0001445546-12-002469.txt : 20120525 0001445546-12-002469.hdr.sgml : 20120525 20120525103035 ACCESSION NUMBER: 0001445546-12-002469 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20120331 FILED AS OF DATE: 20120525 DATE AS OF CHANGE: 20120525 EFFECTIVENESS DATE: 20120525 FILER: COMPANY DATA: COMPANY CONFORMED NAME: FIRST TRUST EXCHANGE-TRADED ALPHADEX FUND II CENTRAL INDEX KEY: 0001510337 IRS NUMBER: 000000000 STATE OF INCORPORATION: MA FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-22519 FILM NUMBER: 12869764 BUSINESS ADDRESS: STREET 1: 120 EAST LIBERTY DRIVE, SUITE 400 CITY: WHEATON STATE: IL ZIP: 60187 BUSINESS PHONE: 630-765-8000 MAIL ADDRESS: STREET 1: 120 EAST LIBERTY DRIVE, SUITE 400 CITY: WHEATON STATE: IL ZIP: 60187 0001510337 S000031795 First Trust Emerging Markets AlphaDEX Fund C000099049 First Trust Emerging Markets AlphaDEX Fund FEM 0001510337 S000031796 First Trust Europe AlphaDEX Fund C000099050 First Trust Europe AlphaDEX Fund FEP 0001510337 S000031797 First Trust Latin America AlphaDEX Fund C000099051 First Trust Latin America AlphaDEX Fund FLN 0001510337 S000031798 First Trust Brazil AlphaDEX Fund C000099052 First Trust Brazil AlphaDEX Fund FBZ 0001510337 S000031799 First Trust China AlphaDEX Fund C000099053 First Trust China AlphaDEX Fund FCA 0001510337 S000031800 First Trust Japan AlphaDEX Fund C000099054 First Trust Japan AlphaDEX Fund FJP 0001510337 S000031801 First Trust South Korea AlphaDEX Fund C000099055 First Trust South Korea AlphaDEX Fund FKO 0001510337 S000031802 First Trust Developed Markets Ex-US AlphaDEX Fund C000099056 First Trust Developed Markets Ex-US AlphaDEX Fund FDT 0001510337 S000031803 First Trust Asia Pacific Ex-Japan AlphaDEX Fund C000099057 First Trust Asia Pacific Ex-Japan AlphaDEX Fund FPA 0001510337 S000036501 First Trust Australia AlphaDEX Fund C000111806 First Trust Australia AlphaDEX Fund 0001510337 S000036502 First Trust Canada AlphaDEX Fund C000111807 First Trust Canada AlphaDEX Fund 0001510337 S000036503 First Trust Germany AlphaDEX Fund C000111808 First Trust Germany AlphaDEX Fund 0001510337 S000036504 First Trust Hong Kong AlphaDEX Fund C000111809 First Trust Hong Kong AlphaDEX Fund 0001510337 S000036505 First Trust Switzerland AlphaDEX Fund C000111810 First Trust Switzerland AlphaDEX Fund 0001510337 S000036506 First Trust Taiwan AlphaDEX Fund C000111811 First Trust Taiwan AlphaDEX Fund 0001510337 S000036507 First Trust United Kingdom AlphaDEX Fund C000111812 First Trust United Kingdom AlphaDEX Fund 0001510337 S000036654 First Trust Developed Markets ex-US Small Cap AlphaDEX Fund C000112036 First Trust Developed Markets ex-US Small Cap AlphaDEX Fund 0001510337 S000036655 First Trust Emerging Markets Small Cap AlphaDEX Fund C000112037 First Trust Emerging Markets Small Cap AlphaDEX Fund N-Q 1 adex2_nq.txt QUARTERLY PORTFOLIO OF INVESTMENTS UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-Q QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY Investment Company Act file number 811-22519 ----------- First Trust Exchange-Traded AlphaDEX(R) Fund II ------------------------------------------------------------------ (Exact name of registrant as specified in charter) 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 ------------------------------------------------------------------ (Address of principal executive offices) (Zip code) W. Scott Jardine, Esq. First Trust Portfolios L.P. 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 ------------------------------------------------------------------ (Name and address of agent for service) Registrant's telephone number, including area code: 630-765-8000 -------------- Date of fiscal year end: December 31 ------------- Date of reporting period: March 31, 2012 ---------------- Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (Sections 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507. ITEM 1. SCHEDULE OF INVESTMENTS. The Portfolios of Investments are attached herewith. FIRST TRUST ASIA PACIFIC EX-JAPAN ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS (a) - 99.3% AUSTRALIA - 10.8% 4,453 Amcor Ltd. .................................. $ 34,318 909 Bendigo and Adelaide Bank Ltd. .............. 7,297 2,137 Caltex Australia Ltd. ....................... 30,747 185 Campbell Brothers Ltd. ...................... 12,883 4,914 GPT Group ................................... 15,881 3,754 Metcash Ltd. ................................ 16,721 819 OZ Minerals Ltd. ............................ 8,280 10,942 Qantas Airways Ltd. (b)...................... 20,232 1,218 Ramsay Health Care Ltd. ..................... 24,666 125 Rio Tinto Ltd. .............................. 8,468 1,941 Seven Group Holdings Ltd. ................... 19,985 8,251 SP AusNet ................................... 9,188 2,900 Suncorp Group Ltd. .......................... 25,233 4,977 Telstra Corp Ltd. ........................... 16,961 603 Washington H Soul Pattinson & Co., Ltd. ..... 8,601 244 Wesfarmers Ltd. ............................. 7,588 3,188 Westfield Retail Trust ...................... 8,520 ---------------- 275,569 ---------------- BERMUDA - 9.3% 4,000 Cheung Kong Infrastructure Holdings Ltd. .... 24,287 2,700 Dairy Farm International Holdings Ltd. ...... 28,188 34,000 First Pacific Co., Ltd. ..................... 37,654 8,000 Hongkong Land Holdings Ltd. ................. 46,480 400 Jardine Matheson Holdings Ltd. .............. 20,000 1,000 Jardine Strategic Holdings Ltd. ............. 30,510 7,148 Orient Overseas International Ltd. .......... 50,856 ---------------- 237,975 ---------------- CAYMAN ISLANDS - 1.2% 9,000 ENN Energy Holdings Ltd. .................... 31,060 ---------------- HONG KONG - 23.1% 8,978 Cathay Pacific Airways Ltd. ................. 16,602 97,040 Champion Real Estate Investment Trust ....... 41,113 3,500 Cheung Kong Holdings Ltd. ................... 45,206 3,500 CLP Holdings Ltd. ........................... 30,152 44,000 Fosun International Ltd. .................... 26,064 6,762 Henderson Land Development Co., Ltd. ........ 37,138 12,944 Hopewell Holdings Ltd. ...................... 35,504 4,000 Hutchison Whampoa Ltd. ...................... 39,946 12,000 Hysan Development Co., Ltd. ................. 47,749 9,232 Link REIT ................................... 34,357 34,258 New World Development Ltd. .................. 41,160 24,200 Sino Land Co., Ltd. ......................... 38,642 2,500 Sun Hung Kai Properties Ltd. ................ 31,067 4,266 Swire Pacific Ltd. .......................... 47,821 7,440 Wharf Holdings Ltd. ......................... 40,431 See Notes to Quarterly Portfolio of Investments FIRST TRUST ASIA PACIFIC EX-JAPAN ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS (a) - (CONTINUED) HONG KONG - (CONTINUED) 12,750 Wheelock & Co., Ltd. ........................ $ 38,338 ---------------- 591,290 ---------------- MAURITIUS - 1.9% 79,000 Golden Agri-Resources Ltd. .................. 49,334 ---------------- NEW ZEALAND - 1.9% 24,466 Telecom Corp. of New Zealand Ltd. ........... 48,579 ---------------- SINGAPORE - 9.4% 10,000 Ascendas Real Estate Investment Trust ....... 16,069 39,000 CapitaCommercial Trust ...................... 37,851 1,000 Jardine Cycle & Carriage Ltd. ............... 38,415 15,000 Keppel Land Ltd. ............................ 41,406 27,000 Neptune Orient Lines Ltd. ................... 30,393 17,000 Suntec Real Estate Investment Trust ......... 16,905 12,000 UOL Group Ltd. .............................. 45,249 4,000 Wilmar International Ltd. ................... 15,592 ---------------- 241,880 ---------------- SOUTH KOREA - 41.7% 8 Amorepacific Corp. .......................... 8,466 600 Celltrion, Inc. ............................. 19,567 1,890 Cheil Worldwide, Inc. ....................... 30,192 150 CJ CheilJedang Corp. ........................ 44,482 449 CJ Corp. .................................... 33,763 390 Daewoo Shipbuilding & Marine Engineering Co., Ltd. ..................................... 10,429 858 Dongbu Insurance Co., Ltd. .................. 37,067 1,040 Green Cross Holdings Corp. .................. 11,932 154 GS Holdings ................................. 8,821 1,440 Halla Climate Control Corp. ................. 28,023 440 Hankook Tire Co., Ltd. ...................... 16,291 264 Hanwha Corp. ................................ 7,584 1,240 Hynix Semiconductor, Inc. ................... 32,011 105 Hyundai Department Store Co., Ltd. .......... 16,125 250 Hyundai Glovis Co., Ltd. .................... 45,011 63 Hyundai Heavy Industries Co., Ltd. .......... 17,876 946 Hyundai Hysco ............................... 33,480 900 Hyundai Marine & Fire Insurance Co., Ltd. ... 25,895 78 Hyundai Mobis ............................... 19,723 167 Hyundai Motor Co. ........................... 34,342 100 Hyundai Steel Co. ........................... 9,002 79 KCC Corp. ................................... 22,730 614 Kia Motors Corp. ............................ 40,155 420 Korea Electric Power Corp. (b)............... 8,303 1,260 Korea Exchange Bank ......................... 9,630 280 Korea Gas Corp. ............................. 10,663 490 KT Corp. .................................... 13,601 439 LG Corp. .................................... 25,184 1,340 LG Display Co., Ltd. ........................ 31,340 See Notes to Quarterly Portfolio of Investments FIRST TRUST ASIA PACIFIC EX-JAPAN ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS (a) - (CONTINUED) SOUTH KOREA - (CONTINUED) 131 LG Electronics, Inc. ........................ $ 9,573 83 LG Household & Health Care Ltd. ............. 43,586 6,870 LG Uplus Corp. .............................. 41,230 6 Lotte Confectionery Co., Ltd. ............... 8,785 182 Mando Corp. ................................. 26,745 26 NCSoft Corp. ................................ 6,873 51 Orion Corp./Republic of South Korea ......... 35,829 48 POSCO ....................................... 16,098 252 Samsung C&T Corp. ........................... 17,659 626 Samsung Card Co. ............................ 21,796 32 Samsung Electronics Co., Ltd. ............... 36,009 114 Samsung Engineering Co., Ltd. ............... 24,348 122 Samsung Fire & Marine Insurance Co., Ltd. ... 23,042 703 Seah Besteel Corp. .......................... 29,502 305 SK C&C Co., Ltd. ............................ 30,149 131 SK Holdings Co., Ltd. ....................... 17,054 2,430 SK Networks Co., Ltd. ....................... 22,412 230 Woongjin Coway Co., Ltd. .................... 7,632 ---------------- 1,070,010 ---------------- TOTAL INVESTMENTS - 99.3% .................. 2,545,697 (Cost $2,471,904) (c) NET OTHER ASSETS AND LIABILITIES - 0.7% ..... 18,038 ---------------- NET ASSETS - 100.0% ......................... $ 2,563,735 ================ -------- (a) Portfolio securities are categorized based upon their country of incorporation. (b) Non-income producing security. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of March 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $177,652 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $103,859. See Notes to Quarterly Portfolio of Investments FIRST TRUST ASIA PACIFIC EX-JAPAN ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of March 31, 2012 is as follows (see Note A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices -------------------------------------------------------------------------------- Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS TOTAL LEVEL 1 LEVEL 2 LEVEL 3 --------------- --------------- --------------- --------------- Common Stocks*................................ $ 2,545,697 $ 2,545,697 $ -- $ -- =============== =============== =============== ===============
* See Portfolio of Investments for country breakout. INDUSTRY DIVERSIFICATION AS A PERCENTAGE OF NET ASSETS: Real Estate Management & Development 19.50% Industrial Conglomerates 7.9 Real Estate Investment Trusts (REITs) 6.7 Food Products 6.0 Metals & Mining 5.1 Diversified Telecommunication Services 4.7 Insurance 4.3 Auto Components 3.5 Marine 3.2 Automobiles 2.9 Electric Utilities 2.8 Semiconductors & Semiconductor Equipment 2.7 Trading Companies & Distributors 2.3 Food & Staples Retailing 2.1 Diversified Financial Services 1.8 Air Freight & Logistics 1.8 Household Products 1.7 Gas Utilities 1.6 Oil, Gas & Consumable Fuels 1.5 Distributors 1.5 Airlines 1.4 Containers & Packaging 1.3 Pharmaceuticals 1.2 Electronic Equipment, Instruments & Components 1.2 Media 1.2 IT Services 1.2 Machinery 1.1 Health Care Providers & Services 1.0 Construction & Engineering 0.9 Building Products 0.9 Consumer Finance 0.9 Household Durables 0.7 Commercial Banks 0.7 Multiline Retail 0.6 Professional Services 0.5 See Notes to Quarterly Portfolio of Investments FIRST TRUST ASIA PACIFIC EX-JAPAN ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) Personal Products 0.3 Chemicals 0.3 Software 0.3 Net Other Assets and Liabilities 0.7 --------- 100.0% ========= See Notes to Quarterly Portfolio of Investments FIRST TRUST EUROPE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS (a) - 99.5% AUSTRIA - 2.7% 263 Andritz AG .................................. $ 25,739 369 EVN AG ...................................... 4,966 540 OMV AG ...................................... 19,193 180 Raiffeisen Bank International AG ............ 6,362 882 Strabag SE .................................. 26,873 554 Voestalpine AG .............................. 18,630 ---------------- 101,763 ---------------- BELGIUM - 2.4% 278 Delhaize Group S.A. ......................... 14,627 667 Elia System Operator S.A. N.V. .............. 28,244 464 KBC Groep N.V. .............................. 11,640 526 NV Bekaert S.A. ............................. 16,946 379 UCB S.A. .................................... 16,352 ---------------- 87,809 ---------------- BERMUDA - 0.3% 1,849 Catlin Group Ltd. ........................... 12,013 ---------------- DENMARK - 2.2% 5 AP Moller - Maersk A.S. ..................... 38,606 75 Coloplast A.S. .............................. 12,985 279 H Lundbeck A.S. ............................. 5,590 103 Topdanmark A.S. (b).......................... 17,888 657 Vestas Wind Systems A.S. (b)................. 6,665 ---------------- 81,734 ---------------- FINLAND - 3.0% 3,104 Neste Oil Oyj ............................... 38,231 453 Sanoma Oyj .................................. 5,800 4,586 Stora Enso Oyj .............................. 34,068 2,379 UPM-Kymmene Oyj ............................. 32,395 ---------------- 110,494 ---------------- FRANCE - 17.1% 723 Air France-KLM (b)........................... 4,108 460 Arkema S.A. ................................. 42,865 123 Bollore ..................................... 25,591 73 Bureau Veritas S.A. ......................... 6,426 138 Casino Guichard Perrachon S.A. .............. 13,601 453 CFAO S.A. ................................... 19,466 226 Cie Generale d'Optique Essilor International S.A. ..................................... 20,144 269 Cie Generale des Etablissements Michelin .... 20,030 193 Ciments Francais S.A. ....................... 13,810 263 Danone ...................................... 18,345 78 Eramet ...................................... 11,027 268 Euler Hermes S.A. ........................... 21,053 132 Eutelsat Communications S.A. ................ 4,880 154 Fonciere Des Regions ........................ 12,371 324 France Telecom S.A. ......................... 4,799 See Notes to Quarterly Portfolio of Investments FIRST TRUST EUROPE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS (a) - (CONTINUED) FRANCE - (CONTINUED) 307 Gecina S.A. ................................. $ 32,076 90 Hermes International ........................ 30,326 344 Icade ....................................... 30,689 141 Ingenico .................................... 6,827 312 Lafarge S.A. ................................ 14,891 1,149 Peugeot S.A. ................................ 18,504 898 Plastic Omnium S.A. ......................... 26,019 808 Renault S.A. ................................ 42,593 127 Societe BIC S.A. ............................ 12,744 199 Societe Generale S.A. ....................... 5,830 245 Sodexo ...................................... 20,115 488 Total S.A. .................................. 24,888 60 Unibail-Rodamco SE .......................... 11,999 255 Valeo S.A. .................................. 13,372 724 Veolia Environnement S.A. ................... 12,007 1,057 Vivendi S.A. ................................ 19,398 427 Wendel S.A. ................................. 36,476 349 Zodiac Aerospace ............................ 36,339 ---------------- 633,609 ---------------- GERMANY - 12.3% 177 Adidas AG ................................... 13,819 531 Aurubis AG .................................. 28,034 81 Bayerische Motoren Werke AG ................. 7,284 124 Brenntag AG ................................. 15,185 241 Daimler AG .................................. 14,531 1,664 Deutsche Lufthansa AG ....................... 23,291 54 Fielmann AG ................................. 5,192 239 Fresenius Medical Care AG & Co. KGaA ........ 16,939 244 Fresenius SE & Co. KGaA ..................... 25,022 358 Hannover Rueckversicherung AG ............... 21,266 145 HeidelbergCement AG ......................... 8,777 202 Hugo Boss AG ................................ 23,282 2,178 Infineon Technologies AG .................... 22,268 198 Kabel Deutschland Holding AG (b)............. 12,229 336 Lanxess AG .................................. 27,775 209 MAN SE ...................................... 27,827 56 Puma SE ..................................... 20,001 24 Rational AG ................................. 5,613 112 Rheinmetall AG .............................. 6,632 144 RWE AG ...................................... 6,876 109 Salzgitter AG ............................... 5,974 510 SGL Carbon SE (b)............................ 23,361 306 SMA Solar Technology AG ..................... 13,868 758 Suedzucker AG ............................... 24,136 313 United Internet AG .......................... 5,899 174 Volkswagen AG ............................... 28,057 See Notes to Quarterly Portfolio of Investments FIRST TRUST EUROPE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS (a) - (CONTINUED) GERMANY - (CONTINUED) 242 Wacker Chemie AG ............................ $ 21,337 ---------------- 454,475 ---------------- GREECE - 1.0% 2,759 Hellenic Petroleum S.A. ..................... 21,342 526 OPAP S.A. ................................... 5,100 2,671 Public Power Corp. S.A. ..................... 11,934 ---------------- 38,376 ---------------- GUERNSEY - 0.3% 2,790 Resolution Ltd. ............................. 11,661 ---------------- IRELAND - 2.3% 864 DCC PLC ..................................... 21,393 1,005 Elan Corp PLC (b)............................ 14,710 310 Kerry Group PLC ............................. 14,347 526 Paddy Power PLC ............................. 33,126 ---------------- 83,576 ---------------- ITALY - 4.5% 19,117 Banca Monte dei Paschi di Siena S.p.A ....... 8,059 2,959 Davide Campari-Milano S.p.A ................. 20,147 21,426 Edison S.p.A (b)............................. 24,518 2,412 Enel S.p.A .................................. 8,724 920 ENI S.p.A ................................... 21,583 822 Exor S.p.A .................................. 20,753 3,963 Fiat S.p.A .................................. 23,298 2,299 Finmeccanica S.p.A .......................... 12,449 1,034 Lottomatica S.p.A (b)........................ 19,638 3,381 Mediaset S.p.A .............................. 9,325 ---------------- 168,494 ---------------- JERSEY - 1.0% 166 Randgold Resources Ltd. ..................... 14,258 695 Shire PLC ................................... 22,456 ---------------- 36,714 ---------------- LUXEMBOURG - 1.0% 672 ArcelorMittal ............................... 12,843 1,046 Ternium S.A., ADR ........................... 24,769 ---------------- 37,612 ---------------- NETHERLANDS - 5.2% 623 ASML Holding N.V. ........................... 31,142 956 European Aeronautic Defence and Space Co. N.V. ..................................... 39,149 567 Gemalto NV .................................. 37,425 1,381 Koninklijke Ahold NV ........................ 19,137 171 Koninklijke Boskalis Westminster N.V. ....... 6,423 370 Koninklijke DSM NV .......................... 21,409 259 Nutreco NV .................................. 18,626 See Notes to Quarterly Portfolio of Investments FIRST TRUST EUROPE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS (a) - (CONTINUED) NETHERLANDS - (CONTINUED) 512 Unilever NV ................................. $ 17,423 ---------------- 190,734 ---------------- NORWAY - 2.9% 756 Fred Olsen Energy ASA ....................... 29,644 4,720 Norsk Hydro ASA ............................. 25,702 503 Schibsted ASA ............................... 18,637 754 Statoil ASA ................................. 20,469 285 TGS Nopec Geophysical Co. ASA ............... 7,812 138 Yara International ASA ...................... 6,582 ---------------- 108,846 ---------------- PAGUA NEW GUINEA - 0.2% 423 New Britain Palm Oil Ltd. ................... 5,802 ---------------- PORTUGAL - 2.8% 7,630 Brisa Auto-Estradas de Portugal S.A. ........ 27,170 798 Cimpor Cimentos de Portugal SGPS S.A. ....... 5,321 1,731 EDP - Energias de Portugal S.A. ............. 5,035 583 Galp Energia SGPS S.A. ...................... 9,595 1,727 Jeronimo Martins SGPS S.A. (b)............... 35,183 3,687 Portugal Telecom SGPS S.A. .................. 20,058 ---------------- 102,362 ---------------- SPAIN - 5.7% 640 Corp. Financiera Alba ....................... 27,835 1,271 Ebro Foods S.A. ............................. 24,673 690 Endesa S.A. ................................. 13,748 1,417 Ferrovial S.A. .............................. 16,287 214 Fomento de Construcciones y Contratas S.A. .. 4,781 1,270 Gas Natural SDG S.A. ........................ 20,292 1,588 Grifols S.A. (b)............................. 33,887 189 Inditex S.A. ................................ 18,104 6,848 International Consolidated Airlines Group S.A. (b).................................. 19,595 3,427 Mapfre S.A. ................................. 11,033 811 Repsol YPF S.A. ............................. 20,345 ---------------- 210,580 ---------------- SWEDEN - 6.1% 2,601 Boliden AB .................................. 40,848 1,107 Hufvudstaden AB ............................. 11,705 2,570 Industrivarden AB ........................... 38,186 1,533 Investor AB ................................. 33,993 1,458 Kinnevik Investment AB ...................... 33,917 770 Lundbergforetagen AB ........................ 26,478 1,271 Lundin Petroleum AB (b)...................... 27,242 385 Skanska AB .................................. 6,675 717 SSAB AB ..................................... 6,779 ---------------- 225,823 ---------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST EUROPE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS (a) - (CONTINUED) SWITZERLAND - 1.6% 13 Barry Callebaut AG .......................... $ 13,026 588 Clariant AG (b).............................. 8,116 933 OC Oerlikon Corp. AG (b)..................... 8,268 98 Swiss Life Holding AG ....................... 11,660 202 Swiss Prime Site AG ......................... 16,783 ---------------- 57,853 ---------------- UNITED KINGDOM - 24.9% 627 Anglo American PLC .......................... 23,437 1,859 ARM Holdings PLC ............................ 17,603 1,258 Associated British Foods PLC ................ 24,549 1,175 Berkeley Group Holdings PLC (b).............. 24,808 3,597 BP PLC ...................................... 26,612 3,670 British Land Co., PLC ....................... 28,171 897 Bunzl PLC ................................... 14,405 967 Cairn Energy PLC ............................ 4,997 663 Compass Group PLC ........................... 6,951 2,420 Cookson Group PLC ........................... 26,747 1,214 Derwent London PLC .......................... 33,884 3,640 Drax Group PLC .............................. 31,702 2,797 easyJet PLC ................................. 21,734 1,075 Firstgroup PLC .............................. 4,087 880 Fresnillo PLC ............................... 22,493 5,234 G4S PLC ..................................... 22,813 3,694 Hammerson PLC ............................... 24,556 1,503 Homeserve PLC ............................... 5,613 803 Imperial Tobacco Group PLC .................. 32,560 184 Intertek Group PLC .......................... 7,390 3,815 J Sainsbury PLC ............................. 18,996 546 Jardine Lloyd Thompson Group PLC ............ 6,100 216 Johnson Matthey PLC ......................... 8,150 2,776 Kingfisher PLC .............................. 13,618 2,720 Land Securities Group PLC ................... 31,433 8,730 Logica PLC .................................. 13,908 1,456 Mondi PLC ................................... 13,729 552 Next PLC .................................... 26,338 301 Pearson PLC ................................. 5,609 1,021 Pennon Group PLC ............................ 11,619 687 Provident Financial PLC ..................... 12,593 1,169 Rightmove PLC ............................... 27,150 484 Rio Tinto PLC ............................... 26,677 698 Royal Dutch Shell PLC ....................... 24,378 1,348 Scottish and Southern Energy plc ............ 28,655 222 Severn Trent plc ............................ 5,483 7,983 Sports Direct International PLC (b).......... 36,902 5,632 St. James's Place PLC ....................... 31,809 5,692 Stagecoach Group PLC ........................ 23,243 550 Tate & Lyle PLC ............................. 6,202 913 TESCO PLC ................................... 4,819 See Notes to Quarterly Portfolio of Investments FIRST TRUST EUROPE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS (a) - (CONTINUED) UNITED KINGDOM - (CONTINUED) 534 Tullow Oil PLC .............................. $ 13,043 864 Unilever PLC ................................ 28,524 627 Vedanta Resources PLC ....................... 12,315 216 Whitbread PLC ............................... 6,371 6,178 William Hill PLC ............................ 25,831 4,811 WM Morrison Supermarkets PLC ................ 22,932 1,703 Xstrata PLC ................................. 29,092 ---------------- 920,631 ---------------- TOTAL INVESTMENTS - 99.5% ................... 3,680,961 (Cost $3,617,229) (c) NET OTHER ASSETS AND LIABILITIES - 0.5% ..... 17,256 ---------------- NET ASSETS - 100.0% ......................... $ 3,698,217 ================ --------- (a) Portfolio securities are categorized based upon their country of incorporation. (b) Non-income producing security. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of March 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $274,048 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $210,316. ADR American Depositary Receipt --------------------------------------------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of March 31, 2012 is as follows (see Note A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS TOTAL LEVEL 1 LEVEL 2 LEVEL 3 --------------- --------------- --------------- --------------- Common Stocks*................................ $ 3,680,961 $ 3,680,961 $ -- $ -- =============== =============== =============== ===============
