3.44%),
Malaysia (3.51%), Mexico (5.35%), Morocco (0.34%), Peru (0.90%), Philippines
(1.22%), Poland (1.57%), Russia (7.76%), South Africa (8.09%), Taiwan (14.53%),
Thailand (2.60%) and Turkey (1.88%).

The Index is rebalanced and reconstituted semi-annually as of the last business
day of March and September. Changes will be effective at the open of trading on
the ninth business day of the following month. Acquired companies are deleted at
the close on the day the merger closes for both cash and stock deals. An
acquired company's weight in the Index is reallocated pro rata among the
remaining Index constituents. Spin-offs are not included in the Index. The value
of the spin-off is reallocated to the parent company.

THE DEFINED INDEX SERIES

The Defined Index Series were created by S&P. The Funds will make changes to
their portfolios shortly after changes to the Defined Index Series are released
to the public. Investors are able to access the holdings of each Fund and the
composition and compilation methodology of the Defined Index Series through the
Funds' website at www.ftportfolios.com.

In the event that S&P no longer calculates any Defined Index Series, the Defined
Index Series license is terminated or the identity or character of any equity
index of the Defined Index Series is materially changed, the Board will seek to
engage a replacement index. However, if that proves to be impracticable, the
Board will take whatever action it deems to be in the best interests of the
Funds. The Board will also take whatever actions it deems to be in the best
interests of the Funds if the Funds' Shares are delisted.


                                       46


                          PREMIUM/DISCOUNT INFORMATION

The tables that follow present information about the differences between each
Fund's daily market price on the applicable Exchange and its NAV. The "Market
Price" of a Fund generally is determined using the midpoint between the highest
bid and lowest offer on the Exchange, as of the time a Fund's NAV is calculated.
A Fund's Market Price may be at, above, or below its NAV. The NAV of a Fund will
fluctuate with changes in the market value of its portfolio holdings. The Market
Price of a Fund will fluctuate in accordance with changes in its NAV, as well as
market supply and demand.

Premiums or discounts are the differences (generally expressed as a percentage)
between the NAV and Market Price of a Fund on a given day, generally at the time
NAV is calculated. A premium is the amount that a Fund is trading above the
reported NAV. A discount is the amount that a Fund is trading below the reported
NAV.

The following information shows the frequency distribution of premiums and
discounts of the daily bid/ask price of each Fund against each Fund's NAV. The
information shown for each Fund is for the period indicated. Shareholders may
pay more than NAV when they buy Fund Shares and receive less than NAV when they
sell those Shares because Shares are bought and sold at current market price.
All data presented here represents past performance, which cannot be used to
predict future results. Information about the premiums and discounts at which
the Funds' Shares have traded is available on the Funds' website at
www.ftportfolios.com.


                                     First Trust Asia Pacific Ex-Japan AlphaDEX(R) Fund
                                                 Bid/Ask Midpoint vs. NAV

                                       Number of Days Bid/Ask Midpoint At/Above NAV
                                                                                                     
                                       0.00% - 0.49%          0.50% - 0.99%           1.00% - 1.99%            >= 2.00%
For the Period 4/19/2011 - 12/31/2011*      69                      43                       9                      1
3 Months Ended 3/31/2012                    26                      20                       4                      1


                                         Number of Days Bid/Ask Midpoint Below NAV
                                       0.00% - 0.49%          0.50% - 0.99%           1.00% - 1.99%            >= 2.00%
For the Period 4/19/2011 - 12/31/2011*      43                       7                       5                      1
3 Months Ended 3/31/2012                     9                       2                       0                      0



                                             First Trust Europe AlphaDEX(R) Fund
                                                 Bid/Ask Midpoint vs. NAV

                                       Number of Days Bid/Ask Midpoint At/Above NAV
                                       0.00% - 0.49%          0.50% - 0.99%           1.00% - 1.99%            >= 2.00%
For the Period 4/19/2011 - 12/31/2011*      69                      60                      21                      3
3 Months Ended 3/31/2012                    31                      12                       8                      0