* See Portfolio of Investments for country breakout. INDUSTRY DIVERSIFICATION AS A PERCENTAGE OF NET ASSETS: Metals & Mining 8.2% Oil, Gas & Consumable Fuels 7.3 Real Estate Investment Trusts (REITs) 5.5 Food Products 5.3 Diversified Financial Services 4.9 Insurance 3.9 See Notes to Quarterly Portfolio of Investments FIRST TRUST EUROPE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) Chemicals 3.7 Automobiles 3.6 Food & Staples Retailing 3.5 Hotels, Restaurants & Leisure 3.2 Electric Utilities 2.7 Industrial Conglomerates 2.5 Aerospace & Defense 2.4 Textiles, Apparel & Luxury Goods 2.4 Semiconductors & Semiconductor Equipment 2.3 Media 2.3 Paper & Forest Products 2.2 Specialty Retail 2.0 Airlines 1.9 Machinery 1.8 Construction & Engineering 1.6 Auto Components 1.6 Pharmaceuticals 1.6 Independent Power Producers & Energy Traders 1.5 Electrical Equipment 1.3 Diversified Telecommunication Services 1.2 Construction Materials 1.2 Health Care Providers & Services 1.1 Commercial Services & Supplies 1.1 Marine 1.0 Energy Equipment & Services 1.0 Computers & Peripherals 1.0 Biotechnology 0.9 Health Care Equipment & Supplies 0.9 Tobacco 0.9 Commercial Banks 0.9 Trading Companies & Distributors 0.8 Real Estate Management & Development 0.8 Road & Rail 0.7 Transportation Infrastructure 0.7 Multiline Retail 0.7 Air Freight & Logistics 0.7 Household Durables 0.7 Gas Utilities 0.5 Beverages 0.5 Distributors 0.5 Multi-Utilities 0.5 Water Utilities 0.5 IT Services 0.4 Professional Services 0.4 Consumer Finance 0.3 Electronic Equipment, Instruments & Components 0.2 Internet Software & Services 0.2 Net Other Assets and Liabilities 0.5 --------- 100.0% ========= See Notes to Quarterly Portfolio of Investments FIRST TRUST EUROPE ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) CURRENCY EXPOSURE DIVERSIFICATION AS A PERCENTAGE OF TOTAL INVESTMENTS: Euro 59.1% British Pound Sterling 27.3 Swedish Krona 6.1 Norwegian Krone 3.0 Danish Krone 2.2 Swiss Franc 1.6 US Dollars 0.7 --------- 100.0% ========= See Notes to Quarterly Portfolio of Investments FIRST TRUST LATIN AMERICA ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS (a) - 99.2% BRAZIL - 75.0% 2,481 Amil Participacoes S.A. ..................... $ 25,823 6,489 BR Malls Participacoes S.A. ................. 84,567 5,023 Bradespar S.A. .............................. 95,923 18,940 Brasil Telecom S.A. ......................... 101,369 8,550 Braskem S.A. ................................ 67,681 6,456 BRF - Brasil Foods S.A. ..................... 127,320 13,582 CCR S.A. .................................... 109,968 732 Cia de Bebidas das Americas ................. 30,295 3,804 Cia de Saneamento Basico do Estado de Sao Paulo ................................ 145,162 6,984 Cia de Saneamento de Minas Gerais-Copasa MG . 162,869 2,997 Cia Energetica de Minas Gerais .............. 71,598 1,323 Cia Hering .................................. 34,172 3,678 Cia Paranaense de Energia ................... 86,135 991 Cielo S.A. .................................. 33,599 8,668 Cosan S.A. Industria e Comercio ............. 161,256 14,479 Duratex S.A. ................................ 91,294 9,033 EcoRodovias Infraestrutura e Logistica S.A. . 78,926 2,187 EDP - Energias do Brasil S.A. ............... 50,175 7,300 Eletropaulo Metropolitana Eletricidade de Sao Paulo S.A. ........................... 153,562 5,812 Fibria Celulose S.A. ........................ 47,758 3,112 Gerdau S.A. ................................. 29,766 31,965 Klabin S.A. ................................. 147,791 3,360 Light S.A. .................................. 47,765 2,926 Lojas Americanas S.A. ....................... 27,570 2,479 Metalurgica Gerdau S.A. ..................... 30,542 17,260 MRV Engenharia e Participacoes S.A. ......... 122,445 2,752 Obrascon Huarte Lain Brasil S.A. ............ 116,068 7,476 Odontoprev S.A. ............................. 126,958 10,878 Petroleo Brasileiro S.A. .................... 139,144 19,882 Suzano Papel e Celulose S.A. ................ 85,063 4,318 TAM S.A. .................................... 107,628 4,669 Tele Norte Leste Participacoes S.A. ......... 53,303 1,669 Telefonica Brasil S.A. ...................... 51,649 3,222 Telemar Norte Leste S.A. .................... 84,563 7,042 Ultrapar Participacoes S.A. ................. 154,307 3,949 Usinas Siderurgicas de Minas Gerais S.A. .... 25,981 4,237 Vale S.A. ................................... 96,232 ---------------- 3,206,227 ---------------- CHILE - 4.7% 42,613 Aguas Andinas S.A. .......................... 25,467 13,279 Empresas CMPC S.A. .......................... 56,910 5,860 ENTEL Chile S.A. ............................ 118,483 ---------------- 200,860 ---------------- COLOMBIA - 1.6% 22,380 Ecopetrol S.A. .............................. 68,008 ---------------- MEXICO - 17.9% 6,427 Alfa SAB de C.V. ............................ 92,528 See Notes to Quarterly Portfolio of Investments FIRST TRUST LATIN AMERICA ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS (a) - (CONTINUED) MEXICO - (CONTINUED) 7,557 Coca-Cola Femsa SAB de C.V. ................. $ 80,279 13,735 Fomento Economico Mexicano SAB de C.V. ...... 112,939 35,194 Grupo Bimbo SAB de C.V. ..................... 82,141 1,170 Grupo Elektra SA de C.V. .................... 109,375 9,418 Grupo Mexico SAB de C.V. .................... 29,740 7,800 Grupo Modelo SAB de C.V. .................... 54,687 3,027 Industrias Penoles SAB de C.V. .............. 146,893 14,689 Mexichem SAB de C.V. ........................ 56,603 ---------------- 765,185 ---------------- TOTAL INVESTMENTS - 99.2% ................... 4,240,280 (Cost $4,157,949) (b) NET OTHER ASSETS AND LIABILITIES - 0.8% ..... 34,217 ---------------- NET ASSETS - 100.0% ......................... $ 4,274,497 ================ --------- (a) Portfolio securities are categorized based upon their country of incorporation. (b) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of March 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $329,945 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $247,614. --------------------------------------------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of March 31, 2012 is as follows (see Note A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS TOTAL LEVEL 1 LEVEL 2 LEVEL 3 --------------- --------------- --------------- --------------- COMMON STOCKS*................................ $ 4,240,280 $ 4,240,280 $ -- $ -- =============== =============== =============== ===============
* See Portfolio of Investments for country breakout. See Notes to Quarterly Portfolio of Investments FIRST TRUST LATIN AMERICA ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) INDUSTRY DIVERSIFICATION AS A PERCENTAGE OF NET ASSETS: Metals & Mining 10.6% Electric Utilities 9.6 Food Products 8.7 Oil, Gas & Consumable Fuels 8.4 Water Utilities 7.8 Transportation Infrastructure 7.1 Diversified Telecommunication Services 6.8 Paper & Forest Products 6.6 Beverages 6.5 Health Care Providers & Services 3.6 Containers & Packaging 3.5 Specialty Retail 3.4 Chemicals 2.9 Household Durables 2.8 Wireless Telecommunication Services 2.8 Airlines 2.5 Industrial Conglomerates 2.2 Real Estate Management & Development 2.0 IT Services 0.8 Multiline Retail 0.6 Net Other Assets and Liabilities 0.8 --------- 100.0% ========= See Notes to Quarterly Portfolio of Investments FIRST TRUST BRAZIL ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS - 99.1% AEROSPACE & DEFENSE - 0.7% 7,359 Embraer S.A. ................................ $ 59,019 ---------------- AIRLINES - 2.2% 7,273 TAM S.A. .................................... 181,282 ---------------- BEVERAGES - 1.3% 2,572 Cia de Bebidas das Americas ................. 106,447 ---------------- CAPITAL MARKETS - 1.3% 6,423 CETIP S.A. - Balcao Organizado Ativos Derivativos .............................. 106,613 ---------------- CHEMICALS - 2.6% 27,045 Braskem S.A. ................................ 214,084 ---------------- COMMERCIAL BANKS - 4.1% 2,814 Banco Bradesco S.A. ......................... 49,160 3,652 Banco do Brasil S.A. ........................ 51,915 17,309 Banco do Estado do Rio Grande do Sul S.A. ... 186,796 2,546 Itau Unibanco Holding S.A. .................. 48,718 ---------------- 336,589 ---------------- CONTAINERS & PACKAGING - 2.5% 43,273 Klabin S.A. ................................. 200,073 ---------------- DIVERSIFIED FINANCIAL SERVICES - 0.7% 8,831 BM&FBovespa S.A. ............................ 54,376 ---------------- DIVERSIFIED TELECOMMUNICATION SERVICES - 9.1% 39,773 Brasil Telecom S.A. ......................... 212,869 19,714 Tele Norte Leste Participacoes S.A. ......... 225,062 3,335 Telefonica Brasil S.A. ...................... 103,204 7,731 Telemar Norte Leste S.A. .................... 202,905 ---------------- 744,040 ---------------- ELECTRIC UTILITIES - 10.9% 4,477 Cia de Transmissao de Energia Electrica Paulista ................................. 153,260 6,674 Cia Paranaense de Energia ................... 156,298 13,304 CPFL Energia SA ............................. 200,057 11,855 Eletropaulo Metropolitana Eletricidade de Sao Paulo S.A. ........................... 249,381 9,015 Light S.A. .................................. 128,154 ---------------- 887,150 ---------------- FOOD & STAPLES RETAILING - 4.6% 5,167 Cia Brasileira de Distribuicao .............. 246,256 13,345 Raia Drogasil S.A. .......................... 129,762 ---------------- 376,018 ---------------- FOOD PRODUCTS - 11.0% 11,882 BRF - Brasil Foods S.A. ..................... 234,327 16,027 Cosan S.A. Industria e Comercio ............. 298,160 42,703 JBS S.A. (a) ................................ 175,449 See Notes to Quarterly Portfolio of Investments FIRST TRUST BRAZIL ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS - (CONTINUED) FOOD PRODUCTS - (CONTINUED) 7,257 M Dias Branco S.A. .......................... $ 190,027 ---------------- 897,963 ---------------- HOUSEHOLD DURABLES - 4.0% 5,832 Cyrela Brazil Realty S.A. Empreendimentos e Participacoes ............................ 51,596 24,265 MRV Engenharia e Participacoes S.A. ......... 172,139 29,337 PDG Realty S.A. Empreendimentos e Participacoes ............................ 101,409 ---------------- 325,144 ---------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS - 3.0% 9,306 MPX Energia S.A. (a)......................... 241,234 ---------------- INSURANCE - 1.8% 8,126 Porto Seguro S.A. ........................... 89,564 5,731 Sul America S.A. ............................ 53,686 ---------------- 143,250 ---------------- IT SERVICES - 2.9% 5,387 Cielo S.A. .................................. 182,641 2,965 Redecard S.A. ............................... 57,580 ---------------- 240,221 ---------------- METALS & MINING - 11.4% 13,655 Bradespar S.A. .............................. 260,765 11,555 Cia Siderurgica Nacional S.A. ............... 109,002 11,937 Gerdau S.A. ................................. 114,174 14,497 Metalurgica Gerdau S.A. ..................... 178,607 8,527 Usinas Siderurgicas de Minas Gerais S.A. .... 56,101 9,153 Vale S.A. ................................... 207,885 ---------------- 926,534 ---------------- OIL, GAS & CONSUMABLE FUELS - 6.8% 20,136 Petroleo Brasileiro S.A. .................... 257,567 13,518 Ultrapar Participacoes S.A. ................. 296,212 ---------------- 553,779 ---------------- PAPER & FOREST PRODUCTS - 4.1% 29,107 Duratex S.A. ................................ 183,528 18,719 Fibria Celulose S.A. ........................ 153,817 ---------------- 337,345 ---------------- TEXTILES, APPAREL & LUXURY GOODS - 1.5% 13,959 Alpargatas S.A. ............................. 120,744 ---------------- TOBACCO - 1.4% 7,555 Souza Cruz S.A. ............................. 115,884 ---------------- TRANSPORTATION INFRASTRUCTURE - 0.7% 6,204 EcoRodovias Infraestrutura e Logistica S.A. 54,208 ---------------- WATER UTILITIES - 7.6% 8,317 Cia de Saneamento Basico do Estado de Sao Paulo ................................ 317,380 See Notes to Quarterly Portfolio of Investments FIRST TRUST BRAZIL ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS - (CONTINUED) WATER UTILITIES - (CONTINUED) 12,956 Cia de Saneamento de Minas Gerais-Copasa MG.. $ 302,138 ---------------- 619,518 ---------------- WIRELESS TELECOMMUNICATION SERVICES - 2.9% 37,465 Tim Participacoes S.A. ...................... 239,101 ---------------- TOTAL INVESTMENTS - 99.1% ................... 8,080,616 (Cost $8,109,721) (b) NET OTHER ASSETS AND LIABILITIES - 0.9% ..... 71,453 ---------------- NET ASSETS - 100.0% ......................... $ 8,152,069 ================ --------- (a) Non-income producing security. (b) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of March 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $636,693 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $665,798. --------------------------------------------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of March 31, 2012 is as follows (see Note A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS TOTAL LEVEL 1 LEVEL 2 LEVEL 3 --------------- --------------- --------------- --------------- Common Stocks*................................ $ 8,080,616 $ 8,080,616 $ -- $ -- =============== =============== =============== ===============
COUNTRY ALLOCATION AS A PERCENTAGE OF NET ASSETS**: Brazil 99.1% Net Other Assets and Liabilities 0.9 --------- 100.0% ========= * See Portfolio of Investments for industry breakout. ** Portfolio securities are categorized based on their country of incorporation. See Notes to Quarterly Portfolio of Investments FIRST TRUST CHINA ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS - 99.9% AEROSPACE & DEFENSE - 0.6% 45,999 AviChina Industry & Technology Co., Ltd. .... $ 21,028 ---------------- AIRLINES - 2.9% 53,999 Air China Ltd. .............................. 37,341 116,999 China Southern Airlines Co., Ltd. (a)........ 55,746 ---------------- 93,087 ---------------- AUTOMOBILES - 5.2% 35,999 Brilliance China Automotive Holdings Ltd. (a) 38,801 67,863 Great Wall Motor Co., Ltd. .................. 131,609 ---------------- 170,410 ---------------- CHEMICALS - 3.3% 297,392 Sinopec Shanghai Petrochemical Co., Ltd. .... 107,613 ---------------- COMMERCIAL BANKS - 3.2% 114,500 China Minsheng Banking Corp. Ltd. ........... 103,655 ---------------- COMMUNICATIONS EQUIPMENT - 1.0% 12,600 ZTE Corp. ................................... 33,830 ---------------- COMPUTERS & PERIPHERALS - 0.8% 30,000 Lenovo Group Ltd. ........................... 26,927 ---------------- CONSTRUCTION & ENGINEERING - 2.8% 51,000 China Communications Construction Co., Ltd. 50,964 63,500 China Railway Group Ltd. .................... 20,279 88,000 Metallurgical Corp of China Ltd. ............ 19,718 ---------------- 90,961 ---------------- CONSTRUCTION MATERIALS - 2.2% 30,000 BBMG Corp. .................................. 25,265 35,654 China National Building Material Co., Ltd. .. 44,949 ---------------- 70,214 ---------------- DIVERSIFIED TELECOMMUNICATION SERVICES - 0.5% 9,000 China Unicom Hong Kong Ltd. ................. 15,182 ---------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS - 3.6% 33,520 Kingboard Chemical Holdings Ltd. ............ 116,330 ---------------- FOOD PRODUCTS - 8.4% 76,999 China Foods Ltd. ............................ 74,168 61,000 China Yurun Food Group Ltd. ................. 86,564 162,000 CP Pokphand Co. ............................. 19,610 132,499 Uni-President China Holdings Ltd. ........... 92,819 ---------------- 273,161 ---------------- GAS UTILITIES - 2.5% 42,000 China Resources Gas Group Ltd. .............. 81,668 ---------------- HOUSEHOLD DURABLES - 3.1% 88,999 Haier Electronics Group Co., Ltd. (a)........ 100,625 ---------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST CHINA ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS - (CONTINUED) INDEPENDENT POWER PRODUCERS & ENERGY TRADERS - 6.8% 52,000 China Resources Power Holdings Co., Ltd. .... $ 96,158 180,142 Datang International Power Generation Co., Ltd. ..................................... 63,561 112,185 Huaneng Power International, Inc. ........... 61,109 ---------------- 220,828 ---------------- INDUSTRIAL CONGLOMERATES - 3.1% 21,706 Citic Pacific Ltd. .......................... 36,561 21,000 Shanghai Industrial Holdings Ltd. ........... 64,496 ---------------- 101,057 ---------------- INSURANCE - 0.5% 14,000 PICC Property & Casualty Co., Ltd. .......... 16,640 ---------------- INTERNET SOFTWARE & SERVICES - 1.6% 886 NetEase.com, ADR (a)......................... 51,477 ---------------- MACHINERY - 3.7% 113,000 Yangzijiang Shipbuilding Holdings Ltd. ...... 119,558 ---------------- MARINE - 3.5% 261,497 China Shipping Container Lines Co., Ltd. (a). 90,246 32,513 China Shipping Development Co., Ltd. ........ 22,525 ---------------- 112,771 ---------------- METALS & MINING - 5.9% 18,000 Jiangxi Copper Co., Ltd. .................... 41,398 124,000 Maanshan Iron & Steel ....................... 35,768 236,000 Minmetals Resources Ltd. (a)................. 112,750 ---------------- 189,916 ---------------- OIL, GAS & CONSUMABLE FUELS - 7.6% 94,803 China Petroleum & Chemical Corp. ............ 103,159 11,000 CNOOC Ltd. .................................. 22,608 354,000 United Energy Group Ltd. (a)................. 60,629 27,000 Yanzhou Coal Mining Co., Ltd. ............... 58,690 ---------------- 245,086 ---------------- REAL ESTATE MANAGEMENT & DEVELOPMENT - 20.1% 88,453 Agile Property Holdings Ltd. ................ 101,945 212,499 Country Garden Holdings Co. ................. 81,819 144,245 Evergrande Real Estate Group Ltd. ........... 77,086 125,800 Guangzhou R&F Properties Co., Ltd. .......... 153,250 867,708 Renhe Commercial Holdings Co., Ltd. ......... 60,339 93,007 Shimao Property Holdings Ltd. ............... 98,929 171,500 Sino-Ocean Land Holdings Ltd. ............... 80,388 ---------------- 653,756 ---------------- ROAD & RAIL - 1.3% 112,107 Guangshen Railway Co., Ltd. ................. 43,454 ---------------- SPECIALTY RETAIL - 2.5% 81,000 China ZhengTong Auto Services Holdings Ltd. (a).................................. 80,316 ---------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST CHINA ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS - (CONTINUED) TRANSPORTATION INFRASTRUCTURE - 3.2% 68,000 COSCO Pacific Ltd. .......................... $ 102,277 ---------------- TOTAL INVESTMENTS - 99.9% ................... 3,241,827 (Cost $3,213,857) (b) NET OTHER ASSETS AND LIABILITIES - 0.1% ..... 4,793 ---------------- NET ASSETS - 100.0% ......................... $ 3,246,620 ================ --------- (a) Non-income producing security. (b) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of March 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $246,290 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $218,320. ADR American Depositary Receipt --------------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of March 31, 2012 is as follows (see Note A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS TOTAL LEVEL 1 LEVEL 2 LEVEL 3 --------------- --------------- --------------- --------------- Common Stocks*................................ $ 3,241,827 $ 3,241,827 $ -- $ -- =============== =============== =============== ===============
COUNTRY ALLOCATION AS A PERCENTAGE OF NET ASSETS**: China 41.3% Cayman Islands 23.5 Bermuda 17.4 Hong Kong 14.0 Singapore 3.7 Net Other Assets and Liabilities 0.1 --------- 100.0% ========= * See Portfolio of Investments for industry breakout. ** Portfolio securities are categorized based on their country of incorporation. See Notes to Quarterly Portfolio of Investments FIRST TRUST JAPAN ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS - 98.8% AIR FREIGHT & LOGISTICS - 0.6% 1,500 Yamato Holdings Co., Ltd. ................... $ 23,179 ---------------- AUTO COMPONENTS - 4.0% 1,100 Bridgestone Corp. ........................... 26,660 3,000 NGK Spark Plug Co., Ltd. .................... 42,805 2,100 Sumitomo Rubber Industries Ltd. ............. 27,883 1,600 Toyoda Gosei Co., Ltd. ...................... 31,142 900 Toyota Industries Corp. ..................... 27,140 ---------------- 155,630 ---------------- AUTOMOBILES - 1.6% 6,000 Fuji Heavy Industries Ltd. .................. 48,206 1,400 Nissan Motor Co., Ltd. ...................... 14,901 ---------------- 63,107 ---------------- BEVERAGES - 0.3% 600 Asahi Group Holdings Ltd. ................... 13,287 ---------------- BUILDING PRODUCTS - 0.9% 4,000 Asahi Glass Co., Ltd. ....................... 33,925 ---------------- CHEMICALS - 12.3% 3,000 Air Water, Inc. ............................. 38,710 8,000 Asahi Kasei Corp. ........................... 49,390 6,000 Daicel Chemical Industries Ltd. ............. 38,637 7,000 Mitsubishi Chemical Holdings Corp. .......... 37,381 11,000 Mitsubishi Gas Chemical Co., Inc. ........... 73,493 17,000 Mitsui Chemicals, Inc. ...................... 51,552 6,000 Nippon Shokubai Co., Ltd. ................... 69,518 12,000 Showa Denko KK .............................. 27,256 16,000 Teijin Ltd. ................................. 53,739 5,000 Toray Industries, Inc. ...................... 37,091 1,000 Zeon Corp. .................................. 9,267 ---------------- 486,034 ---------------- COMMERCIAL BANKS - 2.2% 5,900 Mitsubishi UFJ Financial Group, Inc. ........ 29,368 36,000 Shinsei Bank Ltd. ........................... 46,973 1,000 Shizuoka Bank (The) Ltd. .................... 10,294 ---------------- 86,635 ---------------- DIVERSIFIED CONSUMER SERVICES - 0.6% 500 Benesse Holdings, Inc. ...................... 24,918 ---------------- DIVERSIFIED FINANCIAL SERVICES - 1.4% 320 Mitsubishi UFJ Lease & Finance Co., Ltd. .... 14,073 450 ORIX Corp. .................................. 42,950 ---------------- 57,023 ---------------- DIVERSIFIED TELECOMMUNICATION SERVICES - 1.4% 1,200 Nippon Telegraph & Telephone Corp. .......... 54,440 ---------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST JAPAN ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS - (CONTINUED) ELECTRIC UTILITIES - 2.6% 1,800 Hokkaido Electric Power Co., Inc. ........... $ 26,422 1,600 Kansai Electric Power Co., Inc. ............. 24,782 1,800 Shikoku Electric Power Co., Inc. ............ 50,736 ---------------- 101,940 ---------------- ELECTRICAL EQUIPMENT - 1.2% 3,500 Sumitomo Electric Industries Ltd. ........... 47,910 ---------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS - 4.9% 2,100 FUJIFILM Holdings Corp. ..................... 49,246 1,900 Ibiden Co., Ltd. ............................ 48,596 300 Kyocera Corp. ............................... 27,474 6,000 Nippon Electric Glass Co., Ltd. ............. 52,120 300 TDK Corp. ................................... 16,999 ---------------- 194,435 ---------------- FOOD & STAPLES RETAILING - 3.2% 3,700 Aeon Co., Ltd. .............................. 48,636 900 FamilyMart Co., Ltd. ........................ 38,057 600 Lawson, Inc. ................................ 37,768 ---------------- 124,461 ---------------- FOOD PRODUCTS - 2.6% 1,000 Ajinomoto Co., Inc. ......................... 12,541 4,400 Kewpie Corp. ................................ 64,801 2,000 Nippon Meat Packers, Inc. ................... 25,396 ---------------- 102,738 ---------------- GAS UTILITIES - 1.9% 3,000 Osaka Gas Co., Ltd. ......................... 12,033 8,000 Toho Gas Co., Ltd. .......................... 47,167 3,000 Tokyo Gas Co., Ltd. ......................... 14,136 ---------------- 73,336 ---------------- HEALTH CARE PROVIDERS & SERVICES - 5.6% 1,500 Alfresa Holdings Corp. ...................... 71,312 6,000 Medipal Holdings Corp. ...................... 77,709 2,300 Suzuken Co., Ltd. ........................... 70,915 ---------------- 219,936 ---------------- HOUSEHOLD DURABLES - 0.4% 2,000 Sekisui Chemical Co., Ltd. .................. 17,349 ---------------- HOUSEHOLD PRODUCTS - 1.1% 800 Unicharm Corp. .............................. 42,238 ---------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS - 0.3% 500 Electric Power Development Co., Ltd. ........ 13,556 ---------------- INDUSTRIAL CONGLOMERATES - 0.6% 5,000 Keihan Electric Railway Co., Ltd. ........... 23,801 ---------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST JAPAN ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS - (CONTINUED) INTERNET & CATALOG RETAIL - 1.3% 2,700 Start Today Co., Ltd. ....................... $ 49,746 ---------------- INTERNET SOFTWARE & SERVICES - 1.2% 1,800 Gree, Inc. .................................. 45,429 ---------------- IT SERVICES - 2.1% 1,100 Itochu Techno-Solutions Corp. ............... 49,239 400 Otsuka Corp. ................................ 32,524 ---------------- 81,763 ---------------- LEISURE EQUIPMENT & PRODUCTS - 2.1% 4,400 Namco Bandai Holdings, Inc. ................. 63,472 900 Universal Entertainment Corp. ............... 20,181 ---------------- 83,653 ---------------- MACHINERY - 1.9% 4,000 Hino Motors Ltd. ............................ 28,899 2,600 JTEKT Corp. ................................. 31,130 1,000 NGK Insulators Ltd. ......................... 14,268 ---------------- 74,297 ---------------- MEDIA - 3.3% 12 CyberAgent, Inc. ............................ 31,316 650 Hakuhodo DY Holdings, Inc. .................. 40,836 3,900 Tokyo Broadcasting System Holdings, Inc. .... 58,144 ---------------- 130,296 ---------------- METALS & MINING - 6.0% 6,000 Daido Steel Co., Ltd. ....................... 41,537 700 JFE Holdings, Inc. .......................... 15,037 33,000 Kobe Steel Ltd. ............................. 53,425 5,000 Mitsubishi Materials Corp. .................. 15,827 15,000 Nippon Steel Corp. .......................... 41,138 5,000 Sumitomo Metal Mining Co., Ltd. ............. 70,255 ---------------- 237,219 ---------------- OFFICE ELECTRONICS - 0.3% 1,500 Konica Minolta Holdings, Inc. ............... 13,103 ---------------- OIL, GAS & CONSUMABLE FUELS - 8.9% 23,000 Cosmo Oil Co., Ltd. ......................... 63,912 600 Idemitsu Kosan Co., Ltd. .................... 59,804 1,600 Japan Petroleum Exploration Co. ............. 74,520 10,300 JX Holdings, Inc. ........................... 63,838 9,300 Showa Shell Sekiyu K.K. ..................... 59,326 3,000 TonenGeneral Sekiyu K.K. .................... 27,619 ---------------- 349,019 ---------------- PAPER & FOREST PRODUCTS - 0.2% 2,000 Oji Paper Co., Ltd. ......................... 9,665 ---------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST JAPAN ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS - (CONTINUED) PHARMACEUTICALS - 1.8% 4,400 Dainippon Sumitomo Pharma Co., Ltd. ......... $ 46,621 2,000 Kyowa Hakko Kirin Co., Ltd. ................. 22,230 ---------------- 68,851 ---------------- REAL ESTATE INVESTMENT TRUSTS (REITS) - 1.3% 44 United Urban Investment Corp. ............... 50,236 ---------------- REAL ESTATE MANAGEMENT & DEVELOPMENT - 0.7% 300 Daito Trust Construction Co., Ltd ........... 26,930 ---------------- ROAD & RAIL - 2.9% 2,000 Keisei Electric Railway Co., Ltd. ........... 15,465 13,000 Kintetsu Corp. .............................. 49,474 1,200 West Japan Railway Co. ...................... 48,206 ---------------- 113,145 ---------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 1.6% 7,000 Dainippon Screen Manufacturing Co., Ltd. .... 63,006 ---------------- SPECIALTY RETAIL - 3.0% 1,600 K's Holdings Corp. .......................... 51,574 200 Sanrio Co., Ltd. ............................ 7,805 140 USS Co., Ltd. ............................... 14,191 730 Yamada Denki Co., Ltd. ...................... 45,598 ---------------- 119,168 ---------------- TRADING COMPANIES & DISTRIBUTORS - 8.1% 5,000 ITOCHU Corp. ................................ 54,549 6,000 Marubeni Corp. .............................. 43,277 2,500 Mitsubishi Corp. ............................ 57,992 3,200 Mitsui & Co., Ltd. .......................... 52,463 3,700 Sumitomo Corp. .............................. 53,464 2,900 Toyota Tsusho Corp. ......................... 59,037 ---------------- 320,782 ---------------- TRANSPORTATION INFRASTRUCTURE - 0.2% 1,000 Kamigumi Co., Ltd. .......................... 8,276 ---------------- WIRELESS TELECOMMUNICATION SERVICES - 2.2% 10 KDDI Corp. .................................. 64,758 14 NTT DoCoMo, Inc. ............................ 23,240 ---------------- 87,998 ---------------- TOTAL INVESTMENTS - 98.8% ................... 3,892,460 (Cost $3,851,329) (a) NET OTHER ASSETS AND LIABILITIES - 1.2% ..... 48,836 ---------------- NET ASSETS - 100.0% ......................... $ 3,941,296 ================ See Notes to Quarterly Portfolio of Investments FIRST TRUST JAPAN ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) (a) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of March 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $238,266 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $197,135. VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of March 31, 2012 is as follows (see Note A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS TOTAL LEVEL 1 LEVEL 2 LEVEL 3 --------------- --------------- --------------- --------------- Common Stocks*................................ $ 3,892,460 $ 3,892,460 $ -- $ -- =============== =============== =============== ===============
COUNTRY ALLOCATION AS A PERCENTAGE OF NET ASSETS**: Japan 98.8% Net Other Assets and Liabilities 1.2 --------- 100.0% ========= * See Portfolio of Investments for industry breakout. ** Portfolio securities are categorized based on their country of incorporation. See Notes to Quarterly Portfolio of Investments FIRST TRUST SOUTH KOREA ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS - 99.2% AIR FREIGHT & LOGISTICS - 3.3% 230 Hyundai Glovis Co., Ltd. .................... $ 41,410 ---------------- AIRLINES - 0.7% 199 Korean Air Lines Co., Ltd. .................. 8,782 ---------------- AUTO COMPONENTS - 3.8% 584 Hankook Tire Co., Ltd. ...................... 21,622 171 Mando Corp. ................................. 25,128 ---------------- 46,750 ---------------- AUTOMOBILES - 4.8% 166 Hyundai Motor Co. ........................... 34,136 397 Kia Motors Corp. ............................ 25,963 ---------------- 60,099 ---------------- BUILDING PRODUCTS - 2.2% 93 KCC Corp. ................................... 26,758 ---------------- CHEMICALS - 4.6% 363 Hanwha Chem Corp. ........................... 8,602 800 Hanwha Corp. ................................ 22,982 59 Honam Petrochemical Corp. ................... 17,522 39 OCI Co., Ltd. ............................... 7,934 ---------------- 57,040 ---------------- COMMERCIAL BANKS - 2.2% 710 Industrial Bank of Korea .................... 8,616 2,402 Korea Exchange Bank ......................... 18,359 ---------------- 26,975 ---------------- CONSTRUCTION & ENGINEERING - 4.8% 840 Daewoo Engineering & Construction Co., Ltd. (a).................................. 7,562 271 Doosan Heavy Industries & Construction Co., Ltd. ..................................... 15,260 125 Hyundai Engineering & Construction Co., Ltd. 8,914 381 KEPCO Engineering & Construction Co., Inc. .. 27,472 ---------------- 59,208 ---------------- CONSUMER FINANCE - 3.2% 1,135 Samsung Card Co. ............................ 39,518 ---------------- DIVERSIFIED TELECOMMUNICATION SERVICES - 5.5% 2,390 KT Corp., ADR ............................... 32,719 5,956 LG Uplus Corp. .............................. 35,745 ---------------- 68,464 ---------------- ELECTRIC UTILITIES - 1.6% 1,036 Korea Electric Power Corp. (a)............... 20,481 ---------------- ELECTRICAL EQUIPMENT - 1.3% 232 LS Corp. .................................... 16,381 ---------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS - 2.7% 1,440 LG Display Co., Ltd. ........................ 33,679 ---------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST SOUTH KOREA ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS - (CONTINUED) FOOD PRODUCTS - 6.3% 91 CJ CheilJedang Corp. ........................ $ 26,985 16 Lotte Confectionery Co., Ltd. ............... 23,427 39 Orion Corp./Republic of South Korea ......... 27,399 ---------------- 77,811 ---------------- GAS UTILITIES - 3.2% 1,054 Korea Gas Corp. ............................. 40,140 ---------------- HOUSEHOLD DURABLES - 1.4% 237 LG Electronics, Inc. ........................ 17,319 ---------------- INDUSTRIAL CONGLOMERATES - 8.4% 308 Doosan Corp. ................................ 41,047 431 LG Corp. .................................... 24,725 292 SK Holdings Co., Ltd. ....................... 38,013 ---------------- 103,785 ---------------- INSURANCE - 9.1% 653 Dongbu Insurance Co., Ltd. .................. 28,211 1,280 Hyundai Marine & Fire Insurance Co., Ltd. ... 36,828 4,770 Korea Life Insurance Co., Ltd. .............. 31,532 84 Samsung Fire & Marine Insurance Co., Ltd. ... 15,865 ---------------- 112,436 ---------------- IT SERVICES - 1.2% 151 SK C&C Co., Ltd. ............................ 14,926 ---------------- MACHINERY - 5.6% 730 Daewoo Shipbuilding & Marine Engineering Co., Ltd. ..................................... 19,522 137 Hyundai Heavy Industries Co., Ltd. .......... 38,873 320 Samsung Heavy Industries Co., Ltd. .......... 10,662 ---------------- 69,057 ---------------- METALS & MINING - 3.9% 184 Hyundai Steel Co. ........................... 16,564 93 POSCO ....................................... 31,190 ---------------- 47,754 ---------------- MULTILINE RETAIL - 3.7% 26 Lotte Shopping Co, Ltd. ..................... 8,146 180 Shinsegae Co., Ltd. ......................... 37,969 ---------------- 46,115 ---------------- OIL, GAS & CONSUMABLE FUELS - 3.2% 696 GS Holdings ................................. 39,866 ---------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 6.5% 2,012 Hynix Semiconductor, Inc. ................... 51,940 25 Samsung Electronics Co., Ltd. ............... 28,132 ---------------- 80,072 ---------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST SOUTH KOREA ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS - (CONTINUED) TOBACCO - 0.6% 108 KT&G Corp. .................................. $ 7,664 ---------------- TRADING COMPANIES & DISTRIBUTORS - 2.3% 610 Daewoo International Corp. .................. 19,327 130 Samsung C&T Corp. ........................... 9,110 ---------------- 28,437 ---------------- WIRELESS TELECOMMUNICATION SERVICES - 3.1% 2,725 SK Telecom Co., Ltd., ADR ................... 37,905 ---------------- TOTAL INVESTMENTS - 99.2% ................... 1,228,832 (Cost $1,319,801) (b) NET OTHER ASSETS AND LIABILITIES - 0.8% ..... 10,296 ---------------- NET ASSETS - 100.0% ......................... $ 1,239,128 ================ --------- (a) Non-income producing security. (b) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of March 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $52,683 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $143,652. ADR American Depositary Receipt VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of March 31, 2012 is as follows (see Note A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS TOTAL LEVEL 1 LEVEL 2 LEVEL 3 --------------- --------------- --------------- --------------- Common Stocks*................................ $ 1,228,832 $ 1,228,832 $ -- $ -- =============== =============== =============== ===============
COUNTRY ALLOCATION AS A PERCENTAGE OF NET ASSETS**: South Korea 99.2% Net Other Assets and Liabilities 0.8 --------- 100.0% ========= * See Portfolio of Investments for industry breakout. ** Portfolio securities are categorized based on their country of incorporation. See Notes to Quarterly Portfolio of Investments FIRST TRUST DEVELOPED MARKETS EX-US ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS (a) - 99.4% AUSTRALIA - 1.5% 21,679 Amcor Ltd. .................................. $ 167,074 18,617 Caltex Australia Ltd. ....................... 267,861 31,888 GPT Group ................................... 103,057 35,506 Qantas Airways Ltd. (b)...................... 65,650 5,275 Ramsay Health Care Ltd. ..................... 106,824 ---------------- 710,466 ---------------- AUSTRIA - 1.0% 3,225 OMV AG ...................................... 114,626 7,947 Strabag SE .................................. 242,132 3,297 Voestalpine AG .............................. 110,876 ---------------- 467,634 ---------------- BELGIUM - 0.9% 1,657 Delhaize Group S.A. ......................... 87,182 4,818 Elia System Operator S.A. N.V. .............. 204,018 2,073 KBC Groep N.V. .............................. 52,005 3,525 NV Bekaert S.A. ............................. 113,560 ---------------- 456,765 ---------------- BERMUDA - 4.1% 25,678 Cheung Kong Infrastructure Holdings Ltd. .... 155,909 11,700 Dairy Farm International Holdings Ltd. ...... 122,148 109,716 First Pacific Co., Ltd. ..................... 121,506 10,427 Guoco Group Ltd. ............................ 90,902 54,926 Hongkong Land Holdings Ltd. ................. 319,120 4,218 Jardine Matheson Holdings Ltd. .............. 210,900 9,530 Jardine Strategic Holdings Ltd. ............. 290,760 61,381 Kerry Properties Ltd. ....................... 275,859 60,206 Orient Overseas International Ltd. .......... 428,351 ---------------- 2,015,455 ---------------- CANADA - 9.6% 8,685 Alimentation Couche Tard, Inc. .............. 285,161 3,735 AltaGas Ltd. ................................ 115,894 4,124 Atco, Ltd. .................................. 289,170 5,299 Boardwalk Real Estate Investment Trust ...... 303,346 14,099 Brookfield Office Properties, Inc. .......... 245,243 4,193 Dollarama, Inc. ............................. 195,557 2,649 Empire Co., Ltd. ............................ 152,973 7,627 Enbridge, Inc. .............................. 296,225 1,337 Franco-Nevada Corp. ......................... 57,491 2,510 Genworth MI Canada, Inc. .................... 55,688 2,441 IAMGOLD Corp. ............................... 32,499 4,606 Inmet Mining Corp. .......................... 260,443 3,549 Intact Financial Corp. ...................... 213,591 16,841 Jean Coutu Group PJC (The), Inc. ............ 238,065 91,356 Katanga Mining Ltd. (b)...................... 96,169 4,516 Keyera Corp. ................................ 186,263 55,943 Lundin Mining Corp. (b)...................... 250,705 See Notes to Quarterly Portfolio of Investments FIRST TRUST DEVELOPED MARKETS EX-US ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS (a) - (CONTINUED) CANADA - (CONTINUED) 2,926 Magna International, Inc. ................... $ 139,516 9,331 Nexen, Inc. ................................. 171,100 3,961 Pembina Pipeline Corp. ...................... 111,906 3,251 Penn West Petroleum Ltd. .................... 63,524 2,464 Petrominerales Ltd. ......................... 45,824 11,956 Research In Motion Ltd. (b).................. 175,363 539 Sino-Forest Corp. (b)........................ 731 2,075 Tim Hortons, Inc. ........................... 111,005 1,887 Trilogy Energy Corp. ........................ 49,869 19,813 Viterra, Inc. ............................... 316,031 14,195 Yamana Gold, Inc. ........................... 221,439 ---------------- 4,680,791 ---------------- CAYMAN ISLANDS - 0.5% 45,712 ENN Energy Holdings Ltd. .................... 157,759 365,531 GCL-Poly Energy Holdings Ltd. ............... 101,673 ---------------- 259,432 ---------------- DENMARK - 0.5% 33 AP Moller - Maersk A.S. ..................... 254,797 ---------------- FINLAND - 1.7% 22,349 Neste Oil Oyj ............................... 275,266 41,288 Stora Enso Oyj .............................. 306,717 17,140 UPM-Kymmene Oyj ............................. 233,397 ---------------- 815,380 ---------------- FRANCE - 6.0% 3,318 Arkema S.A. ................................. 309,190 666 Bollore ..................................... 138,566 1,611 Cie Generale des Etablissements Michelin .... 119,956 1,729 Ciments Francais S.A. ....................... 123,715 346 Eramet ...................................... 48,915 805 Euler Hermes S.A. ........................... 63,237 691 Fonciere Des Regions ........................ 55,507 2,766 Gecina S.A. ................................. 288,997 484 Hermes International ........................ 163,088 3,109 Icade ....................................... 277,358 7,777 Peugeot S.A. ................................ 125,244 7,281 Renault S.A. ................................ 383,814 2,187 Total S.A. .................................. 111,539 275 Unibail-Rodamco SE .......................... 54,997 7,096 Vivendi S.A. ................................ 130,224 3,066 Wendel S.A. ................................. 261,908 2,510 Zodiac Aerospace ............................ 261,346 ---------------- 2,917,601 ---------------- GERMANY - 2.7% 3,825 Aurubis AG .................................. 201,939 14,975 Deutsche Lufthansa AG ....................... 209,608 See Notes to Quarterly Portfolio of Investments FIRST TRUST DEVELOPED MARKETS EX-US ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS (a) - (CONTINUED) GERMANY - (CONTINUED) 6,496 Infineon Technologies AG .................... $ 66,416 993 Lanxess AG .................................. 82,084 622 MAN SE ...................................... 82,815 2,741 SGL Carbon SE (b)............................ 125,554 922 SMA Solar Technology AG ..................... 41,784 3,388 Suedzucker AG ............................... 107,881 1,567 Volkswagen AG ............................... 252,670 1,614 Wacker Chemie AG ............................ 142,308 ---------------- 1,313,059 ---------------- GREECE - 0.4% 12,328 Hellenic Petroleum S.A. ..................... 95,363 18,133 Public Power Corp. S.A. ..................... 81,016 ---------------- 176,379 ---------------- HONG KONG - 9.1% 120,384 Cathay Pacific Airways Ltd. ................. 222,613 633,485 Champion Real Estate Investment Trust ....... 268,386 22,856 Cheung Kong Holdings Ltd. ................... 295,209 15,992 CLP Holdings Ltd. ........................... 137,771 386,103 Fosun International Ltd. .................... 228,712 42,973 Henderson Land Development Co., Ltd. ........ 236,017 85,112 Hopewell Holdings Ltd. ...................... 233,452 33,002 Hutchison Whampoa Ltd. ...................... 329,572 81,839 Hysan Development Co., Ltd. ................. 325,647 77,045 Link REIT ................................... 286,728 277,703 New World Development Ltd. .................. 333,649 437,345 Shougang Fushan Resources Group Ltd. ........ 148,118 165,609 Sino Land Co., Ltd. ......................... 264,444 21,544 Sun Hung Kai Properties Ltd. ................ 267,720 27,428 Swire Pacific Ltd. .......................... 307,461 49,561 Wharf Holdings Ltd. ......................... 269,327 82,668 Wheelock & Co., Ltd. ........................ 248,572 ---------------- 4,403,398 ---------------- IRELAND - 0.5% 3,800 Paddy Power PLC ............................. 239,314 ---------------- ITALY - 1.6% 6,612 Davide Campari-Milano S.p.A ................. 45,018 192,893 Edison S.p.A (b)............................. 220,730 10,920 Enel S.p.A .................................. 39,498 5,484 ENI S.p.A ................................... 128,653 4,887 Exor S.p.A .................................. 123,382 26,586 Fiat S.p.A .................................. 156,298 13,891 Finmeccanica S.p.A .......................... 75,217 ---------------- 788,796 ---------------- JAPAN - 24.3% 11,400 Aeon Co., Ltd. .............................. 149,851 See Notes to Quarterly Portfolio of Investments FIRST TRUST DEVELOPED MARKETS EX-US ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS (a) - (CONTINUED) JAPAN - (CONTINUED) 4,000 Ajinomoto Co., Inc. ......................... $ 50,163 1,200 Alfresa Holdings Corp ....................... 57,050 8,000 Asahi Kasei Corp. ........................... 49,390 2,300 Bridgestone Corp. ........................... 55,742 9,800 Century Tokyo Leasing Corp. ................. 197,847 2,400 Coca-Cola West Co., Ltd. .................... 42,073 62,000 Cosmo Oil Co., Ltd. ......................... 172,285 18,000 Daicel Chemical Industries Ltd. ............. 115,912 17,000 Daido Steel Co., Ltd. ....................... 117,688 5,000 Daihatsu Motor Co., Ltd. .................... 91,579 18,300 Dainippon Sumitomo Pharma Co., Ltd. ......... 193,900 2,700 Daito Trust Construction Co., Ltd ........... 242,370 15,000 Daiwa House Industry Co., Ltd. .............. 198,260 1,100 Dena Co., Ltd. .............................. 30,474 7,600 Dentsu, Inc. ................................ 242,039 1,600 Don Quijote Co., Ltd. ....................... 58,089 6,500 Exedy Corp. ................................. 185,254 25,000 Fuji Heavy Industries Ltd. .................. 200,858 4,500 FUJIFILM Holdings Corp. ..................... 105,527 7,900 Gree, Inc. .................................. 199,385 3,430 Hakuhodo DY Holdings, Inc. .................. 215,489 32,000 Hino Motors Ltd. ............................ 231,195 13,200 Hitachi Transport System Ltd. ............... 240,014 5,000 House Foods Corp. ........................... 85,478 2,300 Ibiden Co., Ltd. ............................ 58,827 1,700 Idemitsu Kosan Co., Ltd. .................... 169,445 4,500 Itochu Techno-Solutions Corp. ............... 201,432 10 Japan Tobacco, Inc. ......................... 56,301 2,000 JGC Corp. ................................... 61,979 8,700 JS Group Corp. .............................. 182,157 9,100 JX Holdings, Inc. ........................... 