                                         Number of Days Bid/Ask Midpoint Below NAV
                                       0.00% - 0.49%          0.50% - 0.99%           1.00% - 1.99%            >= 2.00%
For the Period 4/19/2011 - 12/31/2011*      19                       6                       0                      0
3 Months Ended 3/31/2012                    11                       0                       0                      0



                                         First Trust Latin America AlphaDEX(R) Fund
                                                 Bid/Ask Midpoint vs. NAV

                                       Number of Days Bid/Ask Midpoint At/Above NAV
                                       0.00% - 0.49%          0.50% - 0.99%           1.00% - 1.99%            >= 2.00%
For the Period 4/19/2011 - 12/31/2011*      31                      80                      42                      3
3 Months Ended 3/31/2012                    29                      20                       0                      1


                                         Number of Days Bid/Ask Midpoint Below NAV
                                       0.00% - 0.49%          0.50% - 0.99%           1.00% - 1.99%            >= 2.00%
For the Period 4/19/2011 - 12/31/2011*      17                       5                       0                      0
3 Months Ended 3/31/2012                    12                       0                       0                      0




                                       47


                                             First Trust Brazil AlphaDEX(R) Fund
                                                 Bid/Ask Midpoint vs. NAV

                                       Number of Days Bid/Ask Midpoint At/Above NAV
                                       0.00% - 0.49%          0.50% - 0.99%           1.00% - 1.99%            >= 2.00%
For the Period 4/19/2011 - 12/31/2011*      16                      27                      52                     64
3 Months Ended 3/31/2012                    10                       0                       1                      0


                                         Number of Days Bid/Ask Midpoint Below NAV
                                       0.00% - 0.49%          0.50% - 0.99%           1.00% - 1.99%            >= 2.00%
For the Period 4/19/2011 - 12/31/2011*      14                       4                       1                      0
3 Months Ended 3/31/2012                    47                       4                       0                      0



                                             First Trust China AlphaDEX(R) Fund
                                                 Bid/Ask Midpoint vs. NAV

                                       Number of Days Bid/Ask Midpoint At/Above NAV
                                       0.00% - 0.49%          0.50% - 0.99%           1.00% - 1.99%            >= 2.00%
For the Period 4/19/2011 - 12/31/2011*      32                      35                      36                     16
3 Months Ended 3/31/2012                    21                       8                       2                      1


                                         Number of Days Bid/Ask Midpoint Below NAV
                                       0.00% - 0.49%          0.50% - 0.99%           1.00% - 1.99%            >= 2.00%
For the Period 4/19/2011 - 12/31/2011*      31                      20                       7                      1
3 Months Ended 3/31/2012                    20                      10                       0                      0



                                             First Trust Japan AlphaDEX(R) Fund
                                                 Bid/Ask Midpoint vs. NAV

                                       Number of Days Bid/Ask Midpoint At/Above NAV
                                       0.00% - 0.49%          0.50% - 0.99%           1.00% - 1.99%            >= 2.00%
For the Period 4/19/2011 - 12/31/2011*      79                      52                       5                      3
3 Months Ended 3/31/2012                    31                       8                       4                      0


                                         Number of Days Bid/Ask Midpoint Below NAV
                                       0.00% - 0.49%          0.50% - 0.99%           1.00% - 1.99%            >= 2.00%
For the Period 4/19/2011 - 12/31/2011*      33                       5                       1                      0
3 Months Ended 3/31/2012                    15                       3                       1                      0



                                       48



                                          First Trust South Korea AlphaDEX(R) Fund
                                                 Bid/Ask Midpoint vs. NAV

                                       Number of Days Bid/Ask Midpoint At/Above NAV
                                       0.00% - 0.49%          0.50% - 0.99%           1.00% - 1.99%            >= 2.00%
For the Period 4/19/2011 - 12/31/2011*      13                       5                       0                      1
3 Months Ended 3/31/2012                     7                      15                       2                      1


                                         Number of Days Bid/Ask Midpoint Below NAV
                                       0.00% - 0.49%          0.50% - 0.99%           1.00% - 1.99%            >= 2.00%
For the Period 4/19/2011 - 12/31/2011*      31                      37                      56                     35
3 Months Ended 3/31/2012                    15                      13                       9                      0