56,401 6,400 K's Holdings Corp. .......................... 206,297 46,000 Kajima Corp. ................................ 140,051 3,400 Kakaku.com, Inc. ............................ 89,056 5,500 Kansai Electric Power Co., Inc. ............. 85,188 21 KDDI Corp. .................................. 135,991 13,700 Kewpie Corp. ................................ 201,768 28,000 Kobe Steel Ltd. ............................. 45,330 1,700 Konami Corp. ................................ 48,184 29 M3, Inc. .................................... 105,111 1,000 Meiji Holdings Co., Ltd. .................... 43,675 2,300 Miraca Holdings, Inc. ....................... 89,755 22,500 Mitsubishi Chemical Holdings Corp. .......... 120,152 147,000 Mitsubishi Motors Corp. (b).................. 166,945 6,900 Mitsui & Co Ltd. ............................ 113,124 28,000 Mitsui Chemicals, Inc. ...................... 84,910 18,300 Namco Bandai Holdings, Inc. ................. 263,987 6,300 Nikon Corp. ................................. 191,200 22,000 Nippon Electric Glass Co., Ltd. ............. 191,108 See Notes to Quarterly Portfolio of Investments FIRST TRUST DEVELOPED MARKETS EX-US ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS (a) - (CONTINUED) JAPAN - (CONTINUED) 23,000 Nippon Express Co., Ltd. .................... $ 89,755 3,900 Nippon Paper Group, Inc. .................... 81,185 8,000 Nippon Shokubai Co., Ltd. ................... 92,691 3,000 Nippon Telegraph & Telephone Corp. .......... 136,100 450 Nitori Holdings Co., Ltd. ................... 40,667 20,000 Obayashi Corp. .............................. 87,230 37,000 Oji Paper Co., Ltd. ......................... 178,809 670 ORIX Corp. .................................. 63,948 35,000 Osaka Gas Co., Ltd. ......................... 140,389 700 Otsuka Corp. ................................ 56,917 7,800 Park24 Co., Ltd. ............................ 105,074 90 Rakuten, Inc. ............................... 94,273 25,000 Rengo Co., Ltd. ............................. 173,070 1,200 Rinnai Corp. ................................ 86,408 18,000 Sekisui Chemical Co., Ltd. .................. 156,143 500 Shimamura Co., Ltd. ......................... 55,938 23,000 Showa Denko KK .............................. 52,241 13,800 Showa Shell Sekiyu K.K. ..................... 88,032 9,100 Start Today Co., Ltd. ....................... 167,663 4,000 Sumitomo Corp. .............................. 57,799 11,000 Sumitomo Metal Mining Co., Ltd. ............. 154,561 19,000 Sumitomo Rubber Industries Ltd. ............. 252,277 6,300 Sundrug Co., Ltd. ........................... 194,853 52,000 Taisei Corp. ................................ 135,701 2,700 TDK Corp. ................................... 152,990 38,000 Toho Gas Co., Ltd. .......................... 224,042 4,500 Tokyo Broadcasting System Holdings, Inc. .... 67,090 14,000 Tokyu Land Corp. ............................ 68,503 18,000 TonenGeneral Sekiyu K.K. .................... 165,712 17,000 TOTO Ltd. ................................... 127,957 4,000 Toyo Suisan Kaisha Ltd. ..................... 103,854 5,500 Toyota Tsusho Corp. ......................... 111,967 73,000 Ube Industries Ltd./Japan ................... 198,441 1,000 Unicharm Corp. .............................. 52,797 139 United Urban Investment Corp. ............... 158,699 1,100 West Japan Railway Co. ...................... 44,189 1,380 Yamada Denki Co., Ltd. ...................... 86,198 13,700 Yamato Holdings Co., Ltd. ................... 211,699 13,000 Yamazaki Baking Co., Ltd. ................... 186,275 20,700 Yokogawa Electric Corp. ..................... 209,326 33,000 Yokohama Rubber (The) Co., Ltd. ............. 237,622 ---------------- 11,785,371 ---------------- JERSEY - 0.2% 505 Randgold Resources Ltd. ..................... 43,376 1,546 Shire PLC ................................... 49,951 ---------------- 93,327 ---------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST DEVELOPED MARKETS EX-US ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS (a) - (CONTINUED) LUXEMBOURG - 0.5% 2,997 ArcelorMittal ............................... $ 57,279 7,005 Ternium S.A., ADR ........................... 165,878 ---------------- 223,157 ---------------- MAURITIUS - 0.7% 527,208 Golden Agri-Resources Ltd. .................. 329,230 ---------------- NETHERLANDS - 1.2% 5,136 European Aeronautic Defence and Space Co. N.V. ..................................... 210,326 3,041 Gemalto NV .................................. 200,721 3,316 Koninklijke DSM NV .......................... 191,872 ---------------- 602,919 ---------------- NEW ZEALAND - 0.7% 160,728 Telecom Corp. of New Zealand Ltd. ........... 319,140 ---------------- NORWAY - 0.9% 5,069 Fred Olsen Energy ASA ....................... 198,763 31,658 Norsk Hydro ASA ............................. 172,389 2,256 Statoil ASA ................................. 61,246 ---------------- 432,398 ---------------- PORTUGAL - 1.1% 68,684 Brisa Auto-Estradas de Portugal S.A. ........ 244,582 6,174 Jeronimo Martins SGPS S.A. (b)............... 125,778 26,380 Portugal Telecom SGPS S.A. .................. 143,512 ---------------- 513,872 ---------------- SINGAPORE - 3.0% 320,938 CapitaCommercial Trust ...................... 311,479 6,000 Jardine Cycle & Carriage Ltd. ............... 230,492 98,630 Keppel Land Ltd. ............................ 272,261 231,286 Neptune Orient Lines Ltd. ................... 260,348 114,498 Suntec Real Estate Investment Trust ......... 113,856 76,294 UOL Group Ltd. .............................. 287,684 ---------------- 1,476,120 ---------------- SOUTH KOREA - 12.5% 2,602 Celltrion, Inc. ............................. 84,854 15,440 Cheil Worldwide, Inc. ....................... 246,647 989 CJ CheilJedang Corp. ........................ 293,283 2,928 CJ Corp. .................................... 220,172 5,552 Dongbu Insurance Co., Ltd. .................. 239,857 3,440 Green Cross Holdings Corp. .................. 39,469 9,430 Halla Climate Control Corp. ................. 183,515 1,388 Hankook Tire Co., Ltd. ...................... 51,389 8,060 Hynix Semiconductor, Inc. ................... 208,071 1,636 Hyundai Glovis Co., Ltd. .................... 294,554 620 Hyundai Heavy Industries Co., Ltd. .......... 175,923 6,216 Hyundai Hysco ............................... 219,992 5,966 Hyundai Marine & Fire Insurance Co., Ltd. ... 171,653 See Notes to Quarterly Portfolio of Investments FIRST TRUST DEVELOPED MARKETS EX-US ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS (a) - (CONTINUED) SOUTH KOREA - (CONTINUED) 163 Hyundai Mobis ............................... $ 41,216 1,361 Hyundai Motor Co. ........................... 279,876 646 Hyundai Steel Co. ........................... 58,155 761 KCC Corp. ................................... 218,954 4,010 Kia Motors Corp. ............................ 262,249 1,850 Korea Gas Corp. ............................. 70,454 4,840 KT Corp. .................................... 134,344 2,855 LG Corp. .................................... 163,784 11,732 LG Display Co., Ltd. ........................ 274,390 853 LG Electronics, Inc. ........................ 62,335 543 LG Household & Health Care Ltd. ............. 285,146 44,920 LG Uplus Corp. .............................. 269,587 1,196 Mando Corp. ................................. 175,750 229 Orion Corp/Republic of South Korea .......... 160,879 622 POSCO ....................................... 208,605 5,508 Samsung Card Co. ............................ 191,775 207 Samsung Electronics Co., Ltd. ............... 232,933 486 Samsung Engineering Co., Ltd. ............... 103,801 4,607 Seah Besteel Corp. .......................... 193,339 1,983 SK C&C Co., Ltd. ............................ 196,016 5,290 SK Networks Co., Ltd. ....................... 48,789 ---------------- 6,061,756 ---------------- SPAIN - 2.1% 5,759 Corp. Financiera Alba ....................... 250,470 5,689 Ebro Foods S.A. ............................. 110,435 4,168 Endesa S.A. ................................. 83,049 8,435 Ferrovial S.A. .............................. 96,950 8,640 Grifols S.A. (b)............................. 184,371 40,804 International Consolidated Airlines Group S.A. (b).................................. 116,761 7,305 Repsol YPF S.A. ............................. 183,260 ---------------- 1,025,296 ---------------- SWEDEN - 3.6% 18,732 Boliden AB .................................. 294,183 5,002 Hufvudstaden AB ............................. 52,887 23,153 Industrivarden AB ........................... 344,016 13,801 Investor AB ................................. 306,026 13,131 Kinnevik Investment AB ...................... 305,459 6,936 Lundbergforetagen AB ........................ 238,511 8,592 Lundin Petroleum AB (b)...................... 184,157 ---------------- 1,725,239 ---------------- UNITED KINGDOM - 8.5% 4,214 Anglo American PLC .......................... 157,521 5,623 Associated British Foods PLC ................ 109,727 5,252 Berkeley Group Holdings PLC (b).............. 110,888 24,122 BP PLC ...................................... 178,466 26,427 British Land Co., PLC ....................... 202,854 See Notes to Quarterly Portfolio of Investments FIRST TRUST DEVELOPED MARKETS EX-US ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS (a) - (CONTINUED) UNITED KINGDOM - (CONTINUED) 14,424 Cookson Group PLC ........................... $ 159,422 8,733 Derwent London PLC .......................... 243,749 19,536 Drax Group PLC .............................. 170,144 3,940 Fresnillo PLC ............................... 100,706 24,770 Hammerson PLC ............................... 164,659 7,234 Imperial Tobacco Group PLC .................. 293,319 11,361 J Sainsbury PLC ............................. 56,569 24,492 Land Securities Group PLC ................... 283,039 39,514 Logica PLC .................................. 62,950 6,590 Mondi PLC ................................... 62,137 3,708 Next PLC .................................... 176,920 5,229 Rightmove PLC ............................... 121,442 2,165 Rio Tinto PLC ............................... 119,332 1,566 Royal Dutch Shell PLC ....................... 54,693 12,142 Scottish and Southern Energy plc ............ 258,107 42,831 Sports Direct International PLC (b).......... 197,989 30,226 St. James's Place PLC ....................... 170,711 40,990 Stagecoach Group PLC ........................ 167,384 4,632 Unilever PLC ................................ 152,919 27,624 William Hill PLC ............................ 115,499 10,758 WM Morrison Supermarkets PLC ................ 51,278 11,542 Xstrata PLC ................................. 197,168 ---------------- 4,139,592 ---------------- TOTAL INVESTMENTS - 99.4% ................... 48,226,684 (Cost $47,460,692) (c) NET OTHER ASSETS AND LIABILITIES - 0.6% ..... 296,982 ---------------- NET ASSETS - 100.0% ......................... $ 48,523,666 ================ ---------- (a) Portfolio securities are categorized based upon their country of incorporation. (b) Non-income producing security. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of March 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $2,154,726 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $1,388,734. ADR American Depositary Receipt See Notes to Quarterly Portfolio of Investments FIRST TRUST DEVELOPED MARKETS EX-US ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of March 31, 2012 is as follows (see Note A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS TOTAL LEVEL 1 LEVEL 2 LEVEL 3 --------------- --------------- --------------- --------------- Common Stocks: Canada.................................... $ 4,680,791 $ 4,680,060 $ 731 $ -- Other Country Categories*................. 43,545,893 43,545,893 -- -- --------------- --------------- --------------- --------------- TOTAL COMMON STOCKS........................... $ 48,226,684 $ 48,225,953 $ 731 $ -- =============== =============== =============== ===============
* See the Portfolio of Investments for the country breakout. Country categories are only shown separately if they include holdings in two or more levels or have holdings in only Level 3. INDUSTRY DIVERSIFICATION AS A PERCENTAGE OF NET ASSETS: Real Estate Management & Development 9.3% Metals & Mining 8.2 Oil, Gas & Consumable Fuels 6.9 Real Estate Investment Trusts (REITs) 6.4 Food Products 4.6 Diversified Financial Services 4.2 Automobiles 4.0 Industrial Conglomerates 3.9 Food & Staples Retailing 3.0 Auto Components 3.0 Chemicals 3.0 Diversified Telecommunication Services 2.3 Electric Utilities 2.1 Electronic Equipment, Instruments & Components 2.0 Marine 1.9 Media 1.8 Construction & Engineering 1.8 Paper & Forest Products 1.8 Insurance 1.8 Semiconductors & Semiconductor Equipment 1.3 Air Freight & Logistics 1.3 Airlines 1.3 Gas Utilities 1.2 Specialty Retail 1.2 Aerospace & Defense 1.1 Road & Rail 1.1 Building Products 1.1 IT Services 1.1 Machinery 1.0 Hotels, Restaurants & Leisure 1.0 Leisure Equipment & Products 0.9 Multiline Retail 0.9 Household Durables 0.9 Independent Power Producers & Energy Traders 0.8 Pharmaceuticals 0.8 Tobacco 0.7 Containers & Packaging 0.7 Household Products 0.7 Trading Companies & Distributors 0.7 Internet Software & Services 0.7 Multi-Utilities 0.6 Internet & Catalog Retail 0.5 Health Care Providers & Services 0.5 Transportation Infrastructure 0.5 Electrical Equipment 0.5 Distributors 0.5 Computers & Peripherals 0.4 Energy Equipment & Services 0.4 Consumer Finance 0.4 Biotechnology 0.4 Communications Equipment 0.4 Textiles, Apparel & Luxury Goods 0.3 Wireless Telecommunication Services 0.3 Construction Materials 0.3 Health Care Technology 0.2 Commercial Services & Supplies 0.2 Beverages 0.2 Thrifts & Mortgage Finance 0.1 Commercial Banks 0.1 Software 0.1 Net Other Assets and Liabilities 0.6 --------- 100.0% ========= CURRENCY EXPOSURE DIVERSIFICATION AS A PERCENTAGE OF TOTAL INVESTMENTS: Japanese Yen 24.4% Euro 19.2 South Korea Won 12.6 Hong Kong Dollar 11.9 Canadian Dollar 9.7 British Pound Sterling 9.0 Singapore Dollar 3.7 Swedish Krona 3.6 US Dollars 2.3 Australian Dollar 1.5 Norwegian Krone 0.9 New Zealand Dollar 0.7 Danish Krone 0.5 --------- 100.0% ========= See Notes to Quarterly Portfolio of Investments FIRST TRUST EMERGING MARKETS ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS (a) - 99.7% BERMUDA - 3.2% 885,000 China Foods Ltd. ............................ $ 852,457 103,864 China Resources Gas Group Ltd. .............. 201,962 657,959 China Yurun Food Group Ltd. ................. 933,702 44,635 VimpelCom Ltd., ADR ......................... 498,127 ---------------- 2,486,248 ---------------- BRAZIL - 15.1% 15,707 Amil Participacoes S.A. ..................... 163,485 13,674 BR Malls Participacoes S.A. ................. 178,205 15,890 Bradespar S.A. .............................. 303,446 119,707 Brasil Telecom S.A. ......................... 640,684 36,009 Braskem S.A. ................................ 285,042 40,803 BRF - Brasil Foods S.A. ..................... 804,683 42,904 CCR S.A. .................................... 347,378 18,048 Cia de Saneamento Basico do Estado de Sao Paulo ................................ 688,720 43,318 Cia de Saneamento de Minas Gerais-Copasa MG . 1,010,188 7,739 Cia Paranaense de Energia ................... 181,239 53,757 Cosan S.A. Industria e Comercio ............. 1,000,075 38,047 EcoRodovias Infraestrutura e Logistica S.A. . 332,438 36,905 Eletropaulo Metropolitana Eletricidade de Sao Paulo S.A. ........................... 776,330 18,371 Fibria Celulose S.A. ........................ 150,957 151,548 Klabin S.A. ................................. 700,685 27,253 MRV Engenharia e Participacoes S.A. ......... 193,337 8,696 Obrascon Huarte Lain Brasil S.A. ............ 366,762 28,332 Odontoprev S.A. ............................. 481,137 55,014 Petroleo Brasileiro S.A. .................... 703,704 94,257 Suzano Papel e Celulose S.A. ................ 403,269 9,112 TAM S.A. .................................... 227,120 14,754 Tele Norte Leste Participacoes S.A. ......... 168,437 13,573 Telemar Norte Leste S.A. .................... 356,231 44,519 Ultrapar Participacoes S.A. ................. 975,518 13,393 Vale S.A. ................................... 304,185 ---------------- 11,743,255 ---------------- CAYMAN ISLANDS - 6.2% 860,458 Agile Property Holdings Ltd. ................ 991,701 90,000 China Mengniu Dairy Co., Ltd. ............... 262,506 202,020 China Shanshui Cement Group Ltd. ............ 159,471 507,480 Country Garden Holdings Co. ................. 195,397 1,807,860 Evergrande Real Estate Group Ltd. ........... 966,141 208,260 Kingboard Chemical Holdings Ltd. ............ 722,757 6,561,780 Renhe Commercial Holdings Co., Ltd. ......... 456,292 743,825 Shimao Property Holdings Ltd. ............... 791,186 442,020 Soho China Ltd. ............................. 320,463 ---------------- 4,865,914 ---------------- CHILE - 0.6% 22,213 ENTEL Chile S.A. ............................ 449,124 ---------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST EMERGING MARKETS ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS (a) - (CONTINUED) CHINA - 9.1% 405,000 Air China Ltd. .............................. $ 280,064 450,000 China Eastern Airlines Corp. Ltd. (b)........ 147,768 714,420 China Petroleum & Chemical Corp. ............ 777,388 697,500 China Railway Group Ltd. .................... 222,753 3,648,418 China Shipping Container Lines Co., Ltd. (b). 1,259,120 901,440 China Southern Airlines Co., Ltd. (b)........ 429,503 225,000 China Telecom Corp., Ltd. ................... 124,299 243,784 Great Wall Motor Co., Ltd. .................. 472,779 1,400,702 Guangshen Railway Co., Ltd. ................. 542,925 758,164 Guangzhou R&F Properties Co., Ltd. .......... 923,596 397,800 Jiangxi Copper Co., Ltd. .................... 914,901 1,567,982 Sinopec Shanghai Petrochemical Co., Ltd. .... 567,382 188,340 Yanzhou Coal Mining Co., Ltd. ............... 409,395 ---------------- 7,071,873 ---------------- COLOMBIA - 0.3% 70,150 Ecopetrol S.A. .............................. 213,171 ---------------- EGYPT - 2.5% 2,155,740 Orascom Telecom Holding SAE (b).............. 1,413,366 228,304 Telecom Egypt ............................... 531,071 ---------------- 1,944,437 ---------------- HONG KONG - 7.1% 522,960 China Everbright Ltd. ....................... 790,614 155,700 China Merchants Holdings International Co., Ltd. ..................................... 520,300 342,398 China Unicom Hong Kong Ltd. ................. 577,604 299,760 Citic Pacific Ltd. .......................... 504,904 169,080 CNOOC Ltd. .................................. 347,498 684,240 Guangdong Investment Ltd. ................... 474,044 1,045,918 Lenovo Group Ltd. ........................... 938,768 1,860,000 Minmetals Resources Ltd. (b)................. 888,617 150,000 Shanghai Industrial Holdings Ltd. ........... 460,689 ---------------- 5,503,038 ---------------- HUNGARY - 0.9% 63,363 Magyar Telekom Telecommunications PLC ....... 165,872 6,240 MOL Hungarian Oil and Gas PLC (b)............ 520,011 ---------------- 685,883 ---------------- INDONESIA - 2.0% 667,500 Bank Negara Indonesia Persero Tbk PT ........ 291,995 56,224 Bayan Resources Tbk PT ...................... 110,062 1,552,500 Charoen Pokphand Indonesia Tbk PT ........... 466,904 56,224 PT Astra International Tbk .................. 454,699 56,224 United Tractors Tbk PT ...................... 202,908 ---------------- 1,526,568 ---------------- JERSEY - 0.6% 652,448 United Co., RUSAL PLC (b).................... 499,909 ---------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST EMERGING MARKETS ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS (a) - (CONTINUED) MALAYSIA - 1.5% 83,800 Hong Leong Financial Group Bhd .............. $ 336,458 20,100 Kuala Lumpur Kepong Bhd ..................... 161,404 113,900 Petronas Dagangan Bhd ....................... 704,183 ---------------- 1,202,045 ---------------- MEXICO - 3.3% 27,121 Alfa SAB de C.V. ............................ 390,456 31,915 Coca-Cola Femsa SAB de C.V. ................. 339,037 21,723 Fomento Economico Mexicano SAB de C.V. ...... 178,622 5,576 Grupo Elektra SA de C.V. .................... 521,260 19,143 Industrias Penoles SAB de C.V. .............. 928,960 46,500 Mexichem SAB de C.V. ........................ 179,185 ---------------- 2,537,520 ---------------- MOROCCO - 0.7% 23,575 Banque Centrale Populaire ................... 560,110 ---------------- PHILIPPINES - 2.7% 2,022,500 Petron Corp. ................................ 481,424 845,500 Philex Mining Corp. ......................... 416,498 212,430 San Miguel Corp. ............................ 562,555 448,810 Universal Robina Corp. ...................... 658,554 ---------------- 2,119,031 ---------------- POLAND - 3.2% 28,977 Enea S.A. ................................... 158,930 17,816 KGHM Polska Miedz S.A. ...................... 820,121 47,996 PGE S.A. .................................... 297,828 51,120 Polski Koncern Naftowy Orlen S.A. (b)........ 614,200 230,283 Polskie Gornictwo Naftowe i Gazownictwo S.A. 299,276 182,880 Tauron Polska Energia S.A. .................. 298,853 ---------------- 2,489,208 ---------------- RUSSIA - 7.3% 146,281 Gazprom OAO ................................. 903,237 4,130,704 IDGC Holding JSC (b)......................... 463,548 271,792,902 Inter Rao Ues OAO ........................... 285,926 13,921 Lukoil OAO .................................. 846,237 14,832,975 Moscow Integrated Electricity Distribution Co. ...................................... 819,388 7,033,446 Mosenergo OAO ............................... 444,197 12,596 NovaTek OAO ................................. 166,823 122,941 Rostelecom OJSC (b).......................... 606,567 168,599 Tatneft ..................................... 1,127,855 ---------------- 5,663,778 ---------------- SINGAPORE - 0.8% 604,000 Yangzijiang Shipbuilding Holdings Ltd ....... 639,052 ---------------- SOUTH AFRICA - 12.4% 22,855 Bidvest Group Ltd. .......................... 535,548 23,755 Capitec Bank Holdings Ltd. .................. 634,829 See Notes to Quarterly Portfolio of Investments FIRST TRUST EMERGING MARKETS ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS (a) - (CONTINUED) SOUTH AFRICA - (CONTINUED) 57,542 Discovery Holdings Ltd. ..................... $ 377,837 9,121 Gold Fields Ltd. ............................ 124,848 71,217 Liberty Holdings Ltd. ....................... 840,195 118,076 Life Healthcare Group Holdings Ltd. ......... 384,813 67,799 Mediclinic International Ltd. ............... 331,438 50,815 Mr. Price Group Ltd. ........................ 624,936 142,385 Redefine Properties Ltd. (b)................. 148,121 51,423 Remgro Ltd. ................................. 893,920 224,342 RMB Holdings Ltd. ........................... 914,506 210,597 Sanlam Ltd. ................................. 910,912 16,502 Santam Ltd. ................................. 346,346 40,142 Shoprite Holdings Ltd. ...................... 718,485 35,515 Spar Group (The) Ltd. ....................... 535,896 35,578 Telkom SA Ltd. .............................. 111,312 12,601 Vodacom Group Ltd. .......................... 177,656 162,775 Woolworths Holdings Ltd. .................... 1,021,720 ---------------- 9,633,318 ---------------- TAIWAN - 8.1% 650,929 Advanced Semiconductor Engineering, Inc. .... 655,020 18,541 Asustek Computer, Inc. ...................... 174,954 96,059 Catcher Technology Co., Ltd. ................ 678,592 65,270 Cheng Shin Rubber Industry Co., Ltd. ........ 156,792 520,203 China Petrochemical Development Corp. ....... 587,805 334,434 E Ink Holdings, Inc. ........................ 437,383 131,026 Hotai Motor Co., Ltd. ....................... 1,056,572 125,088 President Chain Store Corp. ................. 695,063 141,284 Quanta Computer, Inc. ....................... 370,030 431,634 Uni-President Enterprises Corp. ............. 597,410 1,855,521 United Microelectronics Corp. ............... 908,444 ---------------- 6,318,065 ---------------- THAILAND - 6.9% 102,200 Advanced Info Service PCL ................... 609,556 17,150 Banpu PCL ................................... 337,997 187,200 Big C Supercenter PCL ....................... 995,164 368,200 CP ALL PCL .................................. 781,754 148,100 Indorama Ventures PCL ....................... 181,224 2,513,900 IRPC PCL .................................... 381,363 89,655 PTT Global Chemical PCL (b).................. 206,337 34,500 PTT PCL ..................................... 395,883 348,700 Thai Oil PCL ................................ 819,473 21,000 Total Access Communication PCL .............. 55,819 215,600 Total Access Communication PCL - Foreign .... 573,070 ---------------- 5,337,640 ---------------- TURKEY - 5.2% 15,358 Bim Birlesik Magazalar A.S. ................. 581,645 41,644 Coca-Cola Icecek A.S. ....................... 531,561 See Notes to Quarterly Portfolio of Investments FIRST TRUST EMERGING MARKETS ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS (a) - (CONTINUED) TURKEY - (CONTINUED) 60,596 Ford Otomotiv Sanayi A.S. ................... $ 571,179 152,336 KOC Holding A.S. ............................ 618,814 35,585 Koza Altin Isletmeleri A.S. ................. 674,843 20,522 Tupras Turkiye Petrol Rafinerileri A.S. ..... 523,902 296,096 Turkiye Sise ve Cam Fabrikalari A.S. ........ 563,186 ---------------- 4,065,130 ---------------- TOTAL INVESTMENTS (C) - 99.7% ............... 77,554,317 (Cost $74,528,957) NET OTHER ASSETS AND LIABILITIES - 0.3% ..... 206,115 ---------------- NET ASSETS - 100.0% ......................... $ 77,760,432 ================ ---------- (a) Portfolio securities are categorized based upon their country of incorporation. (b) Non-income producing security. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of March 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $4,931,651 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $1,906,291. ADR American Depositary Receipt --------------------------------------------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of March 31, 2012 is as follows (see Note A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS TOTAL LEVEL 1 LEVEL 2 LEVEL 3 --------------- --------------- --------------- --------------- Common Stocks*................................ $ 77,554,317 $ 77,554,317 $ -- $ -- =============== =============== =============== ===============
* See Portfolio of Investments for country breakout. INDUSTRY DIVERSIFICATION AS A PERCENTAGE OF NET ASSETS: Oil, Gas & Consumable Fuels 15.0% Metals & Mining 7.5 Food Products 7.4 Real Estate Management & Development 6.4 Food & Staples Retailing 5.5 Wireless Telecommunication Services 4.9 Electric Utilities 4.8 Diversified Telecommunication Services 4.2 Diversified Financial Services 3.3 Industrial Conglomerates 3.2 Insurance 3.2 Specialty Retail 2.8 Water Utilities 2.8 Computers & Peripherals 2.8 Chemicals 2.6 Commercial Banks 2.3 Beverages 2.1 Transportation Infrastructure 2.0 Semiconductors & Semiconductor Equipment 2.0 Automobiles 1.9 Health Care Providers & Services 1.8 Marine 1.6 Electronic Equipment, Instruments & Components 1.5 Airlines 1.4 Multiline Retail 1.3 Machinery 1.1 Household Durables 1.0 Containers & Packaging 0.9 Paper & Forest Products 0.7 Road & Rail 0.7 Construction & Engineering 0.3 Gas Utilities 0.3 Construction Materials 0.2 Auto Components 0.2 Net Other Assets and Liabilities 0.3 --------- 100.0% ========= See Notes to Quarterly Portfolio of Investments FIRST TRUST GERMANY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS - 99.9% AIR FREIGHT & LOGISTICS - 3.4% 5,525 Deutsche Post AG ............................ $ 106,367 ---------------- AIRLINES - 4.0% 8,932 Deutsche Lufthansa AG ....................... 125,023 ---------------- AUTO COMPONENTS - 3.1% 1,023 Continental AG (a)........................... 96,557 ---------------- AUTOMOBILES - 11.4% 1,268 Bayerische Motoren Werke AG ................. 114,033 1,935 Daimler AG .................................. 116,674 792 Volkswagen AG ............................... 127,705 ---------------- 358,412 ---------------- CAPITAL MARKETS - 2.6% 1,672 Deutsche Bank AG ............................ 83,188 ---------------- CHEMICALS - 13.9% 609 BASF SE ..................................... 53,274 470 K+S AG ...................................... 24,588 2,051 Lanxess AG .................................. 169,541 285 Linde AG .................................... 51,143 796 Symrise AG .................................. 23,037 1,320 Wacker Chemie AG ............................ 116,386 ---------------- 437,969 ---------------- COMMERCIAL BANKS - 4.5% 12,592 Commerzbank AG (a)........................... 31,858 2,719 Deutsche Postbank AG (a)..................... 109,153 ---------------- 141,011 ---------------- CONSTRUCTION & ENGINEERING - 2.2% 747 Bilfinger Berger SE ......................... 70,168 ---------------- CONSTRUCTION MATERIALS - 2.9% 1,501 HeidelbergCement AG ......................... 90,855 ---------------- DIVERSIFIED TELECOMMUNICATION SERVICES - 1.4% 3,702 Deutsche Telekom AG ......................... 44,570 ---------------- ELECTRIC UTILITIES - 1.5% 1,969 E.On AG ..................................... 47,164 ---------------- FOOD & STAPLES RETAILING - 0.7% 582 Metro AG .................................... 22,502 ---------------- FOOD PRODUCTS - 3.4% 3,328 Suedzucker AG ............................... 105,970 ---------------- HEALTH CARE PROVIDERS & SERVICES - 5.1% 1,341 Celesio AG .................................. 24,270 938 Fresenius Medical Care AG & Co. KGaA ........ 66,479 459 Fresenius SE & Co. KGaA ..................... 47,069 See Notes to Quarterly Portfolio of Investments FIRST TRUST GERMANY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS - (CONTINUED) HEALTH CARE PROVIDERS & SERVICES - (CONTINUED) 1,115 Rhoen Klinikum AG ........................... $ 22,388 ---------------- 160,206 ---------------- INSURANCE - 3.2% 1,712 Hannover Rueckversicherung AG ............... 101,698 ---------------- INTERNET SOFTWARE & SERVICES - 2.1% 3,567 United Internet AG .......................... 67,221 ---------------- MACHINERY - 8.2% 3,755 GEA Group AG (a)............................. 129,508 955 MAN SE ...................................... 127,152 ---------------- 256,660 ---------------- MEDIA - 2.4% 1,482 Axel Springer AG ............................ 74,852 ---------------- METALS & MINING - 4.8% 1,991 Aurubis AG .................................. 105,114 849 Salzgitter AG ............................... 46,532 ---------------- 151,646 ---------------- MULTI-UTILITIES - 2.8% 1,813 RWE AG ...................................... 86,576 ---------------- PHARMACEUTICALS - 3.8% 1,065 Merck KGaA .................................. 117,864 ---------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 3.7% 11,285 Infineon Technologies AG .................... 115,379 ---------------- SOFTWARE - 1.8% 803 SAP AG ...................................... 56,075 ---------------- TEXTILES, APPAREL & LUXURY GOODS - 2.5% 653 Adidas AG ................................... 50,983 73 Puma SE ..................................... 26,073 ---------------- 77,056 ---------------- TRADING COMPANIES & DISTRIBUTORS - 3.6% 912 Brenntag AG ................................. 111,684 ---------------- TRANSPORTATION INFRASTRUCTURE - 0.9% 432 Fraport AG Frankfurt Airport Services Worldwide ................................ 27,051 ---------------- TOTAL INVESTMENTS - 99.9% ................... 3,133,724 (Cost $2,998,123) (b) NET OTHER ASSETS AND LIABILITIES - 0.1% ..... 4,701 ---------------- NET ASSETS - 100.0% ......................... $ 3,138,425 ================ ---------- (a) Non-income producing security. See Notes to Quarterly Portfolio of Investments FIRST TRUST GERMANY ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) (b) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of March 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $186,787 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $51,186. --------------------------------------------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of March 31, 2012 is as follows (see Note A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS TOTAL LEVEL 1 LEVEL 2 LEVEL 3 --------------- --------------- --------------- --------------- Common Stocks*................................ $ 3,133,724 $ 3,133,724 $ -- $ -- =============== =============== =============== ===============
COUNTRY ALLOCATION AS A PERCENTAGE OF NET ASSETS**: Germany 99.9% Net Other Assets and Liabilities 0.1 --------- 100.0% ========= * See Portfolio of Investments for industry breakout. ** Portfolio securities are categorized based on their country of incorporation. See Notes to Quarterly Portfolio of Investments FIRST TRUST CANADA ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS - 99.9% AUTO COMPONENTS - 4.6% 2,914 Magna International, Inc. ................... $ 138,944 ---------------- CHEMICALS - 1.0% 362 Agrium, Inc. ................................ 31,244 ---------------- COMMUNICATIONS EQUIPMENT - 4.0% 8,368 Research In Motion Ltd. (a).................. 122,737 ---------------- DIVERSIFIED TELECOMMUNICATION SERVICES - 0.8% 430 TELUS Corp. ................................. 24,952 ---------------- ENERGY EQUIPMENT & SERVICES - 0.8% 1,524 Ensign Energy Services, Inc. ................ 22,781 ---------------- FOOD & STAPLES RETAILING - 9.3% 3,126 Alimentation Couche Tard, Inc. .............. 102,638 5,828 Jean Coutu Group PJC (The), Inc. ............ 82,385 1,835 Metro, Inc. ................................. 97,853 ---------------- 282,876 ---------------- FOOD PRODUCTS - 4.9% 9,225 Viterra, Inc. ............................... 147,145 ---------------- INSURANCE - 0.8% 57 Fairfax Financial Holdings Ltd. ............. 23,006 ---------------- MEDIA - 0.8% 482 Cogeco Cable, Inc. .......................... 25,293 ---------------- METALS & MINING - 15.7% 6,049 AuRico Gold, Inc. (a)........................ 53,913 378 Inmet Mining Corp. .......................... 21,374 84,685 Katanga Mining Ltd. (a)...................... 89,147 25,603 Lundin Mining Corp. (a)...................... 114,738 4,447 Pan American Silver Corp .................... 98,129 2,069 Teck Resources Ltd. ......................... 73,865 1,649 Yamana Gold, Inc. ........................... 25,724 ---------------- 476,890 ---------------- MULTILINE RETAIL - 4.3% 2,783 Dollarama, Inc. ............................. 129,796 ---------------- OIL, GAS & CONSUMABLE FUELS - 39.1% 3,890 AltaGas Ltd. ................................ 120,703 870 Baytex Energy Corp. ......................... 45,172 3,252 Enbridge, Inc. .............................. 126,305 2,875 Enerplus Corp. .............................. 64,392 3,027 Husky Energy, Inc. .......................... 77,022 1,637 Imperial Oil Ltd. ........................... 74,379 2,477 Keyera Corp. ................................ 102,164 3,056 Nexen, Inc. ................................. 56,037 3,968 Pacific Rubiales Energy Corp. ............... 115,923 3,341 Pembina Pipeline Corp. ...................... 94,390 See Notes to Quarterly Portfolio of Investments FIRST TRUST CANADA ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS - (CONTINUED) OIL, GAS & CONSUMABLE FUELS - (CONTINUED) 2,454 Penn West Petroleum Ltd. .................... $ 47,951 3,861 PetroBakken Energy Ltd. ..................... 64,295 7,544 Provident Energy Ltd. ....................... 91,062 1,686 Suncor Energy, Inc. ......................... 55,087 1,978 Trilogy Energy Corp. ........................ 52,273 ---------------- 1,187,155 ---------------- PHARMACEUTICALS - 1.8% 1,039 Valeant Pharmaceuticals International, Inc. (a) ................................. 55,718 ---------------- REAL ESTATE INVESTMENT TRUSTS (REITS) - 4.6% 2,455 Boardwalk Real Estate Investment Trust ...... 140,539 ---------------- REAL ESTATE MANAGEMENT & DEVELOPMENT - 4.4% 7,755 Brookfield Office Properties, Inc. .......... 134,893 ---------------- ROAD & RAIL - 1.8% 718 Canadian Pacific Railway Ltd. ............... 54,499 ---------------- TEXTILES, APPAREL & LUXURY GOODS - 1.2% 1,293 Gildan Activewear, Inc. ..................... 35,584 ---------------- TOTAL INVESTMENTS - 99.9% ................... 3,034,052 (Cost $2,984,719) (b) NET OTHER ASSETS AND LIABILITIES - 0.1% ..... 2,645 ---------------- NET ASSETS - 100.0% ......................... $ 3,036,697 ================ ---------- (a) Non-income producing security. (b) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of March 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $145,576 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $96,243. --------------------------------------------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of March 31, 2012 is as follows (see Note A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS TOTAL LEVEL 1 LEVEL 2 LEVEL 3 --------------- --------------- --------------- --------------- Common Stocks*................................ $ 3,034,052 $ 3,034,052 $ -- $ -- =============== =============== =============== ===============
See Notes to Quarterly Portfolio of Investments FIRST TRUST CANADA ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) COUNTRY ALLOCATION AS A PERCENTAGE OF NET ASSETS**: Canada 99.9% Net Other Assets and Liabilities 0.1 --------- 100.0% ========= * See Portfolio of Investments for industry breakout. ** Portfolio securities are categorized based on their country of incorporation. See Notes to Quarterly Portfolio of Investments FIRST TRUST AUSTRALIA ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS - 100.0% AIR FREIGHT & LOGISTICS - 3.2% 15,896 Toll Holdings Ltd. .......................... $ 96,655 ---------------- AIRLINES - 3.8% 61,262 Qantas Airways Ltd. (a)...................... 113,273 ---------------- CHEMICALS - 0.8% 7,190 Incitec Pivot Ltd. .......................... 23,460 ---------------- COMMERCIAL BANKS - 3.2% 1,362 Commonwealth Bank of Australia .............. 70,682 958 National Australia Bank Ltd. ................ 24,412 ---------------- 95,094 ---------------- COMMERCIAL SERVICES & SUPPLIES - 4.1% 6,246 Brambles Ltd. ............................... 45,936 6,098 Mineral Resources Ltd. ...................... 76,431 ---------------- 122,367 ---------------- CONSTRUCTION MATERIALS - 5.2% 18,634 Boral Ltd. .................................. 77,787 9,836 James Hardie Industries SE .................. 78,249 ---------------- 156,036 ---------------- CONTAINERS & PACKAGING - 4.0% 15,506 Amcor Ltd. .................................. 119,500 ---------------- DIVERSIFIED FINANCIAL SERVICES - 3.1% 6,468 Washington H Soul Pattinson & Co., Ltd. ..... 92,257 ---------------- DIVERSIFIED TELECOMMUNICATION SERVICES - 3.0% 26,860 Telstra Corp Ltd. ........................... 91,537 ---------------- ELECTRIC UTILITIES - 1.8% 47,576 SP AusNet ................................... 52,978 ---------------- FOOD & STAPLES RETAILING - 2.4% 11,070 Metcash Ltd. ................................ 49,308 890 Woolworths Ltd. ............................. 23,951 ---------------- 73,259 ---------------- GAS UTILITIES - 2.6% 14,940 APA Group ................................... 78,925 ---------------- HEALTH CARE PROVIDERS & SERVICES - 3.1% 4,640 Ramsay Health Care Ltd. ..................... 93,964 ---------------- HOTELS, RESTAURANTS & LEISURE - 6.7% 18,686 Echo Entertainment Group Ltd. ............... 84,973 45,820 Tatts Group Ltd. ............................ 117,707 ---------------- 202,680 ---------------- INSURANCE - 3.9% 13,342 Suncorp Group Ltd. .......................... 116,091 ---------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST AUSTRALIA ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS - (CONTINUED) METALS & MINING - 14.8% 8,282 Atlas Iron Ltd. (a).......................... $ 24,707 1,948 BHP Billiton Ltd ............................ 69,838 5,770 Iluka Resources Ltd. ........................ 106,328 8,936 OZ Minerals Ltd. ............................ 90,342 1,484 Rio Tinto Ltd. .............................. 100,533 3,536 Sims Metal Management Ltd. .................. 53,806 ---------------- 445,554 ---------------- MULTI-UTILITIES - 0.8% 1,560 AGL Energy Ltd. ............................. 23,835 ---------------- OIL, GAS & CONSUMABLE FUELS - 6.9% 9,498 Caltex Australia Ltd. ....................... 136,657 8,086 New Hope Corp Ltd. .......................... 44,309 1,826 Santos Ltd. ................................. 26,934 ---------------- 207,900 ---------------- PROFESSIONAL SERVICES - 5.3% 2,282 Campbell Brothers Ltd. ...................... 158,919 ---------------- REAL ESTATE INVESTMENT TRUSTS (REITS) - 17.4% 53,082 CFS Retail Property Trust ................... 98,423 134,702 Dexus Property Group ........................ 121,392 36,418 GPT Group ................................... 117,698 37,900 Mirvac Group ................................ 45,933 7,010 Stockland ................................... 21,348 44,900 Westfield Retail Trust ...................... 119,995 ---------------- 524,789 ---------------- REAL ESTATE MANAGEMENT & DEVELOPMENT - 1.6% 6,246 Lend Lease Group ............................ 48,330 ---------------- ROAD & RAIL - 0.8% 4,968 Asciano Group ............................... 25,216 ---------------- TRANSPORTATION INFRASTRUCTURE - 1.5% 7,958 Transurban Group ............................ 46,162 ---------------- TOTAL INVESTMENTS - 100.0% .................. 3,008,781 (Cost $2,997,301) (b) NET OTHER ASSETS AND LIABILITIES - 0.0% ..... 184 ---------------- NET ASSETS - 100.0% ......................... $ 3,008,965 ================ ---------- (a) Non-income producing security. (b) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of March 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $99,332 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $87,852. See Notes to Quarterly Portfolio of Investments FIRST TRUST AUSTRALIA ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) --------------------------------------------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of March 31, 2012 is as follows (see Note A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS TOTAL LEVEL 1 LEVEL 2 LEVEL 3 --------------- --------------- --------------- --------------- Common Stocks*................................ $ 3,008,781 $ 3,008,781 $ -- $ -- =============== =============== =============== ===============
COUNTRY ALLOCATION AS A PERCENTAGE OF NET ASSETS**: Australia 97.4% Ireland 2.6 --------- 100.0% ========= * See Portfolio of Investments for industry breakout. ** Portfolio securities are categorized based on their country of incorporation. See Notes to Quarterly Portfolio of Investments FIRST TRUST UNITED KINGDOM ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS - 99.9% AEROSPACE & DEFENSE - 2.3% 5,332 Rolls-Royce Holdings PLC .................... $ 69,252 ---------------- AIRLINES - 3.9% 7,432 easyJet PLC ................................. 57,749 21,606 International Consolidated Airlines Group S.A. (a) ................................. 61,826 ---------------- 119,575 ---------------- AUTO COMPONENTS - 0.9% 8,702 GKN PLC ..................................... 28,687 ---------------- BEVERAGES - 0.4% 566 Diageo PLC .................................. 13,602 ---------------- CAPITAL MARKETS - 1.5% 7,510 Aberdeen Asset Management PLC ............... 30,871 2,348 INVESTEC PLC ................................ 14,358 ---------------- 45,229 ---------------- CHEMICALS - 2.1% 1,734 Johnson Matthey PLC ......................... 65,428 ---------------- COMMERCIAL BANKS - 1.7% 9,044 Barclays PLC ................................ 34,031 39,452 Royal Bank of Scotland Group PLC (a)......... 17,442 ---------------- 51,473 ---------------- COMMERCIAL SERVICES & SUPPLIES - 3.6% 1,184 Aggreko PLC ................................. 42,611 5,412 Babcock International Group PLC ............. 68,949 ---------------- 111,560 ---------------- DISTRIBUTORS - 1.1% 5,428 Inchcape PLC ................................ 32,662 ---------------- DIVERSIFIED TELECOMMUNICATION SERVICES - 1.4% 5,902 Inmarsat PLC ................................ 43,453 ---------------- ELECTRIC UTILITIES - 0.9% 1,234 Scottish and Southern Energy PLC ............ 26,232 ---------------- ENERGY EQUIPMENT & SERVICES - 1.5% 1,242 John Wood Group PLC ......................... 14,234 1,106 Petrofac Ltd. ............................... 30,781 ---------------- 45,015 ---------------- FOOD & STAPLES RETAILING - 3.5% 7,886 J Sainsbury PLC ............................. 39,266 1,974 TESCO PLC ................................... 10,419 12,204 WM Morrison Supermarkets PLC ................ 58,171 ---------------- 107,856 ---------------- FOOD PRODUCTS - 2.8% 3,390 Tate & Lyle PLC ............................. 38,227 See Notes to Quarterly Portfolio of Investments FIRST TRUST UNITED KINGDOM ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS - (CONTINUED) FOOD PRODUCTS - (CONTINUED) 1,472 Unilever PLC ................................ $ 48,596 ---------------- 86,823 ---------------- HOTELS, RESTAURANTS & LEISURE - 5.2% 374 Carnival PLC ................................ 11,952 5,212 Compass Group PLC ........................... 54,646 4,802 TUI Travel PLC .............................. 15,078 1,018 Whitbread PLC ............................... 30,026 11,778 William Hill PLC ............................ 49,245 ---------------- 160,947 ---------------- HOUSEHOLD DURABLES - 1.3% 1,872 Berkeley Group Holdings PLC (a).............. 39,524 ---------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS - 2.1% 7,304 Drax Group PLC .............................. 63,613 ---------------- INDUSTRIAL CONGLOMERATES - 2.2% 6,256 Cookson Group PLC ........................... 69,145 ---------------- INSURANCE - 6.7% 1,996 Catlin Group Ltd. ........................... 12,968 2,310 Jardine Lloyd Thompson Group PLC ............ 25,808 11,752 Old Mutual PLC .............................. 29,813 1,246 Prudential PLC .............................. 14,898 9,500 Resolution Ltd. ............................. 39,705 7,568 RSA Insurance Group PLC ..................... 12,662 12,268 St. James's Place PLC ....................... 69,288 ---------------- 205,142 ---------------- MACHINERY - 3.1% 3,774 Invensys PLC ................................ 12,013 1,238 Rotork PLC .................................. 40,574 1,568 Weir Group PLC .............................. 44,241 ---------------- 96,828 ---------------- MEDIA - 1.4% 11,682 ITV PLC ..................................... 16,509 658 Pearson PLC ................................. 12,261 640 Rightmove PLC ............................... 14,864 ---------------- 43,634 ---------------- METALS & MINING - 12.2% 5,206 African Barrick Gold PLC .................... 31,976 1,674 Anglo American PLC .......................... 62,575 1,696 BHP Billiton PLC ............................ 51,746 1,624 Lonmin PLC .................................. 26,547 362 Randgold Resources Ltd. ..................... 31,093 1,274 Rio Tinto PLC ............................... 70,221 2,354 Vedanta Resources PLC ....................... 46,237 See Notes to Quarterly Portfolio of Investments FIRST TRUST UNITED KINGDOM ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS - (CONTINUED) METALS & MINING - (CONTINUED) 3,256 Xstrata PLC ................................. $ 55,621 ---------------- 376,016 ---------------- MULTILINE RETAIL - 3.8% 10,240 Marks & Spencer Group PLC ................... 62,076 1,164 Next PLC .................................... 55,538 ---------------- 117,614 ---------------- OIL, GAS & CONSUMABLE FUELS - 5.8% 8,644 BP PLC ...................................... 63,952 5,910 Cairn Energy PLC ............................ 30,543 1,622 Royal Dutch Shell PLC ....................... 57,064 1,136 Tullow Oil PLC .............................. 27,746 ---------------- 179,305 ---------------- PAPER & FOREST PRODUCTS - 2.1% 7,000 Mondi PLC ................................... 66,003 ---------------- PHARMACEUTICALS - 2.7% 1,070 AstraZeneca PLC ............................. 47,561 1,064 Shire PLC ................................... 34,378 ---------------- 81,939 ---------------- PROFESSIONAL SERVICES - 2.4% 2,728 Experian PLC ................................ 42,521 782 Intertek Group PLC .......................... 31,408 ---------------- 73,929 ---------------- REAL ESTATE INVESTMENT TRUSTS (REITS) - 10.5% 8,608 British Land Co., PLC ....................... 66,075 7,648 Capital Shopping Centres Group PLC .......... 40,540 2,552 Derwent London PLC .......................... 71,230 11,058 Hammerson PLC ............................... 73,508 6,264 Land Securities Group PLC ................... 72,389 ---------------- 323,742 ---------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 2.6% 7,250 Imagination Technologies Group PLC (a)....... 79,377 ---------------- SPECIALTY RETAIL - 1.0% 6,352 Kingfisher PLC .............................. 31,161 ---------------- TOBACCO - 2.1% 522 British American Tobacco PLC ................ 26,305 980 Imperial Tobacco Group PLC .................. 39,736 ---------------- 66,041 ---------------- TRADING COMPANIES & DISTRIBUTORS - 4.3% 3,602 Bunzl PLC ................................... 57,844 1,000 Travis Perkins PLC .......................... 17,259 See Notes to Quarterly Portfolio of Investments FIRST TRUST UNITED KINGDOM ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS - (CONTINUED) TRADING COMPANIES & DISTRIBUTORS - (CONTINUED) 1,494 Wolseley PLC ................................ $ 56,969 ---------------- 132,072 ---------------- WIRELESS TELECOMMUNICATION SERVICES - 0.8% 8,900 Vodafone Group PLC .......................... 24,514 ---------------- TOTAL INVESTMENTS - 99.9% ................... 3,077,393 (Cost $3,011,586) (b) NET OTHER ASSETS AND LIABILITIES - 0.1% ..... 3,530 ---------------- NET ASSETS - 100.0% ......................... $ 3,080,923 ================ ---------- (a) Non-income producing security. (b) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of March 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $133,589 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $67,782. --------------------------------------------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of March 31, 2012 is as follows (see Note A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS TOTAL LEVEL 1 LEVEL 2 LEVEL 3 --------------- --------------- --------------- --------------- Common Stocks* ............................... $ 3,077,393 $ 3,077,393 $ -- $ -- =============== =============== =============== ===============