                                    First Trust Developed Markets Ex-US AlphaDEX(R) Fund
                                                 Bid/Ask Midpoint vs. NAV

                                       Number of Days Bid/Ask Midpoint At/Above NAV
                                       0.00% - 0.49%          0.50% - 0.99%           1.00% - 1.99%            >= 2.00%
For the Period 4/19/2011 - 12/31/2011*      48                      26                       9                      1
3 Months Ended 3/31/2012                    13                      31                      12                      0


                                         Number of Days Bid/Ask Midpoint Below NAV
                                       0.00% - 0.49%          0.50% - 0.99%           1.00% - 1.99%            >= 2.00%
For the Period 4/19/2011 - 12/31/2011*      52                      39                       3                      0
3 Months Ended 3/31/2012                     3                       3                       0                      0



                                        First Trust Emerging Markets AlphaDEX(R) Fund
                                                 Bid/Ask Midpoint vs. NAV

                                       Number of Days Bid/Ask Midpoint At/Above NAV
                                       0.00% - 0.49%          0.50% - 0.99%           1.00% - 1.99%            >= 2.00%
For the Period 4/19/2011 - 12/31/2011*      31                      60                      57                      5
3 Months Ended 3/31/2012                    15                      27                      12                      1


                                         Number of Days Bid/Ask Midpoint Below NAV
                                       0.00% - 0.49%          0.50% - 0.99%           1.00% - 1.99%            >= 2.00%
For the Period 4/19/2011 - 12/31/2011*      12                      12                       1                      0
3 Months Ended 3/31/2012                     6                       1                       0                      0


*   Trading commenced on April 19, 2011.


                            TOTAL RETURN INFORMATION

The tables below compare the total return of each Fund to the total return of
the Index on which it is based and each Fund's benchmark index. The information
presented for each Fund is for the period indicated.

"Cumulative total returns" represent the total change in value of an investment
over the period indicated. The NAV per Share of a Fund is the value of one Share
of a Fund and is computed by dividing the value of all assets of the Fund
(including accrued interest and dividends), less liabilities (including accrued
expenses and dividends declared but unpaid), by the total number of outstanding
Shares. The NAV return is based on the NAV per Share of a Fund, and the market
return is based on the market price per Share of a Fund. The price used to
calculate market return ("Market Price") generally is determined by using the
midpoint between the highest bid and the lowest offer on the Exchange on which
the Shares of a Fund are listed for trading, as of the time that a Fund's NAV is
calculated. Since the Shares of each Fund typically do not trade in the
secondary market until several days after a Fund's inception, for the period
from inception to the first day of secondary market trading in Shares of a Fund,
the NAV of a Fund is used as a proxy for the secondary market trading price to
calculate market returns. Market and NAV returns assume that dividends and
capital gain distributions have been reinvested in a Fund at Market Price and
NAV, respectively. An Index is a statistical composite that tracks a specified
financial market or sector. Unlike each Fund, an Index does not actually hold a
portfolio of securities and therefore does not incur the expenses incurred by a
Fund. These expenses negatively impact the performance of each Fund. Also,
market returns do not include brokerage commissions that may be payable on
secondary market transactions. If brokerage commissions were included, market
returns would be lower. The total returns reflect the reinvestment of dividends
on securities in the Indices. The returns shown in the table below do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Shares of a Fund. The investment
return and principal value of Shares of a Fund will vary with changes in market
conditions. Shares of a Fund may be worth more or less than their original cost
when they are redeemed or sold in the market. A Fund's past performance is no
guarantee of future results.