COUNTRY ALLOCATION AS A PERCENTAGE OF NET ASSETS**: United Kingdom 89.8% Jersey 6.4 Spain 2.0 Guernsey 1.3 Bermuda 0.4 Net Other Assets and Liabilities 0.1 --------- 100.0% ========= * See Portfolio of Investments for industry breakout. ** Portfolio securities are categorized based on their country of incorporation. See Notes to Quarterly Portfolio of Investments FIRST TRUST TAIWAN ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS - 99.9% AIRLINES - 0.7% 34,460 Eva Airways Corp. ........................... $ 21,191 ---------------- AUTO COMPONENTS - 2.4% 30,304 Cheng Shin Rubber Industry Co., Ltd. ........ 72,797 ---------------- AUTOMOBILES - 0.8% 12,724 Yulon Motor Co., Ltd. ....................... 24,315 ---------------- CAPITAL MARKETS - 1.5% 85,648 Yuanta Financial Holding Co., Ltd. (a) ...... 44,544 ---------------- CHEMICALS - 4.7% 33,124 Formosa Chemicals & Fibre Corp. ............. 96,742 16,378 Formosa Plastics Corp. ...................... 48,222 ---------------- 144,964 ---------------- COMMERCIAL BANKS - 2.5% 189,038 Taishin Financial Holding Co., Ltd. ......... 75,578 ---------------- COMMUNICATIONS EQUIPMENT - 2.6% 3,994 HTC Corp. ................................... 80,788 ---------------- COMPUTERS & PERIPHERALS - 20.5% 6,140 ASUSTeK Computer, Inc. ...................... 57,937 9,418 Catcher Technology Co., Ltd. ................ 66,532 65,726 Compal Electronics, Inc. .................... 73,933 97,014 LiteOn Technology Corp. ..................... 117,346 80,320 Pegatron Corp. (a) .......................... 125,183 31,160 Quanta Computer, Inc. ....................... 81,610 69,010 Wistron Corp. ............................... 104,049 ---------------- 626,590 ---------------- CONSTRUCTION MATERIALS - 3.0% 58,380 Asia Cement Corp. ........................... 71,110 18,904 Taiwan Cement Corp. ......................... 22,129 ---------------- 93,239 ---------------- DIVERSIFIED FINANCIAL SERVICES - 1.5% 41,288 Fubon Financial Holding Co., Ltd. ........... 46,514 ---------------- DIVERSIFIED TELECOMMUNICATION SERVICES - 0.7% 6,616 Chunghwa Telecom Co., Ltd. .................. 20,376 ---------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS - 20.1% 203,580 AU Optronics Corp. .......................... 94,153 271,162 Chimei Innolux Corp. (a)..................... 126,327 135,498 Foxconn International Holdings Ltd. (a)...... 96,142 39,906 Hon Hai Precision Industry Co., Ltd. ........ 154,813 36,204 Synnex Technology International Corp. ....... 89,913 3,354 TPK Holding Co., Ltd. (a) ................... 54,263 ---------------- 615,611 ---------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST TAIWAN ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS - (CONTINUED) FOOD & STAPLES RETAILING - 2.2% 12,030 President Chain Store Corp. ................. $ 66,846 ---------------- FOOD PRODUCTS - 3.4% 74,762 Uni-President Enterprises Corp. ............. 103,475 ---------------- INDUSTRIAL CONGLOMERATES - 1.4% 37,646 Far Eastern New Century Corp. ............... 43,559 ---------------- INSURANCE - 0.8% 77,114 Shin Kong Financial Holding Co., Ltd. (a).... 24,560 ---------------- METALS & MINING - 0.8% 22,974 China Steel Corp. ........................... 23,469 ---------------- OIL, GAS & CONSUMABLE FUELS - 1.4% 14,108 Formosa Petrochemical Corp. ................. 43,976 ---------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 13.9% 127,728 Advanced Semiconductor Engineering, Inc. .... 128,531 4,188 MStar Semiconductor, Inc. ................... 25,612 97,658 Siliconware Precision Industries Co. ........ 118,455 8,728 Taiwan Semiconductor Manufacturing Co., Ltd. 25,107 260,486 United Microelectronics Corp. ............... 127,531 ---------------- 425,236 ---------------- SPECIALTY RETAIL - 6.0% 22,736 Hotai Motor Co., Ltd. ....................... 183,339 ---------------- TEXTILES, APPAREL & LUXURY GOODS - 2.3% 79,876 Pou Chen Corp. .............................. 69,417 ---------------- WIRELESS TELECOMMUNICATION SERVICES - 6.7% 58,140 Far EasTone Telecommunications Co., Ltd. .... 119,178 28,036 Taiwan Mobile Co., Ltd. ..................... 85,396 ---------------- 204,574 ---------------- TOTAL INVESTMENTS - 99.9% ................... 3,054,958 (Cost $3,003,450) (b) NET OTHER ASSETS AND LIABILITIES - 0.1% ..... 1,737 ---------------- NET ASSETS - 100.0% ......................... $ 3,056,695 ================ ---------- (a) Non-income producing security. (b) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of March 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $144,485 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $92,977. See Notes to Quarterly Portfolio of Investments FIRST TRUST TAIWAN ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of March 31, 2012 is as follows (see Note A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS TOTAL LEVEL 1 LEVEL 2 LEVEL 3 --------------- --------------- --------------- --------------- Common Stocks*................................ $ 3,054,958 $ 3,054,958 $ -- $ -- =============== =============== =============== ===============
COUNTRY ALLOCATION AS A PERCENTAGE OF NET ASSETS**: Taiwan 94.2% Cayman Islands 5.7 Net Other Assets and Liabilities 0.1 --------- 100.0% ========= * See Portfolio of Investments for industry breakout. ** Portfolio securities are categorized based on their country of incorporation. See Notes to Quarterly Portfolio of Investments FIRST TRUST HONG KONG ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS - 100.0% AIRLINES - 1.6% 25,460 Cathay Pacific Airways Ltd. ................. $ 47,081 ---------------- AUTO COMPONENTS - 0.8% 38,018 Xinyi Glass Holdings Ltd. ................... 23,255 ---------------- COMMERCIAL BANKS - 2.9% 23,070 Bank of East Asia Ltd. ...................... 86,599 ---------------- CONSTRUCTION MATERIALS - 2.2% 87,854 China Resources Cement Holdings Ltd. ........ 64,825 ---------------- DISTRIBUTORS - 4.2% 92,654 Dah Chong Hong Holdings Ltd. ................ 97,837 11,792 Li & Fung Ltd. .............................. 27,060 ---------------- 124,897 ---------------- DIVERSIFIED FINANCIAL SERVICES - 4.5% 104,924 First Pacific Co., Ltd. ..................... 116,199 2,346 Guoco Group Ltd. ............................ 20,452 ---------------- 136,651 ---------------- ELECTRIC UTILITIES - 0.7% 2,568 CLP Holdings Ltd. ........................... 22,123 ---------------- FOOD & STAPLES RETAILING - 2.5% 7,200 Dairy Farm International Holdings Ltd. ...... 75,168 ---------------- GAS UTILITIES - 1.6% 13,620 ENN Energy Holdings Ltd. .................... 47,005 ---------------- HOTELS, RESTAURANTS & LEISURE - 15.4% 59,536 Galaxy Entertainment Group Ltd. (a).......... 164,067 9,078 Melco Crown Entertainment Ltd., ADR (a)...... 123,552 38,624 Sands China Ltd. ............................ 150,705 8,696 Wynn Macau Ltd. ............................. 25,588 ---------------- 463,912 ---------------- INDUSTRIAL CONGLOMERATES - 7.2% 5,214 Hutchison Whampoa Ltd. ...................... 52,069 1,600 Jardine Matheson Holdings Ltd. .............. 80,000 2,000 Jardine Strategic Holdings Ltd. ............. 61,020 14,822 NWS Holdings Ltd. ........................... 22,637 ---------------- 215,726 ---------------- INSURANCE - 3.4% 27,968 AIA Group Ltd. .............................. 102,464 ---------------- MARINE - 1.8% 7,478 Orient Overseas International Ltd. .......... 53,204 ---------------- MEDIA - 0.8% 3,600 Television Broadcasts Ltd. .................. 24,222 ---------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST HONG KONG ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS - (CONTINUED) METALS & MINING - 2.5% 125,290 Fosun International Ltd. .................... $ 74,217 ---------------- PERSONAL PRODUCTS - 2.3% 7,002 Hengan International Group Co., Ltd. ........ 70,511 ---------------- REAL ESTATE INVESTMENT TRUSTS (REITS) - 2.9% 23,714 Link REIT ................................... 88,253 ---------------- REAL ESTATE MANAGEMENT & DEVELOPMENT - 36.2% 7,340 Cheung Kong Holdings Ltd. ................... 94,804 8,786 Henderson Land Development Co., Ltd. ........ 48,254 24,000 Hongkong Land Holdings Ltd. ................. 139,440 42,688 Hopewell Holdings Ltd. ...................... 117,088 26,598 Hysan Development Co., Ltd. ................. 105,836 6,598 Kerry Properties Ltd. ....................... 29,653 81,258 New World Development Co., Ltd. ............. 97,628 30,662 Sino Land Co., Ltd. ......................... 48,961 5,226 Sun Hung Kai Properties Ltd. ................ 64,942 9,332 Swire Pacific Ltd. .......................... 104,610 24,154 Wharf Holdings Ltd. ......................... 131,259 35,252 Wheelock & Co., Ltd. ........................ 105,998 ---------------- 1,088,473 ---------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 3.3% 3,892 ASM Pacific Technology Ltd. ................. 56,634 156,274 GCL-Poly Energy Holdings Ltd. ............... 43,468 ---------------- 100,102 ---------------- TEXTILES, APPAREL & LUXURY GOODS - 3.2% 27,626 Yue Yuen Industrial Holdings Ltd. ........... 96,942 ---------------- TOTAL INVESTMENTS - 100.0% .................. 3,005,630 (Cost $3,018,560) (b) NET OTHER ASSETS AND LIABILITIES - 0.0% ..... 1,224 ---------------- NET ASSETS - 100.0% ......................... $ 3,006,854 ================ ---------- (a) Non-income producing security. (b) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of March 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $108,878 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $121,808. ADR American Depositary Receipt REIT Real Estate Investment Trust See Notes to Quarterly Portfolio of Investments FIRST TRUST HONG KONG ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of March 31, 2012 is as follows (see Note A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS TOTAL LEVEL 1 LEVEL 2 LEVEL 3 --------------- --------------- --------------- --------------- Common Stocks*................................ $ 3,005,630 $ 3,005,630 $ -- $ -- =============== =============== =============== ===============
COUNTRY ALLOCATION AS A PERCENTAGE OF NET ASSETS**: Hong Kong 55.8% Bermuda 24.1 Cayman Islands 20.1 --------- 100.0% ========= * See Portfolio of Investments for industry breakout. ** Portfolio securities are categorized based on their country of incorporation. See Notes to Quarterly Portfolio of Investments FIRST TRUST SWITZERLAND ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS - 99.8% AIR FREIGHT & LOGISTICS - 1.6% 678 Panalpina Welttransport Holding AG (a)....... $ 72,442 ---------------- CAPITAL MARKETS - 5.1% 2,955 Credit Suisse Group AG ...................... 84,228 1,776 Julius Baer Group Ltd. ...................... 71,693 5,835 UBS AG (a)................................... 81,769 ---------------- 237,690 ---------------- CHEMICALS - 15.1% 17,592 Clariant AG (a).............................. 242,823 204 EMS-Chemie Holding AG ....................... 38,622 183 Givaudan S.A. ............................... 176,371 36 Sika AG ..................................... 77,926 474 Syngenta AG ................................. 163,881 ---------------- 699,623 ---------------- CONSTRUCTION MATERIALS - 2.7% 1,947 Holcim Ltd. ................................. 127,039 ---------------- DIVERSIFIED TELECOMMUNICATION SERVICES - 2.4% 276 Swisscom AG ................................. 111,568 ---------------- ELECTRIC UTILITIES - 7.2% 960 Alpiq Holding AG ............................ 173,347 4,473 BKW S.A. (a)................................. 160,546 ---------------- 333,893 ---------------- ELECTRICAL EQUIPMENT - 2.4% 5,535 ABB Ltd. .................................... 113,557 ---------------- FOOD PRODUCTS - 11.7% 3,591 Aryzta AG ................................... 177,422 177 Barry Callebaut AG .......................... 177,353 12 Lindt & Spruengli AG ........................ 38,551 2,415 Nestle S.A. ................................. 151,957 ---------------- 545,283 ---------------- HEALTH CARE EQUIPMENT & SUPPLIES - 3.9% 333 Sonova Holding AG ........................... 37,000 201 Straumann Holding AG ........................ 34,201 621 Synthes Inc ................................. 107,731 ---------------- 178,932 ---------------- HEALTH CARE PROVIDERS & SERVICES - 4.2% 297 Galenica AG ................................. 194,118 ---------------- INSURANCE - 17.4% 2,025 Baloise Holding AG .......................... 163,086 333 Helvetia Holding AG ......................... 123,487 1,887 Swiss Life Holding AG ....................... 224,508 2,043 Swiss Re AG ................................. 130,474 See Notes to Quarterly Portfolio of Investments FIRST TRUST SWITZERLAND ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS - (CONTINUED) INSURANCE - (CONTINUED) 615 Zurich Insurance Group AG ................... $ 165,281 ---------------- 806,836 ---------------- LIFE SCIENCES TOOLS & SERVICES - 2.6% 2,349 Lonza Group AG .............................. 121,418 ---------------- MACHINERY - 6.2% 198 Bucher Industries AG ........................ 41,960 894 Schindler Holding AG ........................ 107,553 975 Sulzer AG ................................... 138,576 ---------------- 288,089 ---------------- PHARMACEUTICALS - 4.5% 1,215 Novartis AG ................................. 67,244 819 Roche Holding AG ............................ 142,534 ---------------- 209,778 ---------------- PROFESSIONAL SERVICES - 2.7% 1,659 Adecco S.A. ................................. 86,929 21 SGS S.A. .................................... 40,851 ---------------- 127,780 ---------------- REAL ESTATE MANAGEMENT & DEVELOPMENT - 4.0% 1,659 PSP Swiss Property AG ....................... 147,393 462 Swiss Prime Site AG ......................... 38,385 ---------------- 185,778 ---------------- TEXTILES, APPAREL & LUXURY GOODS - 2.8% 1,374 Cie Financiere Richemont S.A. ............... 86,151 93 Swatch Group AG ............................. 42,806 ---------------- 128,957 ---------------- TRANSPORTATION INFRASTRUCTURE - 3.3% 399 Flughafen Zuerich AG ........................ 154,482 ---------------- TOTAL INVESTMENTS - 99.8% ................... 4,637,263 (Cost $4,567,392) (b) NET OTHER ASSETS AND LIABILITIES - 0.2% ..... 8,548 ---------------- NET ASSETS - 100.0% ......................... $ 4,645,811 ================ ---------- (a) Non-income producing security. (b) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of March 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $117,611 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $47,740. See Notes to Quarterly Portfolio of Investments FIRST TRUST SWITZERLAND ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of March 31, 2012 is as follows (see Note A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS TOTAL LEVEL 1 LEVEL 2 LEVEL 3 --------------- --------------- --------------- --------------- Common Stocks*................................ $ 4,637,263 $ 4,637,263 $ -- $ -- =============== =============== =============== ===============
COUNTRY ALLOCATION AS A PERCENTAGE OF NET ASSETS**: Switzerland 97.5% United States 2.3 Net Other Assets and Liabilities 0.2 --------- 100.0% ========= * See Portfolio of Investments for industry breakout. ** Portfolio securities are categorized based on their country of incorporation. See Notes to Quarterly Portfolio of Investments FIRST TRUST DEVELOPED MARKETS EX-US SMALL CAP ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS (a) - 99.5% AUSTRALIA - 6.4% 13,580 Aditya Birla Minerals Ltd. .................. $ 10,058 5,208 Australian Infrastructure Fund .............. 12,300 712 Billabong International Ltd. ................ 2,050 25,204 Cape Lambert Resources Ltd. (b).............. 13,968 8,122 Centro Retail Australia (b).................. 15,480 17,666 Gold One International Ltd. (b).............. 8,784 29,536 Grange Resources Ltd. ....................... 20,346 9,684 Industrea Ltd. .............................. 10,282 2,462 Linc Energy Ltd. (b)......................... 2,933 7,876 Macmahon Holdings Ltd. ...................... 7,016 2,024 Mineral Deposits Ltd. (b).................... 13,166 5,290 Mount Gibson Iron Ltd. ...................... 6,137 3,812 OneSteel Ltd. ............................... 4,896 4,652 PanAust Ltd. (b)............................. 14,649 9,928 Panoramic Resources Ltd. .................... 11,467 21,488 Perilya Ltd. (b)............................. 10,016 3,328 Ramelius Resources Ltd. (b).................. 2,947 3,474 Saracen Mineral Holdings Ltd. (b)............ 2,015 7,270 Sigma Pharmaceuticals Ltd. .................. 4,744 920 Silver Lake Resources Ltd. (b)............... 3,250 5,764 St. Barbara Ltd. (b)......................... 12,300 1,148 Troy Resources Ltd. ......................... 5,470 ---------------- 194,274 ---------------- BELGIUM - 0.4% 1,746 AGFA-Gevaert N.V. (b)........................ 4,028 2 Banque Nationale de Belgique ................ 6,803 46 Gimv N.V. ................................... 2,347 ---------------- 13,178 ---------------- BERMUDA - 4.0% 190,700 China WindPower Group Ltd. (b)............... 8,472 79,812 Emperor International Holdings .............. 13,978 63,398 eSun Holdings Ltd. (b)....................... 8,980 10,008 Golden Ocean Group Ltd. ..................... 9,121 5,270 Great Eagle Holdings Ltd. ................... 14,896 20,132 Hopson Development Holdings Ltd. ............ 11,796 214 Lancashire Holdings Ltd. .................... 2,687 23,294 Man Wah Holdings Ltd. ....................... 13,618 5,500 Midland Holdings Ltd. ....................... 2,883 3,972 OM Holdings Ltd. ............................ 1,810 58,000 Pacific Andes Resources Development Ltd. .... 8,028 152,154 REXLot Holdings Ltd. ........................ 13,520 3,020 SmarTone Telecommunications Holdings Ltd. ... 6,199 52,000 Up Energy Development Group Ltd. (b)......... 7,232 ---------------- 123,220 ---------------- CANADA - 6.8% 386 Artis Real Estate Investment Trust .......... 6,258 See Notes to Quarterly Portfolio of Investments FIRST TRUST DEVELOPED MARKETS EX-US SMALL CAP ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS (a) - (CONTINUED) CANADA - (CONTINUED) 2,454 B2Gold Corp. (b)............................. $ 10,530 354 Black Diamond Group Ltd. .................... 7,055 406 C&C Energia Ltd. (b)......................... 3,159 456 Canadian Energy Services & Technology Corp. . 5,372 192 Canfor Pulp Products, Inc. .................. 2,895 3,956 Capstone Mining Corp. (b).................... 11,224 2,454 Cascades, Inc. .............................. 10,333 108 Cogeco, Inc. ................................ 5,873 214 Dorel Industries, Inc. ...................... 6,104 322 EnerCare, Inc. .............................. 3,196 772 Entertainment One Ltd. (b)................... 1,945 1,710 Fairborne Energy Ltd. (b).................... 3,772 554 InnVest Real Estate Investment Trust ........ 2,921 422 Kirkland Lake Gold, Inc. (b)................. 6,101 176 Linamar Corp. ............................... 3,801 166 Minefinders Corp. (b)........................ 2,325 848 Mood Media Corp. (b)......................... 3,231 6,412 Open Range Energy Corp. (b).................. 7,714 354 PetroBakken Energy Ltd. ..................... 5,895 1,130 Petrobank Energy & Resources Ltd. (b)........ 17,922 648 Richmont Mines, Inc. (b)..................... 5,048 5,630 Scorpio Mining Corp. (b)..................... 7,338 1,646 Sherritt International Corp. ................ 8,977 248 Silver Standard Resources, Inc. (b).......... 3,734 1,884 Thompson Creek Metals Co., Inc. (b).......... 12,768 2,484 Timmins Gold Corp. (b)....................... 5,578 1,506 Torstar Corp. ............................... 16,261 658 Transcontinental, Inc. ...................... 8,226 2,110 Uranium Participation Corp. (b).............. 12,058 ---------------- 207,614 ---------------- CAYMAN ISLANDS - 2.3% 48,980 China Rare Earth Holdings Ltd. (b)........... 13,876 26,004 Hutchison Telecommunications Hong Kong Holdings Ltd. ............................ 11,050 6,000 Mewah International, Inc. ................... 2,530 39,112 New World China Land Ltd. ................... 9,569 28,228 Shui On Land Ltd. ........................... 11,378 12,330 TCC International Holdings Ltd. ............. 4,700 90,522 Truly International Holdings ................ 16,203 ---------------- 69,306 ---------------- CYPRUS - 0.4% 3,664 Songa Offshore SE (b)........................ 12,932 ---------------- DENMARK - 1.7% 332 D/S Norden .................................. 9,878 336 East Asiatic Co., Ltd. A/S .................. 9,816 1,484 GN Store Nord A/S ........................... 15,839 See Notes to Quarterly Portfolio of Investments FIRST TRUST DEVELOPED MARKETS EX-US SMALL CAP ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS (a) - (CONTINUED) DENMARK - (CONTINUED) 1,366 Pandora A/S ................................. $ 15,803 ---------------- 51,336 ---------------- FINLAND - 0.1% 538 Technopolis PLC ............................. 2,849 ---------------- FRANCE - 0.9% 74 Esso S.A. Francaise ......................... 7,269 242 FFP ......................................... 11,268 110 Parrot S.A. (b).............................. 3,038 744 Sequana S.A. ................................ 4,750 ---------------- 26,325 ---------------- GERMANY - 2.5% 566 Asian Bamboo AG ............................. 8,764 1,464 Balda AG (b)................................. 12,149 116 BayWa AG .................................... 4,411 440 Centrotherm Photovoltaics AG ................ 5,777 118 Demag Cranes AG ............................. 8,026 140 Duerr AG .................................... 8,912 58 Gesco AG .................................... 5,059 1,100 Jenoptik AG (b).............................. 8,217 1,640 Solarworld AG ............................... 5,177 52 Tipp24 SE (b)................................ 2,718 442 TUI AG (b)................................... 3,288 32 XING AG ..................................... 2,347 38 zooplus AG (b)............................... 2,111 ---------------- 76,956 ---------------- GREECE - 0.6% 1,056 Folli Follie Group (b)....................... 10,985 1,324 JUMBO S.A. .................................. 6,463 ---------------- 17,448 ---------------- GUERNSEY - 0.4% 10,770 Raven Russia Ltd. ........................... 11,068 ---------------- HONG KONG - 2.5% 480 China Ocean Resources Co., Ltd. ............. 2,152 13,402 Kowloon Development Co., Ltd. ............... 13,461 58,424 Regal Real Estate Investment Trust .......... 14,746 38,310 Silver Grant International .................. 8,239 68,236 Singamas Container Holdings Ltd. ............ 20,298 8,940 Sun Hung Kai & Co., Ltd. .................... 4,927 26,526 Yuexiu Real Estate Investment Trust ......... 13,766 ---------------- 77,589 ---------------- IRELAND - 0.4% 770 Glanbia PLC ................................. 5,710 See Notes to Quarterly Portfolio of Investments FIRST TRUST DEVELOPED MARKETS EX-US SMALL CAP ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS (a) - (CONTINUED) IRELAND - (CONTINUED) 760 Smurfit Kappa Group PLC (b).................. $ 6,943 ---------------- 12,653 ---------------- ISLE OF MAN (U.K.) - 0.1% 460 KSK Power Ventur PLC (b)..................... 4,139 ---------------- ISRAEL - 0.7% 2,276 Africa Israel Investments Ltd. (b)........... 9,069 508 Alony Hetz Properties & Investments Ltd. .... 2,438 1,206 Nitsba Holdings 1995 Ltd. (b)................ 10,193 ---------------- 21,700 ---------------- ITALY - 0.9% 480 Autostrada Torino-Milano S.p.A. ............. 3,300 796 Benetton Group S.p.A. ....................... 4,809 252 De'Longhi S.p.A. ............................ 3,116 2,926 IMMSI S.p.A. ................................ 2,330 364 Indesit Co., S.p.A. ......................... 2,269 3,906 Iren S.p.A .................................. 3,347 758 Italcementi S.p.A ........................... 5,267 290 Safilo Group S.p.A. (b)...................... 1,832 ---------------- 26,270 ---------------- JAPAN - 34.1% 6 Advance Residence Investment Corp. .......... 11,388 1,800 Aida Engineering Ltd. ....................... 10,352 800 AOC Holdings, Inc. .......................... 4,736 600 Arc Land Sakamoto Co., Ltd. ................. 11,337 600 Arcs Co., Ltd. .............................. 11,113 600 Arnest One Corp. ............................ 6,684 400 Asahi Co., Ltd. ............................. 7,201 400 Asatsu-DK, Inc. ............................. 11,497 12 Bic Camera, Inc. ............................ 6,357 436 Bit-isle, Inc. .............................. 4,636 2,000 Calsonic Kansei Corp. ....................... 12,203 400 Capcom Co., Ltd. ............................ 9,139 400 Cocokara fine, Inc. ......................... 12,599 600 Corona Corp. ................................ 9,127 200 Cosmos Pharmaceutical Corp. ................. 10,076 1,000 Daido Metal Co., Ltd. ....................... 12,505 2,000 Daiichi Jitsugyo Co., Ltd. .................. 9,931 2 Daiwahouse Residential Investment Corp. ..... 13,145 1,400 DCM Holdings Co., Ltd. ...................... 11,113 200 Doshisha Co., Ltd. .......................... 5,761 2 Dr Ci:Labo Co., Ltd. ........................ 9,230 600 DTS Corp. ................................... 7,829 26 eAccess Ltd. ................................ 5,796 1,400 EDION Corp. ................................. 9,810 600 Elematec Corp. .............................. 8,902 600 Ferrotec Corp. .............................. 6,205 See Notes to Quarterly Portfolio of Investments FIRST TRUST DEVELOPED MARKETS EX-US SMALL CAP ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS (a) - (CONTINUED) JAPAN - (CONTINUED) 6 Fields Corp. ................................ $ 9,931 600 Foster Electric Co., Ltd. ................... 8,771 600 Fuji Machine Manufacturing Co., Ltd. ........ 11,997 2,000 Fujitec Co., Ltd. ........................... 13,193 2,000 Furukawa-Sky Aluminum Corp. ................. 6,403 200 Fuyo General Lease Co., Ltd. ................ 7,094 400 H.I.S. Co., Ltd. ............................ 12,203 2,000 H2O Retailing Corp. ......................... 17,373 2,000 Hanwa Co., Ltd. ............................. 9,085 200 Heiwa Corp. ................................. 4,016 14 Heiwa Real Estate REIT, Inc. ................ 8,110 400 Hikari Tsushin, Inc. ........................ 11,753 2,000 Hitachi Medical Corp. ....................... 26,531 1,000 Hokuetsu Kishu Paper Co., Ltd. .............. 6,657 800 Iida Home Max ............................... 6,814 200 Inaba Denki Sangyo Co., Ltd. ................ 6,002 2 Internet Initiative Japan, Inc. ............. 7,155 400 Japan Airport Terminal Co., Ltd. ............ 5,263 200 Kadokawa Group Holdings, Inc. ............... 6,365 2,000 Kamei Corp. ................................. 30,422 400 Kato Sangyo Co., Ltd. ....................... 7,897 2,000 Kinugawa Rubber Industrial Co., Ltd. ........ 15,513 400 Kohnan Shoji Co., Ltd. ...................... 6,336 1,200 Kojima Co., Ltd. ............................ 7,133 200 Komeri Co., Ltd. ............................ 5,700 3,200 Leopalace21 Corp. (b)........................ 10,864 2,000 Maeda Corp. ................................. 8,795 2,000 Marudai Food Co., Ltd. ...................... 7,756 4,000 Maruha Nichiro Holdings, Inc. ............... 7,007 800 MEGANE TOP Co., Ltd. ........................ 9,134 600 MEGMILK SNOW BRAND Co., Ltd. ................ 11,192 400 Mitsubishi Shokuhin Co., Ltd. ............... 10,245 6,000 Mitsui Matsushima Co., Ltd. ................. 12,686 1,000 MonotaRO Co., Ltd. .......................... 15,380 200 NEC Mobiling Ltd. ........................... 6,903 800 NET One Systems Co., Ltd. ................... 9,752 800 Nichiha Corp. ............................... 9,907 600 Nichii Gakkan Co. ........................... 8,032 7,000 Nippon Coke & Engineering Co., Ltd. ......... 10,571 2,400 Nippon Suisan Kaisha Ltd. ................... 8,177 2,000 Nippon Synthetic Chemical Industry (The) Co., Ltd. ................................ 12,299 1,000 Nissen Holdings Co., Ltd. ................... 5,376 400 Nitta Corp. ................................. 7,341 600 Nitto Kogyo Corp. ........................... 7,865 2,000 Noritake Co., Ltd. .......................... 6,065 2,000 Okamura Corp. ............................... 13,918 2,000 Penta-Ocean Construction Co., Ltd. .......... 6,403 400 Riso Kagaku Corp. ........................... 6,592 2,000 Ryobi Ltd. .................................. 7,587 See Notes to Quarterly Portfolio of Investments FIRST TRUST DEVELOPED MARKETS EX-US SMALL CAP ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS (a) - (CONTINUED) JAPAN - (CONTINUED) 200 Ryohin Keikaku Co., Ltd. .................... $ 10,342 2,000 Sanyo Denki Co., Ltd. ....................... 12,203 2,000 Senko Co., Ltd. ............................. 8,022 1,000 Seria Co., Ltd. ............................. 13,109 400 Ship Healthcare Holdings, Inc. .............. 8,196 1,000 Shizuoka Gas Co., Ltd. ...................... 7,140 2,400 Sodick Co., Ltd. ............................ 13,135 200 Sogo Medical Co., Ltd. ...................... 7,198 400 Studio Alice Co., Ltd. ...................... 6,693 2,000 Sumitomo Osaka Cement Co., Ltd. ............. 5,823 2,000 Sumitomo Precision Products Co., Ltd. ....... 11,840 2,000 T RAD Co., Ltd. ............................. 8,216 6 T-Gaia Corp. ................................ 9,953 2,000 Taihei Kogyo Co., Ltd. ...................... 10,874 600 Taikisha Ltd. ............................... 12,309 200 Tamron Co., Ltd. ............................ 6,449 2,000 Tatsuta Electric Wire and Cable Co., Ltd. ... 12,009 2,000 Toagosei Co., Ltd. .......................... 9,206 2,000 Toho Zinc Co., Ltd. ......................... 9,013 1,000 Toridoll Corp. .............................. 12,021 800 Touei Housing Corp. ......................... 8,448 600 TPR Co., Ltd. ............................... 9,909 600 Transcosmos, Inc. ........................... 9,184 400 Trusco Nakayama Corp. ....................... 8,158 200 Tsuruha Holdings, Inc. ...................... 11,780 400 United Arrows Ltd. .......................... 8,385 600 Valor Co., Ltd. ............................. 9,996 200 Watami Co., Ltd. ............................ 4,287 200 Xebio Co., Ltd. ............................. 5,333 1,600 Yamazen Corp. ............................... 13,338 800 Yellow Hat Ltd. ............................. 13,251 400 Yorozu Corp. ................................ 8,718 6,000 Yuasa Trading Co., Ltd. ..................... 10,439 600 Zensho Holdings Co., Ltd. ................... 7,365 ---------------- 1,038,578 ---------------- JERSEY - 0.4% 1,634 Kentz Corp Ltd. ............................. 12,807 ---------------- LUXEMBOURG - 0.1% 1,452 Colt Group S.A. (b).......................... 2,434 ---------------- MARSHALL ISLANDS - 1.2% 1,548 Diana Shipping, Inc. (b)..................... 13,854 2,944 DryShips, Inc. (b)........................... 10,245 2,174 Navios Maritime Holdings, Inc. .............. 9,131 372 Safe Bulkers, Inc. .......................... 2,485 ---------------- 35,715 ---------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST DEVELOPED MARKETS EX-US SMALL CAP ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS (a) - (CONTINUED) NETHERLANDS - 1.2% 1,842 BE Semiconductor Industries N.V. ............ $ 14,001 60 Eurocommercial Properties N.V. .............. 2,273 170 Heijmans N.V. ............................... 1,973 104 Kendrion N.V. ............................... 2,722 1,530 Koninklijke Wessanen N.V. ................... 5,344 1,034 PostNL N.V. ................................. 6,385 48 Vastned Retail N.V. ......................... 2,521 ---------------- 35,219 ---------------- NEW ZEALAND - 0.2% 920 Mainfreight Ltd. ............................ 7,232 ---------------- NORWAY - 1.9% 78 Algeta ASA (b)............................... 1,968 2,630 Austevoll Seafood ASA ....................... 10,068 642 Cermaq ASA .................................. 8,455 568 Det Norske Oljeselskap ASA (b)............... 8,802 2,376 Electromagnetic GeoServices AS (b)........... 7,010 652 Leroey Seafood Group ASA .................... 10,762 20,920 Marine Harvest ASA .......................... 10,800 ---------------- 57,865 ---------------- PORTUGAL - 0.4% 1,950 Portucel Empresa Produtora de Pasta e Papel S.A. (b) ................................. 5,251 980 Semapa-Sociedade de Investimento e Gestao (b) 7,224 ---------------- 12,475 ---------------- SINGAPORE - 4.8% 8,000 Ascott Residence Trust ...................... 6,778 32,000 Cambridge Industrial Trust .................. 13,619 12,000 Ezion Holdings Ltd. ......................... 9,403 4,000 First Real Estate Investment Trust .......... 2,737 12,000 Ho Bee Investment Ltd. ...................... 13,460 28,000 Lippo Malls Indonesia Retail Trust .......... 9,021 18,000 Mapletree Commercial Trust .................. 12,529 6,000 Mapletree Industrial Trust .................. 5,250 12,000 Orchard Parade Holdings Ltd. (b)............. 17,279 6,000 Overseas Union Enterprise Ltd. .............. 11,217 26,000 Raffles Education Corp Ltd. ................. 9,514 6,000 Starhill Global REIT ........................ 3,055 28,000 SunVic Chemical Holdings Ltd. ............... 8,687 24,000 Tuan Sing Holdings Ltd. ..................... 5,823 12,000 Wing Tai Holdings Ltd. ...................... 12,219 26,000 Yongnam Holdings Ltd. ....................... 5,274 ---------------- 145,865 ---------------- SOUTH KOREA - 16.9% 1,146 3S Korea Co., Ltd. (b)....................... 20,734 46 AMOREPACIFIC Group .......................... 10,698 120 Celltrion Pharm, Inc. (b).................... 1,928 See Notes to Quarterly Portfolio of Investments FIRST TRUST DEVELOPED MARKETS EX-US SMALL CAP ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS (a) - (CONTINUED) SOUTH KOREA - (CONTINUED) 260 Chong Kun Dang Pharm Corp. .................. $ 4,245 578 CNK International Co., Ltd. (b).............. 921 560 Dae Won Kang Up Co., Ltd. ................... 2,491 1,200 Daeduck Electronics Co. ..................... 11,862 900 Daekyo Co., Ltd. ............................ 4,893 1,080 Daesang Corp. ............................... 14,965 260 Daishin Securities Co., Ltd. ................ 2,547 860 Daou Technology, Inc. ....................... 9,981 56 Daum Communications Corp. ................... 5,886 440 Dongbu Steel Co., Ltd. ...................... 2,532 120 Dongkuk Steel Mill Co., Ltd. ................ 2,293 100 Duksan Hi-Metal Co., Ltd. (b)................ 2,056 38 Gamevil, Inc. (b)............................ 2,445 198 GemVax & Kael Co., Ltd. (b).................. 6,780 80 Global & Yuasa Battery Co., Ltd. ............ 3,107 400 Halla Engineering & Construction Corp. ...... 4,642 100 Handsome Co., Ltd. .......................... 2,939 600 Hanil E-Wha Co., Ltd. ....................... 4,782 840 Hanjin Shipping Co., Ltd. ................... 11,639 1,080 Hanjin Shipping Holdings Co., Ltd. .......... 7,606 100 Hanjin Transportation Co., Ltd. ............. 1,911 280 Hanssem Co., Ltd. ........................... 5,474 220 Hotel Shilla Co., Ltd. ...................... 9,368 48 Hyosung Corp. ............................... 2,542 180 Hyundai Corp. ............................... 4,297 380 Hyundai Greenfood Co., Ltd. ................. 5,098 104 Hyundai Mipo Dockyard ....................... 12,483 100 Ilyang Pharmaceutical Co., Ltd. ............. 2,489 240 ISU Chemical Co., Ltd. ...................... 5,857 256 JCEntertainment Corp. ....................... 7,750 2,374 Jcontentree Corp. (b)........................ 7,061 240 Kolon Corp. ................................. 5,486 66 Korea Petrochemical Ind Co., Ltd. ........... 5,941 999 Korean Reinsurance Co. ...................... 12,035 140 LG Fashion Corp. ............................ 4,936 42 LG Innotek Co., Ltd. ........................ 3,655 122 LG International Corp. ...................... 5,534 6 Lotte Chilsung Beverage Co., Ltd. ........... 6,439 8 Lotte Samkang Co., Ltd. ..................... 3,347 92 Medipost Co., Ltd. (b)....................... 8,428 260 Muhak Co., Ltd. ............................. 2,616 14 Namyang Dairy Products Co., Ltd. ............ 9,069 416 Neowiz Corp. (b)............................. 6,792 122 Neowiz Games Corp. (b)....................... 3,779 280 Nexen Tire Corp. ............................ 4,399 20 Ottogi Corp. ................................ 2,754 1,610 Paradise Co., Ltd. .......................... 12,490 220 Poongsan Corp. .............................. 5,854 56 POSCO Chemtech Co., Ltd. .................... 7,068 See Notes to Quarterly Portfolio of Investments FIRST TRUST DEVELOPED MARKETS EX-US SMALL CAP ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS (a) - (CONTINUED) SOUTH KOREA - (CONTINUED) 118 Posco M-Tech Co., Ltd. ...................... $ 7,873 1,480 RNL BIO Co., Ltd. (b)........................ 5,898 320 S&T Motiv Co., Ltd. ......................... 7,781 78 Sam-Kwang Glass Co., Ltd. ................... 4,124 110 Samchully Co., Ltd. ......................... 9,194 100 Samyang Holdings Corp. ...................... 6,549 490 SBS Contents Hub Co., Ltd. .................. 4,671 3,060 SBS Media Holdings Co., Ltd. ................ 9,776 204 SeAH Steel Corp. ............................ 19,085 400 Sejong Industrial Co., Ltd. ................. 4,272 46 SFA Engineering Corp. ....................... 2,172 112 Sindoh Co., Ltd. ............................ 5,239 126 SK Chemicals Co., Ltd. ...................... 7,117 190 SK Gas Co., Ltd. ............................ 10,900 132 SM Entertainment Co. (b)..................... 5,586 66 Soulbrain Co., Ltd. ......................... 2,091 600 Ssangyong Cement Industrial Co., Ltd. (b).... 2,674 626 Sungwoo Hitech Co., Ltd. .................... 6,989 12 Taekwang Industrial Co., Ltd. ............... 12,381 2,180 Taeyoung Engineering & Construction Co., Ltd. 10,871 142 Unid Co., Ltd. .............................. 6,392 46 WeMade Entertainment Co., Ltd. .............. 3,662 872 Y G-1 Co., Ltd. ............................. 11,313 8 Young Poong Corp. ........................... 8,211 680 Youngone Corp. .............................. 12,963 200 Youngone Holdings Co., Ltd. ................. 10,026 ---------------- 514,734 ---------------- SPAIN - 0.2% 1,764 Grupo Empresarial Ence S.A. ................. 4,388 2,114 Promotora de Informaciones S.A. (b).......... 1,607 ---------------- 5,995 ---------------- SWEDEN - 1.6% 68 Axfood AB ................................... 2,444 356 Bilia AB .................................... 7,036 676 Billerud AB ................................. 6,258 102 BioGaia AB .................................. 2,929 604 Fabege AB ................................... 5,208 1,262 Fastighets AB Balder (b)..................... 6,200 1,814 Haldex AB ................................... 11,900 684 Klovern AB .................................. 2,595 352 Trelleborg AB ............................... 3,677 ---------------- 48,247 ---------------- SWITZERLAND - 1.1% 108 Basilea Pharmaceutica (b).................... 6,060 6 Forbo Holding AG ............................ 4,383 676 Schmolz + Bickenbach AG (b).................. 4,628 See Notes to Quarterly Portfolio of Investments FIRST TRUST DEVELOPED MARKETS EX-US SMALL CAP ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS (a) - (CONTINUED) SWITZERLAND - (CONTINUED) 64 Uster Technologies AG (b).................... $ 3,286 206 Zehnder Group AG ............................ 15,267 ---------------- 33,624 ---------------- UNITED KINGDOM - 4.3% 2,368 Anglo Pacific Group PLC ..................... 11,912 8,106 Booker Group PLC ............................ 10,930 23,778 Cable & Wireless Worldwide PLC .............. 12,931 192 Dialight PLC ................................ 2,825 174 Dignity PLC ................................. 2,260 312 Dunelm Group PLC ............................ 2,590 336 Galliford Try PLC ........................... 3,359 1,734 Great Portland Estates PLC .................. 9,982 5,246 Home Retail Group PLC ....................... 9,566 490 Interserve PLC .............................. 2,283 300 John Menzies PLC ............................ 2,879 1,372 Misys PLC (b)................................ 7,856 1,260 Mitie Group PLC ............................. 5,633 1,432 Moneysupermarket.com Group PLC .............. 2,907 440 NCC Group PLC ............................... 6,334 182 Oxford Instruments PLC ...................... 3,537 772 Phoenix IT Group Ltd. ....................... 2,405 2,614 Rank Group PLC .............................. 5,402 1,258 ST Modwen Properties PLC .................... 3,718 12,636 Taylor Wimpey PLC ........................... 10,409 614 Telecom Plus PLC ............................ 6,796 3,696 Thomas Cook Group PLC ....................... 1,330 686 Workspace Group PLC ......................... 2,581 ---------------- 130,425 ---------------- TOTAL INVESTMENTS - 99.5% ................... 3,030,072 (Cost $3,064,170) (c) NET OTHER ASSETS AND LIABILITIES - 0.5% ..... 16,709 ---------------- NET ASSETS - 100.0% ......................... $ 3,046,781 ================ ---------- (a) Portfolio securities are categorized based upon their country of incorporation. (b) Non-income producing security. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of March 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $120,001 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $154,099. See Notes to Quarterly Portfolio of Investments FIRST TRUST DEVELOPED MARKETS EX-US SMALL CAP ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of March 31, 2012 is as follows (see Note A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS TOTAL LEVEL 1 LEVEL 2 LEVEL 3 --------------- --------------- --------------- --------------- Common Stocks*................................ $ 3,030,072 $ 3,030,072 $ -- $ -- =============== =============== =============== ===============
INDUSTRY DIVERSIFICATION AS A PERCENTAGE OF NET ASSETS: Metals & Mining 10.3% Real Estate Management & Development 6.6 Machinery 5.4 Real Estate Investment Trusts (REITs) 5.1 Food Products 5.0 Specialty Retail 4.9 Trading Companies & Distributors 4.3 Auto Components 3.4 Hotels, Restaurants & Leisure 3.1 Food & Staples Retailing 3.1 Media 3.0 Construction & Engineering 2.8 Oil, Gas & Consumable Fuels 2.8 Household Durables 2.6 Electronic Equipment, Instruments & Components 2.6 Chemicals 2.6 Marine 2.4 Textiles, Apparel & Luxury Goods 1.8 Multiline Retail 1.5 Software 1.4 Health Care Equipment & Supplies 1.4 Semiconductors & Semiconductor Equipment 1.3 Internet Software & Services 1.3 Paper & Forest Products 1.2 Commercial Services & Supplies 1.1 Electrical Equipment 1.1 Energy Equipment & Services 1.1 Diversified Telecommunication Services 1.1 IT Services 1.1 Biotechnology 0.8 Building Products 0.8 Communications Equipment 0.7 See Notes to Quarterly Portfolio of Investments FIRST TRUST DEVELOPED MARKETS EX-US SMALL CAP ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) Capital Markets 0.7 Diversified Consumer Services 0.7 Containers & Packaging 0.7 Health Care Providers & Services 0.7 Transportation Infrastructure 0.7 Leisure Equipment & Products 0.7 Personal Products 0.7 Construction Materials 0.6 Internet & Catalog Retail 0.6 Gas Utilities 0.5 Air Freight & Logistics 0.5 Insurance 0.5 Diversified Financial Services 0.5 Automobiles 0.4 Independent Power Producers & Energy Traders 0.4 Wireless Telecommunication Services 0.4 Aerospace & Defense 0.4 Office Electronics 0.4 Beverages 0.3 Pharmaceuticals 0.3 Distributors 0.3 Road & Rail 0.3 Industrial Conglomerates 0.2 Health Care Technology 0.1 Multi-Utilities 0.1 Net Other Assets and Liabilities 0.5 --------- 100.0% ========= CURRENCY EXPOSURE DIVERSIFICATION AS A PERCENTAGE OF TOTAL INVESTMENTS: Japanese Yen 34.3% South Korea Won 17.0 Hong Kong Dollar 8.0 Euro 7.6 Canadian Dollar 6.8 Australian Dollar 6.5 British Pound Sterling 5.5 Singapore Dollar 5.2 Norwegian Krone 2.6 Danish Krone 1.7 Swedish Krona 1.6 US Dollars 1.2 Swiss Franc 1.1 Israel Shekel 0.7 New Zealand Dollar 0.2 --------- 100.0% ========= See Notes to Quarterly Portfolio of Investments FIRST TRUST EMERGING MARKETS SMALL CAP ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS (a) - 99.9% BERMUDA - 3.4% 526,530 Apollo Solar Energy Technology Holdings Ltd. (b) ................................. $ 13,628 10,000 China Singyes Solar Technologies Holdings Ltd. ..................................... 5,189 130,210 Citic Resources Holdings Ltd. (b) .......... 22,301 58,396 Cosco International Holdings Ltd. ........... 25,192 21,702 Newocean Energy Holdings Ltd. ............... 4,611 74,694 Sateri Holdings Ltd. ........................ 20,680 82,354 Shenzhen International Holdings Ltd. ........ 5,727 13,964 TPV Technology Ltd. ......................... 3,327 ---------------- 100,655 ---------------- BRAZIL - 4.0% 2,242 BR Properties S.A. .......................... 28,789 470 Cia Energetica do Ceara ..................... 10,263 2,320 Cia Ferro Ligas da Bahia - Ferbasa .......... 14,361 1,446 Cyrela Commercial Properties S.A. Empreendimentos e Participacoes .......... 15,446 1,432 Even Construtora e Incorporadora S.A. ....... 5,515 402 Iochpe-Maxion S.A. .......................... 7,926 1,890 JHSF Participacoes S.A. ..................... 6,202 3,330 Marcopolo S.A. .............................. 17,056 734 Restoque Comercio e Confeccoes de Roupas S.A. 15,159 ---------------- 120,717 ---------------- CAYMAN ISLANDS - 16.2% 8,634 361 Degrees International Ltd. .............. 2,624 41,046 Asia Cement China Holdings Corp. ............ 20,456 51,638 Chaowei Power Holdings Ltd. ................. 26,266 103,608 China Flooring Holding Co., Ltd. ............ 19,479 35,686 China High Speed Transmission Equipment Group Co., Ltd. .......................... 19,071 30,588 China Huiyuan Juice Group Ltd. .............. 9,572 130,562 China Lumena New Materials Corp. ............ 23,370 131,094 China Qinfa Group Ltd. (b)................... 29,880 15,368 China Sanjiang Fine Chemicals Co., Ltd. ..... 5,066 129,510 China Vanadium Titano - Magnetite Mining Co., Ltd. ................................ 29,853 155,410 Fantasia Holdings Group Co., Ltd. ........... 17,411 20,588 Fufeng Group Ltd. ........................... 