                                       49


               FIRST TRUST ASIA PACIFIC EX-JAPAN ALPHADEX(R) FUND

                                                        Cumulative Total Returns
                                                          Inception (4/18/11)
                                                              to 12/31/11
FUND PERFORMANCE
NAV                                                             -21.78%
Market Price                                                    -21.28%
INDEX PERFORMANCE
Defined Asia Pacific Ex-Japan Index                             -21.24%
S&P Asia Pacific Ex-Japan BMI Index                             -17.84%
MSCI Pacific Ex-Japan Index                                     -16.86%



                      FIRST TRUST EUROPE ALPHADEX(R) FUND

                                                        Cumulative Total Returns
                                                          Inception (4/18/11)
                                                              to 12/31/11
FUND PERFORMANCE
NAV                                                             -24.53%
Market Price                                                    -23.53%
INDEX PERFORMANCE
Defined Europe Index                                            -23.46%
S&P Europe BMI Index                                            -16.80%
MSCI Europe Index                                               -15.82%



                   FIRST TRUST LATIN AMERICA ALPHADEX(R) FUND

                                                        Cumulative Total Returns
                                                          Inception (4/18/11)
                                                              to 12/31/11
FUND PERFORMANCE
NAV                                                             -16.41%
Market Price                                                    -15.91%
INDEX PERFORMANCE
Defined Latin America Index                                     -14.87%
S&P Latin America BMI Index                                     -18.15%
MSCI EM Latin America Index                                     -17.64%



                      FIRST TRUST BRAZIL ALPHADEX(R) FUND

                                                        Cumulative Total Returns
                                                          Inception (4/18/11)
                                                              to 12/31/11
FUND PERFORMANCE
NAV                                                             -21.43%
Market Price                                                    -21.06%
INDEX PERFORMANCE
Defined Brazil Index                                            -20.54%
S&P Brazil BMI Index                                            -20.71%
MSCI Brazil Index                                               -21.13%




                                       50


                       FIRST TRUST CHINA ALPHADEX(R) FUND

                                                        Cumulative Total Returns
                                                          Inception (4/18/11)
                                                              to 12/31/11
FUND PERFORMANCE
NAV                                                             -33.08%
Market Price                                                    -33.30%
INDEX PERFORMANCE
Defined China Index                                             -33.29%
S&P China BMI Index                                             -24.98%
MSCI China Index                                                -22.54%



                       FIRST TRUST JAPAN ALPHADEX(R) FUND

                                                        Cumulative Total Returns
                                                          Inception (4/18/11)
                                                              to 12/31/11
FUND PERFORMANCE
NAV                                                              -4.66%
Market Price                                                     -4.46%
INDEX PERFORMANCE
Defined Japan Index                                              -5.48%
S&P Japan BMI Index                                              -6.05%
MSCI Japan Index                                                 -7.22%



                    FIRST TRUST SOUTH KOREA ALPHADEX(R) FUND

                                                        Cumulative Total Returns
                                                          Inception (4/18/11)
                                                              to 12/31/11
FUND PERFORMANCE
NAV                                                             -22.71%
Market Price                                                    -22.84%
INDEX PERFORMANCE
Defined South Korea Index                                       -22.00%
S&P South Korea BMI Index                                       -17.38%
MSCI South Korea Index                                          -19.36%



              FIRST TRUST DEVELOPED MARKETS EX-US ALPHADEX(R) FUND

                                                        Cumulative Total Returns
                                                          Inception (4/18/11)
                                                              to 12/31/11
FUND PERFORMANCE
NAV                                                             -20.92%
Market Price                                                    -19.59%

INDEX PERFORMANCE
Defined Developed Markets Ex-US Index                           -20.30%
S&P Developed Markets Ex-US BMI Index                           -15.24%
MSCI World Ex-US Index                                          -14.55%



                                       51


                 FIRST TRUST EMERGING MARKETS ALPHADEX(R) FUND

                                                        Cumulative Total Returns
                                                          Inception (4/18/11)
                                                              to 12/31/11
FUND PERFORMANCE
NAV                                                             -23.22%
Market Price                                                    -22.19%
INDEX PERFORMANCE
Defined Emerging Markets Index                                  -22.71%
S&P Emerging Markets BMI Index                                  -21.05%
MSCI Emerging Markets Index                                     -19.58%




                              FINANCIAL HIGHLIGHTS

The financial highlights table is intended to help you understand each Fund's
financial performance for the periods shown. Certain information reflects
financial results for a single Share of each Fund. The total returns represent
the rate that an investor would have earned (or lost) on an investment in a Fund
(assuming reinvestment of all dividends and distributions). The information for
the periods indicated has been derived from financial statements audited by
Deloitte & Touche LLP, whose report, along with each Fund's financial
statements, is included in the Annual Report to Shareholders dated December 31,
2011 and is incorporated by reference in the Funds' SAI, which is available upon
request.



FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD

FIRST TRUST ASIA PACIFIC EX-JAPAN ALPHADEX(R) FUND

                                                FOR THE PERIOD
                                              APRIL 18, 2011 (a)
                                                    THROUGH
                                               DECEMBER 31, 2011
                                              -------------------
Net asset value, beginning of period               $    29.83
                                                   ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)                             0.30
Net realized and unrealized gain (loss)                 (6.76)
                                                   ----------
Total from investment operations                        (6.46)
                                                   ----------

DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income                                   (0.36)
Return of capital                                       (0.13)
                                                   ----------
Total from distributions                                (0.49)
                                                   ----------
Net asset value, end of period                     $    22.88
                                                   ==========

TOTAL RETURN (b)                                       (21.78)%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)               $    2,288
Ratio of total expenses to average net assets            0.80% (c)
Ratio of net investment income (loss) to
   average net assets                                    1.60% (c)
Portfolio turnover rate (d)                                49%


(a)   Inception date.

(b)   Total return is calculated assuming an initial investment made at the net
      asset value at the beginning of the period, reinvestment of all dividend
      distributions at net asset value during the period, and redemption at net
      asset value on the last day of the period. The return presented does not
      reflect the deduction of taxes that a shareholder would pay on Fund
      distributions or the redemption or sale of Fund shares. Total return
      calculated for a period of less than one year is not annualized.

(c)   Annualized.

(d)   Portfolio turnover is not annualized and does not include securities
      received or delivered from processing creations or redemptions and in-kind
      transactions.


                                       52


FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD

FIRST TRUST EUROPE ALPHADEX(R) FUND

                                                FOR THE PERIOD
                                              APRIL 18, 2011 (a)
                                                    THROUGH
                                               DECEMBER 31, 2011
                                              -------------------
Net asset value, beginning of period               $    29.10
                                                   ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)                             0.51
Net realized and unrealized gain (loss)                 (7.52)
                                                   ----------
Total from investment operations                        (7.01)
                                                   ----------

DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income                                   (0.49)
                                                   ----------
Net asset value, end of period                     $    21.60
                                                   ==========

TOTAL RETURN (b)                                       (24.53)%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)               $    5,399
Ratio of total expenses to average net assets            0.80% (c)
Ratio of net investment income (loss) to average
   net assets                                            2.81% (c)
Portfolio turnover rate (d)                                27%


FIRST TRUST LATIN AMERICA ALPHADEX(R) FUND

                                                FOR THE PERIOD
                                              APRIL 18, 2011 (a)
                                                    THROUGH
                                               DECEMBER 31, 2011
                                              -------------------
Net asset value, beginning of period               $    29.70
                                                   ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)                             0.76
Net realized and unrealized gain (loss)                 (5.63)
                                                   ----------
Total from investment operations                        (4.87)
                                                   ----------

DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income                                   (0.59)
                                                   ----------
Net asset value, end of period                     $    24.24
                                                   ==========

TOTAL RETURN (b)                                       (16.41)%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)               $    2,424
Ratio of total expenses to average net assets            0.80% (c)
Ratio of net investment income (loss) to average
   net assets                                            3.97% (c)
Portfolio turnover rate (d)                                54%


(a)   Inception date.

(b)   Total return is calculated assuming an initial investment made at the net
      asset value at the beginning of the period, reinvestment of all dividend
      distributions at net asset value during the period, and redemption at net
      asset value on the last day of the period. The return presented does not
      reflect the deduction of taxes that a shareholder would pay on Fund
      distributions or the redemption or sale of Fund shares. Total return
      calculated for a period of less than one year is not annualized.

(c)   Annualized.

(d)   Portfolio turnover is not annualized and does not include securities
      received or delivered from processing creations or redemptions and in-kind
      transactions.


                                       53


FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD

FIRST TRUST BRAZIL ALPHADEX(R) FUND

                                                FOR THE PERIOD
                                              APRIL 18, 2011 (a)
                                                    THROUGH
                                               DECEMBER 31, 2011
                                              -------------------
Net asset value, beginning of period               $    29.69
                                                   ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)                             0.43
Net realized and unrealized gain (loss)                 (6.79)
                                                   ----------
Total from investment operations                        (6.36)
                                                   ----------

DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income                                   (0.29)
                                                   ----------
Net asset value, end of period                     $    23.04
                                                   ==========

TOTAL RETURN (b)                                       (21.43)%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)               $    6,912
Ratio of total expenses to average net assets            0.80% (c)
Ratio of net investment income (loss) to average
   net assets                                            2.71% (c)
Portfolio turnover rate (d)                                46%


FIRST TRUST CHINA ALPHADEX(R) FUND

                                                FOR THE PERIOD
                                              APRIL 18, 2011 (a)
                                                    THROUGH
                                               DECEMBER 31, 2011
                                              -------------------
Net asset value, beginning of period               $    29.90
                                                   ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)                             0.45
Net realized and unrealized gain (loss)                (10.23)
                                                   ----------
Total from investment operations                        (9.78)
                                                   ----------

DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income                                   (0.45)
                                                   ----------
Net asset value, end of period                     $    19.67
                                                   ==========

TOTAL RETURN (b)                                       (33.08)%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)               $    2,950
Ratio of total expenses to average net assets            0.80% (c)
Ratio of net investment income (loss) to average
   net assets                                            2.56% (c)
Portfolio turnover rate (d)                                60%


(a)   Inception date.

(b)   Total return is calculated assuming an initial investment made at the net
      asset value at the beginning of the period, reinvestment of all dividend
      distributions at net asset value during the period, and redemption at net
      asset value on the last day of the period. The return presented does not
      reflect the deduction of taxes that a shareholder would pay on Fund
      distributions or the redemption or sale of Fund shares. Total return
      calculated for a period of less than one year is not annualized.

(c)   Annualized.

(d)   Portfolio turnover is not annualized and does not include securities
      received or delivered from processing creations or redemptions and in-kind
      transactions.


                                       54


FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD

FIRST TRUST JAPAN ALPHADEX(R) FUND

                                                FOR THE PERIOD
                                              APRIL 18, 2011 (a)
                                                    THROUGH
                                               DECEMBER 31, 2011
                                              -------------------
Net asset value, beginning of period               $    39.90
                                                   ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)                             0.17
Net realized and unrealized gain (loss)                 (2.03)
                                                   ----------
Total from investment operations                        (1.86)
                                                   ----------

DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income                                   (0.23)
Return of capital                                       (0.00) (e)
                                                   ----------
Total from distributions                                (0.23)
                                                   ----------
Net asset value, end of period                     $    37.81
                                                   ==========

TOTAL RETURN (b)                                        (4.66)%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)               $    3,781
Ratio of total expenses to average net assets            0.80% (c)
Ratio of net investment income (loss) to average
   net assets                                            0.61% (c)
Portfolio turnover rate (d)                                43%


FIRST TRUST SOUTH KOREA ALPHADEX(R) FUND

                                                FOR THE PERIOD
                                              APRIL 18, 2011 (a)
                                                    THROUGH
                                               DECEMBER 31, 2011
                                              -------------------
Net asset value, beginning of period               $    30.11
                                                   ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)                            (0.10)
Net realized and unrealized gain (loss)                 (6.74)
                                                   ----------
Total from investment operations                        (6.84)
                                                   ----------

DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income                                   (0.13)
Return of capital                                       (0.44)
                                                   ----------
Total from distributions                                (0.57)
                                                   ----------
Net asset value, end of period                     $    22.70
                                                   ==========

TOTAL RETURN (b)                                       (22.71)%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)               $    1,135
Ratio of total expenses to average net assets            0.80% (c)
Ratio of net investment income (loss) to average
   net assets                                           (0.32)% (c)
Portfolio turnover rate (d)                               123%



(a)   Inception date.

(b)   Total return is calculated assuming an initial investment made at the net
      asset value at the beginning of the period, reinvestment of all dividend
      distributions at net asset value during the period, and redemption at net
      asset value on the last day of the period. The return presented does not
      reflect the deduction of taxes that a shareholder would pay on Fund
      distributions or the redemption or sale of Fund shares. Total return
      calculated for a period of less than one year is not annualized.

(c)   Annualized.

(d)   Portfolio turnover is not annualized and does not include securities
      received or delivered from processing creations or redemptions and in-kind
      transactions.

(e)   Amount represents less than $0.01 per share.



                                       55


FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD

FIRST TRUST DEVELOPED MARKETS EX-US ALPHADEX(R) FUND

                                                FOR THE PERIOD
                                              APRIL 18, 2011 (a)
                                                    THROUGH
                                               DECEMBER 31, 2011
                                              -------------------
Net asset value, beginning of period               $    49.13
                                                   ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)                             0.50
Net realized and unrealized gain (loss)                (10.69)
                                                   ----------
Total from investment operations                       (10.19)
                                                   ----------

DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income                                   (0.42)
Return of capital                                       (0.15)
                                                   ----------
Total from distributions                                (0.57)
                                                   ----------
Net asset value, end of period                     $    38.37
                                                   ==========

TOTAL RETURN (b)                                       (20.92)%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)               $   17,345
Ratio of total expenses to average net assets            0.80% (c)
Ratio of net investment income (loss) to average
   net assets                                            1.31% (c)
Portfolio turnover rate (d)                                67%


FIRST TRUST EMERGING MARKETS ALPHADEX(R) FUND

                                                FOR THE PERIOD
                                              APRIL 18, 2011 (a)
                                                    THROUGH
                                               DECEMBER 31, 2011
                                              -------------------
Net asset value, beginning of period               $    29.05
                                                   ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)                             0.25
Net realized and unrealized gain (loss)                 (6.98)
                                                   ----------
Total from investment operations                        (6.73)
                                                   ----------

DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income                                   (0.21)
                                                   ----------
Net asset value, end of period                     $    22.11
                                                   ==========

TOTAL RETURN (b)                                       (23.22)%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)               $   23,216
Ratio of total expenses to average net assets            0.80% (c)
Ratio of net investment income (loss) to average
   net assets                                            3.09% (c)
Portfolio turnover rate (d)                                56%


(a)   Inception date.

(b)   Total return is calculated assuming an initial investment made at the net
      asset value at the beginning of the period, reinvestment of all dividend
      distributions at net asset value during the period, and redemption at net
      asset value on the last day of the period. The return presented does not
      reflect the deduction of taxes that a shareholder would pay on Fund
      distributions or the redemption or sale of Fund shares. Total return
      calculated for a period of less than one year is not annualized.

(c)   Annualized.

(d)   Portfolio turnover is not annualized and does not include securities
      received or delivered from processing creations or redemptions and in-kind
      transactions.


                                       56


                               OTHER INFORMATION

CONTINUOUS OFFERING

Each Fund will issue, on a continuous offering basis, its Shares in one or more
groups of a fixed number of Fund Shares (each such group of such specified
number of individual Fund Shares, a "Creation Unit Aggregation"). The method by
which Creation Unit Aggregations of Fund Shares are created and traded may raise
certain issues under applicable securities laws. Because new Creation Unit
Aggregations of Shares are issued and sold by a Fund on an ongoing basis, a
"distribution," as such term is used in the Securities Act, may occur at any
point. Broker-dealers and other persons are cautioned that some activities on
their part may, depending on the circumstances, result in their being deemed
participants in a distribution in a manner which could render them statutory
underwriters and subject them to the prospectus delivery requirement and
liability provisions of the Securities Act.

For example, a broker-dealer firm or its client may be deemed a statutory
underwriter if it takes Creation Unit Aggregations after placing an order with
FTP, breaks them down into constituent Shares and sells such Shares directly to
customers, or if it chooses to couple the creation of a supply of new Shares
with an active selling effort involving solicitation of secondary market demand
for Shares. A determination of whether one is an underwriter for purposes of the
Securities Act must take into account all the facts and circumstances pertaining
to the activities of the broker-dealer or its client in the particular case, and
the examples mentioned above should not be considered a complete description of
all the activities that could lead to a characterization as an underwriter.

Broker-dealer firms should also note that dealers who are not "underwriters" but
are effecting transactions in Shares, whether or not participating in the
distribution of Shares, are generally required to deliver a Prospectus. This is
because the prospectus delivery exemption in Section 4(3) of the Securities Act
is not available in respect of such transactions as a result of Section 24(d) of
the 1940 Act. The Trust, on behalf of each Fund, however, has received from the
Securities and Exchange Commission an exemption from the prospectus delivery
obligation in ordinary secondary market transactions under certain
circumstances, on the condition that purchasers are provided with a product
description of the Shares. As a result, broker-dealer firms should note that
dealers who are not underwriters but are participating in a distribution (as
contrasted with ordinary secondary market transactions) and thus dealing with
the Shares that are part of an overallotment within the meaning of Section
4(3)(c) of the Securities Act would be unable to take advantage of the
prospectus delivery exemption provided by Section 4(3) of the Securities Act.
Firms that incur a prospectus delivery obligation with respect to Shares are
reminded that, under the Securities Act Rule 153, a prospectus delivery
obligation under Section 5(b)(2) of the Securities Act owed to a broker-dealer
in connection with a sale on NYSE Arca is satisfied by the fact that the
Prospectus is available from NYSE Arca upon request. The prospectus delivery
mechanism provided in Rule 153 is available with respect to transactions on a
national securities exchange, a trading facility or an alternative trading
system.

                                       57


================================================================================
                                  FIRST TRUST
--------------------------------------------------------------------------------

                              ALPHADEX(R) II FUNDS

               First Trust Asia Pacific Ex-Japan AlphaDEX(R) Fund
                      First Trust Europe AlphaDEX(R) Fund
                   First Trust Latin America AlphaDEX(R) Fund
                      First Trust Brazil AlphaDEX(R) Fund
                       First Trust China AlphaDEX(R) Fund
                       First Trust Japan AlphaDEX(R) Fund
                    First Trust South Korea AlphaDEX(R) Fund
              First Trust Developed Markets Ex-US AlphaDEX(R) Fund
                 First Trust Emerging Markets AlphaDEX(R) Fund




FOR MORE INFORMATION

For more detailed information on the Funds, several additional sources of
information are available to you. The SAI, incorporated by reference into this
Prospectus, contains detailed information on the Funds' policies and operation.
Additional information about the Funds' investments is available in the annual
and semi-annual reports to Shareholders. In the Funds' annual reports, you will
find a discussion of the market conditions and investment strategies that
significantly impacted the Funds' performance during the last fiscal year. The
Funds' most recent SAI, annual and semi-annual reports and certain other
information are available free of charge by calling the Funds at (800) 621-1675,
on the Funds' website at www.ftportfolios.com or through your financial advisor.
Shareholders may call the toll-free number above with any inquiries.

You may obtain this and other information regarding the Funds, including the
Codes of Ethics adopted by First Trust, FTP and the Trust, directly from the
Securities and Exchange Commission (the "SEC"). Information on the SEC's website
is free of charge. Visit the SEC's on-line EDGAR database at http://www.sec.gov
or in person at the SEC's Public Reference Room in Washington, D.C., or call the
SEC at (202) 551-8090 for information on the Public Reference Room. You may also
request information regarding the Funds by sending a request (along with a
duplication fee) to the SEC's Public Reference Section, 100 F Street, N.E.,
Washington, D.C. 20549-1520 or by sending an electronic request to
publicinfo@sec.gov.





First Trust Advisors L.P.
120 East Liberty Drive
Suite 400
Wheaton, Illinois 60187
(800) 621-1675                                            SEC File #: 333-171759
www.ftportfolios.com                                                   811-22519