8,935 22,778 Global Bio-Chem Technology Group Co., Ltd. .. 4,458 152,944 Glorious Property Holdings Ltd. (b).......... 24,225 104,876 Hua Han Bio-Pharmaceutical Holdings Ltd. .... 21,068 84,522 Kaisa Group Holdings Ltd. (b)................ 17,088 39,530 Kingboard Laminates Holdings Ltd. ........... 18,682 3,968 LDK Solar Co., Ltd., ADR (b)................. 15,872 12,448 Lonking Holdings Ltd. ....................... 4,376 88,724 MIE Holdings Corp. .......................... 28,906 59,478 Peak Sport Products Co., Ltd. ............... 14,476 21,412 Real Nutriceutical Group Ltd. ............... 6,811 1,428 Silicon Motion Technology Corp., ADR (b)..... 27,660 4,608 Silver base Group Holdings Ltd. ............. 3,198 76,020 SITC International Holdings Co., Ltd. ....... 23,788 125,136 Solargiga Energy Holdings Ltd. .............. 12,247 See Notes to Quarterly Portfolio of Investments FIRST TRUST EMERGING MARKETS SMALL CAP ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS (a) - (CONTINUED) CAYMAN ISLANDS - (CONTINUED) 5,358 Suntech Power Holdings Co., Ltd., ADR (b).... $ 16,395 29,648 Tianneng Power International Ltd. ........... 17,181 122,588 Trony Solar Holdings Co., Ltd. .............. 12,155 4,504 Yingde Gases ................................ 5,116 ---------------- 485,685 ---------------- CHINA - 2.7% 24,394 Anhui Expressway Co. ........................ 13,413 55,858 Chongqing Machinery & Electric Co., Ltd. .... 10,430 12,354 Guangzhou Shipyard International Co., Ltd. .. 11,534 8,236 Jingwei Textile Machinery ................... 4,613 101,000 Sinopec Yizheng Chemical Fibre Co., Ltd. .... 25,102 34,078 Weiqiao Textile Co. ......................... 17,422 ---------------- 82,514 ---------------- COLOMBIA - 0.4% 222,666 Fabricato S.A. (b)........................... 11,153 ---------------- CZECH REPUBLIC - 0.4% 1,306 Unipetrol A.S. (b)........................... 12,157 ---------------- EGYPT - 1.8% 1,740 Alexandria Mineral Oils Co. ................. 25,927 140,636 Amer Group Holding (b)....................... 16,532 39,378 Palm Hills Developments SAE (b).............. 11,083 ---------------- 53,542 ---------------- GUERNSEY - 1.3% 5,894 Etalon Group Ltd., GDR (b)................... 40,374 ---------------- HONG KONG - 3.1% 65,214 BYD Electronic International Co., Ltd. (b)... 19,651 50,714 China Pharmaceutical Group Ltd. ............. 11,624 131,094 China South City Holdings Ltd. .............. 17,726 44,608 Shenzhen Investment Ltd. .................... 9,708 18,458 Sinotrans Shipping Ltd. ..................... 4,421 157,442 Yuexiu Property Co., Ltd. ................... 31,020 ---------------- 94,150 ---------------- HUNGARY - 0.3% 122 EGIS Pharmaceuticals PLC .................... 8,095 ---------------- INDONESIA - 7.8% 75,554 AKR Corporindo Tbk PT ....................... 35,529 376,786 Alam Sutera Realty Tbk PT ................... 25,548 508,992 Bakrie Sumatera Plantations Tbk PT .......... 16,421 198,174 Bhakti Investama Tbk PT ..................... 7,910 213,328 Ciputra Development Tbk PT .................. 16,797 14,652 Gajah Tunggal Tbk PT ........................ 4,286 44,226 Global Mediacom Tbk PT ...................... 7,739 11,378 Mayora Indah Tbk PT ......................... 23,891 See Notes to Quarterly Portfolio of Investments FIRST TRUST EMERGING MARKETS SMALL CAP ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS (a) - (CONTINUED) INDONESIA - (CONTINUED) 35,554 Media Nusantara Citra Tbk PT ................ $ 7,310 42,170 Mitra Adiperkasa Tbk PT ..................... 29,285 209,226 Multistrada Arah Sarana Tbk PT .............. 14,186 435,188 Sentul City Tbk PT (b)....................... 11,898 96,708 Trada Maritime Tbk PT ....................... 9,942 318,120 Tunas Baru Lampung Tbk PT ................... 21,918 ---------------- 232,660 ---------------- JERSEY - 0.7% 101,160 West China Cement Ltd. ...................... 21,234 ---------------- MALAYSIA - 4.6% 15,000 BIMB Holdings Bhd ........................... 11,555 22,800 Coastal Contracts Bhd ....................... 14,811 15,600 Esso Malaysia Bhd ........................... 18,128 138,600 Kurnia Asia Bhd (b).......................... 24,431 6,600 Mudajaya Group Bhd .......................... 6,162 16,800 OSK Holdings Bhd ............................ 9,323 4,800 QSR Brands Bhd .............................. 10,028 21,000 Sunway Bhd (b)............................... 18,028 23,800 Sunway Real Estate Investment Trust ......... 9,711 5,000 Tradewinds Malaysia Bhd ..................... 15,652 ---------------- 137,829 ---------------- MEXICO - 0.6% 7,022 Gruma SAB de C.V. (b)........................ 18,716 ---------------- MOROCCO - 1.0% 72 Managem ..................................... 13,926 220 SAMIR ....................................... 14,814 ---------------- 28,740 ---------------- PERU - 0.7% 6,298 Grana y Montero S.A. ........................ 20,665 ---------------- PHILIPPINES - 0.2% 106,000 Megaworld Corp. ............................. 4,839 ---------------- POLAND - 2.0% 1,076 Grupa Lotos S.A. (b)......................... 9,425 8,228 Netia S.A. (b)............................... 16,939 726 PBG S.A. .................................... 9,113 2,156 Zaklady Azotowe w Tarnowie-Moscicach S.A. (b) 23,546 ---------------- 59,023 ---------------- RUSSIA - 0.9% 118 Acron JSC ................................... 4,989 208,902 OGK-1 OAO (b)................................ 4,882 48,600,468 TGK-1 OAO ................................... 16,718 ---------------- 26,589 ---------------- See Notes to Quarterly Portfolio of Investments FIRST TRUST EMERGING MARKETS SMALL CAP ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS (a) - (CONTINUED) SINGAPORE - 0.8% 30,000 China Minzhong Food Corp., Ltd. (b).......... $ 23,865 ---------------- SOUTH AFRICA - 4.2% 564 Allied Technologies Ltd. .................... 3,933 3,316 Coronation Fund Managers Ltd. ............... 12,320 2,618 DataTec Ltd. ................................ 15,016 4,422 Grindrod Ltd. ............................... 8,699 562 Pioneer Foods Ltd. .......................... 4,359 7,584 Raubex Group Ltd. ........................... 12,853 2,034 Resilient Property Income Fund Ltd. ......... 10,222 2,914 Royal Bafokeng Platinum Ltd. (b)............. 22,982 19,742 Super Group Ltd. (b)......................... 35,464 ---------------- 125,848 ---------------- TAIWAN - 24.2% 20,840 Ardentec Corp. .............................. 16,099 35,024 Arima Communications Corp. .................. 28,717 38,568 Champion Building Materials Co., Ltd. ....... 19,732 9,300 Cheng Uei Precision Industry Co., Ltd. ...... 22,246 4,490 Chipbond Technology Corp. ................... 5,819 13,630 CTCI Corp. .................................. 22,559 1,052 CyberPower Systems, Inc. .................... 1,989 1,180 Dynapack International Technology Corp. ..... 6,397 12,342 Eclat Textile Co., Ltd. ..................... 28,310 32,240 Evergreen Marine Corp Taiwan Ltd. ........... 22,175 9,634 Feng Hsin Iron & Steel Co. .................. 16,941 8,416 FLEXium Interconnect, Inc. .................. 34,075 28,658 Formosan Union Chemical ..................... 21,119 12,636 Gintech Energy Corp. ........................ 14,107 29,468 Grand Pacific Petrochemical ................. 13,678 17,962 Great Wall Enterprise Co., Ltd. ............. 18,379 8,257 Hey Song Corp. .............................. 10,407 32,240 Ho Tung Chemical Corp. (b)................... 19,335 3,798 Kenda Rubber Industrial Co., Ltd. ........... 4,433 1,252 Kinsus Interconnect Technology Corp. ........ 4,013 35,418 Lealea Enterprise Co., Ltd. ................. 15,000 3,810 Lumax International Corp., Ltd. ............. 8,288 45,930 Macronix International ...................... 17,118 21,982 Mercuries & Associates Ltd. ................. 23,051 5,556 Merida Industry Co., Ltd. ................... 17,846 2,546 Motech Industries, Inc. ..................... 4,244 7,666 Nan Kang Rubber Tire Co., Ltd. .............. 11,961 19,998 Nantex Industry Co., Ltd. ................... 18,294 12,326 Nien Hsing Textile Co., Ltd. ................ 8,770 3,492 PChome Online, Inc. ......................... 19,699 6,178 Phihong Technology Co., Ltd. ................ 8,781 142,880 Powerchip Technology Corp. (b)............... 5,325 1,906 Powertech Technology, Inc. .................. 3,713 7,210 Radiant Opto-Electronics Corp. .............. 32,002 See Notes to Quarterly Portfolio of Investments FIRST TRUST EMERGING MARKETS SMALL CAP ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS (a) - (CONTINUED) TAIWAN - (CONTINUED) 10,500 Radium Life Tech Co., Ltd. .................. $ 8,503 29,172 Rechi Precision Co., Ltd. ................... 29,454 4,882 Sino-American Silicon Products, Inc. ........ 8,502 2,994 Standard Foods Corp. ........................ 10,195 15,716 TA Chen Stainless Pipe ...................... 8,759 1,906 Taiwan FamilyMart Co., Ltd. ................. 10,010 7,406 TSRC Corp. .................................. 18,945 34,830 Unizyx Holding Corp. ........................ 22,245 23,284 Vanguard International Semiconductor Corp. .. 10,059 7,378 Ways Technical Corp., Ltd. .................. 27,748 3,308 Wistron NeWeb Corp. ......................... 7,285 43,810 Yageo Corp. ................................. 13,166 19,538 Yem Chio Co., Ltd. .......................... 18,767 12,266 Yieh Phui Enterprise Co., Ltd. .............. 4,488 9,014 Zig Sheng Industrial Co., Ltd. .............. 3,421 ---------------- 726,169 ---------------- THAILAND - 9.8% 31,000 Bangchak Petroleum PCL ...................... 23,815 8,900 Bangkok Life Assurance PCL .................. 13,848 18,800 Berli Jucker PCL ............................ 25,138 63,800 Central Plaza Hotel PCL ..................... 26,678 1,600 Electricity Generating PCL .................. 4,823 31,400 Home Product Center PCL ..................... 14,148 34,600 LPN Development PCL ......................... 17,384 50,800 Polyplex PCL ................................ 26,017 7,600 Robinson Department Store PCL ............... 12,626 23,600 SC Asset Corp PCL ........................... 11,857 77,040 Siam Global House PCL ....................... 29,467 3,000 Siam Makro PCL .............................. 34,814 23,200 Siamgas & Petrochemicals PCL ................ 11,506 29,400 Supalai PCL ................................. 14,867 7,400 Thai Union Frozen Products PCL .............. 16,971 10,600 TPI Polene PCL .............................. 4,879 10,400 Vinythai PCL ................................ 6,169 ---------------- 295,007 ---------------- TURKEY - 8.1% 6,406 Aksa Akrilik Kimya Sanayii .................. 17,037 2,392 Aygaz A.S. .................................. 12,294 182 Bagfas Bandirma Gubre Fabrik ................ 17,870 3,618 Dogus Otomotiv Servis ve Ticaret A.S. ....... 10,434 756 Goodyear Lastikleri Turk A.S. ............... 21,739 3,434 Ipek Dogal Enerji Kaynaklari Ve Uretim A.S. (b) ................................. 5,298 6,138 Izmir Demir Celik Sanayi A.S. ............... 16,014 36,532 Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. ............................. 19,267 9,256 Koza Anadolu Metal Madencilik Isletmeleri A.S. (b) ................................. 16,463 100 Netas Telekomunikasyon A.S. ................. 8,164 1,062 Otokar Otomotiv Ve Savunma Sanayi A.S. ...... 17,280 See Notes to Quarterly Portfolio of Investments FIRST TRUST EMERGING MARKETS SMALL CAP ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) SHARES DESCRIPTION VALUE --------------- --------------------------------------------- ---------------- COMMON STOCKS (a) - (CONTINUED) TURKEY - (CONTINUED) 5,290 Park Elektrik Uretim Madencilik Sanayi ve Ticaret A.S. (b) ......................... $ 14,514 12,786 Petkim Petrokimya Holding A.S. .............. 15,926 10,582 Sinpas Gayrimenkul Yatirim Ortakligi A.S. ... 8,015 1,072 Turk Traktor ve Ziraat Makineleri A.S. ...... 21,893 6,950 Ulker Biskuvi Sanayi A.S. ................... 21,993 ---------------- 244,201 ---------------- UNITED STATES - 0.7% 1,678 AsiaInfo-Linkage, Inc. (b)................... 21,143 ---------------- TOTAL INVESTMENTS - 99.9% .................. 2,995,570 (Cost $3,034,462) (c) NET OTHER ASSETS AND LIABILITIES - 0.1% ..... 4,046 ---------------- NET ASSETS - 100.0% ......................... $ 2,999,616 ================ ---------- (a) Portfolio securities are categorized based upon their country of incorporation. (b) Non-income producing security. (c) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of March 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $149,234 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $188,126. ADR American Depositary Receipt GDR Global Depositary Receipt --------------------------------------------------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of March 31, 2012 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): Level 1 - Quoted Prices Level 2 - Other Significant Observable Inputs Level 3 - Significant Unobservable Inputs INVESTMENTS TOTAL LEVEL 1 LEVEL 2 LEVEL 3 --------------- --------------- --------------- --------------- Common Stocks*................................ $ 2,995,570 $ 2,995,570 $ -- $ -- =============== =============== =============== ===============
INDUSTRY DIVERSIFICATION AS A PERCENTAGE OF NET ASSETS: Real Estate Management & Development 12.5% Chemicals 9.5 Semiconductors & Semiconductor Equipment 7.3 Food Products 6.9 Metals & Mining 5.9 See Notes to Quarterly Portfolio of Investments FIRST TRUST EMERGING MARKETS SMALL CAP ALPHADEX(R) FUND PORTFOLIO OF INVESTMENTS - (CONTINUED) MARCH 31, 2012 (UNAUDITED) Oil, Gas & Consumable Fuels 4.7 Textiles, Apparel & Luxury Goods 4.4 Machinery 4.3 Electronic Equipment, Instruments & Components 3.8 Construction & Engineering 3.4 Auto Components 3.3 Communications Equipment 2.9 Specialty Retail 2.6 Multiline Retail 2.5 Marine 2.3 Electrical Equipment 2.1 Trading Companies & Distributors 1.9 Construction Materials 1.5 Pharmaceuticals 1.4 Building Products 1.3 Insurance 1.3 Hotels, Restaurants & Leisure 1.2 Industrial Conglomerates 1.2 Food & Staples Retailing 1.2 Electric Utilities 1.1 Containers & Packaging 0.9 Commercial Services & Supplies 0.8 Media 0.8 Capital Markets 0.7 Software 0.7 Internet Software & Services 0.7 Transportation Infrastructure 0.6 Leisure Equipment & Products 0.6 Real Estate Investment Trusts (REITs) 0.6 Diversified Telecommunication Services 0.6 Distributors 0.5 Gas Utilities 0.4 Commercial Banks 0.4 Beverages 0.3 Personal Products 0.2 Household Durables 0.2 Independent Power Producers & Energy Traders 0.2 Wireless Telecommunication Services 0.1 Computers & Peripherals 0.1 Net Other Assets and Liabilities 0.1 --------- 100.0% ========= See Notes to Quarterly Portfolio of Investments NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II MARCH 31, 2012 (UNAUDITED) VALUATION AND INVESTMENT PRACTICES A. PORTFOLIO VALUATION First Trust Exchange-Traded AlphaDEX(R) Fund II (the "Trust") is an open-end management investment company organized as a Massachusetts business trust on December 3, 2010, and is registered with the Securities and Exchange Commission under the Investment Company Act of 1940, as amended (the "1940 Act"). The Trust currently consists of eighteen funds (each a "Fund" and collectively, the "Funds"): First Trust Asia Pacific Ex-Japan AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FPA") First Trust Europe AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FEP") First Trust Latin America AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FLN") First Trust Brazil AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FBZ") First Trust China AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FCA") First Trust Japan AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FJP") First Trust South Korea AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FKO") First Trust Developed Markets Ex-US AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FDT") First Trust Emerging Markets AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FEM") First Trust Germany AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FGM") First Trust Canada AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FCAN") First Trust Australia AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FAUS") First Trust United Kingdom AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FKU") First Trust Taiwan AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FTW") First Trust Hong Kong AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FHK") First Trust Switzerland AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FSZ") First Trust Developed Markets ex-US Small Cap AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FDTS") First Trust Emerging Markets Small Cap AlphaDEX(R) Fund - (NYSE Arca, Inc. ticker "FEMS") Each Fund's net asset value ("NAV") is determined daily as of the close of regular trading on the New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. The NAV is calculated by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding. Each Fund's investments are valued daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value in accordance with valuation procedures adopted by the Trust's Board of Trustees and in accordance with the 1940 Act. Each Fund's securities will be valued as follows: Portfolio securities listed on any exchange other than the NASDAQ(R) Stock Market, Inc. ("NASDAQ") or the London Stock Exchange Alternative Investment Market ("AIM") are valued at the last sale price on the business day as of which such value is being determined. If there has been no sale on such day, 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. Securities listed on the NASDAQ or the AIM are valued at the official closing price on the business day as of which such value is being determined. If there is no official closing price on the valuation day, the securities are valued at the mean of the most recent bid and ask prices on such day. Portfolio securities traded in the over-the-counter market, but excluding securities trading on the NASDAQ or the AIM, are valued at the closing bid prices. Short-term investments that mature in less than 60 days when purchased are valued at amortized cost. Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Board of Trustees or its delegate at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund's NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the pricing service, does not reflect the security's "fair value." As a general principle, the current "fair value" of a security NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS - (CONTINUED) FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II MARCH 31, 2012 (UNAUDITED) would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. The use of fair value prices by a Fund generally results in prices used by the Fund that may differ from current market quotations or official closing prices on the applicable exchange. A variety of factors may be considered in determining the fair value of such securities. In addition, the use of fair value prices and certain current market quotations or official closing prices could result in a difference between the prices used to calculate a Fund's NAV and the prices used by such Fund's corresponding index, which, in turn, could result in a difference between a Fund's performance and the performance of its underlying index. Because foreign markets may be open on different days than the days during which investors may purchase the shares of a Fund, the value of the Fund's securities may change on the days when investors are not able to purchase the shares of the Fund. The value of securities denominated in foreign currencies is converted into U.S. dollars using exchange rates determined daily as of the close of regular trading on the NYSE. Any use of a different rate from the rates used by a relevant index may adversely affect the Fund's ability to track the index. The Funds are subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows: o Level 1 - Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. o Level 2 - Level 2 inputs are observable inputs, either directly or indirectly, and include the following: o Quoted prices for similar investments in active markets. o Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. o Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). o Inputs that are derived principally from or corroborated by observable market data by correlation or other means. o Level 3 - Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity's own assumptions about the assumptions that market participants would use in pricing the investment. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value each Fund's investments as of March 31, 2012, is included with each Fund's Portfolio of Investments. B. SECURITIES TRANSACTIONS Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. C. FOREIGN CURRENCY The books and records of the Funds are maintained in U.S. dollars. Foreign currencies, investments and other assets and liabilities are translated into U.S. dollars at the exchange rates prevailing at the end of the period. Purchases and sales of investment securities and items of income and expense are translated on the respective dates of such transactions. Net realized foreign currency gains and losses include the effect of changes in exchange rates between trade date and settlement date on investment security transactions, foreign currency transactions and interest and dividends received. ADDITIONAL INFORMATION FIRST TRUST EXCHANGE-TRADED ALPHADEX(R) FUND II MARCH 31, 2012 (UNAUDITED) LICENSING INFORMATION Each equity index that each of the Funds seeks to track (collectively, the "Indices") is compiled by Standard & Poor's Financial Services LLC ("S&P"). S&P is not affiliated with the Funds, First Trust Portfolios L.P. ("FTP"), or First Trust Advisors L.P. ("First Trust"). The Funds are entitled to use each S&P equity index pursuant to sublicensing arrangements by and among each applicable Fund, S&P, First Trust and FTP, which in turn has a licensing agreement with S&P. 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. "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 the 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 the 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. ITEM 2. CONTROLS AND PROCEDURES. (a) The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3 (c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15 (b)). (b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 3. EXHIBITS. Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) First Trust Exchange-Traded AlphaDEX(R) Fund II ------------------------------------------------------- By: /s/ Mark R. Bradley ------------------------------------- Mark R. Bradley, President and Chief Executive Officer (principal executive officer) Date: May 21, 2012 ----------------------- Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By: /s/ Mark R. Bradley ------------------------------------- Mark R. Bradley, President and Chief Executive Officer (principal executive officer) Date: May 21, 2012 ----------------------- By: /s/ James M. Dykas ------------------------------------- James M. Dykas, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) Date: May 21, 2012 ----------------------- EX-99.CERT 2 certification.txt SECTION 302 CERTIFICATIONS CERTIFICATION PURSUANT TO RULE 30A-2(A) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT I, Mark R. Bradley, certify that: 1. I have reviewed this report on Form N-Q of First Trust Exchanged-Traded AlphaDEX(R) Fund II; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date : May 21, 2012 /s/ Mark R. Bradley ------------------------ -------------------------------------- Mark R. Bradley, President and Chief Executive Officer (principal executive officer) CERTIFICATION PURSUANT TO RULE 30A-2(A) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT I, James M. Dykas, certify that: 1. I have reviewed this report on Form N-Q of First Trust Exchange-Traded AlphaDEX(R) Fund II; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date : May 21, 2012 /s/ James M. Dykas ------------------------ -------------------------------------- James M. Dykas, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer)